FOR THE FINANCIAL YEAR ENDED 31 DECEMBER 2017 BNY MELLON GLOBAL FUNDS, PLC - KIPDF.COM (2025)

ANNUAL REPORT AND ACCOUNTS FOR THE FINANCIAL YEAR ENDED 31 DECEMBER 2017

BNY MELLON GLOBAL FUNDS, PLC

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CONTENTS

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BACKGROUND TO THE COMPANY

DIRECTORS’ REPORT

DEPOSITARY’S REPORT

INDEPENDENT AUDITORS’ REPORT

INVESTMENT MANAGERS’ REPORTS

PORTFOLIO OF INVESTMENTS

STATEMENT OF COMPREHENSIVE INCOME

218

STATEMENT OF FINANCIAL POSITION

234

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

250

NOTES TO THE FINANCIAL STATEMENTS

258

SIGNIFICANT PORTFOLIO MOVEMENTS

445

APPENDIX 1: UCITS V REMUNERATION POLICY (UNAUDITED)

475

APPENDIX 2: SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (UNAUDITED)

477

MANAGER AND OTHER INFORMATION

493

IMPORTANT INFORMATION

494

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BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY The following information is derived from and should be read in conjunction with the full text and deﬁnitions section in the prospectus.

STRUCTURE BNY Mellon Global Funds, plc (the “Company”) was incorporated in the Republic of Ireland as a public limited company on 27 November 2000 with registration number 335837 under the Companies Act 2014. The Company changed its name from Mellon Global Funds, plc to BNY Mellon Global Funds, plc, effective 3 June 2008. The Company is an open-ended umbrella type investment company with variable capital organised under the laws of Ireland, with segregated liability between sub-funds, individually referred to as the “Fund” and collectively the “Funds”. The Company qualiﬁes and is authorised inIreland by the Central Bank of Ireland (the “Central Bank”) as an undertaking for collective investment in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”). The Company currently comprises of 42 active Funds as at 31December2017 (31December2016:39).

17 July 2002 – Mellon Global Emerging Markets Fund was launched. 18 September 2002 – Mellon US Large Companies Value Fund was launched and subsequently changed its name toMellon U.S. Dynamic Value Fund on 24 May 2005. 28 April 2003 – Mellon Euroland Bond Fund, Mellon Small Cap Euroland Fund and Mellon Small Cap Global ex-Euroland Fund were launched. 31 May 2003 – Mellon Global Tactical Asset Allocation Fund was closed (revoked by the Central Bank on 25 June 2004). 11 June 2003 – Mellon Global High Yield Bond Fund (USD) was launched. 20 January 2004 – Mellon US Large Companies Growth Fund was closed (revoked by the Central Bank on 25May2005). 11 February 2004 – Mellon Global High Yield Bond Fund (EUR) was launched. 15 October 2004 – Mellon Global High Yield Bond Fund (USD) was closed (revoked by the Central Bank on 25May2005).

The history of the Funds is as follows: 23 March 2001 – Mellon EURO STOXX 50SM Index Tracker, Mellon Euro Government Bond Index Tracker, Mellon S&P 500® Index Tracker and Mellon NIKKEI 225® Index Tracker were launched. 29 March 2001 – Global Tactical Asset Allocation Fund transferred to Mellon Global Funds, plc from Universal Liquidity Funds, plc*. 10 December 2001 – saw the launch of Mellon Asian Equity Fund Mellon Continental European Equity Fund Mellon Global Bond Fund Mellon Global Equity Fund Mellon Global Innovation Fund Mellon Global Intrepid Fund Mellon Japan Equity Fund Mellon North American Equity Fund Mellon Pan European Equity Fund Mellon Sterling Bond Fund Mellon Sterling Cash Fund Mellon UK Equity Fund Mellon US Dollar Cash Fund

10 May 2005 – Mellon Emerging Markets Debt Fund was launched. 3 October 2005 – Mellon North American Equity Fund changed its name to Mellon U.S. Equity Fund. 21 April 2006 – Mellon Small Cap Global ex-Euroland Fund was closed (revoked by the Central Bank on 11 June 2007). 28 April 2006 – Mellon Emerging Markets Debt Local Currency Fund was launched. 22 September 2006 – Mellon Evolution Global Alpha Fund was launched. 30 November 2006 – Mellon Japan Equity Value Fund was launched. 18 December 2006 – Mellon EURO STOXX 50SM Index Tracker and Mellon Global Innovation Fund were closed (revoked bythe Central Bank on 11 June 2007). 10 January 2007 – Mellon Evolution Currency Option Fund was launched.

11 January 2002 – Mellon European Ethical Index Tracker was launched.

2 July 2007 – Mellon Evolution Currency Alpha Fund was launched.

31 May 2002 – Mellon US Large Companies Growth Fund was launched.

6 July 2007 – Mellon Evolution Core Alpha Fund was launched.

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BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY cont’d.

31 August 2007 – Mellon Brazil Equity Fund was launched. 17 December 2007 – Mellon Dynamic Europe Equity Fund was launched.

11 December 2009 – BNY Mellon European Ethical Index Tracker was closed (revoked by Central Bank on7October2010).

17 December 2007 – Mellon NIKKEI 225® Index Tracker was closed (revoked by the Central Bank on 13 October 2008).

15 February 2010 – BNY Mellon Global Emerging Markets Fund changed its name to BNY Mellon Global Emerging Markets Equity Value Fund.

31 January 2008 – Mellon Global Extended Alpha Fund was launched.

8 March 2010 – BNY Mellon Global Real Return Fund (EUR) was launched.

4 April 2008 – Mellon Long-Term Global Equity Fund was launched.

14 May 2010 – BNY Mellon Global Strategic Bond Fund changed its name to BNY Mellon Evolution Global Strategic Bond Fund.

23 April 2008 – Mellon Global Property Securities Fund was launched. 3 June 2008 – Mellon Global Funds, plc changed its name to BNY Mellon Global Funds, plc and all registered Funds were preﬁxed with BNY. 6 June 2008 – BNY Mellon Sterling Cash Fund merged into Universal Sterling Fund* (a sub-fund of Universal Liquidity Funds, plc*) and BNY Mellon US Dollar Cash Fund merged into Universal Liquidity Plus Fund* (a sub-fund of Universal Liquidity Funds, plc*) (both Funds were revoked by the Central Bank on 29 January 2010).

29 July 2010 – BNY Mellon Global Equity Higher Income Fund was launched. 5 August 2010 – BNY Mellon Global Dynamic Bond Fund was launched. 31 August 2010 – BNY Mellon Latin America Infrastructure Fund was launched. 29 October 2010 – BNY Mellon Evolution Global Strategic Bond Fund was launched.

16 June 2008 – BNY Mellon Vietnam, India and China (VIC) Fund was launched.

26 November 2010 – The valuation point of BNY Mellon Long-Term Global Equity was changed from 12.00 (Dublin time) to 22.00 (Dublin time).

9 December 2008 – BNY Mellon Dynamic Europe Equity Fund was closed (revoked by the Central Bank on 29January2010).

16 December 2010 – BNY Mellon Evolution Long/Short Emerging Currency Fund was closed (revoked by the Central Bank on 23 September 2011).

18 March 2009 – BNY Mellon Emerging Markets Equity Fund was launched.

22 December 2010 – BNY Mellon Global Intrepid Fund changed its name to BNY Mellon Global Opportunities Fund.

25 March 2009 – BNY Mellon Evolution Long/Short Emerging Currency Fund was launched.

31 January 2011 – BNY Mellon Absolute Return Equity was launched.

8 April 2009 – BNY Mellon Evolution Core Alpha Fund, BNY Mellon Evolution Currency Alpha Fund and BNY Mellon Global Extended Alpha Fund were closed (revoked byCentral Bank on 7 October 2010).

11 March 2011 – BNY Mellon Evolution U.S. Equity Market Neutral Fund was launched.

22 June 2009 – BNY Mellon Euro High Yield Bond Fund was approved by the Central Bank. 30 June 2009 – BNY Mellon Global Real Return Fund (USD) was launched. 22 July 2009 – BNY Mellon Euro Corporate Bond Fund was launched.

20 June 2011 – BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund was launched. 24 June 2011 – BNY Mellon Japan Equity Fund was closed (revoked by the Central Bank on 3 September 2012). 18 August 2011 – The valuation point of BNY Mellon U.S. Dynamic Value Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time).

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BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY cont’d.

30 November 2011 – BNY Mellon Evolution U.S. Market Neutral Fund was closed (revoked by the Central Bank on16April2014).

1 October 2013 – BNY Mellon Evolution Global Strategic Bond Fund changed its name to BNY Mellon Global Opportunistic Bond Fund.

31 January 2012 – BNY Mellon Emerging Markets Corporate Debt Fund was launched.

25 November 2013 – BNY Mellon Crossover Credit Fund was launched.

9 March 2012 – BNY Mellon Absolute Return Bond Fund was launched.

6 December 2013 – BNY Mellon Euro Government Bond Index Tracker and BNY Mellon Vietnam, India and China (VIC) Fund were closed (revoked by the Central Bank on28August2014).

14 June 2012 – BNY Mellon Global Real Return Fund (GBP) was launched. 4 September 2012 – BNY Mellon Emerging Markets Equity Core Fund was launched. 13 November 2012 – BNY Mellon Emerging Equity Income Fund was launched. 19 December 2012 – The valuation point of BNY Mellon Emerging Markets Debt Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time). 12 February 2013 – BNY Mellon European Credit Fund was launched. 18 February 2013 – The valuation point of BNY Mellon Emerging Markets Debt Local Currency Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time). 21 February 2013 – BNY Mellon Evolution Currency Option Fund was closed (revoked by the Central Bank on 28August2014).

10 December 2013 – BNY Mellon Japan All Cap Equity Fund was launched. 12 December 2013 – BNY Mellon Japan Small Cap Equity Focus Fund was launched. 14 March 2014 – BNY Mellon Evolution Global Alpha Fund and BNY Mellon Latin America Infrastructure Fund were closed (revoked by the Central Bank on10November2015 and 2November2015, respectively). 9 May 2014 – BNY Mellon Asian Income Fund was launched. 16 May 2014 – BNY Mellon U.S. Equity Fund was closed (revoked by the Central Bank on 10 November 2015). 16 June 2014 – BNY Mellon US Opportunities Fund was launched. 30 June 2014 – BNY Mellon Absolute Insight Fund was launched.

25 April 2013 – BNY Mellon Continental European Equity Fund, BNY Mellon Sterling Bond Fund and BNY Mellon UK Equity Fund were closed (revoked by the Central Bank on28August2014).

25 July 2014 – BNY Mellon Asian Bond Fund was launched.

8 May 2013 – The valuation point of BNY Mellon U.S. Equity Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time).

31 December 2014 – The registered ofﬁce of the Company changed from 33 Sir John Rogerson’s Quay, Dublin 2, Ireland toGuild House, Guild Street, IFSC, Dublin 1, Ireland.

11 July 2013 – BNY Mellon Euro Corporate Bond Fund was closed (revoked by the Central Bank on 28 August 2014).

15 May 2015 – BNY Mellon Dynamic Total Return Fund was launched.

29 July 2013 – The base currency of BNY Mellon Global High Yield Bond Fund (EUR) changed from EUR to USD and the Fund changed its name to BNY Mellon Global High Yield Bond Fund.

16 June 2015 – BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund was closed (revoked by the Central Bank on 28 February 2018).

27 September 2013 – BNY Mellon Emerging Markets Debt Opportunistic Fund was launched.

20 November 2014 – BNY Mellon Japan Equity Value Fund was closed (revoked by the Central Bank on2November2015).

4 August 2015 – BNY Mellon Emerging Equity Income Fund changed its name to BNY Mellon Global Emerging Markets Fund and its distribution frequency from quarterly toannual.

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BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY cont’d.

12 August 2015 – BNY Mellon Euro High Yield Bond Fund was revoked by the Central Bank (never launched after approval). 15 September 2015 – BNY Mellon Alpha Equity Select Fund was approved by the Central Bank. 2 October 2015 – BNY Mellon Emerging Markets Equity Core Fund was closed (revoked by the Central Bank on 28February 2018). 16 November 2015 – BNY Mellon Targeted Return Bond Fund was launched. 30 November 2015 – The valuation point of BNY Mellon Brazil Equity Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time). BNY Mellon Global Equity Higher Income Fund changed its name to BNY Mellon Global Equity Income Fund. 9 December 2015 – BNY Mellon Emerging Markets Equity Fund was closed (revoked by the Central Bank on 28February2018). 1 January 2016 – BNY Mellon Global Property Securities Fund changed its distribution frequency from annual toquarterly. 26 February 2016 – BNY Mellon Global Emerging Markets Equity Value Fund was closed (pending application to the Central Bank to revoke the Fund’s registration and hence removal from the prospectus). 29 February 2016 – BNY Mellon Global Credit Fund was launched.

9 March 2017 – BNY Mellon Pan European Equity Fund was closed (pending application to the Central Bank torevoke the Fund’s registration and hence removal from the Prospectus). 19 April 2017 – BNY Mellon U.S. Municipal Infrastructure Debt Fund was launched. 31 May 2017 – BNY Mellon Asian Bond Fund was closed (pending application to the Central Bank to revoke the Fund’s registration and hence removal from the Prospectus). 2 August 2017 – BNY Mellon Global Multi-Asset Income Fund was approved by the Central Bank. 30 August 2017 – BNY Mellon Global Property Securities Fund was closed (pending application to the Central Bank to revoke the Fund’s registration and hence removal from the Prospectus). 26 September 2017 – BNY Mellon U.S. High Yield Beta Fund was launched. 3 November 2017 – BNY Mellon Dynamic U.S. Equity Fund was launched. 1 December 2017 – BNY Mellon Absolute Insight Fund was closed (pending application to the Central Bank torevoke the Fund’s registration and hence removal from the Prospectus). 6 December 2017 – BNY Mellon Global Unconstrained Fund was launched. 11 December 2017 – BNY Mellon Emerging Markets Debt Total Return Fund was launched.

20 September 2016 – BNY Mellon Crossover Credit Fund merged into Oddo Compass Crossover Credit, a sub-fund of Oddo Compass SICAV (revoked by the Central Bank on 28February2018).

10 January 2018 – BNY Mellon Multi-Asset High Income Fund was launched.

30 November 2016 – BNY Mellon Global Short-Dated High Yield Bond Fund was launched.

A separate pool of assets (a “Portfolio”) is maintained for each Fund, each being invested in accordance with the investment objective applicable to the Fund to which the Portfolio relates.

7 December 2016 – BNY Mellon Global Leaders Fund was launched. 13 December 2016 – BNY Mellon Japan REIT Alpha Fund was launched.

The Funds of the Company are listed on the Irish Stock Exchange (“ISE”). * Effective 1 March 2010, Universal Liquidity Funds, plc changed its name to BNY Mellon Liquidity Funds, plc and the “Universal” preﬁx was

10 January 2017 – BNY Mellon Asia Rising Stars Fund was launched.

removed from the name of all registered sub-funds and replaced with “BNY Mellon”.

17 January 2017 – BNY Mellon U.S. Equity Income Fund was launched.

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BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY cont’d.

INVESTMENT OBJECTIVE The assets of each Fund are invested separately inaccordance with the investment objectives and policies of the relevant Fund, which are set out in the relevant supplements to the prospectus.

OTHER RELEVANT INFORMATION Audited annual reports and ﬁnancial statements and unaudited semi-annual reports are available to the public at the registered ofﬁce of the Company or on www.bnymellonim.com. They can also be sent toshareholders at their registered address. As at the date of approval of this report, the Funds within the Company are:

BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Multi-Asset High Income Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund BNY Mellon U.S. High Yield Beta Fund BNY Mellon U.S. Municipal Infrastructure Debt Fund BNY Mellon US Opportunities Fund * Funds pending application to the Central Bank to revoke the Funds’ registration and hence removal from the prospectus. ** Funds approved by the Central Bank but not yet launched.

BNY Mellon Absolute Insight Fund* BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Alpha Equity Select Fund** BNY Mellon Asia Rising Stars Fund BNY Mellon Asian Bond Fund* BNY Mellon Asian Equity Fund BNY Mellon Asian Income Fund BNY Mellon Brazil Equity Fund BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Emerging Markets Debt Total Return Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Bond Fund BNY Mellon Global Credit Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Equity Value Fund* BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Leaders Fund BNY Mellon Global Multi-Asset Income Fund** BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon Global Unconstrained Fund BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund

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BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT The Directors submit their annual report together with the audited ﬁnancial statements for the ﬁnancial year ended 31 December 2017.

which is a category 1 or 2 offence; (ii) serious market abuse offences as referred to in Section 1368 of the Act; and (iii) the Irish tax laws referred to in Section 225 of the Act.

PRINCIPAL ACTIVITIES

It is the policy of the Company to secure compliance with its Relevant Obligations and to foster an environment in the Company which raises awareness of, and promotes a culture of compliance with, those obligations (the “Compliance Policy”).

The investment objective of each of the Funds is outlined in the prospectus and discussed in the Investment Managers’ Reports.

DIRECTORS’ RESPONSIBILITIES The Directors are responsible for preparing the Directors’ Report and ﬁnancial statements in accordance the Companies Act 2014. Irish company law requires the Directors to prepare ﬁnancial statements for each ﬁnancial year. Under that law, the Directors have elected to prepare the ﬁnancial statements in accordance with Financial Reporting Standard (“FRS”) 102: “The Financial Reporting Standard applicable in the United Kingdom and the Republic of Ireland” (“FRS 102”). Under company law, the Directors must not approve the ﬁnancial statements unless they are satisﬁed that they give a true and fair view of the assets, liabilities and ﬁnancial position of BNY Mellon Global Funds, plc (the “Company”) at the ﬁnancial year end date and of the proﬁt or loss ofthe Company for the ﬁnancial year and otherwise comply with the Companies Act 2014. In preparing the ﬁnancial statements, the Directors are required to: • select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the ﬁnancial statements have been prepared in accordance with applicable accounting standards, identify those standards and note the effect and the reasons for any material departure from those standards; and • prepare the ﬁnancial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation. The Directors conﬁrm that they have complied with the above requirement when preparing the ﬁnancial statements.

DIRECTORS’ COMPLIANCE STATEMENT The Directors, in accordance with Section 225 (2) of the Companies Act 2014 (the “Act”), acknowledge that they are responsible for securing the Company’s compliance with its “Relevant Obligations” as deﬁned in that section and which constitute: (i) certain provisions under the Act, a breach of

In order to give effect to the Compliance Policy, the Board, with the assistance of the relevant advisers, have identiﬁed the Relevant Obligations that they consider apply to the Company. The Directors conﬁrm that: • appropriate arrangements and structures (the “Compliance Arrangements”) that, in their opinion, are designed to secure material compliance with the Company’s Relevant Obligations, have been put in place; and • a review has been conducted, during the ﬁnancial year, of the Compliance Arrangements that have been put in place to secure the Company’s compliance with its Relevant Obligations. This Compliance Policy Statement will be subject to periodic review and may be supplemented from time to time. The Compliance Arrangements will be subject to annual review with the aim of establishing that they continue to provide a reasonable assurance of compliance, in all material respects, with the Company’s Relevant Obligations.

ACCOUNTING RECORDS The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the ﬁnancial position of the Company and to enable them to ensure that the ﬁnancial statements are prepared in accordance with FRS 102 and comply with the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (as amended) (the “Central Bank UCITS Regulations”). The measures taken by the Directors to secure compliance with the Company’s obligation to keep adequate accounting records are the use of appropriate systems and procedures and employment of competent persons. To this end, BNY Mellon Fund Services (Ireland) Designated Activity Company (the “Administrator”) has been appointed for the purpose of

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BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT cont’d.

maintaining adequate accounting records. Accordingly, the accounting records are kept at One Dockland Central, Guild Street, IFSC, Dublin 1, D01E4X0, Ireland*. The Directors are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. Under the Central Bank UCITS Regulations, the Directors are required to entrust the assets of the Company to the depositary for safe-keeping. In carrying out this duty, the Company has delegated custody of its assets to BNY Mellon Trust Company (Ireland) Limited (the “Depositary”).

Details of the risks inherent in investing in the Company are disclosed in Note 16 to the ﬁnancial statements.

The ﬁnancial statements of the Company are published on the website of BNY Mellon Investment Management EMEA Limited (www.bnymellonim.com). The Directors are responsible for the maintenance and integrity of the corporate and ﬁnancial information of the Company included on this website. Legislation in the Republic of Ireland governing the preparation and dissemination ofﬁnancial statements may differ from legislation in other jurisdictions.

RELATED PARTY TRANSACTIONS AND BALANCES

RESULTS The results for the ﬁnancial year are set out in the Statement of Comprehensive Income.

EVENTS SINCE THE FINANCIAL YEAR END There have been no signiﬁcant events affecting the Company since the ﬁnancial year end other than asdisclosed inNote20 to the ﬁnancial statements.

Other than as disclosed in Note 11 to the ﬁnancial statements, the Directors are not aware of any contracts or arrangements of any signiﬁcance in relation to the business of the Company in which the Directors had any beneﬁcial interest as deﬁned in the Companies Act 2014, atany time during the ﬁnancial year ended 31 December 2017 and 31December2016.

CONNECTED PERSON TRANSACTIONS * Please refer to Note 19 of the ﬁnancial statements

DISTRIBUTIONS Distributions paid to redeemable participating shareholders are recognised in the Statement of Comprehensive Income as ﬁnance costs when they are declared to the Irish Stock Exchange (“ISE”), as detailed in the prospectus. Distributions are declared to the extent necessary toenable the Company to pursue a full distribution policy inaccordance with the current UK tax legislation. Details of the distributions paid to redeemable participating shareholders are disclosed in the Statement of Comprehensive Income and distributions declared subsequent to the ﬁnancial year end to redeemable participating shareholders are disclosed in Note 20 to the ﬁnancial statements.

REVIEW OF BUSINESS AND FUTURE DEVELOPMENT The Company is an open-ended investment company with variable capital which has been authorised by the Central Bank under the UCITS Regulations. There was no change inthe nature of the Company’s business during the ﬁnancial year. There is a detailed review in the Investment Managers’ Reports of factors contributing to the Funds’ performance. The Directors do not anticipate any change in the structure or investment objectives of the Company.

In accordance with the requirements of Section41(1) of the Central Bank UCITS Regulations, any transaction carried out with the Company by its management company ordepositary, and the delegates or sub-delegates ofsuch amanagement company or depositary (excluding any non-group company sub-custodian appointed by a depositary), and any associated or group company of such a management company, depositary, delegate or sub-delegate (“connected persons”) must be carried out as if negotiated at arm’s length. Such transactions must be in the best interests ofthe shareholders. In addition tothose transactions, there are also transactions carried out by connected persons on behalf of the Company to which the Directors have nodirect access and in respect of which the Directors must rely upon assurances from its delegates that the connected persons carrying out those transactions do carry them out onasimilar basis. Shareholders should have regard to the governance structure of the Company as more particularly described in the Corporate Governance Statement section of this Directors’ Report and the roles and responsibilities of the Company’s respective delegates subject to the overall supervision of the Board. Further, shareholders should refer to the prospectus which identiﬁes many of the connected person transactions and the general nature of the contractual arrangements with the principal connected persons but it is not exhaustive of all connected person transactions. Shareholders should also refer to the provisions of the prospectus dealing with conﬂicts ofinterest.

RISK MANAGEMENT OBJECTIVES AND POLICIES The Company’s investment activities expose it to the various types of risk, which are associated with the ﬁnancial instruments and markets in which it invests.

Therefore, having regard to conﬁrmations from the Manager and its relevant delegates, the Board of Directors of the Company is satisﬁed that:

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BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT cont’d.

(i) there are arrangements (as evidenced by written procedures documented by the Investment Managers) in place to ensure that the obligations described above are applied to all transactions with connected persons; and (ii) transactions with connected persons entered into during the ﬁnancial year complied with these obligations, as attested by the Investment Managers through regular updates to the Directors. Note 11 details related party transactions during the ﬁnancial year as required by Section 33 “Related Party Disclosures” of FRS 102. However, shareholders should understand that not all “connected persons” are related parties as deﬁned by Section 33 of FRS 102. Details of fees paid to related parties and certain connected persons are set out in Notes 3, 5 – 7 and 11.

CORPORATE GOVERANCE STATEMENT The Company is subject to corporate governance practices imposed by: (i) The Memorandum and Articles of Association of the Company; (ii) The Irish Companies Act 2014; (iii) The Central Bank UCITS Regulations; and (iv) The ISE Code of Listing Requirements and Procedures. Copies of all of the above documents are available for inspection at the Company’s registered ofﬁce at One Dockland Central, Guild Street, IFSC, Dublin 1, D01E4X0, Ireland*. On 14 December 2011, the Irish Funds Industry Association (“IF”) published a corporate governance code (“IF Code”) which may be inspected on/ obtained from the IF website (www.irishfunds.ie). It should be noted that the IF Code reﬂects the existing corporate governance policies imposed on Irish authorised collective investment schemes. The Directors have reviewed the IF Code and adopted this code on 20 December 2012 following assessment of the measures included in the IF Code as being consistent with its existing corporate governance principles and procedures for the ﬁnancial year. Consistent with the regulatory framework applicable to investment fund companies such as the Company (and in contrast to normal operating companies with a full time executive management and employees), the Company, consequently, operates under the delegated model whereby it has delegated management (including investment management), administration and

distribution functions to third parties without abrogating the Directors’ overall responsibility. The Directors have in place mechanisms for monitoring the exercise of such delegated functions, which are always subject to the supervision and direction of the Directors. These delegations of functions and the appointment of regulated third party entities are detailed in the Company’s prospectus. In summary, they are: 1. The Company has appointed BNY Mellon Global Management Limited (the “Manager”) as its Manager pursuant to the Management Agreement. Under the terms of the Management Agreement, the Manager has responsibility for the management and administration of the Company’s affairs and the distribution of the shares of the Funds. The Manager is regulated by and under the supervision of the Central Bank; 2. The Manager has delegated the performance of the investment management functions in respect of the Company and of its Funds to the respective Investment Managers as detailed in the prospectus and listed inthe directory to these ﬁnancial statements. The respective Investment Managers have direct responsibility for the decisions relating to the day-to-day running of the Funds which they manage and they are accountable to the Directors for the investment performance of the Funds which they manage. The respective Investment Managers have internal controls and risk management processes in place to ensure that all applicable risks pertaining to their management of the Funds are identiﬁed, monitored and managed at all times and appropriate reporting is made to the Directors on a regular basis. The Investment Managers are regulated by and under the supervision of the regulator of their operating jurisdiction; 3. The Manager has delegated its responsibility as Administrator, Registrar and Transfer Agent to the Administrator, which has responsibility for the day-to-day administration of the Company and the Funds including the calculation of the net asset values. The Administrator is regulated by and under the supervision of the Central Bank; and 4. BNY Mellon Investment Management EMEA Limited acts as a distributor for the Funds of the Company. The Company also has appointed the Depositary asdepositary of its assets which entity has responsibility for the safekeeping of such assets in accordance with the Central Bank UCITS Regulations and for exercising independent oversight over how the Company is managed. The Depositary is regulated by and under the supervision ofthe Central Bank.

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BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT cont’d.

The Directors receive reports on a regular (and at least quarterly) basis from each of its delegate service providers and the Depositary which enable it to assess the performance of the delegate service providers and the Depositary (as the case may be).

eighteen months of incorporation and ﬁfteen months ofthe date of the previous annual general meeting thereafter provided that an annual general meeting is held within nine months of the end of each accounting period for the Company.

FINANCIAL REPORTING PROCESS – DESCRIPTION OFMAIN FEATURES

In accordance with the Companies Act 2014, shareholders representing not less than one-tenth of the paid up share capital of the Company may also request the Directors to convene a shareholders’ meeting. Not less than twenty one clear days’ notice of every annual general meeting and any meeting convened for the passing of a special resolution must be given to shareholders.

The Directors are responsible for establishing and maintaining adequate internal control and risk management systems of the Company in relation to the ﬁnancial reporting process. Such systems are designed to manage rather than eliminate the risk of error or fraud inachieving the Company’s ﬁnancial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Directors have entrusted the administration of the accounting records tothe Administrator. The Directors, through delegation to the Administrator, have procedures in place to ensure all relevant accounting records are properly maintained and are readily available, including production of annual and semi-annual ﬁnancial statements. The annual and semi-annual ﬁnancial statements of the Company are required to be approved by the Directors of the Company and ﬁled with the Central Bank. The annual ﬁnancial statements are also required to be ﬁled with the ISE and the Companies Registration Ofﬁce and be audited by independent auditors who report annually to the Board on their ﬁndings. The Directors have hired an independent external audit ﬁrm to audit the ﬁnancial statements in accordance with the Companies Act 2014. The Directors evaluate and discuss signiﬁcant accounting and reporting issues as the need arises. An Audit Committee, consisting of Jonathan Lubran (Chairman), David Dillon and Michael Meagher, was formed on 20 October 2016 and is charged with oversight of the Company’s audit and ﬁnancial control functions. The Administrator has operating responsibility in respect of its internal controls in relation to the ﬁnancial reporting process and the Administrator’s report to the Directors. The Administrator is authorised and regulated by the Central Bank and complies with the rules imposed by the Central Bank.

Two shareholders present either in person or by proxy constitutes a quorum at a general meeting. Votes may be cast in person or by proxy. On a show of hands, every shareholder who is present in person or by proxy shall have one vote and every management shareholder shall have one vote in respect of all non-participating shares. On a poll, every shareholder is entitled to one vote in respect of each participating share held by him and every management shareholder is entitled to one vote in respect of all nonparticipating shares held by him. The chairman of a general meeting of the Company or at least ﬁve shareholders present or a shareholder or shareholders representing at least one tenth of the shares in issue having the right tovote at such meeting may demand a poll. Shareholders may resolve to sanction an ordinary resolution or special resolution at a shareholders’ meeting. An ordinary resolution of the Company or of the shareholders of a particular fund or class requires anabsolute majority ofthe votes cast by the shareholders voting in person or by proxy at the meeting at which the resolution isproposed. Aspecial resolution of the Company or of the shareholders of a particular fund or share class requires a majority ofnot less than 75% of the shareholders present in person orby proxy and voting in general meeting in order to pass a special resolution including a resolution to amend the Memorandum and Articles of Association.

COMPOSTION AND OPERATION OF BOARD OFDIRECTORS AND COMMITTEES

SHAREHOLDER MEETINGS

Unless otherwise determined by an ordinary resolution ofthe Company in general meeting, the number of Directors may not be less than two nor more than twelve. Currently the Board of Directors of the Company is composed ofﬁve Directors, being those listed in the directory in these ﬁnancial statements.

The convening and conduct of shareholders’ meetings are governed by the Memorandum and Articles of Association of the Company and the Companies Act 2014. Although the Directors may convene an extraordinary general meeting of the Company at any time, the Directors are required to convene an annual general meeting of the Company within

The business of the Company is managed by the Directors, who exercise all such powers of the Company as are not bythe Companies Act 2014 or by the Articles of Association of the Company required to be exercised by the Company in general meeting. A Director may, and the company

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BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT cont’d.

secretary of the Company on the requisition of a Director will, at any time summon a meeting of the Directors. Questions arising at any meeting of the Directors are determined by a majority of votes. In the case ofanequality of votes, the chairman has a second or casting vote. The quorum necessary for the transaction of business atameeting of the Directors may be ﬁxed by the Directors and unless so ﬁxed is two. The key management functions of the Manager are delegated to the designated Directors inaccordance with its business plan.

DIRECTORS

not disclosed to the auditors. Each Director has taken all the steps that they are obliged to take as a Director in order tomake themselves aware of any relevant audit information and to ensure that it is disclosed to the auditors.

INDEPENDENT AUDITORS The Directors appointed Ernst & Young as auditors for the Company, with effect from 2 September 2014. Ernst & Young have indicated their willingness to remain in ofﬁce in accordance with Section 383 (2) of the Companies Act 2014.

The names of the persons who were Directors at any time during the ﬁnancial year ended 31 December 2017 are set out below. On behalf of the board David Dillon (Irish)1*^ David Turnbull (New Zealand) Greg Brisk (British) Jonathan Lubran (British)**^# Michael Meagher (Irish)1^

Director – David Dillon Director – Greg Brisk Date: 18 April 2018

All Directors are non-executive Directors. 1

Audit Committee Member

* Chairman of the Board of Directors ** Chairman of the Audit Committee ^ Independent Director #

Please refer to Note 20 of the ﬁnancial statements.

DIRECTORS AND SECRETARY’S INTERESTS The Directors (including their families) and the Secretary, Tudor Trust Limited, had no interests in the shares of the Company at any time during the ﬁnancial year ended 31December2017 and 31 December 2016. David Dillon, David Turnbull, Greg Brisk, Jonathan Lubran and Michael Meagher are also Directors of the Manager. Management fees of USD144,661,440 (31December2016: USD144,077,063) were incurred during the ﬁnancial year. David Turnbull and Greg Brisk have waived their right to receive a fee for their services as Directors during the ﬁnancial year ended 31 December 2017 and 31December2016.

POLITICAL DONATIONS There were no political donations made by the Company during the ﬁnancial year ended 31 December 2017 and 31December 2016.

DISCLOSURE OF INFORMATION TO THE AUDITORS So far as each person who was a Director at the date ofapproving this report is aware, there is no relevant audit information, being information needed by the auditors inconnection with preparing their report, which they have

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BNY MELLON GLOBAL FUNDS, PLC DEPOSITARY’S REPORT For the period from 1 January 2017 to 31 December 2017 (the “Period”) BNY Mellon Trust Company (Ireland) Limited (the “Depositary”, “us” “we”, or “our”), has enquired into the conduct of BNY Mellon Global Funds plc (the “Company”) for the Period, in its capacity as depositary to the Company. This report including the opinion has been prepared for and solely for the shareholders in the Company, in accordance with our role as depositary to the Company and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

RESPONSIBILITIES OF THE DEPOSITARY Our duties and responsibilities are outlined inRegulation34 of the of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (S.I. No 352 of 2011), asamended (the “Regulations”). Our report shall state whether, in our opinion, the Company has been managed in that period in accordance with the provisions of the Company’s constitutional documentation and the Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not been so managed, we as depositary must state inwhat respects it has not been so managed and the steps which we have taken in respect thereof.

OPINION In our opinion, the Company has been managed during the period, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documentation and by the Regulations; and (ii) otherwise in accordance with the provisions of the constitutional documentation and the Regulations.

BRIAN MCFADDEN Brian McFadden BNY Mellon Trust Company (Ireland) Limited One Dockland Central Guild Street IFSC Dublin 1 D01E4X0 Ireland Date: 18 April 2018

BASIS OF DEPOSITARY OPINION The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order tocomply with its duties and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation and the appropriate regulations.

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BNY MELLON GLOBAL FUNDS, PLC INDEPENDENT AUDITORS’ REPORT TO THE MEMBERS OF BNY MELLON GLOBAL FUNDS PLC OPINION We have audited the ﬁnancial statements of BNY Mellon Global Funds plc (‘the Company’) for the year ended 31 December 2017, which comprise the Statement of Financial Position, Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable toRedeemable Participating Shareholders and notes to the ﬁnancial statements, including the summary of signiﬁcant accounting policies set out in note 1. The ﬁnancial reporting framework that has been applied in their preparation is Irish Law and Accounting Standards including FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland (Irish Generally Accepted Accounting Practice). In our opinion the ﬁnancial statements:

of ﬁnancial statements in Ireland, including the Ethical Standard as applied to public interest entities issued by the Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulﬁlled our other ethical responsibilities inaccordance with these requirements. We believe that the audit evidence we have obtained is sufﬁcient and appropriate to provide a basis for our opinion.

CONCLUSIONS RELATING TO GOING CONCERN We have nothing to report in respect of the following matters, in relation to which ISAs (Ireland) require ustoreport to you where:

• give a true and fair view of the assets, liabilities and ﬁnancial position of the company as at 31 December 2017 and of its proﬁt for the year then ended;

• the directors’ use of the going concern basis of accounting in the preparation of the ﬁnancial statements is not appropriate: or

• have been properly prepared in accordance with Irish Generally Accepted Accounting Practice; and

• the directors have not disclosed in the ﬁnancial statements any identiﬁed material uncertainties that may cast signiﬁcant doubt about the Company’s ability tocontinue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the ﬁnancial statements are authorised for issue.

• have been properly prepared in accordance with the requirements of the Companies Act 2014, the European Communities (Undertakings for Collective Investment inTransferable Securities) Regulations, 2011 (the “UCITS Regulations”), and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the “Central Bank UCITS Regulations”).

BASIS FOR OPINION We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland)) and applicable law. Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Company in accordance with ethical requirements that are relevant to our audit

KEY AUDIT MATTERS Key audit matters are those matters that, in our professional judgment, were of most signiﬁcance in our audit of the ﬁnancial statements of the current period and include the most signiﬁcant assessed risks of material misstatement (whether or not due to fraud) that we identiﬁed, including those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the ﬁnancial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Description

Our response

Key observations communicated to the Board of Directors

We have considered the existence and ownership of financial assets and financial liabilities held outside the depositary network tobe a key audit matter. The value of these isUSD 5,192,147,899 (2016: USD6,569,955,078).

For these positions that were held outside thedepositary network we obtained alisting from the Administrator.

Based on the procedures performed, no issues were noted.

This is one of the key areas our audit isconcentrated on because the existence andownership of investments is a key driver ofthe net asset value.

In addition, we obtained contact details foreach of these counterparties from theAdministrator.

Please refer to Note 1 – Financial assets andfinancial liabilities at fair value through profit or loss in the financial statements.

We tested the existence and ownership offinancial assets and financial liabilities atfair value through profit or loss held outside the depository network directly with the counterparties by obtaining independent confirmations from them. 15

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BNY MELLON GLOBAL FUNDS, PLC INDEPENDENT AUDITORS’ REPORT TO THE MEMBERS OF BNY MELLON GLOBAL FUNDS PLC cont’d.

Key observations communicated to the Board of Directors

Description

Our response

We have considered valuation of financial assets and financial liabilities at fair value through profit or loss as a key audit matter asit is a key driver of the Company’s performance and net asset value.

We obtained the listing of financial assets andfinancial liabilities at fair value through profit or loss as at 31 December 2017 from theAdministrator.

Please refer to Note 1 – Financial assets andfinancial liabilities at fair value through profit or loss in the financial statements.

We assessed the reasonableness of the valuation for all financial assets and financial liabilities at fair value through profit or loss, by:

Based on the procedures performed, no issues were noted.

– Comparing values to quoted prices, broker prices or vendor prices; – Recalculating fair value using industry standard models; or – Assessing the reasonableness of the assumptions and data inputs used by the Directors to value these ﬁnancial assets andﬁnancial liabilities at fair value through proﬁt or loss.

OUR APPLICATION OF MATERIALITY We apply the concept of materiality in planning and performing the audit, in evaluating the effect of identiﬁed misstatements on the audit and in forming our audit opinion.

75% (2016: 75%) of our planning materiality. We have set performance materiality at this percentage due to our knowledge of the entity and industry, our past history with the entity, the effectiveness of its control environment and our assessment of the risks associated with the engagement.

MATERIALITY The magnitude of an omission or misstatement that, individually or in the aggregate, could reasonably be expected to inﬂuence the economic decisions of the users of the ﬁnancial statements. Materiality provides abasis for determining the nature and extent of our audit procedures. We determined materiality to be 0.50% (2016: 0.50%) of Net Asset Value. We believe that Net Asset Value isan appropriate measurement basis since the users of the ﬁnancial statements may focus more on this than onearnings. During the course of our audit, we reassessed initial materiality and made no changes to it. Performance materiality The application of materiality at the individual account or balance level is set at an amount to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements exceeds materiality. On the basis of our risk assessments, together with our assessment of the Company’s overall control environment, our judgement was that performance materiality was

Reporting threshold An amount below which identiﬁed misstatements are considered as being clearly trivial. We agreed with the Audit Committee that we would report to them all uncorrected audit differences in excess of5% of planning materiality, as well as differences below that threshold that, in our view, warranted reporting onqualitative grounds. We evaluate any uncorrected misstatements against both the quantitative measures of materiality discussed above and in light of other relevant qualitative considerations informing our opinion. An overview of the scope of our audit report Our assessment of audit risk, our evaluation of materiality and our allocation of performance materiality determine our audit scope for the company. This enables us to form an opinion on the ﬁnancial statements. We take into account size, risk proﬁle, the organisation of the company and effectiveness of controls, including controls and changes in the business environment when assessing the level of work to be performed. All audit work was performed directly by the audit engagement team.

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BNY MELLON GLOBAL FUNDS, PLC INDEPENDENT AUDITORS’ REPORT TO THE MEMBERS OF BNY MELLON GLOBAL FUNDS PLC cont’d.

OTHER INFORMATION The directors are responsible for the other information. The other information comprises the information included in the Annual Report other than the ﬁnancial statements and our auditor’s report thereon. Our opinion on the ﬁnancial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon. In connection with our audit of the ﬁnancial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the ﬁnancial statements orour knowledge obtained in the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement inthe ﬁnancial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required toreport that fact. We have nothing to report in this regard.

OPINIONS ON OTHER MATTERS PRESCRIBED BYTHECOMPANIES ACT 2014 Based solely on the work undertaken in the course of the audit, we report that: • in our opinion, the information given in the directors’ report is consistent with the ﬁnancial statements; and • in our opinion, the directors’ report is have been prepared in accordance with the Companies Act 2014. We have obtained all the information and explanations which we consider necessary for the purposes of our audit. In our opinion the accounting records of the Company were sufﬁcient to permit the ﬁnancial statements to bereadily and properly audited and the Company statement of ﬁnancial position is in agreement with the accounting records.

MATTERS ON WHICH WE ARE REQUIRED TOREPORT BYEXCEPTION Based on the knowledge and understanding of the company and its environment obtained in the course of the audit, we have not identiﬁed material misstatements in the directors’ report. The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’ remuneration

and transactions required by sections 305 to 312 of the Act are not made. We have nothing to report in this regard.

RESPECTIVE RESPONSIBILITIES Responsibilities of directors for the ﬁnancial statements As explained more fully in the directors’ responsibilities statement set on page 9, the directors are responsible for the preparation of the ﬁnancial statements and for being satisﬁed that they give a true and fair view, and for such internal control as they determine is necessary to enable the preparation of ﬁnancial statements that are free from material misstatement, whether due to fraud or error. In preparing the ﬁnancial statements, the directors are responsible for assessing the parent Company’s ability to continue as going concerns, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Company or to cease operations, orhas no realistic alternative but to do so. Auditors responsibilities for the audit of the ﬁnancial statements Our objectives are to obtain reasonable assurance about whether the ﬁnancial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but isnot aguarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud orerror and are considered material if, individually or in the aggregate, they could reasonably be expected to inﬂuence the economic decisions of users taken on the basis of these ﬁnancial statements. The objectives of our audit, in respect to fraud, are; toidentify and assess the risks of material misstatement ofthe ﬁnancial statements due to fraud; to obtain sufﬁcient appropriate audit evidence regarding the assessed risks of material misstatement due to fraud, through designing and implementing appropriate responses; and to respond appropriately to fraud or suspected fraud identiﬁed during the audit. However, the primary responsibility for the prevention and detection of fraud rests with both those charged with governance of the entity and management. Our approach was as follows: We obtained an understanding of the legal and regulatory frameworks that are applicable to the Company and determined that the most signiﬁcant are the Companies Act 2014, UCITS Regulations and the Central Bank UCITS Regulations.

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BNY MELLON GLOBAL FUNDS, PLC INDEPENDENT AUDITORS’ REPORT TO THE MEMBERS OF BNY MELLON GLOBAL FUNDS PLC cont’d.

We understood how the Company is complying with those frameworks by updating our understanding of the adequate system of internal control in place. We also considered the existence of independent service providers, proper segregation of duties and the regulated environment in which the Company operates, which may reduce opportunities for fraud to take place. We assessed the susceptibility of the Company’s ﬁnancial statements to material misstatement, including how fraud might occur by management override of controls. Based on this understanding we designed our audit procedures to identify non-compliance with such laws and regulations. Our procedures involved inquiries tothose charged with governance into possible instances of non-compliance with laws and regulations, review of board meeting minutes during the year and obtaining representation from the management. A further description of our responsibilities for the audit of the ﬁnancial statements is located on the IAASA’s website at: http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8fa98202dc9c3a/Description_of_auditors_responsibilities_ for_audit.pdf. This description forms part of our auditor’s report.

THE PURPOSE OF OUR AUDIT WORK AND TO WHOM WEOWE OUR RESPONSIBILITIES Our report is made solely to the Company’s members, asabody, in accordance with section 391 of the Companies Act 2014. Our audit work has been undertaken so that wemight state to the Company’s members those matters weare required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, asabody, for our audit work, for this report, or for the opinions wehave formed.

LISA KEALY Lisa Kealy for and on behalf of Ernst & Young Chartered Accountants and Statutory Audit Firm Dublin 20 April 2018

OTHER MATTERS WHICH WE ARE REQUIRED TOADDRESS We were appointed by the Directors in 2014 to audit the ﬁnancial statements for the year ended 31December2014 and subsequent ﬁnancial periods. The period of total uninterrupted engagement including previous renewals and reappointments of the ﬁrm is 4 years. The non-audit services prohibited by IAASA’s Ethical Standard were not provided to the Company and we remain independent of the Company in conducting our audit. Our audit opinion is consistent with the additional report tothe audit committee.

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INVESTMENT MANAGERS’ REPORTS

ECONOMIC & MARKET OVERVIEW INTRODUCTION Over the 12-month review period, markets advanced, showing resilience in the face of geopolitical tensions, particularly centred round North Korea, unexpected political developments and the beginning of the end of unlimited support from central banks. Against this backdrop, many major equity indices achieved close to, or all-time highs, while bond markets came under pressure from changing monetary policy and rising interest rates. Despite a number of setbacks, US President Donald Trump achieved the ﬁrst major legislative victory of his presidency when the tax reform bill – that will lead to a sizeable cut incorporation tax – was passed by Congress at year-end. In Europe, there were concerns about the prospect of populist and anti-EU politicians gaining power, although the Dutch and French elections earlier in the year resulted in the defeat of the right-wing candidates. The French presidential election saw the victory of reformist politician Emmanuel Macron. The party of Germany’s Chancellor Angela Merkel, together with its Bavarian sister party, emerged the strongest in September’s federal election, while the Social Democratic Party of Germany (SPD) suffered its worst result since the Second World War. The far-right Alternative for Germany party won a greater share of the vote than expected and entered parliament as the third largest party. Talks on forming a coalition government dragged on beyond year-end. In the UK, Prime Minister Theresa May called an early general election for June hoping to strengthen her hand in negotiations over the UK’s exit from the EU. However, the Conservative Party lost its overall majority, forcing them to seek a ‘conﬁdence and supply’ arrangement with Northern Ireland’s Democratic Unionist Party. The ﬁrst stage ofnegotiations was deemed to have made sufﬁcient progress in December, opening the way to the second round involving trade talks. Having raised interest rates twice in the ﬁrst half of 2017, the US Federal Reserve (Fed) hiked rates again in December, taking the benchmark lending rate to a range of 1.25% to1.50%. The Bank of England (BoE) had its ﬁrst increase for over 10 years, raising interest rates by 0.25% to 0.50% inNovember. The Fed also began to talk more openly about shrinking its US$4.5 trillion portfolio of mostly government debt (known as its ‘balance sheet’) implemented during the ﬁnancial crisis. The European Central Bank (ECB) said itwould reduce its monthly bond buying operations further, while acknowledging that eurozone recovery was still reliant on stimulus. The Bank of Japan (BoJ) continued with its ultra-loose monetary policy and suggested itwould lag behind its overseas peers in ending this policy notwithstanding economic improvements.

October’s 19th Party Congress of the Chinese Communist Party saw Xi Ping, China’s president since 2012, consolidate his power. In Japan, long serving Prime Minister Shinzo Abe strengthened his position with victory in a snap election, also in October. Economic data releases were generally supportive, especially in the US and Europe. The US unemployment rate was 4.1% in December, while the economy grew by 2.5% in the three months to the end of December 2017. Major countries of the eurozone enjoyed some growth. While employment levels improved across the region, the aggregate unemployment rate in the eurozone (8.6%) remains double that of the UK (4.3%) and the US. Over the year, global equity markets advanced in aggregate, with the FTSE All-World Index rising by 24.62%.

NORTH AMERICA The US market performed well over the period, with the key market indices, such as the S&P 500, hitting new all-time highs regularly throughout the period. Unease around relations with North Korea because of that country’s missile tests, compromising political developments at home for the Trump administration and the gradual tightening in interest rate policy did little to dampen the upward movement. The US economy grew at a decent pace with strong employment trends. Non-farm payroll – the total number of people employed in non-agricultural businesses and akey indicator of unemployment – and private job growth ﬁgures continued to impress. US consumer conﬁdence rose to a17-year high during the period. Having raised interest rates twice in the ﬁrst half of 2017, the Fed took the decision to tighten policy further and raised interest rates in December by a further 0.25%, taking the benchmark lending rate to a range of 1.25% to 1.50%. Atthe time of the increase, the Federal Open Market Committee cited realised and expected labour markets conditions and inﬂation. Trump nominated Jerome ‘Jay’ Powell to chair the Fed, rather than asking incumbent Janet Yellen to stay on and in doing so broke a 40-year precedent. Despite the travails of the Trump administration, the most serious being the accusations of links with Russia during the presidential election campaign and the circumstances of the ﬁring of FBI director James Comey, Trump was able to celebrate the passing of his tax reform bill with its key feature of a cut in the US corporation tax on business proﬁts from 35% to 21%. In the opinion of the International Monetary Fund (IMF), the US tax policy changes are expected to stimulate activity. In this environment, the FTSE All-World North America Index (which includes Canada) returned 21.82%.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ECONOMIC & MARKET OVERVIEW cont’d. EUROPE The eurozone economy grew by 0.6% quarter on quarter in the ﬁnal three months of 2017, albeit down from the previous quarter’s growth rate of 0.7%. Eurozone GDP growth eclipsed that of the UK. Annual inﬂation in the eurozone was 1.4% in 2017. On the political front, Emmanuel Macron secured a victory over the far-right candidate Marine Le Pen in the French presidential election. Macron’s rise to power was all the more remarkable given that his party, En Marche, only came into being in April 2016. In September’s federal election, the position of German Chancellor Angela Merkel was weakened by the reduction in support and Merkel was unable to form a coalition government by her party’s selfimposed deadline. The far-right Alternative for Germany party also gained more seats than had been expected.

as encouraging consumer spending. Citing the risks from soaring debt, credit ratings agency Standard & Poor’s cut China’s sovereign crediting rating for their ﬁrst time since 1999. The downgrade was the second by a major ratings company. October’s 19th Party Congress of the Chinese Communist Party saw Xi Ping, China’s president since 2012, consolidate his power. His “Socialism with Chinese characteristics for the New Era” was added to the Chinese constitution, the ﬁrst time a body of thought carrying a leader’s name has been added to the Communist Party’s constitution since Mao Zedong. In South Korea, President Park Geun-hye was impeached on corruption charges, paving the way for liberal politician Moon Jae-in to become the new president.

Catalonia’s push for independence from Spain was another source of concern resulting in its declaration of independence being declared illegal by the Spanish state and the region coming back under central Spanish rule. (However, Catalan pro-independence parties held their absolute majority in snap regional elections called byMadrid in December.)

The BoJ continued with its ultra-loose monetary policy, with the BoJ indicating that economic reforms alone would not trigger a withdrawal of stimulus and suggesting itwould lag behind its overseas peers in ending this policy. The country’s economy grew faster than expected in the ﬁnal three months of 2017 (1.6%) due to strong exports, conﬁrming the longest run of growth in 28 years.

By the end of 2017, negotiations on the UK’s departure from the EU had progressed sufﬁciently for the next phase of trade talks to begin.

Against this backdrop, the FTSE All-World Asia Paciﬁc exJapan Index returned 35.06% over the period. The FTSE All-World Japan Index returned 21.00%, in Japanese yen terms.

The ECB announced the intention to scale back its monthly bond buying operations further, halving the amount to €30bn (effective from January 2018), while extending the operations until at least September 2018. Mario Draghi, ECB president, warned that the eurozone recovery was still reliant on stimulus from the ECB. Against this backdrop, the FTSE All-World Europe ex UK Index returned 12.37% in euro terms. In comparison, the UK stock market underperformed, with the FTSE All-World UK Index returning 7.47% in euro terms.

ASIA This was a good period for Asian markets which outperformed Western markets in aggregate. The Chinese market was especially strong through 2017. The Chinese economy grew by 6.9% in 2017, exceeding the government target of around 6.5%. Fixed-asset investment rose but at a weaker rate than for some time. The IMF has forecast that the Chinese economy would expand 6.6% in2018. The Chinese authorities continued to manage the economy tightly, clamping down on excessive lending, particularly to the construction and ﬁnance industries, as well

FIXED INCOME Although expectations that stronger global growth would spur inﬂation and the world’s central banks would gradually unwind their very loose monetary policies played out in ﬁnancial markets, the overall effects were muted. The maintenance of negative interest rates and the buying of securities by the ECB and BoJ dampened upward pressures on bond yields. Investors chased yield where possible, leading them more into corporate and high yield bonds, encouraged by economic recovery. (High yield is debt issued by companies that is rated below BBB by Standard & Poor’s.) While core US inﬂation remained stable, a pick-up in headline price pressures and further fall in the unemployment rate to its lowest level since 2000 prompted the Fed to increase interest rates for the third time inDecember, while forecasting three further hikes in 2018. Amid elevated UK inﬂation, the BoE made its ﬁrst increase in interest rates in a decade. Over the 12 months as a whole, the JP Morgan Global Government Bond (Unhedged) Index increased by 6.83%.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ECONOMIC & MARKET OVERVIEW cont’d. CURRENCY AND COMMODITIES Sterling continued its recovery, rising against most major currencies with the key exception of the euro, against which it was down. The euro remained strong overall, on the back of the recovery in the eurozone – rising GDP and employment levels in particular – although inﬂation remained subdued. The US dollar’s weakening trend, seen through the ﬁrst half of 2017, continued although not at the pace seen in the ﬁrst half of the year. The yen was relatively volatile through the period, against major currencies. Commodity prices, which had been largely on a downward trend in the ﬁrst half of 2017, recovered in the second half of the year. The improving global economic outlook pushed commodities, such as copper and iron ore, ﬁrmer. The oil price was typical of this trend. Weaker in the ﬁrst half of the year, the oil price recovered materially in the review period as the Organization of the Petroleum Exporting Countries and Russia agreed to extend production cuts and as global demand recovered further than had been expected. All performance data is from 1 January 2017 to 31 December 2017, total return in local currency terms unless otherwise indicated, sourced from Lipper Hindsight and Bloomberg.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN BNY MELLON ABSOLUTE INSIGHT FUND The Fund was closed on 1 December 2017. Over the review period until closure, the Fund’s S share class returned -0.14%, compared with a return of -0.34% for 1-month EURIBOR, both in euro terms. Positive returns were generated by the credit, emerging market debt, equity and dynamic opportunities strategies but the currency strategy detracted from performance. (Credit refers to ﬁxed-income instruments issued by non-government entities, such as corporates.) The credit strategy’s return was driven largely by asset-backed securities (ABS) and exposure to both high yield and investment grade credit. (ABS are bonds backed by ﬁnancial assets. High yield is debt issued by companies that is rated below BBB by the credit rating agency Standard & Poor’s. Investment grade is debt rated BBB and above by the same agency.) The emerging market debt strategy recorded gains across both government and corporate debt holdings, denominated in both local and hard currencies. The equity strategy’s positive return was driven by a range of positions. The dynamic opportunities strategy beneﬁted from gains across the portfolio in equity and ﬁxed-income positions. The currency strategy’s negative performance was largely due to long US dollar positions against currencies including the Japanese yen. (A long position is the buying of acurrency with the expectation that it will rise in value. Ashort position is the reverse.)

effect in the second half of the review period. (Duration isameasure of the sensitivity of the price ofaﬁxed-income investment to a change in interest rates.) However, the Fund’s position in 10-year Australian bonds underperformed and the 30-year US ‘breakeven’ inﬂation trade was affected by continued low US inﬂation, although both positions positively contributed in the ﬁnal three months of 2017. (The breakeven rate is the difference between the yield on a nominal ﬁxed-rate bond and the real yield or yield minus the rate of inﬂation on an inﬂation-linked bond, such as US Treasury Inﬂation-Protected Securities or TIPS, of similar maturity and credit quality. If inﬂation averages below the breakeven rate, the ﬁxed-rate bond will outperform the inﬂation-linked bond.) The Fund’s yield curve positions were also a small negative. (The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but with different maturities. It can be used as an indicator offuture interest rates.) Finally, the small currency positions slightly weighed on performance throughout the year. The Fund has been repositioned for an environment ofrising interest rates, with its level of risk reduced; it ended 2017 taking proﬁts on some investment grade bonds. Insight Investment Management (Global) Limited February 2018

BNY MELLON ABSOLUTE RETURN EQUITY FUND Insight Investment Management (Global) Limited February 2018

Over the 12-month period under review, the Fund’s R share class returned 1.76% compared with a return of 0.30% for LIBOR GBP 1 Month, both in sterling terms.

BNY MELLON ABSOLUTE RETURN BOND FUND Over the 12-month period under review, the Fund’s S share class returned -0.07%, compared with a return of -0.33% for EURIBOR 3 Months, both in euro terms. The Fund generated a negative return but was ahead of its performance reference. Over the 12 months, the Fund’s performance was helped by its credit positions: both investment grade bonds and asset-backed securities (ABS) positively contributed, with emerging market bonds denominated in local currencies also a positive as spreads kept tightening in these markets. (Credit refers to ﬁxed-income instruments issued by nongovernment entities, such as corporates. Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s. ABS are bonds backed by ﬁnancial assets. A spread measures how much more a business pays to borrow money than the government does.) In aggregate, the Fund’s various interest-rate strategies detracted from performance. On the positive side, the duration exposure was beneﬁcial overall despite a negative

The Fund generated a positive return ahead of the performance reference. Market-friendly election outcomes in Europe led to awaning of political risk and market participants focused instead on synchronised global growth, benign inﬂation and the continued expansion of central bank balance sheets. Although equity market volatility fell in 2017, market participants increasingly recognised that a change in stance on the part of central banks towards their support was approaching. Individual share prices started to move in reaction to news ﬂow, presenting a better environment for the Fund. The Investment Manager continued to run tight hedges to try to insulate the Fund from the risk of market ﬂuctuations resulting from political or policy news ﬂow (Hedging is aimed at minimising or eliminating risk.) The Investment Manager anticipates that volatility should start to pick up as central banks scale back their support

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d. BNY MELLON ABSOLUTE RETURN EQUITY FUND cont’d. and investors become a little less certain on the extent ofthat support.

exposure is still an attractive diversiﬁer and misvaluation opportunities among global sovereigns remain appealing, in the Investment Manager’s view.

Insight Investment Management (Global) Limited February 2018

Mellon Capital Management Corporation* February 2018

BNY MELLON DYNAMIC TOTAL RETURN FUND

BNY MELLON EMERGING MARKETS DEBT TOTAL RETURN FUND

Over the 12-month period under review, the Fund’s A share class returned 6.07% in USdollar terms. The Fund generated a positive total return due mainly to gains from the sizeable allocation to assets with growth characteristics. Global equities were supported by the positive macroeconomic outlook, benign inﬂation and buoyant earnings that kept the appetite of investors for risk elevated. The Fund held long positions in most developed markets during 2017; positions in the US, Japan, the eurozone and UK added the most to returns. Defensive and real assets were modestly positive. (Real assets are physical or tangible and include precious metals, commodities, real estate, agricultural land and oil.) A long position in US Treasuries drove the gain from assets with defensive characteristics, as a pause in the ‘reﬂation trade’ early in the year along with somewhat modest inﬂation data helped US Treasury bonds advance in 2017. (The ‘reﬂation trade’ refers to the boost in output that the ﬁscal policies of the administration of Donald Trump seek to achieve.) Comparatively higher US yields relative to other global sovereigns also aided US Treasuries. A long position in Australian bonds also added to returns as yields inAustralia moved lower along with Treasuries. Aposition inUS Treasury Inﬂation-Protected Securities was helpful. Diversifying assets detracted due to currency allocations. A short position in sterling was detrimental to returns as it rose against the long position in the USdollar. (With ashort position, an investor enters into an agreement to sell acurrency for a predetermined price on a speciﬁed future date. The trading strategy is aimed at taking advantage of an expected fall in the value of the currency. A long position is the reverse.) While enthusiasm for the USdollar declined during 2017, sterling gained against the US dollar despite the uncertain UK economic outlook. The Investment Manager continues to ﬁnd a constructive environment for risk assets, with momentum in global growth and corporate earnings, and thus the Fund maintains a moderate allocation to growth assets. (Risk Asset is used to describe the ﬁnancial security or instrument whose price is subject to signiﬁcant volatility.) Defensive asset

The Fund was launched on 11 December 2017. The Fund invests in a broad universe of debt and debt-related securities (e.g. bonds issued by governments, companies and other public entities) in the emerging markets. These can have high or low credit rating, such as investment grade or high yield. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s; high yield is debt rated below BBB.) The Fund invests in debt and debt-related securities denominated in hard currencies (e.g. US dollars) and in the local currencies of the respective emerging market countries. Insight Investment Management (Global) Limited February 2018

BNY MELLON GLOBAL DYNAMIC BOND FUND Over the 12-month period under review, the Fund’s A share class returned 2.12%, compared with a return of 3.12% for LIBOR 1 Month + 200bps, both in US dollar terms. The Fund generated a positive return but was behind the performance reference. Investment grade credit made a notably positive contribution to performance over the period, while high yield credit was accretive to returns, as solid global growth (supported by strong US forward-looking indicators) helped narrow interest-rate differences. (Credit refers to ﬁxedincome instruments issued by non-government entities, such as corporates. Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s; high yield is debt rated below BBB.) Government bonds, inparticular US Treasuries, also produced positive returns, aided by a bias towards long-dated bonds. Short Australian dollar exposure was a signiﬁcant detractor as the currency rallied. (With a short position, an investor enters into an agreement to sell a currency for a predetermined price on a speciﬁed future date. The trading strategy is aimed at taking advantage of an expected fall in the value of the currency. A long position is the reverse.) Amid rising expectations of a breakdown in the renegotiation talks about the North American Free Trade Agreement (NAFTA), a sell-off in Mexican bonds

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d. BNY MELLON GLOBAL DYNAMIC BOND FUND cont’d. denominated in local currency (2026 and 2029) was also detrimental to returns. Long Mexican peso exposure was also a negative inﬂuence. Sovereign debt in the emerging markets also boosted returns, with local currency exposure in Brazil, Peru and Poland contributing positively as headline inﬂation showed signs of peaking in these markets. Bank contingentconvertible bonds (such as Lloyds and Nationwide) performed well as ﬁnancials continued to beneﬁt from an improving European growth outlook. (The likelihood of contingent convertibles or “CoCos” converting to equity is ‘contingent’ on the company’s core tier 1 capital ratio – a measure of ﬁnancial strength – being below apredetermined threshold.)

negative for government-bond markets. (A key strand ofQE has been that central banks create new money for use inthe economy.) This warrants a cautious duration stance, in the Investment Manager’s view. With the US nearing a peak in interest rates (and growth) over the next two years, and global growth broadening, other central banks may follow in raising interest rates and/or ceasing asset purchases. Thus, the Investment Manager believes further upside for the US dollar may be limited, thereby supporting the liquidity backdrop and risk assets for the time being. (A risk asset is any ﬁnancial security or instrument whose price issubject to signiﬁcant volatility.) Newton Investment Management Limited February 2018

BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND In terms of activity, the stabilisation in global bond markets early in the period prompted the Investment Manager to increase overall duration. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to achange in interest rates.) This was aided by the purchase of US Treasury 2026. Duration was cut later in the year following the rally in US Treasuries. The Investment Manager also increased the use of government derivatives to hedge bond market exposure. (Hedging is a type of protection against ﬁnancial risk.) There was a signiﬁcant increase in the Fund’s emerging market government-bond exposure. This was facilitated byemerging market ETF (exchange-traded fund) purchases denominated in hard and local currencies. Exposure to the improving European growth cycle was added with euro-denominated positions in selected names, while the Investment Manager increased US telecommunications exposure with purchases of T-Mobile 2024 and Cable & Wireless 2022. The Fund reduced exposure to Treasury Inﬂation-Protected Securities in favour of greater conventional Treasury holdings, as inﬂation expectations softened with the peaking of year-on-year effects from the rise in energy prices. The Fund took proﬁts on several of its high yield credit holdings, including Cemex 2021, Antero 2023 and Range Resources 2023. Among other activity, proﬁts were taken on some of the strategy’s European currency positions, halving the long Swedish krona position and exiting the Fund’s long Czech koruna exposure. Mexican peso exposure was reduced amid rising NAFTA risks. Central banks are gradually tempering quantitative easing (“QE”) and raising interest rates, which initially tends to be

Over the 12-month period under review, the Fund’s A share class returned 3.78%, compared with a return of 1.27% for USD 3 Month LIBOR, both in US dollar terms. The Fund generated a positive return ahead of its performance reference. The US Federal Reserve (Fed) continued with its policy of interest-rate ‘normalisation’ by raising interest rates at its December 2017 meeting, its third such move during the year. With economic growth more assured across the US and global economies, further Fed policy moves are expected during 2018 which the manager believes will provide continuing momentum for sovereign bond yields across developed economies to rise from historically lowlevels. Overall duration in the Fund stood at 1.40 years as at December 2017, a reduction of 0.55 years since the previous year end. (Duration is a measure of the sensitivity of the price of a ﬁxed income investment to a change in interest rates.) Speciﬁc country duration underweights include Germany where, for the Investment Manager, rates still appear unrealistically tight in comparison to certain other developed and emerging market government bond markets. Peripheral European government bond markets have performed well since the French presidential election in April 2017 and the Fund’s holding in Portuguese government debt was accretive to performance, with the country’s improvement in economic fundamentals recognised by two of the credit rating agencies upgrading the borrower back to investment grade in the latter half of 2017. The Fund initiated an outright short duration position to the UK in expectation of a more hawkish Bank of England response to rising inﬂation and increased Gilt supply as the country looks to fund the eventual Brexit ‘divorce bill’

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d. BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND cont’d. – the amount the UK will have to pay as part of its decision to leave the EU. (A ‘hawk’ is a policy maker who favours higher interest rates in the hope of curbing inﬂation.) The Investment Manager has a positive view on emerging markets, with allocations to both local currency and hard currency issues together reaching 30.4% by period end, an increase of over 6% since year-end 2016. Allocations to investment grade and high yield corporates helped performance as credit spread markets narrowed through the 12-month period, with exposure standing at around 27% split broadly 60:40 between investment grade and high yield as at December 2017. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s; high yield is debt rated below BBB. The spread on bonds is usually expressed as the yield difference between bonds of the same maturity but different credit quality. A spread measures how much more abusiness pays to borrow money than the government does.) The Fund reduced its exposure to securitised bonds over the period by over 9% with holdings in asset-backed securities (ABS), commercial mortgage-backed securities and collateralised mortgage obligations being pared back to 14% by December 2017 compared to the previous year. (Securitised assets are the pooling of assets, such as mortgages, into securities that are divided up and sold to investors.) ABS remains the largest allocation at 11%, principally split across auto loans and other consumer ﬁnance programmes. The Investment Manager continues to expect steady global expansion pulled along by above-trend growth in the US and China. The Investment Manager is mindful of risk and is positioned accordingly. Standish Mellon Asset Management Company, LLC* February 2018

BNY MELLON GLOBAL REAL RETURN FUND (EUR) Over the 12-month period under review, the Fund’s A share class returned 0.76%, compared with a return of 3.63% for EURIBOR 1 Month + 400bps, both in euro terms. The Fund generated a positive return but was behind the performance reference. This was a strong period for global equities in aggregate with many major indices hitting, or trading close to, alltime highs. Bond markets performed relatively less well, affected by clear signs of monetary tightening by central banks (the raising of interest rates).

The Fund’s return-seeking assets produced a positive return thanks to the equity allocation, which was sizeable portion of the Fund. The small exposure to renewable energy assets also contributed positively. The portion of the Fund in stabilising assets and hedging positions was a drag on returns. The allocation to government bonds detracted from returns as yields rose gently, among other factors. Derivative instruments also detracted from returns largely because of the cost of signiﬁcant equity protection implemented in the Fund at atime when equity markets rose steadily. Currency hedging was a positive factor largely due to the hedging ofnon-euro exposure back to the base currency of the Fund. The hedging (a type of protection against ﬁnancial risk) of US dollar exposure into the euro was especially accretive toreturns. Regarding individual stock contributions, the technology sector was the source of a considerable proportion of the positive return. Notable contributors included Accenture, Cisco Systems (a new position), Microsoft and Samsung SDI, all of which posted robust earnings and demonstrated long-term structural growth opportunities. Information services business Wolters Kluwer was also a top contributor rising in the aftermath of a robust trading statement. A large negative contribution came from Teva Pharmaceutical Industries owing to a poorer outlook for the company’s US generics business. (The Investment Managers sold the holding given concerns around the unrelenting pricing pressure.) Centrica was notably weak, selling off as the UK government announced its intention to initiate a price cap in the energy supply market. Dixons Carphone was also weak after announcing a signiﬁcant proﬁt warning. Market movements led the Investment Managers to take advantage of tactical opportunities in equities and emerging markets, resulting in an increase in the Fund’s returnseeking core. Within equities, changes included additional exposure to real estate companies LEG Immobilien and Deutsche Wohnen, which, the Investment Managers judged, are beneﬁting from a positive environment for rental increases and a shortage of housing supply in Germany. The initiation of new positions in select ﬁnancials and oil and gas holdings further increased the diversiﬁcation within the equity holdings. In the second half of 2017, the Investment Managers added new equity positions in defence company Thales and Albemarle, a US company which provides raw materials for use in the batteries of electric vehicles. The Investment Managers cut duration through the reduction in US Treasury holdings. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates) The Investment Managers also added to emerging-market debt over the period.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d. BNY MELLON GLOBAL REAL RETURN FUND (EUR) cont’d. The Fund’s gold position was tactically trimmed owing to the precious metal’s sensitivity to interest rates. The present macroeconomic environment is likely to be as good as it gets, the Investment Managers believe, with market participants overestimating the positive impact of proposed ﬁscal reform in the US and underestimating the potential for a slowdown in China. While the Investment Managers are still able to identify attractive opportunities at the security level, their view is that it is the time toemphasise caution, with a focus on capital preservation. Newton Investment Management Limited February 2018

BNY MELLON GLOBAL REAL RETURN FUND (GBP) Over the 12-month period under review, the Fund’s C share class returned 1.72%, compared with a return of 4.30% for LIBOR GBP 1 Month + 400bps, both in sterling terms. The Fund generated a positive return but was behind the performance reference. This was a strong period for global equities in aggregate with many major indices hitting, or trading close to, all-time highs. Bond markets performed relatively less well, affected by clear signs of monetary tightening by central banks (the raising of interest rates). The Fund’s return-seeking assets produced a positive return thanks to the equity allocation, which was a sizeable portion of the Fund. The small exposure to infrastructure funds and renewable energy assets also contributed positively. The portion of the Fund in stabilising assets and hedging positions was a drag on returns. The allocation to government bonds detracted from returns as yields rose gently, among other factors. Derivative instruments also detracted from returns largely because of the cost ofsigniﬁcant equity protection implemented in the Fund at atime when equity markets rose steadily. Currency hedging was a positive factor. (Hedging is a type of protection against ﬁnancial risk.) Regarding individual stock contributions, the technology sector was the source of a considerable proportion of the positive return. Notable contributors included Accenture, Cisco Systems (a new position), Microsoft and Samsung SDI, all of which posted robust earnings and demonstrated long-term structural growth opportunities. Information services business Wolters Kluwer was also a top contributor rising in the aftermath of a robust trading statement.

A large negative contribution came from Teva Pharmaceutical Industries owing to a poorer outlook for the company’s US generics business. (The Investment Managers sold the holding given concerns around the unrelenting pricing pressure.) Centrica was notably weak, selling off as the UK government announced its intention to initiate a price cap in the energy supply market. Dixons Carphone was also weak after announcing a signiﬁcant proﬁt warning. Market movements led the Investment Managers to take advantage of tactical opportunities in equities and emerging markets, resulting in an increase in the Fund’s returnseeking core. Within equities, changes included additional exposure to real estate companies LEG Immobilien and Deutsche Wohnen, which, the Investment Managers judged, are beneﬁting from a positive environment for rental increases and a shortage of housing supply in Germany. The initiation of new positions in select ﬁnancials and oil and gas holdings further increased the diversiﬁcation within the equity holdings. In the second half of 2017, the Investment Managers added new equity positions in defence company Thales and Albemarle, a US company which provides raw materials for use in the batteries of electric vehicles. The Investment Managers cut duration through the reduction in US Treasury holdings. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates) The Investment Managers also added to emerging-market debt over the period. The Fund’s gold position was tactically trimmed owing tothe precious metal’s sensitivity to interest rates. The present macroeconomic environment is likely to be as good as it gets, the Investment Managers believe, with market participants overestimating the positive impact of proposed ﬁscal reform in the US and underestimating the potential for a slowdown in China. While the Investment Managers are still able to identify attractive opportunities at the security level, their view is that it is the time toemphasise caution, with a focus on capital preservation. Newton Investment Management Limited February 2018

BNY MELLON GLOBAL REAL RETURN FUND (USD) Over the 12-month period under review, the Fund’s A share class returned 2.87%, compared with a return of 5.12% for LIBOR USD 1 Month + 400bps, both in US dollar terms. The Fund generated a positive return but was behind the performance reference. This was a strong period for global equities in aggregate with many major indices hitting, or trading close to,

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d. BNY MELLON GLOBAL REAL RETURN FUND (USD) cont’d. all-time highs. Bond markets performed relatively less well, affected by clear signs of monetary tightening by central banks (the raising of interest rates). The Fund’s return-seeking assets produced a positive return thanks to the equity allocation, which was a sizeable portion of the Fund. The small exposure to infrastructure funds and renewable energy assets also contributed positively. The portion of the Fund in stabilising assets and hedging positions was a drag on returns. While the allocation to government bonds was accretive to returns, derivative instruments detracted from returns largely because of the cost of signiﬁcant equity protection implemented in the Fund at a time when equity markets rose steadily. Currency hedging was also a negative factor. (Hedging is a type of protection against ﬁnancial risk.)

of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates) The Investment Managers also added to emerging-market debt over the period. The Fund’s gold position was tactically trimmed owing to the precious metal’s sensitivity to interest rates. The present macroeconomic environment is likely to be as good as it gets, the Investment Managers believe, with market participants overestimating the positive impact of proposed ﬁscal reform in the US and underestimating the potential for a slowdown in China. While the Investment Managers are still able to identify attractive opportunities at the security level, their view is that it is the time to emphasise caution, with a focus on capital preservation. Newton Investment Management Limited February 2018

BNY MELLON TARGETED RETURN BOND FUND Regarding individual stock contributions, the technology sector was the source of a considerable proportion of the positive return. Notable contributors included Accenture, Cisco Systems (a new position), Microsoft and Samsung SDI, all of which posted robust earnings and demonstrated long-term structural growth opportunities. Information services business Wolters Kluwer was also a top contributor rising in the aftermath of a robust trading statement. A large negative contribution came from Teva Pharmaceutical Industries owing to a poorer outlook for the company’s US generics business. (The Investment Managers sold the holding given concerns around the unrelenting pricing pressure.) Centrica was notably weak, selling off as the UK government announced its intention to initiate a price cap in the energy supply market. Dixons Carphone was also weak after announcing a signiﬁcant proﬁt warning. Market movements led the Investment Managers to take advantage of tactical opportunities in equities and emerging markets, resulting in an increase in the Fund’s returnseeking core. Within equities, changes included additional exposure to real estate companies LEG Immobilien and Deutsche Wohnen, which, the Investment Managers judged, are beneﬁting from a positive environment for rental increases and a shortage of housing supply in Germany. The initiation of new positions in select ﬁnancials and oil and gas holdings further increased the diversiﬁcation within the equity holdings. In the second half of 2017, the Investment Managers added new equity positions in defence company Thales and Albemarle, a US company which provides raw materials for use in the batteries of electric vehicles. The Investment Managers cut duration through the reduction in US Treasury holdings. (Duration is a measure

Over the 12-month period under review, the Fund’s A share class returned 3.10%, compared with a return of 5.70% for Lipper Global - Bond Global sector, both in USdollar terms. The Fund generated a positive return but was behind the sector average. The US Federal Reserve (Fed) continued with its policy of interest-rate ‘normalisation’ by raising interest rates atits December 2017 meeting, its third such move during the year. With economic growth more assured across the US and global economies, further Fed policy moves are expected during 2018 which the Investment Manager believes will provide continuing momentum for sovereign bond yields across developed economies to rise from historically low levels. Overall duration in the Fund stood at 1.40 years as at the end of December 2017, a reduction of 0.57 years since the previous year end. (Duration is a measure of the sensitivity of the price of a ﬁxed income investment to a change in interest rates.) Speciﬁc country duration underweights include Germany where, for the Investment Manager, rates still appear unrealistically tight in comparison to certain other developed and emerging market government bondmarkets. Peripheral European government bond markets have performed well since the French presidential election in April 2017 and the Fund’s holding in Portuguese government debt was accretive to performance, with the country’s improvement in economic fundamentals recognised by two of the credit rating agencies upgrading the borrower back to investment grade in the latter half ofthe year.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

ABSOLUTE RETURN & TOTAL RETURN cont’d.

GLOBAL EQUITY

BNY MELLON TARGETED RETURN BOND FUND cont’d.

BNY MELLON GLOBAL EQUITY FUND

The Fund initiated an outright short duration position tothe UK in expectation of a more hawkish response from the Bank of England to rising inﬂation and increased Gilt supply as the country looks to fund the eventual Brexit ‘divorce bill’ – the amount the UK will have to pay as part of its decision to leave the EU. (A ‘hawk’ is a policy maker who favours higher interest rates in the hope of curbing inﬂation.)

Over the 12-month period under review, the Fund’s A share class returned 18.59%, compared with a return of 23.97% for the MSCI All-Country World Index NR and 22.54% for the Lipper Global - Equity Global sector, all in US dollar terms.

The Investment Manager has a positive view on emerging markets, with allocations to both local currency and hard currency issues together reaching 28.7% by period end, anincrease of over 7% since year-end 2016. Allocations to investment grade and high yield corporates helped performance as credit spread markets narrowed through the 12-month period, with exposure standing at around 26% split broadly 70:30 between investment grade and high yield as at December 2017. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s; high yield is debt rated below BBB. The spread on bonds is usually expressed as the yield difference between bonds of the same maturity but different credit quality. A spread measures how much more a business pays to borrow money than the government does.) The Fund reduced its exposure to securitised bonds over the period by around 1.5% with holdings in asset-backed securities (ABS), commercial mortgage-backed securities and collateralised mortgage obligations being pared back to 16.2% by year-end 2017 compared to the previous year. (Securitised assets are the pooling of assets, such asmortgages, into securities that are divided up and sold to investors.) ABS remains the largest allocation at 13.1%, principally split across auto loans and other consumer ﬁnance programmes. The Investment Manager continues to expect steady global expansion pulled along by above-trend growth in the US and China. The Investment Manager is mindful of risk and is positioned accordingly. Standish Mellon Asset Management Company, LLC* February 2018

The Fund generated a positive return but was behind both the comparative index and sector average. This was a strong period for global equities in aggregate, with many major indices hitting, or trading close to, all-time highs. While sector selection was a positive factor, stock selection detracted from overall returns. Stock selection was weak in healthcare, consumer discretionary (non-essential goods and services) and information technology. Regarding single stock attribution, Teva Pharmaceutical Industries was a primary source of underperformance as the share price fell sharply, with the company reporting weak results reﬂecting pricing pressure in the US generics market. Discovery Communications’ share price reacted badly to news of the acquisition of Scripps Networks. Diversiﬁed consumer products group Newell Brands was another key detractor as a range of external events and the online threat to its business contributed to a more challenging operating environment for the company. TripAdvisor also detracted from performance over the period as it posted earnings and revenue results that missed estimates. (The positions in the named detractors were subsequently sold.) Orthodontics manufacturer Align Technology was the top performing stock in the Fund after it reported a strong set of results, with earnings and revenue coming in well ahead of expectations. Microsoft also bolstered returns on impressive results for the ﬁrst quarter of the ﬁscal year. Shares in insurer AIA Group also received a boost when China announced it was opening up its ﬁnancial sector to foreign companies. Shares in Inﬁneon Technologies rose as investors acknowledged its increasingly strong end markets. In terms of activity, one of the key additions to the Fund was Indiabulls Housing Finance. The company’s structural growth story was given additional support by the government’s announcement of an expansion of its affordable housing scheme. The Investment Manager bought shares in Amazon, attracted by the strong growth potential across three main divisions: Prime, Marketplace and Amazon Web Services. The total addressable market is signiﬁcant, while competition appears fragmented and

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL EQUITY cont’d. BNY MELLON GLOBAL EQUITY FUND cont’d. relatively vulnerable. A position in Deutsche Post, a global leader in the logistics industry, was added as the company beneﬁts from the strength of e-commerce trends and boasts world leading businesses, in the Investment Manager’s opinion. Costco Wholesale was another major addition due to its robust business model, resilient membership base and strong trafﬁc growth. The Fund’s holding in Walt Disney was sold as, in the Investment Manager’s opinion, the company faces uncertainties around new disruptive channels and technology. The thrust of monetary policy is now changing, with the US and UK central banks trying to raise interest rates gradually and their European counterpart scaling back its bondbuying programme. These changes could be signiﬁcant, and with a reduction in liquidity likely, conditions for risk assets may become more challenging. (Risk assets are any ﬁnancial security or instrument whose price is subject to signiﬁcant volatility.) In a world of aggressive monetary policy and distorted economies and ﬁnancial markets, it can be easy to lose perspective. Against the current backdrop, it is as important as ever, in the Investment Manager’s opinion, to remain focused on productive allocation of capital and on the true drivers of long-term investment opportunity and risk. Newton Investment Management Limited February 2018

BNY MELLON GLOBAL EQUITY INCOME FUND Over the 12-month period under review, the Fund’s A share class returned 16.22%, compared with a return of 24.09% for the FTSE World Index TR and 18.67% for the Lipper Global - Equity Global Income sector, all in US dollar terms. The Fund generated a positive return but was behind both the comparative index and sector average. Stock selection was detrimental for performance, with the choice in healthcare notably weak. The Fund’s natural bias towards more stable companies over economically sensitive stocks – the category that led the market – negatively affected returns. At the stock-speciﬁc level, the share price of UK utility company Centrica fell sharply following a weak trading update that included an earnings downgrade for the ﬁscal year, amid fears of government intervention in utility pricing. Toy maker Mattel was a negative contributor, after reporting a decline in sales and earnings that resulted in a dividend cut. A key stock detractor over the period was money-transfer business Western Union. The company

had to settle anti-money laundering and consumer fraud charges relating to compliance failures and this hurt the share price. In healthcare, pharmaceutical companies Gilead Sciences (a new position) and Glaxo SmithKline were detractors from performance. The top positive contributor was luxury retail stock Ralph Lauren (a new holding), which was strong after reporting earnings that exceeded analyst estimates. Alcoholic beverages company Diageo also performed well after reporting strong results. The Fund’s larger holdings intechnology, such as Microsoft and Cisco Systems, were strong contributors. (The Fund is unable to hold many of the US mega-capitalisation technology stocks that performed well as they do not meet its yield criteria.) Positive performers over the quarter included consumer goods group Unilever. The rejected takeover approach from Kraft Heinz earlier in the year gave renewed impetus to management and the company made good progress onmargin improvement. In terms of activity, Indian business technology services company Infosys was another addition as the Investment Manager likes the refocus of the business on driving growth through improved efﬁciency and investing in new offerings. The position in SSE was sold as the company is facing challenges in delivering growth to sustain its dividend. The holding in casino operator Las Vegas Sands was sold as the Macau gaming market improvement is now reﬂected in the stock’s valuation in the Investment Manager’s opinion. Elsewhere, partial sales of fast-food retailer McDonald’s, pharmaceutical companies Merck and Glaxo SmithKline were made. With a reduction in liquidity likely, conditions for risk assets (ﬁnancial securities or instruments whose price is subject to signiﬁcant volatility) may become more challenging. The Fund’s defensive positioning may mean that it lags behind during periods when markets are rising. However, the Investment Manager believes that the discipline implied by the Fund’s yield criteria, and the continued focus onharnessing the cumulative power of compounding, should stand the Fund in good stead to navigate the periods ofvolatility that potentially lie ahead. Newton Investment Management Limited February 2018

BNY MELLON GLOBAL LEADERS FUND Over the 12-month period under review, the Fund’s A share class returned 22.58%, compared with a return of 22.21% for the MSCI World Large Cap Index NR and 22.54% for the Lipper Global - Equity Global sector, all in US dollar terms.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL EQUITY cont’d. BNY MELLON GLOBAL LEADERS FUND cont’d. The Fund generated a positive return ahead of the comparative index and sector average. This was a positive year for global equities with the longterm bull market extending further on the back of the synchronised global economic recovery, better-thanexpected average corporate earnings growth and still relatively loose monetary policy. At a sector level, technology holdings were the largest contributors to absolute performance; Keyence was the strongest performer in the Fund. Industrial companies were the other absolute contributors of note, with Fanuc the Fund’s best performer from the sector. Healthcare stocks, such as CSL and Novo Nordisk, and the ﬁnancials holding AIA Group, led their respective indices and were the greatest relative contributors. Energy companies lagged their sector index and were the main relative detractors, with Schlumberger the weakest stock in the Fund. From a regional perspective, Japanese and Paciﬁc-ex Japan stocks were conspicuous absolute and relative contributors, with the aforementioned Keyence and CSL performing particularly well. The Fund’s US stocks, primarily due to the aforementioned Schlumberger, lagged their index and were the only relative detractors of note. No new holdings were bought during the period. The holdings in Suncor Energy, Automatic Data Processing and Celgene were sold. There are clear signs that growth rates at both the country and company level are improving – most notably, of late, in Europe. Should there be continued growth over the short term, markets may continue their march upwards over 2018.

The Fund generated a positive return but underperformed its comparative index and sector average. This was a strong period for global equities in aggregate, with many major indices hitting, or trading close to, all-time highs. Overall, stock selection was detrimental to performance, especially in consumer discretionary (non-essential goods and services) and healthcare. In particular, Teva Pharmaceutical Industries was a drag on returns as the share price fell sharply, with the company reporting weak results reﬂecting pricing pressure in the US generics market. Newell Brands was also a key detractor as a range of external events and the online threat to its business contributed to a more challenging operating environment for the company. Discovery Communications’ share price reacted badly to news of the acquisition ofScripps Networks. Market participants reacted positively to a strong set of second-quarter results from Vivendi, which comfortably beat consensus estimates for earnings and revenue. Its Universal Music Group division, the largest music business in the world, exhibited a strong return to growth thanks to music streaming, among other factors. The holding in publisher RELX made a solid contribution as positive trends in professional publishing look set to continue. Alcoholic beverages company Diageo also performed well after reporting strong results.

BNY MELLON GLOBAL OPPORTUNITIES FUND

In terms of activity, the holding in cigarette manufacturer Altria was purchased. The share price had retreated following the announcement by US Food and Drug Administration that it would seek input on the potential public health beneﬁts and any possible adverse effects of lowering nicotine incigarettes. Nonetheless, the Investment Manager believes the business looks set to produce consistently solid proﬁt growth over time. A position in Intact Financial, a Canadian insurer, was initiated. The business has been consistently well managed and the Investment Manager believes pricing should improve following a period of elevated insurance claims resulting from a number of natural disasters. Pharmaceutical company Roche was re-introduced to the portfolio. In the Investment Manager’s view, it boasts one of the best research and development operations of any large pharmaceutical company.

Over the 12-month period under review, the Fund’s A share class returned 15.40%, compared with a return of 23.97% for the MSCI All-Country World Index NR and 22.54% for the Lipper Global - Equity Global sector, all in US dollar terms.

The Fund sold the holding in Walt Disney as the Investment Manager concluded that the company faces uncertainties around new disruptive channels and technology. The

However, the Investment Manager’s experience would suggest that something must give eventually and investors’ current apparent disregard for negative news ﬂow should sound a note of caution. The rising tide that has lifted all ships is most likely to retreat at some stage and it is then that the virtue of stock selection will come to the fore. Walter Scott & Partners Limited February 2018

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL EQUITY cont’d. BNY MELLON GLOBAL OPPORTUNITIES FUND cont’d. remaining holdings of British American Tobacco, pharmacy beneﬁt manager Express Scripts and US industrial business Emerson Electric were also sold, among others. The thrust of monetary policy is now changing, with the US and UK central banks trying to raise interest rates gradually and their European counterpart scaling back its bondbuying programme. These changes could be signiﬁcant: with a reduction in liquidity quite likely, the conditions for risk assets may become more challenging. (Risk assets are any ﬁnancial security or instrument whose price is subject to signiﬁcant volatility). In a world of aggressive monetary policy and distorted economies and ﬁnancial markets, it can be easy to lose perspective. Against the current backdrop, it is as important as ever to remain focused onproductive allocation of capital and on the true drivers oflong-term investment opportunity and risk. Newton Investment Management Limited February 2018

From a regional perspective, Japanese and Paciﬁc-ex Japan stocks were noteworthy absolute and relative contributors, with the aforementioned Keyence and CSL performing particularly well. The Fund’s Europe ex-UK stocks lagged their regional index and were the largest relative detractors. New holdings in SAP, Alimentation Couche-Tard, KONE and Edwards Lifesciences were added to the Fund during the period. The holdings in Suncor Energy, Komatsu, Syngenta and WW Grainger were sold. There are clear signs that growth rates at both the country and company level are improving – most notably, of late, inEurope. Should there be continued growth over the short term, markets may continue their march upwards over 2018. However, the Investment Manager’s experience would suggest that something must give eventually and investors’ current apparent disregard for negative news ﬂow should sound a note of caution. The rising tide which has lifted all ships is most likely to retreat at some stage and it is then that the virtue of stock selection will come to the fore.

BNY MELLON LONG-TERM GLOBAL EQUITY FUND Over the 12-month period review, the Fund’s A share class returned 7.55%, compared with a return of 7.51% for the MSCI World Index NR and 7.63% for the Lipper Global Equity Global sector, all in euro terms.

Walter Scott & Partners Limited February 2018

The Fund generated a positive return ahead of the comparative index but behind the sector average. This was a positive year for global equities with the longterm bull market extending further on the back of the synchronised global economic recovery, better-thanexpected average corporate earnings growth and still relatively loose monetary policy. At a sector level, healthcare stocks provided strong absolute and relative performance, with Intuitive Surgical, CSL and Novo Nordisk among the top individual stock contributors in the Fund. Technology holdings made the largest contribution to absolute return, with Adobe Systems and Keyence the best performers within their sector. Greater than index exposure to this strongly performing sector was also a signiﬁcant relative contributor. The Fund’s consumer discretionary (non-essential goods and services) companies were notable detractors from relative performance; Hennes & Mauritz, Inditex and The Walt Disney Company were among the greatest individual stock detractors.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY BNY MELLON ASIA RISING STARS FUND The Fund was launched on 10 January 2017. Over the review period since its inception, the Fund’s A share class returned 31.99%, compared to 29.70% for the MSCI All Country Asia Small Cap TR and 26.93% for the Lipper Global Equity Asia Paciﬁc Small & Mid Cap over the same period, all in USdollar terms. The Fund generated a positive return ahead of the comparative index and sector average. The Fund held 106 stocks in the Asian Equity ex-Japan portion and 30 stocks in Japan Small Cap portion as at the end of the period. While the Asia ex Japan portion of the Fund had a strong 2017, the Fund underperformed the MSCI AC Asia exJapan Small Cap Index, mainly because of a sharp and widespread rally in small-cap stocks in December. The Fund’s positions in Indian and Singapore industrials, Indian consumer discretionary (non-essential goods and services), Philippines ﬁnancials and Taiwan technology were the key contributors to performance. The positions in the media sector in Korea and the Philippines were the key detractors to performance. From a country perspective, India, Hong Kong/China and Singapore were the key contributors toperformance. The Fund’s key country exposures are Hong Kong/ China, India and Indonesia. Some of the key stock themes in the portfolio and the corresponding drivers were: telecommunications stocks in China, Korea and Indonesia, which had strong growth in data and animproving competitive environment; mid-cap ﬁnancial and property stocks in Indonesia, where there has been a pick-up in the economy due togovernment reforms and bottoming out of commodities; clean energy (wind energy and gas distribution) stocks inChina, where there is a strong government push to clean up the environment; Internet stocks in China and Korea where strong earnings momentum looks to the manager set to continue; and healthcare stocks in India and South EastAsia. Regarding the Japan Small Cap portion, at the stock level, the main contributors to performance included Open Door, TechMatrix and ItoKuro. The main negative contributors to performance were Osaki Electric, V-cube and Dowa Holdings. At the sector level, the main positive contributors to performance were information and communication, services where the Fund had an overweight position, and banks where the Fund was underweight. The main detractors were non-ferrous metals and chemicals where

the Fund was overweight and retail trade where the Fund was underweight. New purchases included Anritsu, RS Technologies and Atrae. The Investment Manager sold out of CyberAgent, PERSOL HOLDINGS and Leopalace21. The Investment Manager continues to remain positive on the outlook for small- and mid-cap stocks in Asia. The Asia region is beneﬁting from robust growth rates incountries across the region. Valuations remain attractive and the Investment Manager believes investors, both domestic and foreign, are underinvested in Asia ex-Japan equities. The earnings outlook for Japanese companies remains positive, supported by the continued recovery of the domestic economy as well as the strength of the global economy. The Investment Manager believes the midto longer term prospects for the Japanese equity market remain attractive as the domestic economy moves towards a period of expansion. The market has had a good recovery over the past 12 months but still lags the recovery in earnings since the ﬁnancial crisis. While Japan will beaffected by global developments or events, the country has a large domestic base and can weather such turbulence much better than most economies. BNY Mellon Asset Management Japan Limited February 2018

BNY MELLON ASIAN EQUITY FUND Over the 12-month period under review, the Fund’s A share class returned 39.67%, compared with a return of 37.32% for the MSCI All-Country Asia Paciﬁc ex Japan Index TR and 35.96% for the Lipper Global - Equity Asia Paciﬁc Ex Japan sector, all in US dollar terms. The Fund generated a positive return ahead of the comparative index and sector average. Both stock selection and, in particular, sector selection were positive factors. The overweight exposure to information technology was a very positive inﬂuence as was stock selection in that sector. The underweight positions in industrials and ﬁnancials also contributed positively. However, stock selection in healthcare hurt performance. Vakrangee, an Indian retail point-of-sale distribution business for real-time banking and e-commerce, was the strongest stock contributor over the period following encouraging results, evidence of strong generation ofcash ﬂow and increasing broker coverage. The holding inSouth Korean lithium-battery manufacturer Samsung SDI was

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON ASIAN EQUITY FUND cont’d. also accretive to returns due to growing and expected demand from the production of electric vehicles. Other Indian holdings Maruti Suzuki (cars) and Indiabulls Housing Finance were strong contributors to returns. Chinese technology companies Alibaba and Tencent also performed well for the Fund. The worst performing stock over the period was Domino’s Pizza Enterprises, which suffered from a market perception of being an expensive stock. The holding in leading Chinese blood plasma company, China Biologic Products, was negative for performance as some production was suspended in preparation for a new facility and this affected revenue. Two Philippine companies, branded snack food producer Universal Robina and power generator First Gen, were also among signiﬁcant detractors over the period. In terms of activity, a new position was made in India’s thirdlargest asset management company, Reliance Nippon Life, with the company well placed to beneﬁt from the Indian government’s initiatives to mobilise savings traditionally stored in gold and property. Further supporting the Investment Manager’s belief in the bright future for electric vehicles, positions in lithium ion battery manufacturer Samsung SDI and auto sales and service company China Harmony were increased. Among major sales was Universal Robina as the shares recovered sharply and had become expensive in the Investment Manager’s opinion. Telecommunications company Spark New Zealand was also sold on valuation grounds. The Investment Manager believes Asian markets will be supported by the stabilisation in global growth and resilience in China. However, China has a difﬁcult task in balancing the reduction of debt and maintaining growth. The Investment Manager also believes selective Asian companies are poised to gain strongly from the revolution in electric vehicles. Newton Investment Management Limited February 2018

Master Fund Both country allocation, particularly the limited exposure to China, and stock selection were negative inﬂuences on performance. The Fund’s underweighting of commodity sectors was detrimental, with mining stocks rising on the back of higher industrial metal prices. Underperformance relative to the comparative index also came from the telecommunications sector as the rally in more economically sensitive parts of the market intensiﬁed. Telstra and Spark New Zealand were the main detractors here. Australia’s Telstra had announced that it would cut its dividend payout ratio in 2018 leading to asharp fall in the share price. Another signiﬁcant negative inﬂuence came from the lack of exposure to large-cap technology companies, such as Tencent and Samsung Electronics; these two companies, which did not generate sufﬁcient yield to be held by the Fund, enjoyed continued upward momentum. Indiabulls Housing Finance was a strong contributor toreturns as its structural growth story was given additional support by the Indian government’s announcement ofanexpansion of its affordable housing scheme. Link Real Estate Investment Trust (REIT) was a positive contributor over the period after announcing a strategic review and disposing of some properties at very favourable prices. Proceeds will be used to generate shareholder returns. Other positive contributors to performance included Singaporean electronics manufacturing company Venture Corporation (a new position), which achieved record-high revenues with growth across all business areas. In terms of activity, a new position in Quanta Computer, aTaiwan-based manufacturer of notebook computers and other electronic hardware, was established. A position in Telekom Indonesia was also initiated. Singapore Technologies Engineering was added; the company offers attractive exposure to Asian infrastructure and defence, as well as aero-engine maintenance. A new position inChina Harmony, which is engaged in the sale of luxury motor vehicles, was established, on the back of the positive business cycle in China.

Over the 12-month period under review, the Fund’s W share class returned 11.40%, compared with a return of 23.37% from the FTSE All-World Asia Paciﬁc ex Japan Index TR and 24.19% for the Lipper Global - Equity Asia Paciﬁc ex Japan sector average, all in sterling terms.

The Fund’s Australian exposure was reduced with the sale of wealth manager AMP. Reductions to Singapore Telecommunications were made as well as to Taiwanese technology companies TSMC, Pegatron and Catcher Technology. Singapore-listed real-estate investment trust Mapletree Commercial Trust was also sold on longer term supply concerns.

The Fund generated a positive return but was behind the comparative index and sector average.

The Investment Manager believes population dynamics, innovation and reform-minded governments should

BNY MELLON ASIAN INCOME FUND

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON ASIAN INCOME FUND cont’d. underpin the growth outlook in Asia for many years to come. While the strategy does not outperform in every market environment, the Investment Manager believes by adhering to the Fund’s yield criteria and investment process, a more reliable, long-term outcome can be achieved through abalanced blend of income generation and growth. Newton Investment Management Limited February 2018

BNY MELLON BRAZIL EQUITY FUND Over the 12-month period under review, the Fund’s A share class returned 18.18%, compared with a return of 23.06% for the MSCI Brazil 10/40 Index NR and 23.72% for the Lipper Global - Equity Brazil sector, all in USdollar terms. The Fund generated a positive return but underperformed its comparative index and sector average.

postponement of the privatisation process of the company was negative for the stock. During the year, the Investment Manager added Vale, Carrefour Brasil and BR Distribuidora to the portfolio. In order to fund these, the Investment Manager reduced some exposures in the portfolio and to the banking sector, and cut the position in the paper producer Klabin. Looking ahead, the presidential election in October should start to weigh on local assets, in the Investment Manager’s view, with a wide range of possible outcomes expected both on the positive and negative side. Moreover, the local recession has ended and companies’ revenues are starting to beneﬁt from the increase in activity. ARX Investimentos Ltda February 2018

BNY MELLON DYNAMIC U.S. EQUITY FUND At the industry level, the large exposure in steel, the stock selection among the food processors sector and the absence of exposure in defensive ﬁnancial services were the main positive contributors of the Fund. The negative relative performance came mainly from the large exposure to utilities, the avoidance of healthcare stocks and the minor exposure in pulp and paper. The Fund beneﬁted from the exposure to B2W Digital, Usiminas and Vale at the stock level. In early 2017, B2W decided to advance quickly its transition to a business model similar to Amazon’s strategy in the US. Usiminas’ stocks soared as the turnaround of the company was executed successfully, cutting costs and some spare capacity. The company also beneﬁted from the large increase in steel prices internationally and the local volumes picking up. Vale’s board appointed a new CEO well regarded by the market. The mining company also had two large positive drivers, higher iron ore prices and the increase in the gap between prices from high and low grade iron ore. The negative highlights at the stock level were Copel, Cesp and Energias do Brasil from the utilities sector. There were two negative drivers for the sector. Firstly, the Generation Scaling Factor – the difference between the contracted level and the actual level of energy produced by the hydroelectric generation companies– was more negative than expected because of a longer dry period in the year. Secondly, the disclosure of the regulatory weighted average cost of capital (WACC) for 2018-2020 for the distribution companies, which came under estimates, also harmed the sector as whole. (WACC is the calculation of a ﬁrm’s cost of capital in which each category of capital is weighted proportionately.) Regarding the speciﬁcs of Cesp, the

The Fund was launched on 3 November 2017. Over the review period since its inception, the Fund’s A share class returned 4.43%, compared with a return of3.57% for the S&P 500 Index NR, both in USdollar terms. The Fund held a leveraged US equity position (high level of borrowing) as the Investment Manager believed that stocks were attractive relative to US bonds and cash according toproprietary valuation methodology. US equity gains were driven by positive sentiment helped by the constructive macroeconomic outlook, benign inﬂation and buoyant earnings. Returns late in 2017 were also boosted by a tax reform bill passed by Republicans inCongress that includes a reduction in the corporate tax rate from 35% to 21%. The cut is expected to boost the earnings for a broad array of companies. The Fund also held a modest allocation to US Treasury bonds, which the Investment Manager found attractive for the purposes of mitigating risk. Long US Treasury bonds rose 2.8% during the ﬁnal two months of the year, adding moderate return to the Fund. The Investment Manager’s valuation methodology indicates that US stocks remain attractive relative to US bonds and cash and accordingly the extended US equity position is maintained. The Fund holds a modest allocation to US Treasury bonds, which the Investment Manager considers attractive for risk mitigation purposes. Mellon Capital Management Corporation* February 2018

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON GLOBAL EMERGING MARKETS FUND Over the 12-month period under review, the Fund’s A share class returned 45.97%, compared with a return of 37.28% for the MSCI Emerging Markets Index NR and 35.11% for the Lipper Global - Equity Global Emerging Markets sector, all in US dollar terms. The Fund generated a strong return ahead of the comparative index and sector average. Stock selection was especially strong in consumer discretionary (non-essential goods and services), information technology and materials. The largest holding, Indian software and retail service company, Vakrangee, performed remarkably well on the back of very strong results, improved generation of cash ﬂow and a strengthening balance sheet. Another key contributor was Sociedad Química y Minera (SQM) in Chile, as a booming lithium market drove good operational performance and strong cash ﬂows. SQM has considerable lithium reserves which have the potential to propel signiﬁcant growth in cash ﬂows as electric car adoption accelerates. Indiabulls Housing Finance was another strong Indian stock performer. The company’s structural growth story was given additional support by the government’s announcement ofan expansion of its affordable housing scheme. Among the performance detractors, China Biologic, a blood plasma business, suffered weaker market conditions, with the ramp-up of a new plant having impeded near-term proﬁts. The strong performance of Samsung Electronics (a new holding), in which the Fund had a position below that of the comparative index, also negatively affected the Fund’s relative performance. Mexican microﬁnance lender Gentera had poor results and faces an increasingly competitive landscape, beyond the Investment Manager’s initial assumptions and has since been reduced in position. In terms of activity, a new position in HollySys Automation Technologies was added over the period. As one ofChina’s top automation companies, HollySys is exposed to the country’s huge industrial and rail markets, offering room for growth as automation increases in China, in the Investment Manager’s opinion. The market was over-discounting ashort-term dip in rail signal orders, providing anexcellent buying opportunity. Another new addition was China Harmony, the luxury car dealership and aftersales service provider, which the Investment Manager expects tobedriven by its high margin after-market servicing and parts business as the Chinese car ﬂeet matures, a factor not reﬂected in very low valuation multiples.

A softening macroeconomic outlook for China, along with strong share-price performance and higher valuations, led the Investment Manager to sell the remaining holdings in luxury retailer Richemont and Macau casino operator Sands China, judging there were better opportunities elsewhere and with the aim of gradually reducing Chinese cyclical exposure. The holding in South African private hospital operator Life Healthcare and Chinese technology hardware company Lenovo were also sold owing to the Investment Manager’s lower conviction in their respective investment cases. The global economy has continued to recover and China has slowed less than the Investment Manager had anticipated to date. The Chinese authorities seem increasingly aware of the risks present in their banking system and shadow ﬁnance sector and continue to ramp up regulatory focus. Emerging market equities still seem relatively cheap, comparing different measures across the business cycle, relative to most asset classes. The Investment Manager believes there are many attractive growth opportunities available across emerging markets currently, such as the Indian consumer, the electric-vehicle supply chain and within healthcare. Newton Investment Management Limited February 2018

BNY MELLON GLOBAL PROPERTY SECURITIES FUND The Fund was closed on 30 August 2017. Over the review period until closure, the Fund’s A share class returned -5.55%, compared with a return of -5.41% for the FTSE EPRA/ NAREIT Developed Index TR and -4.16% for the Lipper Global - Equity Sector Real Estate Global sector average, all in euro terms. The Fund generated a negative return behind the comparative index and sector average. Global real estate securities markets experienced strong returns in Singapore and Hong Kong, as the underlying trends for residential, retail and ofﬁce rent stabilised amid improved economic growth out of China. However, Japan, the US and Australia produced negative returns. The USFederal Reserve raised interest rates in March and June, although the yield on the 10-year US Treasury fell from 2.45% at the end of 2016 to 2.12% at the end of August. In the US, real estate stocks experienced strong merger and acquisition activity, which, the Investment Manager believed, was reﬂective of the value seen in the stocks and illustrated

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON GLOBAL PROPERTY SECURITIES FUND cont’d. the disconnect between private and public real estate markets. There was large performance divergence across USsectors in the period, with the retail sector experiencing a strong sell-off. In the UK, risks ofaslowdown ineconomic growth and a potential recession increased as consumer conﬁdence dropped. As a result, the Investment Manager increased the Fund’s defensiveness by adding tohealthcare exposure and reducing exposure tothe ofﬁce segment. Meanwhile in Europe, markets outperformed amid the political clarity following elections in the ﬁrst half of2017. In France, President Emmanuel Macron cemented his presidential win with a strong majority in the French parliamentary elections. This further removed uncertainty in France and led the Investment Manager to increase the Fund’s weight in Europe as a whole to broadly neutral. Within Europe, the Fund favoured Spanish exposure as well as German residential. Stock selection within the US, Australia and Europe were strongest contributors from a relative performance perspective. In Australia, the Fund’s underweight to the vast majority of retail REITs (real estate investment trusts) continued to beneﬁt performance as concerns surrounding the structural outlook for Australian retail were ampliﬁed by increasing cyclical headwinds in the form of low wage growth and rising energy prices. The underweight to Singapore underperformed. In Japan, the Fund continued to maintain an overweight to developers, which outperformed, and anunderweight to Japanese REITs. CenterSquare Investment Management, Inc. February 2018

BNY MELLON GLOBAL UNCONSTRAINED FUND The Fund was launched on 6 December 2017. The Investment Manager can invest anywhere in the world, following a broad multi-asset portfolio approach including equities (company shares) and similar investments, bonds and similar debt investments and cash. Bonds, issued by governments and companies, can have high and low credit ratings. These can be investment grade, which debt rated BBB and above by the credit rating agency Standard & Poor’s, or high yield, which is debt rated below BBB. The Fund may also invest more than 40% in emerging market countries including Russia. However, investment insecurities listed or traded in Russia is limited to no more than 20%. Newton Investment Management Limited February 2018

BNY MELLON JAPAN ALL CAP EQUITY FUND Over the 12-month period under review, the Fund’s C share class returned 22.60%, compared with a return of 22.23% for the Tokyo Stock Price Index (TOPIX) TR and 25.08% for the Lipper Global Equity Japan average, all in Japanese yen terms. The Fund generated a positive return ahead of the comparative index but behind the sector average. Both stock selection and sector selection contributed positively to the Fund’s performance. Major contributors to performance at the stock level, included Disco, the global leader of abrasive and precision industrial machinery to cut and grind for semiconductor and electronics industries; Nidec, the world’s largest precision motor maker; and Pola Orbis Holdings, the leading manufacturer and marketer of cosmetics under brand names including POLA and ORBIS. Main detractors included SUBARU, a major automobile manufacturer of passenger cars whose car models include Subaru, Forester and Impreza; Osaki Electric, which supplies smart meters to utility companies; and Park24, one of the largest global operators of parking lots. At the sector level, positive contributors to performance were services, information and communication and machinery where the fund was overweight. Main detractors include transportation equipment, wholesale trade and nonferrous metals where the Fund was underweight. New purchases during the review period included SMC, the world’s largest manufacturer of pneumatic control systems; Anritsu, a global leader of test and measurement instruments for mobile telecommunication markets; and IRISO Electronics, which produces connectors for automobiles and consumer electronics goods. All positions of the following stocks were sold: Ryohin Keikaku, a global speciality retailer of apparel, household goods and foods under the MUJI brand; Japan Tobacco, a global tobacco company operating in over 120 countries; and East Japan Railway Company, the largest railway company in Japan. The Investment Manager’s stock decisions are based onacompany’s growth prospects, its potential for a longterm earnings surprise and valuation. In the Investment Manager’s view, the earnings outlook for Japanese companies remains positive, supported by the continued recovery of the domestic economy as well as the strength of the global economy. The Investment Manager believes that the mid- to longer term prospects for the Japanese equity market remain

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON JAPAN ALL CAP EQUITY FUND cont’d. attractive as the domestic economy is at a rare transitional phase, moving from a period of contraction to one ofexpansion. The market has had a good recovery over the past 12 months but over a longer time horizon still lags the recovery in earnings since the ﬁnancial crisis. International investors continue to be underweight. Japan will be affected by global developments or events but the country has a large domestic base and can weather such turbulence much better than most economies. Contrary to Japan’s image as export dependent, reliance interms of GDP is only about 15%, much smaller than most countries in Asia or Europe. While the Fund’s sector decisions are derived from bottomup stock selection, the Investment Manager expects the Fund to continue to be overweight in companies that beneﬁt from the longer term recovery of the domestic part of the economy, not just exporters. (With a bottom-up approach, the performance of individual companies is ﬁrst considered before looking at general economic or market trends.) BNY Mellon Asset Management Japan Limited February 2018

BNY MELLON JAPAN REIT ALPHA FUND Over the 12-month period under review, the Fund’s C share class returned -7.15%, compared with a return of -6.79% for the Tokyo Stock Exchange REIT Index (Dividend Included), both in Japanese yen terms. The Fund generated a negative return, underperforming the comparative index. The market declined from the beginning of 2017 because of the announcement of public offerings. Additionally, uncertainty over the outlook for the global economy – such as geopolitical risks and the outﬂow from mutual funds – weighed on the market, while stocks rallied thanks toattractive valuations amid solid improvement of the real estate market. The Fund’s sector allocation in ofﬁce and logistics contributed positively, while diversiﬁed and commercial detracted from performance. In terms of individual stocks, the Fund’s overweight position in Daiwa Ofﬁce Investment and the underweight positions in Japan Prime Realty Investment and Nomura Real Estate Master Fund contributed positively. On the other hand, an underweight position in Heiwa Real Estate REIT and overweight positions in Mori Trust Sogo REIT and Hulic REIT contributed negatively.

Over 2017, the Investment Manager increased the position in Kenedix Residential Investment because of its earnings growth potential on the back of the merger with Japan Senior Living Investment. The positions in Nippon Building Fund and Japan Real Estate Investment were reduced asthe dividend yield had become less attractive. In sector terms, the Investment Manager increased positions in residential, diversiﬁed, hotel and healthcare sectors because of attractive valuations, while ofﬁces, logistics and commercial sectors were reduced as valuations became less attractive. The number of holdings at the end of the 2017 was 50. The downside of the Japanese REIT (real estate investment trust) market is expected to be limited, with stock prices growing in the near future. Ofﬁce rents have been rising on the back of vacancy rates staying at low levels. The vacancy rate of ofﬁce buildings (including both new and existing buildings) in the ﬁve major Tokyo midtown districts (Chiyoda, Chuo, Minato, Shinjuku and Shibuya) released byMiki Shoji has been at the 3% level (3.03% in November). The Investment Manager is seeing continued outﬂows from investment trusts for retail investors that pay monthly dividends. However, the Japanese REIT market has been showing resilience thanks to the stance by regional banks (via exchange-traded funds) and foreign investors to buy ondips, on the back of cheap valuations. The Investment Manager is paying close attention to monetary policies in the US and Europe, geopolitical risks, such as North Korea, and a possible rise in Japanese bond yields as the Bank of Japan might tolerate a rise in yields depending on business sentiment, which could weigh onthe market. BNY Mellon Asset Management Japan Limited February 2018

BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND Over the 12-month period under review, the Fund’s Cshare class returned 39.05%, compared with a return of 30.18% for the Russell/Nomura Small Cap Index TR and 38.30% for the Lipper Global Equity Japan Small & Mid Cap average, all in Japanese yen terms. The Fund generated a strong positive return ahead of the comparative index and the sector average. Both stock selection and sector selection contributed positively to the Fund’s strong performance. At the stock level, the main contributors to performance included TechMatrix, which provides system integration

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND cont’d. and solution services; Open Door, which manages an online travel website; and ItoKuro, a leading portal websites operator of preparatory schools. ItoKuro announced animpressive ﬁscal year result ending October 2017, with strong operating proﬁt growth of 26% year on year. Main negative contributors to performance were Osaki Electric, which supplies smart meters to utility companies; V-cube, which provides platforms and software for visual communication methods including video conferencing; and Ain Holdings, a leading dispensing pharmacy operator inJapan. At the sector level, main positive contributors to performance were information and communication, services and metal products where the Fund had an overweight position. The main detractors were chemicals and nonferrous metals where the Fund was overweight and machinery where the Fund was underweight. New purchases during the review period included Wacom, the global supplier of pen tablets; Anritsu, a global leader of test and measurement instruments for mobile telecommunication markets; and RS Technologies, a major provider of silicon wafer reclaim services for the semiconductor industry. All positions of the following stocks were sold: CyberAgent, a leading internet advertisement agency and an online game provider; PERSOL HOLDINGS, a leading provider of temporary stafﬁng services and employment support for job seekers; and Financial Products Group, which engages in tax leasing arrangement business and real estate business. The earnings outlook for Japanese companies remains positive supported by the continued recovery of the domestic economy as well as the strength of the global economy. The Investment Manager believes that the midto longer term prospects for the Japanese equity market remain attractive as the domestic economy is at a rare transitional phase, moving from a period of contraction to one of expansion. The market has had a good recovery over the past 12 months but over a longer time horizon still lags the recovery in earnings since the ﬁnancial crisis. International investors continue to be underweight. Japan will be affected by global developments or events but the country has a large domestic base and can weather such turbulence much better than most economies. Contrary to Japan’s image as export dependent, reliance in terms of GDP is only about 15%, much smaller than most countries in Asia or Europe. While the Fund’s sector decisions are derived from bottom-up stock selection,

the Investment Manager expects the Fund to continue to be overweight in companies that beneﬁt from the longer-term recovery ofthe domestic part of the economy, not just exporters. BNY Mellon Asset Management Japan Limited February 2018

BNY MELLON PAN EUROPEAN EQUITY FUND The Fund was closed on 9 March 2017. Over the review period until closure, the Fund’s A share class return 3.25%, compared with a return of 3.45% for the FTSEuroﬁrst 300 TR and 3.29% for the Lipper Global Equity Europe sector, all in euro terms. The Fund generated a positive return but was marginally behind the comparative index and sector average. Information services business Wolters Kluwer was the top performer. Unilever was a positive contributor as the share price reacted strongly to an offer from Kraft Heinz. In spite of the latter’s decision to walk away from the proposed transaction, the aborted deal has pressurised Unilever management into pushing harder to improve proﬁtability. Royal Bank of Scotland was another strong performer over the period. It has made progress in resolving its litigation matters; this has the potential to increase the visibility of the underlying earnings potential and capital position of the remaining banking businesses, which would bebeneﬁcial. Negative contributions came from the likes of CRH, which succumbed to proﬁt taking after a good 2016 and as doubts began to creep in about the infrastructure plans in the US of President Donald Trump’s administration. Retailer Next was another faller over the period following lacklustre sales ﬁgures, partly weather-related as well as more general worries about the health of the consumer in the UK. Royal Dutch Shell also underperformed as oil majors suffered from the volatility in the oil price. Newton Investment Management Limited February 2018

BNY MELLON SMALL CAP EUROLAND FUND Over the 12-month period under review, the Fund’s A EUR share class returned 18.60%, compared with a return of 23.97% for the S&P EuroZone Small Cap Index and 21.53% for the Lipper Global - Equity EuroZone Small & Mid Cap sector, all in euro terms. The Fund generated a positive return but was behind the comparative index and sector average.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON SMALL CAP EUROLAND FUND cont’d. At the sector level, information technology, consumer staples and real estate contributed to relative performance. (Consumer staples are regarded as essential products, such as food, beverage and household items, that are in demand no matter how well the economy is doing.) Conversely, materials and industrials detracted most, followed by positioning in healthcare. By country, France was the most notable contributor to relative returns, followed by Italy and Denmark. Spain, Germany and Finland lagged relative to the index. The Fund increased exposure to the consumer discretionary and consumer staples sectors. (The consumer discretionary sector includes non-essential goods and services.) In consumer discretionary, the Fund added positions in two French companies. The Fund also initiated positions in two Nordic consumer staples companies. The Investment Manager also reduced the Fund’s overweight to the materials and energy sectors and initiated positions inseveral materials companies during the period. Lead economic indicators in Europe continue to strengthen, with better data related to the growth in the economy and earnings revisions. Improving unemployment and modestly ﬁrming wages, coupled with mildly weaker currencies, are tailwinds to earnings growth. (Tailwinds are conditions or situations that help move growth higher.) Possible reforms out of France could also provide an additional tailwind. UStax reform could also create upward pressure on rates, which would bolster European cyclical companies (those that follow changes in the business or economic cycle). Valuations remain attractive despite notable 2017 absolute returns and some of the most robust asset class inﬂows to the European region in years. Investors continue toreallocate some of their US exposure to non-US markets in anticipation of better relative return prospects. With aglobal growth backdrop of US acceleration and recovering emerging markets, European markets look tothe Investment Manager to be poised to move higher during 2018. The Boston Company Asset Management, LLC* February 2018

Security selection in industrials, as well as overweight positioning and security selection in ﬁnancials and information technology, contributed to relative results. Primary detractors during the period resulted from security selection in the consumer staples and consumer discretionary sectors. (Consumer staples are regarded as essential products, such as food, beverage and household items, that are in demand no matter how well the economy is doing, while the discretionary sector includes nonessential goods and services.) In ﬁnancials, the Investment Manager increased the Fund’s allocation over 2017 by selectively adding securities in the banks, capital markets and consumer ﬁnance segments. The sector remained the largest absolute weight in the portfolio due to attractive valuations and exposure to an improving economy. The Investment Manager moved from an overweight to an underweight stance in the consumer discretionary and consumer staples sectors. In consumer discretionary, the Investment Manager decreased exposure to an auto components company and eliminated a position in a hotel restaurants and leisure company that reached its price target. After selling the only holding in the real estate sector, the Fund has no exposure to the utilities or real estate sectors. The Investment Manager expects that several factors will support further gains for equities in 2018. Economic activity worldwide has accelerated and appears sustainable over the Fund’s investment horizon. Inﬂation has moderated, global monetary policy still aims to stimulate the economy and the Investment Manager believes that US tax reform will lead to an acceleration of economic growth and improved corporate earnings. There continue to be opportunities to add value, with notable dispersions among valuation among industries and securities. The Investment Manager believes a deep understanding of the impact of tax reform and other factors on industries and their underlying companies will present exploitable opportunities in 2018. The Boston Company Asset Management, LLC* February 2018

BNY MELLON U.S. EQUITY INCOME FUND The Fund was launched on 17 January 2017.

BNY MELLON U.S. DYNAMIC VALUE FUND Over the 12-month period under review, the Fund’s A share class returned 12.92%, compared with a return of 13.66% for the Russell 1000 Value Index TR and 19.90% for the Lipper Global - Equity US sector, all in US dollar terms.

Over the review period since its inception, the Fund’s C share class returned 12.27%, compared with a return of 20.19% for the S&P 500 Index TR and 13.11% for the Lipper Global Equity US Income, all in US dollar terms.

The Fund generated a positive return but was behind the comparative index and sector average.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST EQUITY cont’d. BNY MELLON U.S. EQUITY INCOME FUND cont’d. Security selection in utilities, materials and industrials contributed to relative results. An underweight position to the information technology sector, as well as security selection in the real estate and consumer staples sectors, were the primary detractors during the period. (Consumer staples are regarded as essential products, such as food, beverage and household items, that are in demand no matter how well the economy is doing.) In ﬁnancials, the Investment Manager increased the Fund’s allocation over 2017 by selectively adding securities in the banks, capital markets and consumer ﬁnance segments. The sector remained the largest absolute weight in the portfolio due to attractive valuations and exposure to an improving economy. The Investment Manager increased the underweight stance in the consumer discretionary (nonessential goods and services) and consumer staples sectors. The Investment Manager expects that several factors will support further gains for equities in 2018. Economic activity worldwide has accelerated and appears sustainable over the Fund’s investment horizon. Inﬂation has moderated, global monetary policy still aims to stimulate the economy and the Investment Manager believes that US tax reform will lead to an acceleration of economic growth and improved corporate earnings. There continue to be opportunities to add value, with notable dispersions among valuation among industries and securities. The Investment Manager believes a deep understanding of the impact of tax reform and other factors on industries and their underlying companies will present exploitable opportunities in 2018. The Boston Company Asset Management, LLC* February 2018

BNY MELLON US OPPORTUNITIES FUND Over the 12-month period under review, the Fund’s the Fund’s C share class returned 22.24%, compared with areturn of 21.83% for the S&P 500 Index TR and 19.90% for the Lipper Global - Equity US average, all in US dollar terms.

are regarded as essential products, such as food, beverage and household items, that are in demand no matter how well the economy is doing.) On the downside, energy weighed most on relative results due to stock selection among the energy equipment and services segment. Industrials also weighed on relative results due to security selection in the machinery segment. During the review period, the Fund moved out of segments that had performed well in information technology, such as semiconductors, and into areas where the Investment Manager sees growing opportunities like technology hardware and software. In ﬁnancials, exposure was raised in consumer ﬁnance where the Investment Manager anticipates a continued recovery in consumer credit demand, while credit losses to remain within normal limits. The Investment Manager expects to see healthy US proﬁt growth in the ﬁrst half of 2018. US and global activity appears to be accelerating and a synchronised global growth environment has developed. Domestically, corporate tax rate cuts should allow companies paying a high cash tax rate to experience an increase of 10% to 20% in proﬁts before any actions are taken on price discounts and/or increased competitive spending, in the Investment Manager’s view. Recent new order trends indicate a broad and noticeable pick-up in demand, which has helped elevate business conﬁdence across the entire market cap spectrum. Solid new job creation, a multi-year high in posted job openings, record high levels of the equity markets and steady increases in housing prices have driven aresurgence in consumer conﬁdence. In line with the Investment Manager’s prior expectations, the improvement in conﬁdence has generated a moderate increase inconsumer spending, a critical factor in keeping the upward trajectory of the US economy and corporate proﬁts. The Boston Company Asset Management, LLC* February 2018

The Fund generated a positive return ahead of the comparative index and sector average. At the sector level, information technology generated the strongest relative performance. Broad contributions came from security selection in IT services, as well as an overweight stance and security selection in software. A cautious and underweighted stance based on weak fundamentals (underlying market trends) in the telecommunication services, consumer staples and utilities sectors also assisted returns. (Consumer staples

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

PASSIVE EQUITY

GLOBAL FIXED INCOME

BNY MELLON S&P 500® INDEX TRACKER

BNY MELLON GLOBAL BOND FUND

Over the 12-month period under review, the Fund’s A share class returned 19.83%, compared with a return of 21.10% for the S&P 500 Index NR and 19.90% for the Lipper Global - Equity US average, all in USdollar terms.

Over the 12-month period under review, the Fund’s A share class returned 6.55%, compared with a return of 6.83% for the JP Morgan Global Government Bond Index (Unhedged) TR and 5.98% for the Lipper Global - Global Bonds (Filtered USD) sector, all in US dollar terms.

As at 31 December 2017, the one-year annualised tracking error for the Fund was 0.10%. The tracking error is related to withholding tax and the cost associated with managing the daily activity. The anticipated tracking error of the Fund is 0.10%. Meanwhile, the difference in performance between the Fund and S&P 500® Index related to the market impact of fees and the cost associated with managing daily activity on the former. The annualised tracking error provided was calculated using gross monthly returns for the period in question. The strategy is positioned to match the performance and overall characteristics of the S&P 500® Index in a riskcontrolled, cost-effective manner utilising a full replication approach. Mellon Capital Management Corporation* February 2018

The Fund generated a positive return behind the comparative index but ahead of the sector average return. In the ﬁrst half of the review period, the Fund’s overweight position to US dollar duration and a bias towards the long end of the yield curve proved beneﬁcial. (Duration is ameasure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates. The bigger the duration, the greater the interest-rate risk or reward for bond prices. The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but with different maturities. It can be used as an indicator of future interest rates.) For the second half of the period, the Investment Manager shifted to an underweight position in US duration, a move which proved beneﬁcial asTreasury yields rose materially. Exposure to US Treasury Inﬂation-Protected Securities boosted relative returns as expectations of US inﬂation drifted higher. Diversiﬁed exposure into selective emerging market debt denominated in local currencies (including Peru and Indonesia) was accretive to performance. Overweight Australian duration also boosted relative returns, as Australian government-bond yields rallied strongly. Amid stubborn inﬂation and expectations of a breakdown in talks on the renegotiation of the North American Free Trade Agreement (NAFTA), losses on Mexican local currency bonds were detrimental to performance and offset some of the positive contribution from other emerging market bonds. An underweight positioning in sterling proved a drag on performance as mounting expectations that UK interest rates would rise were supportive of the currency, despite ongoing political uncertainty. Underweight euro duration also proved a drag on performance as yields edged lower for much of the period. Short Canadian dollar and Australian dollar positions detracted from performance as the Bank of Canada surprised the market with the ﬁrst of two increases in interest rates, while talk of tightening monetary policy from the Reserve Bank of Australia supported the Australian dollar. (A short position is the buying of a currency with the expectation that it will fall in value. A long position is the reverse.)

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL FIXED INCOME cont’d. BNY MELLON GLOBAL BOND FUND cont’d. In terms of activity, the stabilisation in global bond markets early in the period prompted the Investment Manager to increase overall duration, taking the Fund overweight US duration and long duration versus the comparative index (excluding Japan), aided by the purchase of US Treasuries (2026 and 2043 maturities). These were reduced later inthe period following the rally in US Treasuries and duration was cut below that of the comparative index. This move was enhanced by using put options on US government securities. (A put option is an option contract that gives the holder the right to sell to the option writer the underlying asset for an agreed price by a certain date.) Exposure to emerging market currencies (the Indian rupee and Mexican peso), offering attractive real yields and falling or peaking headline inﬂation, was added. The allocation toemerging markets debt denominated in local currencies was boosted with the purchase of Indonesia 2036 and Malaysia 2024 government bonds. Mexican peso exposure was reduced amid rising NAFTA risks. Central banks are gradually tempering quantitative easing (QE) and raising interest rates, which initially tends to be negative for government-bond markets. (A key strand of QE has been that central banks create new money for useinthe economy.) With the US nearing a peak ininterest rates (and growth) over the next two years, and global growth broadening, other central banks may follow in raising interest rates and/or ceasing asset purchases. Thus, the Investment Manager believes further upside for the US dollar may be limited, thereby supporting the liquidity backdrop and risk assets for the time being. (Arisk asset is any ﬁnancial security or instrument whose price issubject to signiﬁcant volatility.) Newton Investment Management Limited February 2018

BNY MELLON GLOBAL CREDIT FUND Over the 12-month period under review, the Fund’s Cshare class returned 5.43%, compared with a return of 5.36% for the Bloomberg Barclays Global Aggregate Credit USD Hedged TR and 11.29% for the Lipper Global - Bond Global Corporates sector, all in USdollar terms. The Fund generated a positive return ahead of the comparative index but behind the sector average. The overweight allocation to credit overall was positive for returns as credit spreads tightened over the period. (Credit refers to ﬁxed-income instruments issued by nongovernment, such as corporates. The spread on bonds isusually expressed as the yield difference between bonds

of the same maturity but different credit quality. Aspread measures how much more a business pays to borrow money than the government does.) The Investment Manager favoured the subordinated debt of ﬁnancials, which did particularly well, and this also supported performance. (Subordinated debt is ranked below other debt in terms of the claims on assets.) In terms of sectors within credit, the allocation to asset-backed securities was a meaningful positive contributor to returns: the asset class was helped by investor demand as well as limited supply. (ABS are bonds backed by ﬁnancial assets.) The emerging market debt allocation was also a marginal positive contributor to returns as local rates in terms of duration positioning (a measure of a bond’s sensitivity to changes in interest rates) rallied. On the negative side, along Australia versus US and Germany government bond position was negative, as was the inﬂation positioning. Currency positions detracted somewhat from performance, due in part to a long US dollar position held against the Japanese yen. (A long position is the buying of a currency with the expectation that it will rise in value. A short position is the reverse.) The Investment Manager remains modestly constructive on the outlook for credit spreads, in the belief that underlying market trends are still favourable, the default environment is benign and the macroeconomic backdrop is also supportive. Insight Investment Management (Global) Limited February 2018

BNY MELLON GLOBAL HIGH YIELD BOND FUND Over the 12-month period under review, the Fund’s Cshare class returned 7.86%, compared with a return of 7.84% for the Bank of America Merrill Lynch Developed Markets High Yield Constrained Index USD Hedged TR and 11.40% for the Lipper Global - Bond Global High Yield sector, all in USdollar terms. The Fund generated a positive return behind the comparative index and sector average. Overall, lower political risk, particularly in Europe, and a continued cyclical upswing in the global economy translated into a solid year for issuers of high yield, as corporate earnings beneﬁted from the favourable environment. (High yield is debt rated below BBB by the credit rating agency Standard & Poor’s.) Security selection was the key driver of overall outperformance in 2017 as a number of the Fund’s largest active positions generated strong returns,

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL FIXED INCOME cont’d. BNY MELLON GLOBAL HIGH YIELD BOND FUND cont’d. including York Risk Services, Wind Hellas and Scientiﬁc Games. While performance was further enhanced by the Fund’s underweight exposure in certain sectors that underperformed in the face of structural concerns, such ashigh yield retail and US wireline (cabling), sector allocation dragged on performance to a certain extent. This was largely a function of the underweight in ﬁnancials, utilities and transportation. These underweights are maintained owing to sector-speciﬁc concerns. (For example, the global high yield ﬁnancials sector has a large exposure to ‘peripheral’ European and emerging marketbanks.) Over the course of 2017, Investment Manager decreased the exposure to European high yield on valuation concerns. Having observed a strong improvement in macroeconomic and corporate fundamentals (underlying market trends), the Investment Manager became more optimistic on the outlook for high yield markets. As a result, the exposure was increased to select lower rated assets and certain cyclical sectors, such as services (e.g. equipment rentals) and commodities. At the same time, the Investment Manager reduced the exposure to sectors expected to face cyclical or structural challenges, such as US wireline, automotive and retail. For 2018, the Investment Manager has a sanguine outlook for global high yield markets based on expectations that macroeconomic fundamentals will remain positive, inpart supported by recent ﬁscal stimulus in the US. Default rates in high yield fell in 2017 and the Investment Manager expects them to fall further through 2018, remaining below long-term averages for the year. Merger and acquisition activity will likely play a bigger role in the new issue market. Rising interest rates pose a key risk to global ﬁxedincome markets in 2018, in the Investment Manager’s view. Despite major central banks outlining their plans to tighten monetary policy in 2018, recent rhetoric and commentary islargely dovish (‘doves’ place more emphasis on employment goals than maintaining low inﬂation). Assuch, the Investment Manager expects monetary policy tightening to be undertaken at a moderate pace and for interest rates to rise gradually. High yield bonds should perform well in these conditions, in particular relative to longer duration ﬁxed-income asset classes that offer modest yields. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change ininterest rates.) Alcentra NY, LLC February 2018

BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND Over the 12-month period under review, the Fund’s A share class returned 5.09%, compared with a return of 1.27% for the LIBOR USD 3 Month and 11.18% for the Lipper Global Bond Global Short Term sector, all in USdollar terms. The Fund generated a positive return ahead of its performance reference but behind the sector average. A supportive economic environment and limited supply continued to be positive for the high yield asset class, with the market remaining strong for most of 2017. (High yield is debt rated below BBB by the credit rating agency Standard & Poor’s.) Defaults continued to run at low levels, supported by the stable macroeconomic backdrop and solid capital markets. The Fund was active in re-investing bonds that had matured and investing some of its cash balance, adding to anumber of holdings; sales were concentrated on the energy, telecommunications, consumer and industrials sectors. Growth in the US and Europe should be sufﬁciently positive to support earnings momentum, keeping defaults in check, in the Investment Manager’s view. The high yield sector still looks relatively attractive from an income perspective (even in an environment of rising interest rates). Some short-term market weakness is anticipated, largely due to political concerns, such as those around Brexit, with a less favourable supply/demand outlook likely to present some buying opportunities. Accordingly, the Investment Manager continues to look for opportunities, particularly in the US, the UK and emerging markets. With idiosyncratic risks growing, bottom-up credit analysis will be even more important during 2018. (With a bottom-up approach, the performance of individual companies is ﬁrst considered before looking at general economic or market trends.) Insight Investment Management (Global) Limited February 2018

BNY MELLON U.S. HIGH YIELD BETA FUND The Fund was launched on 26 September 2017. Over the review period since inception, the A share class returned 0.19%, compared with a return of 0.24% for the Bloomberg Barclays US Corporate High Yield Bond Index TR, both in USdollar terms. The Fund generated a positive return but was behind the comparative index.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

GLOBAL FIXED INCOME cont’d. BNY MELLON U.S. HIGH YIELD BETA FUND cont’d. The US high yield market was higher in the ﬁnal three months of 2017. (High yield is debt rated below BBB by the credit rating agency Standard & Poor’s.) Expectations for corporate tax reform, continued supportive macroeconomic data and improving corporate earnings drove gains. The Fund is positioned to provide diversiﬁed exposure to US high yield corporate bond securities with similar credit, duration, and maturity characteristics as found inthe Bloomberg Barclays US Corporate High Yield Index. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates.) At the same time, the Fund seeks to mitigate and minimise default risk and transaction costs associated with traditional sample and replication approaches. Mellon Capital Management Corporation* February 2018

BNY MELLON U.S. MUNICIPAL INFRASTRUCTURE DEBT FUND The Fund was launched on 19 April 2017.

index, with a corresponding overweight to revenue bonds. Notable overweight allocations include the hospital and healthcare, airport and education sectors where the Investment Manager believes its research process can ﬁnd issuers offering attractive relative value. Taxable coupon bonds represented around 40% of the Fund as at 31 December 2017, with the balance held in tax-exempt municipal bonds (55.5%) and cash (4.5%). For 2018, the Investment Manager expects the advanced economies, including the US, to continue to expand and inﬂation to tick higher. In the Investment Manager’s view, the Federal Reserve (Fed) will likely increase interest rates four times during the year which is more than other market participants anticipate. Historically, municipal bonds, especially those maturing in the intermediate segment of the yield curve, perform relatively well when the Fed israising short-term rates and the yield curve is ﬂattening. (Ayield curve is said to be ﬂat when there is little difference between short-term and long-term interest rates.) Standish Mellon Asset Management Company, LLC* February 2018

Over the review period since its inception, the Fund’s C share class returned 5.64%, compared with a return of 3.70% for the Bloomberg Barclays US Municipal Bond/ Taxable Municipal Bond (50:50), both in USdollar terms. The Fund generated a positive return ahead of the comparative index. The actively managed Fund seeks to capture excess yield through investing predominantly in taxable and tax-exempt US municipal bonds with an emphasis on infrastructure. Yield curve positioning and tactical allocation between the tax-exempt and taxable sectors were among the principal drivers of return. (The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but with different maturities. It can be used as an indicator of future interest rates.) As at 31 December 2017, the Fund had duration of 6.62years and securities from nearly 70 different issuers with anaverage credit rating of single A. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates. The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but with different maturities. Itcan be used as an indicator of future interest rates.) The Fund is presently positioned with a signiﬁcant underweight position to general obligation securities (type of US municipal bonds) versus its comparative

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST FIXED INCOME BNY MELLON ASIAN BOND FUND The Fund was closed on 31 May 2017. Over the review period until closure, the Fund’s A share class returned 2.41%, compared with a return of 3.01% for the JP Morgan Asia Credit Index and 3.66% for the Lipper Global Bond Asia Paciﬁc HC, all in USdollar terms. The Fund underperformed the comparative index as a consequence of its unwinding. Prior to being unwound, the Fund was outperforming the comparative index due to both asset allocation and security selection. In asset allocation, the Fund’s overweight position to the US and Sri Lanka were signiﬁcant contributors. Slightly offsetting performance was the underweight in Indonesia. Latterly, the Fund gradually added exposure to emerging markets foreign exchange and local rates in terms of duration positioning (a measure of a bond’s sensitivity tochanges ininterest rates), as valuations were attractive and the main external drivers of the asset class (oil and commodities, US monetary policy, and China) seemed tobemore supportive going forward. Standish Mellon Asset Management Company, LLC* February 2018

BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND Over the 12-month period under review, the Fund’s A share class returned 9.35%, compared with a return of 7.96% for the JP Morgan Corporate EMBI Broad Diversiﬁed (USD) and 9.94% for the Lipper Global - Bond Emerging Markets Global Corporates sector, all in USdollar terms. The Fund generated a positive return ahead of its comparative index but behind its sector average. Emerging market corporate bonds were supported by anumber of factors: global interest rates remained stable; the world economy showed further signs of improvement; bond market volatility was subdued; and commodity prices ﬁrmed. For most of 2017, the Fund had an overweight exposure to both Latin America and Central and Eastern Europe and was underweight both Asia and the Middle East and Africa. By region, the most favoured countries were Argentina, Brazil, Mexico and Peru in Latin America; Turkey and Ukraine in Central and Eastern Europe; Indonesia in Asia; and Nigeria in the Middle East and Africa. The Fund’s favoured sectors were metals and mining, oil and gas and industrials. The Fund’s performance over the period was supported byits high yield credit positions, with its investment grade

holdings also contributing positively for much of the period. (Credit refers to ﬁxed-income instruments issued by nongovernment, such as corporates. High yield is debt rated below BBB by the credit rating agency Standard & Poor’s. Investment grade debt is rated BBB and above by the same credit rating agency.) Performance was strong across regions, particularly Latin America, with oil and gas, metals and mining and ﬁnancials contributing most. In the ﬁrst three months of 2017, the manager added to the Fund’s Middle East and Africa exposure and took proﬁts in Latin America. At the start of the year, the Investment Manager had added to the Fund’s exposure in high yield given its sensitivity to higher global economic growth but then switched some of this allocation back into investment grade credit. In the second quarter, the Investment Manager again increased the Fund’s allocation to high yield, after moving out of some investment grade holdings that had performed well. Over the third quarter, the manager added to the Fund’s exposures in both Latin America and Asia and actively participated in the new issue market (a market for bonds when they are ﬁrst sold rather than traded later). More recently, the Investment Manager has become slightly more cautious, switching some of the Fund’s exposure to high yield into investment grade bonds and maintaining a relatively high cash balance. The Fund has also maintained a long duration position, in anticipation of lower interest rates at the long end of the yield curve. (Duration is a measure of the sensitivity of the price ofaﬁxed income investment to a change in interest rates. The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but with different maturities. It can be used as an indicator offuture interest rates.) The Investment Manager believes investors have become more focused on the prospect of central banks collectively tightening monetary policy (raising interest rates) but this process is likely to be gradual in nature. A continuation ofthe current benign environment and low levels of default should keep market sentiment supportive and sustain inﬂows, in the Investment Manager’s opinion. Insight Investment Management (Global) Limited February 2018

BNY MELLON EMERGING MARKETS DEBT FUND Over the 12-month period under review, the Fund’s Ashare class returned 11.42%, compared with a return of 9.32% for the JP Morgan EMBI Global and 11.82% for the Lipper Global - Bond Emerging Markets Global HC sector, all inUSdollar terms. The Fund generated a positive return ahead of the comparative index but behind the sector average.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST FIXED INCOME cont’d. BNY MELLON EMERGING MARKETS DEBT FUND cont’d. Performance was driven by country allocation and good security selection. The largest source of asset allocation outperformance was the Fund’s high-conviction overweight position to Iraq. Also helping country allocation were the Fund’s overweights to Ecuador, Ukraine and Senegal. On the underweight side, the Fund maintained its highconviction underweight to China – this was beneﬁcial throughout 2017. The Fund also continued to maintain its zero weight allocation to the Philippines and this added to returns. On the negative side, the underweight to the Dominican Republic and an overweight to Russia were slight detractors. Among the biggest contributors were security selection within Russia, Brazil, Indonesia, Mexico and Argentina. Slightly offsetting security selection was the positioning within Venezuela, both sovereign bonds as well as quasisovereigns (Petróleos de Venezuela or PDVSA). The Investment Manager continues to be optimistic about emerging market asset classes and expects the same drivers from 2017 to continue in 2018. Despite the risk of rising US interest rates, the other important global macroeconomic inﬂuences on emerging markets growth remain stable: China continues to temper its economic growth trajectory in a deliberate manner and commodity and oil prices remain fairly stable. Emerging markets are experiencing an environment of low inﬂation globally, acyclical upturn in global economic growth and an appetite for risk from investors seeking alternatives. Healthy global growth is reﬂected in global manufacturing purchasing managers’ index releases being positive and trade ﬂows increasing. At the same time, the continued inﬂows into the emerging market ﬁxed income asset class are increasingly indiscriminate, leaving valuations stretched and vulnerable to risk scenarios. Standish Mellon Asset Management Company, LLC* February 2018

BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND Over the 12-month period under review, the Fund’s A share class returned 14.82%, compared with a return of 15.21% for the JP Morgan GBI-EM Global Diversiﬁed Index TR and 14.46% for the Lipper Global Bond Emerging Markets Global LC Average, all in USdollar terms. The Fund generated a positive return, behind the comparative index but ahead of the sector average. The US Federal Reserve (Fed) continued with its policy of interest-rate ‘normalisation’ by raising interest rates atits December 2017 meeting, its third such move during

the year. With economic growth more assured across the US and global economies, further Fed policy moves are expected during 2018. Positive performance was driven both by the allocation to local rates in terms of duration positioning (a measure of a bond’s sensitivity to changes in interest rates) and currency positions. In respect of local rates, gains came from long positions in Argentina (including via security selection from inﬂation-linked bonds), Colombia and Mexico (security selection gains from quasi-sovereigns) as well as from Peru, Russia and South Africa. The contribution from the Fund’s currency strategy was strong thanks to gains from the Fund’s European positions (primarily short euro-Czech koruna and long Polish zlotyHungarian forint) and longs in Latin America and the Russian rouble, partially offset by losses from the Fund’s shorts in the South African rand, new Taiwan dollar and Thai baht. (With a short position, an investor enters into an agreement to sell acurrency for apredetermined price on a speciﬁed future date. The trading strategy is aimed at taking advantage ofanexpected fall in the value of the currency. Along position is the reverse.) ‘Carry’ was positive for the Fund, while options also contributed positively. (A carry trade is a where an investor borrows money at low interest rates in a particular market to invest in another market backed by high interest rates.) Gains were partially offset by losses including from shorts in Malaysia, Thailand and positioning in Brazil. In the latter part of the review period, the Investment Manager gradually added exposure to emerging market foreign currency and local rates as valuations seemed attractive and the main external drivers of the asset class (oil and commodities, US monetary policy and China) appeared to the Investment Manager to be more supportive. The Investment Manager continues to judge the outlook for the asset class to be positive, believing that the bulk ofthe re-pricing of US rates has passed and that commodity prices will continue to reﬂect more balanced supply and demand dynamics in oil. Standish Mellon Asset Management Company, LLC* February 2018

BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND Over the 12-month period under review, the Fund’s C share class returned 14.33%, compared with a return of 11.90% for BNYM Emerging Market Opportunistic Comparative Index (50/25/25) and 11.82% for the Lipper Global Bond Emerging Markets Global HC average, all in USdollar terms.

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST FIXED INCOME cont’d. BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND cont’d. The Fund generated a positive return ahead of the comparative index and sector average.

increasing. At the same time, the continued inﬂows into the emerging market ﬁxed-income asset class are increasingly indiscriminate, leaving valuations stretched and vulnerable to risk scenarios.

Performance was driven by security selection, local currency and USdollar bonds.

Standish Mellon Asset Management Company, LLC* February 2018

In local currency, positive performance came from the allocation to local rates in terms of duration positioning (a measure of a bond’s sensitivity to changes in interest rates) and currency positions. With regards to local rates, gains came from long positions in Argentina (including via security selection from inﬂation-linked bonds), Colombia and Mexico (security selection gains from quasisovereigns), Peru, Russia, and South Africa. Gains were partially offset by losses including from shorts in Malaysia, Thailand and positioning in Brazil. The contribution from the Fund’s currency strategy was strong thanks to gains from the Fund’s European positions (primarily short euroCzech koruna and long Polish zloty-Hungarian forint) and longs in Latin America and the Russian rouble, partially offset by losses from the Fund’s shorts in the South African rand, new Taiwan dollar and Thai baht. (With ashort position, an investor enters into an agreement to sell acurrency for apredetermined price on a speciﬁed future date. The trading strategy is aimed at taking advantage of an expected fall in the value of the currency. A long position is the reverse.)

BNY MELLON EUROLAND BOND FUND

In US dollars, the largest source of asset allocation outperformance was the Fund’s high-conviction overweight to Iraq. Also helping country allocation were the Fund’s overweight positions to Ecuador, Ukraine and Senegal. On the underweight side, the Fund maintained its high-conviction underweight position to China – this was beneﬁcial throughout 2017. The Fund also continued tomaintain its zero weight allocation to the Hong Kong and this added to returns. On the negative side, the overweight to Lebanon and Bahrain were slight detractors. The Investment Manager continues to be optimistic about emerging market asset classes and expects the same drivers from 2017 to continue in 2018. Despite the risk of rising US interest rates, the other important global macroeconomic inﬂuences on emerging markets growth remain stable: China continues to temper its economic growth trajectory in a deliberate manner and commodity and oil prices remain fairly stable. Emerging markets are experiencing an environment of low inﬂation globally, acyclical upturn in global economic growth and an appetite for risk from investors seeking alternatives. Healthy global growth is reﬂected in global manufacturing purchasing managers’ index releases being positive and trade ﬂows

Over the 12-month period under review, the Fund’s A share class returned 1.75%, compared with a return of 0.68% for the Bloomberg Barclays Euro Aggregate Bond Index TR and 1.15% for the Lipper Global - Bond EUR sector, all in euro terms. The Fund generated a positive return ahead of the comparative index and sector average. The US Federal Reserve (Fed) continued with its policy of interest-rate ‘normalisation’ by raising interest rates atits December 2017 meeting, its third such move during the year. With economic growth more assured across the US and global economies, further Fed policy moves are expected during 2018 which the Investment Manager believes will provide continuing momentum for sovereign bond yields across developed economies to rise from historically lowlevels. Overall duration in the Fund has remained lower than the comparative index, shortening further towards the end of the period, 5.95 years as at 31 December 2017 representing a reduction of 0.60 years since the previous year-end. (Duration is a measure of the sensitivity of the price of a ﬁxed-income investment to a change in interest rates.) Speciﬁc country duration underweights include Germany where, for the Investment Manager, rates still appear unrealistically tight in comparison to certain other developed and emerging market government bond markets. Peripheral European government bond markets have performed well since the French presidential election in April 2017 and the Fund’s holding in Portuguese government debt was accretive to performance, with the country’s improvement in economic fundamentals recognised by two of the credit rating agencies upgrading the borrower back to investment grade in the latter half of2017. The Fund initiated an outright short duration position to the UK in expectation of a more hawkish Bank of England response to rising inﬂation and increased Gilt supply asthe country looks to fund the eventual Brexit ‘divorce bill’ – the amount the UK will have to pay as part of its decision to leave the EU. (A ‘hawk’ is a policy maker who favours higher interest rates in the hope of curbing inﬂation.)

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BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS cont’d.

REGIONAL & SPECIALIST FIXED INCOME cont’d. BNY MELLON EUROLAND BOND FUND cont’d. The Investment Manager has a positive view on emerging markets, with allocations to both local currency and hard currency issues together reaching 15.9% by period end, anincrease of over 4.7% since year-end 2016. Allocations to investment grade and high yield corporates helped performance as credit spread markets narrowed through the 12-month period, with exposure standing at around 25.6% split broadly 80:20 between investment grade and high yield as at December 2017. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s; high yield is debt rated below BBB. The spread on bonds is usually expressed as the yield difference between bonds of the same maturity but different credit quality. A spread measures how much more a business pays to borrow money than the government does.) The Fund reduced its exposure to securitised bonds over the period by over 3% with holdings in covered bonds, assetbacked securities (ABS), commercial mortgage-backed securities and collateralised mortgage obligations being pared back to 7.6% by December 2017 compared to the previous year. (Securitised assets are the pooling ofassets, such as mortgages, into securities that are divided up and sold to investors.) ABS remains the largest single allocation at2.9%.

credit quality but with different maturities. It can be used asanindicator of future interest rates.) The Fund’s main overweight sectors were insurance and capital goods, while its main underweight sectors were basic materials and industrials. (The basic materials sector comprises companies involved in the discovery, development and processing of raw materials.) The Investment Manager also generally favoured banks but the Fund had a neutral position at year-end in anticipation of new issuance inJanuary. From the perspective of security selection, the Investment Manager focused on new issues over the period and also took proﬁts on some that had performed well. In the ﬁrst half of 2017, the Investment Manager also took advantage of weakness in the French credit market to re-establish some positions.

The Investment manager continues to expect steady global expansion pulled along by above-trend growth in the US and China. The Investment Manager is mindful of risk and is positioned accordingly.

Although the European Central Bank is scaling back its monthly bond buying – a measure originally implemented to stimulate the economy, the Investment Manager believes corporate bond purchases are likely to continue at a high level, with other elements, such as public sector bonds, covered bonds and asset-backed securities (ABS), being tapered more aggressively. (Covered bonds are backed bypools of mortgages that remain on the issuer’s balance sheet. Securitised assets are the pooling of assets, such as mortgages, into securities that are divided up and sold to investors.) Overall, European credit continues to be well supported, in the Investment Manager’s view, and European economic data continues to be very strong.

Standish Mellon Asset Management Company, LLC* February 2018

Insight Investment Management (Global) Limited February 2018

BNY MELLON EUROPEAN CREDIT FUND

All data sourced from Lipper as at 31 December 2017 Total Return,

Over the 12-month review period, the Fund’s A share class returned 2.79%, compared with a return of 2.37% for the Markit iBoxx Euro Corporates TR and 2.59% for the Lipper Global - Bond EUR Corporates sector, all in euro terms.

no initial charge, but includes annual charges, income reinvested gross oftax. The impact of the initial charge can be material on the performance of your investment. Performance ﬁgures including the initial charge are available on request. Past performance is not a guide to future performance. Performance history is given in share class currency.

The Fund generated a positive return ahead of its comparative index and sector average.

* Please refer to Note 20 of the ﬁnancial statements.

The largest contribution to performance over the period came from security selection, which was consistently strong across a number of sectors. The Fund’s overall credit strategy was also beneﬁcial, as was its short duration stance. (Credit refers to ﬁxed-income instruments issued by non-government entities, such as corporates. Duration is a measure of the sensitivity of the price of a ﬁxedincome investment to a change in interest rates.) The yield curve strategy and currency positions had varying impacts over 2017. (The yield curve is the graphic depiction of the relationship between the yield on bonds of the same

06571-1A.indd 48

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BNY MELLON ABSOLUTE RETURN BOND FUND Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d.

Collective investment schemes Supranational - 150,338,444 (31 December 2016: 178,516,529)

150,338,444

8,973,545 Insight Global Funds II plc - Insight Emerging Markets Debt Fund 8,215,786 Insight Liquidity Funds Plc - EUR Cash Fund

10.14

142,184,112 8,154,332

9.59 0.55

Total investments in collective investment schemes 150,338,444

10.14

Bonds Argentina - 2,057,237 (31 December 2016: –)

2,057,237

44,789,000 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN

Australia - 117,938,761 (31 December 2016: 52,112,972)

5,600,000 Raiffeisen Bank International AG 6.125% Perpetual VAR

Belgium - 5,801,443 (31 December 2016: 20,669,511) 1,847,000 KBC Group NV 5.625% Perpetual VAR 3,466,000 Nyrstar Netherlands Holdings BV 8.500% 15-Sep-2019

Bermuda - 3,889,491 (31 December 2016: –) 2,002,396 Oaktown Re Ltd 144A 3.802% 25-Apr-2027 FRN 2,200,000 XLIT Ltd 3.250% 29-Jun-2047 VAR

0.14

2,057,237

0.14

117,938,761

7.95

19,800,000 Australia & New Zealand Banking Group Ltd 1.723% 09-Nov-2020 FRN 34,983,000 Australia & New Zealand Banking Group Ltd 144A 1.936% 19-Aug-2020 FRN 15,409,000 Commonwealth Bank of Australia 144A 1.986% 10-Mar-2020 FRN 15,402,000 Commonwealth Bank of Australia 144A 2.032% 07-Nov-2019 FRN 1,856,000 FMG Resources August 2006 Pty Ltd 144A 9.750% 01-Mar-2022 464,241 Interstar Millennium Series 2006-1 Trust 2.130% 27-Mar-2038 FRN 460,541 Interstar Millennium Series 2006-4H Trust 2.175% 07-Nov-2039 FRN 3,079,000 Latitude Australia Credit Card Loan Note Trust 4.640% 22-Mar-2029 FRN 1,000,000 Latitude Australia Credit Card Loan Note Trust 5.390% 22-Mar-2029 FRN 10,774,000 National Australia Bank Ltd 144A 1.956% 22-May-2020 FRN 1,231,604 Pepper Residential Securities Trust NO 18 3.780% 12-Aug-2058 FRN 800,000 Pepper Residential Securities Trust NO 18 4.430% 12-Aug-2058 FRN 32,290,000 Westpac Banking Corp 1.746% 06-Mar-2020 FRN 4,564,000 Westpac Banking Corp 1.996% 19-Aug-2019 FRN

Austria - 6,072,136 (31 December 2016: 3,870,833)

Holdings Description

Fair Total value net assets EUR %

16,518,070

1.11

29,316,117

1.98

12,916,706

0.87

12,951,353

0.87

1,716,898

0.12

290,450

0.02

288,451

0.02

2,034,917

0.14

659,402

0.04

9,028,279

0.61

810,234

0.05

532,391

0.04

27,049,969

1.82

3,825,524

0.26

6,072,136

0.41

6,072,136

0.41

5,801,443

0.39

1,935,675

0.13

3,865,768

0.26

3,889,491

0.26

1,671,308 2,218,183

0.11 0.15

Brazil - 7,937,928 (31 December 2016: –) 5,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2021 5,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 2,181,000 JBS USA LUX SA / JBS USA Finance Inc 7.250% 01-Jun-2021 4,087,000 Marfrig Holdings Europe BV 6.875% 24-Jun-2019

Canada - 36,479,102 (31 December 2016: 15,970,461) 2,730,000 Bank of Nova Scotia/The 4.650% Perpetual VAR 36,700,000 Canadian Imperial Bank of Commerce 1.653% 05-Oct-2020 FRN 3,848,000 Teck Resources Ltd 144A 8.500% 01-Jun-2024

Cayman Islands - 3,352,658 (31 December 2016: 5,597,032) 1,682,000 Arbor Realty Commercial Real Estate Notes 2017-FL1 Ltd 144A 5.977% 15-Apr-2027 FRN 2,310,500 Arbor Realty Commercial Real Estate Notes 2017-FL2 Ltd 144A 3.600% 15-Aug-2027 FRN

Chile - 3,394,302 (31 December 2016: –) 3,848,000 VTR Finance BV 144A 6.875% 15-Jan-2024

Colombia - 684,064 (31 December 2016: –) 2,400,000,000 Colombian TES 7.000% 30-Jun-2032

France - 44,723,048 (31 December 2016: 228,733,249) 2,450,000 AXA SA 144A 6.463% Perpetual VAR 22,646,000 Banque Federative du Credit Mutuel SA 1.853% 20-Jul-2020 FRN 2,200,000 BNP Paribas Cardif SA 1.000% 29-Nov-2024 4,900,000 BNP Paribas Cardif SA 4.032% Perpetual VAR 2,925,000 Credit Agricole SA 7.875% Perpetual VAR 100,000 Electricite de France SA 4.125% Perpetual VAR 3,900,000 Electricite de France SA 5.000% Perpetual VAR 500,000 SapphireOne Mortgages FCT 2016-2 1.921% 25-Jun-2061 FRN 1,000,000 SapphireOne Mortgages FCT 2016-3 1.421% 27-Jun-2061 FRN 4,040,000 SFR Group SA 144A 6.000% 15-May-2022 3,900,000 Societe Generale SA 144A 8.000% Perpetual VAR

Indonesia - 4,816,888 (31 December 2016: –) 19,031,000,000 Indonesia Treasury Bond 7.000% 15-May-2027 5,200,000,000 Indonesia Treasury Bond 7.500% 15-May-2038 20,450,000,000 Indonesia Treasury Bond 8.250% 15-May-2036 6,300,000,000 Indonesia Treasury Bond 8.375% 15-Sep-2026 19,600,000,000 Indonesia Treasury Bond 8.750% 15-May-2031

7,937,928

0.54

1,295,928

0.09

1,273,012

0.09

1,853,354 3,515,634

0.12 0.24

36,479,102

2.46

2,265,056

0.15

30,575,162 3,638,884

2.06 0.25

3,352,658

0.23

1,422,503

0.10

1,930,155

0.13

3,394,302

0.23

3,394,302

0.23

684,064

0.05

684,064

0.05

44,723,048

3.02

2,094,715

0.14

18,945,168 2,163,139 5,545,877 2,765,851 106,965 4,331,704

1.28 0.15 0.37 0.19 0.01 0.29

516,937

0.03

1,029,730 3,433,081 3,789,881

0.07 0.23 0.26

4,816,888

0.32

1,230,048

0.08

335,106

0.02

1,407,698

0.10

437,792

0.03

1,406,244

0.09

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d. Ireland - 27,039,651 (31 December 2016: 55,777,121)

770,000 1,386,000 13,659,000 951,825 1,250,000

27,039,651

1.82

454,755

0.03

715,093

0.05

250,892 922,122

0.02 0.06

3,405,437

0.23

3,941,312

0.26

3,836,829 3,670,392

0.26 0.25

929,975

0.06

2,449,267 11,110

0.16 0.00

2,925,202 851,556

0.20 0.06

864,640 261,367 599,634

0.06 0.02 0.04

278,073

0.02

671,995

18,441,203

DECO 2014-GONDOLA Srl 2.621% 22-Feb-2026 FRN Enel SpA 7.750% 10-Sep-2075 VAR Intesa Sanpaolo SpA 144A 3.875% 14-Jul-2027 Taurus 2015-1 IT Srl 2.171% 18-Feb-2027 FRN Twin Set-Simona Barbieri SpA 5.546% 15-Jul-2019 FRN 2,100,000 UniCredit SpA 6.750% Perpetual VAR

0.04

1.24

764,340 1,811,711 11,390,858 954,005

0.05 0.12 0.77 0.07

1,246,913 2,273,376

0.08 0.15

Japan - 16,493,907 (31 December 2016: 14,204,057)

16,493,907

1.11

19,738,000 Sumitomo Mitsui Trust Bank Ltd 144A 2.018% 06-Mar-2019 FRN

16,493,907

1.11

Kazakhstan - 227,792 (31 December 2016: –) 90,000,000 Development Bank of Kazakhstan JSC 9.500% 14-Dec-2020

Luxembourg - 9,473,039 (31 December 2016: 11,085,946) 4,002,000 Altice Luxembourg SA 144A 7.750% 15-May-2022 1,650,216 DECO 2015-Charlemagne SA 4.250% 27-Apr-2025 FRN 4,036,000 SES SA 5.625% Perpetual VAR

Holdings Description

Bonds cont’d.

4,420,890 Bluestep Mortgage Securities No 3 DAC 0.919% 10-May-2063 FRN 6,930,000 Bluestep Mortgage Securities No 3 DAC 1.669% 10-May-2063 FRN 2,433,185 Bluestep Mortgage Securities No2 Ltd 1.419% 10-Nov-2055 FRN 893,910 DECO 2015 - HARP DAC 2.400% 27-Apr-2027 FRN 3,379,295 European Residential Loan Securitisation 2016-1 DAC 1.131% 24-Jan-2059 FRN 3,946,390 European Residential Loan Securitisation 2017-NPL1 DAC 0.631% 24-Jul-2054 3,848,000 European Residential Loan Securitisation 2017-PL1 DAC 1.131% 24-Nov-2057 FRN 3,666,000 Grand Canal Securities 0.653% 24-Dec-2058 987,310 Lusitano Mortgages No 3 Plc 0.131% 16-Oct-2047 FRN 2,450,000 Magellan Mortgages No2 Plc 0.771% 18-Jul-2036 FRN 3,366,607 Magnolia Finance XI DAC 0.250% 20-Apr-2020 3,006,372 Magnolia Finance XI DAC 2.750% 20-Apr-2020 FRN 847,000 Taurus 2015-2 DEU Ltd 2.100% 01-Feb-2026 FRN 859,671 Taurus 2015-3 EU Designated Activity Co 3.000% 22-Apr-2028 FRN 260,510 Taurus 2016-1 DEU DAC 3.200% 17-Nov-2026 FRN 590,569 Taurus 2016-2 DEU DAC 3.750% 03-Jan-2027 FRN 247,639 Taurus CMBS UK 2014-1 Ltd 2.951% 01-May-2022 FRN 659,547 Topaz Asset Finance 2016-2 DAC 4.000% 04-Nov-2026

Italy - 18,441,203 (31 December 2016: 34,486,303)

Fair Total value net assets EUR %

Malaysia - 2,451,356 (31 December 2016: –)

2,451,356

0.16

692,446

0.04

1,758,910

0.12

Mexico - 37,710 (31 December 2016: –)

37,710

0.00

889,900 Mexican Bonos 7.500% 03-Jun-2027 12,800 Mexican Bonos 8.000% 07-Nov-2047

37,160 550

0.00 0.00

39,464,783

2.66

5,490,978

0.37

10,319,048 6,064,828 1,001,685 3,514,200 2,817,122 2,163,740 3,433,566 1,494,830 3,164,786

0.70 0.41 0.07 0.24 0.19 0.14 0.23 0.10 0.21

3,400,000 Malaysia Government Bond 3.418% 15-Aug-2022 8,500,000 Malaysia Government Investment Issue 3.872% 30-Aug-2018

Netherlands - 39,464,783 (31 December 2016: 132,419,159) 6,552,000 ABN AMRO Bank NV 1.994% 18-Jan-2019 FRN 12,313,000 ABN AMRO Bank NV 144A 1.994% 18-Jan-2019 FRN 5,800,000 ABN AMRO Bank NV 4.750% Perpetual VAR 1,155,000 Eurosail-NL 2007-2 BV 1.871% 17-Oct-2040 FRN 4,000,000 GTH Finance BV 6.250% 26-Apr-2020 2,800,000 ING Groep NV 1.625% 26-Sep-2029 VAR 2,500,000 ING Groep NV 6.000% Perpetual VAR 3,925,000 Lincoln Finance Ltd 144A 7.375% 15-Apr-2021 1,323,000 NN Group NV 4.500% Perpetual VAR 2,708,000 NN Group NV 4.625% 13-Jan-2048 VAR

Norway - 21,508,642 (31 December 2016: 388,258)

21,508,642

1.45

25,753,000 DNB Bank ASA 1.705% 02-Oct-2020 FRN

21,508,642

1.45

Peru - 2,258,971 (31 December 2016: –)

2,258,971

0.15

303,430

0.02

330,282

0.02

521,635

0.04

1,103,624

0.07

3,059,500

0.21

1,399,273

0.10

1,660,227

0.11

1,164,091

0.08

1,164,091

0.08

2,833,277

0.19

1,735,609

0.12

1,097,668

0.07

1,039,260

0.07

1,039,260

0.07

1,109,000 Peru Government Bond 144A 6.150% 12-Aug-2032 1,200,000 Peruvian Government International Bond 5.700% 12-Aug-2024 1,801,000 Peruvian Government International Bond 6.900% 12-Aug-2037 3,758,000 Peruvian Government International Bond 6.950% 12-Aug-2031

Poland - 3,059,500 (31 December 2016: –) 5,800,000 Republic of Poland Government Bond 2.500% 25-Jul-2018 7,310,000 Republic of Poland Government Bond 2.500% 25-Jul-2026

Romania - 1,164,091 (31 December 2016: –) 4,870,000 Romania Government Bond 5.800% 26-Jul-2027

227,792

0.02

227,792

0.02

9,473,039

0.64

3,297,472

0.22

1,682,490 4,493,077

0.12 0.30

Russia - 2,833,277 (31 December 2016: –) 120,046,000 Russian Federal Bond - OFZ 7.000% 25-Jan-2023 78,228,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028

South Africa - 1,039,260 (31 December 2016: –) 13,720,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d.

Bonds cont’d. Spain - 27,146,934 (31 December 2016: 12,444,713)

United Kingdom cont’d. 27,146,934

1.83

265,700 1,995,511 1,052,050 5,503,900 7,946,105 4,190,118 1,093,958 3,292,067 750,649 491,584 565,292

0.02 0.14 0.07 0.37 0.54 0.28 0.07 0.22 0.05 0.03 0.04

18,235,479

1.23

1,798,768 2,037,060

0.12 0.14

12,670,386 1,729,265

0.85 0.12

270,122 BANCAJA 6 Fondo de Titulizacion de Activos 0.971% 20-Feb-2036 FRN 1,700,000 Banco de Sabadell SA 5.625% 06-May-2026 1,000,000 Banco de Sabadell SA 6.500% Perpetual VAR 5,000,000 Banco Santander SA 6.250% Perpetual VAR 7,600,000 Bankia SA 4.000% 22-May-2024 VAR 4,100,000 CaixaBank SA 2.750% 14-Jul-2028 VAR 1,100,000 TDA 14-Mixto FTA 0.320% 27-Dec-2030 FRN 3,400,000 TDA 15-Mixto FTA 0.321% 27-Jun-2042 FRN 800,000 TDA 15-Mixto FTA 0.321% 27-Jun-2042 FRN 500,000 TDA 17-Mixto FTA 0.321% 22-Sep-2035 FRN 600,000 TDA 18-Mixto FTA 0.421% 22-Jun-2045 FRN

Sweden - 18,235,479 (31 December 2016: 8,781,928) 1,777,000 Intrum Justitia AB 2.625% 15-Jul-2022 FRN 2,000,000 Ovako AB 5.000% 05-Oct-2022 15,160,000 Svenska Handelsbanken AB 1.883% 08-Sep-2020 FRN 2,000,000 Swedbank AB 5.500% Perpetual VAR

Switzerland - 46,872,113 (31 December 2016: 87,946,950)

46,872,113

3.16

2,227,816 4,874,514

0.15 0.33

1,225,804 15,302,613 23,241,366

0.08 1.03 1.57

150,747,809

10.17

2,382,000 Credit Suisse AG 6.500% 08-Aug-2023 4,235,000 Credit Suisse USA Inc 7.125% 15-Jul-2032 1,463,000 Glencore Finance Europe Ltd 2.591% 06-May-2018 FRN 18,313,000 UBS AG/London 1.959% 01-Dec-2020 FRN 27,723,000 UBS AG/London 144A 2.103% 08-Jun-2020 FRN

United Kingdom - 150,747,809 (31 December 2016: 293,148,628) 2,669,782 1,550,000 2,298,000 385,000 1,924,000 2,628,000 732,000 1,155,000 1,155,000 2,013,802 1,077,976 1,011,721 1,347,000 1,540,000 1,930,000 3,079,000 1,155,000 2,868,000 3,079,000

Holdings Description

Fair Total value net assets EUR %

Alba 2007-1 Plc 0.754% 17-Mar-2039 FRN Auburn Securities 4 Plc 1.189% 01-Oct-2041 FRN Barclays Bank Plc 7.625% 21-Nov-2022 Dukinﬁeld Plc 1.726% 15-Aug-2045 FRN Dukinﬁeld Plc 2.026% 15-Aug-2045 FRN Dukinﬁeld Plc 2.326% 15-Aug-2045 FRN Eurohome UK Mortgages 2007 -1 Plc 0.816% 15-Jun-2044 FRN Eurohome UK Mortgages 2007-2 plc 0.866% 15-Sep-2044 FRN Eurosail 2006-1 Plc 0.000% 10-Jun-2044 FRN Eurosail-UK 2007-5np Plc 1.290% 13-Sep-2045 FRN Finsbury Square 2017-1 Plc 2.473% 12-Mar-2059 FRN First Flexible No 5 Plc 2.089% 01-Jun-2034 FRN Gemgarto 2015-1 Plc 2.625% 16-Feb-2047 FRN Gemgarto 2015-2 Plc 4.025% 16-Feb-2054 FRN Great Hall Mortgages No 1 Plc 0.813% 18-Jun-2039 FRN Greene King Finance Plc 2.596% 15-Mar-2036 FRN Hawksmoor Mortgages 2016-1 Plc 2.123% 25-May-2053 FRN Hawksmoor Mortgages 2016-1 Plc 3.023% 25-May-2053 FRN Hawksmoor Mortgages 2016-1 Plc 3.273% 25-May-2053 FRN

2,679,162 1,668,255 2,174,411 425,632 2,126,472 2,959,685

0.18 0.11 0.15 0.03 0.14 0.20

726,195

0.05

1,127,397 1,055,115

0.08 0.07

2,109,086

0.14

1,233,972 1,148,483 1,526,494 1,758,138

0.08 0.08 0.10 0.12

1,941,952 3,064,578

0.13 0.21

1,313,718

0.09

3,280,124

0.22

3,443,767

0.23

1,895,000 Hawksmoor Mortgages 2016-2 Plc 2.673% 25-May-2053 FRN 2,445,000 HSBC Holdings Plc 6.000% Perpetual VAR 1,770,000 Jerrold Finco Plc 6.250% 15-Sep-2021 1,500,760 Keystone Financing Plc 9.500% 15-Oct-2019 1,455,193 Landmark Mortgage Securities No 1 Plc 0.269% 17-Jun-2038 FRN 1,693,000 Landmark Mortgage Securities No 3 Plc 1.184% 17-Apr-2044 FRN 531,145 Ludgate Funding Plc 0.000% 01-Dec-2060 FRN 2,282,870 Ludgate Funding Plc 0.371% 01-Jan-2061 FRN 578,000 Marketplace Originated Consumer Assets 2016-1 Plc 3.398% 20-Oct-2024 FRN 2,440,000 Marston’s Issuer Plc 5.158% 15-Oct-2027 VAR 1,924,000 Newday Funding 2015-1 Plc 2.991% 15-Jul-2023 FRN 1,677,000 Newday Funding 2015-1 Plc 3.991% 15-Jul-2023 FRN 1,801,000 Newday Funding 2015-2 Plc 3.791% 15-Nov-2024 FRN 1,631,000 NewDay Funding 2016-1 Plc 4.841% 15-Jun-2024 FRN 1,274,000 Newday Funding 2017-1 Plc 2.741% 15-Jul-2025 FRN 578,000 Newday Partnership Funding 2015-1 Plc 1.992% 15-Apr-2025 FRN 1,540,000 Newday Partnership Funding 2015-1 Plc 2.341% 15-Apr-2025 FRN 1,155,000 Newday Partnership Funding 2015-1 Plc 2.891% 15-Apr-2025 FRN 1,318,507 Newgate Funding Plc 0.000% 01-Dec-2050 FRN 1,924,000 Paragon Mortgages NO 24 Plc 3.579% 15-Jul-2043 FRN 356,000 PCL Funding II Plc 2.743% 15-Jun-2022 FRN 1,347,000 Precise Mortgage Funding 2014-1 Plc 1.922% 12-Sep-2047 FRN 481,000 Precise Mortgage Funding 2014-1 Plc 2.422% 12-Sep-2047 FRN 385,000 Precise Mortgage Funding 2014-2 Plc 2.422% 12-Dec-2047 FRN 539,000 Precise Mortgage Funding 2014-2 Plc 2.922% 12-Dec-2047 FRN 1,155,000 Precise Mortgage Funding 2015-2B Plc 3.272% 12-Jun-2048 FRN 250,000 Precise Mortgage Funding No 1 Plc 3.772% 12-Mar-2047 FRN 416,639 Punch Taverns Finance B Ltd 7.369% 30-Sep-2021 924,000 Residential Mortgage Securities 25 Plc 0.014% 16-Dec-2050 FRN 770,000 Residential Mortgage Securities 25 Plc 0.014% 16-Dec-2050 FRN 1,155,000 Residential Mortgage Securities 25 Plc 0.014% 16-Dec-2050 FRN 770,000 Residential Mortgage Securities 26 Plc 0.000% 14-Feb-2041 385,000 Residential Mortgage Securities 26 Plc 0.000% 14-Feb-2041 770,000 Residential Mortgage Securities 28 Plc 3.016% 15-Jun-2046 FRN

2,156,539 2,149,075 2,053,208 1,760,086

0.14 0.14 0.14 0.12

1,311,731

0.09

1,776,398 478,103 2,174,840

0.12 0.03 0.15

660,503 2,752,353

0.04 0.18

2,190,544

0.15

1,917,897

0.13

2,073,183

0.14

1,899,028

0.13

1,442,028

0.10

655,288

0.04

1,737,974

0.12

1,312,267 1,238,201

0.09 0.08

2,259,370 402,404

0.15 0.03

1,515,968

0.10

542,153

0.04

438,924

0.03

614,298

0.04

1,326,982

0.09

285,541 529,452

0.02 0.03

1,022,142

0.07

853,227

0.06

1,298,390

0.09

838,050

0.06

408,080

0.03

882,979

0.06

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Bonds cont’d.

United States of America cont’d.

1,569,000 Residential Mortgage Securities 29 Plc 2.766% 20-Dec-2046 FRN 1,804,696 742,000 Residential Mortgage Securities 30 Plc 3.016% 20-Mar-2050 FRN 846,300 3,848,000 Ripon Mortgages Plc 2.326% 20-Aug-2056 4,342,816 1,760,919 Rmac 2005-Nsp2 Plc 0.000% 12-Sep-2037 FRN 1,674,682 1,070,088 RMAC Securities No 1 Plc 0.000% 12-Jun-2044 FRN 987,482 786,017 RMAC Securities No 1 Plc 0.000% 12-Jun-2044 FRN 721,406 742,653 RMAC Securities No 1 Plc 0.000% 12-Jun-2044 FRN 706,684 765,711 RMAC Securities No 1 Plc 0.504% 12-Jun-2044 FRN 696,999 605,190 RMAC Securities No 1 Plc 0.672% 12-Jun-2044 FRN 648,830 1,144,969 Rochester Financing No 2 Plc 1.813% 20-Jun-2045 FRN 1,309,288 10,200,000 Santander UK Plc 0.296% 22-May-2019 FRN 10,285,017 25,440,000 Santander UK Plc 1.685% 03-Nov-2020 FRN 21,226,336 924,000 Slate No 2 Plc 2.304% 24-Oct-2044 FRN 1,062,290 539,000 Slate No.1 Plc 2.704% 24-Jan-2051 FRN 618,636 1,166,000 Stanlington No 1 Plc 2.872% 12-Jun-2046 FRN 1,348,727 462,000 Stanlington No 1 Plc 3.372% 12-Jun-2046 FRN 534,579 1,924,000 THRONES 2015-1 Plc 1.913% 18-Mar-2050 FRN 2,167,920 770,000 THRONES 2015-1 Plc 2.763% 18-Mar-2050 FRN 868,278 1,457,000 Towd Point Mortgage Funding 2016-Auburn 10 Plc 1.891% 20-Apr-2045 FRN 1,646,003 1,357,000 Towd Point Mortgage Funding 2016-Auburn 10 Plc 2.191% 20-Apr-2045 FRN 1,521,917 770,000 Towd Point Mortgage Funding 2016-Granite1 Plc 2.091% 20-Jul-2046 FRN 876,817 770,000 Towd Point Mortgage Funding 2016-Granite1 Plc 3.391% 20-Jul-2046 FRN 857,398 924,000 Towd Point Mortgage Funding 2016-Granite2 Plc 2.826% 20-Aug-2051 FRN 1,032,111 765,000 Towd Point Mortgage Funding 2016-Vantage1 Plc 2.526% 20-Feb-2054 FRN 868,484 400,000 Towd Point Mortgage Funding 2016-Vantage1 Plc 3.026% 20-Feb-2054 FRN 440,107 829,000 Towd Point Mortgage Funding 2017-Auburn 11 Plc 1.626% 20-May-2045 FRN 926,756 1,924,000 Trinity Square 2015-1 Plc 2.079% 15-Jul-2051 FRN 2,072,641 1,924,000 Trinity Square 2015-1 Plc 2.529% 15-Jul-2051 FRN 2,201,911 1,600,000 Virgin Media Receivables Financing Notes I DAC 5.500% 15-Sep-2024 1,821,980 770,000 Warwick Finance Residential Mortgages No One Plc 2.017% 21-Sep-2049 FRN 865,468 1,924,000 Warwick Finance Residential Mortgages No One Plc 2.717% 21-Sep-2049 FRN 2,174,952 770,000 Warwick Finance Residential Mortgages No Two Plc 2.717% 21-Sep-2049 FRN 870,456

United States of America - 448,846,050 (31 December 2016: 713,914,318) 448,846,050 AK Steel Corp 7.625% 01-Oct-2021 AT&T Inc 4.750% 15-May-2046 Bank of America Corp 0.170% 26-Jul-2019 FRN Citibank NA 1.965% 20-Mar-2019 FRN Colony Starwood Homes 2016-2 Trust 144A 3.827% 17-Dec-2033 FRN 3,520,000 Continental Resources Inc/OK 144A 4.375% 15-Jan-2028

Holdings Description

Bonds cont’d.

United Kingdom cont’d.

4,015,000 5,410,000 28,816,000 7,806,000 587,500

Fair Total value net assets EUR %

0.12 0.06 0.29 0.11 0.07 0.05 0.05 0.05 0.04 0.09 0.69 1.43 0.07 0.04 0.09 0.04 0.15 0.06 0.11 0.10 0.06 0.06 0.07 0.06 0.03 0.06 0.14 0.15 0.12 0.06

1,944,000 DCP Midstream Operating LP 144A 5.350% 15-Mar-2020 3,848,000 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 11,138,000 Goldman Sachs Group Inc/The 0.131% 31-Dec-2018 FRN 13,643,000 Goldman Sachs Group Inc/The 0.325% 11-Sep-2018 FRN 4,000,000 Goldman Sachs Group Inc/The 0.369% 29-Apr-2019 FRN 1,622,000 Herc Rentals Inc 144A 7.750% 01-Jun-2024 7,889,000 JPMorgan Chase Bank NA 2.265% 23-Sep-2019 FRN 1,263,000 Levi Strauss & Co 3.375% 15-Mar-2027 3,219,000 McDermott International Inc 144A 8.000% 01-May-2021 35,199,000 Morgan Stanley 0.171% 03-Dec-2019 FRN 6,830,000 Morgan Stanley 0.371% 19-Nov-2019 FRN 3,453,000 Progress Residential 2016-SFR2 Trust 144A 3.960% 17-Jan-2034 FRN 1,016,918 RAIT 2015-FL5 Trust 144A 3.577% 15-Jan-2031 FRN 2,886,000 RAIT 2015-FL5 Trust 144A 5.377% 15-Jan-2031 FRN 3,700,000 Rite Aid Corp 144A 6.125% 01-Apr-2023 2,180,000 Royal Caribbean Cruises Ltd 2.650% 28-Nov-2020 2,000,000 United States Steel Corp 7.375% 01-Apr-2020 3,155,000 United States Steel Corp 144A 8.375% 01-Jul-2021 236,871,692 United States Treasury Inﬂation Indexed Bonds 0.750% 15-Feb-2045 97,006,412 United States Treasury Inﬂation Indexed Bonds 0.875% 15-Feb-2047 16,605,955 United States Treasury Inﬂation Indexed Bonds 1.000% 15-Feb-2046 2,980,198 VOLT LXII LLC 144A 4.625% 25-Sep-2047

1,698,577

0.11

3,495,780

0.24

11,180,324

0.75

13,698,254

0.92

4,031,280 1,491,642

0.27 0.10

6,628,515 1,329,699

0.45 0.09

2,773,277 35,314,805 6,906,086

0.19 2.38 0.47

2,927,306

0.20

849,835

0.06

2,410,978 2,802,429

0.16 0.19

1,817,168 1,818,409

0.12 0.12

2,855,382

0.19

197,290,745

13.31

83,490,550

5.63

14,702,655 2,470,411

0.99 0.17

Uruguay - 677,838 (31 December 2016: –)

677,838

0.05

23,400,000 Uruguay Government International Bond 8.500% 15-Mar-2028

677,838

0.05

1,075,166,463

72.52

8,425,056

0.57

3,994,520

0.27

4,430,536

0.30

13,364,940

0.90

4,888,550 3,007,920

0.33 0.20

Total investments in bonds

0.15

Leveraged loans 0.06

30.28

3,491,376 4,420,082 29,032,696 6,518,052

0.24 0.30 1.96 0.44

496,622

0.03

2,903,115

0.20

France - 8,425,056 (31 December 2016: –) 4,000,000 Horizon Holdings II SAS Term Loan 0.000% 31-Dec-2049 4,577,000 SFR Group S.A. EUR Term Loan B 3.000% 22-Jun-2025

Germany - 13,364,940 (31 December 2016: –) 5,000,000 SGB-Smit Holding GmbH Term Loan 4.000% 29-Jun-2024 3,000,000 Techem GmbH Term Loan 3.000% 26-Jul-2024

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Leveraged loans cont’d.

Holdings Description

Leveraged loans cont’d.

Germany cont’d. 4,000,000 Tele Columbus AG EUR Term Loan A 3.250% 21-Mar-2024 1,456,994 Xella International S.A. EUR Term Loan B 0.000% 18-Jan-2024

Ireland - 16,578,758 (31 December 2016: 6,864,160) 2,000,000 Capitalﬂow Rory EUR Secured Finance Loan 0.000% 06-Sep-2019 9,500,000 Swancastle Ltd 2016-1 Mezzanine Loan 0.000% 24-Dec-2035 4,000,000 Valeo F1 Co Ltd Term Loan 3.500% 09-Aug-2024

Jamaica - 838,825 (31 December 2016: –) 1,000,000 Digicel International Finance USD Term Loan 3.750% 10-May-2024

Luxembourg - 7,845,179 (31 December 2016: 4,369,467) 1,000,000 Kiwi VFS Sub II Sarl Term Loan 8.500% 01-Jun-2025 5,000,000 Kloeckner Pentaplast of America Inc Term Loan 4.750% 29-Jun-2022 1,795,500 Misys Europe S.A. EUR Term Loan 3.250% 28-Apr-2024

Netherlands - 8,482,652 (31 December 2016: 22,148,349)

United Kingdom cont’d. 4,005,000

0.27

1,463,470

0.10

16,578,758

1.12

1,957,000

0.13

10,599,798 4,021,960

0.72 0.27

2,500,000 Dorna Sports S.L. EUR Term Loan 3.250% 12-Apr-2024 2,835,000 Heref Habaneras Socimi S.A.U. 0.000% 14-Mar-2020

Sweden - 5,315,069 (31 December 2016: –) 5,335,344 Verisure Holding AB Term Loan 3.000% 21-Oct-2022

United Kingdom - 41,043,131 (31 December 2016: 28,889,515) 4,000,000 Aura Finance Ltd 3.999% 29-Apr-2018 1,000,000 Coralis Feather Bidco Term Loan B 0.000% 29-Mar-2024 4,000,000 Coralis Feather Bidco Term Loan B 3.750% 02-Feb-2024 4,700,000 Eurogarages 0.000% 31-Jan-2023 5,000,000 Four Pillars Credit Senior Term Loan 2.750% 14-Dec-2019 3,000,000 Mergermarket Bidco Ltd Term Loan 0.000% 26-Jul-2024

2,000,000 Micro Focus EUR Term Loan 3.000% 18-Apr-2024 1,000,000 Motor Fuel Group Ltd Term Loan 0.000% 08-Apr-2023 2,665,559 Project Jura Credit Senior Term Loan 2.400% 25-Jan-2022 831,164 Project Panther 4.091% 29-Aug-2018 2,500,000 Queensgate Bow Uk Holdco Ltd 3.091% 01-Dec-2018 6,214,024 Swancastle Ltd 2016-1 San Term Bank Loan 0.000% 24-Dec-2035

2,012,500

0.14

1,134,257

0.08

3,004,188 939,096

0.20 0.06

2,814,074

0.19

7,111,998

0.48

28,731,513

1.94

3,234,349

0.22

4,682,469

0.32

3,048,750

0.20

1,199,636 5,027,316

0.08 0.34

3,009,882 837,445

0.20 0.06

3,346,511

0.23

4,345,155

0.29

135,968,641

9.17

–

0.00

–

0.00

CDS Altice Finco SA 5.000% 20-Jun-2022 118,697 CDS Altice Luxembourg SA 5.000% 20-Dec-2018 127,113 CDS Altice Luxembourg SA 5.000% 20-Dec-2022 37,701 CDS Ardagh Packaging Finance Plc 5.000% 20-Dec-2022 957,241 CDS Assicurazioni Generali SpA 1.000% 20-Dec-2022 57,192 CDS Assicurazioni Generali SpA 1.000% 20-Dec-2022 26,504 CDS Banco Bilbao Vizcaya Argentaria SA 1.000% 20-Jun-2027 295,811 CDS Berkshire Hathaway Inc 1.000% 20-Dec-2024 64,448 CDS BNP Paribas SA 1.000% 20-Jun-2022 79,219 CDS BNP Paribas SA 1.000% 20-Jun-2027 138,987 CDS British American Tobacco Plc 1.000% 20-Jun-2022 148,448 CDS CDX North America High Yield Index Series 29 Version 1 5.000% 20-Dec-2022 1,888,783

0.01 0.01 0.00

United States of America - 28,731,513 (31 December 2016: 7,696,432) 838,825

0.05

838,825

0.05

7,845,179

0.53

1,007,625

0.07

5,023,650

0.34

1,813,904

0.12

8,482,652

0.57

3,843,093 EREIP III Holdco 2 S.A.R.L. Project Nelson Credit Senior Term Loan 0.000% 20-Apr-2019 3,852,700 3,306,467 Project Guilder Cre Senior T Loan 3.300% 25-Apr-2019 3,306,467 1,325,141 Triangle Secured Finance Loan 2.901% 05-Aug-2019 1,323,485

Spain - 5,343,518 (31 December 2016: 2,895,000)

Fair Total value net assets EUR %

0.26

4,000,000 Alphabet Holding Co Inc Term Loan 3.500% 15-Aug-2024 5,600,000 Cable & Wireless USD Term Loan B 3.250% 19-Jan-2025 3,000,000 Canyon Valor Cos Inc Term Loan 4.250% 16-Jun-2023 1,194,000 Diebold Wincor EUR Term Loan B 3.000% 06-Nov-2023 6,000,000 MH Sub I LLC Term Loan 0.000% 16-Aug-2024 3,591,000 NAB Holdings LLC Term Loan 3.750% 21-May-2021 997,487 NFP Corp Term Loan 3.500% 08-Jan-2024 3,320,116 Platform Speciality Products EUR Term Loan 2.750% 07-Jun-2023 3,858,750 Virgin Media SFA Finance Ltd Term Loan 3.250% 30-Nov-2027

Total investments in leveraged loans 0.22 0.09

5,343,518

0.36

2,505,400

0.17

2,838,118

0.19

5,315,069

0.36

5,315,069

0.36

41,043,131

2.77

4,530,695

0.30

1,134,083

0.08

Warrants Norway - – (31 December 2016: –) 13,475 Iona Energy Inc Warrants 27-Sep-2018*

4,027,500 5,331,962

0.27 0.36

5,624,486

0.38

Total investments in warrants Credit default swaps - 13,840,492 (31 December 2016: 5,791,911) (3,000,000) (4,600,000) 1,150,000 (6,000,000) 4,100,000 1,900,000 4,000,000 (6,300,000) (9,000,000) 4,750,000 (6,400,000) (27,700,000)

3,378,292

0.23

0.06 0.00 0.00 0.02 0.00 0.01 0.01 0.01 0.13

06571-1A.indd 53

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Credit default swaps cont’d.

Total credit default swaps

13,840,492 Underlying exposure EUR

0.01 0.01 0.00 0.00 0.00 0.06 0.01 0.01 0.04 0.04 0.09 0.07 0.08 0.13 0.01 0.01 0.00 0.00 0.01 0.03 0.00 0.00 0.01 0.00 0.06 0.00 0.00

0.94

Fair Total value net assets EUR %

Open futures contracts - 13,138,306 (31 December 2016: 8,760,528) (158) Euro-Bobl Short Futures Contracts Exp Mar-2018 (83) Euro-Bund Short Futures Contracts Exp Mar-2018 (9,533) Euro-Bund Short Futures Contracts Exp Mar-2018

Holdings Description

Open futures contracts cont’d.

(17,984,000) CDS CDX North America Investment Grade Index Series 29 Version 1 1.000% 20-Dec-2027 111,138 (17,276,000) CDS CDX North America Investment Grade Index Series 29 Version 1 1.000% 20-Dec-2027 106,763 (5,032,000) CDS FirstEnergy Corp 1.000% 20-Jun-2022 60,480 (3,355,000) CDS FirstEnergy Corp 1.000% 20-Jun-2022 40,324 (3,355,000) CDS FirstEnergy Corp 1.000% 20-Jun-2022 40,324 (6,000,000) CDS INEOS Group Holdings SA 5.000% 20-Jun-2022 901,748 (4,850,000) CDS Innogy SE 1.000% 20-Dec-2021 132,303 (2,400,000) CDS Innogy SE 1.000% 20-Dec-2021 65,469 (21,900,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 606,719 (21,900,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 606,719 (47,000,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 1,302,091 (35,400,000) CDS iTraxx Europe Series 28 1.000% 20-Dec-2022 965,113 (44,200,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 1,205,028 (68,900,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 1,878,427 (2,950,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 80,426 (2,950,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 80,426 8,800,000 CDS iTraxx Europe Sub Financials Series 28 Version 1 1.000% 20-Dec-2022 19,114 8,800,000 CDS iTraxx Europe Sub Series 28 Version 1 1.000% 20-Dec-2022 19,114 (22,900,000) CDS Lloyds Bank Plc 1.000% 20-Dec-2018 182,138 (6,000,000) CDS SFR Group SA 5.000% 20-Jun-2022 381,441 (6,300,000) CDS Sherwin-Williams Co/The 1.000% 20-Dec-2024 57,012 (3,700,000) CDS Societe Generale 1.000% 20-Dec-2022 13,626 1,800,000 CDS Societe Generale 1.000% 20-Dec-2027 88,069 774,000 CDS Teva Pharmaceutical Industries Ltd 1.000% 20-Dec-2022 54,499 (6,000,000) CDS Virgin Media Finance Plc 5.000% 20-Dec-2021 841,859 (6,800,000) CDS Volkswagen AG 1.000% 20-Jun-2018 30,211 (6,700,000) CDS Volkswagen AG 1.000% 20-Jun-2018 29,767

Holdings Description

Fair Total value net assets EUR %

(20,789,640)

113,681

0.01

(13,422,760)

111,470

0.01

(1,541,676,760)

12,904,464

0.87

(4) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018 (14) U.S. 2 Year Treasury Note Short Futures Contracts Exp Mar-2018

(444,697)

3,046

0.00

(2,499,608)

5,645

0.00

13,138,306

0.89

36,378

0.00

70,282

0.01

62,341

0.00

62,341

0.00

20,771

0.00

18,527

0.00

19,055

0.00

47,702

0.00

19,706

0.00

357,103

0.01

14,076,928

0.95

1,402,886,377

94.62

Total open futures contracts Swaptions - 357,103 (31 December 2016: –) 36,562,000 CDS CDX North America High Yield Index Series 29 Version 1 Call 22-Feb-2018 108.500 70,638,000 CDS CDX North America High Yield Index Series 29 Version 1 Call 22-Feb-2018 108.500 108,000,000 CDS CDX North America Investment Grade Index Series 29 Version 1 Call 22-Mar-2018 47.500 108,000,000 CDS CDX North America Investment Grade Index Series 29 Version 1 Call 22-Mar-2018 47.500 9,400,000 CDS CDX North America Investment Grade Index Series 29 Version 1 Call 21-Dec-2022 55.000 23,300,000 CDS iTraxx Europe Crossover Series 28 Version 1 Put 01-Jan-2018 262.500 34,600,000 CDS iTraxx Europe Crossover Series 28 Version 1 Put 18-Jan-2018 275.000 44,200,000 CDS iTraxx Europe Series 28 Version 1 Put 21-Dec-2022 52.500 22,100,000 CDS iTraxx Europe Series 28 Version 1 Put 21-Dec-2022 55.000

Total swaptions Unrealised gain on forward foreign currency contracts - 14,076,928 (see below) (31 December 2016: 3,381,848)

Total ﬁnancial assets at fair value through proﬁt or loss Credit default swaps - (18,195,874) (31 December 2016: (10,625,097))

6,000,000 CDS Ardagh Packaging Finance Plc 5.000% 20-Dec-2019 (7,600,000) CDS Banco Bilbao Vizcaya Argentaria SA 1.000% 20-Jun-2022 (3,300,000) CDS Banco BPM Società per Azioni 1.000% 20-Dec-2022 2,300,000 CDS Banco BPM Società per Azioni 5.000% 20-Dec-2019 1,100,000 CDS Banco BPM Società per Azioni 5.000% 20-Dec-2022 (4,450,000) CDS Barclays Bank Plc 1.000% 20-Dec-2026 4,200,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 1,700,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 1,500,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 7,450,000 CDS Bayerische Landesbank 1.000% 20-Jun-2021 3,685,000 CDS Best Buy Co Inc 5.000% 20-Jun-2022 3,658,000 CDS Best Buy Co Inc 5.000% 20-Jun-2022 6,400,000 CDS British American Tobacco Plc 1.000% 20-Jun-2019 5,900,000 CDS Carrefour 1.000% 20-Dec-2022 2,400,000 CDS Engie 1.000% 20-Dec-2021

(553,924)

(0.04)

(62,570)

(0.00)

(32,852)

(0.00)

(70,885)

(0.01)

(30,433) (52,150) (127,482) (51,600) (45,529) (204,181) (546,917) (542,909)

(0.00) (0.00) (0.01) (0.00) (0.00) (0.01) (0.04) (0.04)

(81,376) (131,913) (67,620)

(0.01) (0.01) (0.00)

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Credit default swaps cont’d. 4,850,000 CDS Engie 1.000% 20-Dec-2021 700,000 CDS Glencore International AG 5.000% 20-Dec-2022 5,200,000 CDS Glencore International AG 5.000% 20-Jun-2022 6,000,000 CDS INEOS Group Holdings SA 5.000% 20-Jun-2019 48,000,000 CDS iTraxx Europe Crossover Series 28 Version 1 5.000% 20-Dec-2022 23,550,000 CDS iTraxx Europe Crossover Series 28 Version 1 5.000% 20-Dec-2022 26,000,000 CDS iTraxx Europe Series 25 Version 1 1.000% 20-Jun-2026 45,900,000 CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2020 47,000,000 CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 23,000,000 CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2027 47,500,000 CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2027 2,180,000 CDS Royal Caribbean Cruises Ltd 5.000% 20-Dec-2020 6,000,000 CDS SFR Group SA 5.000% 20-Jun-2019 (1,400,000) CDS Telecom Italia SpA 1.000% 20-Dec-2027 (1,800,000) CDS Telecom Italia SpA 1.000% 20-Dec-2027 (1,400,000) CDS TIM SpA 1.000% 20-Dec-2027 2,473,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 813,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 1,301,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 813,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 (1,750,000) CDS Viacom Inc 1.000% 20-Jun-2022 6,000,000 CDS Virgin Media Finance Plc 5.000% 20-Dec-2018

Total credit default swaps

Holdings Description

Underlying exposure EUR

Total open futures contracts

Swaptions - (95,721) (31 December 2016: –)

(136,649)

(0.01)

(124,871)

(0.01)

(870,376)

(0.06)

(404,451)

(0.03)

(5,871,801)

(0.40)

(2,880,852)

(0.19)

(596,732)

(0.04)

Total swaptions

(1,083,725)

(0.07)

Unrealised loss on forward foreign currency contracts - (4,073,622) (see below) (31 December 2016: (47,943,411))

(1,281,365)

(0.09)

(334,624)

(0.02)

(691,071)

(0.05)

(253,328) (323,989) (118,079) (151,816) (118,079) (22,281) (7,325) (11,722) (7,325) (21,519)

(0.02) (0.02) (0.01) (0.01) (0.01) (0.00) (0.00) (0.00) (0.00) (0.00)

(281,553)

(0.02)

(18,195,874)

(1.23)

(35,000,000) CDS iTraxx Europe Crossover Series 28 Version 1 Put 01-Jan-2018 300.000 (34,600,000) CDS iTraxx Europe Crossover Series 28 Version 1 Put 18-Jan-2018 325.000 (22,100,000) CDS iTraxx Europe Crossover Series 28 Version 1 Put 21-Dec-2022 300.000 (24,400,000) CDS iTraxx Europe Crossover Series 28 Version 1 Put 22-Mar-2018 400.000 (66,300,000) CDS iTraxx Europe Series 28 Version 1 Put 21-Dec-2022 75.000

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

(6,975)

(0.00)

(2,791)

(0.00)

(35,170)

(0.00)

(30,475)

(0.00)

(20,310)

(0.00)

(95,721)

(0.00)

(4,073,622)

(0.28)

(42,612,155)

(2.88)

122,259,812

8.26

1,482,534,034

100.00

* Subject to fair value by the Investment Manager, given the Company is subject to trading suspension on the Toronto Stock Exchange. The counterparties for credit default swaps are Barclays Bank PLC, BNP Paribas, Citigroup Global Markets Limited, Credit Suisse AG, Goldman Sachs, JPMorgan Chase Bank, Bank of America Merrill Lynch and MorganStanley. The counterparty for futures contracts is Goldman Sachs. The counterparties for swaptions are BNP Paribas, Citigroup Global Markets Limited, Goldman Sachs, JPMorgan Chase Bank, Bank of America Merrill Lynch and Morgan Stanley.

Analysis of portfolio

Fair Total value net assets EUR %

Open futures contracts - (20,246,938) (31 December 2016: (7,820,046)) 11,328 Australian 10 Year Treasury Bond Long Futures Contracts Exp Mar-2018 954,368,817 10,844 U.S. 10 Year Treasury Note Long Futures Contracts Exp Mar-2018 1,120,207,938 135 U.S. 5 Year Treasury Note Long Futures Contracts Exp Mar-2018 13,070,432 (4,732) U.S. Treasury Ultra Bond Short Futures Contracts Exp Mar-2018 (660,031,635) (78) UK Long Gilt Short Futures Contracts Exp Mar-2018 (11,012,361)

Fair Total value net assets EUR %

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Transferable securities and money market instruments other than those admitted to ofﬁcial stock exchange listing or traded on a regulated market Financial derivative instruments dealt in on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

(7,339,500)

(0.49)

(8,625,961)

(0.58)

(78,444)

(0.01)

(4,112,440)

(0.28)

(90,593)

(0.01)

(20,246,938)

(1.37)

% of Total Assets 76.93 8.54 0.82 1.77 11.94

100.00

06571-1A.indd 55

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Chinese yuan Chinese yuan Euro Euro Euro Euro Euro Euro Euro Euro Hungarian forint Hungarian forint Israeli shekel Polish zloty South African rand South African rand South African rand South African rand South African rand South African rand Turkish lira Turkish lira

US dollar US dollar US dollar Romanian leu Romanian leu Romanian leu US dollar US dollar US dollar US dollar US dollar Euro Euro US dollar Euro US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Turkish lira Turkish lira Turkish lira

US dollar US dollar US dollar

US dollar

Argentinian peso

1,050,000,000 5,470,000 16,180,000 365,239 142,060 154,018 236,849 1,220,000 17,883,917 760,005 358,883 88,837,000 128,110,000 2,657,000 1,600,000 5,300,000 7,026,000 9,200,000 3,561,000 5,500,000 12,800,000 1,500,000 1,640,000 3,280,000 9,557 1,640,000 614,958

US dollar US dollar

Mexican peso Mexican peso

846,254 417,999

US dollar

Mexican peso

408,934

US dollar US dollar Australian dollar Australian dollar

Mexican peso Mexican peso US dollar US dollar

132,673 1,646,279 12,200,000 6,400,000

Australian dollar Euro Indian rupee Swedish krona US dollar US dollar US dollar Brazilian real Colombian peso

US dollar 3,500,000 US dollar 21,094,534 US dollar 231,500,000 US dollar 39,490,444 Argentinian peso 401,338 Argentinian peso 393,148 Argentinian peso 418,060 US dollar 2,700,000 US dollar 2,508,980,000

Indian rupee Korean won Korean won Malaysian ringgit Peruvian nuevo sol

US dollar US dollar US dollar US dollar US dollar

Russian rouble US dollar US dollar US dollar US dollar US dollar

US dollar Argentinian peso Argentinian peso Brazilian real Brazilian real Peruvian nuevo sol

159,580,000 2,707,020,000 1,793,060,000 1,700,000 1,320,000 72,900,000 555,384 503,497 1,631,519 900,327 2,129,378

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Bond Fund cont’d.

BNY Mellon Absolute Return Bond Fund Chilean peso

Buy

1,649,647 05-Jan-18 Citigroup Global Markets Limited 836,474 17-Jan-18 BNP Paribas 2,444,393 17-Jan-18 HSBC Bank plc 1,697,000 17-Jan-18 BNP Paribas 660,000 17-Jan-18 HSBC Bank plc 715,000 17-Jan-18 HSBC Bank plc 279,000 17-Jan-18 HSBC Bank plc 1,448,371 17-Jan-18 HSBC Bank plc 21,326,000 17-Jan-18 HSBC Bank plc 898,000 17-Jan-18 Citigroup Global Markets Limited 424,000 17-Jan-18 HSBC Bank plc 282,327 17-Jan-18 Goldman Sachs 406,857 17-Jan-18 Goldman Sachs 759,902 17-Jan-18 BNP Paribas 379,761 17-Jan-18 HSBC Bank plc 392,901 17-Jan-18 HSBC Bank plc 549,662 17-Jan-18 BNP Paribas 720,382 17-Jan-18 Goldman Sachs 260,019 17-Jan-18 HSBC Bank plc 403,240 17-Jan-18 Goldman Sachs 930,498 17-Jan-18 Goldman Sachs 376,133 17-Jan-18 BNP Paribas 411,795 17-Jan-18 Citigroup Global Markets Limited 820,202 17-Jan-18 Goldman Sachs 2,410 17-Jan-18 Goldman Sachs 409,833 17-Jan-18 Citigroup Global Markets Limited 11,100,000 17-Jan-18 Citigroup Global Markets Limited 15,930,000 17-Jan-18 BNP Paribas 7,900,000 17-Jan-18 Toronto Dominion Bank 7,706,500 17-Jan-18 Citigroup Global Markets Limited 2,473,412 17-Jan-18 Goldman Sachs 31,000,000 17-Jan-18 BNP Paribas 9,353,984 18-Jan-18 HSBC Bank plc 4,916,084 18-Jan-18 Citigroup Global Markets Limited 2,699,323 18-Jan-18 Goldman Sachs 24,933,086 18-Jan-18 HSBC Bank plc 3,577,776 18-Jan-18 HSBC Bank plc 4,666,981 18-Jan-18 Goldman Sachs 7,200,000 19-Jan-18 HSBC Bank plc 7,000,000 19-Jan-18 BNP Paribas 7,500,000 19-Jan-18 HSBC Bank plc 809,425 25-Jan-18 Goldman Sachs 826,546 25-Jan-18 Citigroup Global Markets Limited 2,464,746 25-Jan-18 HSBC Bank plc 2,476,008 25-Jan-18 Goldman Sachs 1,646,588 25-Jan-18 Goldman Sachs 416,259 25-Jan-18 Goldman Sachs 398,972 25-Jan-18 JPMorgan Chase Bank 1,225,519 25-Jan-18 Barclays Bank PLC 9,935,813 25-Jan-18 BNP Paribas 9,000,000 25-Jan-18 BNP Paribas 5,400,000 25-Jan-18 HSBC Bank plc 2,985,573 25-Jan-18 BNP Paribas 6,906,000 25-Jan-18 Citigroup Global Markets Limited

48,551 1,834 30,304 1,424 564 731 4,347 13,017 112,134 11,667 5,548 4,164 6,284 4,976 3,122 30,471 16,387 20,922 23,778 35,361 88,920 15,520 16,506 35,834 87 18,141 34,899 33,357 15,147 15,753 6,243 64,461 155,406 73,961 31,416 318,147 36,263 127,683 24,970 26,742 26,011 1,868 10,131 24,833 49,348 27,236 2,541 6,572 25,778 36,970 33,839 6,816 2,341

US dollar Euro Euro Euro

Peruvian nuevo sol 181,902 590,000 25-Jan-18 US dollar 189,754,706 223,843,000 15-Feb-18 US dollar 211,936,609 250,000,000 15-Feb-18 US dollar 177,703,233 211,600,000 23-Feb-18

Euro

US dollar

177,861,288 211,799,000 23-Feb-18

Euro Euro Euro

US dollar US dollar Sterling

7,703,484 9,204,000 23-Feb-18 917,477 1,090,000 23-Feb-18 294,646,649 260,833,000 07-Mar-18

Swedish krona Swedish krona

Euro Euro

3,217,000 12,060,000

323,190 07-Mar-18 1,212,785 07-Mar-18

Goldman Sachs HSBC Bank plc Lloyds Bank plc JPMorgan Chase Bank Royal Bank ofScotland HSBC Bank plc HSBC Bank plc Royal Bank ofScotland HSBC Bank plc JPMorgan Chase Bank

39 3,536,356 3,957,859 1,746,195 1,738,770 49,852 11,082 1,193,476 4,032 13,915

EUR 14,021,522 Argentinian peso US dollar Euro Hungarian forint Euro Hungarian forint

13,500,000 760,992 17-Jan-18 BNP Paribas 333,619 103,872,330 17-Jan-18 HSBC Bank plc 358,873 112,753,000 17-Jan-18 RBC Capital Markets Euro Polish zloty 3,406,243 14,377,000 17-Jan-18 JPMorgan Chase Bank Indonesian rupiah US dollar 11,400,000,000 841,328 17-Jan-18 Bank of America Merrill Lynch Mexican peso US dollar 31,460,000 1,654,066 17-Jan-18 Goldman Sachs Mexican peso US dollar 1,531,000 81,074 17-Jan-18 Goldman Sachs Mexican peso US dollar 31,070,000 1,616,072 17-Jan-18 Goldman Sachs South African rand US dollar 2,200,000 178,474 17-Jan-18 Citigroup Global Markets Limited US dollar Russian rouble 419,449 25,000,000 17-Jan-18 Barclays Bank PLC US dollar South African rand 218,340 3,000,000 17-Jan-18 Citigroup Global Markets Limited US dollar South African rand 422,470 5,600,000 17-Jan-18 Citigroup Global Markets Limited US dollar South African rand 210,911 2,800,000 17-Jan-18 Citigroup Global Markets Limited US dollar South African rand 391,877 5,400,000 17-Jan-18 Citigroup Global Markets Limited US dollar South African rand 604,438 8,100,000 17-Jan-18 Barclays Bank PLC US dollar South African rand 418,506 5,704,000 17-Jan-18 HSBC Bank plc US dollar South African rand 939,907 12,988,178 17-Jan-18 HSBC Bank plc US dollar Turkish lira 1,029,714 4,030,000 17-Jan-18 BNP Paribas US dollar Turkish lira 217,783 850,000 17-Jan-18 Citigroup Global Markets Limited US dollar Turkish lira 821,996 3,180,000 17-Jan-18 BNP Paribas US dollar Australian dollar 34,575,256 45,924,847 18-Jan-18 HSBC Bank plc US dollar Australian dollar 2,530,404 3,300,000 18-Jan-18 HSBC Bank plc US dollar Euro 13,699,605 11,500,000 18-Jan-18 HSBC Bank plc US dollar Sterling 29,452,612 21,984,237 18-Jan-18 HSBC Bank plc US dollar Brazilian real 1,645,721 5,500,000 19-Jan-18 Goldman Sachs US dollar Brazilian real 780,195 2,600,000 25-Jan-18 HSBC Bank plc US dollar Colombian peso 408,217 1,242,000,000 25-Jan-18 Goldman Sachs US dollar Indian rupee 1,245,045 80,100,000 25-Jan-18 HSBC Bank plc US dollar Indian rupee 1,233,300 79,480,000 25-Jan-18 HSBC Bank plc US dollar Indonesian rupiah 4,056,291 55,125,000,000 25-Jan-18 Goldman Sachs US dollar Peruvian nuevo sol 206,281 670,000 25-Jan-18 HSBC Bank plc US dollar Peruvian nuevo sol 415,902 1,360,000 25-Jan-18 Citigroup Global Markets Limited US dollar Russian rouble 894,620 53,303,249 25-Jan-18 BNP Paribas US dollar Euro 4,258,000 3,589,820 23-Feb-18 RBC Capital Markets US dollar Euro 6,148,000 5,168,080 23-Feb-18 HSBC Bank plc

(53,336) (1,358) (4,744) (34,204) (426) (51,550) (2,991) (36,337) (171) (9,936) (20,628) (26,088) (13,314) (38,078) (43,264) (36,415) (93,787) (25,723) (4,928) (12,409) (1,115,172) (41,846) (84,313) (223,215) (7,412) (1,175) (5,799) (5,898) (7,608) (9,157) (194) (2,740) (20,063) (49,059) (55,680)

620

06571-1A.indd 56

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Bond Fund cont’d. US dollar US dollar Euro Euro Sterling Sterling Sterling

Euro Euro Australian dollar Swedish krona Euro Euro Euro

1,408,000 23,270,000 3,692,137 3,105,492 1,693,000 6,964,000 2,723,000

1,186,675 23-Feb-18 HSBC Bank plc 19,723,363 23-Feb-18 JPMorgan Chase Bank 5,791,000 07-Mar-18 HSBC Bank plc 30,899,000 07-Mar-18 HSBC Bank plc 1,920,903 07-Mar-18 HSBC Bank plc 7,863,142 07-Mar-18 HSBC Bank plc 3,081,781 07-Mar-18 Lloyds Bank plc

(15,845) (373,078) (70,507) (37,444) (16,174) (28,213) (18,238)

Buy

Sell

Amount (B)

Sterling

Euro

500

Sterling

Euro

400,000

Sterling

Euro

6,156,846

Net EUR 11,323,005

BNY Mellon Absolute Return Bond Fund CHF T (Acc) (Hedged) Share Class Euro

4,500

Euro

Swiss franc

5,396

Euro

Swiss franc

3,338

Euro

Swiss franc

2,317

Euro

Swiss franc

2,062

Swiss franc

Euro

1,604

Swiss franc Swiss franc

Euro Euro

15,893 1,001

Euro

Swiss franc

3,829

Euro

Swiss franc

1,795

Swiss franc

Euro

7,783,436

3,829 03-Jan-18 The Bank of New York Mellon 6,299 12-Jan-18 The Bank of New York Mellon 3,894 12-Jan-18 The Bank of New York Mellon 2,692 12-Jan-18 The Bank of New York Mellon 2,400 12-Jan-18 The Bank of New York Mellon 1,367 12-Jan-18 The Bank of New York Mellon 13,563 12-Jan-18 The Bank of New York Mellon 857 12-Jan-18 The Bank of New York Mellon

Euro

Sterling

Euro

Sterling

Euro

12,137

Euro

Sterling

40,074

Euro

Sterling

115

Euro

Sterling

–

Sterling

Euro

13,021

EUR

Sterling

Euro

241

CHF

109

(20) Euro

Sterling

14,654

(7,155)

Euro

Sterling

13,657

EUR

(7,181)

Euro

Sterling

9,272

CHF

(8,398)

Sterling

Euro

3,651

Net EUR

(7,088)

Sterling

Euro

52,109

Sterling

Euro

117,525

Sterling

Euro

13,122

Sterling

Euro

39,885

Sterling

Euro

7,114

Sterling

Euro

4,492

Sterling

Euro

83,090,455

Sterling

Euro

273,074

(8,289)

BNY Mellon Absolute Return Bond Fund Sterling T (Acc) (Hedged) Share Class Euro

Sterling

48,293

Euro

Sterling

–

14,795

(6)

Net CHF

42,622 12-Jan-18 The Bank of New York Mellon – 12-Jan-18 The Bank of New York Mellon

270 –

EUR

270

GBP

240

Unrealised Gain/(Loss)

564 12-Jan-18 The Bank of New York Mellon 453,002 12-Jan-18 The Bank of New York Mellon 6,961,207 12-Jan-18 The Bank of New York Mellon

(1) (2,317) (24,205)

EUR

(26,523)

GBP

(20,880)

Net EUR

(26,253)

Net GBP

(23,294)

BNY Mellon Absolute Return Bond Fund Sterling W (Acc) (Hedged) Share Class

4,500 12-Jan-18 The Bank of New York Mellon 2,105 12-Jan-18 The Bank of New York Mellon 6,663,710 12-Jan-18 The Bank of New York Mellon

Settle Date Counterparty

BNY Mellon Absolute Return Bond Fund Sterling T (Acc) (Hedged) Share Class cont’d.

EUR (2,698,517)

Swiss franc

Amount (S)

13,122 02-Jan-18 The Bank of New York Mellon 1 02-Jan-18 The Bank of New York Mellon 13,659 03-Jan-18 The Bank of New York Mellon 35,507 12-Jan-18 The Bank of New York Mellon 101 12-Jan-18 The Bank of New York Mellon 2 12-Jan-18 The Bank of New York Mellon 14,652 12-Jan-18 The Bank of New York Mellon 271 12-Jan-18 The Bank of New York Mellon

6 – 19 67 1 – 19 –

EUR

112

GBP

13,021 03-Jan-18 The Bank of New York Mellon 12,137 12-Jan-18 The Bank of New York Mellon 8,237 12-Jan-18 The Bank of New York Mellon 4,133 12-Jan-18 The Bank of New York Mellon 59,121 12-Jan-18 The Bank of New York Mellon 132,908 12-Jan-18 The Bank of New York Mellon 14,795 12-Jan-18 The Bank of New York Mellon 45,014 12-Jan-18 The Bank of New York Mellon 8,056 12-Jan-18 The Bank of New York Mellon 5,089 12-Jan-18 The Bank of New York Mellon 93,945,810 12-Jan-18 The Bank of New York Mellon 309,257 12-Jan-18 The Bank of New York Mellon

(20) (17) (10) (18) (409) (491) (10) (75) (41) (28) (326,658) (1,581)

06571-1A.indd 57

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Bond Fund Sterling W (Acc) (Hedged) Share Class cont’d. Sterling Sterling

Euro Euro

20,541 1,041

Euro

513,706

Sell

Amount (B)

23,316 12-Jan-18 The Bank of New York Mellon 1,183 12-Jan-18 The Bank of New York Mellon

US dollar

Euro

19,273

US dollar

Euro

13,902,444

(172) (10)

Euro

15,957,157

US dollar

4,204

Euro

US dollar

21,752

Euro

US dollar

16,173

Euro

US dollar

843

Euro

US dollar

24,227

Euro

US dollar

17,326

Euro

US dollar

79,582

Unrealised Gain/(Loss)

16,185 02-Jan-18 The Bank of New York Mellon 11,747,877 12-Jan-18 The Bank of New York Mellon

(108) (158,754)

EUR (158,862)

GBP (292,395)

USD (190,452)

Net EUR (329,428)

Net EUR (156,845)

Net GBP (292,296)

Net USD (188,034)

BNY Mellon Absolute Return Bond Fund USD T (Hedged) Share Class 580,819 12-Jan-18 The Bank of New York Mellon

Euro

US dollar

418,867

Euro

US dollar

65,330

Euro

US dollar

613

Euro

US dollar

683

Euro

US dollar

44,629

(2,020)

EUR

(2,020)

GBP

(1,792)

18,041,880 12-Jan-18 The Bank of New York Mellon

EUR

(62,733)

GBP

(55,662)

5,000 12-Jan-18 The Bank of New York Mellon 25,847 12-Jan-18 The Bank of New York Mellon 19,273 12-Jan-18 The Bank of New York Mellon 1,000 12-Jan-18 The Bank of New York Mellon 28,638 12-Jan-18 The Bank of New York Mellon 20,455 12-Jan-18 The Bank of New York Mellon 94,233 12-Jan-18 The Bank of New York Mellon

500,000 03-Jan-18 The Bank of New York Mellon 77,629 12-Jan-18 The Bank of New York Mellon 725 12-Jan-18 The Bank of New York Mellon 804 12-Jan-18 The Bank of New York Mellon 53,082 12-Jan-18 The Bank of New York Mellon

1,828 618 9 13 379

EUR

2,847

USD

3,413

(62,733)

BNY Mellon Absolute Return Bond Fund USD R (Hedged) Share Class Euro

Settle Date Counterparty

EUR (329,540)

BNY Mellon Absolute Return Bond Fund Sterling X (Acc) (Hedged) Share Class Sterling

Amount (S)

BNY Mellon Absolute Return Bond Fund USD R (Hedged) Share Class cont’d.

BNY Mellon Absolute Return Bond Fund Sterling W (Inc) (Hedged) Share Class Sterling

Buy

US dollar

Euro

700,000

US dollar

Euro

US dollar

Euro

500,000

US dollar

Euro

54,361,898

US dollar

Euro

4,620,000

US dollar

Euro

1,331

36 206 107

590,121 12-Jan-18 The Bank of New York Mellon 62 12-Jan-18 The Bank of New York Mellon 418,677 12-Jan-18 The Bank of New York Mellon 45,937,025 12-Jan-18 The Bank of New York Mellon 3,908,364 12-Jan-18 The Bank of New York Mellon 1,131 12-Jan-18 The Bank of New York Mellon

(6,598) (1) (1,875) (620,766) (57,117) (21)

EUR (686,378)

354

USD (822,864)

275

Net EUR (683,531)

1,030

Net USD (819,451) EUR

2,017

USD

2,418

06571-1A.indd 58

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BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Bond Fund USD W (Acc) (Hedged) Share Class Euro

US dollar

2,956

Euro

US dollar

9,398

US dollar

Euro

11,199

US dollar

Euro

3,530

US dollar

Euro

5,203,590

3,530 12-Jan-18 The Bank of New York Mellon 11,199 12-Jan-18 The Bank of New York Mellon

13 62

EUR

USD

9,404 02-Jan-18 The Bank of New York Mellon 2,957 03-Jan-18 The Bank of New York Mellon 4,397,151 12-Jan-18 The Bank of New York Mellon

(63) (13) (59,420)

EUR

(59,496)

USD

(71,327)

Net EUR

(59,421)

Net USD

(71,237)

BNY Mellon Absolute Return Bond Fund USD W (Inc) (Hedged) Share Class Euro

US dollar

2,659,409

US dollar

Euro

14,212

US dollar

Euro

3,694,389

3,130,286 12-Jan-18 The Bank of New York Mellon

49,992

EUR

49,992

USD

59,933

12,032 12-Jan-18 The Bank of New York Mellon 3,121,842 12-Jan-18 The Bank of New York Mellon

(185) (42,187)

EUR

(42,372)

USD

(50,798)

Net EUR

7,620

Net USD

9,135

06571-1A.indd 59

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BNY MELLON ABSOLUTE RETURN EQUITY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

Floating rate notes cont’d.

Collective investment schemes Cayman Islands - 5,544,554 (31 December 2016: 4,567,273)

5,544,554

0.31

5,544,554

0.31

208,902,881

11.58

14,027,422 194,875,459

0.77 10.81

Total investments in collective investment schemes 214,447,435

11.89

3,465,346 Marwyn Value Investors Ltd

United Kingdom - 208,902,881 (31 December 2016: 222,412,023) 1,503,878 Electra Private Equity Plc 194,954,670 Insight Liquidity Funds Plc - GBP Liquidity Fund

Floating rate notes Australia - 77,314,271 (31 December 2016: 77,682,325) 15,200,000 Commonwealth Bank of Australia 1.104% 26-Oct-2018 FRN 25,000,000 National Australia Bank Ltd 0.638% 03-Apr-2018 FRN 17,000,000 National Australia Bank Ltd 0.784% 17-Jul-2020 FRN 20,000,000 Westpac Banking Corp 0.671% 04-Apr-2018 FRN

Canada - 134,818,948 (31 December 2016: 110,479,935) 20,000,000 Bank of Montreal 0.716% 20-Jun-2019 FRN 14,000,000 Bank of Nova Scotia/The 0.544% 05-Apr-2019 FRN 25,000,000 Canadian Imperial Bank of Commerce 0.558% 14-Dec-2018 FRN 15,000,000 Canadian Imperial Bank of Commerce 0.562% 12-Dec-2018 FRN 10,800,000 Royal Bank of Canada 1.063% 09-Oct-2018 FRN 10,000,000 Royal Bank of Canada/London 0.430% 12-Oct-2018 FRN 15,000,000 Royal Bank of Canada/London 0.456% 20-Jul-2018 FRN 7,000,000 Royal Bank of Canada/London 0.512% 19-Jan-2018 FRN 10,000,000 Royal Bank of Canada/London 0.585% 16-Aug-2018 FRN 5,000,000 Royal Bank of Canada/London 0.590% 13-Jun-2018 FRN 2,920,000 Toronto-Dominion Bank/The 0.772% 19-Jan-2018 FRN

Denmark - 15,039,675 (31 December 2016: 15,017,175) 15,000,000 Danske Bank A/S 0.839% 04-Oct-2018 FRN

France - 18,035,370 (31 December 2016: 1,100,968) 18,000,000 Banque Federative du Credit Mutuel SA 0.923% 07-Feb-2019 FRN

Ireland - 19,951,696 (31 December 2016: 19,958,279) 19,950,000 GE Capital UK Funding Unlimited Co 0.809% 16-Jan-2018 FRN

Holdings Description

Fair Total value net assets GBP %

77,314,271

4.29

15,284,816

0.85

25,000,375

1.39

17,024,480

0.94

20,004,600

1.11

134,818,948

7.47

20,009,800

1.11

14,007,560

0.78

25,025,200

1.39

15,000,600

0.83

Netherlands - 42,669,305 (31 December 2016: 53,418,432) 18,000,000 ABN AMRO Bank NV 1.021% 30-Nov-2018 FRN 8,800,000 Bank Nederlandse Gemeenten NV 0.515% 03-Apr-2018 FRN 15,800,000 Nederlandse Waterschapsbank NV 0.524% 09-Apr-2018 FRN

New Zealand - 61,261,259 (31 December 2016: 54,977,067) 20,000,000 ASB Finance Ltd 1.023% 22-May-2020 FRN 21,100,000 ASB Finance Ltd/London 0.951% 01-May-2018 FRN 20,000,000 BNZ International Funding Ltd/London 0.970% 12-Jan-2020 FRN

Supranational - 25,660,205 (31 December 2016: 38,874,758) 5,500,000 European Investment Bank 0.723% 21-May-2021 FRN 20,000,000 European Investment Bank 0.776% 17-Feb-2020 FRN

Sweden - 30,119,250 (31 December 2016: 62,029,453) 30,000,000 Swedbank AB 1.042% 02-Dec-2019 FRN

Total investments in ﬂoating rate notes

0.60

9,999,100

0.55

15,000,525

0.83

6,999,790

0.39

10,001,200

0.55

5,000,925

0.28

2,920,248

0.16

15,039,675

0.83

15,039,675

0.83

18,035,370

1.00

18,035,370

1.00

19,951,696

1.11

19,951,696

1.11

2.37

18,057,690

1.00

8,804,426

0.49

15,807,189

0.88

61,261,259

3.40

20,051,800

1.11

21,126,059

1.17

20,083,400

1.12

25,660,205

1.42

5,533,605

0.31

20,126,600

1.11

30,119,250

1.67

30,119,250

1.67

424,869,979

23.56

17,997,886

1.00

17,997,886

1.00

174,977,981

9.70

10,005,417

0.55

29,983,562

1.66

19,999,703

1.11

24,996,200

1.39

39,992,923 9,999,999 14,998,056 25,002,121

2.22 0.55 0.83 1.39

109,973,418

6.10

49,974,011

2.77

9,999,177

0.56

50,000,230

2.77

29,974,351

1.66

29,974,351

1.66

Certiﬁcate of deposit Denmark - 17,997,886 (31 December 2016: 71,721,315) 18,000,000 Danske Bank A/S 0.540% 11-Jun-2018 CD

10,854,000

42,669,305

France - 174,977,981 (31 December 2016: 234,527,164) 10,000,000 BPCE 0.690% 01-Jun-2018 CD 30,000,000 BRED Banque Populaire SA 0.000% 08-Feb-2018 CD 20,000,000 BRED Banque Populaire SA 0.390% 05-Jan-2018 CD 25,000,000 Credit Agricole Corporate and Investment Bank 0.330% 01-Feb-2018 CD 40,000,000 Credit Agricole Corporate and Investment Bank 0.330% 06-Feb-2018 CD 10,000,000 Group BPCE 0.480% 02-Jan-2018 CD 15,000,000 Societe Generale 0.350% 31-Jan-2018 CD 25,000,000 Societe Generale 0.600% 04-Jul-2018 CD

Japan - 109,973,418 (31 December 2016: 287,138,762) 50,000,000 Sumitomo Mitsui Banking Corp 0.000% 06-Feb-2018 CD 10,000,000 Sumitomo Mitsui Trust Bank Ltd 0.340% 19-Jan-2018 CD 50,000,000 Sumitomo Mitsui Trust Bank Ltd 0.500% 09-Jan-2018 CD

Netherlands - 29,974,351 (31 December 2016: 100,018,589) 30,000,000 ING Bank NV 0.500% 21-Aug-2018 CD

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets GBP %

Holdings Description

Certiﬁcate of deposit cont’d. Sweden - 123,422,057 (31 December 2016: 53,994,914)

Equities 123,422,057

6.84

12,496,126 24,999,616 19,999,629

0.69 1.39 1.11

40,975,216 24,951,470

2.27 1.38

114,976,519

6.38

39,967,412 25,011,653 49,997,454

2.22 1.39 2.77

12,500,000 25,000,000 20,000,000 41,000,000

Nordea Bank AB 0.000% 22-Jan-2018 CD Nordea Bank AB 0.500% 02-Mar-2018 CD Nordea Bank AB 0.500% 05-Mar-2018 CD Svenska Handelsbanken 0.300% 12-Feb-2018 CD 25,000,000 Swedbank AB 0.000% 09-May-2018 CD

Switzerland - 114,976,519 (31 December 2016: 26,741,584) 40,000,000 Credit Suisse 0.500% 17-Aug-2018 CD 25,000,000 Credit Suisse 0.680% 08-May-2018 CD 50,000,000 UBS AG 0.530% 04-May-2018 CD

United Kingdom - 108,988,831 (31 December 2016: 156,193,459)

108,988,831

6.04

7,492,414

0.42

49,999,793 1,499,882

2.77 0.08

49,996,742

2.77

680,311,043

37.72

45,956,313

2.55

29,969,657

1.66

15,986,656

0.89

7,500,000 ABN AMRO Bank NV London Branch 0.000% 12-Mar-2018 CD 50,000,000 BNP Paribas London Branch 0.450% 04-Jan-2018 CD 1,500,000 Mizuho Bank Ltd 0.000% 05-Jan-2018 CD 50,000,000 The Bank of Tokyo-Mitsubishi UFJ 0.510% 16-Apr-2018 CD

Total investments in certiﬁcate of deposit Commercial paper France - 45,956,313 (31 December 2016: 85,663,962) 30,000,000 La Banque Postale S.A. 0.000% 12-Mar-2018 CP 16,000,000 Sce Pour Caisse Des Depots Consignations 0.000% 28-Feb-2018 CP

Germany - 42,490,881 (31 December 2016: 85,913,672) 17,500,000 DGZ Dekabank 0.000% 15-Jan-2018 CP 19,000,000 Erste Abwicklungsanstalt 0.000% 10-Jan-2018 CP 6,000,000 Erste Abwicklungsanstalt 0.000% 31-Jan-2018 CP

Netherlands - 46,988,453 (31 December 2016: 9,999,617) 22,000,000 PACCAR Financial Europe BV 0.000% 12-Jan-2018 CP 25,000,000 PACCAR Financial Europe BV 0.000% 22-Jan-2018 CP

United Kingdom - 29,946,366 (31 December 2016: –) 25,000,000 Mitsubishi UFJ Securities International Plc 0.000% 15-May-2018 CP 5,000,000 PACCAR Financial Plc 0.000% 05-Feb-2018 CP

United States of America - 19,988,759 (31 December 2016: 32,490,031) 20,000,000 Collateralized Commercial Paper Co LLC 0.000% 09-Feb-2018 CP

Total investments in commercial paper

Holdings Description

Fair Total value net assets GBP %

42,490,881

2.36

17,496,264

0.97

18,997,232

1.06

5,997,385

0.33

France - 11,886,015 (31 December 2016: –)

11,886,015

0.66

11,886,015

0.66

14,083,966

0.78

4,702,966 9,381,000

0.26 0.52

87,912,951

4.88

87,912,951

4.88

88,937,747

4.93

2,249,869 11,008,011 1,297,291 9,246,720 2,153,901 13,644,777 7,851,605 10,016,250 12,648,973 1,897,560 2,921,520 4,148,332 9,852,938

0.12 0.61 0.07 0.51 0.12 0.76 0.44 0.56 0.70 0.10 0.16 0.23 0.55

202,820,679

11.25

49,979,000

2.77

49,979,000

2.77

49,979,000

2.77

6,971,162

0.39

(285,711) Euro STOXX Banks 17-Oct-2018 810,642 (18,089) Euro STOXX Chemicals 05-Nov-2018 947,433 (69,212) Euro STOXX Personal & Household Goods 05-Nov-2018 3,367,138 (104,856) STOXX 600- Banks 17-Oct-2018 234,517 (17,500) STOXX 600- Construction & Materials 05-Nov-2018 67,519 (32,246) STOXX 600- Food & Beverage 05-Nov-2018 281,449 (22,014) STOXX 600- Health Care 05-Nov-2018 302,755 (8,217) STOXX 600- Insurance 05-Nov-2018 33,465 12,786 STOXX 600- Oil & Gas 05-Nov-2018 73,307 (165,332) STOXX 600- Technology 11-Jan-2018 852,937

0.05 0.05

589,418 Bureau Veritas SA

Guernsey - 14,083,966 (31 December 2016: 28,776,578) 19,195,778 Sherborne Investors Guernsey B Ltd 8,850,000 Sherborne Investors Guernsey C Ltd

Spain - 87,912,951 (31 December 2016: 75,914,009) 5,210,951 Grifols SA ADR

United Kingdom - 88,937,747 (31 December 2016: 80,536,131) 5,356,830 4,225,724 72,657 3,584,000 536,965 3,863,734 5,017,000 3,750,000 12,274,598 216,000 466,138 471,000 7,521,327

Applied Graphene Materials Plc Biffa Plc 144A Burberry Group Plc ContourGlobal Plc 144A Conviviality Plc Countryside Properties Plc 144A Eddie Stobart Logistics Plc Ibstock Plc 144A Renewi Plc RPC Group Plc RSA Insurance Group Plc Smart Metering Systems Plc Time out Group Plc

Total investments in equities Bonds United Kingdom - 49,979,000 (31 December 2016: –) 50,000,000 United Kingdom Treasury Bill 0.000% 26-Feb-2018

Total investments in bonds Equity index swaps

46,988,453

2.60

21,996,201

1.22

24,992,252

1.38

29,946,366

1.66

24,948,895 4,997,471

1.38 0.28

19,988,759

1.11

19,988,759

1.11

185,370,772

10.28

Europe - 6,971,162 (31 December 2016: –)

0.19 0.01 0.00 0.02 0.02 0.00 0.00 0.05

United Kingdom - 120,766 (31 December 2016: 14,516)

120,766

0.01

(2,306) FTSE 350 General Retail Index 17-Oct-2018

120,766

0.01

7,091,928

0.40

Total investments in equity index swaps

06571-1A.indd 61

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

Equity swaps

Equity swaps cont’d.

Austria - 42,674 (31 December 2016: 955,095)

42,674

0.00

48,000 BAWAG Group AG 26-Jun-2018 97,211 Erste Group Bank AG 26-Jun-2018

14,642 28,032

0.00 0.00

Belgium - 177,732 (31 December 2016: 18,780) (134,985) Colruyt SA 11-Jan-2018

Denmark - 69,405 (31 December 2016: –) 95,000 Danske Bank A/S 26-Jun-2018

Holdings Description

Luxembourg - 907,499 (31 December 2016: 63,741) 1,100,776 Tenaris SA 26-Jun-2018

Netherlands - 2,816,952 (31 December 2016: 9,144,242) 177,732

0.01

177,732

0.01

69,405

0.00

69,405

0.00

461,988 ABN AMRO Group NV 26-Jun-2018 173,973 Koninklijke DSM NV 26-Jun-2018 124,459 Randstad Holding NV 26-Jun-2018

Portugal - 735,765 (31 December 2016: 35,378) 20,424,525 Banco Comercial Portugues SA 26-Jun-2018

Finland - 2,810,519 (31 December 2016: –) 226,093 Neste Oyj 17-Oct-2018

France - 6,824,741 (31 December 2016: 10,117,310) (65,334) Air Liquide SA 26-Jun-2018 (141,200) Cie Generale des Etablissements Michelin 17-Oct-2018 (211,857) Compagnie De Saint-Gobain 11-Jan-2018 159,165 Essilor International SA 26-Jun-2018 (26,505) L’Oreal SA 17-Oct-2018 (2,271,766) Technicolor SA 17-Oct-2018 (107,002) TOTAL SA 17-Oct-2018 (23,000) Unibail-Rodamco SE 11-Jan-2018 (139,408) Valeo SA 17-Oct-2018 (58,180) Vinci SA 05-Nov-2018 2,570,197 Vivendi SA 17-Oct-2018 154,527 Wendel SA 17-Oct-2018 214,602 Zodiac Aerospace 11-Jan-2018

Germany - 7,368,625 (31 December 2016: 4,667,488) (35,000) 64,667 93,828 214,889 204,063 (31,392) (79,280) 109,431 90,000 120,000 314,455

Adidas AG 26-Jun-2018 Beiersdorf AG 17-Oct-2018 Continental AG 17-Oct-2018 Daimler AG 17-Oct-2018 Deutsche Post AG 26-Jun-2018 Draegerwerk AG & Co KGaA 17-Oct-2018 Henkel AG & Co KGaA 26-Jun-2018 LANXESS AG 26-Jun-2018 Linde AG 26-Jun-2018 ProSiebenSat.1 Media SE 26-Jun-2018 Siltronic AG 17-Oct-2018

Ireland - 2,481,371 (31 December 2016: –) 3,120,400 Bank of Ireland Group Plc 26-Jun-2018 (315,000) Glanbia Plc 26-Jun-2018 97,450 Kerry Group Plc 26-Jun-2018

Italy - 3,004,995 (31 December 2016: 2,989,515) (1,044,056) (3,300,000) 674,500 (21,734,789) (541,500)

Eni SpA 17-Oct-2018 Intesa Sanpaolo SpA 17-Oct-2018 Moncler SpA 26-Jun-2018 Telecom Italia SpA 26-Jun-2018 Unione di Banche Italiane SpA 26-Jun-2018

Fair Total value net assets GBP %

2,810,519

0.16

2,810,519

0.16

6,824,741

0.38

344,919

0.02

162,869 314,770 1,701,750 72,904 175,455 175,334 75,511 77,927 17,035 2,816,402 774,665 115,200

0.01 0.02 0.10 0.00 0.01 0.01 0.00 0.00 0.00 0.16 0.04 0.01

7,368,625

0.41

143,769 247,298 878,307 357,133 283,161 795,775 165,308 37,867 2,112,173 18,101 2,329,733

0.01 0.01 0.05 0.02 0.02 0.04 0.01 0.00 0.12 0.00 0.13

2,481,371

0.14

1,004,327 430,065 1,046,979

0.06 0.02 0.06

3,004,995

0.17

135,359 340,966 1,108,603 1,388,511 31,556

0.01 0.02 0.06 0.08 0.00

Spain - 10,744,496 (31 December 2016: 3,266,733) (3,285,327) 1,439,726 (31,938) (163,155) (2,571,940) (432,906) (443,235) (4,078,712) 23,965,270 1,854,420

Banco Bilbao Vizcaya Argentaria SA 26-Jun-2018 Banco de Sabadell SA 26-Jun-2018 Bankia SA 26-Jun-2018 Bankinter SA 17-Oct-2018 CaixaBank SA 26-Jun-2018 Enagas SA 11-Jan-2018 Gestevision Telecinco SA 17-Oct-2018 Grifols SA 05-Nov-2018 Liberbank SA 26-Jun-2018 Merlin Properties Socimi SA 17-Oct-2018

Sweden - 553,112 (31 December 2016: 48,991)

907,499

0.05

907,499

0.05

2,816,952

0.16

818,473 1,915,644 82,835

0.05 0.11 0.00

735,765

0.04

735,765

0.04

10,744,496

0.59

296,530 25,877 45 21,562 156,557 334,175 97,925 6,532,230 2,752,558 527,037

0.02 0.00 0.00 0.00 0.01 0.02 0.00 0.36 0.15 0.03

553,112

0.03

616,111 Nordea Bank AB 26-Jun-2018 (990,000) Skandinaviska Enskilda Banken AB 26-Jun-2018

101,661 451,451

0.01 0.02

Switzerland - 554,185 (31 December 2016: 1,105,986)

554,185

0.03

87,919 217,500 56,336 192,430

0.01 0.01 0.00 0.01

17,509,741

0.97

1,495 561,943 17,760 531,668 1,063,634 2,324,370 321,477 262,128 844,683 102,044 148,842 31,129 55,000 35,480 332,696 633,851 333,626 134,624 4,776 31,600

0.00 0.03 0.00 0.03 0.06 0.13 0.02 0.01 0.05 0.01 0.01 0.00 0.00 0.00 0.02 0.03 0.02 0.01 0.00 0.00

(78,783) 150,000 (13,750) 38,126

Adecco Group AG 17-Oct-2018 Ferguson Plc 11-Jan-2018 Kuehne + Nagel International AG 26-Jun-2018 Roche Holding AG 17-Oct-2018

United Kingdom - 17,509,741 (31 December 2016: 37,400,895) 26,049 1,325,337 238,266 2,576,668 3,998,625 13,526,075 870,000 301,296 779,085 175,000 2,011,382 (371,783) (250,000) 1,013,037 2,285,000 1,864,269 (460,000) (63,704) (333,851) 565,000

Applied Graphene Materials Plc 05-Nov-2018 Ascential Plc 17-Oct-2018 Aviva Plc 11-Jan-2018 BAE Systems Plc 11-Jan-2018 Balfour Beatty Plc 11-Jan-2018 Barclays Plc 05-Nov-2018 Barratt Developments Plc 17-Oct-2018 Bellway Plc 11-Jan-2018 BHP Billiton Plc 11-Jan-2018 Crest Nicholson Holdings 11-Jan-2018 Direct Line Insurance Group Plc 11-Jan-2018 DS Smith Plc 11-Jan-2018 Grafton Group Plc 17-Oct-2018 Grainger Plc 11-Jan-2018 Hollywood Bowl Group Plc 11-Jan-2018 Informa Plc 17-Oct-2018 Inmarsat Plc 05-Nov-2018 Intertek Group Plc 17-Oct-2018 J Sainsbury Plc 11-Jan-2018 JD Sports Fashion Plc 11-Jan-2018

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets GBP %

Holdings Description

Equity swaps cont’d.

Holdings Description

Equity index swaps cont’d.

United Kingdom cont’d. 892,542 2,064,473 12,285,611 (9,499,999) 318,517 (927,950) 1,250,000 (951,538) 365,128 (648,200) 340,000 (1,967) 2,833,826 1,627,590 (211,710) 181,316 383,218 1,500,000 14,260,458 (220,000) 855,000 5,022,966

Europe cont’d.

KAZ Minerals Plc 11-Jan-2018 Land Securities Group Plc 05-Nov-2018 Legal & General Group Plc 17-Oct-2018 Lloyds Banking Group Plc 05-Nov-2018 Mondi Plc 11-Jan-2018 National Grid Plc 11-Jan-2018 NCC Group Ltd 17-Oct-2018 NEX Group Plc 05-Nov-2018 Old Mutual Plc 11-Jan-2018 Persimmon Plc 11-Jan-2018 RELX NV 05-Nov-2018 Royal Dutch Shell Plc 05-Nov-2018 RSA Insurance Group Plc 05-Nov-2018 Schroders Plc 11-Jan-2018 Smiths Group Plc 11-Jan-2018 Spectris Plc 11-Jan-2018 St James’s Place Plc 17-Oct-2018 Standard Chartered Plc 11-Jan-2018 Tesco Plc 11-Jan-2018 Unilever NV 26-Jun-2018 United Utilities Group Plc 11-Jan-2018 Vodafone Group Plc 11-Jan-2018

Total investments in equity swaps

Holdings Description

Underlying exposure GBP

553,088 970,302 1,105,705 22,800 358,462 109,101 56,250 104,669 115,903 356,510 7,542 42,932 538,427 146,483 246,253 57,873 157,656 819,213 2,271,050 476,293 286,131 934,272

0.03 0.05 0.06 0.00 0.02 0.01 0.00 0.01 0.01 0.02 0.00 0.00 0.03 0.01 0.01 0.00 0.01 0.04 0.13 0.03 0.02 0.05

56,601,812

3.14

Fair Total value net assets GBP %

Open futures contracts - 2,596,737 (31 December 2016: –) (817) CAC 40 10 Euro Index Short Futures Contracts Exp Jan-2018 (36) DAX Index Short Futures Contracts Exp Mar-2018 (166) Euro STOXX 50 Index Short Futures Contracts Exp Mar-2018 (517) FTSE MIB Index Short Futures Contracts Exp Mar-2018

(38,561,516)

626,249

0.03

(10,309,718)

196,811

0.01

(5,146,266)

130,969

0.01

(50,069,760)

1,642,708

0.09

2,596,737

0.14

Total open futures contracts Unrealised gain on forward foreign currency contracts - 5,503,179 (see below) (31 December 2016: 43,852,740)

Total ﬁnancial assets at fair value through proﬁt or loss

5,503,179

0.31

1,829,592,564

101.46

Equity index swaps Europe - (1,751,601) (31 December 2016: (13,878,966)) 13,175 (90,576) (54,165) 27,903

Fair Total value net assets GBP %

Euro STOXX Food & Beverage 05-Nov-2018 Euro STOXX Media 05-Nov-2018 Euro STOXX Real Estate 05-Nov-2018 Euro STOXX Utilities 05-Nov-2018

(133,402) (4,465) (62,616) (65,124) 6,924

STOXX 600- Banks 17-Oct-2018 (355,985) STOXX 600- Construction & Materials 05-Nov-2018 (38,846) STOXX 600- Industrial Goods & Service 11-Jan-2018 (110,002) STOXX 600- Media 05-Nov-2018 (310,502) STOXX 600- Oil & Gas 05-Nov-2018 (61,251)

United Kingdom - (4,517,767) (31 December 2016: (6,746,176)) (3,457) (1,150) (931) (2,491) (7,999)

FTSE 250 Index 11-Jan-2018 FTSE 350 General Retail Index 17-Oct-2018 FTSE 350 Mining Index 17-Oct-2018 FTSE 350 REIT Index 17-Oct-2018 Russell UK Mid 150 Index 11-Jan-2018

Total investments in equity index swaps

(0.10)

(77,969) (294,141) (172,133) (330,772)

(0.00) (0.02) (0.01) (0.02)

(4,517,767)

(0.25)

(1,825,875) (104,786) (1,246,554) (704,273) (636,279)

(0.10) (0.01) (0.07) (0.04) (0.03)

(6,269,368)

(0.35)

(206,105)

(0.01)

(193,860) (12,245)

(0.01) (0.00)

Equity swaps Austria - (206,105) (31 December 2016: (1,459,663)) 138,000 BAWAG Group AG 26-Jun-2018 71,742 Erste Group Bank AG 26-Jun-2018

Belgium - (325,141) (31 December 2016: –)

(325,141)

(0.02)

85,960 Anheuser-Busch InBev SA/NV 26-Jun-2018 44,452 KBC Group NV 26-Jun-2018

(293,779) (31,362)

(0.02) (0.00)

Denmark - (297,439) (31 December 2016: (47,628))

(297,439)

(0.02)

(45,000) Chr Hansen Holding A/S 26-Jun-2018 200,000 Danske Bank A/S 26-Jun-2018

(233,296) (64,143)

(0.01) (0.01)

France - (4,435,847) (31 December 2016: (1,868,710)) (9,466) 127,069 658,500 185,015 (308,000) 490,588 324,462 (691,013) (122,390)

(12,000) 38,433 (59,000) 115,995

(4,435,847)

(0.25)

Air Liquide SA 26-Jun-2018 BNP Paribas SA 26-Jun-2018 Credit Agricole SA 17-Oct-2018 Elior EA 05-Nov-2018 Natixis SA 26-Jun-2018 Nexity SA 17-Oct-2018 SPIE SA 05-Nov-2018 Technicolor SA 17-Oct-2018 TOTAL SA 17-Oct-2018

(886,514) (320,223) (481,385) (1,267,318) (35,799) (1,088,224) (315,238) (5,853) (35,293)

(0.05) (0.02) (0.03) (0.07) (0.00) (0.06) (0.02) (0.00) (0.00)

Germany - (997,060) (31 December 2016: (1,730,632))

(997,060)

(0.05)

(8,163) (511,854) (304,137) (172,906)

(0.00) (0.03) (0.01) (0.01)

(687,338)

(0.04)

(687,338)

(0.04)

(2,899,288)

(0.16)

(1,135,861) (1,763,427)

(0.06) (0.10)

Adidas AG 26-Jun-2018 Draegerwerk AG & Co KGaA 17-Oct-2018 HeidelbergCement AG 26-Jun-2018 Henkel AG & Co KGaA 26-Jun-2018

Ireland - (687,338) (31 December 2016: (1,002,443)) (1,831,935) AIB Group Plc 17-Oct-2018

(1,751,601)

(0.02) (0.00) (0.01) (0.02) (0.00)

Italy - (2,899,288) (31 December 2016: (1,584,698)) 3,555,999 Cerved Information Solutions SpA 05-Nov-2018 42,740,858 Telecom Italia SpA 26-Jun-2018

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

Equity swaps cont’d. Luxembourg - (1,123,483) (31 December 2016: (3,575,717)) 36,468 Euroﬁns Scientiﬁc SE 17-Oct-2018 157,612 Tenaris SA 26-Jun-2018

Netherlands - (1,387,138) (31 December 2016: (27,111)) 383,961 ASML Holding NV 17-Oct-2018 197,000 EXOR NV 26-Jun-2018 237,566 Randstad Holding NV 26-Jun-2018

Spain - (3,897,469) (31 December 2016: (9,354,566))

United Kingdom cont’d. (1,123,483)

(0.06)

(1,119,565) (3,918)

(0.06) (0.00)

(1,387,138)

(0.08)

(1,039,078) (204,924) (143,136)

(0.06) (0.01) (0.01)

(3,897,469)

(0.22)

(27,861) (421,103) (977,758) (221,230) (49) (67,483) (1,786,864) (72,345) (53,596) (269,180)

(0.00) (0.02) (0.06) (0.01) (0.00) (0.00) (0.10) (0.01) (0.00) (0.02)

Sweden - (422,654) (31 December 2016: –)

(422,654)

(0.02)

(422,654)

(0.02)

(370,029)

(0.02)

(81,996) Adecco Group AG 17-Oct-2018 (22,721) (713) Chocoladefabriken Lindt & Spruengli AG 26-Jun-2018 (183,933) (14,648) Panalpina Welttransport Holding AG 26-Jun-2018 (163,375)

(0.00) (0.01) (0.01)

580,000 Swedbank AB 26-Jun-2018

Switzerland - (370,029) (31 December 2016: (1,623,065))

United Kingdom - (15,139,180) (31 December 2016: (28,289,407)) 722,520 1,191,734 (85,000) (1,140,000) (450,614) 73,000 376,912 848,713 (1,213,516) 490,459 (181,382) (358,744) 4,450,000 (1,460,000) (86,000) (269,511) (461,854) (5,493,412) 1,570,000 2,754,892 (7,940,000) 348,569 (2,279,843) 1,733,894 295,000

Associated British Foods Plc 11-Jan-2018 Aviva Plc 11-Jan-2018 Berkeley Group Holdings Plc 11-Jan-2018 British Land Co Plc/The 11-Jan-2018 Britvic Plc 05-Nov-2018 Carnival Plc 11-Jan-2018 Crest Nicholson Holdings 11-Jan-2018 CRH Plc 11-Jan-2018 DS Smith Plc 11-Jan-2018 Eddie Stobart Logistics Plc 17-Oct-2018 Experian Group Ltd 17-Oct-2018 Hammerson Plc 17-Oct-2018 Hays Plc 11-Jan-2018 HSBC Holdings Plc 11-Jan-2018 InterContinental Hotels Group Plc 11-Jan-2018 Intertek Group Plc 17-Oct-2018 J D Wetherspoon Plc 11-Jan-2018 J Sainsbury Plc 11-Jan-2018 JD Sports Fashion Plc 11-Jan-2018 Laird Plc 11-Jan-2018 Lloyds Banking Group Plc 05-Nov-2018 London Stock Exchange Group Plc 05-Nov-2018 McCarthy & Stone Plc 11-Jan-2018 Melrose Industries Plc 11-Jan-2018 Mondi Plc 11-Jan-2018

Holdings Description

Equity swaps cont’d.

Antena 3 Television EA 17-Oct-2018 Banco de Sabadell SA 26-Jun-2018 Banco Santander SA 17-Oct-2018 Bankia SA 26-Jun-2018 Bankinter SA 17-Oct-2018 CaixaBank SA 26-Jun-2018 Liberbank SA 26-Jun-2018 Mapfre SA 26-Jun-2018 Red Electrica Corp SA 17-Oct-2018 Telepizza Group SA 17-Oct-2018

116,297 11,752,049 8,366,968 (1,901,642) (95,690) (2,083,228) 24,868,997 1,729,158 (159,855) 1,046,126

Fair Total value net assets GBP %

(1,030,000) (600,000) (750,000) (42,000) 1,394,310 (1,321,569) 1,463,000 (3,629,234) (183,589) (754,407) (395,330) (6,745,868) 2,193,526

Moneysupermarket.com 17-Oct-2018 NEX Group Plc 05-Nov-2018 Pagegroup Plc 11-Jan-2018 Rightmove Plc 17-Oct-2018 RPC Group Plc 17-Oct-2018 Schroders Plc 11-Jan-2018 Shanks Group Plc 05-Nov-2018 Taylor Wimpey Plc 17-Oct-2018 TP ICAP Plc 11-Jan-2018 Travis Perkins Plc 17-Oct-2018 UNITE Group Plc/The 11-Jan-2018 Wm Morrison Supermarkets Plc 11-Jan-2018 ZPG Plc 17-Oct-2018

Total investments in equity swaps

Holdings Description

(0.84)

(3,362,381) (119,046) (443,328) (763,355) (159,968) (53,205) (48,999) (1,182,104) (315,514) (11,675) (109,983) (39,569) (264,541) (482,221) (575,161) (134,756) (18,474) (602,560) (179,287) (228,177) (25,507) (126,385) (237,104) (267,020) (17,700)

(0.19) (0.01) (0.02) (0.04) (0.01) (0.00) (0.00) (0.07) (0.02) (0.00) (0.01) (0.00) (0.01) (0.03) (0.03) (0.01) (0.00) (0.03) (0.01) (0.01) (0.00) (0.01) (0.01) (0.01) (0.00)

(0.02) (0.01) (0.01) (0.01) (0.04) (0.06) (0.00) (0.01) (0.01) (0.06) (0.02) (0.03) (0.03)

(32,188,171)

(1.79)

Underlying exposure GBP

Fair Total value net assets GBP %

Open futures contracts - (1,887,761) (31 December 2016: (2,789,288)) (1,323) FTSE 100 Index Short Futures Contracts Exp Mar-2018

(100,362,780)

(1,887,761)

(0.10)

(1,887,761)

(0.10)

(1,418,089)

(0.08)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(41,763,389)

(2.32)

Net current assets

15,658,024

0.86

1,803,487,199

100.00

Total open futures contracts

(15,139,180)

(406,850) (226,580) (89,116) (200,340) (755,019) (1,003,835) (57,350) (190,140) (102,088) (1,010,905) (344,066) (458,425) (526,446)

Unrealised loss on forward foreign currency contracts - (1,418,089) (see below) (31 December 2016: (1,085,753))

Total net assets

The counterparties for equity index swaps are Barclays Bank PLC, JPMorgan Chase Bank and Bank of America Merrill Lynch. The counterparties for equity swaps are Barclays Bank PLC, JPMorgan Chase Bank, Bank of America Merrill Lynch and Morgan Stanley. The counterparty for futures contracts is Goldman Sachs.

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Transferable securities and money market instruments other than those admitted to ofﬁcial stock exchange listing or traded on a regulated market Financial derivative instruments dealt in on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

% of Total Assets 47.33 45.93 0.14 3.67 2.93

100.00

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund Euro Euro Sterling Sterling

Sterling Sterling Euro Euro

4,500,000 6,000,000 4,459,780 2,667,671

Sterling Sterling

Euro Euro

4,470,280 3,388,535

Euro Sterling Sterling Sterling Sterling

Sterling Euro Euro Euro Euro

3,951,180 5,295,703 5,000,000 3,000,000

Goldman Sachs Goldman Sachs Goldman Sachs Citigroup Funding Inc 5,000,000 07-Feb-18 Goldman Sachs 3,800,000 07-Feb-18 Goldman Sachs

3,112 29,349 13,427

GBP

143,810

Goldman Sachs Barclays Bank PLC UBS AG Bank of America Merrill Lynch 9,500,000 07-Feb-18 Goldman Sachs

(2,737) (28,902) (23,754)

6,000,000 5,331,855 3,523,843 4,000,000 7,081,736 8,000,000 95,732,172 108,000,000 8,332,219

07-Feb-18 07-Feb-18 07-Feb-18 07-Feb-18

45,658 33,415 18,849

(191,945) (105,550)

Buy

Sell

Amount (B)

Amount (S)

Sterling

Euro

133

Sterling

Euro

Sterling

Euro

286

Sterling

Euro

6,321

Sterling

Euro

1,107

150 12-Jan-18 The Bank of New York Mellon 100 12-Jan-18 The Bank of New York Mellon

3,306

BNY Mellon Absolute Return Equity Fund CHF R (Hedged) Share Class

Sterling

Swiss franc

336,838

6,634

254,911 12-Jan-18 The Bank of New York Mellon

763

GBP

763

CHF

1,006

8,763 12-Jan-18 The Bank of New York Mellon

Sterling Euro Euro

Euro Sterling Sterling

478 300 539

Euro

Sterling

928,543

Euro

Sterling

5,159

Euro Euro

Sterling Sterling

509 2,149

Euro

Sterling

1,599,131

Euro

Sterling

73,604

Sterling

Euro

Sterling

542,754,164

Euro

Sterling

5,414,725

2,785,714

GBP

(17)

CHF

(22)

Net GBP

746

Euro

Sterling

3,812,525

Net CHF

984

Euro

Sterling

1,129,738

Euro

Sterling

5,334,618

Euro

Sterling

766,795

Euro

Sterling

37,176

Euro

Sterling

1,491,401

Euro

Sterling

228,903

Euro

Sterling

3,373,452

Euro

Sterling

12,752,245

Sterling

Euro

798,852

Sterling

Euro

345,825

539 02-Jan-18 The Bank of New York Mellon 264 12-Jan-18 The Bank of New York Mellon 478 12-Jan-18 The Bank of New York Mellon 820,818 12-Jan-18 The Bank of New York Mellon 4,557 12-Jan-18 The Bank of New York Mellon 449 12-Jan-18 The Bank of New York Mellon 1,897 12-Jan-18 The Bank of New York Mellon

– 2 – 3,298 22 3 11

–

3,336

EUR

3,760

(3) (1) (47) (6)

GBP

(57)

EUR

(64)

Net GBP

3,279

Net EUR

3,696

BNY Mellon Absolute Return Equity Fund EUR R (Hedged) Share Class

(17)

BNY Mellon Absolute Return Equity Fund EUR D (Acc) (Hedged) Share Class

–

GBP

2,937 12-Jan-18 The Bank of New York Mellon 324 12-Jan-18 The Bank of New York Mellon 7,175 12-Jan-18 The Bank of New York Mellon 1,253 12-Jan-18 The Bank of New York Mellon

Net GBP (209,078)

Sterling

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund EUR D (Acc) (Hedged) Share Class cont’d.

GBP (352,888)

Swiss franc

Settle Date Counterparty

1,418,265 02-Jan-18 The Bank of New York Mellon 65,279 02-Jan-18 The Bank of New York Mellon 3,135,279 03-Jan-18 The Bank of New York Mellon 479,786,893 12-Jan-18 The Bank of New York Mellon 4,764,333 12-Jan-18 The Bank of New York Mellon 3,382,606 12-Jan-18 The Bank of New York Mellon 999,221 12-Jan-18 The Bank of New York Mellon 4,727,484 12-Jan-18 The Bank of New York Mellon 677,526 12-Jan-18 The Bank of New York Mellon 32,810 12-Jan-18 The Bank of New York Mellon 1,313,917 12-Jan-18 The Bank of New York Mellon 202,121 12-Jan-18 The Bank of New York Mellon 2,979,739 12-Jan-18 The Bank of New York Mellon 11,243,707 12-Jan-18 The Bank of New York Mellon 899,150 12-Jan-18 The Bank of New York Mellon 389,055 12-Jan-18 The Bank of New York Mellon

614 28 3,761 1,927,477 41,435 1,150 3,464 7,186 3,033 185 9,757 1,039 14,324 74,381 823 524

GBP 2,089,181 EUR 2,354,588

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Euro

3,381,317

Euro

Sterling

389,055

Euro

Sterling

3,135,279

Euro

Sterling

5,435,090

Sterling

Euro

140,349

Sterling

Euro

493,779

Sterling

Euro

936,222

Sterling Sterling Sterling

Euro Euro Euro

8,253,823 1,418,805 65,304

Sterling

Euro

592,582

Sterling

Euro

269,963

Sterling

Euro

304,153

Sterling

Euro

522,889

Sterling

Euro

519,863

Sterling

Euro

483,798

3,812,525 02-Jan-18 The Bank of New York Mellon 345,678 03-Jan-18 The Bank of New York Mellon 2,786,901 12-Jan-18 The Bank of New York Mellon 4,828,816 12-Jan-18 The Bank of New York Mellon 158,373 12-Jan-18 The Bank of New York Mellon 558,276 12-Jan-18 The Bank of New York Mellon 1,059,576 12-Jan-18 The Bank of New York Mellon 9,314,111 12-Jan-18 The Bank of New York Mellon 1,599,131 12-Jan-18 The Bank of New York Mellon 73,604 12-Jan-18 The Bank of New York Mellon 672,628 12-Jan-18 The Bank of New York Mellon 306,817 12-Jan-18 The Bank of New York Mellon 344,625 12-Jan-18 The Bank of New York Mellon 592,174 12-Jan-18 The Bank of New York Mellon 588,552 12-Jan-18 The Bank of New York Mellon 548,708 12-Jan-18 The Bank of New York Mellon

Euro

247,721

Euro

Sterling

20,762,207

Euro

Sterling

25,970

Sterling

Euro

108,651

Sterling

Euro

36,665

Sterling

Euro

23,033

Euro

Sterling

122,233

Euro

Sterling

278,807

Sterling

Euro

9,737,220

Amount (B)

Amount (S)

Sterling

Euro

214

Settle Date Counterparty

Sterling

Euro

133,405

Sterling

Euro

19,016

Sterling

Euro

18,719

Sterling

Euro

25,682

(467) (4,225) (4,973) (213)

Unrealised Gain/(Loss)

(1) (597) (107) (139) (89)

(1,712)

GBP

(16,560)

(4,191)

EUR

(18,664)

Net GBP

57,718

Net EUR

65,050

(12,795) (482) (22) (4,400) (2,348) (1,714) (2,688) (2,499) (3,200)

BNY Mellon Absolute Return Equity Fund EUR T (Hedged) Share Class Euro

Sterling

911,112

Sterling

Euro

106,003

Euro

Sterling

462,674

Euro

Sterling

52,690

Euro

Sterling

55,591

GBP

(47,393)

Euro

Sterling

376,196,169

EUR

(53,414)

Euro

Sterling

56,838

Net GBP 2,041,788

Euro

Sterling

1,297,880

Net EUR 2,301,174

Euro

Sterling

147,875

Euro

Sterling

42,983

Euro

Sterling

113,963

Euro

Sterling

720,110

Euro

Sterling

44,009

Sterling

Euro

551,942

Sterling

Euro

3,144,064

278,807 03-Jan-18 The Bank of New York Mellon 18,353,493 12-Jan-18 The Bank of New York Mellon 23,042 12-Jan-18 The Bank of New York Mellon 122,233 12-Jan-18 The Bank of New York Mellon 41,268 12-Jan-18 The Bank of New York Mellon

243 12-Jan-18 The Bank of New York Mellon 150,983 12-Jan-18 The Bank of New York Mellon 21,546 12-Jan-18 The Bank of New York Mellon 21,247 12-Jan-18 The Bank of New York Mellon 29,037 12-Jan-18 The Bank of New York Mellon

(1,464)

BNY Mellon Absolute Return Equity Fund EUR R (Inc) (Hedged) Share Class Sterling

Sell

BNY Mellon Absolute Return Equity Fund EUR R (Inc) (Hedged) Share Class cont’d.

BNY Mellon Absolute Return Equity Fund EUR R (Hedged) Share Class cont’d. Sterling

Buy

334 73,733 8 165

808,062 02-Jan-18 The Bank of New York Mellon 119,305 03-Jan-18 The Bank of New York Mellon 410,501 12-Jan-18 The Bank of New York Mellon 46,361 12-Jan-18 The Bank of New York Mellon 49,264 12-Jan-18 The Bank of New York Mellon 332,552,015 12-Jan-18 The Bank of New York Mellon 50,271 12-Jan-18 The Bank of New York Mellon 1,146,782 12-Jan-18 The Bank of New York Mellon 130,509 12-Jan-18 The Bank of New York Mellon 37,868 12-Jan-18 The Bank of New York Mellon 100,629 12-Jan-18 The Bank of New York Mellon 636,067 12-Jan-18 The Bank of New York Mellon 38,803 12-Jan-18 The Bank of New York Mellon 620,938 12-Jan-18 The Bank of New York Mellon 3,538,812 12-Jan-18 The Bank of New York Mellon

350 143 140 403 75 1,335,982 174 5,134 735 281 517 3,058 257 837 3,238

GBP 1,351,324

GBP

74,278

EUR 1,522,995

EUR

83,714

25,970 02-Jan-18 The Bank of New York Mellon 108,605 03-Jan-18 The Bank of New York Mellon 247,827 12-Jan-18 The Bank of New York Mellon 10,988,066 12-Jan-18 The Bank of New York Mellon

Sterling

Euro

410,344

Euro

Sterling

620,938

Euro

Sterling

119,305

Euro

Sterling

255,241

(10) (147) (376)

462,674 02-Jan-18 The Bank of New York Mellon 551,707 03-Jan-18 The Bank of New York Mellon 106,048 12-Jan-18 The Bank of New York Mellon 226,769 12-Jan-18 The Bank of New York Mellon

(178) (745) (161) (234)

(15,094)

06571-1A.indd 66

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BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund EUR T (Hedged) Share Class cont’d. Sterling

Euro

816,388

Sterling

Euro

2,326,764

Sterling

Euro

372,274

Sterling

Euro

808,370

Sterling

Euro

234,740

Sterling

Euro

151,043

Sterling

Euro

5,543,018

Sterling

Euro

5,659,828

Sterling

Euro

165,164

Sterling

Euro

62,486

Buy

Sell

Amount (B)

923,024 12-Jan-18 The Bank of New York Mellon 2,633,332 12-Jan-18 The Bank of New York Mellon 421,462 12-Jan-18 The Bank of New York Mellon 911,112 12-Jan-18 The Bank of New York Mellon 264,887 12-Jan-18 The Bank of New York Mellon 171,662 12-Jan-18 The Bank of New York Mellon 6,280,580 12-Jan-18 The Bank of New York Mellon 6,424,360 12-Jan-18 The Bank of New York Mellon 187,049 12-Jan-18 The Bank of New York Mellon 70,870 12-Jan-18 The Bank of New York Mellon

Sterling

Euro

65,279

Sterling

Euro

906,509

Euro

Sterling

77,553

Euro

Sterling

1,036,503

Euro

Sterling

80,176

Sterling

Euro

301,020

Sterling

Euro

809,330

Sterling

Euro

644,114

Sterling

Euro

88,584

Sterling

Euro

485,552

Sterling

Euro

125,355

Sterling

Euro

40,102

Sterling

Euro

7,112,817

Net GBP 1,258,506

Sterling

Euro

230,685

Net EUR 1,418,385

Sterling

Euro

357,518

(2,830) (10,416) (1,790) (275) (357) (1,314) (31,228) (42,028) (849) (413)

(92,818)

EUR (104,610)

BNY Mellon Absolute Return Equity Fund EUR U (Hedged) Share Class Sterling Euro

Sterling Euro Sterling

99,843 920,939 315,409

Euro

Sterling

73,604

Euro

Sterling

651,241

Euro

Sterling

1,022,113

Euro

Sterling

1,776,142

Euro

Sterling

9,314,111

Euro

Sterling

1,183,617

Euro

Sterling

1,576,263

Euro

Sterling

472,611,103

Euro

Sterling

645,903

Euro

Sterling

7,468,688

Euro

Sterling

82,705

Euro

Sterling

317,365

Sterling

Euro

68,936

Sterling

Euro

139,256

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund EUR U (Hedged) Share Class cont’d.

GBP

Euro

Amount (S)

88,550 02-Jan-18 The Bank of New York Mellon 1,036,503 03-Jan-18 The Bank of New York Mellon 279,512 12-Jan-18 The Bank of New York Mellon 65,304 12-Jan-18 The Bank of New York Mellon 575,045 12-Jan-18 The Bank of New York Mellon 906,855 12-Jan-18 The Bank of New York Mellon 1,570,946 12-Jan-18 The Bank of New York Mellon 8,254,318 12-Jan-18 The Bank of New York Mellon 1,045,822 12-Jan-18 The Bank of New York Mellon 1,386,930 12-Jan-18 The Bank of New York Mellon 417,781,433 12-Jan-18 The Bank of New York Mellon 570,051 12-Jan-18 The Bank of New York Mellon 6,579,876 12-Jan-18 The Bank of New York Mellon 72,922 12-Jan-18 The Bank of New York Mellon 280,326 12-Jan-18 The Bank of New York Mellon 77,553 12-Jan-18 The Bank of New York Mellon 156,740 12-Jan-18 The Bank of New York Mellon

73,604 02-Jan-18 The Bank of New York Mellon 1,022,113 02-Jan-18 The Bank of New York Mellon 68,906 03-Jan-18 The Bank of New York Mellon 921,331 12-Jan-18 The Bank of New York Mellon 71,233 12-Jan-18 The Bank of New York Mellon 340,682 12-Jan-18 The Bank of New York Mellon 915,044 12-Jan-18 The Bank of New York Mellon 726,836 12-Jan-18 The Bank of New York Mellon 99,843 12-Jan-18 The Bank of New York Mellon 549,708 12-Jan-18 The Bank of New York Mellon 142,468 12-Jan-18 The Bank of New York Mellon 45,438 12-Jan-18 The Bank of New York Mellon 8,073,618 12-Jan-18 The Bank of New York Mellon 261,252 12-Jan-18 The Bank of New York Mellon 405,485 12-Jan-18 The Bank of New York Mellon

(28) (393) (93) (1,397) (73) (1,348) (2,805) (979) (30) (2,334) (1,090) (226) (52,818) (1,186) (2,365)

GBP

(67,165)

EUR

(75,698)

Net GBP 1,704,845 1,243

Net EUR 1,921,426

425 22 2,956

BNY Mellon Absolute Return Equity Fund EUR U (Inc) (Hedged) Share Class Sterling

Euro

22,863

Euro

Sterling

4,995,260

Euro

Sterling

10,988,066

Euro

Sterling

1,003

308 5,446 12,300 4,682

25,732 03-Jan-18 The Bank of New York Mellon 4,415,738 12-Jan-18 The Bank of New York Mellon 9,737,803 12-Jan-18 The Bank of New York Mellon 889 12-Jan-18 The Bank of New York Mellon

31 17,740 14,511 1

12,062

GBP

32,283

1,678,379

EUR

36,384

3,212 48,860 482 1,348 104 143

GBP 1,772,010 EUR 1,997,124 67

06571-1A.indd 67

23/04/18 10:43

BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund EUR U (Inc) (Hedged) Share Class cont’d. Euro

Sterling

Euro

Sterling

Euro

25,732 6,093 176,846

Sterling Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar US dollar US dollar

101 17,390 234 14,513 23,447 385

Sterling

US dollar

44,352

Sterling

US dollar

11,668

US dollar

US dollar US dollar US dollar US dollar

Sterling

Sterling Sterling Sterling Sterling

59,308 135 41,534,071 17,624

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Absolute Return Equity Fund USD T (Hedged) Share Class 22,873 12-Jan-18 The Bank of New York Mellon 5,414 12-Jan-18 The Bank of New York Mellon 200,573 12-Jan-18 The Bank of New York Mellon

38,307

Sterling

US dollar

61,978

Sterling

US dollar

145,908

Sterling

US dollar

1,551,388

Sterling

US dollar

1,495,057

Sterling

US dollar

193,145

(1,170)

(1,211)

EUR

(1,365)

Net GBP

31,072

Net EUR

35,019

US dollar

Sterling

9,576

US dollar

Sterling

29,507,814

137

51,385 12-Jan-18 The Bank of New York Mellon 82,981 12-Jan-18 The Bank of New York Mellon 195,993 12-Jan-18 The Bank of New York Mellon 2,077,842 12-Jan-18 The Bank of New York Mellon 2,000,000 12-Jan-18 The Bank of New York Mellon 258,782 12-Jan-18 The Bank of New York Mellon

289 585 902 14,089 15,350 1,685

GBP

32,900

USD

44,453

7,150 12-Jan-18 The Bank of New York Mellon 22,045,984 12-Jan-18 The Bank of New York Mellon

(65) (214,530)

GBP (214,595)

USD (289,950)

Net GBP (181,695)

Net USD (245,497)

3 478 120

BNY Mellon Absolute Return Equity Fund USD U (Hedged) Share Class Sterling

US dollar

372,064

Sterling

US dollar

14,479

Sterling

US dollar

9,070

–

GBP

926

USD

1,251

44,274 12-Jan-18 The Bank of New York Mellon 101 12-Jan-18 The Bank of New York Mellon 31,031,085 12-Jan-18 The Bank of New York Mellon 13,122 12-Jan-18 The Bank of New York Mellon

US dollar

(6)

GBP

135 02-Jan-18 The Bank of New York Mellon 23,320 12-Jan-18 The Bank of New York Mellon 314 12-Jan-18 The Bank of New York Mellon 19,492 12-Jan-18 The Bank of New York Mellon 31,565 12-Jan-18 The Bank of New York Mellon 515 12-Jan-18 The Bank of New York Mellon 59,300 12-Jan-18 The Bank of New York Mellon 15,609 12-Jan-18 The Bank of New York Mellon 24 12-Jan-18 The Bank of New York Mellon

Sterling (35)

BNY Mellon Absolute Return Equity Fund USD R (Hedged) Share Class Sterling

Buy

(394)

500,000 12-Jan-18 The Bank of New York Mellon 19,370 12-Jan-18 The Bank of New York Mellon 12,148 12-Jan-18 The Bank of New York Mellon

2,137 149 82

GBP

2,368

USD

3,200

(1) US dollar

Sterling

500,000

US dollar

Sterling

44,125,762

(301,964) (83)

372,178 03-Jan-18 The Bank of New York Mellon 32,967,399 12-Jan-18 The Bank of New York Mellon

(2,136) (320,807)

GBP (302,442)

GBP (322,943)

USD (408,645)

USD (436,345)

Net GBP (301,516)

Net GBP (320,575)

Net USD (407,394)

Net USD (433,145)

06571-1A.indd 68

23/04/18 10:43

BNY MELLON ASIA RISING STARS FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities Chevron Lubricants Lanka Plc China Resources Cement Holdings Ltd Dowa Holdings Co Ltd KPX Chemical Co Ltd Sakata INX Corp Sanyo Chemical Industries Ltd Waskita Beton Precast Tbk PT

Consumer Discretionary - 2,578,955 104,600 200,000 19,000 11,724 90,000 550,400 6,800 211 7,316 13,500 1,650 3,800 4,100 700 212,000 5,600 14,900 50,800 82,900 102,200 13,600 20,400 16,100

2,200 63 34 43,300 13,642 20,000 6,900 2,410,300 29 29,000 7,200 23,190 40,000

882,690

6.42

36,498 98,746 212,594 93,742 264,258 120,606 56,246

0.26 0.72 1.55 0.68 1.92 0.88 0.41

2,578,955

18.75

ABS-CBN Holdings Corp Bloomberry Resorts Corp BreadTalk Group Ltd CJ Hello Co Ltd Dongfeng Motor Group Co Ltd GMA Holdings Inc HIS Co Ltd Hyundai Mobis Co Ltd KT Skylife Co Ltd Lii Hen Industries BHD Modetour Network Inc Nifco Inc/Japan Open Door Inc Padini Holdings Bhd Qingling Motors Co Ltd RE&S Holdings Ltd Resorttrust Inc Saha Pathanapibul PCL Somboon Advance Technology PCL Straco Corp Ltd Tomy Co Ltd Vector Inc Yonex Co Ltd

72,185 43,630 24,106 77,536 108,880 62,570 246,580 51,885 91,745 12,026 47,086 259,716 280,038 915 67,814 1,100 339,079 81,835 55,326 65,025 185,177 301,245 103,456

0.52 0.32 0.18 0.56 0.79 0.45 1.79 0.38 0.67 0.09 0.34 1.89 2.04 0.01 0.49 0.01 2.46 0.60 0.40 0.47 1.35 2.19 0.75

Consumer Staples - 519,213

519,213

3.77

131,591 899 6,677 24,227 17,597 100,980 1,017 96,376 32,195 38,261 5,506 44,643 19,244

0.96 0.01 0.05 0.17 0.13 0.73 0.01 0.70 0.23 0.28 0.04 0.32 0.14

293,565

2.13

93,392 200,173

0.68 1.45

1,405,755

10.22

126,405 297,222 71,031 85,801 30,770 249,256 92,140

0.92 2.16 0.52 0.62 0.22 1.81 0.67

Ain Holdings Inc BGF Co Ltd BGF retail Co Ltd Bumitama Agri Ltd Cargills Ceylon Plc Chlitina Holding Ltd Emperador Inc Industri Jamu Dan Farmasi Sido Muncul Tbk PT LG Household & Health Care Ltd Mandom Indonesia Tbk PT Oldtown Bhd Robinsons Retail Holdings Inc Tenfu Cayman Holdings Co Ltd

Energy - 293,565 36,000 China Shenhua Energy Co Ltd 5,500 Nippon Gas Co Ltd

Financials - 1,405,755 5,000 9,200 1,560,671 469,400 4,800 7,900 136,000

Holdings Description

Equities cont’d. Basic Materials - 882,690

47,000 150,000 5,200 1,445 16,500 2,300 1,875,000

Fair Total value net assets USD %

77 Bank Ltd/The Anicom Holdings Inc Bank Permata Tbk PT Bank Tabungan Pensiunan Nasional Tbk PT Dah Sing Financial Holdings Ltd eGuarantee Inc First Paciﬁc Co Ltd/Hong Kong

Financials cont’d. 280,000 8,026,200 20,990 4,800

Paciﬁc Century Regional Developments Ltd Panin Financial Tbk PT Rizal Commercial Banking Corp Zenkoku Hosho Co Ltd

78,596 144,344 23,284 206,906

0.57 1.05 0.17 1.51

Health Care - 134,718

134,718

0.98

120,700 Thai Nakarin Hospital PCL

134,718

0.98

Industrials - 1,493,448

1,493,448

10.85

13,773 17,939 222,757 17,626 46,427 45,134 226,788 246,820 21,892 146,691 216,082 50,818 47,853 172,848

0.10 0.13 1.62 0.13 0.34 0.33 1.65 1.79 0.16 1.06 1.57 0.37 0.35 1.25

3,182,826

23.14

65,000 709,600 7,700 23,200 19,400 119,400 17,000 33,100 20,000 219,000 12,500 1,351,900 980,000 5,200

Advancecon Holdings Bhd Arwana Citramulia Tbk PT BayCurrent Consulting Inc Cogent Holdings Ltd/Singapore Hong Leong Industries Bhd LT Group Inc Nichias Corp Penta-Ocean Construction Co Ltd Precision Tsugami China Corp Ltd Qingdao Port International Co Ltd 144A Star Micronics Co Ltd Surya Semesta Internusa Tbk PT Total Bangun Persada Tbk PT Totetsu Kogyo Co Ltd

Information Technology - 3,182,826 2,000 330 29,500 2,900 260 5,000 28,000 50,000 6,100 133 40 65 20,000 5,800 10 47,000 11,000 17,000 400 35,000 20,600 4,000 46,600 590 10,000 300

AAC Technologies Holdings Inc Alibaba Group Holding Ltd ADR Anritsu Corp Atrae Inc Baidu Inc ADR Catcher Technology Co Ltd Hon Hai Precision Industry Co Ltd iFAST Corp Ltd Itokuro Inc NAVER Corp NetEase Inc ADR NHN Entertainment Corp Osaki Electric Co Ltd RS Technologies Co Ltd Samsung Electronics Co Ltd Sanken Electric Co Ltd Taiwan Semiconductor Manufacturing Co Ltd TechMatrix Corp Tencent Holdings Ltd Transcend Information Inc V-Cube Inc Venture Corp Ltd Wacom Co Ltd Yageo Corp Yangtze Optical Fibre and Cable Joint Stock Ltd Co 144A YY Inc ADR

Real Estate - 299,456 14,200 174,600 2,800,000 332,500 84,300 107,000

APAC Realty Ltd Lippo Malls Indonesia Retail Trust Puradelta Lestari Tbk PT Sinarmas Land Ltd Viva Industrial Trust Yoma Strategic Holdings Ltd

35,724 56,864 333,896 241,634 61,023 55,152 89,527 33,403 329,356 108,023 13,994 4,156 145,047 309,034 23,806 339,190 84,741 299,613 20,784 97,208 100,240 61,215 252,228 6,989 45,966 34,013

0.26 0.41 2.43 1.76 0.44 0.40 0.65 0.24 2.39 0.79 0.10 0.03 1.05 2.25 0.17 2.47 0.62 2.18 0.15 0.71 0.73 0.45 1.83 0.05 0.33 0.25

299,456

2.18

9,327 51,951 35,394 100,177 59,157 43,450

0.07 0.38 0.26 0.73 0.43 0.31

06571-1A.indd 69

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BNY MELLON ASIA RISING STARS FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Equities cont’d. Telecommunication Services - 1,015,540 224,500 63,000 9,000 124,000 88,000 950,425 154,000 160,000 40,000 609 101,293 402,800

8,000 93,000 324,000 220,000 144,000

1,015,540

7.38

APT Satellite Holdings Ltd 97,809 Asia Satellite Telecommunications Holdings Ltd 56,265 China Mobile Ltd 91,290 China Telecom Corp Ltd 58,942 China Unicom Hong Kong Ltd 119,015 Dialog Axiata Plc 80,492 Hutchison Telecommunications Hong Kong Holdings Ltd 61,970 Link Net Tbk PT 64,713 PCCW Ltd 23,261 SK Telecom Co Ltd 152,030 SmarTone Telecommunications Holdings Ltd 122,023 XL Axiata Tbk PT 87,730

0.71 0.41 0.66 0.43 0.87 0.58 0.45 0.47 0.17 1.10 0.89 0.64

Utilities - 293,241

293,241

2.13

29,045 10,684 109,652 28,336 115,524

0.21 0.08 0.80 0.20 0.84

12,099,407

87.95

China Resources Gas Group Ltd Energy Development Corp Huaneng Renewables Corp Ltd Perusahaan Gas Negara Persero Tbk Towngas China Co Ltd

Total investments in equities

Holdings Description Description

Fair Total value net assets USD %

Unrealised gain on forward foreign currency contracts - 7,021 (see below)

7,021

0.05

13,162,918

95.68

Total ﬁnancial assets at fair value through proﬁt or loss

Unrealised loss on forward foreign currency contracts - (669) (see below)

(669)

(0.00)

(669)

(0.00)

594,479

4.32

13,756,728

100.00

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Transferable securities and money market instruments other than those admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

% of Total Assets 86.55 7.56 0.05 5.84

100.00

Participatory Notes (“P-Notes”) 120,334

0.87

1,691 Monsanto India Ltd P-Note 04-Feb-2019 12,851 Rallis India Ltd P-Note 16-Jan-2019

Basic Materials - 120,334

66,994 53,340

0.48 0.39

Consumer, Cyclical - 53,536

53,536

0.39

500 Hero MotoCorp Ltd P-Note 05-Feb-2020 3,000 HSIL Ltd P-Note 12-Oct-2021

29,799 23,737

0.22 0.17

94,771

0.69

94,771

0.69

31,284

0.23

31,284

0.23

Electrical Components - 94,771 8,568 Finolex Cables Ltd P-Note 27-May-2021

Energy - 31,284 5,400 Oil India Ltd P-Note 24-Jun-2019

Financials - 565,408 4,536 8,000 65,000 24,150 349,992 59,924

565,408

4.11

Bajaj Holdings & Investment Ltd P-Note 14-Jan-2019 Bank of Baroda P-Note 26-Nov-2018 Dena Bank P-Note 25-Oct-2022 Shalby Ltd P-Note 20-Dec-2019 South Indian Bank Ltd/The P-Note 21-Jan-2019 Vijaya Bank P-Note 03-Sep-2019

203,774 20,233 25,561 81,547 170,123 64,170

1.48 0.15 0.18 0.59 1.24 0.47

Health Care - 77,650

77,650

0.56

77,650

0.56

20,203

0.15

20,203

0.15

53,382

0.39

53,382

0.39

39,922

0.29

39,922

0.29

1,056,490

7.68

3,825 Merck Limited P-Note 13-Oct-2021

Information Technology - 20,203 478 Tata Consultancy Services Ltd P-Note 26-Sep-2018

Textile & Textile Products - 53,382 60,627 Vardhman Acrylics Ltd P-Note 13-Jan-2022

Utilities - 39,922 75,000 SJVN Ltd P-Note 30-May-2022

Total investments in participatory notes

06571-1A.indd 70

23/04/18 10:43

BNY MELLON ASIA RISING STARS FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Asia Rising Stars Fund US dollar

Malaysian ringgit

132

540 02-Jan-18 The Bank of NewYork Mellon

USD

(1)

BNY Mellon Asia Rising Stars Fund SGD H (Acc) (Hedged) Share Class Singapore dollar

US dollar

4,972

Singapore dollar

US dollar

5,000

Singapore dollar

US dollar

49,000

Singapore dollar

US dollar

25,182

Singapore dollar

US dollar

33,688

Singapore dollar

US dollar

67,610

Singapore dollar

US dollar

512,388

Singapore dollar

US dollar

19,400

Singapore dollar

US dollar

147,000

US dollar

Singapore dollar

96,372

US dollar

Singapore dollar

893

US dollar

Singapore dollar

5,362

3,712 12-Jan-18 The Bank of NewYork Mellon 3,717 12-Jan-18 The Bank of NewYork Mellon 36,630 12-Jan-18 The Bank of NewYork Mellon 18,808 12-Jan-18 The Bank of NewYork Mellon 25,040 12-Jan-18 The Bank of NewYork Mellon 50,223 12-Jan-18 The Bank of NewYork Mellon 379,444 12-Jan-18 The Bank of NewYork Mellon 14,411 12-Jan-18 The Bank of NewYork Mellon 109,055 12-Jan-18 The Bank of NewYork Mellon

10 26 54 44 180 393 4,155 113 997

USD

5,972

SGD

7,978

129,560 12-Jan-18 The Bank of NewYork Mellon 1,201 12-Jan-18 The Bank of NewYork Mellon 7,214 12-Jan-18 The Bank of NewYork Mellon

(623) (6) (39)

USD

(668)

SGD

(892)

Net USD

5,304

Net SGD

7,086

BNY Mellon Asia Rising Stars Fund SGD W (Acc) (Hedged) Share Class Singapore dollar

US dollar

2,946

Singapore dollar

US dollar

127,770

2,193 12-Jan-18 The Bank of NewYork Mellon 94,619 12-Jan-18 The Bank of NewYork Mellon

13 1,036

USD

1,049

SGD

1,401

06571-1A.indd 71

23/04/18 10:43

BNY MELLON ASIAN EQUITY FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Equities

Amcor Ltd/Australia CSL Ltd Domino’s Pizza Enterprises Ltd Kidman Resources Ltd Mesoblast Ltd MYOB Group Ltd Oil Search Ltd SEEK Ltd

China - 17,449,832 (31 December 2016: 14,415,214) 1,030,500 15,526 7,202 10,000,000 17,334 2,407,500 49,500 16,046 43,280 34,797 32,000 22,254 62,084

Holdings Description

Equities cont’d. Australia - 7,316,172 (31 December 2016: 10,593,554)

97,044 14,499 35,039 345,194 277,005 237,286 147,683 58,540

Fair Total value net assets USD %

3SBio Inc 144A Alibaba Group Holding Ltd ADR Baidu Inc ADR Boshiwa International Holding Ltd* China Biologic Products Holdings Inc China Harmony New Energy Auto Holding Ltd China Mobile Ltd Ctrip.com International Ltd ADR Hollysys Automation Technologies Ltd JD.com Inc ADR Silergy Corp Tarena International Inc ADR Tencent Holdings Ltd

Hong Kong - 5,337,007 (31 December 2016: 7,426,799) 384,200 AIA Group Ltd 900,000 Man Wah Holdings Ltd 234,000 Sands China Ltd

7,316,172

10.25

1,169,820 1,602,034 1,279,878 506,141 316,804 670,791 900,230 870,474

1.64 2.25 1.79 0.71 0.44 0.94 1.26 1.22

17,449,832

24.44

2,025,268 2,675,363 1,690,345 – 1,371,119 1,754,298 502,094 717,978 984,620 1,448,425 730,144 324,241 3,225,937

2.84 3.75 2.37 0.00 1.92 2.46 0.70 1.00 1.38 2.03 1.02 0.45 4.52

5,337,007

7.47

3,275,200 854,456 1,207,351

4.59 1.19 1.69

South Korea - 10,676,454 (31 December 2016: 5,134,452) 727 1,765 21,297 22,328

LG Household & Health Care Ltd Samsung Electronics Co Ltd Samsung SDI Co Ltd SK Hynix Inc

Taiwan - 3,882,655 (31 December 2016: 4,200,992) 504,000 Taiwan Semiconductor Manufacturing Co Ltd

United States of America - 690,572 (31 December 2016: 420,397)

10,676,454

14.95

807,098 4,201,674 4,073,197 1,594,485

1.13 5.88 5.71 2.23

3,882,655

5.44

3,882,655

5.44

690,572

0.97

690,572

0.97

68,926,622

96.54

0.00

68,926,623

96.54

(178)

(0.00)

(178)

(0.00)

2,467,729

3.46

71,394,174

100.00

13,356 Applied Materials Inc

Total investments in equities Unrealised gain on forward foreign currency contracts - 1 (see below) (31 December 2016: –)

Total ﬁnancial assets at fair value through proﬁt or loss Unrealised loss on forward foreign currency contracts - (178) (see below) (31 December 2016: (11))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

* The Company is subject to trading suspension on the Hong Kong Stock Exchange.

India - 19,791,963 (31 December 2016: 14,326,588) 108,700 71,444 424,030 67,510 148,228 587,817 194,503 17,108 167,891 644,697

19,791,963

27.72

Apollo Hospitals Enterprise Ltd Cipla Ltd/India Fortis Healthcare Ltd Hindustan Unilever Ltd Indiabulls Housing Finance Ltd ITC Ltd LIC Housing Finance Ltd Maruti Suzuki India Ltd Reliance Nippon Life Asset Management Ltd 144A Vakrangee Ltd

2,054,703 680,272 1,068,089 1,442,299 2,774,594 2,425,082 1,716,938 2,610,030 789,313 4,230,643

2.88 0.95 1.50 2.02 3.89 3.40 2.40 3.66 1.10 5.92

New Zealand - 405,019 (31 December 2016: 840,925)

405,019

0.57

39,824 Fisher & Paykel Healthcare Corp Ltd

405,019

0.57

Philippines - 3,376,948 (31 December 2016: 8,847,724)

3,376,948

4.73

674,302 2,021,843 680,803

0.95 2.83 0.95

1,982,400 First Gen Corp 78,180 GT Capital Holdings Inc 134,971 Security Bank Corp

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

% of Total Assets 95.57 0.00 4.43

100.00

06571-1A.indd 72

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BNY MELLON ASIAN EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Asian Equity Fund US dollar

Hong Kong dollar

1,509

US dollar

Hong Kong dollar

2,649

11,794 02-Jan-18 Royal Bank ofScotland 20,697 03-Jan-18 The Bank of New York Mellon

USD US dollar

Euro

49,687

41,594 02-Jan-18 JPMorgan Chase Bank

– 1

(178)

USD

(178)

Net USD

(177)

06571-1A.indd 73

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BNY MELLON ASIAN INCOME FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

9,321,218 Mellon Investments Funds ICVC Newton Asian Income Fund

21,726,827

99.69

21,726,827

99.69

Total investments in collective investment schemes

21,726,827

99.69

Unrealised gain on forward foreign currency contracts - 4,338 (see below) (31 December 2016: 1,627)

4,338

0.02

Total ﬁnancial assets at fair value through proﬁt or loss Unrealised loss on forward foreign currency contracts - (280) (see below) (31 December 2016: (10))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Buy

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Sterling

17,391

Euro

Sterling

755,643

Sterling

21,731,165

Euro

86,349

99.71

(280)

(0.00)

(280)

(0.00)

64,062

0.29

21,794,947

100.00

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Sterling

117,303

% of Total Assets 99.56 0.02 0.42

100.00

15,434 12-Jan-18 The Bank of New York Mellon 667,975 12-Jan-18 The Bank of New York Mellon

24 3,734

GBP

3,758

EUR

4,229

97,262 12-Jan-18 The Bank of New York Mellon

(110)

GBP

(110)

EUR

(124)

Net GBP

3,648

Net EUR

4,105

BNY Mellon Asian Income Fund EUR J (Inc) (Hedged) Share Class

Sterling

Total assets

Amount (B)

Euro

Analysis of portfolio

Sell

BNY Mellon Asian Income Fund EUR H (Inc) (Hedged) Share Class

Collective investment schemes United Kingdom - 21,726,827 (31 December 2016: 17,847,250)

Forward foreign currency contracts

Euro

104,104

103,694 12-Jan-18 The Bank of New York Mellon

580

GBP

580

EUR

653

117,303 12-Jan-18 The Bank of New York Mellon

(170)

GBP

(170)

EUR

(191)

Net GBP

410

Net EUR

462

06571-1A.indd 74

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BNY MELLON BRAZIL EQUITY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Basic Materials - 13,438,360 (31 December 2016: 17,791,908) Gerdau SA ADR Gerdau SA Pfd Metalurgica Gerdau SA Pfd Usinas Siderurgicas de Minas Gerais SA Pfd Vale SA

Communications - 2,284,495 (31 December 2016: 2,911,652) 132,640 Telefonica Brasil SA ADR 21,685 Telefonica Brasil SA Pfd

Consumer, Cyclical - 4,059,936 (31 December 2016: 3,466,556) 446,688 B2W Cia Digital 251,831 Lojas Americanas SA 60,439 Lojas Americanas SA Pfd

Consumer, Non-cyclical - 10,226,738 (31 December 2016: 7,679,123) 432,300 622,924 117,616 807,938

Ambev SA ADR Atacadao Distribuicao Comercio e Industria Ltda Cia Brasileira de Distribuicao Pfd Marfrig Global Foods SA

Energy - 8,603,050 (31 December 2016: 9,887,164) 77,664 358,101 7,000 980,383 2,000 40,666

Cosan SA Industria e Comercio Petrobras Distribuidora SA Petroleo Brasileiro SA ADR Petroleo Brasileiro SA Pfd Ultrapar Participacoes SA Ultrapar Participacoes SA ADR

Financials - 14,586,457 (31 December 2016: 21,070,222) 324,099 25,554 369,614 245,378 230,703 861 922,592

B3 SA - Brasil Bolsa Balcao Banco Bradesco SA ADR Banco Bradesco SA Pfd Banco do Brasil SA Itau Unibanco Holding SA Pfd Itausa - Investimentos Itau SA Itausa - Investimentos Itau SA Pfd

Industrials - 3,749,143 (31 December 2016: 4,560,785) 63,133 44,200 90,646 1,204,875 86,853

Holdings Description

Equities cont’d.

Equities

98,700 602,331 2,057,399 783,923 418,684

Fair Total value net assets USD %

Embraer SA Embraer SA ADR Iochpe Maxion SA Santos Brasil Participacoes SA Tupy SA

13,438,360

20.96

366,671 2,245,281 3,594,292 2,151,765 5,080,351

0.57 3.50 5.61 3.36 7.92

2,284,495

3.56

1,966,388 318,107

3.07 0.49

Utilities - 8,321,208 (31 December 2016: 11,810,389)

8,321,208

12.98

626,540 1,571,006 2,190,861 1,826,449

0.98 2.45 3.42 2.85

1,244,681 861,671

1.94 1.34

65,269,387

101.79

Consumer, Cyclical - 24,964 (31 December 2016: –)

24,964

0.04

8,199 Iochpe Maxion SA Warrants 20-Apr-2019

24,964

0.04

24,964

0.04

Unrealised gain on forward foreign currency contracts - 39,717 (see below) (31 December 2016: 2,239) 39,717

0.06

162,621 395,086 287,326 435,551 252,599

AES Tiete Energia SA Cia Energetica de Sao Paulo Pfd Cia Paranaense de Energia ADR EDP - Energias do Brasil SA Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 80,063 Engie Brasil Energia SA

Total investments in equities Warrants

4,059,936

6.33

2,755,862 993,780 310,294

4.30 1.55 0.48

10,226,738

15.95

2,790,497 2,858,190 2,796,354 1,781,697

4.35 4.46 4.36 2.78

8,603,050

13.42

971,766 1,832,554 72,065 4,756,946 45,178 924,541

1.52 2.86 0.11 7.42 0.07 1.44

14,586,457

22.75

2,225,243 261,801 3,767,342 2,356,430 2,962,118 2,743 3,010,780

3.47 0.41 5.88 3.67 4.62 0.00 4.70

3,749,143

5.84

380,937 1,057,927 627,289 1,205,928 477,062

0.59 1.65 0.98 1.88 0.74

Total investments in warrants

Total ﬁnancial assets at fair value through proﬁt or loss

65,334,068

Unrealised loss on forward foreign currency contracts - (116) (see below) (31 December 2016: (6,295))

101.89

(116)

(0.00)

(116)

(0.00)

Net current liabilities

(1,213,383)

(1.89)

Total net assets

64,120,569

100.00

Total ﬁnancial liabilities at fair value through proﬁt or loss

Total assets

% of Total Assets 96.68 0.06 3.26

100.00

06571-1A.indd 75

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BNY MELLON BRAZIL EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Brazil Equity Fund EUR H (Hedged) Share Class Euro

US dollar

961

Euro

US dollar

17,931

Euro

US dollar

3,000

Euro

US dollar

2,000

Euro

US dollar

2,128,136

Euro

US dollar

3,994

Euro

US dollar

55,257

US dollar

Euro

3,568

US dollar

Euro

6,411

US dollar

Euro

1,143

1,143 02-Jan-18 The Bank of New York Mellon 21,309 12-Jan-18 The Bank of New York Mellon 3,570 12-Jan-18 The Bank of New York Mellon 2,381 12-Jan-18 The Bank of New York Mellon 2,516,364 12-Jan-18 The Bank of New York Mellon 4,714 12-Jan-18 The Bank of New York Mellon 65,686 12-Jan-18 The Bank of New York Mellon

10 219 31 20 38,700 81 656

USD

39,717

EUR

33,102

3,000 02-Jan-18 The Bank of New York Mellon 5,402 12-Jan-18 The Bank of New York Mellon 961 12-Jan-18 The Bank of New York Mellon

(31) (75) (10)

USD

(116)

EUR

(97)

Net USD

39,601

Net EUR

33,005

06571-1A.indd 76

23/04/18 10:43

BNY MELLON DYNAMIC TOTAL RETURN FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Collective investment schemes

6,345 iShares USD TIPS UCITS ETF USD Acc

United States of America - 1,293,763 (31 December 2016: 785,534) 46,935 SPDR Bloomberg Barclays Short Term High Yield Bond ETF

Total investments in collective investment schemes

1,301,645

4.78

1,301,645

4.78

1,293,763

4.76

1,293,763

4.76

2,595,408

9.54

Bonds United States of America - 19,157,136 (31 December 2016: 11,893,885) United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 01-Feb-2018 United States Treasury Bill 0.000% 08-Feb-2018 United States Treasury Bill 0.000% 15-Feb-2018 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 08-Mar-2018* United States Treasury Bill 0.000% 15-Mar-2018 United States Treasury Bill 0.000% 29-Mar-2018 United States Treasury Bill 0.000% 12-Apr-2018 United States Treasury Bill 0.000% 19-Apr-2018

Total investments in bonds

19,157,136

70.40

1,978,876 2,086,806 1,537,029 1,766,335 2,156,587 1,227,138 1,864,178 1,980,526 2,014,221 2,545,440

7.27 7.67 5.65 6.49 7.93 4.51 6.85 7.28 7.40 9.35

19,157,136

70.40

Future options - 1,503,813 (31 December 2016: 1,499,853) 13 Euro-Bund Future Put 23-Feb-2018 175.000 129 U.S. 10 Year Treasury Note Future Call 23-Feb-2018 114.000

Total future options

207,766

0.76

1,296,047

4.76

1,503,813

5.52

Index options - 49,950 (31 December 2016: 35,877) 36 E-mini S&P 500 Index Put 15-Jun-2018 1,975.000 36 E-mini S&P 500 Index Put 21-Sep-2018 2,100.000

Total index options

Holdings Description

Underlying exposure USD

11,700 38,250

0.04 0.14

49,950

0.18

Fair Total value net assets USD %

Open futures contracts - 252,815 (31 December 2016: 207,249) 39 E-mini S&P 500 Index Long Futures Contracts Exp Mar-2018 (27) Euro-Bund Short Futures Contracts Exp Mar-2018 31 FTSE 100 Index Long Futures Contracts Exp Mar-2018 1 Hang Seng Index Long Futures Contracts Exp Jan-2018

Fair Total value net assets USD %

Open futures contracts cont’d.

Ireland - 1,301,645 (31 December 2016: 784,110)

1,979,000 2,089,000 1,539,000 1,769,000 2,161,000 1,230,000 1,869,000 1,987,000 2,022,000 2,556,000

Holdings Description

Underlying exposure USD

5,218,200

37,653

0.14

(5,237,781)

40,895

0.15

3,196,860

98,999

0.37

191,659

3,450

0.01

4 S&P TSX 60 Index Long Futures Contracts Exp Mar-2018 (2) SPI 200 Index Short Futures Contracts Exp Mar-2018 10 Swiss Market Index Long Futures Contracts Exp Mar-2018 23 TOPIX Index Long Futures Contracts Exp Mar-2018

609,324

769

0.00

(234,855)

0.00

951,203

1,509

0.01

3,708,986

69,467

0.26

252,815

0.94

62,924

0.23

23,622,046

86.81

Total open futures contracts Unrealised gain on forward foreign currency contracts - 62,924 (see below) (31 December 2016: 143,580)

Total ﬁnancial assets at fair value through proﬁt or loss

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - (246,810) (31 December 2016: (148,319)) 3 AEX Index Long Futures Contracts Exp Jan-2018 391,991 15 CAC 40 10 Euro Index Long Futures Contracts Exp Jan-2018 955,771 44 Canadian 10 Year Treasury Bond Long Futures Contracts Exp Mar-2018 4,717,836 2 DAX Index Long Futures Contracts Exp Mar-2018 774,504 3 FTSE MIB Index Long Futures Contracts Exp Mar-2018 391,577 10 IBEX 35 Index Long Futures Contracts Exp Jan-2018 1,202,347 76 SFE 10 Year Australian Treasury Bond Long Futures Contracts Exp Mar-2018 7,658,939 (2) U.S. 10 Year Treasury Note Short Futures Contracts Exp Mar-2018 (248,094) (52) UK Long Gilt Short Futures Contracts Exp Mar-2018 (8,787,213)

Total open futures contracts

(4,568)

(0.02)

(12,194)

(0.04)

(66,860)

(0.25)

(10,548)

(0.04)

(10,526)

(0.04)

(26,013)

(0.10)

(62,740)

(0.23)

(301)

(0.00)

(53,060)

(0.19)

(246,810)

(0.91)

06571-1A.indd 77

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BNY MELLON DYNAMIC TOTAL RETURN FUND

Portfolio of investments – as at 31December2017

Holdings Description Description Unrealised loss on forward foreign currency contracts - (155,537) (see below) (31 December 2016: (92,633))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Fair Total value net assets USD %

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Financial derivative instruments dealt in on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Dynamic Total Return Fund (155,537)

(0.57)

Australian dollar US dollar Australian dollar US dollar

220,762 144,738

(402,347)

(1.48)

Australian dollar US dollar Japanese yen US dollar

365,500 56,044,000

3,992,919

14.67

27,212,618

100.00

Norwegian krone US dollar Norwegian krone US dollar Norwegian krone US dollar

142,846 236,500 93,654

* Held as collateral by JPMorgan Chase Bank in respect of futures contracts, future options and index options held by the Fund. The counterparty for future options is JPMorgan Chase Bank. The counterparty for index options is JPMorgan Chase Bank. The counterparty for futures contracts is JPMorgan Chase Bank.

Analysis of portfolio

Forward foreign currency contracts

% of Total Assets 76.84 6.38 0.22 16.56

Sterling

US dollar

41,000

Sterling Swiss franc

US dollar US dollar

164,000 82,200

Swiss franc Swiss franc Swiss franc Swiss franc Swiss franc

US dollar US dollar US dollar US dollar US dollar

328,800 60,500 130,410 36,542 1,642,174

Swiss franc

US dollar

23,958

Swiss franc

US dollar

377,120

100.00

169,038 22-Mar-18 Goldman Sachs 110,874 22-Mar-18 Citigroup Global Markets Limited 279,810 22-Mar-18 Morgan Stanley 495,743 22-Mar-18 Citigroup Global Markets Limited 17,303 22-Mar-18 Goldman Sachs 28,640 22-Mar-18 Morgan Stanley 11,333 22-Mar-18 Citigroup Global Markets Limited 55,274 22-Mar-18 Citigroup Global Markets Limited 221,081 22-Mar-18 Morgan Stanley 84,488 22-Mar-18 Citigroup Global Markets Limited 338,029 22-Mar-18 Morgan Stanley 61,622 22-Mar-18 Morgan Stanley 132,522 22-Mar-18 Bank of Montreal 37,223 22-Mar-18 Goldman Sachs 1,667,707 22-Mar-18 Citigroup Global Markets Limited 24,400 22-Mar-18 Citigroup Global Markets Limited 383,179 22-Mar-18 Morgan Stanley

USD Japanese yen Japanese yen

US dollar US dollar

3,347,972 2,195,028

Japanese yen US dollar

US dollar Australian dollar

5,543,000 89,480

US dollar US dollar

Canadian dollar Canadian dollar

292,532 289,822

US dollar

Canadian dollar

50,483

US dollar US dollar US dollar US dollar US dollar

Canadian dollar Canadian dollar Canadian dollar Euro Euro

77,011 127,486 492,429 165,999 172,601

US dollar US dollar

Euro Euro

104,593 68,556

US dollar US dollar US dollar US dollar US dollar US dollar

Euro Japanese yen Japanese yen Japanese yen New Zealand dollar New Zealand dollar

173,170 419,868 206,559 422,857 180,211 63,823

US dollar US dollar

New Zealand dollar New Zealand dollar

255,382 243,660

US dollar

Norwegian krone

403,143

US dollar US dollar US dollar US dollar US dollar

Norwegian krone Norwegian krone Sterling Sterling Sterling

262,006 74,132 85,320 141,270 262,272

29,916 22-Mar-18 Goldman Sachs 19,606 22-Mar-18 Citigroup Global Markets Limited 49,517 22-Mar-18 Morgan Stanley 118,589 22-Mar-18 Citigroup Global Markets Limited 376,310 22-Mar-18 Bank of Montreal 372,895 22-Mar-18 Citigroup Global Markets Limited 64,746 22-Mar-18 Citigroup Global Markets Limited 98,754 22-Mar-18 Goldman Sachs 163,500 22-Mar-18 Morgan Stanley 633,435 22-Mar-18 Goldman Sachs 140,570 22-Mar-18 Goldman Sachs 146,306 22-Mar-18 Citigroup Global Markets Limited 88,184 22-Mar-18 Goldman Sachs 57,816 22-Mar-18 Citigroup Global Markets Limited 146,000 22-Mar-18 Morgan Stanley 47,384,160 22-Mar-18 Bank of Montreal 23,324,956 22-Mar-18 Goldman Sachs 47,751,284 22-Mar-18 Morgan Stanley 260,360 22-Mar-18 Morgan Stanley 90,200 22-Mar-18 Citigroup Global Markets Limited 360,800 22-Mar-18 Morgan Stanley 352,000 22-Mar-18 Citigroup Global Markets Limited 3,362,458 22-Mar-18 Citigroup Global Markets Limited 2,184,008 22-Mar-18 Goldman Sachs 618,507 22-Mar-18 Morgan Stanley 63,420 22-Mar-18 Goldman Sachs 105,000 22-Mar-18 Morgan Stanley 196,000 22-Mar-18 Citigroup Global Markets Limited

3,188 2,042 5,332 3,686 134 228 99 229 932 353 1,335 822 2,078 493 27,228 328 6,057

54,564 (81) (45) (121) (3,036) (7,151) (7,141) (1,079) (1,634) (2,721) (12,021) (3,475) (3,788) (1,723) (1,148) (2,851) (2,390) (1,298) (2,672) (4,125) (39) (67) (5,559) (7,290) (4,581) (1,365) (534) (872) (3,061)

06571-1A.indd 78

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BNY MELLON DYNAMIC TOTAL RETURN FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Dynamic Total Return Fund cont’d. US dollar

Sterling

56,052

US dollar US dollar

Sterling Sterling

702,901 1,385,004

US dollar US dollar US dollar

Swedish krona Swedish krona Swedish krona

186,147 308,799 1,216,854

41,580 22-Mar-18 Citigroup Global Markets Limited 525,490 22-Mar-18 Bank of Montreal 1,036,156 22-Mar-18 Citigroup Global Markets Limited 1,560,780 22-Mar-18 Goldman Sachs 2,590,000 22-Mar-18 Morgan Stanley 10,209,405 22-Mar-18 Citigroup Global Markets Limited

(237) (8,475)

110,528 12-Jan-18 The Bank of New York Mellon

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Sterling

US dollar

65,688

87,870 12-Jan-18 The Bank of New York Mellon

850

USD

850

GBP

630

(33,766)

BNY Mellon Dynamic Total Return Fund EUR H (Acc) (Hedged) Share Class 93,475

Amount (B)

(17,679) (5,044) (8,468)

Net USD (100,973)

US dollar

Sell

BNY Mellon Dynamic Total Return Fund Sterling W (Acc) (Hedged) Share Class

USD (155,537)

Euro

Buy

BNY Mellon Dynamic Total Return Fund Sterling W (Inc) (Hedged) Share Class Sterling

US dollar

65,688

87,870 12-Jan-18 The Bank of New York Mellon

850

USD

850

GBP

630

1,700

USD

1,700

EUR

1,417

BNY Mellon Dynamic Total Return Fund EUR I (Acc) (Hedged) Share Class Euro

US dollar

90,534

107,050 12-Jan-18 The Bank of New York Mellon

1,646

USD

1,646

EUR

1,372

BNY Mellon Dynamic Total Return Fund EUR W (Acc) (Hedged) Share Class Euro

US dollar

91,119

107,742 12-Jan-18 The Bank of New York Mellon

1,657

USD

1,657

EUR

1,381

BNY Mellon Dynamic Total Return Fund EUR W (Inc) (Hedged) Share Class Euro

US dollar

91,119

107,742 12-Jan-18 The Bank of New York Mellon

1,657

USD

1,657

EUR

1,381

06571-1A.indd 79

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BNY MELLON DYNAMIC U.S. EQUITY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Bonds Government - 8,546,194 950,000 950,000 950,000 950,000 950,000 15,000 950,000 950,000 950,000 950,000

United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 01-Feb-2018 United States Treasury Bill 0.000% 08-Feb-2018 United States Treasury Bill 0.000% 15-Feb-2018 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 08-Mar-2018* United States Treasury Bill 0.000% 15-Mar-2018 United States Treasury Bill 0.000% 29-Mar-2018 United States Treasury Bill 0.000% 12-Apr-2018 United States Treasury Bill 0.000% 19-Apr-2018

Total investments in bonds

16.65

949,941 949,002 948,783 948,569 948,060 14,965 947,549 946,905 946,345 946,075

1.85 1.85 1.85 1.85 1.85 0.03 1.85 1.84 1.84 1.84

955 1,223 169 1,636 683 134 6,391 548 2,394

Symantec Corp Time Warner Inc TripAdvisor Inc Twenty-First Century Fox Inc - Class A Twenty-First Century Fox Inc - Class B VeriSign Inc Verizon Communications Inc Viacom Inc Walt Disney Co/The

8,546,194

16.65

873,524

1.70

56,628 22,000 15,398 261,192 20,938 19,785 39,715 18,772 37,226 55,604 80,750 14,018 31,071 31,602 46,496 69,848 52,481

0.11 0.04 0.03 0.51 0.04 0.04 0.08 0.04 0.07 0.11 0.16 0.03 0.06 0.06 0.09 0.13 0.10

4,851,700

9.45

492,055 493,915 733,280 374,111 33,338 25,194 104,219 298,667 295,313 5,350 6,691 16,856 58,437 22,755 12,992 659,144 12,341 16,846 22,769 130,193 9,644 3,142 26,082 132,101 12,638

0.96 0.96 1.43 0.73 0.07 0.05 0.20 0.58 0.58 0.01 0.01 0.03 0.11 0.04 0.03 1.29 0.02 0.03 0.04 0.25 0.02 0.01 0.05 0.26 0.03

115 192 674 439 45 413 309 285 633 40 690 1,598 195 1,035 405 368 529 447 193 6,165 341 2,064 229 391 567 265 177 318 1,839 261 388 205 316 480 1,328 473 487 532 1,260 805 236 99 762 2,065 181 277 137 546

Equities Basic Materials - 873,524 345 172 362 3,662 226 209 2,093 123 642 504 691 546 828 497 398 451 128

Air Products & Chemicals Inc Albemarle Corp CF Industries Holdings Inc DowDuPont Inc Eastman Chemical Co FMC Corp Freeport-McMoRan Inc International Flavors & Fragrances Inc International Paper Co LyondellBasell Industries NV Monsanto Co Mosaic Co/The Newmont Mining Corp Nucor Corp PPG Industries Inc Praxair Inc Sherwin-Williams Co/The

467 472 627 9,616 565 1,510 310 7,793 7,369 239 316 353 1,548 190 99 3,734 612 591 252 678 594 189 358 76 148

Alphabet Inc - Class A Alphabet Inc - Class C Amazon.com Inc AT&T Inc CBS Corp CenturyLink Inc Charter Communications Inc Cisco Systems Inc Comcast Corp Discovery Communications Inc - Class A Discovery Communications Inc - Class C DISH Network Corp eBay Inc Expedia Inc F5 Networks Inc Facebook Inc Interpublic Group of Cos Inc/The Juniper Networks Inc Motorola Solutions Inc Netﬂix Inc News Corp - Class A News Corp - Class B Omnicom Group Inc Priceline Group Inc/The Scripps Networks Interactive Inc

Communications - 4,851,700

Communications cont’d.

8,546,194

26,802 112,015 5,823 56,499 23,307 15,338 338,883 16,887 258,073

0.05 0.22 0.01 0.11 0.05 0.03 0.66 0.03 0.50

Consumer, Cyclical - 3,192,825

3,192,825

6.22

Advance Auto Parts Inc Alaska Air Group Inc American Airlines Group Inc Aptiv Plc AutoZone Inc Best Buy Co Inc BorgWarner Inc CarMax Inc Carnival Corp Chipotle Mexican Grill Inc Costco Wholesale Corp CVS Health Corp Darden Restaurants Inc Delta Air Lines Inc Dollar General Corp Dollar Tree Inc DR Horton Inc Fastenal Co Foot Locker Inc Ford Motor Co Gap Inc/The General Motors Co Genuine Parts Co Goodyear Tire & Rubber Co/The Hanesbrands Inc Harley-Davidson Inc Hasbro Inc Hilton Worldwide Holdings Inc Home Depot Inc/The Kohl’s Corp L Brands Inc Leggett & Platt Inc Lennar Corp LKQ Corp Lowe’s Cos Inc Macy’s Inc Marriott International Inc/MD Mattel Inc McDonald’s Corp MGM Resorts International Michael Kors Holdings Ltd Mohawk Industries Inc Newell Brands Inc NIKE Inc Nordstrom Inc Norwegian Cruise Line Holdings Ltd O’Reilly Automotive Inc PACCAR Inc

11,465 14,115 35,072 37,243 32,011 28,276 15,785 18,281 42,015 11,562 128,481 115,943 18,731 57,965 37,681 39,496 27,019 24,449 9,047 77,032 11,616 84,634 21,756 12,635 11,859 13,485 16,088 25,394 348,904 14,150 23,363 9,786 19,985 19,524 123,431 11,917 66,105 8,190 217,041 26,883 14,857 27,316 23,550 129,238 8,575 14,749 32,951 38,812

0.02 0.03 0.07 0.07 0.06 0.05 0.03 0.04 0.08 0.02 0.25 0.23 0.04 0.11 0.07 0.08 0.05 0.05 0.02 0.15 0.02 0.16 0.04 0.02 0.02 0.03 0.03 0.05 0.68 0.03 0.05 0.02 0.04 0.04 0.24 0.02 0.13 0.02 0.42 0.05 0.03 0.05 0.05 0.25 0.02 0.03 0.06 0.08

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BNY MELLON DYNAMIC U.S. EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Consumer, Cyclical cont’d. 431 120 86 605 268 94 856 2,268 439 849 158 989 197 91 287 289 402 508 1,365 2,295 113 82 160 125 536

PulteGroup Inc PVH Corp Ralph Lauren Corp Ross Stores Inc Royal Caribbean Cruises Ltd Signet Jewelers Ltd Southwest Airlines Co Starbucks Corp Tapestry Inc Target Corp Tiffany & Co TJX Cos Inc/The Tractor Supply Co Ulta Beauty Inc Under Armour Inc - Class A Under Armour Inc - Class C United Continental Holdings Inc VF Corp Walgreens Boots Alliance Inc Wal-Mart Stores Inc Whirlpool Corp WW Grainger Inc Wyndham Worldwide Corp Wynn Resorts Ltd Yum! Brands Inc

2,728 2,498 521 346 113 526 3,008 252 1,144 413 875 692 137 779 415 333 2,134 2,574 304 302 492 1,229 268 388 396 133 200 6,015 1,385 646 272 75

Abbott Laboratories AbbVie Inc Aetna Inc Alexion Pharmaceuticals Inc Align Technology Inc Allergan Plc Altria Group Inc AmerisourceBergen Corp Amgen Inc Anthem Inc Archer-Daniels-Midland Co Automatic Data Processing Inc Avery Dennison Corp Baxter International Inc Becton Dickinson and Co Biogen Inc Boston Scientiﬁc Corp Bristol-Myers Squibb Co Brown-Forman Corp Campbell Soup Co Cardinal Health Inc Celgene Corp Centene Corp Church & Dwight Co Inc Cigna Corp Cintas Corp Clorox Co/The Coca-Cola Co/The Colgate-Palmolive Co Conagra Brands Inc Constellation Brands Inc Cooper Cos Inc/The

Consumer, Non-cyclical - 7,792,360

Fair Total value net assets USD %

Consumer, Non-cyclical cont’d. 14,329 16,465 8,917 48,560 31,971 5,315 56,038 130,263 19,419 55,401 16,431 75,614 14,727 20,354 4,146 3,848 27,097 37,589 99,133 226,930 19,064 19,373 18,556 21,076 43,746

0.03 0.03 0.02 0.09 0.06 0.01 0.11 0.25 0.04 0.11 0.03 0.15 0.03 0.04 0.01 0.01 0.05 0.07 0.19 0.44 0.04 0.04 0.04 0.04 0.09

7,792,360

15.19

155,837 241,969 94,111 41,390 25,113 86,083 214,907 23,140 198,959 92,952 35,074 81,099 15,738 50,358 88,854 106,099 52,912 157,825 20,880 14,531 30,147 128,277 27,051 19,472 80,461 20,726 29,749 276,359 104,574 24,338 62,178 16,342

0.30 0.47 0.18 0.08 0.05 0.17 0.42 0.05 0.39 0.18 0.07 0.16 0.03 0.10 0.17 0.21 0.10 0.31 0.04 0.03 0.06 0.25 0.05 0.04 0.16 0.04 0.06 0.54 0.20 0.05 0.12 0.03

733 962 238 357 282 405 328 1,521 188 188 348 899 141 897 2,050 238 325 449 246 220 435 419 225 136 565 227 265 174 223 176 4,200 386 549 941 1,395 158 185 327 2,126 4,287 287 2,371 645 258 833 523 128 1,775 2,239 207 9,347 2,434 3,994 236 212 120 221 196 400

Coty Inc Danaher Corp DaVita Inc DENTSPLY SIRONA Inc Dr Pepper Snapple Group Inc Ecolab Inc Edwards Lifesciences Corp Eli Lilly & Co Envision Healthcare Corp Equifax Inc Estee Lauder Cos Inc/The Express Scripts Holding Co Gartner Inc General Mills Inc Gilead Sciences Inc Global Payments Inc H&R Block Inc HCA Healthcare Inc Henry Schein Inc Hershey Co/The Hologic Inc Hormel Foods Corp Humana Inc IDEXX Laboratories Inc IHS Markit Ltd Illumina Inc Incyte Corp Intuitive Surgical Inc IQVIA Holdings Inc JM Smucker Co/The Johnson & Johnson Kellogg Co Kimberly-Clark Corp Kraft Heinz Co/The Kroger Co/The Laboratory Corp of America Holdings McCormick & Co Inc/MD McKesson Corp Medtronic Plc Merck & Co Inc Molson Coors Brewing Co Mondelez International Inc Monster Beverage Corp Moody’s Corp Mylan NV Nielsen Holdings Plc Patterson Cos Inc PayPal Holdings Inc PepsiCo Inc Perrigo Co Plc Pﬁzer Inc Philip Morris International Inc Procter & Gamble Co/The Quanta Services Inc Quest Diagnostics Inc Regeneron Pharmaceuticals Inc ResMed Inc Robert Half International Inc S&P Global Inc

14,576 89,307 17,199 23,503 27,375 54,353 36,974 128,547 6,496 22,170 44,285 67,124 17,368 53,188 146,893 23,873 8,523 39,451 17,194 24,980 18,598 15,249 55,835 21,268 25,518 49,605 25,099 63,503 21,835 21,869 587,349 26,246 66,256 73,196 38,314 25,205 18,854 51,004 171,749 241,530 23,556 101,491 40,835 38,095 35,265 19,040 4,627 130,684 268,534 18,045 338,875 257,176 367,548 9,233 20,881 45,130 18,718 10,887 67,790

0.03 0.17 0.03 0.05 0.05 0.11 0.07 0.25 0.01 0.04 0.09 0.13 0.03 0.10 0.29 0.05 0.02 0.08 0.03 0.05 0.04 0.03 0.11 0.04 0.05 0.10 0.05 0.12 0.04 0.04 1.14 0.05 0.13 0.14 0.07 0.05 0.04 0.10 0.33 0.47 0.05 0.20 0.08 0.07 0.07 0.04 0.01 0.25 0.52 0.04 0.66 0.50 0.72 0.02 0.04 0.09 0.04 0.02 0.13

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BNY MELLON DYNAMIC U.S. EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Consumer, Non-cyclical cont’d. 501 755 628 261 449 132 1,514 137 143 241 393 721 315 763

Financials cont’d.

Stryker Corp Sysco Corp Thermo Fisher Scientiﬁc Inc Total System Services Inc Tyson Foods Inc United Rentals Inc UnitedHealth Group Inc Universal Health Services Inc Varian Medical Systems Inc Verisk Analytics Inc Vertex Pharmaceuticals Inc Western Union Co/The Zimmer Biomet Holdings Inc Zoetis Inc

77,625 45,855 119,320 20,644 36,407 22,691 334,238 15,530 15,899 23,140 58,901 13,710 38,016 55,008

0.15 0.09 0.23 0.04 0.07 0.04 0.65 0.03 0.03 0.05 0.12 0.03 0.07 0.11

Diversiﬁed - 13,036

13,036

0.03

492 Leucadia National Corp

13,036

0.03

2,173,126

4.23

46,725 25,637 25,045 21,937 20,567 5,599 372,172 18,061 34,711 105,143 33,828 98,023 21,176 555,645 65,932 10,927 19,983 53,972 22,388 51,930 21,291 9,776 22,034 88,741 31,592 67,618 45,624 5,990 147,320 21,388 63,152 39,199

0.09 0.05 0.05 0.04 0.04 0.01 0.73 0.04 0.07 0.20 0.07 0.19 0.04 1.08 0.13 0.02 0.04 0.11 0.04 0.10 0.04 0.02 0.04 0.17 0.06 0.13 0.09 0.01 0.29 0.04 0.12 0.08

6,798,451

13.25

17,863 54,012 18,936 19,013 58,844 114,522

0.03 0.11 0.04 0.04 0.11 0.22

Energy - 2,173,126 871 224 593 693 719 1,412 2,968 148 231 1,915 817 908 372 6,631 1,349 169 421 2,986 1,322 787 591 310 756 1,204 591 668 264 351 2,183 683 687 1,285

Anadarko Petroleum Corp Andeavor Apache Corp Baker Hughes a GE Co Cabot Oil & Gas Corp Chesapeake Energy Corp Chevron Corp Cimarex Energy Co Concho Resources Inc ConocoPhillips Devon Energy Corp EOG Resources Inc EQT Corp Exxon Mobil Corp Halliburton Co Helmerich & Payne Inc Hess Corp Kinder Morgan Inc/DE Marathon Oil Corp Marathon Petroleum Corp National Oilwell Varco Inc Newﬁeld Exploration Co Noble Energy Inc Occidental Petroleum Corp ONEOK Inc Phillips 66 Pioneer Natural Resources Co Range Resources Corp Schlumberger Ltd TechnipFMC Plc Valero Energy Corp Williams Cos Inc/The

87 615 145 75 562 1,153

Afﬁliated Managers Group Inc Aﬂac Inc Alexandria Real Estate Equities Inc Alliance Data Systems Corp Allstate Corp/The American Express Co

Financials - 6,798,451

Fair Total value net assets USD %

1,422 675 233 396 244 280 84 215 15,285 1,626 1,257 3,011 195 239 148 761 175 468 1,876 731 233 4,193 779 536 273 640 318 579 553 428 121 571 103 63 196 113 1,146 512 970 558 567 729 1,151 1,694 915 632 412 5,474 1,690 661 344 429 236 169 798 1,464 1,673 176 2,223

American International Group Inc American Tower Corp Ameriprise Financial Inc Aon Plc Apartment Investment & Management Co Arthur J Gallagher & Co Assurant Inc AvalonBay Communities Inc Bank of America Corp Bank of New York Mellon Corp/The BB&T Corp Berkshire Hathaway Inc BlackRock Inc Boston Properties Inc Brighthouse Financial Inc Capital One Financial Corp Cboe Global Markets Inc CBRE Group Inc Charles Schwab Corp/The Chubb Ltd Cincinnati Financial Corp Citigroup Inc Citizens Financial Group Inc CME Group Inc Comerica Inc Crown Castle International Corp Digital Realty Trust Inc Discover Financial Services Duke Realty Corp E*TRADE Financial Corp Equinix Inc Equity Residential Essex Property Trust Inc Everest Re Group Ltd Extra Space Storage Inc Federal Realty Investment Trust Fifth Third Bancorp Franklin Resources Inc GGP Inc Goldman Sachs Group Inc/The Hartford Financial Services Group Inc/The HCP Inc Host Hotels & Resorts Inc Huntington Bancshares Inc/OH Intercontinental Exchange Inc Invesco Ltd Iron Mountain Inc JPMorgan Chase & Co KeyCorp Kimco Realty Corp Lincoln National Corp Loews Corp M&T Bank Corp Macerich Co/The Marsh & McLennan Cos Inc Mastercard Inc MetLife Inc Mid-America Apartment Communities Inc Morgan Stanley

84,744 96,326 39,490 53,070 10,667 17,720 8,471 38,361 451,443 87,601 62,517 598,210 100,265 31,078 8,680 75,788 21,807 20,276 96,380 106,898 17,469 312,064 32,706 78,302 23,703 71,088 36,225 44,540 15,044 21,218 54,862 36,421 24,878 13,941 17,141 15,007 34,775 22,188 22,683 142,282 31,919 19,016 22,853 24,673 64,576 23,096 15,547 586,813 34,096 12,007 26,445 21,465 40,357 11,101 64,961 222,272 84,595 17,701 116,652

0.17 0.19 0.08 0.10 0.02 0.03 0.02 0.07 0.88 0.17 0.12 1.17 0.20 0.06 0.02 0.15 0.04 0.04 0.19 0.21 0.03 0.61 0.06 0.15 0.05 0.14 0.07 0.09 0.03 0.04 0.11 0.07 0.05 0.03 0.03 0.03 0.07 0.04 0.04 0.28 0.06 0.04 0.04 0.05 0.13 0.05 0.03 1.14 0.07 0.02 0.05 0.04 0.08 0.02 0.13 0.43 0.16 0.03 0.23

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BNY MELLON DYNAMIC U.S. EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Financials cont’d. 181 427 334 534 754 419 905 826 664 233 200 426 231 1,859 188 489 153 581 746 1,163 374 167 429 417 350 2,497 553 2,866 268 6,995 574 1,170 209 401 315

Nasdaq Inc Navient Corp Northern Trust Corp People’s United Financial Inc PNC Financial Services Group Inc/The Principal Financial Group Inc Progressive Corp/The Prologis Inc Prudential Financial Inc Public Storage Raymond James Financial Inc Realty Income Corp Regency Centers Corp Regions Financial Corp SBA Communications Corp Simon Property Group Inc SL Green Realty Corp State Street Corp SunTrust Banks Inc Synchrony Financial T Rowe Price Group Inc Torchmark Corp Travelers Cos Inc/The UDR Inc Unum Group US Bancorp Ventas Inc Visa Inc Vornado Realty Trust Wells Fargo & Co Welltower Inc Weyerhaeuser Co Willis Towers Watson Plc XL Group Ltd Zions Bancorporation

Industrials - 3,600,493 935 65 500 147 358 475 228 657 546 877 927 219 1,404 1,439 244 497 242 692 996 281 384 214

3M Co Acuity Brands Inc Agilent Technologies Inc Allegion Plc AMETEK Inc Amphenol Corp AO Smith Corp Arconic Inc Ball Corp Boeing Co/The Caterpillar Inc CH Robinson Worldwide Inc Corning Inc CSX Corp Cummins Inc Deere & Co Dover Corp Eaton Corp Plc Emerson Electric Co Expeditors International of Washington Inc FedEx Corp FLIR Systems Inc

Fair Total value net assets USD %

Industrials cont’d. 13,910 5,690 33,368 9,989 108,859 29,567 50,974 53,298 76,357 48,705 17,861 24,297 15,982 32,133 30,716 84,037 15,445 56,723 48,188 44,909 39,246 15,149 58,200 16,065 19,213 133,877 33,188 327,498 20,956 424,911 36,607 41,260 31,495 14,101 16,013

0.03 0.01 0.07 0.02 0.21 0.06 0.10 0.10 0.15 0.10 0.03 0.05 0.03 0.06 0.06 0.16 0.03 0.11 0.09 0.09 0.08 0.03 0.11 0.03 0.04 0.26 0.06 0.64 0.04 0.83 0.07 0.08 0.06 0.03 0.03

3,600,493

7.02

220,459 11,441 33,473 11,698 25,953 41,715 13,975 17,907 20,669 258,724 146,118 19,514 44,921 79,181 43,104 77,808 24,446 54,685 69,436 18,181 95,825 9,978

0.43 0.02 0.06 0.02 0.05 0.08 0.03 0.03 0.04 0.50 0.28 0.04 0.09 0.15 0.08 0.15 0.05 0.11 0.14 0.04 0.19 0.02

203 217 474 239 172 438 13,569 186 1,196 488 396 187 133 1,450 164 122 394 98 495 40 455 271 146 207 256 171 457 355 200 252 159 289 89 238 133 543 75 1,245 1,081 1,166 205 629 125 395 279

970 1,189 774 1,252 266 572 132 8,064 1,677 341 638 492

Flowserve Corp Fluor Corp Fortive Corp Fortune Brands Home & Security Inc Garmin Ltd General Dynamics Corp General Electric Co Harris Corp Honeywell International Inc Illinois Tool Works Inc Ingersoll-Rand Plc Jacobs Engineering Group Inc JB Hunt Transport Services Inc Johnson Controls International plc Kansas City Southern L3 Technologies Inc Lockheed Martin Corp Martin Marietta Materials Inc Masco Corp Mettler-Toledo International Inc Norfolk Southern Corp Northrop Grumman Corp Packaging Corp of America Parker-Hanniﬁn Corp Pentair Plc PerkinElmer Inc Raytheon Co Republic Services Inc Rockwell Automation Inc Rockwell Collins Inc Roper Technologies Inc Sealed Air Corp Snap-on Inc Stanley Black & Decker Inc Stericycle Inc TE Connectivity Ltd TransDigm Group Inc Union Paciﬁc Corp United Parcel Service Inc United Technologies Corp Vulcan Materials Co Waste Management Inc Waters Corp WestRock Co Xylem Inc/NY

8,553 11,209 34,315 16,358 10,247 89,172 237,118 26,352 183,795 81,445 35,325 12,334 15,293 55,281 17,259 24,138 126,549 21,662 21,753 24,787 65,986 83,228 17,603 41,317 18,080 12,506 85,864 24,003 39,293 34,200 41,203 14,249 15,515 40,397 9,043 51,615 20,611 167,141 128,839 148,881 26,317 54,286 24,157 24,974 19,029

0.02 0.02 0.07 0.03 0.02 0.17 0.46 0.05 0.36 0.16 0.07 0.02 0.03 0.11 0.03 0.05 0.25 0.04 0.04 0.05 0.13 0.16 0.03 0.08 0.03 0.02 0.17 0.05 0.08 0.07 0.08 0.03 0.03 0.08 0.02 0.10 0.04 0.33 0.25 0.29 0.05 0.11 0.05 0.05 0.04

Technology - 5,438,373

5,438,373

10.60

Accenture Plc Activision Blizzard Inc Adobe Systems Inc Advanced Micro Devices Inc Akamai Technologies Inc Analog Devices Inc ANSYS Inc Apple Inc Applied Materials Inc Autodesk Inc Broadcom Ltd CA Inc

148,531 75,299 135,678 12,877 17,305 50,945 19,483 1,365,195 85,753 35,747 164,167 16,376

0.29 0.15 0.26 0.02 0.03 0.10 0.04 2.66 0.17 0.07 0.32 0.03

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BNY MELLON DYNAMIC U.S. EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Technology cont’d. 435 490 224 918 254 442 480 518 328 2,554 2,597 7,359 1,359 379 244 252 362 1,800 12,089 420 948 4,770 497 198 2,319 276 1,073 447 285 234 1,553 458 332 386

Cadence Design Systems Inc Cerner Corp Citrix Systems Inc Cognizant Technology Solutions Corp CSRA Inc DXC Technology Co Electronic Arts Inc Fidelity National Information Services Inc Fiserv Inc Hewlett Packard Enterprise Co HP Inc Intel Corp International Business Machines Corp Intuit Inc KLA-Tencor Corp Lam Research Corp Microchip Technology Inc Micron Technology Inc Microsoft Corp NetApp Inc NVIDIA Corp Oracle Corp Paychex Inc Qorvo Inc QUALCOMM Inc Red Hat Inc salesforce.com Inc Seagate Technology Plc Skyworks Solutions Inc Synopsys Inc Texas Instruments Inc Western Digital Corp Xerox Corp Xilinx Inc

Utilities - 1,043,762 1,026 359 377 765 277 670 438 482 1,011 278 1,100 507 279 492 1,492 691 735 507 468 798 174 1,062 786

AES Corp/VA Alliant Energy Corp Ameren Corp American Electric Power Co Inc American Water Works Co Inc CenterPoint Energy Inc CMS Energy Corp Consolidated Edison Inc Dominion Energy Inc DTE Energy Co Duke Energy Corp Edison International Entergy Corp Eversource Energy Exelon Corp FirstEnergy Corp NextEra Energy Inc NiSource Inc NRG Energy Inc PG&E Corp Pinnacle West Capital Corp PPL Corp Public Service Enterprise Group Inc

Fair Total value net assets USD %

Utilities cont’d. 18,194 33,029 19,713 65,210 7,601 41,953 50,446 48,762 43,019 36,688 54,576 339,875 208,627 59,823 25,638 46,397 31,814 74,025 1,034,758 23,237 183,476 225,597 33,838 13,188 148,567 33,149 109,730 18,705 27,068 19,947 162,234 36,427 9,680 26,026

0.04 0.06 0.04 0.13 0.01 0.08 0.10 0.09 0.08 0.07 0.11 0.66 0.41 0.12 0.05 0.09 0.06 0.14 2.02 0.05 0.36 0.44 0.07 0.03 0.29 0.06 0.21 0.04 0.05 0.04 0.32 0.07 0.02 0.05

1,043,762

2.03

11,117 15,299 22,241 56,285 25,341 19,011 20,720 40,958 81,957 30,437 92,527 32,065 22,712 31,092 58,837 21,162 114,825 13,017 13,331 35,770 14,824 32,874 40,483

0.02 0.03 0.04 0.11 0.05 0.04 0.04 0.08 0.16 0.06 0.18 0.06 0.04 0.06 0.12 0.04 0.22 0.03 0.03 0.07 0.03 0.06 0.08

222 391 1,574 490 789

SCANA Corp Sempra Energy Southern Co/The WEC Energy Group Inc Xcel Energy Inc

Total investments in equities

8,832 41,820 75,717 32,553 37,955

0.02 0.08 0.15 0.06 0.07

35,777,650

69.72

336,469

0.66

336,469

0.66

2,413,963

4.70

2,413,963

4.70

Future options - 336,469 37 U.S. Treasury Bond Future Call 23-Feb-2018 144.000

Total future options Index options - 2,413,963 113 E-mini S&P 500 Index Call 16-Feb-2018 2,250.000

Total index options

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - 92,356 83 E-mini S&P 500 Index Long Futures Contracts Exp Mar-2018 6 U.S. Treasury Bond Long Futures Contracts Exp Mar-2018

11,105,400

91,560

0.18

918,000

796

0.00

92,356

0.18

47,166,632

91.91

4,150,260

8.09

51,316,892

100.00

Total open futures contracts Total ﬁnancial assets at fair value through proﬁt or loss Net current assets Total net assets

* Held as collateral by Citigroup Global Markets Limited in respect of future options, index options and futures contracts held by the Fund. The counterparty for future options is Citigroup Global Markets Limited. The counterparty for index options is Citigroup Global Markets Limited. The counterparty for futures contracts is Citigroup Global Markets Limited.

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Financial derivative instruments dealt in on a regulated market Other current assets

Total assets

% of Total Assets 86.12 5.52 8.36

100.00

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BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Collective investment schemes Supranational - 16,853,107 (31 December 2016: 13,406,035)

Bonds cont’d. 16,853,107

4.90

16,853,107

4.90

16,853,107

4.90

16,853,107 Insight Liquidity Funds Plc - USD Liquidity Fund

Total investments in collective investment schemes

Hong Kong - 3,261,539 (31 December 2016: 1,899,956) 3,200,000 WTT Investment Ltd/Hong Kong 5.500% 21-Nov-2022

India - 14,381,425 (31 December 2016: 11,602,778)

Bonds Argentina - 19,306,264 (31 December 2016: 7,450,924) 5,090,000 3,200,000 20,250,000 1,000,000 3,200,000 4,600,000

Holdings Description

19,306,264

5.61

5,064,550 3,312,000 1,085,644 1,094,000 3,408,320 5,341,750

1.47 0.96 0.32 0.32 0.99 1.55

19,036,314

5.53

Adecoagro SA 6.000% 21-Sep-2027 Banco Macro SA 6.750% 04-Nov-2026 VAR Banco Supervielle SA 26.500% 09-Aug-2020 FRN Pampa Energia SA 7.500% 24-Jan-2027 YPF SA 6.950% 21-Jul-2027 YPF SA 8.500% 28-Jul-2025

Brazil - 19,036,314 (31 December 2016: 18,464,448) 5,054,000 1,500,000 3,200,000 4,659,000 1,443,000

Azul Investments LLP 5.875% 26-Oct-2024 Banco do Brasil SA/Cayman 9.250% Perpetual VAR MARB BondCo Plc 7.000% 15-Mar-2024 Minerva Luxembourg SA 5.875% 19-Jan-2028 Petrobras Global Finance BV 5.299% 27-Jan-2025 3,150,000 Petrobras Global Finance BV 5.999% 27-Jan-2028

Chile - 16,310,513 (31 December 2016: 6,137,895)

1.46 0.47 0.94 1.32

1,446,247

0.42

3,169,687

0.92

4.74

4,073,256

1.18

3,440,250 1,998,750 3,268,410 3,529,847

1.00 0.58 0.95 1.03

41,230,446

11.98

5,293,057 4,132,350

1.54 1.20

1,226,657 2,148,990

0.36 0.62

5,888,898 2,201,360

1.71 0.64

5,300,000 Alibaba Group Holding Ltd 3.400% 06-Dec-2027 4,000,000 Alibaba Group Holding Ltd 3.600% 28-Nov-2024 1,200,000 China Cinda Finance 2017 I Ltd 4.100% 09-Mar-2024 1,860,000 CITIC Ltd 6.800% 17-Jan-2023 6,000,000 Export-Import Bank of China/The 3.250% 28-Nov-2027 2,000,000 Franshion Development Ltd 6.750% 15-Apr-2021 8,900,000 Postal Savings Bank of China Co Ltd 4.500% Perpetual VAR 6,600,000 Proven Glory Capital Ltd 3.250% 21-Feb-2022 5,100,000 Sinopec Group Overseas Development 2017 Ltd 3.250% 13-Sep-2027

Colombia - 13,294,702 (31 December 2016: 4,962,730)

5,028,730 1,633,125 3,216,000 4,542,525

16,310,513

4,170,000 Banco de Credito e Inversiones 3.500% 12-Oct-2027 3,300,000 Celulosa Arauco y Constitucion SA 5.500% 02-Nov-2047 2,000,000 Colbun SA 3.950% 11-Oct-2027 3,000,000 Enjoy SA 10.500% 16-May-2022 3,430,000 Geopark Ltd 6.500% 21-Sep-2024

China - 41,230,446 (31 December 2016: 10,249,771)

Fair Total value net assets USD %

8,500,000 Oil India International Pte Ltd 4.000% 21-Apr-2027 2,800,000 Vedanta Resources Plc 6.125% 09-Aug-2024 2,700,000 Vedanta Resources Plc 8.250% 07-Jun-2021

Indonesia - 16,738,083 (31 December 2016: 3,897,388) 2,900,000 APL Realty Holdings Pte Ltd 5.950% 02-Jun-2024 6,000,000 Medco Straits Services Pte Ltd 8.500% 17-Aug-2022 4,000,000 Perusahaan Listrik Negara PT 4.125% 15-May-2027 3,200,000 Perusahaan Listrik Negara PT 5.250% 15-May-2047

Israel - 6,534,696 (31 December 2016: 6,859,707) 5,600,000 Israel Electric Corp Ltd 6.875% 21-Jun-2023

Ivory Coast - 6,664,000 (31 December 2016: –) 6,400,000 Banque Ouest Africaine de Developpement 5.000% 27-Jul-2027

Jamaica - 8,390,415 (31 December 2016: 3,266,751) 7,000,000 Digicel Group Ltd 8.250% 30-Sep-2020 1,500,000 Digicel Ltd 144A 6.750% 01-Mar-2023

Kazakhstan - 8,551,856 (31 December 2016: –) 390,000,000 Development Bank of Kazakhstan JSC 9.500% 14-Dec-2020 1,700,000 KazMunayGas National Co JSC 6.375% 09-Apr-2021 5,300,000 Nostrum Oil & Gas Finance BV 8.000% 25-Jul-2022

Kuwait - 4,998,490 (31 December 2016: –) 4,900,000 Equate Petrochemical BV 4.250% 03-Nov-2026

8,777,625 6,576,887

2.55 1.91

4,984,622

1.45

13,294,702

3,500,000 Ecopetrol SA 5.875% 28-May-2045 15,000,000,000 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 4,500,000 SURA Asset Management SA 4.375% 11-Apr-2027

3.86

3,586,667

1.04

5,163,035 4,545,000

1.50 1.32

Mexico - 19,155,298 (31 December 2016: 15,695,006) 4,100,000 Banco Mercantil del Norte SA/Grand Cayman 7.625% Perpetual VAR 5,900,000 BBVA Bancomer SA/Texas 6.750% 30-Sep-2022 2,550,000 Cemex SAB de CV 2.750% 05-Dec-2024 800,000 Comision Federal de Electricidad 4.750% 23-Feb-2027 2,137,000 Mexichem SAB de CV 4.000% 04-Oct-2027 1,442,000 Petroleos Mexicanos 4.875% 21-Feb-2028

3,261,539

0.95

3,261,539

0.95

14,381,425

4.18

8,520,417 2,864,008 2,997,000

2.48 0.83 0.87

16,738,083

4.86

2,955,460

0.86

6,386,538

1.85

4,019,720

1.17

3,376,365

0.98

6,534,696

1.90

6,534,696

1.90

6,664,000

1.94

6,664,000

1.94

8,390,415

2.44

6,907,740 1,482,675

2.01 0.43

8,551,856

2.49

1,183,383

0.35

1,858,593

0.54

5,509,880

1.60

4,998,490

1.45

4,998,490

1.45

19,155,298

5.57

4,504,875 6,681,750 3,089,290

1.31 1.94 0.90

840,000 2,120,972 1,918,411

0.24 0.62 0.56

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BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Nigeria - 3,351,488 (31 December 2016: –) 3,240,000 United Bank for Africa Plc 7.750% 08-Jun-2022

Panama - 6,006,000 (31 December 2016: –) 6,000,000 Banco General SA 4.125% 07-Aug-2027

Peru - 18,819,313 (31 December 2016: 6,755,426) 5,200,000 Cia Minera Milpo SAA 4.625% 28-Mar-2023 9,581,000 Nexa Resources SA 5.375% 04-May-2027 3,100,000 Petroleos del Peru SA 5.625% 19-Jun-2047

Qatar - 2,990,760 (31 December 2016: –) 3,000,000 Ooredoo International Finance Ltd 3.875% 31-Jan-2028

Russia - 28,437,483 (31 December 2016: 10,990,021) 3,000,000 Evraz Group SA 5.375% 20-Mar-2023 5,000,000 Gazprom OAO Via Gaz Capital SA 4.950% 23-Mar-2027 1,500,000 GTH Finance BV 7.250% 26-Apr-2023 7,300,000 Novolipetsk Steel Via Steel Funding DAC 4.000% 21-Sep-2024 8,100,000 Petropavlovsk 2016 Ltd 8.125% 14-Nov-2022 1,800,000 Severstal OAO Via Steel Capital SA 5.900% 17-Oct-2022 1,000,000 VEON Holdings BV 5.950% 13-Feb-2023

South Africa - 5,382,275 (31 December 2016: 5,148,000) 5,100,000 Liquid Telecommunications Financing Plc 8.500% 13-Jul-2022

Holdings Description

Bonds cont’d. 3,351,488 3,351,488

Ukraine - 4,325,108 (31 December 2016: 1,732,500)

0.97 0.97

6,006,000

1.75

6,006,000

1.75

18,819,313

5.47

5,369,000 10,179,813 3,270,500

1.56 2.96 0.95

3,100,000 MHP SE 7.750% 10-May-2024 900,000 Ukraine Government International Bond 7.750% 01-Sep-2023

United Arab Emirates - 10,943,571 (31 December 2016: 6,317,757) 3,339,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 4,250,000 DP World Crescent Ltd 3.908% 31-May-2023 3,000,000 MAF Global Securities Ltd 4.750% 07-May-2024

Zambia - 6,128,518 (31 December 2016: –) 5,741,000 First Quantum Minerals Ltd 144A 7.250% 01-Apr-2023

2,990,760

0.87

2,990,760

0.87

Total investments in bonds

28,437,483

8.26

Unrealised gain on forward foreign currency contracts - 1,133,121 (see below) (31 December 2016: 70,565)

3,123,750

0.91

5,213,750 1,689,300

1.51 0.49

7,330,886 8,008,875

2.13 2.33

1,994,922 1,076,000

0.58 0.31

5,382,275

1.56

5,382,275

1.56

Total ﬁnancial assets at fair value through proﬁt or loss Unrealised loss on forward foreign currency contracts - (213,543) (see below) (31 December 2016: (41,868))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Analysis of portfolio South Korea - 3,352,648 (31 December 2016: –) 3,400,000 Woori Bank 2.625% 20-Jul-2021

Tanzania - 4,633,250 (31 December 2016: –) 4,300,000 HTA Group Ltd/Mauritius 9.125% 08-Mar-2022

Thailand - 13,022,796 (31 December 2016: 6,546,721) 5,440,000 PTT Global Chemical PCL 4.250% 19-Sep-2022 7,200,000 PTTEP Treasury Center Co Ltd 4.875% Perpetual VAR

Turkey - 14,329,752 (31 December 2016: 7,537,981) 9,200,000 Finansbank AS/Turkey 4.875% 19-May-2022 2,800,000 Tupras Turkiye Petrol Raﬁnerileri AS 4.500% 18-Oct-2024 2,500,000 Yapi ve Kredi Bankasi AS 5.850% 21-Jun-2024

Fair Total value net assets USD %

3,352,648

0.97

3,352,648

0.97

4,633,250

1.35

4,633,250

1.35

13,022,796

3.79

5,701,310

1.66

7,321,486

2.13

14,329,752

4.16

9,050,500

2.63

2,772,790 2,506,462

0.80 0.73

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

4,325,108

1.26

3,367,375

0.98

957,733

0.28

10,943,571

3.18

3,440,238 4,341,792 3,161,541

1.00 1.26 0.92

6,128,518

1.78

6,128,518

1.78

319,577,003

92.87

1,133,121

0.33

337,563,231

98.10

(213,543)

(0.06)

(213,543)

(0.06)

6,748,958

1.96

344,098,646

100.00

% of Total Assets 97.53 0.33 2.14

100.00

06571-1A.indd 86

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BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

US dollar

4,495,000

Euro US dollar

US dollar Argentinian peso

2,390,000 4,989

5,321,855 17-Jan-18 Bank of America Merrill Lynch 2,837,382 17-Jan-18 HSBC Bank plc 89,257 25-Jan-18 BNP Paribas

USD US dollar US dollar US dollar

Euro Euro Euro

US dollar

Euro

US dollar

Colombian peso

US dollar

Euro

3,408,444 290,967 4,626,282

2,864,000 17-Jan-18 HSBC Bank plc 245,000 17-Jan-18 HSBC Bank plc 3,879,000 17-Jan-18 Citigroup Global Markets Limited 168,534 142,000 17-Jan-18 Citigroup Global Markets Limited 4,932,189 14,971,660,000 25-Jan-18 Citigroup Global Markets Limited 5,337,813 4,495,000 09-Mar-18 Bank of America Merrill Lynch

Sell

Amount (B)

72,114 30,602 399

Euro

US dollar

21,105,057

Euro

US dollar

65,087

103,115

Euro

US dollar

35,093

Euro

US dollar

27,773

Euro

US dollar

31,427

(28,337) (3,031)

(72,582) Euro

285,550

USD (206,568)

US dollar

Euro

17,787

US dollar

Euro

24,747

US dollar

Euro

13,119

BNY Mellon Emerging Markets Corporate Debt Fund CHF W (Acc) (Hedged) Share Class

US dollar

Euro

102,890

Swiss franc

US dollar

Euro

5,661

Net USD (103,453)

2,770,953 12-Jan-18 The Bank of New York Mellon

24,978,247 12-Jan-18 The Bank of New York Mellon 76,612 12-Jan-18 The Bank of New York Mellon 41,516 12-Jan-18 The Bank of New York Mellon 32,884 12-Jan-18 The Bank of New York Mellon 37,273 12-Jan-18 The Bank of New York Mellon

(1,865)

US dollar

2,735,721

US dollar

99,849

35,714

US dollar

11,009

Euro

US dollar

50,857

Euro

US dollar

79,988

Euro

US dollar

69,966

Euro Euro

US dollar US dollar

14,902 239,790

Euro

US dollar

119,255

Euro

US dollar

25,000

Euro

US dollar

56,487

339,639 1,468 582 433 427

350,124

EUR

292,050

(1,923) (79) (399) (87) (1,442) (48)

USD

35,714

USD

(3,978)

CHF

34,837

EUR

(3,318)

Net USD

346,146

Net EUR

288,732

118,174 12-Jan-18 The Bank of New York Mellon

1,607

USD

1,607

EUR

1,340

BNY Mellon Emerging Markets Corporate Debt Fund EUR H (Hedged) Share Class Euro

Unrealised Gain/(Loss)

USD

239,790 02-Jan-18 The Bank of New York Mellon 14,902 03-Jan-18 The Bank of New York Mellon 20,962 12-Jan-18 The Bank of New York Mellon 11,009 12-Jan-18 The Bank of New York Mellon 86,972 12-Jan-18 The Bank of New York Mellon 4,759 12-Jan-18 The Bank of New York Mellon

BNY Mellon Emerging Markets Corporate Debt Fund EUR G (Acc) (Hedged) Share Class Euro

Settle Date Counterparty

(28,492)

(72,261)

US dollar

Amount (S)

BNY Mellon Emerging Markets Corporate Debt Fund EUR H (Hedged) Share Class cont’d.

BNY Mellon Emerging Markets Corporate Debt Fund Euro

Buy

13,110 02-Jan-18 The Bank of New York Mellon 60,490 12-Jan-18 The Bank of New York Mellon 94,712 12-Jan-18 The Bank of New York Mellon 83,006 12-Jan-18 The Bank of New York Mellon 17,800 12-Jan-18 The Bank of New York Mellon 285,749 12-Jan-18 The Bank of New York Mellon 141,706 12-Jan-18 The Bank of New York Mellon 29,515 12-Jan-18 The Bank of New York Mellon 66,774 12-Jan-18 The Bank of New York Mellon

BNY Mellon Emerging Markets Corporate Debt Fund EUR I (Hedged) Share Class Euro

US dollar

53,050

Euro

US dollar

114,715

Euro

US dollar

28,606,745

88 519 1,242

US dollar

Euro

63,174

926

US dollar

Euro

6,963

US dollar

Euro

310

63,218 12-Jan-18 The Bank of New York Mellon 136,094 12-Jan-18 The Bank of New York Mellon 33,856,641 12-Jan-18 The Bank of New York Mellon

422 1,519 460,362

USD

462,303

EUR

385,622

53,050 02-Jan-18 The Bank of New York Mellon 5,869 12-Jan-18 The Bank of New York Mellon 261 12-Jan-18 The Bank of New York Mellon

(425) (78) (3)

1,906 1,354 475 989

USD

(506)

EUR

(422)

Net USD

461,797

Net EUR

385,200

06571-1A.indd 87

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BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Corporate Debt Fund EUR W (Acc) (Hedged) Share Class Euro

US dollar

100,000

118,601 12-Jan-18 The Bank of New York Mellon

1,360

USD

1,360

EUR

1,134

BNY Mellon Emerging Markets Corporate Debt Fund EUR W (Inc) (Hedged) Share Class Euro

US dollar

10,158,890

12,023,245 12-Jan-18 The Bank of New York Mellon

163,485

USD

163,485

EUR

136,368

BNY Mellon Emerging Markets Corporate Debt Fund Sterling W (Acc) (Hedged) Share Class Sterling

US dollar

50,000

Sterling

US dollar

Sterling

US dollar

400

Sterling

US dollar

1,107,614

Sterling

US dollar

800

US dollar

Sterling

67,509

US dollar

Sterling

10,913

US dollar

Sterling

66,998

US dollar

Sterling

40,180

US dollar

Sterling

40,017

US dollar

Sterling

66,884

67,154 12-Jan-18 The Bank of New York Mellon 17 12-Jan-18 The Bank of New York Mellon 535 12-Jan-18 The Bank of New York Mellon 1,482,102 12-Jan-18 The Bank of New York Mellon 1,071 12-Jan-18 The Bank of New York Mellon

427 – 5 14,971 10

USD

15,413

GBP

11,407

50,150 12-Jan-18 The Bank of New York Mellon 8,126 12-Jan-18 The Bank of New York Mellon 50,044 12-Jan-18 The Bank of New York Mellon 30,000 12-Jan-18 The Bank of New York Mellon 29,931 12-Jan-18 The Bank of New York Mellon 50,000 12-Jan-18 The Bank of New York Mellon

(275) (69) (643) (369) (438) (697)

USD

(2,491)

GBP

(1,844)

Net USD

12,922

Net GBP

9,563

06571-1A.indd 88

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BNY MELLON EMERGING MARKETS DEBT FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds

Bonds cont’d. Angola - 231,248 (31 December 2016: –)

200,000 Angolan Government International Bond 9.500% 12-Nov-2025

Argentina - 3,666,648 (31 December 2016: 1,838,099)

Colombia cont’d. 231,248

0.30

231,248

0.30

3,666,648

4.83

1,375,000 Argentine Republic Government International Bond 6.875% 26-Jan-2027 1,504,250 370,000 Argentine Republic Government International Bond 7.125% 28-Jun-2117 382,210 155,000 Argentine Republic Government International Bond 7.500% 22-Apr-2026 175,871 870,000 Provincia de Buenos Aires/Argentina 9.125% 16-Mar-2024 1,020,075 160,000 Provincia de Cordoba 7.125% 10-Jun-2021 173,193 375,000 Provincia de Cordoba 7.450% 01-Sep-2024 411,049

Bahrain - 916,025 (31 December 2016: 1,869,354) 900,000 Bahrain Government International Bond 7.000% 12-Oct-2028

Brazil - 3,975,958 (31 December 2016: 2,715,867) 860,000 180,000 140,000 380,000 800,000 415,000 475,000 480,000

Holdings Description

Fair Total value net assets USD %

Cosan Luxembourg SA 7.000% 20-Jan-2027 Petrobras Global Finance BV 4.375% 20-May-2023 Petrobras Global Finance BV 5.999% 27-Jan-2028 Petrobras Global Finance BV 6.250% 17-Mar-2024 Petrobras Global Finance BV 6.750% 27-Jan-2041 Petrobras Global Finance BV 7.375% 17-Jan-2027 Rumo Luxembourg Sarl 7.375% 09-Feb-2024 Suzano Austria GmbH 7.000% 16-Mar-2047

Chile - 1,985,458 (31 December 2016: 1,532,085) 250,000 Celulosa Arauco y Constitucion SA 5.500% 02-Nov-2047 200,000 Empresa Nacional del Petroleo 4.500% 14-Sep-2047 440,000 Transelec SA 3.875% 12-Jan-2029 1,035,000 VTR Finance BV 6.875% 15-Jan-2024

China - 3,520,669 (31 December 2016: 950,394) 460,000 ENN Energy Holdings Ltd 3.250% 24-Jul-2022 1,470,000 JD.com Inc 3.875% 29-Apr-2026 315,000 Sinopec Group Overseas Development 2015 Ltd 3.250% 28-Apr-2025 730,000 Sinopec Group Overseas Development 2017 Ltd 3.625% 12-Apr-2027 530,000 State Grid Overseas Investment 2016 Ltd 3.500% 04-May-2027

Colombia - 2,370,401 (31 December 2016: 1,605,167) 410,000 Banco de Bogota SA 4.375% 03-Aug-2027 200,000 Colombia Government International Bond 2.625% 15-Mar-2023 600,000 Colombia Government International Bond 3.875% 25-Apr-2027

1.98 0.50 0.23 1.35 0.23 0.54

916,025

1.21

916,025

1.21

300,000 Colombia Government International Bond 5.000% 15-Jun-2045 815,000 Ecopetrol SA 5.875% 28-May-2045

318,000 834,976

0.42 1.10

868,209

1.14

868,209

1.14

2,378,556

3.14

853,000

1.13

772,625

1.02

522,681

0.69

230,250

0.30

808,004

1.07

209,635

0.28

598,369

0.79

El Salvador - 364,785 (31 December 2016: 174,813)

364,785

0.48

335,000 El Salvador Government International Bond 7.650% 15-Jun-2035

364,785

0.48

Georgia - 941,828 (31 December 2016: 577,762)

941,828

1.24

941,828

1.24

1,025,838

1.35

1,025,838

1.35

Croatia - 868,209 (31 December 2016: –) 760,000 Croatia Government International Bond 6.000% 26-Jan-2024

Ecuador - 2,378,556 (31 December 2016: 445,875) 800,000 Ecuador Government International Bond 7.950% 20-Jun-2024 700,000 Ecuador Government International Bond 8.875% 23-Oct-2027 455,000 Ecuador Government International Bond 9.625% 02-Jun-2027 200,000 Ecuador Government International Bond 9.650% 13-Dec-2026

Egypt - 808,004 (31 December 2016: –) 200,000 Egypt Government International Bond 6.125% 31-Jan-2022 520,000 Egypt Government International Bond 8.500% 31-Jan-2047

3,975,958

5.24

928,800 178,465 140,525 404,130 801,887 457,745 512,406 552,000

1.22 0.24 0.18 0.53 1.06 0.60 0.68 0.73

1,985,458

2.62

900,000 BGEO Group JSC 6.000% 26-Jul-2023

260,625

0.34

Ghana - 1,025,838 (31 December 2016: –)

192,520 437,800 1,094,513

0.26 0.58 1.44

920,000 Ghana Government International Bond 8.125% 18-Jan-2026

184,459

0.24

3,520,669

4.64

175,000 Central American Bottling Corp 5.750% 31-Jan-2027 184,459

0.24

457,313 1,481,537

0.60 1.96

313,288

0.41

735,336

0.97

533,195

0.70

2,370,401

3.13

410,000

0.54

195,875

0.26

611,550

0.81

Guatemala - 184,459 (31 December 2016: –)

Honduras - 160,815 (31 December 2016: –) 150,000 Honduras Government International Bond 6.250% 19-Jan-2027

Hungary - 278,373 (31 December 2016: 1,022,212) 255,000 MFB Magyar Fejlesztesi Bank Zrt 6.250% 21-Oct-2020

India - 1,143,348 (31 December 2016: 509,934) 460,000 GMR Hyderabad International Airport Ltd 4.250% 27-Oct-2027 660,000 Vedanta Resources Plc 6.375% 30-Jul-2022

160,815

0.21

160,815

0.21

278,373

0.37

278,373

0.37

1,143,348

1.51

452,790 690,558

0.60 0.91

06571-1A.indd 89

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BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Bonds cont’d. Indonesia - 5,714,324 (31 December 2016: 4,740,351)

Mexico cont’d. 5,714,324

395,000 Indika Energy Capital III Pte Ltd 5.875% 09-Nov-2024 398,456 410,000 Pertamina Persero PT 5.625% 20-May-2043 446,861 450,000 Pertamina Persero PT 6.450% 30-May-2044 540,252 775,000 Pertamina Persero PT 6.500% 27-May-2041 933,877 955,000 Perusahaan Listrik Negara PT 5.250% 24-Oct-2042 995,588 1,000,000 Perusahaan Listrik Negara PT 5.500% 22-Nov-2021 1,086,300 1,270,000 Perusahaan Penerbit SBSN Indonesia III 4.150% 29-Mar-2027 1,312,990

Iraq - 1,672,728 (31 December 2016: 1,600,138) 680,000 Iraq International Bond 5.800% 15-Jan-2028 990,000 Iraq International Bond 6.752% 09-Mar-2023

Ivory Coast - 1,381,286 (31 December 2016: 1,368,416) 1,355,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033

Jamaica - 159,830 (31 December 2016: 397,423) 130,000 Jamaica Government International Bond 8.000% 15-Mar-2039

Jordan - 1,380,938 (31 December 2016: –) 800,000 Jordan Government International Bond 5.750% 31-Jan-2027 365,000 Jordan Government International Bond 6.125% 29-Jan-2026 200,000 Jordan Government International Bond 7.375% 10-Oct-2047

Kazakhstan - 3,145,485 (31 December 2016: 2,629,363) 745,000 Development Bank of Kazakhstan JSC 4.125% 10-Dec-2022 1,340,000 KazMunayGas National Co JSC 5.750% 30-Apr-2043 470,000 KazTransGas JSC 4.375% 26-Sep-2027 460,000 Tengizchevroil Finance Co International Ltd 4.000% 15-Aug-2026

Lebanon - 1,650,222 (31 December 2016: 1,633,558) 655,000 Lebanon Government International Bond 6.000% 27-Jan-2023 520,000 Lebanon Government International Bond 6.100% 04-Oct-2022 530,000 Lebanon Government International Bond 6.850% 23-Mar-2027

Mexico - 7,738,437 (31 December 2016: 6,567,707) 415,000 Axtel SAB de CV 6.375% 14-Nov-2024 340,000 BBVA Bancomer SA/Texas 6.750% 30-Sep-2022 465,000 Comision Federal de Electricidad 4.750% 23-Feb-2027

Holdings Description

Fair Total value net assets USD %

7.53 0.53 0.59 0.71 1.23 1.31 1.43 1.73

1,672,728

2.21

657,939 1,014,789

0.87 1.34

1,381,286

1.82

1,381,286

1.82

159,830

0.21

740,000 Comision Federal de Electricidad 5.750% 14-Feb-2042 690,000 Elementia SAB de CV 5.500% 15-Jan-2025 490,000 Grupo Posadas SAB de CV 7.875% 30-Jun-2022 1,015,000 Metalsa SA de CV 4.900% 24-Apr-2023 200,000 Mexico City Airport Trust 5.500% 31-Jul-2047 220,000 Petroleos Mexicanos 3.500% 30-Jan-2023 310,000 Petroleos Mexicanos 4.500% 23-Jan-2026 415,000 Petroleos Mexicanos 5.500% 21-Jan-2021 1,120,000 Petroleos Mexicanos 5.500% 27-Jun-2044 160,000 Petroleos Mexicanos 6.375% 23-Jan-2045 705,000 Petroleos Mexicanos 6.625% 15-Jun-2035 275,000 Petroleos Mexicanos 6.750% 21-Sep-2047

Mongolia - 756,422 (31 December 2016: –) 525,000 Mongolia Government International Bond 5.125% 05-Dec-2022 200,000 Mongolia Government International Bond 10.875% 06-Apr-2021

Morocco - 1,566,623 (31 December 2016: 970,204) 220,000 OCP SA 4.500% 22-Oct-2025 1,170,000 OCP SA 6.875% 25-Apr-2044

159,830

0.21

1,380,938

1.82

Nigeria - 1,160,263 (31 December 2016: –)

795,604

1.05

1,110,000 Nigeria Government International Bond 6.500% 28-Nov-2027

376,424

0.50

208,910

0.27

3,145,485

4.15

769,958

1.02

1,439,933 472,949

1.90 0.62

462,645

0.61

Pakistan - 673,134 (31 December 2016: 1,197,641) 360,000 Pakistan Government International Bond 6.875% 05-Dec-2027 300,000 Pakistan Government International Bond 7.875% 31-Mar-2036

Peru - 629,763 (31 December 2016: 1,358,619) 425,000 Orazul Energy Egenor S en C por A 5.625% 28-Apr-2027 200,000 Petroleos del Peru SA 5.625% 19-Jun-2047

Russia - 3,630,751 (31 December 2016: 5,220,274) 1,650,222

2.18

629,324

0.83

507,293

0.67

513,605

0.68

7,738,437

10.20

429,525 384,200

0.57 0.51

488,250

0.64

360,000 Evraz Group SA 5.375% 20-Mar-2023 910,000 Sberbank of Russia Via SB Capital SA 6.125% 07-Feb-2022 802,000 Vnesheconombank Via VEB Finance Plc 6.025% 05-Jul-2022 1,216,000 Vnesheconombank Via VEB Finance Plc 6.800% 22-Nov-2025

Senegal - 558,208 (31 December 2016: 1,476,718) 320,000 Senegal Government International Bond 6.250% 30-Jul-2024 200,000 Senegal Government International Bond 6.250% 23-May-2033

785,325 714,150 508,375 1,025,150 198,500 215,930 310,217 440,834 1,033,155 161,256 755,824 287,746

1.04 0.94 0.67 1.35 0.26 0.28 0.41 0.58 1.36 0.21 1.00 0.38

756,422

1.00

521,138

0.69

235,284

0.31

1,566,623

2.07

220,725 1,345,898

0.29 1.78

1,160,263

1.53

1,160,263

1.53

673,134

0.89

361,843

0.48

311,291

0.41

629,763

0.83

419,263 210,500

0.55 0.28

3,630,751

4.79

374,850

0.50

994,246

1.31

872,239

1.15

1,389,416

1.83

558,208

0.74

346,517

0.46

211,691

0.28

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BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Serbia - 280,543 (31 December 2016: 1,533,303)

280,543

0.37

270,000 Serbia International Bond 4.875% 25-Feb-2020

280,543

0.37

South Africa - 1,318,986 (31 December 2016: 1,458,041)

1,318,986

175,000 Republic of South Africa Government International Bond 4.665% 17-Jan-2024 179,369 720,000 Republic of South Africa Government International Bond 4.850% 27-Sep-2027 729,705 400,000 Republic of South Africa Government International Bond 4.875% 14-Apr-2026 409,912

Spain - 1,023,750 (31 December 2016: –) 975,000 Atento Luxco 1 SA 6.125% 10-Aug-2022

Holdings Description

Uruguay - 434,960 (31 December 2016: 248,187) 405,000 Uruguay Government International Bond 4.375% 27-Oct-2027

1.74 0.24 0.96

Venezuela - 427,859 (31 December 2016: 2,349,875) 730,000 Petroleos de Venezuela SA 5.375% 12-Apr-2027 970,000 Petroleos de Venezuela SA 6.000% 16-May-2024 110,000 Petroleos de Venezuela SA 12.750% 17-Feb-2022

Zambia - 259,252 (31 December 2016: –)

0.54

1,023,750

1.35

1,023,750

1.35

230,000 Zambia Government International Bond 8.970% 30-Jul-2027

Total investments in bonds Sri Lanka - 740,403 (31 December 2016: 1,755,711) 700,000 Sri Lanka Government International Bond 6.200% 11-May-2027

Supranational - 582,898 (31 December 2016: –) 560,000 Banque Ouest Africaine de Developpement 5.000% 27-Jul-2027

Turkey - 6,298,644 (31 December 2016: 4,326,528) 500,000 Akbank Turk AS 5.125% 31-Mar-2025 1,145,000 Export Credit Bank of Turkey 5.375% 24-Oct-2023 1,290,000 TC Ziraat Bankasi AS 4.750% 29-Apr-2021 490,000 TC Ziraat Bankasi AS 5.125% 29-Sep-2023 650,000 Turkey Government International Bond 4.875% 16-Apr-2043 410,000 Turkey Government International Bond 5.750% 11-May-2047 1,400,000 Turkey Government International Bond 6.000% 25-Mar-2027 375,000 Turkey Government International Bond 6.875% 17-Mar-2036

Ukraine - 2,519,713 (31 December 2016: 1,250,197) 650,000 Ukraine Government International Bond 0.000% 31-May-2040 VAR 1,200,000 Ukraine Government International Bond 7.375% 25-Sep-2032 760,000 Ukraine Government International Bond 7.750% 01-Sep-2024 170,000 Ukraine Government International Bond 7.750% 01-Sep-2026

United Arab Emirates - 1,138,618 (31 December 2016: 803,232) 730,000 Abu Dhabi Crude Oil Pipeline LLC 3.650% 02-Nov-2029 400,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047

Fair Total value net assets USD %

740,403

0.98

740,403

0.98

Unrealised gain on forward foreign currency contracts - 120,930 (seebelow) (31 December 2016: 612)

Total ﬁnancial assets at fair value through proﬁt or loss 582,898

0.77

582,898

0.77

6,298,644

8.31

492,348

0.65

1,160,961 1,280,654 478,509

1.53 1.69 0.63

Total net assets

572,062

0.76

Analysis of portfolio

401,800

0.53

1,493,251

1.97

419,059

0.55

2,519,713

3.32

359,993

0.47

1,182,053

1.56

801,724

1.06

175,943

0.23

1,138,618

1.50

726,110

0.96

412,508

0.54

Unrealised loss on forward foreign currency contracts - (36,523) (seebelow) (31 December 2016: (1,019))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

434,960

0.57

434,960

0.57

427,859

0.56

173,375 223,420 31,064

0.23 0.29 0.04

259,252

0.34

259,252

0.34

71,664,662

94.50

120,930

0.16

71,785,592

94.66

(36,523)

(0.05)

(36,523)

(0.05)

4,088,522

5.39

75,837,591

100.00

% of Total Assets 93.88 0.16 5.96

100.00

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BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Fund Euro

US dollar

290,000

346,196 02-Jan-18 JPMorgan Chase Bank

USD

1,761

BNY Mellon Emerging Markets Debt Fund EUR H (Hedged) Share Class Euro

US dollar

2,636,057

Euro

US dollar

8,872

Euro

US dollar

2,425,624

Euro

US dollar

3,090,304

Euro

US dollar

34,985

Euro

US dollar

22,003

US dollar

Euro

2,885,158

US dollar

Euro

26,053

US dollar

Euro

555,512

3,128,469 12-Jan-18 The Bank of New York Mellon 10,564 12-Jan-18 The Bank of New York Mellon 2,886,891 12-Jan-18 The Bank of New York Mellon 3,654,057 12-Jan-18 The Bank of New York Mellon 41,199 12-Jan-18 The Bank of New York Mellon 26,088 12-Jan-18 The Bank of New York Mellon

36,411 89 25,340 56,197 804 328

USD

119,169

EUR

99,320

2,425,624 02-Jan-18 The Bank of New York Mellon 22,074 12-Jan-18 The Bank of New York Mellon 471,724 12-Jan-18 The Bank of New York Mellon

(25,228) (450) (10,845)

USD

(36,523)

EUR

(30,440)

Net USD

82,646

Net EUR

68,880

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BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds

Fair Total value net assets USD %

Holdings Description

Bonds cont’d. Argentina - 56,815,593 (31 December 2016: 32,965,691)

56,815,593

40,908,000 Argentina Treasury Bond BONCER 2.500% 22-Jul-2021 2,846,599 76,710,000 Argentine Bonos del Tesoro 18.200% 03-Oct-2021 4,251,553 50,036,300 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 21,118,274 78,490,000 City of Buenos Aires Argentina 26.438% 22-Feb-2028 FRN 4,223,162 266,755,000 City of Buenos Aires Argentina 26.661% 29-Mar-2024 FRN 14,001,150 190,690,000 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN 10,374,855

Brazil - 64,506,761 (31 December 2016: 163,574,472) 8,130,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2019 126,705,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 77,240,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025

Chile - 25,903,480 (31 December 2016: –) 9,890,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2026 6,030,000,000 Bonos de la Tesoreria de la Republica en pesos 5.000% 01-Mar-2035

Colombia - 86,424,273 (31 December 2016: 80,165,975) 52,780,500,000 18,149,000,000 63,863,600,000 23,329,000,000

Colombian TES 7.000% 04-May-2022 Colombian TES 7.750% 18-Sep-2030 Colombian TES 10.000% 24-Jul-2024 Empresas Publicas de Medellin ESP 7.625% 10-Sep-2024 17,774,000,000 Empresas Publicas de Medellin ESP 8.375% 01-Feb-2021 29,740,000,000 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 31,996,000,000 Financiera de Desarrollo Territorial SA Findeter 7.875% 12-Aug-2024

5.91 0.30 0.44 2.19 0.44 1.46 1.08

64,506,761

6.70

2,523,372

0.26

38,699,037

4.02

23,284,352

2.42

25,903,480

2.69

16,103,881

1.67

9,799,599

1.02

86,424,273

8.98

18,613,383 6,641,640 25,853,562

1.93 0.69 2.69

7,873,190

0.82

6,191,926

0.64

10,236,715

1.06

11,013,857

1.15

Malaysia - 25,710,731 (31 December 2016: 18,096,234)

25,710,731

2.67

9,693,826

1.01

10,628,133

1.10

5,388,772

0.56

107,178,931

11.14

8,526,161 58,420,187 8,254,818 31,977,765

0.89 6.07 0.86 3.32

24,178,393

2.51

10,639,886 1,778,961 6,734,324 2,475,947 2,549,275

1.11 0.18 0.70 0.26 0.26

4,389,071

0.46

4,389,071

0.46

78,239,489

8.13

25,555,091

2.65

25,991,566

2.70

17,679,063

1.84

9,013,769

0.94

11,014,596

1.15

11,014,596

1.15

74,331,682

7.73

40,601,562

4.22

28,769,093

2.99

4,961,027

0.52

159,340,103

16.56

28,545,340

2.97

14,411,897

1.50

41,870,000 Malaysia Government Bond 3.844% 15-Apr-2033 43,540,000 Malaysia Government Bond 3.900% 30-Nov-2026 21,940,000 Malaysia Government Bond 3.955% 15-Sep-2025

Mexico - 107,178,931 (31 December 2016: 68,577,681) 184,276,600 Comision Federal de Electricidad 7.350% 25-Nov-2025 1,298,010,000 Mexican Bonos 5.750% 05-Mar-2026 132,886,600 Mexican Bonos 10.000% 20-Nov-2036 705,820,000 Petroleos Mexicanos 7.190% 12-Sep-2024

Peru - 24,178,393 (31 December 2016: 12,576,868) 32,280,000 Peru Government Bond 144A 6.150% 12-Aug-2032 5,260,000 Peru Government Bond 6.350% 12-Aug-2028 19,100,000 Peru Government Bond 6.950% 12-Aug-2031 7,200,000 Peru Government Bond 7.840% 12-Aug-2020 6,700,000 Peru Government Bond 8.200% 12-Aug-2026

Philippines - 4,389,071 (31 December 2016: 7,217,199) 213,000,000 Philippine Government International Bond 4.950% 15-Jan-2021

Poland - 78,239,489 (31 December 2016: 56,881,970) 93,880,000 Republic of Poland Government Bond 2.500% 25-Jul-2026 89,655,000 Republic of Poland Government Bond 3.250% 25-Jul-2025 57,700,000 Republic of Poland Government Bond 4.000% 25-Oct-2023 27,463,000 Republic of Poland Government Bond 5.750% 23-Sep-2022

Romania - 11,014,596 (31 December 2016: –) 39,320,000 Romania Government Bond 5.850% 26-Apr-2023

Hungary - 9,813,559 (31 December 2016: 35,841,917) 768,790,000 Hungary Government Bond 3.000% 26-Jun-2024 1,597,540,000 Hungary Government Bond 3.250% 22-Oct-2031

Indonesia - 80,869,055 (31 December 2016: 86,082,151) 254,140,000,000 20,044,000,000 180,706,000,000 307,720,000,000 101,578,000,000 113,463,000,000

Indonesia Treasury Bond 7.000% 15-May-2027 Indonesia Treasury Bond 7.500% 15-Aug-2032 Indonesia Treasury Bond 8.250% 15-Jun-2032 Indonesia Treasury Bond 8.375% 15-Sep-2026 Indonesia Treasury Bond 8.375% 15-Mar-2034 Indonesia Treasury Bond 11.000% 15-Sep-2025

9,813,559 3,259,692 6,553,867

1.02 0.34 0.68

80,869,055

8.40

19,686,836 1,566,415 14,829,213 25,693,979 8,366,568 10,726,044

2.05 0.16 1.54 2.67 0.87 1.11

Russia - 74,331,682 (31 December 2016: 63,010,119) 2,339,665,000 Russian Federal Bond - OFZ 7.000% 16-Aug-2023 1,704,190,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 271,400,000 Russian Federal Bond - OFZ 8.150% 03-Feb-2027

South Africa - 159,340,103 (31 December 2016: 80,273,339) 423,245,000 Republic of South Africa Government Bond 7.000% 28-Feb-2031 178,329,022 Republic of South Africa Government Bond 7.250% 15-Jan-2020

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BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Holdings Description Description

Unrealised loss on forward foreign currency contracts - (14,359,202) (seebelow) (31 December 2016: (18,731,022)) (14,359,202)

South Africa cont’d. 187,600,000 Republic of South Africa Government Bond 8.000% 21-Dec-2018 237,600,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 776,416,735 Republic of South Africa Government Bond 10.500% 21-Dec-2026 170,760,000 Transnet SOC Ltd 9.500% 13-May-2021

Thailand - 32,468,807 (31 December 2016: 27,197,910) 430,265,059 Thailand Government Bond 1.200% 14-Jul-2021 59,912,148 Thailand Government Bond 1.250% 12-Mar-2028 113,600,000 Thailand Government Bond 3.850% 12-Dec-2025 361,990,000 Thailand Government Bond 4.875% 22-Jun-2029

15,295,332

1.59

Total ﬁnancial liabilities at fair value through proﬁt or loss

17,414,078

1.81

Net current assets

70,152,052 13,521,404

7.29 1.40

Total net assets

32,468,807

3.37

13,134,547

1.36

Analysis of portfolio

1,787,266

0.19

3,896,217

0.40

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

13,650,777

1.42

68,753,105

7.15

Turkey Government Bond 8.800% 27-Sep-2023 Turkey Government Bond 10.400% 20-Mar-2024 Turkey Government Bond 10.500% 15-Jan-2020 Turkey Government Bond 10.600% 11-Feb-2026 Turkey Government Bond 11.000% 24-Feb-2027

20,353,296 14,210,511 8,056,891 17,675,447 8,456,960

2.11 1.48 0.84 1.84 0.88

United States of America - 9,325,917 (31 December 2016: 16,766,415)

9,325,917

0.97

9,345,000 United States Treasury Bill 0.000% 01-Mar-2018*

9,325,917

0.97

Uruguay - 10,402,233 (31 December 2016: –)

10,402,233

1.08

10,402,233

1.08

929,665,779

96.62

200,084 309,673

0.02 0.03

509,757

0.05

13,205,664

1.37

943,381,200

98.04

298,965,000 Uruguay Government International Bond 8.500% 15-Mar-2028

Total investments in bonds

(1.49)

(14,455,563)

(1.50)

33,271,427

3.46

962,197,064

100.00

* Part of the holding is held as collateral by Citigroup Global Markets Limited in respect of currency options and forward foreign currency contracts held by the Fund. The counterparties for currency options are Citigroup Global Markets Limited and JPMorgan Chase Bank.

Total assets Turkey - 68,753,105 (31 December 2016: 69,511,798) 87,570,000 57,795,000 31,845,302 71,945,000 33,435,000

Fair Total value net assets USD %

% of Total Assets 94.90 1.40 3.70

100.00

Currency options - 509,757 (31 December 2016: 2,241) 9,400,000 US dollar/Turkish lira Put 16-Mar-2018 3.860 9,400,000 US dollar/Turkish lira Put 27-Feb-2018 3.930

Total currency options Unrealised gain on forward foreign currency contracts - 13,205,664 (seebelow) (31 December 2016: 5,330,637)

Total ﬁnancial assets at fair value through proﬁt or loss Currency options - (96,361) (31 December 2016: (1,687,806)) (9,400,000) (9,200,000) (9,400,000) (9,400,000)

US dollar/Russian rouble Call 06-Mar-2018 62.000 US dollar/South African rand Call 22-Feb-2018 15.500 US dollar/Turkish lira Call 16-Mar-2018 4.210 US dollar/Turkish lira Call 27-Feb-2018 4.320

Total currency options

(32,885) (2,280) (46,090) (15,106)

(0.00) (0.00) (0.01) (0.00)

(96,361)

(0.01)

06571-1A.indd 94

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BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Local Currency Fund US dollar Malaysian ringgit Malaysian ringgit Chilean peso Chilean peso Chilean peso Czech koruna Czech koruna Euro Euro Hungarian forint Hungarian forint Hungarian forint Hungarian forint Indian rupee Indonesian rupiah Indonesian rupiah Peruvian nuevo sol Polish zloty Polish zloty Romanian leu Russian rouble Singapore dollar South African rand South African rand Thai baht Thai baht Turkish lira Turkish lira Turkish lira US dollar US dollar US dollar US dollar US dollar

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Local Currency Fund cont’d.

Hong Kong dollar

16,346,278 126,700,000 12-Jan-18 JPMorgan Chase Bank US dollar 148,940,000 35,323,135 30-Jan-18 Barclays Bank PLC US dollar 3,770,000 906,250 30-Jan-18 Barclays Bank PLC US dollar 2,535,240,000 3,906,379 31-Jan-18 JPMorgan Chase Bank US dollar 570,990,000 904,610 31-Jan-18 Citigroup Global Markets Limited US dollar 525,830,000 831,444 31-Jan-18 JPMorgan Chase Bank Euro 715,840,000 28,005,986 31-Jan-18 UBS AG US dollar 734,685,000 33,509,008 31-Jan-18 JPMorgan Chase Bank US dollar 12,455,000 14,731,151 31-Jan-18 JPMorgan Chase Bank US dollar 8,090,000 9,633,159 31-Jan-18 UBS AG US dollar 2,441,910,000 9,268,751 31-Jan-18 JPMorgan Chase Bank US dollar 4,585,760,000 17,245,659 31-Jan-18 JPMorgan Chase Bank US dollar 1,760,000,000 6,610,403 31-Jan-18 JPMorgan Chase Bank US dollar 238,850,000 905,636 31-Jan-18 JPMorgan Chase Bank US dollar 601,400,000 9,216,576 31-Jan-18 JPMorgan Chase Bank 12,211,500,000 896,915 31-Jan-18 Citigroup Global US dollar Markets Limited 347,817,520,000 25,523,208 31-Jan-18 JPMorgan Chase US dollar Bank US dollar 11,890,000 3,653,403 31-Jan-18 JPMorgan Chase Bank US dollar 73,975,000 20,326,153 31-Jan-18 JPMorgan Chase Bank US dollar 3,250,000 903,491 31-Jan-18 JPMorgan Chase Bank US dollar 95,270,000 24,041,689 31-Jan-18 JPMorgan Chase Bank US dollar 108,730,000 1,803,151 31-Jan-18 Citigroup Global Markets Limited US dollar 13,810,000 10,124,262 31-Jan-18 UBS AG US dollar 31,000,000 2,151,775 31-Jan-18 Goldman Sachs US dollar 13,000,000 907,126 31-Jan-18 Barclays Bank PLC US dollar 29,790,000 907,891 31-Jan-18 JPMorgan Chase Bank US dollar 885,550,000 26,759,840 31-Jan-18 JPMorgan Chase Bank US dollar 18,775,000 4,737,788 31-Jan-18 JPMorgan Chase Bank US dollar 7,020,000 1,781,581 31-Jan-18 JPMorgan Chase Bank US dollar 9,910,000 2,488,349 31-Jan-18 JPMorgan Chase Bank Argentinian peso 11,424,324 211,350,000 31-Jan-18 HSBC Bank plc Mexican peso 23,872,900 460,365,000 31-Jan-18 Goldman Sachs Mexican peso 1,485,993 27,990,000 31-Jan-18 Goldman Sachs Argentinian peso 9,519,631 174,650,000 15-Mar-18 Citigroup Global Markets Limited Argentinian peso 15,653,383 287,130,000 15-Mar-18 Citigroup Global Markets Limited

Czech koruna Mexican peso US dollar

Euro US dollar Chilean peso

US dollar

Colombian peso

US dollar

Hungarian forint

US dollar

Korean won

23,008 10,878

US dollar

Philippine peso

1,053,183

US dollar

Polish zloty

240,463 91,478

US dollar

Romanian leu

US dollar

Romanian leu

US dollar

Russian rouble

US dollar

South African rand

US dollar

South African rand

US dollar

South African rand

US dollar

South African rand

US dollar

Taiwanese dollar

US dollar

Turkish lira

US dollar

Turkish lira

Brazilian real

US dollar

Brazilian real

US dollar

125,804 1,289,521 20,497 213,282 23,225

175,831 490,698 196,754 18,165 183,275 4,135 141,203 8,608 925,909 30,192 445,037

229,800,000 8,993,601 31-Jan-18 Barclays Bank PLC 34,660,000 1,796,101 31-Jan-18 Goldman Sachs 8,526,502 5,421,150,000 31-Jan-18 JPMorgan Chase Bank 9,864,283 30,267,565,000 31-Jan-18 JPMorgan Chase Bank 1,125,248 296,120,000 31-Jan-18 JPMorgan Chase Bank 15,642,924 17,399,155,000 31-Jan-18 JPMorgan Chase Bank 18,762,399 967,530,000 31-Jan-18 JPMorgan Chase Bank 10,141,314 36,480,000 31-Jan-18 JPMorgan Chase Bank 9,398,019 37,000,000 31-Jan-18 JPMorgan Chase Bank 6,608,086 26,020,000 31-Jan-18 JPMorgan Chase Bank 3,518,715 208,600,000 31-Jan-18 JPMorgan Chase Bank 10,004,857 128,380,000 31-Jan-18 Citigroup Global Markets Limited 1,938,291 26,940,000 31-Jan-18 Citigroup Global Markets Limited 60,216,963 868,160,000 31-Jan-18 Citigroup Global Markets Limited 7,767,942 107,000,000 31-Jan-18 Citigroup Global Markets Limited 20,101,013 604,940,000 31-Jan-18 Citigroup Global Markets Limited 4,563,581 17,852,500 31-Jan-18 JPMorgan Chase Bank 4,557,057 17,852,500 31-Jan-18 JPMorgan Chase Bank 80,365,000 24,505,260 02-Feb-18 Citigroup Global Markets Limited 5,830,000 1,779,881 02-Feb-18 JPMorgan Chase Bank

71,942 206,360 341,682 138,518 6,973 435,798

(20,056) (664,852) (607,959) (338,918) (111,888) (79,692) (78,677) (321,276) (228,604) (9,612,724) (838,509) (262,688) (104,177) (110,700) (369,662) (28,988)

BNY Mellon Emerging Markets Debt Local Currency Fund EUR G (Acc) (Hedged) Share Class US dollar

101,579

120,110 12-Jan-18 The Bank of New York Mellon

53,885

1,847

USD

1,847

EUR

1,539

BNY Mellon Emerging Markets Debt Local Currency Fund EUR H (Hedged) Share Class Euro

US dollar

6,925

Euro

US dollar

64,301

Euro

US dollar

46,889

Euro

US dollar

2,912,456

822,258

USD 9,497,420

(247,626)

Net USD (4,856,206)

Euro

498,435

(282,644)

USD (14,353,626)

171,169

102,743 267,647 597,977 70,887

(209) (43,777)

8,237 02-Jan-18 The Bank of New York Mellon 76,415 12-Jan-18 The Bank of New York Mellon 55,806 12-Jan-18 The Bank of New York Mellon 3,443,765 12-Jan-18 The Bank of New York Mellon

72 786 490 52,963

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BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

US dollar

27,405

Euro

US dollar

60,324

Euro

US dollar

249,221

US dollar

Euro

55,773

US dollar

Euro

8,242

US dollar

Euro

11,598

US dollar

Euro

14,789

US dollar

Euro

3,489

32,323 12-Jan-18 The Bank of New York Mellon 71,827 12-Jan-18 The Bank of New York Mellon 296,722 12-Jan-18 The Bank of New York Mellon

US dollar

Euro

160,945

US dollar

Euro

254,999

599

2,695,716

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

135,180 12-Jan-18 The Bank of New York Mellon 215,063 12-Jan-18 The Bank of New York Mellon

(1,353) (3,209)

2,495

USD

(4,562)

USD

57,985

EUR

(3,802)

EUR

48,327

46,889 02-Jan-18 The Bank of New York Mellon 6,925 12-Jan-18 The Bank of New York Mellon 9,781 12-Jan-18 The Bank of New York Mellon 12,540 12-Jan-18 The Bank of New York Mellon 2,940 12-Jan-18 The Bank of New York Mellon

Net USD 2,588,089 Net EUR 2,157,009

(488) (72) (146)

BNY Mellon Emerging Markets Debt Local Currency Fund Sterling J (Inc) (Hedged) Share Class Sterling

US dollar

6,873

(267)

9,194 12-Jan-18 The Bank of New York Mellon

(41)

USD

(1,014)

GBP

EUR

(845)

Net USD

56,971

Net EUR

47,482

BNY Mellon Emerging Markets Debt Local Currency Fund EUR I (Hedged) Share Class US dollar

Amount (B)

580

BNY Mellon Emerging Markets Debt Local Currency Fund Sterling W (Inc) (Hedged) Share Class Sterling

Euro

Sell

BNY Mellon Emerging Markets Debt Local Currency Fund EUR W (Hedged) Share Class cont’d.

BNY Mellon Emerging Markets Debt Local Currency Fund EUR H (Hedged) Share Class cont’d. Euro

Buy

3,187,486 12-Jan-18 The Bank of New York Mellon

US dollar

152,293

203,720 12-Jan-18 The Bank of New York Mellon

1,971

USD

1,971

GBP

1,460

49,021

USD

49,021

EUR

40,856

BNY Mellon Emerging Markets Debt Local Currency Fund EUR I (Inc) (Hedged) Share Class Euro

US dollar

55,248,223

65,326,964 12-Jan-18 The Bank of New York Mellon

1,004,680

USD 1,004,680 EUR

837,337

BNY Mellon Emerging Markets Debt Local Currency Fund EUR W (Hedged) Share Class Euro

US dollar

Euro

US dollar

Euro

US dollar

Euro

1,660,204

1,972,976 12-Jan-18 The Bank of New York Mellon 40,203 47,417 12-Jan-18 The Bank of New York Mellon 141,409,977 167,206,908 12-Jan-18 The Bank of New York Mellon 1 1 12-Jan-18 The Bank of New York Mellon

20,283 851 2,571,517 –

USD 2,592,651 EUR 2,160,811

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BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds

Bonds cont’d. Argentina - 3,839,605 (31 December 2016: 3,501,555)

Colombia cont’d. 3,839,605

4,226,000 Argentina Treasury Bond BONCER 2.500% 22-Jul-2021 2,000,000 Argentine Bonos del Tesoro 16.000% 17-Oct-2023 2,660,000 Argentine Bonos del Tesoro 18.200% 03-Oct-2021 1,569,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 395,000 Argentine Republic Government International Bond 7.125% 28-Jun-2117 5,930,000 City of Buenos Aires Argentina 26.438% 22-Feb-2028 FRN 9,475,000 City of Buenos Aires Argentina 26.661% 29-Mar-2024 FRN 13,899,000 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN 270,000 Provincia de Cordoba 7.125% 10-Jun-2021 325,000 Provincia de Cordoba 7.450% 01-Sep-2024

Bahrain - 346,054 (31 December 2016: 1,165,391) 340,000 Bahrain Government International Bond 7.000% 12-Oct-2028

Brazil - 4,494,640 (31 December 2016: 6,672,031)

Chile - 1,729,810 (31 December 2016: 509,381)

365,000 ENN Energy Holdings Ltd 3.250% 24-Jul-2022 690,000 Sinopec Group Overseas Development 2017 Ltd 3.625% 12-Apr-2027

Colombia - 4,386,784 (31 December 2016: 4,344,400) Banco de Bogota SA 4.375% 03-Aug-2027 Colombian TES 6.000% 28-Apr-2028 Colombian TES 7.750% 18-Sep-2030 Colombian TES 10.000% 24-Jul-2024

294,068

0.44

106,778

0.16

147,427

0.22

662,211

0.98

408,035

0.61

319,064

0.47

500,000 Ecopetrol SA 5.375% 26-Jun-2026 220,000 Ecopetrol SA 5.875% 28-May-2045 1,616,000,000 Empresas Publicas de Medellin ESP 7.625% 10-Sep-2024 502,000,000 Empresas Publicas de Medellin ESP 8.375% 01-Feb-2021 2,150,000,000 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 1,318,000,000 Financiera de Desarrollo Territorial SA Findeter 7.875% 12-Aug-2024

Croatia - 228,476 (31 December 2016: –) 200,000 Croatia Government International Bond 6.000% 26-Jan-2024

541,100 225,392

0.80 0.34

545,376

0.81

174,882

0.26

740,045

1.10

453,690

0.67

228,476

0.34

228,476

0.34

497,314

0.74

756,202 292,264 356,242

1.12 0.43 0.53

365,500

0.54

340,000 HTA Group Ltd/Mauritius 9.125% 08-Mar-2022

365,500

0.54

346,054

0.51

Dominican Republic - 124,108 (31 December 2016: 104,469)

124,108

0.18

124,108

0.18

980,694

1.46

613,094

0.91

367,600

0.55

462,784

0.69

232,642

0.35

230,142

0.34

0.51

4,494,640

6.67

367,200

0.54

801,744

1.19

1,251,036 702,000 240,566 551,500 350,594 230,000

1.86 1.04 0.36 0.82 0.52 0.34

1,729,810

2.57

170,000,000 Bonos de la Tesoreria de la Republica en pesos 5.000% 01-Mar-2035 360,000 Celulosa Arauco y Constitucion SA 5.500% 02-Nov-2047 400,000 Corp Nacional del Cobre de Chile 3.625% 01-Aug-2027 640,000 VTR Finance BV 6.875% 15-Jan-2024

China - 1,057,912 (31 December 2016: –)

5.70

346,054

360,000 Aegea Finance Sarl 5.750% 10-Oct-2024 2,625,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 4,150,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 650,000 Cosan Luxembourg SA 7.000% 20-Jan-2027 240,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 500,000 Petrobras Global Finance BV 7.375% 17-Jan-2027 325,000 Rumo Luxembourg Sarl 7.375% 09-Feb-2024 200,000 Suzano Austria GmbH 7.000% 16-Mar-2047

350,000 2,200,000,000 492,100,000 1,154,200,000

Holdings Description

Fair Total value net assets USD %

276,274

0.41

375,300 401,436 676,800

0.56 0.60 1.00

1,057,912

1.57

362,868

0.54

695,044

1.03

4,386,784

6.51

350,000 708,966 180,084 467,249

0.52 1.05 0.27 0.69

Democratic Republic of Congo - 365,500 (31 December 2016: –)

110,000 Dominican Republic International Bond 6.850% 27-Jan-2045

Ecuador - 980,694 (31 December 2016: 217,500) 575,000 Ecuador Government International Bond 7.950% 20-Jun-2024 320,000 Ecuador Government International Bond 9.625% 02-Jun-2027

Egypt - 462,784 (31 December 2016: –) 230,000 Egypt Government International Bond 5.875% 11-Jun-2025 200,000 Egypt Government International Bond 8.500% 31-Jan-2047

Georgia - 742,997 (31 December 2016: 1,586,764)

742,997

1.10

710,000 BGEO Group JSC 6.000% 26-Jul-2023

742,997

1.10

Ghana - 425,768 (31 December 2016: –)

425,768

0.63

223,008 202,760

0.33 0.30

168,648

0.25

168,648

0.25

171,536

0.25

171,536

0.25

200,000 Ghana Government International Bond 8.125% 18-Jan-2026 200,000 Tullow Oil Plc 6.000% 01-Nov-2020

Guatemala - 168,648 (31 December 2016: –) 160,000 Central American Bottling Corp 5.750% 31-Jan-2027

Honduras - 171,536 (31 December 2016: –) 160,000 Honduras Government International Bond 6.250% 19-Jan-2027

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BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Hong Kong - 973,199 (31 December 2016: 918,784) 725,000 Melco Resorts Finance Ltd 4.875% 06-Jun-2025 220,000 Shimao Property Holdings Ltd 8.375% 10-Feb-2022

India - 2,032,313 (31 December 2016: 648,210) 430,000 BPRL International Singapore Pte Ltd 4.375% 18-Jan-2027 390,000 GMR Hyderabad International Airport Ltd 4.250% 27-Oct-2027 1,150,000 Vedanta Resources Plc 6.375% 30-Jul-2022

Indonesia - 4,154,526 (31 December 2016: 5,845,447) 225,000 Indika Energy Capital III Pte Ltd 5.875% 09-Nov-2024 1,408,000,000 Indonesia Treasury Bond 7.500% 15-Aug-2032 2,154,000,000 Indonesia Treasury Bond 8.250% 15-Jun-2032 10,242,000,000 Indonesia Treasury Bond 8.375% 15-Sep-2026 5,799,000,000 Indonesia Treasury Bond 8.375% 15-Mar-2034 12,021,000,000 Indonesia Treasury Bond 10.000% 15-Sep-2024 5,517,000,000 Indonesia Treasury Bond 11.000% 15-Sep-2025 430,000 Pertamina Persero PT 6.500% 27-May-2041 200,000 Perusahaan Listrik Negara PT 5.250% 15-May-2047

Iraq - 1,267,886 (31 December 2016: 1,450,125) 590,000 Iraq International Bond 5.800% 15-Jan-2028 680,000 Iraq International Bond 6.752% 09-Mar-2023

Holdings Description

Bonds cont’d. Malaysia - 1,181,446 (31 December 2016: 433,705)

973,199

1.44

734,760

1.09

4,840,000 Malaysia Government Bond 3.900% 30-Nov-2026

238,439

0.35

Mexico - 7,586,982 (31 December 2016: 7,010,966)

2,032,313

3.02

445,180

0.66

383,888 1,203,245

0.57 1.79

4,154,526

6.16

226,969 110,033 176,763 855,186 477,640 1,059,279 521,541 518,151

0.34 0.16 0.26 1.27 0.71 1.57 0.77 0.77

208,964

0.31

2,400,000 America Movil SAB de CV 8.460% 18-Dec-2036 350,000 Axtel SAB de CV 6.375% 14-Nov-2024 11,710,000 Comision Federal de Electricidad 7.350% 25-Nov-2025 380,000 Elementia SAB de CV 5.500% 15-Jan-2025 750,000 Metalsa SA de CV 4.900% 24-Apr-2023 33,965,000 Mexican Bonos 5.750% 05-Mar-2026 8,400,000 Mexican Bonos 10.000% 20-Nov-2036 200,000 Mexico City Airport Trust 5.500% 31-Jul-2047 40,000 Petroleos Mexicanos 4.625% 21-Sep-2023 320,000 Petroleos Mexicanos 5.500% 27-Jun-2044 55,000 Petroleos Mexicanos 6.375% 04-Feb-2021 60,000 Petroleos Mexicanos 6.500% 13-Mar-2027 130,000 Petroleos Mexicanos 6.625% 15-Jun-2035 41,930,000 Petroleos Mexicanos 7.190% 12-Sep-2024 315,000 Sixsigma Networks Mexico SA de CV 8.250% 07-Nov-2021 300,000 Southern Copper Corp 5.250% 08-Nov-2042

Mongolia - 297,793 (31 December 2016: –) 300,000 Mongolia Government International Bond 5.125% 05-Dec-2022

1,267,886

1.88

570,859 697,027

0.85 1.03

Morocco - 414,122 (31 December 2016: 363,826) 360,000 OCP SA 6.875% 25-Apr-2044

Ivory Coast - 524,990 (31 December 2016: 1,506,147) 515,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033

Jordan - 915,008 (31 December 2016: –) 710,000 Jordan Government International Bond 5.750% 31-Jan-2027 200,000 Jordan Government International Bond 7.375% 10-Oct-2047

Kazakhstan - 1,377,818 (31 December 2016: 1,650,727)

524,990

0.78

524,990

0.78

915,008

1.36

706,098

1.05

208,910

0.31

1,377,818

350,000 Development Bank of Kazakhstan JSC 4.125% 10-Dec-2022 361,725 200,000 KazMunayGas National Co JSC 4.750% 19-Apr-2027 211,252 460,000 KazTransGas JSC 4.375% 26-Sep-2027 462,886 340,000 Tengizchevroil Finance Co International Ltd 4.000% 15-Aug-2026 341,955

Kuwait - 274,847 (31 December 2016: 451,611) 270,000 Equate Petrochemical BV 4.250% 03-Nov-2026

Lebanon - 375,592 (31 December 2016: 489,500) 385,000 Lebanon Government International Bond 6.100% 04-Oct-2022

Fair Total value net assets USD %

2.04 0.53 0.31 0.69 0.51

274,847

0.41

274,847

0.41

375,592

0.56

375,592

0.56

Netherlands - 528,580 (31 December 2016: 501,619) 520,000 VEON Holdings BV 4.950% 16-Jun-2024

Nigeria - 418,113 (31 December 2016: –) 400,000 Nigeria Government International Bond 6.500% 28-Nov-2027

Pakistan - 236,203 (31 December 2016: 458,689) 235,000 Pakistan Government International Bond 6.875% 05-Dec-2027

Peru - 1,018,547 (31 December 2016: 1,129,722) 200,000 Orazul Energy Egenor S en C por A 5.625% 28-Apr-2027 1,230,000 Peru Government Bond 144A 6.150% 12-Aug-2032 560,000 Peru Government Bond 8.200% 12-Aug-2026 200,000 Petroleos del Peru SA 4.750% 19-Jun-2032

Poland - 1,852,403 (31 December 2016: 2,241,322) 4,265,000 Republic of Poland Government Bond 2.500% 25-Jul-2026 2,385,000 Republic of Poland Government Bond 3.250% 25-Jul-2025

1,181,446

1.75

1,181,446

1.75

7,586,982

11.26

111,471 362,250

0.17 0.54

541,801 393,300 757,500 1,528,680 521,802 198,500 41,250 295,187 59,922 65,655 139,372 1,899,674

0.80 0.58 1.12 2.27 0.77 0.29 0.06 0.44 0.09 0.10 0.21 2.82

334,294 336,324

0.50 0.50

297,793

0.44

297,793

0.44

414,122

0.61

414,122

0.61

528,580

0.78

528,580

0.78

418,113

0.62

418,113

0.62

236,203

0.35

236,203

0.35

1,018,547

1.51

197,300 405,423 213,074 202,750

0.29 0.60 0.32 0.30

1,852,403

2.75

1,160,976

1.72

691,427

1.03

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BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Romania - 577,072 (31 December 2016: 191,041) 640,000 Romania Government Bond 4.750% 24-Feb-2025 1,450,000 Romania Government Bond 5.850% 26-Apr-2023

Russia - 4,649,737 (31 December 2016: 5,397,803) 290,000 330,000 94,710,000 93,200,000 745,000

Evraz Group SA 5.375% 20-Mar-2023 Petropavlovsk 2016 Ltd 8.125% 14-Nov-2022 Russian Federal Bond - OFZ 7.000% 16-Aug-2023 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 Vnesheconombank Via VEB Finance Plc 6.902% 09-Jul-2020

Bonds cont’d. Turkey cont’d. 577,072

0.86

170,888 406,184

0.26 0.60

4,649,737

6.90

301,963 325,050 1,643,557 1,573,345

0.45 0.48 2.44 2.33

805,822

1.20

Saudi Arabia - 203,520 (31 December 2016: –)

203,520

0.30

205,000 Saudi Government International Bond 3.625% 04-Mar-2028

203,520

0.30

Senegal - 785,076 (31 December 2016: 1,276,485) 725,000 Senegal Government International Bond 6.250% 30-Jul-2024

South Africa - 6,382,021 (31 December 2016: 2,286,324)

785,076

1.17

785,076

1.17

215,000 Atento Luxco 1 SA 6.125% 10-Aug-2022

Sri Lanka - 211,544 (31 December 2016: 848,848) 200,000 Sri Lanka Government International Bond 6.200% 11-May-2027

Thailand - 1,058,298 (31 December 2016: 1,933,375) 20,560,577 Thailand Government Bond 1.200% 14-Jul-2021 11,420,000 Thailand Government Bond 4.875% 22-Jun-2029

Turkey - 4,758,438 (31 December 2016: 4,276,183) 410,000 360,000 4,225,000 490,000 600,000 4,265,000 2,260,000

Export Credit Bank of Turkey 5.375% 24-Oct-2023 TC Ziraat Bankasi AS 5.125% 29-Sep-2023 Turkey Government Bond 7.100% 08-Mar-2023 Turkey Government Bond 8.800% 27-Sep-2023 Turkey Government Bond 9.000% 24-Jul-2024 Turkey Government Bond 10.600% 11-Feb-2026 Turkey Government Bond 11.000% 24-Feb-2027

310,000 Turkey Government International Bond 5.750% 11-May-2047 650,000 Turkey Government International Bond 6.000% 25-Mar-2027 200,000 Turkiye Vakiﬂar Bankasi TAO 5.500% 27-Oct-2021

Ukraine - 1,362,481 (31 December 2016: 439,154) 730,000 Ukraine Government International Bond 0.000% 31-May-2040 VAR 705,000 Ukraine Government International Bond 7.375% 25-Sep-2032 250,000 Ukraine Government International Bond 7.750% 01-Sep-2024

United Arab Emirates - 1,164,764 (31 December 2016: 856,781) 340,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 660,000 DP World Ltd 6.850% 02-Jul-2037

United States of America - 299,387 (31 December 2016: 254,566) 6,382,021

200,000 Myriad International Holdings BV 5.500% 21-Jul-2025 218,226 20,655,000 Republic of South Africa Government Bond 7.000% 28-Feb-2031 1,393,056 5,000,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 366,458 38,800,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 3,505,720 210,000 Republic of South Africa Government International Bond 4.850% 27-Sep-2027 212,831 8,660,000 Transnet SOC Ltd 9.500% 13-May-2021 685,730

Spain - 225,750 (31 December 2016: –)

Holdings Description

Fair Total value net assets USD %

303,800

0.45

693,295

1.03

200,383

0.30

1,362,481

2.02

404,300

0.60

694,456

1.03

263,725

0.39

1,164,764

1.73

350,632 814,132

0.52 1.21

299,387

0.44

300,000 United States Treasury Bill 0.000% 01-Mar-2018*

299,387

0.44

2.07

Uruguay - 656,392 (31 December 2016: –)

656,392

0.97

0.54

18,865,000 Uruguay Government International Bond 8.500% 15-Mar-2028

656,392

0.97

Zambia - 225,437 (31 December 2016: –)

225,437

0.33

225,437

0.33

67,515,601

100.16

14,900 23,061

0.02 0.04

9.47 0.32

5.20 0.32 1.02

200,000 Zambia Government International Bond 8.970% 30-Jul-2027

Total investments in bonds 225,750

0.34

225,750

0.34

211,544

0.31

211,544

0.31

Total currency options

37,961

0.06

1,058,298

1.57

Unrealised gain on forward foreign currency contracts - 536,178 (seebelow) (31 December 2016: 428,046)

536,178

0.79

627,645 430,653

0.93 0.64

68,089,740

101.01

US dollar/Russian rouble Call 06-Mar-2018 62.000 (2,449) US dollar/South African rand Call 22-Feb-2018 15.500 (171) US dollar/Turkish lira Call 16-Mar-2018 4.210 (3,432) US dollar/Turkish lira Call 27-Feb-2018 4.320 (1,125)

(0.00) (0.00) (0.01) (0.00)

4,758,438

7.06

415,716 351,558 919,457 113,887 140,879 1,047,825 571,638

0.62 0.52 1.36 0.17 0.21 1.55 0.85

Currency options - 37,961 (31 December 2016: 154) 700,000 US dollar/Turkish lira Put 16-Mar-2018 3.860 700,000 US dollar/Turkish lira Put 27-Feb-2018 3.930

Total ﬁnancial assets at fair value through proﬁt or loss Currency options - (7,177) (31 December 2016: (123,495)) (700,000) (690,000) (700,000) (700,000)

Total currency options

(7,177)

(0.01)

06571-1A.indd 99

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BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31December2017

Description Unrealised loss on forward foreign currency contracts - (629,899) (seebelow) (31 December 2016: (598,370))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current liabilities Total net assets

Fair Total value net assets USD %

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Opportunistic Fund (629,899)

(0.93)

(637,076)

(0.94)

(42,244)

(0.07)

67,410,420

100.00

* Held as collateral by Citigroup Global Markets Limited in respect of currency options and forward foreign currency contracts held by the Fund. The counterparties for currency options are Citigroup Global Markets Limited and JPMorgan Chase Bank.

Analysis of portfolio

Forward foreign currency contracts

% of Total Assets 96.36 0.82 2.82

100.00

US dollar

Hong Kong dollar

1,155,980

Malaysian ringgit US dollar Chilean peso US dollar

5,960,000 209,170,000

Chilean peso

US dollar

597,800,000

Colombian peso

US dollar

939,770,000

Czech koruna Czech koruna

Euro US dollar

32,020,000 27,950,000

Euro Euro

US dollar US dollar

520,000 875,000

Hungarian forint Hungarian forint Hungarian forint Indian rupee

US dollar US dollar US dollar US dollar

177,220,000 188,530,000 63,150,000 48,360,000

Indonesian rupiah US dollar

1,478,300,000

Indonesian rupiah US dollar

18,655,570,000

Peruvian nuevo sol US dollar

2,150,000

Polish zloty

US dollar

370,000

Polish zloty

US dollar

8,185,000

Romanian leu

US dollar

2,940,000

Romanian leu Singapore dollar Thai baht

US dollar US dollar US dollar

400,000 970,000 2,260,000

Thai baht

US dollar

8,950,000

Thai baht

US dollar

6,780,000

Turkish lira

US dollar

350,000

Turkish lira

US dollar

1,430,000

US dollar US dollar

Mexican peso Argentinian peso

1,550,249 852,488

US dollar

Argentinian peso

1,079,431

8,960,000 12-Jan-18 JPMorgan Chase Bank 1,413,495 30-Jan-18 Barclays Bank PLC 322,296 31-Jan-18 JPMorgan Chase Bank 945,243 31-Jan-18 JPMorgan Chase Bank 311,771 31-Jan-18 Citigroup Global Markets Limited 1,252,726 31-Jan-18 UBS AG 1,274,800 31-Jan-18 JPMorgan Chase Bank 619,189 31-Jan-18 UBS AG 1,034,906 31-Jan-18 JPMorgan Chase Bank 666,507 31-Jan-18 Goldman Sachs 714,860 31-Jan-18 Goldman Sachs 237,085 31-Jan-18 Goldman Sachs 741,127 31-Jan-18 JPMorgan Chase Bank 108,181 31-Jan-18 Citigroup Global Markets Limited 1,368,965 31-Jan-18 JPMorgan Chase Bank 660,624 31-Jan-18 JPMorgan Chase Bank 102,143 31-Jan-18 JPMorgan Chase Bank 2,248,997 31-Jan-18 JPMorgan Chase Bank 741,918 31-Jan-18 JPMorgan Chase Bank 100,429 31-Jan-18 HSBC Bank plc 711,118 31-Jan-18 UBS AG 69,398 31-Jan-18 JPMorgan Chase Bank 270,454 31-Jan-18 JPMorgan Chase Bank 205,436 31-Jan-18 JPMorgan Chase Bank 87,883 31-Jan-18 JPMorgan Chase Bank 360,854 31-Jan-18 JPMorgan Chase Bank 29,895,000 31-Jan-18 Goldman Sachs 15,640,000 15-Mar-18 Citigroup Global Markets Limited 19,800,000 15-Mar-18 Citigroup Global Markets Limited

USD

8,897 51,602 17,597 26,157 2,191 487 40,067 5,880 16,893 18,928 14,318 7,160 14,738 898 7,574 1,557 4,153 102,448 13,734 2,380 14,494 8 4,404 2,780 3,629 13,037 38,831 44,635 56,701

536,178

100

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BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Opportunistic Fund cont’d. Czech koruna Euro Peruvian nuevo sol US dollar US dollar

Chilean peso

US dollar

Colombian peso

US dollar US dollar

Hungarian forint Korean won

US dollar

Peruvian nuevo sol

US dollar

Peruvian nuevo sol

US dollar

Peruvian nuevo sol

US dollar

Philippine peso

US dollar

Polish zloty

US dollar

Romanian leu

US dollar

Romanian leu

US dollar

Russian rouble

US dollar

South African rand

US dollar

South African rand

US dollar

South African rand

US dollar

South African rand

US dollar

Taiwanese dollar

US dollar

Turkish lira

US dollar

Turkish lira

Brazilian real

US dollar

Argentinian peso US dollar

32,970,000 670,000

1,290,335 31-Jan-18 Barclays Bank PLC 206,899 31-Jan-18 JPMorgan Chase Bank 699,670 444,850,000 31-Jan-18 JPMorgan Chase Bank 377,094 1,157,075,000 31-Jan-18 JPMorgan Chase Bank 69,322 18,240,000 31-Jan-18 Goldman Sachs 1,123,873 1,250,050,000 31-Jan-18 JPMorgan Chase Bank 266,281 865,000 31-Jan-18 Citigroup Global Markets Limited 115,493 375,000 31-Jan-18 JPMorgan Chase Bank 174,515 570,000 31-Jan-18 Citigroup Global Markets Limited 915,596 47,215,000 31-Jan-18 JPMorgan Chase Bank 733,911 2,640,000 31-Jan-18 JPMorgan Chase Bank 419,101 1,650,000 31-Jan-18 JPMorgan Chase Bank 700,935 2,760,000 31-Jan-18 JPMorgan Chase Bank 563,737 33,420,000 31-Jan-18 JPMorgan Chase Bank 730,998 9,380,000 31-Jan-18 Citigroup Global Markets Limited 1,863,052 26,860,000 31-Jan-18 Citigroup Global Markets Limited 580,781 8,000,000 31-Jan-18 Citigroup Global Markets Limited 130,227 1,810,000 31-Jan-18 Citigroup Global Markets Limited 1,477,322 44,460,000 31-Jan-18 Citigroup Global Markets Limited 340,774 1,335,000 31-Jan-18 JPMorgan Chase Bank 341,262 1,335,000 31-Jan-18 JPMorgan Chase Bank 4,155,000 1,266,961 02-Feb-18 Citigroup Global Markets Limited 6,000,000 322,754 15-Mar-18 Citigroup Global Markets Limited

(30) (545) (23,193) (9,466) (1,225) (47,767) (131) (4) (1,040) (29,668) (24,527) (4,990) (8,453) (12,605) (23,474) (297,408) (62,692) (15,359) (19,306) (8,278) (7,790) (19,112) (12,836)

USD (629,899) Net USD

(93,721)

101

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BNY MELLON EMERGING MARKETS DEBT TOTAL RETURN FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes Ireland - 4,415,000 4,415,000 Insight Liquidity Funds Plc - USD Liquidity Fund

Total investments in collective investment schemes

Bonds cont’d. 4,415,000

7.26

4,415,000

7.26

4,415,000

7.26

Bonds Argentina - 3,895,823

3,895,823

14,400,000 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN 823,723 1,000,000 Argentine Republic Government International Bond 5.000% 15-Jan-2027 1,247,461 300,000 Argentine Republic Government International Bond 7.125% 28-Jun-2117 309,900 900,000 Banco Macro SA 6.750% 04-Nov-2026 VAR 933,489 500,000 YPF SA 8.500% 28-Jul-2025 581,250

Bahrain - 574,572 600,000 Bahrain Government International Bond 7.500% 20-Sep-2047

Brazil - 3,638,544 600,000 Azul Investments LLP 5.875% 26-Oct-2024 2,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2021 4,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 2,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2027 600,000 Petrobras Global Finance BV 5.999% 27-Jan-2028

China - 2,098,671 900,000 Alibaba Group Holding Ltd 3.400% 06-Dec-2027 600,000 Postal Savings Bank of China Co Ltd 4.500% Perpetual VAR 600,000 Wisdom Glory Group Ltd 5.250% Perpetual VAR

Holdings Description

6.41 1.35 2.05

1,150,710

1.89

1,000,000 Egypt Government International Bond 8.500% 31-Jan-2047

Egypt - 1,150,710

1,150,710

1.89

El Salvador - 510,625

510,625

0.84

510,625

0.84

509,023

0.84

509,023

0.84

550,745

0.91

550,745

0.91

4,937,748

8.12

600,000 APL Realty Holdings Pte Ltd 5.950% 02-Jun-2024 611,474 300,000 Indonesia Government International Bond 5.250% 08-Jan-2047 339,738 450,000 Indonesia Government International Bond 6.750% 15-Jan-2044 599,212 20,000,000,000 Indonesia Treasury Bond 7.000% 15-May-2027 1,549,291 15,000,000,000 Indonesia Treasury Bond 8.250% 15-May-2036 1,235,489 600,000 Perusahaan Listrik Negara PT 4.125% 15-May-2027 602,544

1.01

500,000 El Salvador Government International Bond 6.375% 18-Jan-2027

Gabon - 509,023 500,000 Gabon Government International Bond 6.375% 12-Dec-2024

Ghana - 550,745 0.51 1.54 0.96

574,572

0.94

574,572

0.94

3,638,544

5.98

597,750

0.98

621,393

1.02

1,221,705

2.01

595,446

0.98

602,250

0.99

2,098,671

3.45

900,904

1.48

594,000 603,767

0.98 0.99

3,209,774

5.28

530,000 850,594 1,214,474 614,706

0.87 1.40 2.00 1.01

500,000 Ghana Government International Bond 7.875% 07-Aug-2023

Indonesia - 4,937,748

Ivory Coast - 1,573,854 1,200,000 Ivory Coast Government International Bond 5.125% 15-Jun-2025

Jamaica - 1,232,863 1,250,000 Digicel Group Ltd 8.250% 30-Sep-2020

Malaysia - 1,861,169 7,500,000 Malaysia Government Investment Issue 3.872% 30-Aug-2018

Mexico - 4,047,065 Colombia - 3,209,774 500,000 Colombia Government International Bond 5.000% 15-Jun-2045 2,500,000,000 Colombian TES 7.000% 30-Jun-2032 3,000,000,000 Colombian TES 10.000% 24-Jul-2024 600,000 Ecopetrol SA 5.875% 28-May-2045

Croatia - 608,588

608,588

1.00

500,000 Croatia Government International Bond 2.750% 27-Jan-2030

608,588

1.00

Czech Republic - 793,166

793,166

1.30

793,166

1.30

958,000

1.57

17,340,000 Czech Republic Government Bond 0.450% 25-Oct-2023

Dominican Republic - 958,000 800,000 Dominican Republic International Bond 7.450% 30-Apr-2044

Ecuador - 996,375 600,000 Ecuador Government International Bond 8.750% 02-Jun-2023 300,000 Ecuador Government International Bond 8.875% 23-Oct-2027

Fair Total value net assets USD %

600,000 Banco Mercantil del Norte SA/Grand Cayman 7.625% Perpetual VAR 600,000 BBVA Bancomer SA/Texas 6.750% 30-Sep-2022 11,600,000 Mexican Bonos 7.500% 03-Jun-2027 4,800,000 Mexican Bonos 7.750% 29-May-2031 10,000,000 Mexican Bonos 10.000% 05-Dec-2024 1,250,000 Petroleos Mexicanos 144A 6.750% 21-Sep-2047

Nigeria - 1,681,604

958,000

1.57

996,375

1.64

665,250

1.09

331,125

0.55

500,000 Nigeria Government International Bond 6.500% 28-Nov-2027 500,000 Nigeria Government International Bond 7.625% 28-Nov-2047 600,000 United Bank for Africa Plc 7.750% 08-Jun-2022

Peru - 2,424,701 600,000 Nexa Resources SA 5.375% 04-May-2027 1,400,000 Peruvian Government International Bond 5.700% 12-Aug-2024 500,000 Peruvian Government International Bond 6.850% 12-Feb-2042 1,500,000 Peruvian Government International Bond 6.900% 12-Aug-2037 600,000 Petroleos del Peru SA 5.625% 19-Jun-2047

0.56 0.98 2.55 2.03 0.99

1,573,854

2.59

1,573,854

2.59

1,232,863

2.03

1,232,863

2.03

1,861,169

3.06

1,861,169

3.06

4,047,065

6.66

659,250 678,000 583,608 244,498 573,772 1,307,937

1.09 1.12 0.96 0.40 0.94 2.15

1,681,604

2.77

522,641

0.86

537,867 621,096

0.89 1.02

2,424,701

3.99

637,500

1.05

466,313

0.77

167,974

0.27

521,414 631,500

0.86 1.04

102

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BNY MELLON EMERGING MARKETS DEBT TOTAL RETURN FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Poland - 2,174,299

Holdings Description Description Unrealised loss on forward foreign currency contracts - (177,487) (seebelow)

2,174,299

3.58

2,174,299

3.58

5,209,499

8.57

625,590 591,000 1,215,236 1,519,325

1.03 0.97 2.00 2.50

Total net assets

1,258,348

2.07

Saudi Arabia - 614,041

614,041

1.01

600,000 Saudi Government International Bond 4.625% 04-Oct-2047

614,041

1.01

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

2,412,441

3.97

2,412,441

3.97

645,000

1.06

645,000

1.06

1,027,520

1.69

725,244 302,276

1.19 0.50

1,771,944

2.91

1,771,944

2.91

639,965

1.05

639,965

1.05

1,905,756

3.13

651,840

1.07

632,940

1.04

620,976

1.02

521,912

0.86

521,912

0.86

648,000

1.07

648,000

1.07

54,823,997

90.17

170,965

0.28

59,409,962

97.71

7,500,000 Republic of Poland Government Bond 3.250% 25-Jul-2025

Russia - 5,209,499 600,000 Gazprom OAO Via Gaz Capital SA 4.950% 23-Mar-2027 600,000 Petropavlovsk 2016 Ltd 8.125% 14-Nov-2022 70,000,000 Russian Federal Bond - OFZ 7.000% 25-Jan-2023 90,000,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 1,200,000 Russian Foreign Bond - Eurobond 5.250% 23-Jun-2047

South Africa - 2,412,441 26,700,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026

Tanzania - 645,000 600,000 HTA Group Ltd/Mauritius 9.125% 08-Mar-2022

Thailand - 1,027,520 24,000,000 Thailand Government Bond 2.125% 17-Dec-2026 9,026,000 Thailand Government Bond 3.580% 17-Dec-2027

Tunisia - 1,771,944 1,400,000 Banque Centrale de Tunisie International Bond 5.625% 17-Feb-2024

Turkey - 639,965 600,000 Turkey Government International Bond 6.000% 25-Mar-2027

Ukraine - 1,905,756 600,000 MHP SE 7.750% 10-May-2024 600,000 Ukraine Government International Bond 7.750% 01-Sep-2024 600,000 Ukraine Government International Bond 7.750% 01-Sep-2026

Uruguay - 521,912 15,000,000 Uruguay Government International Bond 8.500% 15-Mar-2028

Zambia - 648,000 600,000 First Quantum Minerals Ltd 144A 7.250% 01-Apr-2023

Total investments in bonds Unrealised gain on forward foreign currency contracts - 170,965 (seebelow)

Total ﬁnancial assets at fair value through proﬁt or loss

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets

Analysis of portfolio

Total assets

Fair Total value net assets USD %

(177,487)

(0.29)

(177,487)

(0.29)

1,571,099

2.58

60,803,574

100.00

% of Total Assets 96.53 0.28 3.19

100.00

103

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BNY MELLON EMERGING MARKETS DEBT TOTAL RETURN FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Total Return Fund Chilean peso

US dollar

697,000,000

Czech koruna

US dollar

7,130,000

Czech koruna Euro

US dollar US dollar

9,900,000 221,000

South African rand US dollar South African rand US dollar South African rand US dollar

5,444,000 4,500,000 4,510,000

Turkish lira

US dollar

2,420,000

Turkish lira

US dollar

3,230,000

US dollar Indian rupee Indian rupee

Mexican peso US dollar US dollar

102,307 10,000 38,790,000

Korean won Korean won US dollar

US dollar US dollar Brazilian real

330,000,000 659,090,000 599,958

US dollar

Mexican peso

445,880

US dollar Hungarian forint

Peruvian nuevo sol 302,143 US dollar 242,250,000

1,095,051 05-Jan-18 Citigroup Global Markets Limited 333,085 17-Jan-18 Citigroup Global Markets Limited 459,488 17-Jan-18 Goldman Sachs 261,669 17-Jan-18 Toronto Dominion Bank 426,273 17-Jan-18 Goldman Sachs 352,361 17-Jan-18 Goldman Sachs 353,985 17-Jan-18 Citigroup Global Markets Limited 625,759 17-Jan-18 Toronto Dominion Bank 837,012 17-Jan-18 Toronto Dominion Bank 1,973,000 17-Jan-18 Toronto Dominion Bank 155 25-Jan-18 Goldman Sachs 600,188 25-Jan-18 Toronto Dominion Bank 303,043 25-Jan-18 Goldman Sachs 605,250 25-Jan-18 Goldman Sachs 1,990,000 25-Jan-18 The Bank of New York Mellon 8,610,000 25-Jan-18 Toronto Dominion Bank 980,000 25-Jan-18 Goldman Sachs 913,195 09-Mar-18 Toronto Dominion Bank

USD Mexican peso

US dollar

8,610,000

Mexican peso

US dollar

11,200,000

US dollar

Czech koruna

787,114

US dollar

Euro

131,488

US dollar

Euro

129,639

US dollar

South African rand

306,012

US dollar US dollar US dollar US dollar

South African rand South African rand Indian rupee Peruvian nuevo sol

641,286 31,343 603,103 302,752

US dollar

Euro

262,439

US dollar

Euro

4,485,824

US dollar

Euro

524,578

449,315 17-Jan-18 Toronto Dominion Bank 584,389 17-Jan-18 Toronto Dominion Bank 16,990,000 17-Jan-18 Citigroup Global Markets Limited 111,000 17-Jan-18 Citigroup Global Markets Limited 110,000 17-Jan-18 Citigroup Global Markets Limited 4,060,000 17-Jan-18 Citigroup Global Markets Limited 8,268,000 17-Jan-18 Goldman Sachs 400,000 17-Jan-18 Goldman Sachs 38,800,000 25-Jan-18 Goldman Sachs 990,000 25-Jan-18 The Bank of New York Mellon 221,000 09-Mar-18 Toronto Dominion Bank 3,780,000 09-Mar-18 Toronto Dominion Bank 442,000 09-Mar-18 Toronto Dominion Bank

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Emerging Markets Debt Total Return Fund EUR H (Acc) (Hedged) Share Class 37,545

Euro

US dollar

100,000

118,025 12-Jan-18 The Bank of New York Mellon

2,054 5,853 3,750 12,636 10,441 9,623

BNY Mellon Emerging Markets Debt Total Return Fund EUR W (Acc) (Hedged) Share Class

9,731

Euro

US dollar

100,000

2,036

USD

2,036

EUR

1,697

118,025 12-Jan-18 The Bank of New York Mellon

2,036

11,184 2,271 1

USD

2,036

EUR

1,697

6,396 6,041 12,065 1,735 10,044 228 25,295

166,893

(12,765) (16,519) (11,486) (1,822) (2,470) (21,315) (25,302) (906) (3,639) (2,243) (3,769) (67,413) (7,838)

USD (177,487) Net USD

(10,594)

104

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BNY MELLON EUROLAND BOND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Collective investment schemes Ireland - 25,575,491 (31 December 2016: 33,406,331)

Holdings Description

Bonds cont’d. 25,575,491

2.91

China - 4,669,121 (31 December 2016: –)

4,669,121

0.53

4,669,121

0.53

Colombia - 3,965,788 (31 December 2016: 6,983,090)

3,965,788

0.45

11,754,100,000 Colombian TES 10.000% 24-Jul-2024

3,965,788

0.45

2,307,851

0.26

2,307,851

0.26

3,267,420

0.37

3,267,420

0.37

117,810,405

13.42

3,896,051

0.44

31,957,537

3.64

37,674,700

4.29

15,657,803 4,193,190 1,545,192 3,270,521 9,738,800 9,876,611

1.78 0.48 0.18 0.37 1.11 1.13

56,288,230

6.41

1,782,496 6,548,437 9,877,808 4,496,492

0.20 0.75 1.12 0.51

20,525,057 2,955,255

2.34 0.34

2,939,033

0.33

7,163,652

0.82

5,782,000

0.66

5,782,000

0.66

18,066,653

2.06

18,066,653

2.06

118,499,350

13.50

7,117,899 5,667,977 4,315,961

0.81 0.65 0.49

12,744,886 BNY Mellon Global Opportunistic Bond Fund^ 15,000,000 BNY Mellon U.S. Municipal Infrastructure Debt Fund^

12,937,669

1.47

4,700,000 China Development Bank 0.375% 16-Nov-2021

12,637,822

1.44

Total investments in collective investment schemes

25,575,491

2.91

Croatia - 2,307,851 (31 December 2016: –)

Bonds Argentina - 27,230,391 (31 December 2016: 16,190,814)

27,230,391

65,460,000 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN 3,120,810 249,510,000 Argentine Bonos del Tesoro 21.200% 19-Sep-2018 10,905,806 4,525,000 Argentine Republic Government International Bond 5.250% 15-Jan-2028 4,709,009 7,643,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 2,688,499 3,900,000 Provincia de Buenos Aires/Argentina 9.125% 16-Mar-2024 3,811,099 44,000,000 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN 1,995,168

Bahrain - 2,311,749 (31 December 2016: 7,735,102) 740,000 Bahrain Government International Bond 7.000% 12-Oct-2028 2,110,000 Bahrain Government International Bond 7.500% 20-Sep-2047

Belgium - 37,504,233 (31 December 2016: 46,599,874) 7,030,000 Anheuser-Busch InBev SA/NV 2.000% 17-Mar-2028 12,525,000 Kingdom of Belgium Government Bond 144A 1.900% 22-Jun-2038 14,025,000 Kingdom of Belgium Government Bond 144A 2.600% 22-Jun-2024

Brazil - 4,869,543 (31 December 2016: 13,913,695) 2,430,000 Petrobras Global Finance BV 6.125% 17-Jan-2022 3,125,000 Petrobras Global Finance BV 7.250% 17-Mar-2044

Canada - 2,540,190 (31 December 2016: 2,552,143) 850,000 Glencore Finance Canada Ltd 4.250% 25-Oct-2022 1,875,000 Teck Resources Ltd 6.250% 15-Jul-2041

Cayman Islands - 935,649 (31 December 2016: –) 1,125,000 Alibaba Group Holding Ltd 2.800% 06-Jun-2023

Chile - 2,276,481 (31 December 2016: –) 1,640,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2021

Fair Total value net assets EUR %

3.10

2,275,000 Croatia Government International Bond 2.750% 27-Jan-2030

0.35 1.24

Cyprus - 3,267,420 (31 December 2016: –)

0.54

3,000,000 Cyprus Government International Bond 2.750% 27-Jun-2024

0.31 0.43 0.23

2,311,749

0.26

627,724

0.07

1,684,025

0.19

37,504,233

4.27

7,525,806

0.86

13,721,138

1.56

16,257,289

1.85

4,869,543

0.56

2,154,362

0.25

2,715,181

0.31

2,540,190

0.29

743,092 1,797,098

0.08 0.21

935,649

0.11

935,649

0.11

2,276,481

0.26

2,276,481

0.26

France - 117,810,405 (31 December 2016: 67,916,240) 3,800,000 BNP Paribas SA 1.125% 10-Oct-2023 31,625,000 French Republic Government Bond OAT 0.000% 25-Feb-2020 38,650,000 French Republic Government Bond OAT 0.250% 25-Nov-2026 14,850,000 French Republic Government Bond OAT 144A 2.000% 25-May-2048 4,000,000 Pernod Ricard SA 2.000% 22-Jun-2020 1,800,000 SFR Group SA 144A 7.375% 01-May-2026 3,200,000 Societe Generale SA 1.000% 01-Apr-2022 9,700,000 Societe Generale SA 2.375% 28-Feb-2018 9,500,000 Societe Generale SFH SA 2.875% 14-Mar-2019

Germany - 56,288,230 (31 December 2016: 59,113,135) 1,600,000 5,500,000 8,100,000 4,550,000 15,630,000

Allianz SE 3.375% Perpetual VAR Allianz SE 4.750% Perpetual VAR Allianz SE 5.625% 17-Oct-2042 VAR BASF SE 0.875% 15-Nov-2027 Bundesrepublik Deutschland Bundesanleihe 2.500% 15-Aug-2046 3,000,000 Daimler AG 1.000% 15-Nov-2027 2,928,318 Driver Thirteen UG haftungsbeschraenkt 0.000% 22-Feb-2021 FRN 10,800,000 Kreditanstalt fuer Wiederaufbau 4.000% 16-Jan-2019

Hungary - 5,782,000 (31 December 2016: 4,094,622) 5,575,000 Hungary Government International Bond 1.750% 10-Oct-2027

Ireland - 18,066,653 (31 December 2016: 45,863,652) 15,680,000 Ireland Government Bond 2.400% 15-May-2030

Italy - 118,499,350 (31 December 2016: 285,782,514) 7,070,000 Enel SpA 4.875% 20-Feb-2018 5,485,000 Intesa Sanpaolo SpA 3.000% 28-Jan-2019 5,175,000 Intesa Sanpaolo SpA 3.875% 16-Jan-2018

105

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BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Bonds cont’d.

Holdings Description

Bonds cont’d.

Italy cont’d. 10,845,000 Italy Buoni Poliennali Del Tesoro 1.050% 01-Dec-2019 14,705,000 Italy Buoni Poliennali Del Tesoro 1.350% 15-Apr-2022 9,775,000 Italy Buoni Poliennali Del Tesoro 144A 2.700% 01-Mar-2047 12,700,000 Italy Buoni Poliennali Del Tesoro 144A 2.800% 01-Mar-2067 17,275,000 Italy Buoni Poliennali Del Tesoro 144A 3.250% 01-Sep-2046 31,145,000 Italy Buoni Poliennali Del Tesoro 4.750% 01-Sep-2021 1,575,000 SME Grecale 2017 Srl 0.036% 22-Mar-2056 FRN

Ivory Coast - 2,227,882 (31 December 2016: –) 950,000 Ivory Coast Government International Bond 5.125% 15-Jun-2025 1,400,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033

Japan - 2,029,421 (31 December 2016: 902,041) 1,100,000 OSCAR US Funding Trust VII LLC 2.450% 10-Dec-2021 1,350,000 OSCAR US Funding Trust VII LLC 2.760% 10-Dec-2024

Jersey - 1,343,085 (31 December 2016: –)

Netherlands cont’d. 11,079,878

1.26

15,151,357

1.73

8,902,476

1.01

10,999,591

1.25

17,596,433

2.01

36,089,445 1,578,333

4.11 0.18

1,038,435

0.12

Nigeria - 1,219,647 (31 December 2016: –)

1,189,447

0.14

1,400,000 Nigeria Government International Bond 6.500% 28-Nov-2027

2,029,421

0.23

911,342

0.10

1,118,079

0.13

0.15

1,800,000 306,394 1,260,169 3,591,422

Altice Financing SA 144A 7.500% 15-May-2026 Bavarian Sky SA 0.000% 20-Aug-2022 FRN Compartment VCL 22 0.250% 21-Aug-2021 FRN E-Carat SA-Compartment 9 0.079% 18-Oct-2024 FRN

Mexico - 10,553,115 (31 December 2016: 6,136,831) 5,075,000 Banco Nacional de Comercio Exterior SNC/ Cayman Islands 4.375% 14-Oct-2025 141,900,000 Mexican Bonos 8.000% 07-Nov-2047

Netherlands - 77,357,543 (31 December 2016: 119,859,213) 1,600,000 ABN AMRO Bank NV 2.875% 18-Jan-2028 VAR 5,450,000 ABN AMRO Bank NV 4.750% 28-Jul-2025 2,730,000 Cooperatieve Rabobank UA 2.500% 26-May-2026 VAR 1,425,000 EDP Finance BV 1.500% 22-Nov-2027 3,649,610 Globaldrive Auto Receivables 2016-A BV 0.000% 20-Jan-2024 FRN 6,319,215 Globaldrive Auto Receivables 2016-B BV 0.130% 20-Aug-2024 FRN

2,300,000

0.26

0.15

Luxembourg - 6,797,420 (31 December 2016: 22,489,710)

300,000 4,600,000

Iberdrola International BV 3.000% 31-Jan-2022 Iberdrola International BV 5.750% Perpetual VAR ING Bank NV 3.625% 31-Aug-2021 ING Bank NV 5.250% 05-Jun-2018 ING Groep NV 3.000% 11-Apr-2028 VAR ING Groep NV 6.500% Perpetual VAR Netherlands Government Bond 144A 2.000% 15-Jul-2024 Telefonica Europe BV 5.000% Perpetual VAR Volkswagen International Finance NV 1.875% 30-Mar-2027 Volkswagen International Finance NV 3.750% Perpetual VAR Vonovia Finance BV 1.625% 15-Dec-2020 Vonovia Finance BV 3.625% 08-Oct-2021

2,227,882

1,343,085

2,375,000 KazTransGas JSC 4.375% 26-Sep-2027

1,000,000 4,700,000 6,280,000 3,000,000 1,100,000 600,000 16,325,000

9,400,000 2,625,000

1,325,000 Glencore Finance Europe Ltd 1.750% 17-Mar-2025 1,343,085

Kazakhstan - 1,991,834 (31 December 2016: –)

Fair Total value net assets EUR %

1,991,834

0.23

1,991,834

0.23

6,797,420

0.78

1,601,449 307,190 1,263,101

0.18 0.04 0.15

3,625,680

0.41

10,553,115

1.20

4,409,455 6,143,660

0.50 0.70

Portugal - 11,859,666 (31 December 2016: 13,368,316) 10,125,000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045

Russia - 7,761,673 (31 December 2016: 12,366,998) 3,875,000 MMC Norilsk Nickel OJSC Via MMC Finance DAC 4.100% 11-Apr-2023 311,475,000 Russian Federal Bond - OFZ 7.000% 16-Aug-2023

Saudi Arabia - 4,406,009 (31 December 2016: –)

8.82

1,744,183 4,830,663

0.20 0.55

2,894,184 1,416,222

0.33 0.16

3,657,953

0.42

6,351,657

0.72

0.13 0.54 0.81 0.35 0.14 0.06

18,353,435 323,782

2.09 0.04

4,756,598

0.54

2,469,021 9,800,475 2,948,613

0.28 1.12 0.34

1,219,647

0.14

1,219,647

0.14

11,859,666

1.35

11,859,666

1.35

7,761,673

0.89

3,256,774 4,504,899

0.37 0.52

4,406,009

0.50

5,325,000 Saudi Government International Bond 3.625% 04-Mar-2028

4,406,009

0.50

Senegal - 4,631,321 (31 December 2016: –)

4,631,321

0.53

4,631,321

0.53

24,428,908

2.78

17,975,000 Slovenia Government Bond 1.250% 22-Mar-2027 18,619,247 4,575,000 Slovenia Government Bond 3.125% 07-Aug-2045 5,809,661

2.12 0.66

5,250,000 Senegal Government International Bond 6.250% 23-May-2033

Slovenia - 24,428,908 (31 December 2016: –)

South Africa - 17,671,575 (31 December 2016: –)

17,671,575

2.01

17,671,575

2.01

106,223,247

12.10

289,300,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048

77,357,543

1,110,312 4,739,645 7,135,140 3,071,475 1,205,992 548,193

Spain - 106,223,247 (31 December 2016: 261,270,945)

3,800,000 Banco Bilbao Vizcaya Argentaria SA 3.875% 30-Jan-2023 2,600,000 Banco Santander SA 1.375% 09-Feb-2022 7,100,000 BBVA Subordinated Capital SAU 3.500% 11-Apr-2024 VAR 4,183,629 Driver Espana Three FT 0.680% 21-Dec-2026 FRN 2,500,000 Iberdrola Finanzas SA 1.621% 29-Nov-2029

4,508,906 2,681,955

0.51 0.31

7,397,533 4,220,830 2,505,700

0.84 0.48 0.29

106

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BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Bonds cont’d.

United States of America cont’d.

Santander Issuances SAU 2.500% 18-Mar-2025 7,141,544 Spain Government Bond 1.400% 31-Jan-2020 12,502,299 Spain Government Bond 144A 1.500% 30-Apr-2027 7,941,475 Spain Government Bond 144A 2.350% 30-Jul-2033 3,102,154 Spain Government Bond 144A 2.900% 31-Oct-2046 21,372,855 Spain Government Bond 144A 4.400% 31-Oct-2023 23,349,020 Telefonica Emisiones SAU 1.528% 17-Jan-2025 2,483,872 Telefonica Emisiones SAU 2.932% 17-Oct-2029 7,015,104

0.81 1.42 0.91 0.35 2.44 2.66 0.28 0.80

Sri Lanka - 2,975,221 (31 December 2016: 7,348,249)

2,975,221

0.34

2,159,795

0.25

815,426

0.09

2,475,000 Sri Lanka Government International Bond 144A 5.750% 18-Jan-2022 925,000 Sri Lanka Government International Bond 6.200% 11-May-2027

Switzerland - 4,575,231 (31 December 2016: 51,427) 50,000 Credit Suisse AG/Guernsey 0.750% 17-Sep-2021 4,475,000 Credit Suisse Group AG 1.250% 17-Jul-2025 VAR

Turkey - 10,476,940 (31 December 2016: 7,210,475) 20,481,156 Turkey Government Bond 2.000% 18-Sep-2024 18,600,000 Turkey Government Bond 11.000% 24-Feb-2027 2,775,000 Turkey Government International Bond 5.750% 11-May-2047

Ukraine - 5,625,712 (31 December 2016: –) 2,450,000 Ukraine Government International Bond 0.000% 31-May-2040 VAR 5,475,000 Ukraine Government International Bond 7.375% 25-Sep-2032

United Arab Emirates - 8,209,333 (31 December 2016: –) 5,225,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 4,500,000 Abu Dhabi Government International Bond 4.125% 11-Oct-2047

United Kingdom - 30,026,254 (31 December 2016: 36,438,904) 4,550,000 4,100,000 1,575,000 1,750,000

Barclays Plc 2.000% 07-Feb-2028 VAR Barclays Plc 7.875% Perpetual VAR INEOS Finance Plc 144A 2.125% 15-Nov-2025 International Game Technology Plc 144A 6.250% 15-Feb-2022 8,400,000 Royal Bank of Scotland Group Plc 2.500% 22-Mar-2023 8,975,000 United Kingdom Gilt 1.500% 22-Jul-2047

United States of America - 71,497,766 (31 December 2016: 182,360,566) 450,000 AMC Networks Inc 4.750% 01-Aug-2025 1,425,000 AMC Networks Inc 5.000% 01-Apr-2024 1,300,737 American Homes 4 Rent 2014-SFR3 Trust 144A 3.678% 17-Dec-2036 1,450,000 Antero Resources Corp 5.000% 01-Mar-2025

Holdings Description

Bonds cont’d.

Spain cont’d. 6,800,000 12,085,000 7,900,000 3,050,000 21,000,000 19,180,000 2,400,000 6,300,000

Fair Total value net assets EUR %

4,575,231

0.52

51,283 4,523,948

0.01 0.51

10,476,940

1.20

4,289,392 3,921,016

0.49 0.45

2,266,532

0.26

5,625,712

0.64

1,130,889

0.13

4,494,823

0.51

8,209,333

0.94

4,490,880

0.51

3,718,453

0.43

30,026,254

3.42

4,537,804 3,754,991 1,567,125

0.52 0.43 0.18

1,578,842

0.18

9,076,010 9,511,482

1.03 1.08

71,497,766

8.15

372,703 1,205,462

0.04 0.14

1,124,628 1,238,696

0.13 0.14

480,000 Antero Resources Corp 5.625% 01-Jun-2023 2,866,000 BWAY Holding Co 144A 5.500% 15-Apr-2024 1,800,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.875% 01-Apr-2024 375,000 Charter Communications Operating LLC / Charter Communications Operating Capital 4.908% 23-Jul-2025 1,250,000 Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 01-May-2047 1,375,000 Cheniere Corpus Christi Holdings LLC 5.125% 30-Jun-2027 2,225,000 Cheniere Energy Partners LP 144A 5.250% 01-Oct-2025 4,000,000 COMM 2017-DLTA Mortgage Trust 2.327% 15-Aug-2035 FRN 1,875,000 DaVita Inc 5.000% 01-May-2025 1,800,000 DISH DBS Corp 5.875% 15-Nov-2024 2,100,000 Energy Transfer Partners LP 6.250% Perpetual VAR 2,250,000 Freeport-McMoRan Inc 5.450% 15-Mar-2043 280,000 Freeport-McMoRan Inc 6.750% 01-Feb-2022 8,285,000 GAHR Commercial Mortgage Trust 2015-NRF 3.382% 15-Dec-2034 VAR 5,075,000 General Electric Co 5.000% Perpetual VAR 1,475,000 Genesis Energy LP / Genesis Energy Finance Corp 6.500% 01-Oct-2025 1,110,000 Genesis Energy LP / Genesis Energy Finance Corp 6.750% 01-Aug-2022 1,530,000 HCA Inc 5.500% 15-Jun-2047 1,970,000 Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.875% 01-Feb-2022 2,000,000 McDonald’s Corp 0.625% 29-Jan-2024 350,000 NGPL PipeCo LLC 144A 4.375% 15-Aug-2022 1,725,000 Prime Security Services Borrower LLC / Prime Finance Inc 144A 9.250% 15-May-2023 1,745,000 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 144A 7.000% 15-Jul-2024 5,225,000 Springleaf Funding Trust 2016-A 144A 2.900% 15-Nov-2029 1,800,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 5.125% 01-Feb-2025 3,730,000 T-Mobile USA Inc 6.000% 01-Mar-2023 4,550,000 United Parcel Service Inc 0.375% 15-Nov-2023 2,135,000 United Rentals North America Inc 4.875% 15-Jan-2028 8,975,000 United States Treasury Bill 0.000% 01-Mar-2018* 900,000 Verizon Communications Inc 1.875% 26-Oct-2029 1,675,000 Verizon Communications Inc 4.125% 16-Mar-2027 1,500,000 Zayo Group LLC / Zayo Capital Inc 5.750% 15-Jan-2027

Uruguay - 5,122,727 (31 December 2016: –) 97,490,000 Uruguay Government International Bond 8.500% 15-Mar-2028 74,665,000 Uruguay Government International Bond 9.875% 20-Jun-2022

Total investments in bonds

418,052 2,490,147

0.05 0.28

1,567,695

0.18

332,798

0.04

1,072,166

0.12

1,188,262

0.14

1,891,485

0.22

3,339,999 1,566,132 1,466,432 1,703,181 1,882,265 241,968

0.38 0.18 0.17 0.19 0.21 0.03

6,865,367 4,364,409

0.78 0.50

1,253,906

0.14

964,432 1,275,159

0.11 0.14

1,668,551 1,987,860 297,719

0.19 0.23 0.03

1,599,418

0.18

1,558,879

0.18

4,362,776

0.50

1,541,442 3,262,602 4,500,974

0.18 0.37 0.51

1,792,733 7,464,823 897,936 1,458,425

0.20 0.85 0.10 0.17

1,278,284

0.15

5,122,727

0.58

2,827,086

0.32

2,295,641

0.26

827,336,584

94.27

107

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BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Leveraged loans

Open futures contracts cont’d.

United States of America - 1,731,328 (31 December 2016: –) 695,000 Asurion Corp Term Loan 6.000% 04-Aug-2025 1,355,000 Univar USA Inc Term Loan 2.500% 01-Jul-2024

Total investments in leveraged loans

1,731,328

0.20

596,374 1,134,954

0.07 0.13

1,731,328

0.20

1,331,474

0.15

1,331,474

0.15

Credit default swaps - 1,331,474 (31 December 2016: 1,408,407) (47,300,000) CDS iTraxx Europe Series 27 1.000% 20-Jun-2022

Total credit default swaps Currency options - 1,505,858 (31 December 2016: 257)

(870) U.S. 10 Year Treasury Note Short Futures Contracts Exp Mar-2018 (608) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018 (495) U.S. 2 Year Treasury Note Short Futures Contracts Exp Mar-2018 (110) U.S. Treasury Bond Short Futures Contracts Exp Mar-2018

(89,945,172)

513,796

0.06

(67,680,085)

410,979

0.05

(88,331,104)

186,734

0.02

(14,026,745)

40,112

0.00

1,748,240

0.20

102,566

0.01

Total swaptions

102,566

0.01

Unrealised gain on forward foreign currency contracts - 5,177,165 (seebelow) (31 December 2016: 8,853,761)

5,177,165

0.59

864,690,309

98.52

(930,831)

(0.11)

(930,831)

(0.11)

(1,021) (63,992) (1,878) (10,167)

(0.00) (0.01) (0.00) (0.00)

(69,046) (15,453) (9,804) (14,264)

(0.01) (0.00) (0.00) (0.00)

(185,625)

(0.02)

(8,647) (14,303) (66,866) (75,372) (22,882) (113,956)

(0.00) (0.00) (0.01) (0.01) (0.00) (0.01)

(302,026)

(0.03)

Total open futures contracts

13,250,000 Canadian dollar/Japanese yen Put 10-Jan-2018 86.000 4,500,000 Euro/Norwegian krone Put 01-Feb-2018 9.300 9,500,000 Euro/Sterling Put 22-Feb-2018 0.886 4,450,000 Euro/Swedish krona Put 09-Mar-2018 9.800 18,000,000 Euro/US dollar Call 11-May-2018 1.200 84,900,000 Norwegian krone/Swedish krona Call 29-Jan-2018 1.040 8,000,000 Sterling/US dollar Call 30-May-2018 1.350 10,875,000 US dollar/Japanese yen Put 10-Jan-2018 111.000 10,550,000 US dollar/Japanese yen Put 25-Jan-2018 113.400 10,450,000 US dollar/Norwegian krone Put 14-Jun-2018 8.240 10,475,000 US dollar/Turkish lira Put 12-Feb-2018 3.810 10,650,000 US dollar/Turkish lira Put 27-Feb-2018 3.930

Total currency options

368 1,168 75,651 46,529 392,883

0.00 0.00 0.01 0.01 0.05

2,362 200,733 5,199 101,748 268,982 117,821 292,414

0.00 0.02 0.00 0.01 0.03 0.01 0.03

1,505,858

0.17

Future options - 129,899 (31 December 2016: –)

Swaptions - 102,566 (31 December 2016: –) 58,900,000 6 Month 10 Year Receive Fixed 2.100% Pay 3M USD LIBOR Exp 23-Apr-2018

Total ﬁnancial assets at fair value through proﬁt or loss Credit default swaps - (930,831) (31 December 2016: (1,471,456)) 50,100,000 CDS CDX North America Investment Grade Index Series 28 1.000% 20-Jun-2022

Total credit default swaps

525 U.S. 10 Year Treasury Note Future Put 23-Feb-2018 123.000

Total future options

129,899

0.01

129,899

0.01

Interest rate swaps - 51,704 (31 December 2016: –) 52,000,000 IRS Receive Fixed (0.161)% Euro 06-Mar-2019

Total interest rate swaps

Holdings Description

Underlying exposure EUR

51,704

0.01

51,704

0.01

Fair Total value net assets EUR %

Currency options - (185,625) (31 December 2016: (354,623)) (13,250,000) Canadian dollar/Japanese yen Call 10-Jan-2018 92.000 (4,500,000) Euro/Norwegian krone Call 01-Feb-2018 9.700 (9,500,000) Euro/Sterling Call 22-Feb-2018 0.960 (4,450,000) Euro/Swedish krona Call 09-Mar-2018 10.200 (84,900,000) Norwegian krone/Swedish krona Put 29-Jan-2018 1.000 (5,300,000) US dollar/Russian rouble Call 06-Mar-2018 62.000 (10,475,000) US dollar/Turkish lira Call 12-Feb-2018 4.260 (10,650,000) US dollar/Turkish lira Call 27-Feb-2018 4.320

Total currency options

Open futures contracts - 1,748,240 (31 December 2016: 5,872,058) (37) Canadian 10 Year Treasury Bond Short Futures Contracts Exp Mar-2018 (56) Euro-BTP Short Futures Contracts Exp Mar-2018 (329) Euro-Bund Short Futures Contracts Exp Mar-2018

Fair Total value net assets EUR %

Underlying exposure USD

Interest rate swaps - (302,026) (31 December 2016: (660,344))

(3,306,470)

48,899

0.01

(7,623,840)

27,900

0.00

(53,192,720)

519,820

0.06

90,900,000 90,900,000 272,700,000 29,950,000 61,400,000 27,100,000

IRS Pay Fixed 0.423% Swedish krona 20-Jul-2022 IRS Pay Fixed 0.435% Swedish krona 18-Jul-2022 IRS Pay Fixed 0.455% Swedish krona 19-Jul-2022 IRS Pay Fixed 1.075% Sterling 12-Dec-2022 IRS Receive Fixed 0.131% Euro 06-Mar-2022 IRS Receive Fixed 0.748% Euro 06-Mar-2027

Total interest rate swaps

108

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BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Underlying exposure EUR

Fair Total value net assets EUR %

Open futures contracts - (1,590,427) (31 December 2016: (1,576,752)) 67 Euro-Bobl Long Futures Contracts Exp Mar-2018 125 Euro-Buxl 30 Year Bond Long Futures Contracts Exp Mar-2018 160 Euro-OAT Long Futures Contracts Exp Mar-2018 854 U.S. 5 Year Treasury Note Long Futures Contracts Exp Mar-2018 (35) U.S. Treasury Ultra Bond Short Futures Contracts Exp Mar-2018 (285) UK Long Gilt Short Futures Contracts Exp Mar-2018

(0.01)

20,482,500

(467,500)

(0.05)

24,828,800

(334,040)

(0.04)

82,680,375

(444,838)

(0.05)

(4,890,582)

(23,982)

(0.00)

(259,767)

(0.03)

(1,590,427)

(0.18)

(4,361,685)

(0.50)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(7,370,594)

(0.84)

Net current assets

20,321,910

2.32

877,641,625

100.00

Unrealised loss on forward foreign currency contracts - (4,361,685) (seebelow) (31 December 2016: (7,509,478))

Total net assets

* Part of the holding is held as collateral by Bank of America Merrill Lynch, Morgan Stanley and UBS AG in respect of future options, future contracts, interest rate swaps, credit default swaps and forward foreign currency contracts held by the Fund. ^ Investment in other Funds of the Company. The counteparty for credit default swaps is Bank of America Merrill Lynch. The counterparties for currency options are Barclays Bank PLC, Citigroup Global Markets Limited, JPMorgan Chase Bank and Goldman Sachs. The counterparty for future options is Bank of America Merrill Lynch. The counterparty for interest rate swaps is Bank of America Merrill Lynch. The counterparty for future contracts is Bank of America Merrill Lynch. The counterparty for swaptions is Citigroup Global Markets Limited.

Total assets

Sell

Peruvian nuevo sol US dollar US dollar Peruvian nuevo sol

(60,300)

Total open futures contracts

Buy

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Euroland Bond Fund

8,817,870

(40,138,901)

Forward foreign currency contracts

% of Total Assets 95.53 0.19 0.21 0.91 3.16

100.00

28,190,000 2,053,369

8,637,965 10-Jan-18 Goldman Sachs 6,660,000 10-Jan-18 JPMorgan Chase Bank Chilean peso US dollar 1,858,530,000 2,931,898 31-Jan-18 Citigroup Global Markets Limited Euro Hungarian forint 9,138,358 2,837,600,000 31-Jan-18 Citigroup Global Markets Limited Euro Mexican peso 6,214,747 140,005,000 31-Jan-18 Citigroup Global Markets Limited Euro Sterling 9,492,487 8,370,000 31-Jan-18 Barclays Bank PLC Euro Swiss franc 1,457,638 1,700,000 31-Jan-18 Barclays Bank PLC Euro US dollar 102,297,033 121,000,000 31-Jan-18 Goldman Sachs Euro US dollar 9,100,000 10,763,025 31-Jan-18 JPMorgan Chase Bank Euro US dollar 8,817,325 10,470,000 31-Jan-18 JPMorgan Chase Bank Euro US dollar 8,838,053 10,470,000 31-Jan-18 JPMorgan Chase Bank Euro US dollar 103,483,407 122,395,000 31-Jan-18 JPMorgan Chase Bank Hungarian forint Euro 2,837,600,000 9,081,166 31-Jan-18 Citigroup Global Markets Limited 286,592,535,000 21,030,456 31-Jan-18 JPMorgan Chase Indonesian rupiah US dollar Bank Norwegian krone Euro 86,790,000 8,791,575 31-Jan-18 HSBC Bank plc Norwegian krone Euro 87,290,000 8,847,584 31-Jan-18 JPMorgan Chase Bank Polish zloty Euro 39,870,000 9,367,511 31-Jan-18 HSBC Bank plc Russian rouble US dollar 271,000,000 4,597,350 31-Jan-18 JPMorgan Chase Bank Swedish krona Euro 184,085,000 18,521,766 31-Jan-18 HSBC Bank plc US dollar Argentinian peso 5,294,118 97,110,000 15-Mar-18 Citigroup Global Markets Limited US dollar Argentinian peso 3,699,384 67,870,000 15-Mar-18 Citigroup Global Markets Limited

43,920 132 73,322 8,177 326,248 81,556 3,197 1,636,198 146,156 107,251 127,980 1,662,060 49,016 96,789 10,038 4,735 161,272 63,354 182,054 230,779 160,739

EUR 5,174,973 US dollar

Peruvian nuevo sol

1,856,561

US dollar

Peruvian nuevo sol

4,767,041

Czech koruna

Euro

Euro Euro

Australian dollar Canadian dollar

8,118,923 10,706,497

Euro Euro Euro Euro Euro Euro Euro

Polish zloty South African rand South African rand South African rand South African rand South African rand South African rand

9,360,363 2,225,143 7,744,882 1,836,072 6,748,979 3,008,029 1,807,998

Japanese yen

Euro

1,489,125,000

Singapore dollar Sterling

Euro Euro

10,000,000 7,860,000

US dollar

Chilean peso

US dollar

Colombian peso

US dollar

Korean won

US dollar

Philippine peso

230,650,000

5,141,685 334,050 11,407,005 7,788,433

6,060,000 10-Jan-18 The Bank of New York Mellon 15,470,000 10-Jan-18 Citigroup Global Markets Limited 9,042,424 31-Jan-18 Citigroup Global Markets Limited 12,600,000 31-Jan-18 UBS AG 16,250,000 31-Jan-18 Bank of America Securities Ltd 39,870,000 31-Jan-18 HSBC Bank plc 36,970,000 31-Jan-18 HSBC Bank plc 130,500,000 31-Jan-18 Morgan Stanley 29,600,000 31-Jan-18 Goldman Sachs 110,640,000 31-Jan-18 Barclays Bank PLC 49,690,000 31-Jan-18 Goldman Sachs 29,370,000 31-Jan-18 Bank of America Securities Ltd 11,159,987 31-Jan-18 JPMorgan Chase Bank 6,301,574 31-Jan-18 UBS AG 8,918,462 31-Jan-18 JPMorgan Chase Bank 3,285,650,000 31-Jan-18 JPMorgan Chase Bank 1,025,000,000 31-Jan-18 JPMorgan Chase Bank 12,687,670,000 31-Jan-18 JPMorgan Chase Bank 401,630,000 31-Jan-18 JPMorgan Chase Bank

(9,726) (1,835) (15,731) (59,843) (52,959) (168,419) (248,658) (987,364) (144,575) (654,359) (316,915) (157,259) (149,298) (78,458) (80,957) (164,186) (6,976) (403,323) (209,947)

109

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BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Euroland Bond Fund cont’d. US dollar

Taiwanese dollar

US dollar

Turkish lira

US dollar

Turkish lira

21,416,182 644,520,000 31-Jan-18 Citigroup Global Markets Limited 5,102,679 19,990,000 31-Jan-18 JPMorgan Chase Bank 5,112,540 20,000,000 31-Jan-18 JPMorgan Chase Bank

Euro

Swiss franc

Euro

243,807 39,509

Swiss franc

Euro

Swiss franc

Euro

207,666 33,352 7,586,551

Amount (B)

Euro

Swiss franc

14,363

(103,118)

Euro

Swiss franc

41,076

(97,090)

Euro

Swiss franc

19,316

EUR (4,343,824)

Euro

Swiss franc

72,475

Euro

Swiss franc

5,095

Swiss franc

Euro

33,925

Swiss franc

Euro

16,793

Swiss franc

Euro

13,047,451

207,708 03-Jan-18 The Bank of New York Mellon 45,987 12-Jan-18 The Bank of New York Mellon

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Euroland Bond Fund CHF I (Hedged) Share Class cont’d.

831,149

BNY Mellon Euroland Bond Fund CHF H (Hedged) Share Class Euro

Sell

(232,828)

Net EUR

Swiss franc

Buy

820

16,793 03-Jan-18 The Bank of New York Mellon 48,225 12-Jan-18 The Bank of New York Mellon 22,649 12-Jan-18 The Bank of New York Mellon 84,990 12-Jan-18 The Bank of New York Mellon 5,969 12-Jan-18 The Bank of New York Mellon 29,116 12-Jan-18 The Bank of New York Mellon 14,365 12-Jan-18 The Bank of New York Mellon 11,167,583 12-Jan-18 The Bank of New York Mellon

(1) (174) (58) (224) (11) (97) (1) (7,044)

173

EUR

(7,610)

EUR

993

CHF

(8,898)

CHF

1,161

Net EUR

(6,411)

Net CHF

(7,496)

243,807 12-Jan-18 The Bank of New York Mellon 39,074 12-Jan-18 The Bank of New York Mellon 6,493,486 12-Jan-18 The Bank of New York Mellon

(882) (72) (4,096)

EUR

(5,050)

CHF

(5,904)

Net EUR

(4,057)

Net CHF

(4,743)

BNY Mellon Euroland Bond Fund USD H (Acc) (Hedged) Share Class US dollar

Euro

403,321

341,131 12-Jan-18 The Bank of New York Mellon

(5,201)

EUR

(5,201)

USD

(6,240)

BNY Mellon Euroland Bond Fund CHF I (Hedged) Share Class Swiss franc

Euro

48,225

Euro

Swiss franc

9,262

Euro

Swiss franc

25,166

Euro

Swiss franc

427,671

Euro

Swiss franc

67,354

41,084 03-Jan-18 The Bank of New York Mellon 10,754 12-Jan-18 The Bank of New York Mellon 29,322 12-Jan-18 The Bank of New York Mellon 499,198 12-Jan-18 The Bank of New York Mellon 78,481 12-Jan-18 The Bank of New York Mellon

162 63 84 667 223

EUR

1,199

CHF

1,402

110

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BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Collective investment schemes Ireland - 5,673,415 (31 December 2016: 4,303,868)

Bonds cont’d. 5,673,415

2,972,180 BNY Mellon Global Short-Dated High Yield Bond Fund^ 172,086 Insight Global Funds II plc Insight Emerging Markets Debt Fund 271,503 Insight Liquidity Funds Plc - EUR Cash Fund

Total investments in collective investment schemes

2,677,280

2.89

2,726,663 269,472

2.95 0.29

5,673,415

6.13

3,060,605

3.31

660,000 AusNet Services Holdings Pty Ltd 2.375% 24-Jul-2020 150,000 Australia Paciﬁc Airports Melbourne Pty Ltd 3.125% 26-Sep-2023 465,000 FMG Resources August 2006 Pty Ltd 144A 9.750% 01-Mar-2022 200,000 QBE Insurance Group Ltd 5.250% Perpetual VAR 247,000 QBE Insurance Group Ltd 6.115% 24-May-2042 VAR 400,000 Scentre Group Trust 1 1.500% 16-Jul-2020 100,000 Scentre Group Trust 1 / Scentre Group Trust 2 1.375% 22-Mar-2023 270,000 SGSP Australia Assets Pty Ltd 2.000% 30-Jun-2022 274,000 Sydney Airport Finance Co Pty Ltd 2.750% 23-Apr-2024 160,000 Telstra Corp Ltd 1.125% 14-Apr-2026

France - 9,819,578 (31 December 2016: 12,813,099)

6.13

Bonds Australia - 3,060,605 (31 December 2016: 2,397,033)

Holdings Description

200,000 700,000 200,000 300,000 400,000 100,000 720,000 500,000 100,000 300,000 100,000

698,999

0.76

170,740

0.18

430,150 170,784 319,321 412,853

0.47 0.18 0.35 0.45

103,556 288,160

0.11 0.31

304,516 161,526

0.33 0.17

101,000 600,000 100,000 150,000 100,000 501,000 300,000 200,000 400,000 200,000 200,000 200,000

Austria - 432,912 (31 December 2016: 512,756)

432,912

0.47

432,912

0.47

1,989,984

2.15

400,000 Raiffeisen Bank International AG 4.500% 21-Feb-2025 VAR

Belgium - 1,989,984 (31 December 2016: 2,329,017) 271,000 307,000 600,000 400,000 300,000

Anheuser-Busch InBev SA/NV 2.000% 17-Mar-2028 Anheuser-Busch InBev SA/NV 2.750% 17-Mar-2036 Belﬁus Bank SA/NV 3.125% 11-May-2026 Groupe Bruxelles Lambert SA 1.375% 23-May-2024 KBC Group NV 0.750% 18-Oct-2023

290,065 337,929 658,569 402,832 300,589

0.31 0.37 0.71 0.44 0.32

668,878

0.72

240,000 Bacardi Ltd 2.750% 03-Jul-2023 400,000 XLIT Ltd 3.250% 29-Jun-2047 VAR

265,572 403,306

0.29 0.43

Czech Republic - 739,021 (31 December 2016: 761,687)

739,021

0.80

253,525 485,496

0.27 0.53

Denmark - 777,986 (31 December 2016: 515,474)

777,986

0.84

250,000 ISS Global A/S 1.125% 07-Jan-2021 300,000 Nykredit Realkredit A/S 0.875% 13-Jun-2019 215,000 TDC A/S 1.750% 27-Feb-2027

255,785 304,232 217,969

0.28 0.33 0.23

579,276

0.63

579,276

0.63

Finland - 579,276 (31 December 2016: –) 567,000 Sampo Oyj 1.250% 30-May-2025

600,000 200,000 400,000 100,000 268,000 422,000 107,000 200,000 200,000

Accor SA 1.250% 25-Jan-2024 ALD SA 0.875% 18-Jul-2022 APRR SA 1.500% 17-Jan-2033 APRR SA 1.625% 13-Jan-2032 BNP Paribas Cardif SA 1.000% 29-Nov-2024 BNP Paribas SA 1.500% 25-May-2028 BNP Paribas SA 2.250% 13-Jan-2021 BPCE SA 0.625% 20-Apr-2020 BPCE SA 2.875% 22-Apr-2026 Credit Agricole Assurances SA 4.250% Perpetual VAR Credit Agricole Assurances SA 4.750% 27-Sep-2048 VAR Credit Agricole SA 2.625% 17-Mar-2027 Electricite de France SA 4.125% Perpetual VAR Electricite de France SA 4.500% 12-Nov-2040 Electricite de France SA 4.625% 26-Apr-2030 Electricite de France SA 5.375% Perpetual VAR Electricite de France SA 5.625% 21-Feb-2033 Eutelsat SA 1.125% 23-Jun-2021 PSA Banque France SA 0.500% 17-Jan-2020 RCI Banque SA 0.669% 18-Mar-2019 FRN SapphireOne Mortgages FCT 2016-2 1.171% 25-Jun-2061 FRN SapphireOne Mortgages FCT 2016-3 1.421% 27-Jun-2061 FRN Societe Fonciere Lyonnaise SA 1.875% 26-Nov-2021 Societe Generale SA 0.750% 25-Nov-2020 Societe Generale SA 0.750% 26-May-2023 TDF Infrastructure SAS 2.500% 07-Apr-2026 TDF Infrastructure SAS 2.875% 19-Oct-2022 TOTAL SA 2.625% Perpetual VAR TOTAL SA 2.708% Perpetual VAR TOTAL SA 3.369% Perpetual VAR Transport et Infrastructures Gaz France SA 2.200% 05-Aug-2025 Vivendi SA 0.750% 26-May-2021

Germany - 8,302,154 (31 December 2016: 6,102,689)

Bermuda - 668,878 (31 December 2016: 111,454)

250,000 EP Energy AS 4.375% 01-May-2018 440,000 EP Energy AS 5.875% 01-Nov-2019

Fair Total value net assets EUR %

200,000 300,000 132,000 268,000 140,000 110,000 243,000 570,000 200,000 700,000 522,000 100,000 400,000 200,000 217,000 190,000

Aroundtown SA 1.875% 19-Jan-2026 ATF Netherlands BV 1.500% 15-Jul-2024 BASF SE 0.875% 15-Nov-2027 BASF SE 1.625% 15-Nov-2037 Bayer AG 2.375% 02-Apr-2075 VAR Commerzbank AG 4.000% 23-Mar-2026 Continental AG 0.000% 05-Feb-2020 Continental AG 3.125% 09-Sep-2020 Deutsche Bank AG 1.000% 18-Mar-2019 Deutsche Bank AG 1.250% 08-Sep-2021 Deutsche Telekom International Finance BV 0.375% 30-Oct-2021 Eurogrid GmbH 1.500% 18-Apr-2028 Eurogrid GmbH 1.625% 03-Nov-2023 Grand City Properties SA 1.375% 03-Aug-2026 innogy Finance BV 1.250% 19-Oct-2027 innogy Finance BV 5.750% 14-Feb-2033

9,819,578

10.62

202,115 708,806 195,453 303,222 393,298 103,982 766,951 507,112 110,762

0.22 0.77 0.21 0.33 0.43 0.11 0.83 0.55 0.12

336,266

0.36

119,210 109,544 641,788 132,213 196,016 113,060 730,012 308,655 201,658 404,222

0.13 0.12 0.69 0.14 0.21 0.12 0.79 0.33 0.22 0.44

203,267

0.22

205,946

0.22

210,650 612,269 202,759 419,620 109,047 282,364 452,540 117,823

0.23 0.66 0.22 0.45 0.12 0.31 0.49 0.13

215,976 202,972

0.23 0.22

8,302,154

8.98

204,728 303,964 130,457 263,579 144,513 125,259 243,350 616,911 202,329 718,280

0.22 0.33 0.14 0.28 0.16 0.13 0.26 0.67 0.22 0.78

525,304 102,128 422,572 199,455 217,644 288,767

0.57 0.11 0.46 0.22 0.23 0.31

111

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BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d.

Fair Total value net assets EUR %

Holdings Description

Bonds cont’d. Mexico - 837,380 (31 December 2016: 974,751)

Germany cont’d. 132,000 Roadster Finance Designated Activity Co 1.625% 09-Dec-2024 156,000 Roadster Finance Designated Activity Co 2.375% 08-Dec-2027 500,000 Talanx AG 2.250% 05-Dec-2047 VAR 212,000 Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 4.000% 15-Jan-2025 100,000 Volkswagen Bank GmbH 0.091% 15-Jun-2021 FRN 160,000 Volkswagen Bank GmbH 0.750% 15-Jun-2023 162,000 Volkswagen Bank GmbH 1.250% 15-Dec-2025 400,000 Volkswagen International Finance NV 1.875% 30-Mar-2027 194,000 Volkswagen International Finance NV 2.500% Perpetual VAR 300,000 Volkswagen International Finance NV 3.875% Perpetual VAR 292,000 Volkswagen Leasing GmbH 1.125% 04-Apr-2024 600,000 Vonovia Finance BV 1.625% 15-Dec-2020 200,000 Vonovia Finance BV 3.125% 25-Jul-2019 100,000 ZF North America Capital Inc 2.750% 27-Apr-2023

Hong Kong - 178,453 (31 December 2016: 173,851) 180,000 CK Hutchison Finance 16 II Ltd 0.875% 03-Oct-2024

Iceland - 432,294 (31 December 2016: –) 434,000 Landsbankinn HF 1.000% 30-May-2023

131,568

0.14

155,103 491,280

0.17 0.53

224,184 100,260 159,601 161,195

0.24 0.11 0.17 0.17

413,678

0.45

199,415

0.22

317,409 294,422 625,206 210,039

0.34 0.32 0.68 0.23

109,554

0.12

178,453

0.19

178,453

0.19

432,294

0.47

432,294

0.47

400,000 100,000 140,000 170,000

Netherlands - 6,103,095 (31 December 2016: 4,904,795) 180,000 317,000 360,000 340,000 320,000 210,000 1,020,000 590,000 300,000 300,000 190,000 182,000 278,000 300,000 300,000 207,000 277,000 300,000

837,380

0.90

415,157 105,820 144,611 171,792

0.45 0.11 0.16 0.18

6,103,095

6.60

America Movil SAB de CV 1.500% 10-Mar-2024 America Movil SAB de CV 2.125% 10-Mar-2028 America Movil SAB de CV 5.125% 06-Sep-2073 VAR Cemex SAB de CV 2.750% 05-Dec-2024

Achmea BV 2.500% 19-Nov-2020 Achmea BV 6.000% 04-Apr-2043 VAR Cooperatieve Rabobank UA 5.875% 20-May-2019 Dryden 32 Euro CLO 2014 B.V. 3.329% 23-Aug-2026 FRN Enexis Holding NV 1.500% 20-Oct-2023 Heineken NV 2.020% 12-May-2032 ING Bank NV 0.700% 16-Apr-2020 ING Bank NV 4.125% 21-Nov-2023 VAR ING Groep NV 1.375% 11-Jan-2028 ING Groep NV 1.625% 26-Sep-2029 VAR Koninklijke KPN NV 6.125% Perpetual VAR LeasePlan Corp NV 0.191% 04-Nov-2020 FRN LeasePlan Corp NV 0.750% 03-Oct-2022 LeasePlan Corp NV 1.000% 08-Apr-2020 LeasePlan Corp NV 1.000% 24-May-2021 NN Group NV 1.625% 01-Jun-2027 NN Group NV 4.625% 13-Jan-2048 VAR VIVAT NV 2.375% 17-May-2024

191,917 376,902 389,346

0.21 0.41 0.42

343,969 337,168 220,494 1,037,412 498,753 299,310 301,834 198,527 183,176 278,428 305,892 305,940 212,447 323,724 297,856

0.37 0.36 0.24 1.12 0.54 0.32 0.33 0.22 0.20 0.30 0.33 0.33 0.23 0.35 0.32

Poland - 260,410 (31 December 2016: 254,138)

260,410

0.28

260,410

0.28

205,818

0.22

205,818

0.22

5,711,266

6.17

253,000 mFinance France SA 1.398% 26-Sep-2020

Ireland - 221,240 (31 December 2016: 701,885) 219,542 European Residential Loan Securitisation 2016-1 DAC 1.131% 24-Jan-2059 FRN

Italy - 3,278,385 (31 December 2016: 3,979,463) 200,000 Assicurazioni Generali SpA 5.000% 08-Jun-2048 VAR 288,000 Assicurazioni Generali SpA 5.500% 27-Oct-2047 VAR 500,000 FCA Bank SpA/Ireland 1.375% 17-Apr-2020 500,000 Intesa Sanpaolo SpA 1.125% 14-Jan-2020 200,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 100,000 Intesa Sanpaolo Vita SpA 5.350% 18-Sep-2018 646,000 Mediobanca SpA 0.471% 18-May-2022 FRN 107,000 Telecom Italia Finance SA 7.750% 24-Jan-2033 193,000 Telecom Italia SpA/Milano 2.375% 12-Oct-2027 370,000 Unipol Gruppo SpA 3.500% 29-Nov-2027

Japan - 403,595 (31 December 2016: –) 279,000 Asahi Group Holdings Ltd 0.321% 19-Sep-2021 126,000 SoftBank Group Corp 3.125% 19-Sep-2025

Luxembourg - 737,748 (31 December 2016: 527,087) 149,000 SE S SA 4.625% Perpetual VAR 519,000 SES SA 5.625% Perpetual VAR

221,240

0.24

221,240

0.24

3,278,385

3.54

231,292

0.25

345,833 514,336 510,701 182,805 103,637 658,436 165,499 193,149 372,697

0.37 0.56 0.55 0.20 0.11 0.71 0.18 0.21 0.40

403,595

0.44

279,117 124,478

0.30 0.14

737,748

0.80

159,971 577,777

0.17 0.63

Portugal - 205,818 (31 December 2016: 319,415) 200,000 Galp Gas Natural Distribuicao SA 1.375% 19-Sep-2023

Spain - 5,711,266 (31 December 2016: 4,828,817) 200,000 400,000 100,000 900,000 261,000 203,000 100,000 400,000 200,000 300,000 500,000 400,000 400,000 300,000 200,000 100,000 357,782 300,000

Amadeus Capital Markets SAU 0.125% 06-Oct-2020 Banco de Sabadell SA 6.125% Perpetual VAR Banco Santander SA 1.375% 09-Feb-2022 CaixaBank SA 1.125% 17-May-2024 FCC Aqualia SA 1.413% 08-Jun-2022 FCC Aqualia SA 2.629% 08-Jun-2027 Gas Natural Capital Markets SA 1.125% 11-Apr-2024 Gas Natural Fenosa Finance BV 0.875% 15-May-2025 Gas Natural Fenosa Finance BV 1.375% 19-Jan-2027 Iberdrola International BV 1.125% 21-Apr-2026 Iberdrola International BV 1.875% Perpetual VAR IE2 Holdco SAU 2.875% 01-Jun-2026 Inmobiliaria Colonial Socimi SA 1.450% 28-Oct-2024 Inmobiliaria Colonial Socimi SA 1.625% 28-Nov-2025 Santander Consumer Finance SA 0.750% 03-Apr-2019 Santander Issuances SAU 3.125% 19-Jan-2027 Silverback Finance DAC 3.126% 25-Feb-2037 Telefonica Emisiones SAU 1.715% 12-Jan-2028

199,905 411,000 103,090 902,925 267,043 210,057

0.21 0.44 0.11 0.98 0.29 0.23

101,545

0.11

395,442

0.43

200,771 301,199 503,170 434,630 399,076 297,681 201,966 109,252 367,943 304,571

0.22 0.32 0.54 0.47 0.43 0.32 0.22 0.12 0.40 0.33

112

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BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d.

United Kingdom cont’d. 1,389,380

1.50

349,077 184,005 441,370 414,928

0.38 0.20 0.47 0.45

344,000 Akelius Residential Property AB 1.750% 07-Feb-2025 190,000 Hemso Fastighets AB 1.000% 09-Sep-2026 437,000 Intrum Justitia AB 2.750% 15-Jul-2022 400,000 Svenska Handelsbanken AB 1.125% 14-Dec-2022

Switzerland - 3,013,370 (31 December 2016: 3,848,163)

3,013,370

3.26

723,720 291,966 680,221 121,669 644,259

0.78 0.32 0.73 0.13 0.70

551,535

0.60

12,744,370

13.78

650,000 Cloverie Plc for Zurich Insurance Co Ltd 7.500% 24-Jul-2039 VAR 290,000 Credit Suisse AG/London 0.375% 11-Apr-2019 673,000 Credit Suisse Group AG 1.250% 17-Jul-2025 VAR 120,000 Glencore Finance Europe Ltd 1.750% 17-Mar-2025 771,000 UBS AG/London 1.959% 01-Dec-2020 FRN 520,000 UBS Group Funding Switzerland AG 1.750% 16-Nov-2022

180,000 358,000 374,000 170,000 366,000 119,000 292,000 374,000 278,000 160,000 203,000 400,000 369,000 550,000 230,000 146,000 193,000 300,000 726,000 113,000 926,000 102,000 110,000 530,000 100,000 100,000 104,000 290,000 700,000 462,000 200,000 205,000 292,000 260,000

Holdings Description

Bonds cont’d.

Sweden - 1,389,380 (31 December 2016: 789,699)

United Kingdom - 12,744,370 (31 December 2016: 11,457,231)

Fair Total value net assets EUR %

Anglo American Capital Plc 1.625% 18-Sep-2025 Annington Funding Plc 1.650% 12-Jul-2024 Barclays Plc 2.000% 07-Feb-2028 VAR BAT Capital Corp 1.125% 16-Nov-2023 BAT International Finance Plc 2.250% 16-Jan-2030 BAT International Finance Plc 2.750% 25-Mar-2025 BP Capital Markets Plc 1.117% 25-Jan-2024 BP Capital Markets Plc 1.953% 03-Mar-2025 British Telecommunications Plc 1.000% 21-Nov-2024 British Telecommunications Plc 1.125% 10-Mar-2023 British Telecommunications Plc 1.500% 23-Jun-2027 DECO 2014-GONDOLA Srl 2.621% 22-Feb-2026 FRN Diageo Finance Plc 0.000% 17-Nov-2020 EE Finance Plc 3.250% 03-Aug-2018 FCE Bank Plc 0.141% 10-Feb-2018 FRN FCE Bank Plc 0.869% 13-Sep-2021 FCE Bank Plc 1.615% 11-May-2023 FCE Bank Plc 1.875% 18-Apr-2019 GlaxoSmithKline Capital Plc 0.000% 12-Sep-2020 Heathrow Funding Ltd 7.125% 14-Feb-2024 HSBC Holdings Plc 0.371% 27-Sep-2022 FRN Imperial Brands Finance Plc 0.500% 27-Jul-2021 Imperial Brands Finance Plc 3.375% 26-Feb-2026 Intu SGS Finance Plc 3.875% 17-Mar-2023 Kennedy Wilson Europe Real Estate Plc 3.250% 12-Nov-2025 London Stock Exchange Group Plc 0.875% 19-Sep-2024 London Stock Exchange Group Plc 1.750% 19-Sep-2029 London Stock Exchange Group Plc 9.125% 18-Oct-2019 Nationwide Building Society 0.500% 29-Oct-2019 RELX Finance BV 0.375% 22-Mar-2021 Royal Bank of Scotland Plc/The 5.375% 30-Sep-2019 Santander UK Plc 0.875% 25-Nov-2020 SELP Finance Sarl 1.500% 20-Nov-2025 Sky Plc 0.421% 01-Apr-2020 FRN

180,768 363,306 372,931 172,795 379,903 132,469 300,572 403,405 276,308 163,584 202,379 397,060 368,312 560,868 230,079 148,355 200,741 307,489 724,994 161,433 940,547 102,608 126,019 645,548

0.20 0.39 0.40 0.19 0.41 0.14 0.32 0.44 0.30 0.18 0.22 0.43 0.40 0.61 0.25 0.16 0.22 0.33 0.78 0.17 1.02 0.11 0.14 0.70

104,272

0.11

99,689

0.11

106,368

0.12

374,013 706,475 463,349

0.40 0.76 0.50

218,929 209,304 291,158 263,225

0.24 0.23 0.31 0.28

104,000 Sky Plc 2.500% 15-Sep-2026 355,000 Towd Point Mortgage Funding 2016-Granite2 Plc 2.826% 20-Aug-2051 FRN 398,000 Towd Point Mortgage Funding 2016-Vantage1 Plc 2.526% 20-Feb-2054 FRN 359,000 Towd Point Mortgage Funding 2017-Auburn 11 Plc 1.626% 20-May-2045 FRN 221,000 Unilever NV 0.375% 14-Feb-2023 254,000 WPP Finance 2013 0.000% 18-May-2020 FRN 200,000 Yorkshire Building Society 2.125% 18-Mar-2019

114,512

0.12

396,536

0.43

451,839

0.49

401,334 220,838 254,695 205,361

0.43 0.24 0.28 0.22

23,761,584

25.69

868,000 AbbVie Inc 0.375% 18-Nov-2019 873,473 210,000 American International Group Inc 1.875% 21-Jun-2027 214,998 160,000 Amgen Inc 1.250% 25-Feb-2022 165,608 180,000 Aptiv Plc 1.500% 10-Mar-2025 185,086 230,000 AT&T Inc 2.450% 15-Mar-2035 219,603 270,000 AT&T Inc 3.150% 04-Sep-2036 277,817 510,000 AT&T Inc 3.550% 17-Dec-2032 574,047 523,000 Bank of America Corp 0.041% 21-Sep-2021 FRN 524,668 684,000 Bank of America Corp 0.170% 26-Jul-2019 FRN 689,144 800,000 Bank of America Corp 1.379% 07-Feb-2025 VAR 823,436 430,000 Becton Dickinson and Co 0.368% 06-Jun-2019 431,825 751,000 Carnival Corp 1.125% 06-Nov-2019 765,716 318,000 Carnival Corp 1.875% 07-Nov-2022 338,436 220,000 Citigroup Inc 0.750% 26-Oct-2023 220,581 300,000 Citigroup Inc 7.375% 04-Sep-2019 337,575 252,000 Coca-Cola Co/The 0.000% 09-Mar-2021 251,581 137,000 Coca-Cola Co/The 1.875% 22-Sep-2026 147,241 560,000 Continental Resources Inc/OK 144A 4.375% 15-Jan-2028 461,859 180,000 DH Europe Finance SA 1.700% 04-Jan-2022 190,410 330,000 Ecolab Inc 1.000% 15-Jan-2024 333,645 48,000 Endeavor Energy Resources LP / EER Finance Inc 144A 5.750% 30-Jan-2028 40,989 581,000 General Electric Co 1.500% 17-May-2029 582,755 314,000 General Electric Co 2.125% 17-May-2037 312,877 299,000 General Motors Financial International BV 1.168% 18-May-2020 306,264 214,000 Goldman Sachs Group Inc/The 2.000% 27-Jul-2023 227,890 160,000 Goldman Sachs Group Inc/The 3.000% 12-Feb-2031 180,859 1,010,000 Goldman Sachs Group Inc/The 3.250% 01-Feb-2023 1,135,985 100,000 Goldman Sachs Group Inc/The 5.125% 23-Oct-2019 109,350 300,000 Honeywell International Inc 1.300% 22-Feb-2023 312,039 340,000 HSBC Bank USA NA 7.000% 15-Jan-2039 419,029 763,000 John Deere Bank SA 0.021% 21-Apr-2020 FRN 767,273 633,000 Johnson Controls International plc 1.000% 15-Sep-2023 640,403 485,000 JPMorgan Chase & Co 1.375% 16-Sep-2021 505,465 605,000 JPMorgan Chase & Co 1.638% 18-May-2028 VAR 622,010 820,000 JPMorgan Chase & Co 2.625% 23-Apr-2021 887,160 264,000 Kinder Morgan Inc/DE 7.750% 15-Jan-2032 283,465 167,000 Kraft Heinz Foods Co 2.250% 25-May-2028 171,471 106,000 Liberty Mutual Finance Europe DAC 1.750% 27-Mar-2024 109,836 100,000 McDonald’s Corp 0.500% 15-Jan-2021 100,913

0.94

United States of America - 23,761,584 (31 December 2016: 18,975,308)

0.23 0.18 0.20 0.24 0.30 0.62 0.57 0.74 0.89 0.47 0.83 0.37 0.24 0.36 0.27 0.16 0.50 0.21 0.36 0.04 0.63 0.34 0.33 0.25 0.20 1.23 0.12 0.34 0.45 0.83 0.69 0.55 0.67 0.96 0.31 0.18 0.12 0.11

113

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BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets EUR %

Holdings Description

Bonds cont’d.

137,000 300,000 245,000 136,000 373,000 389,000 110,000 100,000 187,000 541,000

McDonald’s Corp 1.000% 15-Nov-2023 McDonald’s Corp 1.750% 03-May-2028 Molson Coors Brewing Co 0.021% 15-Mar-2019 FRN Molson Coors Brewing Co 1.250% 15-Jul-2024 Morgan Stanley 1.000% 02-Dec-2022 Morgan Stanley 1.750% 30-Jan-2025 Morgan Stanley 1.875% 27-Apr-2027 Morgan Stanley 5.000% 02-May-2019 Mylan NV 1.250% 23-Nov-2020 Nestle Holdings Inc 0.875% 18-Jul-2025 Pﬁzer Inc 0.000% 06-Mar-2020 PPG Industries Inc 0.000% 03-Nov-2019 PPG Industries Inc 0.875% 13-Mar-2022 Prologis LP 1.375% 13-May-2021 PVH Corp 3.125% 15-Dec-2027 Royal Caribbean Cruises Ltd 2.650% 28-Nov-2020 Simon International Finance SCA 1.375% 18-Nov-2022 Thermo Fisher Scientiﬁc Inc 1.375% 12-Sep-2028 Thermo Fisher Scientiﬁc Inc 1.500% 01-Dec-2020 Thermo Fisher Scientiﬁc Inc 2.875% 24-Jul-2037 Time Warner Inc 1.950% 15-Sep-2023 Trinity Acquisition Plc 2.125% 26-May-2022 United Technologies Corp 1.125% 15-Dec-2021 Verizon Communications Inc 2.875% 15-Jan-2038 Verizon Communications Inc 3.250% 17-Feb-2026 Zimmer Biomet Holdings Inc 1.414% 13-Dec-2022 Zimmer Biomet Holdings Inc 2.425% 13-Dec-2026

Total investments in bonds

203,431 104,112 241,354 677,032 461,442 617,519 523,837 106,795 127,956 326,025 166,254 844,302 234,597 155,480 365,731 78,355

0.22 0.11 0.26 0.73 0.50 0.67 0.57 0.12 0.14 0.35 0.18 0.91 0.25 0.17 0.40 0.08

164,630

0.18

132,522

0.14

310,616

0.34

249,738 143,669 396,245 401,929 111,815 114,997 191,281 567,138

0.27 0.15 0.43 0.43 0.12 0.12 0.21 0.61

85,648,782

92.60

Credit default swaps - 34,793 (31 December 2016: 54,725) (800,000) CDS Kroger Co 1.000% 20-Jun-2022 (700,000) CDS Shell International Finance BV 1.000% 20-Jun-2024 (900,000) CDS Volkswagen AG 1.000% 20-Jun-2018

Total credit default swaps

7,001

0.01

23,794 3,998

0.03 0.00

34,793

0.04

(3) U.S. 2 Year Treasury Note Short Futures Contracts Exp Mar-2018 (1) U.S. 5 Year Treasury Note Short Futures Contracts Exp Mar-2018 (3) U.S. Treasury Bond Short Futures Contracts Exp Mar-2018

(535,630)

1,212

0.00

(96,818)

576

0.00

(382,163)

2,502

0.00

33,532

0.03

5,920

0.01

12,087

0.01

Total swaptions

18,007

0.02

Unrealised gain on forward foreign currency contracts - 107,911 (seebelow) (31 December 2016: 25,260)

107,911

0.11

91,516,440

98.93

(8,606) (4,468)

(0.01) (0.01)

(26,738) (27,341) (30,877)

(0.03) (0.03) (0.03)

(22,119) (12,857)

(0.02) (0.01)

(133,006)

(0.14)

Total open futures contracts Swaptions - 18,007 (31 December 2016: –) 10,500,000 CDS CDX North America High Yield Index Series 29 Version 1 Call 21-Dec-2022 108.500 11,200,000 CDS iTraxx Europe Series 28 Version 1 Put 21-Dec-2022 52.500

Total ﬁnancial assets at fair value through proﬁt or loss Credit default swaps - (133,006) (31 December 2016: (70,015)) (650,000) CDS BNP Paribas SA 1.000% 20-Dec-2024 650,000 CDS Compass Group Plc 1.000% 20-Sep-2018 1,000,000 CDS International Business Machines Corp 1.000% 20-Jun-2022 1,100,000 CDS Omnicom Group Inc 1.000% 20-Dec-2022 930,000 CDS Pernod Ricard SA 1.000% 20-Jun-2022 900,000 CDS Royal Bank of Scotland Plc 1.000% 20-Jun-2022 680,000 CDS UniCredit SpA 1.000% 20-Dec-2022

Total credit default swaps

Holdings Description

Underlying exposure EUR

Fair Total value net assets EUR %

Open futures contracts - 33,532 (31 December 2016: 71,968) (8) Euro-Buxl 30 Year Bond Short Futures Contracts Exp Mar-2018 (4) U.S. 10 Year Treasury Note Short Futures Contracts Exp Mar-2018 (7) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018

Fair Total value net assets EUR %

Open futures contracts cont’d.

United States of America cont’d. 200,000 100,000 241,000 671,000 452,000 590,000 505,000 100,000 125,000 323,000 166,000 843,000 230,000 150,000 360,000 94,000 158,000

Holdings Description

Underlying exposure EUR

(1,314,560)

22,640

0.03

(413,208)

3,493

0.00

3,109

Fair Total value net assets EUR %

Open futures contracts - (47,993) (31 December 2016: (48,633)) 43 Euro-Bobl Long Futures Contracts Exp Mar-2018 8 Euro-Bund Long Futures Contracts Exp Mar-2018 (4) UK Long Gilt Short Futures Contracts Exp Mar-2018

Total open futures contracts (778,220)

Underlying exposure EUR

5,657,940

(32,360)

(0.03)

1,293,760

(10,990)

(0.01)

(564,737)

(4,643)

(0.01)

(47,993)

(0.05)

0.00

114

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BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

(5,146)

(0.01)

(5,146)

(0.01)

(2,545)

(0.00)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(188,690)

(0.20)

Net current assets

1,168,437

1.27

92,496,187

100.00

Total swaptions Unrealised loss on forward foreign currency contracts - (2,545) (seebelow) (31 December 2016: (414,872))

Total net assets

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon European Credit Fund

Swaptions - (5,146) (31 December 2016: –) (16,800,000) CDS iTraxx Europe Series 28 Version 1 Put 21-Dec-2022 75.000

Forward foreign currency contracts

Euro

Sterling

6,011,249

Euro

US dollar

5,515,405

5,302,000 31-Jan-18 RBC Capital Markets 6,544,000 01-Feb-18 RBC Capital Markets

40,681 67,230

EUR Sterling

Euro

602,000

680,455 31-Jan-18 HSBC Bank plc

107,911 (2,545)

EUR

(2,545)

Net EUR

105,366

^ Investment in other Fund of the Company. The counterparties for credit default swaps are BNP Paribas, Citigroup Global Markets Limited, Credit Suisse AG, Goldman Sachs, Bank of America Merrill Lynch and Morgan Stanley. The counterparty for futures contracts is Goldman Sachs. The counterparty for swaptions is Goldman Sachs.

Total assets

% of Total Assets 97.88 0.04 0.17 1.91

100.00

115

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BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds

Fair Total value net assets USD %

Holdings Description

Bonds cont’d. Australian Dollar - 16,062,430 (31 December 2016: 17,928,345)

16,062,430

4.03

4,327,766

1.09

6,828,772 4,905,892

1.71 1.23

4,598,859

1.15

4,598,859

1.15

5,920,000 Australia Government Bond 3.000% 21-Mar-2047 8,690,000 New South Wales Treasury Corp 3.000% 20-May-2027 5,680,000 Queensland Treasury Corp 5.500% 21-Jun-2021

Canadian Dollar - 4,598,859 (31 December 2016: 4,094,422) 5,630,000 Canada Housing Trust No 1 144A 2.650% 15-Mar-2022

Euro - 65,226,171 (31 December 2016: 81,770,559)

65,226,171

49,230,000,000 Indonesia Treasury Bond 8.250% 15-May-2036

Japanese Yen - 18,956,768 (31 December 2016: 21,567,035) 569,300,000 Japan Government Thirty Year Bond 1.400% 20-Sep-2045 442,500,000 Japan Government Twenty Year Bond 1.000% 20-Dec-2035 928,133,285 Japanese Government CPI Linked Bond 0.100% 10-Mar-2026

16.35

4,345,518

1.09

6,854,115

1.72

3,471,343 6,148,391

0.87 1.54

2,057,138

0.52

6,782,142

1.70

7,464,951

1.87

3,671,396

0.92

3,505,686

0.88

3,503,885 4,677,901 4,049,255 8,694,450

0.88 1.17 1.01 2.18

4,062,677

1.02

4,062,677

1.02

18,956,768

4.75

5,883,830

1.47

4,306,465

1.08

8,766,473

2.20

Malaysian Ringgit - 6,360,144 (31 December 2016: –)

6,360,144

1.59

3,113,000 Malaysia Government Bond 3.844% 15-Apr-2033 22,533,000 Malaysia Government Bond 4.059% 30-Sep-2024

720,575 5,639,569

0.18 1.41

Mexican Nuevo Peso - 8,359,346 (31 December 2016: 8,788,169) 147,690,000 Mexican Bonos 5.750% 05-Mar-2026 32,490,000 Mexican Bonos 8.500% 31-May-2029

8,359,346

2.10

6,616,662 1,742,684

1.66 0.44

20,230,144

5.07

5,402,678

1.35

2,744,976

0.69

5,894,979

1.48

6,187,511

1.55

11,419,169

2.86

11,419,169

2.86

4,009,397

1.00

1,999,760

0.50

2,009,637

0.50

26,719,349

6.70

2,727,368 2,310,355 12,033,400 2,234,010

0.68 0.58 3.02 0.56

7,414,216

1.86

202,599,388

50.79

7,350,000 Landwirtschaftliche Rentenbank 4.000% 30-Jan-2020 3,550,000 New Zealand Government Bond 2.500% 20-Sep-2040 8,160,000 New Zealand Local Government Funding Agency Bond 3.000% 15-Apr-2020 8,130,000 New Zealand Local Government Funding Agency Bond 4.500% 15-Apr-2027

Norwegian Krone - 11,419,169 (31 December 2016: 9,261,359)

3,900,000 FMS Wertmanagement AoeR 0.375% 29-Apr-2030 4,220,000 French Republic Government Bond OAT 3.250% 25-May-2045 1,860,000 French Republic Government Bond OAT 4.750% 25-Apr-2035 4,990,000 Ireland Government Bond 1.000% 15-May-2026 1,650,000 Italy Buoni Poliennali Del Tesoro 144A 3.450% 01-Mar-2048 4,740,000 Italy Buoni Poliennali Del Tesoro 4.500% 01-Mar-2024 4,740,000 Italy Buoni Poliennali Del Tesoro 5.000% 01-Aug-2034 2,180,000 Italy Buoni Poliennali Del Tesoro 6.500% 01-Nov-2027 2,860,000 Province of British Columbia Canada 0.875% 08-Oct-2025 2,080,000 Republic of Austria Government Bond 144A 3.150% 20-Jun-2044 3,900,000 SNCF Reseau 1.125% 25-May-2030 2,310,000 Spain Government Bond 144A 5.150% 31-Oct-2044 5,270,000 Spain Government Bond 144A 5.900% 30-Jul-2026

Indonesian Rupiah - 4,062,677 (31 December 2016: –)

New Zealand Dollar - 20,230,144 (31 December 2016: 19,886,366)

93,590,000 Norway Government Bond 144A 1.500% 19-Feb-2026

Peruvian Nuevo Sol - 4,009,397 (31 December 2016: 4,697,723) 5,680,000 Peruvian Government International Bond 6.950% 12-Aug-2031 5,280,000 Peruvian Government International Bond 8.200% 12-Aug-2026

Sterling - 26,719,349 (31 December 2016: 18,490,602) 1,530,000 Affordable Housing Finance Plc 3.800% 20-May-2042 1,310,000 United Kingdom Gilt 3.250% 22-Jan-2044 6,920,000 United Kingdom Gilt 4.250% 07-Dec-2027 950,000 United Kingdom Gilt 4.250% 07-Dec-2055 4,537,651 United Kingdom Gilt Inﬂation Linked 1.875% 22-Nov-2022

US Dollar - 202,599,388 (31 December 2016: 277,623,640)

3,580,000 Asian Development Bank 1.360% 10-Jul-2019 FRN 4,200,000 Caisse des Depots et Consignations 1.250% 17-May-2019 4,220,000 Dexia Credit Local SA/New York NY 2.250% 30-Jan-2019 4,790,000 European Bank for Reconstruction & Development 1.675% 23-Mar-2020 FRN 4,068,000 Export-Import Bank of Korea 1.823% 21-Oct-2019 FRN 3,920,000 Export-Import Bank of Korea 2.242% 25-Jan-2022 FRN 5,400,000 FMS Wertmanagement AoeR 1.562% 27-Nov-2019 FRN 5,100,000 Indonesia Government International Bond 4.750% 08-Jan-2026 5,560,000 Instituto de Credito Oﬁcial 1.625% 14-Sep-2018 7,070,000 Inter-American Development Bank 1.579% 12-Sep-2018 FRN 3,984,000 International Bank for Reconstruction & Development 1.693% 11-Feb-2021 FRN 5,900,000 Kommunalbanken AS 1.511% 02-May-2019 FRN 5,020,000 Kommunekredit 1.625% 01-Jun-2021 6,320,000 Kuwait International Government Bond 2.750% 20-Mar-2022

3,580,392

0.90

4,151,150

1.04

4,224,520

1.06

4,787,888

1.20

4,054,175

1.02

3,931,074

0.99

5,408,416

1.36

5,553,094 5,543,003

1.39 1.39

7,069,692

1.77

4,011,324 5,907,944 4,914,655

1.01 1.48 1.23

6,305,704

1.58

116

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BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Holdings Description Description Unrealised loss on forward foreign currency contracts - (2,030,891) (see below) (31 December 2016: (3,856,815))

US Dollar cont’d. 4,350,000 Morocco Government International Bond 4.250% 11-Dec-2022 2,000,000 Nederlandse Financierings Maatschappij voor Ontwikkelingslanden NV 1.674% 18-Apr-2019 FRN 5,160,000 Nordic Investment Bank 1.250% 02-Aug-2021 6,480,000 Province of British Columbia Canada 2.250% 02-Jun-2026 3,220,000 Romanian Government International Bond 4.375% 22-Aug-2023 4,640,000 Svensk Exportkredit AB 2.875% 14-Nov-2023 VAR 5,451,921 United States Treasury Inﬂation Indexed Bonds 2.125% 15-Feb-2041 11,267,563 United States Treasury Inﬂation Indexed Bonds 2.375% 15-Jan-2025 21,780,000 United States Treasury Note/Bond 1.500% 15-Aug-2026 20,870,000 United States Treasury Note/Bond 1.625% 15-Aug-2022 6,210,000 United States Treasury Note/Bond 1.875% 28-Feb-2022 16,670,000 United States Treasury Note/Bond 2.125% 31-Jul-2024 13,980,000 United States Treasury Note/Bond 2.875% 15-May-2043 9,330,000 United States Treasury Note/Bond 3.000% 15-Nov-2045

(2,030,891)

(0.51)

4,594,688

1.15

Total ﬁnancial liabilities at fair value through proﬁt or loss

(2,030,891)

(0.51)

2,007,500 4,982,674

0.50 1.25

Net current assets

9,309,544

2.34

398,916,330

100.00

6,262,236

1.57

Total net assets The counterparty for future options is UBS AG.

3,453,933 4,642,900

0.87 1.16

7,110,456

1.78

12,812,205

3.21

20,223,089

5.07

20,364,967

5.11

Total assets

6,138,318

1.54

16,450,881

4.12

14,339,335

3.59

9,773,175

2.45

388,603,842

97.41

595,500

0.15

Total future options

595,500

0.15

Unrealised gain on forward foreign currency contracts - 2,438,335 (see below) (31 December 2016: 2,103,316)

2,438,335

0.61

391,637,677

98.17

Total investments in bonds

Fair Total value net assets USD %

Analysis of portfolio

% of Total Assets 96.76 0.15 0.61 2.48

100.00

Future options - 595,500 (31 December 2016: 226,359) 794 U.S. 10 Year Treasury Note Future Put 23-Feb-2018 124.000

Total ﬁnancial assets at fair value through proﬁt or loss

117

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BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Bond Fund Australian dollar US dollar US dollar US dollar US dollar

530,543 3,199,500 5,153,346

Canadian dollar Danish krone

US dollar US dollar

951,018 12,146,000

Euro

US dollar

2,219,000

Euro Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar US dollar

761,005 2,860,000 1,246,918 33,986,140 2,781,000 3,423,000

Japanese yen

US dollar

53,921,992 6,901,032,000 1,387,856 24,336,000

Norwegian krone Sterling Sterling Sterling

US dollar US dollar US dollar US dollar

4,445,714 155,775 364,447 359,976

Sterling Sterling Swedish krona

US dollar US dollar US dollar

890,949 301,243 22,356,000

Swedish krona

US dollar

43,631,535

US dollar

Mexican peso

Sell

Amount (B)

5,355,085

884,433 14-Mar-18 Citigroup Global Markets Limited 412,936 14-Mar-18 State Street Bank 2,497,373 14-Mar-18 UBS AG 4,072,050 14-Mar-18 Royal Bank ofScotland 742,160 14-Mar-18 UBS AG 1,962,605 14-Mar-18 Citigroup Global Markets Limited 2,627,703 14-Mar-18 Citigroup Global Markets Limited 908,929 14-Mar-18 UBS AG 3,414,474 14-Mar-18 UBS AG 1,479,887 14-Mar-18 State Street Bank 40,412,429 14-Mar-18 State Street Bank 3,322,605 14-Mar-18 UBS AG 4,082,749 14-Mar-18 The Bank of New York Mellon 479,608 14-Mar-18 The Bank of New York Mellon 6,455,354 14-Mar-18 State Street Bank 969,642 14-Mar-18 UBS AG 2,957,345 14-Mar-18 Royal Bank ofScotland 538,040 14-Mar-18 UBS AG 209,032 14-Mar-18 UBS AG 488,340 14-Mar-18 UBS AG 484,479 14-Mar-18 Citigroup Global Markets Limited 1,202,033 14-Mar-18 UBS AG 405,256 14-Mar-18 UBS AG 2,722,933 14-Mar-18 The Bank of New York Mellon 5,217,454 14-Mar-18 Citigroup Global Markets Limited 102,166,452 14-Mar-18 State Street Bank

17,703 10,739 57,649 43,254 17,294

US dollar

New Zealand dollar

20,527,640

US dollar

Norwegian krone

9,024,869

US dollar

Sterling

374,030

US dollar US dollar

Sterling Sterling

10,955,513 414,394

US dollar

Swedish krona

2,016 547,716

43,935 7,308 28,918 21,381 506,312 25,672

US dollar Japanese yen Japanese yen Mexican peso US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Euro

Settle Date Counterparty

Unrealised Gain/(Loss)

38,485 1,359 16,040 17,914

14,873

3,347 02-Jan-18 JPMorgan Chase Bank New Zealand dollar 16,103 22,622 04-Jan-18 Canadian Imperial Bank US dollar 25,456,058 227,087 14-Mar-18 State Street Bank US dollar 7,395,618,981 66,310,045 14-Mar-18 State Street Bank US dollar 7,836,361 404,673 14-Mar-18 State Street Bank Australian dollar 9,844,489 12,978,566 14-Mar-18 Royal Bank ofScotland Canadian dollar 6,490,297 8,216,100 14-Mar-18 State Street Bank Euro 198,182 167,519 14-Mar-18 State Street Bank Euro 707,559 597,000 14-Mar-18 Canadian Imperial Bank Euro 797,995 667,947 14-Mar-18 The Bank of New York Mellon Euro 3,471,388 2,927,277 14-Mar-18 State Street Bank Euro 5,295,581 4,414,801 14-Mar-18 State Street Bank Euro 3,195,944 2,671,903 14-Mar-18 UBS AG Euro 4,528,127 3,786,509 14-Mar-18 UBS AG Japanese yen 1,225,995 138,242,000 14-Mar-18 The Bank of New York Mellon Japanese yen 823,805 92,768,000 14-Mar-18 UBS AG Japanese yen 626,604 70,456,000 14-Mar-18 State Street Bank Japanese yen 4,663,951 526,218,000 14-Mar-18 State Street Bank Japanese yen 944,890 106,686,000 14-Mar-18 UBS AG Korean won 6,312,689 6,901,032,000 14-Mar-18 UBS AG Malaysian ringgit 6,334,473 25,927,000 14-Mar-18 State Street Bank

(677,284) (94,264) (3,815) (93,044) (2,725) (12,802)

Net USD (755,446)

BNY Mellon Global Bond Fund EUR H (Hedged) Share Class Euro

US dollar

2,514,992

16,884 5,294 1,932 5,225 3,031 4,564 2,712

29,800,216 14-Mar-18 Royal Bank ofScotland 74,615,359 14-Mar-18 Royal Bank ofScotland 279,000 14-Mar-18 Canadian Imperial Bank 8,158,228 14-Mar-18 UBS AG 308,000 14-Mar-18 Citigroup Global Markets Limited 4,577,000 14-Mar-18 Canadian Imperial Bank

USD (2,026,850)

US dollar

Euro

US dollar

Euro

1,764

US dollar

Euro

16,962

125,841 235,069

USD 1,271,404 US dollar

Amount (S)

BNY Mellon Global Bond Fund cont’d. 1,153,786

Canadian dollar Canadian dollar Canadian dollar

Korean won US dollar New Zealand dollar US dollar Norwegian krone US dollar

Buy

2,976,542 12-Jan-18 The Bank of New York Mellon

40,473

USD

40,473

EUR

33,760

52 12-Jan-18 The Bank of New York Mellon 1,499 12-Jan-18 The Bank of New York Mellon 14,367 12-Jan-18 The Bank of New York Mellon

(1) (34) (273)

USD

(308)

EUR

(257)

Net USD

40,165

Net EUR

33,503

3,999

(14) (9) (27) (343,520) (11,958) (303,356) (70,827) (3,508) (11,219) (6,202) (53,004) (19,765) (20,983) (30,766) (7,079) (3,656) (1,841) (29,743) (6,715) (158,705) (60,019)

BNY Mellon Global Bond Fund EUR I (Hedged) Share Class Euro

US dollar

15,788

Euro

US dollar

6,971

Euro

US dollar

1,564

Euro

US dollar

8,462

Euro

US dollar

1,612

Euro

US dollar

33,028

Euro

US dollar

6,036

Euro

US dollar

18,052

Euro

US dollar

24,425

Euro

US dollar

69,828,168

Euro

US dollar

38,846

18,801 02-Jan-18 The Bank of New York Mellon 8,292 12-Jan-18 The Bank of New York Mellon 1,855 12-Jan-18 The Bank of New York Mellon 10,055 12-Jan-18 The Bank of New York Mellon 1,925 12-Jan-18 The Bank of New York Mellon 39,358 12-Jan-18 The Bank of New York Mellon 7,148 12-Jan-18 The Bank of New York Mellon 21,248 12-Jan-18 The Bank of New York Mellon 28,837 12-Jan-18 The Bank of New York Mellon 82,642,999 12-Jan-18 The Bank of New York Mellon 45,956 12-Jan-18 The Bank of New York Mellon

127 71 21 96 8 263 94 407 464 1,123,730 644

118

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BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Bond Fund EUR I (Hedged) Share Class cont’d. Euro

US dollar

18,798

Euro

US dollar

17,637

22,258 12-Jan-18 The Bank of New York Mellon 20,918 12-Jan-18 The Bank of New York Mellon

293 240

USD 1,126,458 EUR US dollar

Euro

39,331

US dollar

Euro

1,924

US dollar

Euro

101,172

US dollar

Euro

7,988

US dollar

Euro

19,556

US dollar

Euro

18,814

US dollar

Euro

8,817

US dollar

Euro

35,233

US dollar

Euro

36,865

US dollar

Euro

156

US dollar

Euro

39,953

33,028 02-Jan-18 The Bank of New York Mellon 1,612 03-Jan-18 The Bank of New York Mellon 85,278 12-Jan-18 The Bank of New York Mellon 6,716 12-Jan-18 The Bank of New York Mellon 16,565 12-Jan-18 The Bank of New York Mellon 15,788 12-Jan-18 The Bank of New York Mellon 7,435 12-Jan-18 The Bank of New York Mellon 29,933 12-Jan-18 The Bank of New York Mellon 31,135 12-Jan-18 The Bank of New York Mellon 132 12-Jan-18 The Bank of New York Mellon 33,772 12-Jan-18 The Bank of New York Mellon

939,615

(265) (8) (1,129) (68) (315) (125) (101) (675) (485) (2) (560)

USD

(3,733)

EUR

(3,114)

Net USD 1,122,725 Net EUR

936,501

119

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BNY MELLON GLOBAL CREDIT FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Collective investment schemes Supranational - 19,956,526 (31 December 2016: 29,113,649)

Bonds cont’d. 19,956,526

4.32

5,346,517 Insight Emerging Market Bond Opportunities Fund 6,763,999 13,192,527 Insight Liquidity Funds Plc - USD Liquidity Fund 13,192,527

1.46 2.86

Total investments in collective investment schemes

Holdings Description

Fair Total value net assets USD %

19,956,526

4.32

9,723,214

2.11

2,275,428

0.49

3,353,625

0.73

282,757

0.06

3,811,404

0.83

2,872,443

0.62

2,872,443

0.62

3,114,673

0.67

Bonds Australia - 9,723,214 (31 December 2016: 2,421,505) 2,220,000 Commonwealth Bank of Australia 3.900% 12-Jul-2047 3,300,000 FMG Resources August 2006 Pty Ltd 144A 4.750% 15-May-2022 362,236 Pepper Residential Securities Trust NO 18 3.780% 12-Aug-2058 FRN 3,767,000 Sydney Airport Finance Co Pty Ltd 144A 3.625% 28-Apr-2026

Austria - 2,872,443 (31 December 2016: 3,668,323) 1,900,000 Raiffeisen Bank International AG 6.000% 16-Oct-2023

Belgium - 3,114,673 (31 December 2016: 4,286,416) 1,709,000 Anheuser-Busch InBev Finance Inc 4.900% 01-Feb-2046 849,000 Nyrstar Netherlands Holdings BV 8.500% 15-Sep-2019

Brazil - 1,365,509 (31 December 2016: –) 623,000 JBS USA LUX SA / JBS USA Finance Inc 7.250% 01-Jun-2021 707,000 Marfrig Holdings Europe BV 6.875% 24-Jun-2019

Canada - 4,282,516 (31 December 2016: 5,998,779)

1,988,670

0.43

1,126,003

0.24

1,365,509

0.30

636,239

0.14

729,270

0.16

4,282,516

840,000 Air Canada 2017-1 Class AA Pass Through Trust 144A 3.300% 15-Jan-2030 849,617 250,000 Bank of Nova Scotia/The 4.650% Perpetual VAR 248,669 960,000 Teck Resources Ltd 6.250% 15-Jul-2041 1,104,000 950,000 Teck Resources Ltd 144A 8.500% 01-Jun-2024 1,075,875 1,000,000 Toronto-Dominion Bank/The 2.625% 10-Sep-2018 1,004,355

Chile - 1,592,000 (31 December 2016: 1,513,664) 1,600,000 Transelec SA 3.875% 12-Jan-2029

China - 2,291,945 (31 December 2016: –) 2,300,000 Proven Glory Capital Ltd 3.250% 21-Feb-2022

Denmark - 689,591 (31 December 2016: 573,067) 527,000 Nykredit Realkredit A/S 4.000% 03-Jun-2036 VAR

0.93 0.19 0.05 0.24 0.23 0.22

1,592,000

0.34

1,592,000

0.34

2,291,945

0.50

2,291,945

0.50

689,591

0.15

689,591

0.15

France - 25,662,997 (31 December 2016: 18,231,332) 2,700,000 ALD SA 0.875% 18-Jul-2022 3,800,000 Banque Federative du Credit Mutuel SA 0.391% 20-Mar-2019 FRN 1,800,000 BNP Paribas Cardif SA 1.000% 29-Nov-2024 6,670,000 BPCE SA 2.650% 03-Feb-2021 2,600,000 Electricite de France SA 5.875% Perpetual VAR 1,000,000 SFR Group SA 144A 6.000% 15-May-2022 3,400,000 TDF Infrastructure SAS 2.500% 07-Apr-2026

Germany - 15,292,049 (31 December 2016: 25,502,271) 500,000 ATF Netherlands BV 1.500% 15-Jul-2024 1,700,000 ATF Netherlands BV 2.125% 13-Mar-2023 3,033,000 Kreditanstalt fuer Wiederaufbau 2.625% 25-Jan-2022 833,000 Kreditanstalt fuer Wiederaufbau 5.750% 07-Jun-2032 3,047,000 State of North Rhine-Westphalia Germany 0.625% 17-Nov-2023 3,336,000 Volkswagen Bank GmbH 0.750% 15-Jun-2023

Indonesia - 3,023,666 (31 December 2016: 7,998,840) 2,670,000 Indonesia Government International Bond 5.250% 08-Jan-2047

Ireland - 1,959,515 (31 December 2016: 4,565,624)

25,662,997

5.56

3,282,321

0.71

4,599,145 2,124,150 6,696,697

1.00 0.46 1.45

3,670,554 1,013,750 4,276,380

0.79 0.22 0.93

15,292,049

3.31

607,760 2,155,019

0.13 0.47

3,075,815

0.67

1,712,178

0.37

3,749,662 3,991,615

0.81 0.86

3,023,666

0.65

3,023,666

0.65

1,959,515

0.42

631,183 European Residential Loan Securitisation 2016-1 DAC 1.131% 24-Jan-2059 FRN 763,173 1,000,000 European Residential Loan Securitisation 2017-PL1 DAC 1.131% 24-Nov-2057 FRN 1,196,342

Italy - 7,095,401 (31 December 2016: 7,654,897) 3,630,000 Enel Finance International NV 144A 3.500% 06-Apr-2028 275,000 Enel SpA 7.750% 10-Sep-2075 VAR 1,680,000 Telecom Italia Finance SA 7.750% 24-Jan-2033

Japan - 3,226,832 (31 December 2016: 3,667,391) 3,221,000 Sumitomo Mitsui Trust Bank Ltd 144A 2.018% 06-Mar-2019 FRN

Luxembourg - 5,201,742 (31 December 2016: 2,953,449) 762,000 Altice Luxembourg SA 144A 7.750% 15-May-2022 3,330,000 SES SA 5.625% Perpetual VAR

Mexico - 6,958,602 (31 December 2016: 3,984,817) 1,970,000 Banco Mercantil del Norte SA/Grand Cayman 5.750% 04-Oct-2031 VAR 1,501,000 Mexichem SAB de CV 4.000% 04-Oct-2027

0.16 0.26

7,095,401

1.54

3,558,191 430,520

0.77 0.10

3,106,690

0.67

3,226,832

0.70

3,226,832

0.70

5,201,742

1.13

751,522 4,450,220

0.16 0.97

6,958,602

1.51

1,997,087 1,489,743

0.43 0.33

120

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BNY MELLON GLOBAL CREDIT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Bonds cont’d. Switzerland - 16,108,685 (31 December 2016: 10,196,021)

Mexico cont’d. 1,546,000 Mexico Government International Bond 4.350% 15-Jan-2047 1,476,000 Petroleos Mexicanos 3.750% 16-Nov-2025

Morocco - 2,423,151 (31 December 2016: 2,347,940) 2,293,000 Morocco Government International Bond 4.250% 11-Dec-2022

Holdings Description

1,480,295 1,991,477

0.32 0.43

2,423,151

0.52

2,423,151

0.52

6,600,000 Credit Suisse AG/New York NY 4.375% 05-Aug-2020 3,788,000 UBS AG/London 0.174% 05-Sep-2019 FRN 4,350,000 UBS AG/Stamford CT 4.875% 04-Aug-2020

United Arab Emirates - 4,628,731 (31 December 2016: –) 4,530,000 DP World Crescent Ltd 3.908% 31-May-2023

Netherlands - 14,450,088 (31 December 2016: 4,661,729) 1,100,000 1,500,000 4,200,000 788,000 6,110,000

ABN AMRO Bank NV 0.474% 06-Mar-2019 FRN ABN AMRO Bank NV 1.994% 18-Jan-2019 FRN ABN AMRO Bank NV 144A 2.100% 18-Jan-2019 GTH Finance BV 6.250% 26-Apr-2020 ING Bank NV 144A 5.000% 09-Jun-2021

Peru - 4,683,098 (31 December 2016: 2,651,125) 2,200,000 Cia Minera Milpo SAA 4.625% 28-Mar-2023 1,876,000 Peruvian Government International Bond 5.625% 18-Nov-2050

Romania - 4,672,674 (31 December 2016: 4,648,727) 4,074,000 Romanian Government International Bond 6.750% 07-Feb-2022

Spain - 12,487,465 (31 December 2016: 6,084,376) 1,100,000 200,000 1,500,000 2,800,000 900,000 3,500,000

Banco de Sabadell SA 5.625% 06-May-2026 Banco de Sabadell SA 6.500% Perpetual VAR Bankia SA 3.375% 15-Mar-2027 VAR CaixaBank SA 2.750% 14-Jul-2028 VAR CaixaBank SA 3.500% 15-Feb-2027 VAR Iberdrola International BV 1.875% Perpetual VAR

Supranational - 27,089,771 (31 December 2016: 25,847,580) 1,757,000 900,000 1,529,000 3,910,000 600,000 4,900,000 2,117,000

European Investment Bank 1.750% 15-Sep-2045 European Investment Bank 2.250% 14-Oct-2022 European Investment Bank 2.750% 15-Sep-2025 European Investment Bank 2.875% 15-Sep-2020 European Investment Bank 4.000% 15-Oct-2037 European Union 2.750% 04-Apr-2022 Inter-American Development Bank 2.125% 15-Jan-2025 6,251,000 International Bank for Reconstruction & Development 2.125% 01-Nov-2020 1,400,000 International Bank for Reconstruction & Development 2.500% 29-Jul-2025

Sweden - 1,363,048 (31 December 2016: 1,209,012) 621,000 Intrum Justitia AB 2.625% 15-Jul-2022 FRN 500,000 Ovako AB 5.000% 05-Oct-2022

Fair Total value net assets USD %

14,450,088

3.13

1,332,460 1,506,945 4,198,706 829,961 6,582,016

0.29 0.33 0.91 0.18 1.42

4,683,098

1.01

2,271,500

0.49

2,411,598

0.52

4,672,674

1.01

4,672,674

1.01

12,487,465

2.71

1,548,745 252,643 1,891,903 3,422,280 1,145,288

0.34 0.05 0.41 0.74 0.25

4,226,606

0.92

27,089,771

5.87

2,289,938 1,204,749 2,173,193 3,987,697 1,091,816 6,611,914

0.50 0.26 0.47 0.86 0.24 1.43

2,078,368

0.45

6,252,375

1.36

1,399,721

0.30

1,363,048

0.30

751,862 611,186

0.17 0.13

United Kingdom - 69,095,070 (31 December 2016: 62,562,108) 1,500,000 Aggregator of Loans Backed by Assets 2015-1 Plc 2.145% 24-Apr-2049 FRN 1,722,440 Alba 2007-1 Plc 0.754% 17-Mar-2039 FRN 982,000 Annington Funding Plc 3.184% 12-Jul-2029 2,510,000 Barclays Plc 2.000% 07-Feb-2028 VAR 5,043,000 BAT Capital Corp 3.222% 15-Aug-2024 1,635,000 BAT Capital Corp 4.390% 15-Aug-2037 1,340,000 British Telecommunications Plc 3.625% 21-Nov-2047 864,000 Channel Link Enterprises Finance Plc 1.761% 30-Jun-2050 VAR 1,629,000 Channel Link Enterprises Finance Plc 2.706% 30-Jun-2050 VAR 728,000 Channel Link Enterprises Finance Plc 3.043% 30-Jun-2050 VAR 793,000 Channel Link Enterprises Finance Plc 3.848% 30-Jun-2050 1,010,000 Dukinﬁeld Plc 2.326% 15-Aug-2045 FRN 2,037,959 Finsbury Square 2017-2 Plc 2.222% 12-Sep-2065 FRN 500,000 Hawksmoor Mortgages 2016-1 Plc 2.123% 25-May-2053 FRN 1,000,000 Hawksmoor Mortgages 2016-1 Plc 2.773% 25-May-2053 FRN 300,000 Hawksmoor Mortgages 2016-1 Plc 3.023% 25-May-2053 FRN 345,000 HSBC Bank Plc 144A 2.056% 15-May-2018 FRN 4,300,000 Imperial Brands Finance Plc 144A 3.750% 21-Jul-2022 395,000 Jerrold Finco Plc 6.250% 15-Sep-2021 295,817 Keystone Financing Plc 9.500% 15-Oct-2019 499,000 NewDay Funding 2016-1 Plc 4.841% 15-Jun-2024 FRN 496,000 Newday Funding 2017-1 Plc 2.741% 15-Jul-2025 FRN 250,000 Newday Partnership Funding 2015-1 Plc 1.992% 15-Apr-2025 FRN 500,000 Newday Partnership Funding 2015-1 Plc 2.891% 15-Apr-2025 FRN 3,178,000 RAC Bond Co Plc 4.870% 06-May-2026 500,000 Residential Mortgage Securities 25 Plc 0.014% 16-Dec-2050 FRN 500,000 Residential Mortgage Securities 25 Plc 0.014% 16-Dec-2050 FRN 500,000 Residential Mortgage Securities 26 Plc 0.000% 14-Feb-2041

16,108,685

3.49

6,918,193 4,581,304 4,609,188

1.50 0.99 1.00

4,628,731

1.00

4,628,731

1.00

69,095,070

14.97

2,017,175 2,070,823 1,363,807 3,003,553 5,050,272 1,722,535

0.44 0.45 0.30 0.65 1.09 0.37

1,862,194

0.40

1,061,064

0.23

2,038,916

0.44

1,001,133

0.22

1,179,278 1,362,659

0.26 0.30

2,756,162

0.60

681,287

0.15

1,373,773

0.30

411,025 345,590

0.09 0.07

4,448,109 549,602 412,379

0.96 0.12 0.09

695,984

0.15

672,558

0.15

339,538

0.07

681,990 4,720,887

0.15 1.02

662,642

0.14

665,384

0.14

651,958

0.14

121

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BNY MELLON GLOBAL CREDIT FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

United Kingdom cont’d. 500,000 Residential Mortgage Securities 26 Plc 0.000% 14-Feb-2041 694,863 RMAC Securities No 1 Plc 0.000% 12-Jun-2044 FRN 7,520,000 Santander UK Plc 0.296% 22-May-2019 FRN 1,467,071 Southern Paciﬁc Financing 06-A Plc 0.783% 10-Mar-2044 FRN 282,664 THRONES 2015-1 Plc 1.713% 18-Mar-2050 FRN 500,000 THRONES 2015-1 Plc 1.913% 18-Mar-2050 FRN 994,000 Towd Point Mortgage Funding 2016-Vantage1 Plc 2.526% 20-Feb-2054 FRN 769,000 United Kingdom Gilt 1.500% 22-Jul-2047 2,510,000 United Kingdom Gilt 4.250% 07-Jun-2032 400,000 Virgin Media Receivables Financing Notes I DAC 5.500% 15-Sep-2024 3,340,000 Worldpay Finance Plc 3.750% 15-Nov-2022

Holdings Description

Fair Total value net assets USD %

United States of America cont’d. 634,926 769,348 9,098,083

0.14 0.17 1.97

1,891,905 377,897 674,919

0.41 0.08 0.15

1,351,846 977,839 4,592,608

0.29 0.21 0.99

544,851 4,378,571

0.12 0.95

United States of America - 175,994,481 (31 December 2016: 150,656,827) 175,994,481 1,005,000 AK Steel Corp 7.625% 01-Oct-2021 1,047,712 4,300,000 Allergan Funding SCS 3.800% 15-Mar-2025 4,384,263 405,000 American Axle & Manufacturing Inc 6.250% 15-Mar-2021 415,884 4,303,000 Andeavor 144A 5.125% 15-Dec-2026 4,737,054 5,090,000 Andeavor Logistics LP / Tesoro Logistics Finance Corp 5.250% 15-Jan-2025 5,359,515 1,017,000 Antero Resources Corp 5.375% 01-Nov-2021 1,046,239 1,029,000 AT&T Inc 3.150% 04-Sep-2036 1,268,366 4,630,000 AT&T Inc 3.400% 14-Aug-2024 4,660,472 3,729,000 AT&T Inc 4.750% 15-May-2046 3,661,207 540,000 AT&T Inc 5.650% 15-Feb-2047 593,175 1,304,000 Bank of America Corp 3.419% 20-Dec-2028 VAR 1,305,923 4,650,000 Bank of America Corp 4.183% 25-Nov-2027 4,864,867 775,000 Bay Area Toll Authority 6.263% 01-Apr-2049 1,148,589 2,421,000 Brighthouse Financial Inc 144A 4.700% 22-Jun-2047 2,479,603 1,540,000 Celgene Corp 5.000% 15-Aug-2045 1,754,102 1,904,000 Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 23-Oct-2045 2,227,610 5,480,000 Citigroup Inc 3.520% 27-Oct-2028 VAR 5,517,234 417,000 DCP Midstream Operating LP 144A 5.350% 15-Mar-2020 436,807 899,000 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 984,623 1,508,000 Discovery Communications LLC 3.950% 20-Mar-2028 1,503,073 2,578,000 Dominion Energy Inc 4.700% 01-Dec-2044 2,935,172 507,000 Dynegy Inc 6.750% 01-Nov-2019 522,210 3,396,000 Entergy Corp 2.950% 01-Sep-2026 3,310,382 1,500,000 FirstEnergy Corp 4.850% 15-Jul-2047 1,680,819 1,800,000 Goldman Sachs Group Inc/The 0.369% 29-Apr-2019 FRN 2,177,204 3,930,000 Goldman Sachs Group Inc/The 3.500% 16-Nov-2026 3,957,062 518,000 Goldman Sachs Group Inc/The 6.250% 01-Feb-2041 699,497 4,130,000 Goldman Sachs Group Inc/The 7.125% 07-Aug-2025 7,506,344 409,000 Herc Rentals Inc 144A 7.750% 01-Jun-2024 450,922

38.13 0.23 0.95 0.09 1.03 1.16 0.23 0.27 1.01 0.79 0.13 0.28 1.05 0.25 0.54 0.38

0.48 1.19 0.09 0.21 0.33 0.64 0.11 0.72 0.36 0.47 0.86 0.15 1.63 0.10

2,470,000 HSBC Bank USA NA/New York NY 5.625% 15-Aug-2035 3,118,708 1,792,000 HSBC Bank USA NA/New York NY 5.875% 01-Nov-2034 2,315,215 3,780,000 JPMorgan Chase & Co 4.032% 24-Jul-2048 VAR 3,952,480 4,636,000 JPMorgan Chase Bank NA 0.000% 14-Jun-2018 FRN 5,571,213 622,000 Kinder Morgan Inc/DE 5.550% 01-Jun-2045 683,190 478,000 Kraft Heinz Foods Co 144A 4.875% 15-Feb-2025 507,013 3,030,000 Kroger Co/The 3.500% 01-Feb-2026 3,030,039 1,166,000 Kroger Co/The 3.700% 01-Aug-2027 1,182,994 1,751,000 Marathon Petroleum Corp 3.400% 15-Dec-2020 1,790,381 634,000 McDermott International Inc 144A 8.000% 01-May-2021 654,827 1,541,000 MetLife Inc 6.400% 15-Dec-2036 1,776,480 5,803,000 Metropolitan Life Global Funding I 144A 3.000% 19-Sep-2027 5,755,711 1,410,000 Microsoft Corp 3.950% 08-Aug-2056 1,509,606 1,250,000 Morgan Stanley 2.215% 24-Jan-2019 FRN 1,256,711 3,886,000 Morgan Stanley 2.625% 17-Nov-2021 3,870,415 1,683,000 Morgan Stanley 3.125% 27-Jul-2026 1,661,851 800,000 Morgan Stanley 5.500% 28-Jul-2021 875,784 500,000 Morgan Stanley 7.250% 01-Apr-2032 694,011 830,000 New York City Water & Sewer System 5.882% 15-Jun-2044 1,151,741 4,380,000 Newell Brands Inc 3.850% 01-Apr-2023 4,537,470 3,200,000 Newﬁeld Exploration Co 5.750% 30-Jan-2022 3,432,000 5,610,000 Oracle Corp 2.950% 15-Nov-2024 5,655,332 6,900,000 Philip Morris International Inc 2.500% 02-Nov-2022 6,843,241 4,098,000 Prudential Financial Inc 5.625% 15-Jun-2043 VAR 4,443,256 1,850,000 QUALCOMM Inc 4.300% 20-May-2047 1,868,330 750,000 RAIT 2016-FL6 Trust 144A 4.610% 13-Nov-2031 FRN 751,406 1,000,000 Rite Aid Corp 144A 6.125% 01-Apr-2023 906,250 1,360,000 Royal Caribbean Cruises Ltd 2.650% 28-Nov-2020 1,359,937 2,150,000 Schlumberger Holdings Corp 144A 3.625% 21-Dec-2022 2,215,727 550,000 Southern Co Gas Capital Corp 3.950% 01-Oct-2046 548,430 1,100,000 Sunoco LP / Sunoco Finance Corp 6.250% 15-Apr-2021 1,146,200 2,002,000 Thermo Fisher Scientiﬁc Inc 2.875% 24-Jul-2037 2,443,316 500,000 United States Steel Corp 7.375% 01-Apr-2020 545,000 636,000 United States Steel Corp 144A 8.375% 01-Jul-2021 690,378 10,901,853 United States Treasury Inﬂation Indexed Bonds 0.750% 15-Feb-2045 10,967,853 2,294,000 Wyndham Worldwide Corp 4.500% 01-Apr-2027 2,335,380 4,710,000 Zimmer Biomet Holdings Inc 2.425% 13-Dec-2026 5,924,143 5,299,000 Zoetis Inc 3.250% 01-Feb-2023 5,386,532

Total investments in bonds

427,348,957

0.68 0.50 0.86 1.21 0.15 0.11 0.66 0.26 0.39 0.14 0.38 1.25 0.33 0.27 0.84 0.36 0.19 0.15 0.25 0.98 0.74 1.22 1.48 0.96 0.40 0.16 0.20 0.29 0.48 0.12 0.25 0.53 0.12 0.15 2.38 0.51 1.28 1.17

92.58

122

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BNY MELLON GLOBAL CREDIT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Credit default swaps - 1,056,874 (31 December 2016: 381,209) (1,100,000) CDS Innogy SE 1.000% 20-Dec-2021 (500,000) CDS Innogy SE 1.000% 20-Dec-2021 (3,500,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 (1,700,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 (1,800,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 (3,660,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 (3,660,000) CDS iTraxx Europe Senior Financials Series 28 Version 1 1.000% 20-Dec-2022 (11,460,000) CDS iTraxx Europe Series 28 1.000% 20-Dec-2022 (1,000,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 (1,000,000) CDS iTraxx Europe Series 28 Version 1 1.000% 20-Dec-2022 5,730,000 CDS Telecom Italia SpA 1.000% 20-Dec-2022

Total credit default swaps

Holdings Description

Underlying exposure USD

(2,684,510)

35,937 16,335

0.01 0.00

116,409

0.03

56,542

0.01

59,868

0.01

121,731

0.03

121,731

0.03

372,888

0.08

32,538

0.01

32,538 90,357

0.01 0.02

1,056,874

0.24

Fair Total value net assets USD %

19,653

0.00

(31,038,699)

268,035

0.06

(1,769,468)

35,528

0.01

1,650,880

5,644

0.00

328,860

0.07

Total open futures contracts Swaptions - 176,500 (31 December 2016: –) 11,400,000 CDS CDX North America High Yield Index Series 29 Version 1 Call 21-Dec-2022 108.500 22,800,000 CDS CDX North America High Yield Index Series 29 Version 1 Call 22-Feb-2018 108.500 45,900,000 CDS CDX North America Investment Grade Index 29 Version 1 Call 19-Apr-2018 50.000 45,900,000 CDS CDX North America Investment Grade Index 29 Version 1 Call 19-Apr-2018 50.000

Total swaptions Unrealised gain on forward foreign currency contracts - 9,517,751 (see below) (31 December 2016: 6,423,009)

Total ﬁnancial assets at fair value through proﬁt or loss

Holdings Description

Credit default swaps - (2,637,974) (31 December 2016: (664,699))

Open futures contracts - 328,860 (31 December 2016: 423,470) (17) Euro-Bobl Short Futures Contracts Exp Mar-2018 (160) Euro-Bund Short Futures Contracts Exp Mar-2018 (9) Euro-Buxl 30 Year Bond Short Futures Contracts Exp Mar-2018 10 Swiss Federal Bond Long Futures Contracts Exp Mar-2018

Fair Total value net assets USD %

1,280,000 CDS Accor SA 1.000% 20-Dec-2021 3,660,000 CDS Assicurazioni Generali SpA 1.000% 20-Dec-2022 3,660,000 CDS Assicurazioni Generali SpA 1.000% 20-Dec-2022 (1,125,000) CDS Banco Bilbao Vizcaya Argentaria SA 1.000% 20-Dec-2022 375,000 CDS Banco BPM Società per Azioni 5.000% 20-Dec-2022 1,050,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 1,000,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 2,600,000 CDS Bayerische Landesbank 1.000% 20-Dec-2021 900,000 CDS Bayerische Landesbank 1.000% 20-Jun-2021 701,000 CDS Best Buy Co Inc 5.000% 20-Jun-2022 706,000 CDS Best Buy Co Inc 5.000% 20-Jun-2022 2,000,000 CDS Carrefour 1.000% 20-Dec-2022 1,280,000 CDS Engie 1.000% 20-Dec-2021 1,100,000 CDS Engie 1.000% 20-Dec-2021 500,000 CDS Engie 1.000% 20-Dec-2021 3,850,000 CDS Glencore Finance Europe SA 5.000% 20-Dec-2022 600,000 CDS Glencore International AG 5.000% 20-Jun-2022 2,810,000 CDS Iberdrola International BV 1.000% 20-Dec-2021 4,810,000 CDS Iberdrola International BV 1.000% 20-Dec-2021 1,700,000 CDS Intesa Sanpaolo SpA 1.000% 20-Dec-2022 1,800,000 CDS Intesa Sanpaolo SpA 1.000% 20-Dec-2022 3,750,000 CDS Royal Bank of Scotland Plc 1.000% 20-Dec-2022 3,800,000 CDS Royal Bank of Scotland Plc 1.000% 20-Dec-2022 1,360,000 CDS Royal Caribbean Cruises Ltd 5.000% 20-Dec-2020 557,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 1,694,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 892,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 557,000 CDS Toll Brothers, Inc 1.000% 20-Dec-2022 3,500,000 CDS UniCredit SpA 1.000% 20-Dec-2022 (367,000) CDS Viacom Inc 1.000% 20-Jun-2022

Total credit default swaps

Holdings Description

10,318

0.00

31,895

0.01

67,143

0.01

67,144

0.01

176,500

0.03

9,517,751

458,385,468

2.06

Underlying exposure USD

(33,732)

(0.01)

(76,682)

(0.02)

(76,682)

(0.02)

(13,198)

(0.00)

(12,754) (38,324) (36,500) (94,899) (29,639) (125,049) (125,941) (55,311) (43,016) (36,967) (16,803)

(0.00) (0.01) (0.01) (0.02) (0.01) (0.03) (0.03) (0.01) (0.01) (0.01) (0.00)

(825,511) (120,722) (94,048) (160,987) (38,003) (40,238)

(0.18) (0.03) (0.02) (0.03) (0.01) (0.01)

(113,663)

(0.02)

(115,178)

(0.02)

(189,318) (5,995) (18,234) (9,601) (5,995) (79,631) (5,353)

(0.04) (0.00) (0.00) (0.00) (0.00) (0.02) (0.00)

(2,637,974)

(0.57)

Fair Total value net assets USD %

Open futures contracts - (983,909) (31 December 2016: (375,700)) 291 Australian 10 Year Treasury Bond Long Futures Contracts Exp Mar-2018 60 Canadian 10 Year Treasury Bond Long Futures Contracts Exp Mar-2018 237 Euro-Schatz Long Futures Contracts Exp Mar-2018 2 Japanese 10 Year Bond Long Futures Contracts Exp Mar-2018

29,325,675

(226,356)

(0.05)

6,433,413

(89,276)

(0.02)

31,841,729

(56,711)

(0.01)

2,676,370

(1,242)

(0.00)

99.30 123

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BNY MELLON GLOBAL CREDIT FUND

Portfolio of investments – as at 31December2017 Underlying exposure USD

Holdings Description

Fair Total value net assets USD %

Open futures contracts cont’d. 271 U.S. 10 Year Treawsury Note Long Futures Contracts Exp Mar-2018 (31) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018 45 U.S. 2 Year Treasury Note Long Futures Contracts Exp Mar-2018 49 U.S. 5 Year Treasury Note Long Futures Contracts Exp Mar-2018 159 U.S. Treasury Bond Long Futures Contracts Exp Mar-2018 (152) U.S. Treasury Ultra Bond Short Futures Contracts Exp Mar-2018 (72) UK Long Gilt Short Futures Contracts Exp Mar-2018

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Credit Fund

33,616,703

(138,031)

(4,140,438)

(27,125)

Australian dollar Indian rupee Swedish krona Euro

US dollar US dollar US dollar US dollar

330,000 31,800,000 2,994,619 596,000

(0.01)

Euro Sterling

US dollar US dollar

4,543,000 967,000

5,394,381 07-Mar-18 1,294,992 07-Mar-18

Swedish krona Swedish krona

US dollar US dollar

1,686,000 1,309,000

200,914 07-Mar-18 156,494 07-Mar-18

(0.03)

9,634,922

(19,688)

(0.00)

5,692,039

(6,125)

(0.00)

24,327,000

(96,929)

(0.02)

(25,483,750)

(214,265)

(0.05)

(12,166,911)

(108,161)

(0.02)

(983,909)

(0.21)

Total open futures contracts Swaptions - (91,418) (31 December 2016: –) (11,400,000) CDS CDX North America High Yield Index Series 29 Version 1 Put 22-Feb-2018 103.500 (45,900,000) CDS CDX North America Investment Grade Index 29 Version 1 Put 19-Apr-2018 70.000 (45,900,000) CDS CDX North America Investment Grade Index 29 Version 1 Put 19-Apr-2018 70.000

(14,146)

(0.00)

(38,636)

(0.01)

(38,636)

(0.01)

(91,418)

(0.02)

(1,663,239)

(0.36)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(5,376,540)

(1.16)

Net current assets

8,613,508

1.86

461,622,436

100.00

Total swaptions Unrealised loss on forward foreign currency contracts - (1,663,239) (see below) (31 December 2016: (7,591,825))

253,018 491,461 353,904 706,250

18-Jan-18 18-Jan-18 18-Jan-18 07-Mar-18

HSBC Bank plc HSBC Bank plc Goldman Sachs JPMorgan Chase Bank Barclays Bank PLC JPMorgan Chase Bank HSBC Bank plc Toronto Dominion Bank

USD

US dollar US dollar US dollar US dollar US dollar US dollar

Australian dollar Euro Euro Sterling Australian dollar Euro

613,431 5,646,653 810,064 7,336,501 215,086 1,180,969

800,000 4,771,502 680,000 5,476,165 283,000 1,000,000

18-Jan-18 18-Jan-18 18-Jan-18 18-Jan-18 07-Mar-18 07-Mar-18

US dollar US dollar US dollar US dollar

Euro Euro Euro Sterling

14,027,330 99,822,313 183,963 45,628,746

11,769,000 83,764,000 155,000 33,901,000

07-Mar-18 07-Mar-18 07-Mar-18 07-Mar-18

US dollar

Sterling

1,230,783

917,000 07-Mar-18

US dollar

Swedish krona

337,868

2,821,000 07-Mar-18

HSBC Bank plc HSBC Bank plc HSBC Bank plc HSBC Bank plc HSBC Bank plc JPMorgan Chase Bank HSBC Bank plc HSBC Bank plc HSBC Bank plc JPMorgan Chase Bank JPMorgan Chase Bank HSBC Bank plc

4,468 6,103 11,534 11,571 77,197 13,331 5,415 3,699

133,318

(10,776) (84,244) (6,662) (61,375) (5,703) (23,428) (147,225) (1,062,847) (2,719) (238,360) (9,893) (7,360)

USD (1,660,592) Net USD (1,527,274)

BNY Mellon Global Credit Fund CAD X (Acc) (Hedged) Share Class Canadian dollar

US dollar

529,263,099 411,933,081 12-Jan-18 The Bank of New York Mellon

9,185,411

USD 9,185,411 CAD 11,546,062

Total net assets

The counterparties for credit default swaps are Barclays Bank PLC, BNP Paribas, Citigroup Global Markets Limited, Credit Suisse AG, Goldman Sachs, JPMorgan Chase Bank and Bank of America Merrill Lynch. The counterparty for futures contracts is Goldman Sachs. The counterparties for swaptions are BNP Paribas and Bank of America Merrill Lynch.

Total assets

BNY Mellon Global Credit Fund CHF W (Acc) (Hedged) Share Class Swiss franc

US dollar

100,623

% of Total Assets 95.55 0.07 2.30 2.08

US dollar

Swiss franc

101,999

101,847 12-Jan-18 The Bank of New York Mellon

1,490

USD

1,490

CHF

1,452

100,623 12-Jan-18 The Bank of New York Mellon

(1,338)

USD

(1,338)

CHF

(1,304)

Net USD

152

Net CHF

148

100.00

124

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BNY MELLON GLOBAL CREDIT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Credit Fund EUR H (Acc) (Hedged) Share Class Euro

US dollar

10,574,882

12,504,021 12-Jan-18 The Bank of New York Mellon

192,302

USD

192,302

EUR

160,272

BNY Mellon Global Credit Fund EUR H (Inc) (Hedged) Share Class Euro

US dollar

Euro

102,607

121,883

121,326 12-Jan-18 The Bank of New York Mellon

1,866

USD

1,866

EUR

1,555

102,607 12-Jan-18 The Bank of New York Mellon

(1,309)

USD

(1,309)

EUR

(1,091)

Net USD

557

Net EUR

464

BNY Mellon Global Credit Fund EUR W (Acc) (Hedged) Share Class Sterling

US dollar

109,785

146,859 12-Jan-18 The Bank of New York Mellon

1,421

USD

1,421

EUR

1,184

BNY Mellon Global Credit Fund Sterling W (Acc) (Hedged) Share Class Euro

US dollar

106,833

126,322 12-Jan-18 The Bank of New York Mellon

1,943

USD

1,943

GBP

1,439

125

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BNY MELLON GLOBAL DYNAMIC BOND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Australian Dollar - 21,339,251 (31 December 2016: 10,715,471)

1,750,000 Cooperatieve Rabobank UA/Australia 7.250% 20-Apr-2018 6,700,000 New South Wales Treasury Corp 4.000% 20-Apr-2023 18,860,000 Queensland Treasury Corp 144A 2.750% 20-Aug-2027

Brazilian Real - 4,855,980 (31 December 2016: –) 2,200,000 Brazil Letras do Tesouro Nacional 0.000% 01-Jul-2021

Canadian Dollar - 13,365,424 (31 December 2016: –) 16,680,000 Canada Housing Trust No 1 144A 2.000% 15-Dec-2019

Euro - 71,474,660 (31 December 2016: 51,601,031) 2,064,000 Allied Irish Banks Plc 4.125% 26-Nov-2025 VAR 2,800,000 Banco Bilbao Vizcaya Argentaria SA 5.875% Perpetual VAR 3,000,000 Banco Santander SA 5.250% Perpetual VAR 2,390,000 BP Capital Markets Plc 1.117% 25-Jan-2024 4,230,000 Coventry Building Society 2.500% 18-Nov-2020 1,900,000 Danske Bank A/S 3.875% 04-Oct-2023 VAR 2,450,000 Fomento Economico Mexicano SAB de CV 1.750% 20-Mar-2023 2,258,000 HELLA Finance International BV 1.000% 17-May-2024 1,371,000 Iron Mountain Inc 3.000% 15-Jan-2025 1,800,000 JAB Holdings BV 1.250% 22-May-2024 563,000 Lloyds Bank Plc 13.000% Perpetual 2,850,000 Motability Operations Group Plc 1.625% 09-Jun-2023 674,000 Nassa Topco AS 2.875% 06-Apr-2024 2,100,000 Orange SA 4.000% Perpetual VAR 2,198,000 Orsted A/S 1.500% 26-Nov-2029 5,270,000 Province of British Columbia Canada 0.875% 08-Oct-2025 1,300,000 PSPC Escrow Corp 6.000% 01-Feb-2023 832,000 Roadster Finance Designated Activity Co 1.625% 09-Dec-2024 1,784,000 SELP Finance Sarl 1.250% 25-Oct-2023 2,204,000 SIG Combibloc Holdings SCA 7.750% 15-Feb-2023 1,833,634 Silverback Finance DAC 3.126% 25-Feb-2037 2,055,000 Societe Generale SA 6.750% Perpetual VAR 907,000 Stedin Holding NV 0.875% 24-Oct-2025 3,100,000 UBS AG 4.750% 12-Feb-2026 VAR 2,038,000 Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 6.250% 15-Jan-2029 1,600,000 Volkswagen International Finance NV 1.125% 02-Oct-2023 892,000 Ziggo Secured Finance BV 4.250% 15-Jan-2027

21,339,251

Indian Rupee - 2,552,264 (31 December 2016: –)

3.02

1,390,383

0.20

5,621,975

0.79

14,326,893

2.03

4,855,980

0.69

10,000,000 Housing Development Finance Corp Ltd 7.000% 09-Jan-2020 120,000,000 Housing Development Finance Corp Ltd 7.875% 21-Aug-2019 30,000,000 National Highways Authority of India 7.300% 18-May-2022

Indonesian Rupiah - 7,001,371 (31 December 2016: –) 84,840,000,000 Indonesia Treasury Bond 8.250% 15-May-2036

4,855,980

2,552,264

0.36

157,625

0.02

1,915,882

0.27

478,757

0.07

7,001,371

0.99

7,001,371

0.99

10,357,000

1.46

666,641

0.09

9,690,359

1.37

14,194,373

2.01

11,308,672 2,885,701

1.60 0.41

32,418,264

4.59

4,003,628

0.57

1,102,574

0.16

7,372,635

1.04

12,815,799

1.81

7,123,628

1.01

6,416,691

0.91

3,151,030

0.45

3,265,661

0.46

107,656,978

15.24

1,062,218 1,462,880 2,091,412 2,280,295

0.15 0.21 0.30 0.32

2,435,510

0.34

1,884,505

0.27

1,440,918

0.20

0.69

Malaysian Ringgit - 10,357,000 (31 December 2016: –) 13,365,424

1.89

13,365,424

1.89

71,474,660

10.12

2,700,986

0.38

3,647,612 3,804,899 2,949,367

0.52 0.54 0.42

5,407,784 2,342,456

0.77 0.33

3,073,292

0.44

2,736,808 1,677,318 2,196,007 941,559

0.39 0.24 0.31 0.13

3,623,059 822,230 2,788,960 2,622,873

0.51 0.12 0.40 0.37

6,459,779 1,635,916

0.91 0.23

994,182 2,147,796

0.14 0.30

2,769,412 2,260,683 2,772,134 1,091,245 4,180,991

0.39 0.32 0.39 0.15 0.59

2,753,184

0.39

1,961,166 1,112,962

0.28 0.16

2,880,000 Malaysia Government Bond 3.844% 15-Apr-2033 38,718,000 Malaysia Government Bond 4.059% 30-Sep-2024

Mexican Nuevo Peso - 14,194,373 (31 December 2016: 6,284,453) 252,420,000 Mexican Bonos 5.750% 05-Mar-2026 53,800,000 Mexican Bonos 8.500% 31-May-2029

New Zealand Dollar - 32,418,264 (31 December 2016: 14,830,562) 5,470,000 International Bank for Reconstruction & Development 4.625% 26-Feb-2019 1,540,000 Kreditanstalt fuer Wiederaufbau 3.750% 14-Jun-2018 10,030,000 Landwirtschaftliche Rentenbank 4.000% 30-Jan-2020 17,740,000 New Zealand Local Government Funding Agency Bond 3.000% 15-Apr-2020 9,360,000 New Zealand Local Government Funding Agency Bond 4.500% 15-Apr-2027

Peruvian Nuevo Sol - 6,416,691 (31 December 2016: 3,558,905) 8,950,000 Peruvian Government International Bond 6.950% 12-Aug-2031 8,580,000 Peruvian Government International Bond 8.200% 12-Aug-2026

Sterling - 107,656,978 (31 December 2016: 49,113,360) 776,000 1,025,000 1,525,000 1,624,000 1,828,000

AA Bond Co Ltd 2.875% 31-Jan-2022 AA Bond Co Ltd 4.249% 31-Jul-2020 AA Bond Co Ltd 5.500% 31-Jul-2022 Amigo Luxembourg SA 7.625% 15-Jan-2024 Anglian Water Services Financing Plc 1.625% 10-Aug-2025 1,335,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 1,065,000 Bank of Ireland Group Plc 3.125% 19-Sep-2027 VAR

126

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BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Sterling cont’d. 2,290,000 1,530,000 1,600,000 3,067,000 1,543,000 1,190,000 703,000 2,440,000 2,090,000 1,410,000 2,530,000 321,174 2,600,000 2,812,000 2,500,000 1,868,000 1,995,000 2,000,000 2,050,000 1,886,203 330,000 2,545,000 2,110,000 1,644,000 1,600,000 3,700,000 1,393,683 2,245,000 961,000 1,920,000 4,600,000 1,976,000 2,051,000 1,210,000

US Dollar cont’d.

BP Capital Markets Plc 4.325% 10-Dec-2018 Bunzl Finance Plc 2.250% 11-Jun-2025 BUPA Finance Plc 6.125% Perpetual VAR Cadent Finance Plc 1.125% 22-Sep-2021 Close Brothers Finance Plc 2.750% 19-Oct-2026 Close Brothers Finance Plc 3.875% 27-Jun-2021 Close Brothers Group Plc 4.250% 24-Jan-2027 Coventry Building Society 6.375% Perpetual VAR CPUK Finance Ltd 2.666% 28-Feb-2020 CPUK Finance Ltd 4.250% 28-Aug-2022 Firstgroup Plc 6.125% 18-Jan-2019 General Electric Co 6.440% 15-Nov-2022 Go-Ahead Group Plc 2.500% 06-Jul-2024 Heathrow Finance Plc 3.875% 01-Mar-2027 HSBC Bank Plc 5.375% 04-Nov-2030 VAR Iceland Bondco Plc 4.625% 15-Mar-2025 Investec Plc 6.750% Perpetual VAR John Lewis Plc 8.375% 08-Apr-2019 Lloyds Banking Group Plc 7.000% Perpetual VAR Mitchells & Butlers Finance Plc 6.013% 15-Dec-2028 Moy Park BondCo Plc 6.250% 29-May-2021 Nationwide Building Society 6.875% Perpetual VAR Prudential Plc 1.375% 19-Jan-2018 Santander UK Plc 9.625% 30-Oct-2023 VAR Severn Trent Utilities Finance Plc 6.000% 22-Jan-2018 Southern Gas Networks Plc 5.125% 02-Nov-2018 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040 TP ICAP Plc 5.250% 26-Jan-2024 Tritax Big Box REIT Plc 2.625% 14-Dec-2026 UNITE USAF II Plc 3.374% 30-Jun-2023 United Kingdom Gilt 2.750% 07-Sep-2024 Virgin Media Receivables Financing Notes I DAC 5.500% 15-Sep-2024 Wagamama Finance Plc 4.125% 01-Jul-2022 Yorkshire Building Society 4.125% 20-Nov-2024 VAR

US Dollar - 377,179,676 (31 December 2016: 191,669,574)

Holdings Description

Fair Total value net assets USD %

3,198,944 2,085,132 2,387,051 4,121,104

0.45 0.29 0.34 0.58

2,176,776

0.31

1,737,945 1,015,784

0.25 0.14

3,441,372 2,898,078 1,949,111 3,593,784 491,401 3,505,544 3,779,602 4,138,784 2,388,590 2,783,150 2,938,442

0.49 0.41 0.28 0.51 0.07 0.50 0.53 0.59 0.34 0.39 0.42

2,934,083

0.42

3,062,261 461,624

0.43 0.07

3,620,378 2,854,719 2,405,143

0.51 0.40 0.34

2,167,656

0.31

5,185,524

0.73

2,222,274 3,232,122 1,323,139 2,794,105 6,954,850

0.31 0.46 0.19 0.40 0.98

2,697,587 2,735,710

0.38 0.39

1,717,471

0.24

377,179,676

53.38

3,930,000 Anglo American Capital Plc 144A 9.375% 08-Apr-2019 3,710,000 Anheuser-Busch InBev Finance Inc 1.900% 01-Feb-2019 3,600,000 Aquarius & Investments Plc for Swiss Reinsurance Co Ltd 8.250% Perpetual VAR 3,050,000 Asian Development Bank 1.360% 10-Jul-2019 FRN 3,832,000 AT&T Inc 3.400% 14-Aug-2024 10,300,000 Bank Nederlandse Gemeenten NV 144A 1.250% 25-Jun-2018

4,271,258

0.60

3,693,173

0.52

3,731,674 3,050,334 3,851,384

0.53 0.43 0.54

10,274,137

1.45

2,800,000 Bank Nederlandse Gemeenten NV 1.696% 15-May-2018 FRN 6,860,000 Bank of England Euro Note 1.250% 14-Mar-2019 2,500,000 Best Buy Co Inc 5.500% 15-Mar-2021 3,580,000 Brazilian Government International Bond 4.625% 13-Jan-2028 3,730,000 Brazilian Government International Bond 5.000% 27-Jan-2045 7,000,000 Caisse des Depots et Consignations 1.250% 17-May-2019 1,045,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 617,000 CCO Holdings LLC / CCO Holdings Capital Corp 5.750% 15-Jan-2024 2,580,000 CEMEX Finance LLC 6.000% 01-Apr-2024 753,000 Citigroup Inc 2.445% 07-Jun-2019 FRN 3,950,000 Citigroup Inc 5.500% 13-Sep-2025 3,300,000 Commonwealth Bank of Australia 2.125% 22-Jul-2020 2,800,000 Council Of Europe Development Bank 1.125% 31-May-2018 1,750,000 Daimler Finance North America LLC 1.875% 11-Jan-2018 2,101,000 Deutsche Telekom International Finance BV 1.933% 17-Jan-2020 FRN 6,120,000 Dexia Credit Local SA/New York NY 2.250% 30-Jan-2019 1,018,000 Dollar General Corp 3.250% 15-Apr-2023 2,033,000 Dollar General Corp 4.150% 01-Nov-2025 4,230,000 Dominican Republic International Bond 7.450% 30-Apr-2044 1,599,000 DS Services of America Inc 144A 1 0.000% 01-Sep-2021 3,107,000 eBay Inc 1.857% 01-Aug-2019 FRN 952,000 Ecuador Government International Bond 8.875% 23-Oct-2027 3,700,000 Ecuador Government International Bond 1 0.500% 24-Mar-2020 4,111,000 EMC Corp 1.875% 01-Jun-2018 3,890,000 European Bank for Reconstruction & Development 1.675% 23-Mar-2020 FRN 3,155,000 Export-Import Bank of Korea 1.823% 21-Oct-2019 FRN 6,080,000 Export-Import Bank of Korea 2.242% 25-Jan-2022 FRN 2,000,000 Fiji Government International Bond 6.625% 02-Oct-2020 3,400,000 FMS Wertmanagement AoeR 1.562% 27-Nov-2019 FRN 2,798,000 GMR Hyderabad International Airport Ltd 4.250% 27-Oct-2027 3,923,000 Instituto de Credito Oﬁcial 1.625% 14-Sep-2018 2,900,000 International Bank for Reconstruction & Development 1.693% 11-Feb-2021 FRN 3,300,000 JPMorgan Chase & Co 2.583% 29-Oct-2020 FRN

2,802,387

0.40

6,800,963 2,693,965

0.96 0.38

3,593,425

0.51

3,483,820

0.49

6,918,583

0.98

1,073,737

0.15

635,510 2,737,767 759,410 4,450,874

0.09 0.39 0.11 0.63

3,277,283

0.46

2,793,399

0.40

1,749,935

0.25

2,107,039

0.30

6,126,555 1,032,180 2,152,502

0.87 0.15 0.30

5,065,425

0.72

1,678,960 3,116,032

0.24 0.44

1,050,770

0.15

4,107,000 4,091,477

0.58 0.58

3,888,285

0.55

3,144,278

0.44

6,097,176

0.86

2,046,810

0.29

3,405,299

0.48

2,754,147

0.39

3,911,007

0.55

2,919,890 3,375,134

0.41 0.48

127

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BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

US Dollar cont’d. 3,809,000 KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC 5.000% 01-Jun-2024 2,800,000 Kommunalbanken AS 1.511% 02-May-2019 FRN 5,490,000 Kommunekredit 1.625% 01-Jun-2021 2,242,000 Kommuninvest I Sverige AB 1.498% 28-May-2019 FRN 10,500,000 Kreditanstalt fuer Wiederaufbau 1.000% 07-Sep-2018 9,100,000 Kuwait International Government Bond 2.750% 20-Mar-2022 1,859,000 Link Finance Cayman 2009 Ltd/The 2.875% 21-Jul-2026 2,400,000 Microsoft Corp 2.000% 08-Aug-2023 2,820,000 Nederlandse Financierings Maatschappij voor Ontwikkelingslanden NV 1.503% 21-Oct-2019 FRN 2,380,000 New York Life Global Funding 1.700% 14-Sep-2021 2,050,000 Nova Austral SA 144A 8.250% 26-May-2021 980,000 Packaging Corp of America 2.450% 15-Dec-2020 1,687,000 Packaging Corp of America 3.400% 15-Dec-2027 3,123,000 PepsiCo Inc 2.000% 15-Apr-2021 3,550,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 643,000 Post Holdings Inc 144A 5.500% 01-Mar-2025 2,700,000 Royal Bank of Canada 1.875% 05-Feb-2020 2,400,000 Royal Bank of Canada 2.000% 01-Oct-2018 3,400,000 Russian Foreign Bond - Eurobond 4.250% 23-Jun-2027 1,917,000 Sable International Finance Ltd 144A 6.875% 01-Aug-2022 3,480,000 Shell International Finance BV 1.863% 11-May-2020 FRN 2,020,000 Sigma Alimentos SA de CV 4.125% 02-May-2026 1,192,000 SoftBank Group Corp 6.000% Perpetual VAR 2,617,000 Spectrum Brands Inc 6.625% 15-Nov-2022 2,918,000 Sprint Capital Corp 8.750% 15-Mar-2032 1,499,000 Svensk Exportkredit AB 2.875% 14-Nov-2023 VAR 1,950,000 T-Mobile USA Inc 6.000% 01-Mar-2023 1,553,000 T-Mobile USA Inc 6.000% 15-Apr-2024 6,730,000 Turkey Government International Bond 6.750% 03-Apr-2018 27,972,608 United States Treasury Inﬂation Indexed Bonds 2.375% 15-Jan-2025 9,460,000 United States Treasury Note/Bond 0.750% 31-Jan-2018 10,440,000 United States Treasury Note/Bond 0.750% 31-Mar-2018 22,040,000 United States Treasury Note/Bond 1.500% 15-Aug-2026 34,620,000 United States Treasury Note/Bond 1.625% 15-Aug-2022 23,080,000 United States Treasury Note/Bond 3.500% 15-May-2020

Fair Total value net assets USD %

US Dollar cont’d.

3,937,554 2,803,770 5,374,792

0.56 0.40 0.76

2,241,697

0.32

10,449,532

1.48

9,079,416

1.28

1,804,808 2,329,410

0.26 0.33

995,000 Verizon Communications Inc 2.600% 16-Mar-2022 FRN 5,960,000 Vietnam Government International Bond 6.750% 29-Jan-2020 3,210,000 Vodafone Group Plc 1.500% 19-Feb-2018 2,410,000 Western Digital Corp 144A 7.375% 01-Apr-2023 4,790,000 Westpac Banking Corp 1.375% 30-May-2018 4,005,000 Westpac Banking Corp 2.100% 25-Feb-2021

Total investments in bonds

0.40

2,311,197 2,065,590

0.33 0.29

979,506

0.14

1,691,584 3,087,381

0.24 0.44

3,558,875 667,112 2,677,537 2,401,198

0.50 0.09 0.38 0.34

3,505,726

0.50

2,036,812

0.29

3,513,090

0.50

2,045,250 1,180,140 2,721,680 3,333,815 1,499,937 2,040,187 1,650,062

0.29 0.17 0.38 0.47 0.21 0.29 0.23

6,801,809

0.96

31,807,302

4.50

9,455,989

1.34

10,423,369

1.48

20,464,504

2.90

33,782,231

4.78

23,918,450

3.39

0.14

6,438,522 3,207,649

0.91 0.45

2,605,813 4,781,804 3,951,683

0.37 0.68 0.56

668,811,932

94.66

972,000

0.13

972,000

0.13

Future options - 972,000 (31 December 2016: 201,148) 1,296 U.S. 10 Year Treasury Note Future Put 23-Feb-2018 124.000

2,824,704

1,015,205

Total future options

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - 128,285 (31 December 2016: –) (106) Euro-Bund Short Futures Contracts Exp Mar-2018

(20,551,075)

128,285

0.02

Total open futures contracts

128,285

0.02

Unrealised gain on forward foreign currency contracts - 4,817,662 (see below) (31 December 2016: 4,405,739)

4,817,662

0.68

674,729,879

95.49

Total ﬁnancial assets at fair value through proﬁt or loss

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - (82,142) (31 December 2016: –) (62) UK Long Gilt Short Futures Contracts Exp Mar-2018

Total open futures contracts

(10,494,035)

(82,142)

(0.01)

(82,142)

(0.01)

128

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BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Description Unrealised loss on forward foreign currency contracts - (4,451,456) (see below) (31 December 2016: (503,022))

(0.63)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(4,533,598)

(0.64)

Net current assets

36,310,681

5.15

706,506,962

100.00

The counterparty for future options is UBS AG. The counterparty for futures contracts is UBS AG.

Total assets

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund (4,451,456)

Total net assets

Forward foreign currency contracts

Euro Euro Euro Korean won Norwegian krone

US dollar US dollar US dollar US dollar US dollar

430,726 796,203 917,334 11,478,885,000 41,870,843

Norwegian krone US dollar

45,197,000

Sterling Swedish krona US dollar

282,074 378,533 14-Mar-18 47,669,011 5,702,394 14-Mar-18 8,414,949 160,543,755 14-Mar-18

US dollar US dollar Mexican peso

509,540 947,433 1,087,547 10,737,564 5,064,358

14-Mar-18 14-Mar-18 14-Mar-18 14-Mar-18 14-Mar-18

5,520,207 14-Mar-18

State Street Bank UBS AG State Street Bank State Street Bank Royal Bank ofScotland Royal Bank ofScotland UBS AG State Street Bank State Street Bank

9,047 11,181 16,908 26,680

3,554 3,476 135,347 369,385

USD

628,475

52,897

% of Total Assets 93.92 0.15 0.68 5.25

100.00

US dollar

Australian dollar

20,725,663

US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Canadian dollar Euro Euro Euro Euro Korean won Malaysian ringgit New Zealand dollar

13,381,094 719,154 332,230 93,688,680 407,504 10,500,261 10,306,377 26,748,967

US dollar US dollar US dollar US dollar US dollar US dollar

New Zealand dollar New Zealand dollar Sterling Sterling Sterling Sterling

1,451,608 3,312,162 771,303 645,423 2,046,546 1,148,257

US dollar

Sterling

125,418,886

27,323,135 14-Mar-18 Royal Bank ofScotland 16,940,889 14-Mar-18 State Street Bank 604,935 14-Mar-18 UBS AG 279,918 14-Mar-18 State Street Bank 78,792,487 14-Mar-18 UBS AG 342,382 14-Mar-18 UBS AG 11,478,885,000 14-Mar-18 UBS AG 42,184,000 14-Mar-18 State Street Bank 38,832,352 14-Mar-18 Royal Bank ofScotland 2,080,751 14-Mar-18 State Street Bank 4,744,939 14-Mar-18 UBS AG 575,000 14-Mar-18 UBS AG 480,502 14-Mar-18 State Street Bank 1,521,203 14-Mar-18 State Street Bank 858,133 14-Mar-18 The Bank of New York Mellon 93,395,522 14-Mar-18 UBS AG

(638,094) (147,378) (9,178) (4,787) (1,176,151) (4,718) (263,983) (97,653) (882,950) (28,990) (64,192) (7,410) (5,314) (13,595) (13,898) (1,065,169)

USD (4,423,460) Net USD (3,794,985)

BNY Mellon Global Dynamic Bond Fund CHF W (Acc) (Hedged) Share Class Swiss franc

US dollar

4,026,812

4,078,671 12-Jan-18 The Bank of New York Mellon

52,569

USD

52,569

CHF

51,278

BNY Mellon Global Dynamic Bond Fund EUR G (Acc) (Hedged) Share Class Euro

US dollar

99,947

118,289 12-Jan-18 The Bank of New York Mellon

1,608

USD

1,608

EUR

1,341

129

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BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund EUR H (Hedged) Share Class Euro

US dollar

4,032

Euro

US dollar

8,426

Euro

US dollar

484,284

Euro

US dollar

9,903,372

Euro

US dollar

4,179

Euro

US dollar

13,268

US dollar

Euro

9,718

US dollar

Euro

475,160

US dollar

Euro

11,764

Buy

Sell

Amount (B)

4,770 12-Jan-18 The Bank of New York Mellon 9,977 12-Jan-18 The Bank of New York Mellon 576,014 12-Jan-18 The Bank of New York Mellon 11,720,834 12-Jan-18 The Bank of New York Mellon 4,956 12-Jan-18 The Bank of New York Mellon 15,710 12-Jan-18 The Bank of New York Mellon

US dollar

Euro

119,366

US dollar

Euro

28,430

US dollar

Euro

49,349

US dollar

Euro

13,034

US dollar

Euro

6,512

67 131 4,940 159,373 57

522,033

US dollar

326

Euro

US dollar

900

Euro

US dollar

100,000

Euro

US dollar

75,941,012

Euro

US dollar

5,059,909

Euro

US dollar

43,810

100,000 03-Jan-18 The Bank of New York Mellon 23,925 12-Jan-18 The Bank of New York Mellon 41,609 12-Jan-18 The Bank of New York Mellon 11,007 12-Jan-18 The Bank of New York Mellon 5,489 12-Jan-18 The Bank of New York Mellon

(527) (272) (566) (171) (73)

USD

(1,609)

USD

164,775

EUR

(1,342)

EUR

137,444

8,215 12-Jan-18 The Bank of New York Mellon 400,636 12-Jan-18 The Bank of New York Mellon 9,994 12-Jan-18 The Bank of New York Mellon

Net USD 1,317,844 Net EUR 1,099,256

(136) (5,448) (225)

BNY Mellon Global Dynamic Bond Fund EUR I (Inc) (Hedged) Share Class Euro

US dollar

109,855

USD

(5,809)

Euro

US dollar

13,972

EUR

(4,845)

Euro

US dollar

131,400

Net USD

158,966

Euro

US dollar

7,700,433

132,599

Euro

US dollar

4,934

617,837 12-Jan-18 The Bank of New York Mellon

USD

8,401

EUR

7,008

386 12-Jan-18 The Bank of New York Mellon 1,068 12-Jan-18 The Bank of New York Mellon 119,448 12-Jan-18 The Bank of New York Mellon 89,877,669 12-Jan-18 The Bank of New York Mellon 5,973,705 12-Jan-18 The Bank of New York Mellon 51,959 12-Jan-18 The Bank of New York Mellon

130,073 12-Jan-18 The Bank of New York Mellon 16,603 12-Jan-18 The Bank of New York Mellon 154,666 12-Jan-18 The Bank of New York Mellon 9,113,613 12-Jan-18 The Bank of New York Mellon 5,825 12-Jan-18 The Bank of New York Mellon

1,711 159 2,963 123,921 94

USD

128,848

EUR

107,476

8,401

BNY Mellon Global Dynamic Bond Fund EUR I (Hedged) Share Class Euro

Unrealised Gain/(Loss)

207

BNY Mellon Global Dynamic Bond Fund EUR H (Inc) (Hedged) Share Class US dollar

Settle Date Counterparty

BNY Mellon Global Dynamic Bond Fund EUR I (Hedged) Share Class cont’d.

Net EUR

Euro

Amount (S)

BNY Mellon Global Dynamic Bond Fund EUR W (Hedged) Share Class Euro

US dollar

97,301

Euro

US dollar

22,088

Euro

US dollar

43,701

Euro

US dollar

55,765

Euro

US dollar

25,792

Euro

US dollar

17,327

Euro

US dollar

50,237

Euro

US dollar

37,364

Euro

US dollar

81,005

Euro

US dollar

65,273

Euro

US dollar

148,874,290

5 12 514 1,222,102 96,224 596

USD 1,319,453 EUR 1,100,598

115,869 02-Jan-18 The Bank of New York Mellon 26,366 03-Jan-18 The Bank of New York Mellon 51,978 12-Jan-18 The Bank of New York Mellon 66,158 12-Jan-18 The Bank of New York Mellon 30,648 12-Jan-18 The Bank of New York Mellon 20,647 12-Jan-18 The Bank of New York Mellon 60,006 12-Jan-18 The Bank of New York Mellon 44,242 12-Jan-18 The Bank of New York Mellon 95,635 12-Jan-18 The Bank of New York Mellon 77,159 12-Jan-18 The Bank of New York Mellon 176,195,627 12-Jan-18 The Bank of New York Mellon

780 116 446 738 293 138 258 580 1,540 1,143 2,395,802

130

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BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund EUR W (Hedged) Share Class cont’d. Euro

US dollar

557,577

Euro

US dollar

88,544

Euro

US dollar

157,608

Euro

US dollar

1,308,328

656,302 12-Jan-18 The Bank of New York Mellon 104,750 12-Jan-18 The Bank of New York Mellon 186,614 12-Jan-18 The Bank of New York Mellon 1,551,696 12-Jan-18 The Bank of New York Mellon

20,633

US dollar

Euro

59,965

US dollar

Euro

82,080

US dollar

Euro

204,485

US dollar

Euro

115,950

US dollar

Euro

26,384

US dollar

Euro

33,362

US dollar

Euro

153,305

US dollar

Euro

85,854

US dollar

Euro

164,461

US dollar

Euro

247,889

US dollar

Euro

42,755

US dollar US dollar

Euro Euro

253,317 125,936

Amount (B)

17,327 02-Jan-18 The Bank of New York Mellon 50,237 03-Jan-18 The Bank of New York Mellon 69,076 12-Jan-18 The Bank of New York Mellon 171,921 12-Jan-18 The Bank of New York Mellon 97,301 12-Jan-18 The Bank of New York Mellon 22,088 12-Jan-18 The Bank of New York Mellon 28,222 12-Jan-18 The Bank of New York Mellon 129,222 12-Jan-18 The Bank of New York Mellon 72,389 12-Jan-18 The Bank of New York Mellon 139,722 12-Jan-18 The Bank of New York Mellon 209,969 12-Jan-18 The Bank of New York Mellon 36,108 12-Jan-18 The Bank of New York Mellon 214,126 12-Jan-18 The Bank of New York Mellon 106,361 12-Jan-18 The Bank of New York Mellon

Sterling

US dollar

Sterling

US dollar

11,269

Sterling

US dollar

24,005

Sterling

US dollar

125,112

Sterling

US dollar

68,663

Sterling

US dollar

59,540

Sterling

US dollar

10,000

Sterling

US dollar

5,364,961

Sterling

US dollar

7,439

Sterling

US dollar

4,025

US dollar

Sterling

12,574 1,468 2,455 17,791

EUR 2,032,049 Euro

Sell

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund Sterling W (Acc) (Hedged) Share Class

USD 2,436,122

US dollar

Buy

(139) (265) (784) 60

(1,754)

60 02-Jan-18 The Bank of New York Mellon 15,111 12-Jan-18 The Bank of New York Mellon 32,200 12-Jan-18 The Bank of New York Mellon 167,629 12-Jan-18 The Bank of New York Mellon 92,274 12-Jan-18 The Bank of New York Mellon 79,768 12-Jan-18 The Bank of New York Mellon 13,393 12-Jan-18 The Bank of New York Mellon 7,178,873 12-Jan-18 The Bank of New York Mellon 9,991 12-Jan-18 The Bank of New York Mellon 5,418 12-Jan-18 The Bank of New York Mellon 45 12-Jan-18 The Bank of New York Mellon

– 120 245 1,475 533 706 123 72,514 64 22 –

(774)

USD

75,802

(113)

GBP

56,102

(494) US dollar

Sterling

92,245

US dollar

Sterling

18,123

(1,711) (984)

68,663 03-Jan-18 The Bank of New York Mellon 13,494 12-Jan-18 The Bank of New York Mellon

(532) (115)

(3,151)

USD

(647)

(3,993)

GBP

(479)

Net USD

75,155

Net GBP

55,623

(561) (3,551) (1,657)

USD

(19,931)

EUR

(16,625)

Net USD 2,416,191 Net EUR 2,015,424

BNY Mellon Global Dynamic Bond Fund EUR W (Inc) (Hedged) Share Class Euro

US dollar

99,956

118,300 12-Jan-18 The Bank of New York Mellon

1,609

USD

1,609

EUR

1,342

131

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BNY MELLON GLOBAL EMERGING MARKETS FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities

Equities cont’d. Chile - 3,915,288 (31 December 2016: 700,040)

66,299 Sociedad Quimica y Minera de Chile SA ADR

China - 19,827,905 (31 December 2016: 6,079,315) 1,228,000 6,469 16,725 11,044 31,582 2,702,000 20,843 58,310 18,816 32,285 53,191 8,101

3,915,288

4.78

3,915,288

4.78

19,827,905

24.20

3SBio Inc 144A 51job Inc ADR Alibaba Group Holding Ltd ADR Baidu Inc ADR China Biologic Products Holdings Inc China Harmony New Energy Auto Holding Ltd Ctrip.com International Ltd ADR Hollysys Automation Technologies Ltd JD.com Inc ADR TAL Education Group ADR Tencent Holdings Ltd Yum China Holdings Inc

2,413,420 397,358 2,881,968 2,592,082 2,498,136 1,968,894 932,620 1,326,553 783,216 940,301 2,763,849 329,508

2.95 0.48 3.52 3.16 3.05 2.40 1.14 1.62 0.96 1.15 3.37 0.40

Georgia - 563,525 (31 December 2016: 278,549)

563,525

0.69

268,380 295,145

0.33 0.36

3,542,876

4.32

3,542,876

4.32

23,857,837

29.12

668,415 1,454,858 433,648 1,398,126 1,251,901 3,348,632 2,426,975 497,227 1,316,213 3,477,650 1,292,482 700,086 746,357 4,845,267

0.81 1.78 0.53 1.71 1.53 4.09 2.96 0.61 1.61 4.24 1.58 0.85 0.91 5.91

5,567 BGEO Group Plc 12,612 TBC Bank Group Plc

Hong Kong - 3,542,876 (31 December 2016: 1,985,910) 415,600 AIA Group Ltd

India - 23,857,837 (31 December 2016: 9,026,556) 50,684 312,844 46,507 89,288 58,598 178,895 588,276 18,043 149,107 22,795 58,266 148,912 55,498 738,358

Amara Raja Batteries Ltd Edelweiss Financial Services Ltd Glenmark Pharmaceuticals Ltd Godrej Consumer Products Ltd Hindustan Unilever Ltd Indiabulls Housing Finance Ltd ITC Ltd Jubilant Foodworks Ltd LIC Housing Finance Ltd Maruti Suzuki India Ltd PVR Ltd Reliance Nippon Life Asset Management Ltd 144A Titan Co Ltd Vakrangee Ltd

Indonesia - 382,191 (31 December 2016: 269,039) 2,095,100 Surya Citra Media Tbk PT

Mexico - 3,042,603 (31 December 2016: 1,730,484)

382,191

0.47

382,191

0.47

3,042,603

3.71

1,032,553 886,540 1,123,510

1.26 1.08 1.37

Philippines - 2,907,785 (31 December 2016: 2,092,336)

2,907,785

3.55

724,119 660,582 992,542 530,542

0.88 0.81 1.21 0.65

GT Capital Holdings Inc Metropolitan Bank & Trust Co Security Bank Corp Universal Robina Corp

South Africa - 8,377,251 (31 December 2016: 3,522,379) 47,974 48,206 14,315 35,045

British American Tobacco Plc Discovery Ltd Naspers Ltd Net 1 UEPS Technologies Inc

South Korea - 7,131,257 (31 December 2016: 1,110,184) 992 900 670 21,559

LG Household & Health Care Ltd Samsung Biologics Co Ltd 144A Samsung Electronics Co Ltd Samsung SDI Co Ltd

Taiwan - 3,498,874 (31 December 2016: 1,895,630) 12,000 Catcher Technology Co Ltd 437,000 Taiwan Semiconductor Manufacturing Co Ltd

Thailand - 489,869 (31 December 2016: –) 765,700 Taokaenoi Food & Marketing PCL

United Kingdom - 971,727 (31 December 2016: 311,575) 17,508 Unilever Plc

United States of America - 1,227,373 (31 December 2016: –) 23,738 Applied Materials Inc

Total investments in equities Unrealised gain on forward foreign currency contracts - 14,715 (see below) (31 December 2016: 186)

Total ﬁnancial assets at fair value through proﬁt or loss Unrealised loss on forward foreign currency contracts - (137) (see below) (31 December 2016: (166))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets

112,585 Fomento Economico Mexicano SAB de CV 1,079,075 Gentera SAB de CV 221,000 Grupo Aeroportuario del Centro Norte SAB de CV

28,000 325,370 196,774 173,670

Holdings Description

Fair Total value net assets USD %

Total net assets

Total assets

8,377,251

10.23

3,231,717 728,690 4,012,950 403,894

3.95 0.89 4.90 0.49

7,131,257

8.71

1,101,296 311,685 1,594,970 4,123,306

1.35 0.38 1.95 5.03

3,498,874

4.27

132,365 3,366,509

0.16 4.11

489,869

0.60

489,869

0.60

971,727

1.19

971,727

1.19

1,227,373

1.50

1,227,373

1.50

79,736,361

97.34

14,715

0.02

79,751,076

97.36

(137)

(0.00)

(137)

(0.00)

2,167,722

2.64

81,918,661

100.00

% of Total Assets 96.59 0.02 3.39

100.00

132

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BNY MELLON GLOBAL EMERGING MARKETS FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Emerging Markets Fund South African rand US dollar

777,891

670,213

US dollar

Euro

35,822

Philippine peso

US dollar

214,793

Philippine peso

US dollar

264,804

Philippine peso

US dollar

295,511

Philippine peso

US dollar

400,955

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Emerging Markets Fund EUR I (Hedged) Share Class

63,052 02-Jan-18 Royal Bank ofScotland

USD Hong Kong dollar US dollar

Buy

85,757 02-Jan-18 Royal Bank ofScotland 29,988 02-Jan-18 JPMorgan Chase Bank 4,304 04-Jan-18 The Bank of New York Mellon 5,306 04-Jan-18 The Bank of New York Mellon 5,921 04-Jan-18 The Bank of New York Mellon 8,034 04-Jan-18 The Bank of New York Mellon

140

Euro

US dollar

6,447

140

Euro

US dollar

256,128

(2) (128)

7,671 12-Jan-18 The Bank of New York Mellon 303,133 12-Jan-18 The Bank of New York Mellon

62 4,122

USD

4,184

EUR

3,490

– – (1) (1)

USD

(132)

Net USD

BNY Mellon Global Emerging Markets Fund EUR G (Acc) (Hedged) Share Class Euro

US dollar

12,297

Euro

US dollar

489,212

14,632 12-Jan-18 The Bank of New York Mellon 578,992 12-Jan-18 The Bank of New York Mellon

119 7,873

USD

7,992

EUR

6,666

BNY Mellon Global Emerging Markets Fund EUR H (Hedged) Share Class Euro

US dollar

3,663

Euro

US dollar

1,000

Euro

US dollar

6,988

Euro

US dollar

125,388

Euro

US dollar

14,926

US dollar

Euro

1,194

4,358 12-Jan-18 The Bank of New York Mellon 1,194 12-Jan-18 The Bank of New York Mellon 8,274 12-Jan-18 The Bank of New York Mellon 148,400 12-Jan-18 The Bank of New York Mellon 17,673 12-Jan-18 The Bank of New York Mellon

35 5 108 2,018 233

USD

2,399

EUR

2,001

1,000 03-Jan-18 The Bank of New York Mellon

(5)

USD

(5)

EUR

(4)

Net USD

2,394

Net EUR

1,997

133

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BNY MELLON GLOBAL EQUITY FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities

Equities cont’d. Brazil - 1,023,353 (31 December 2016: 793,686)

391,530 International Meal Co Alimentacao SA

Canada - 8,621,984 (31 December 2016: 5,633,245) 54,848 Intact Financial Corp 109,794 Suncor Energy Inc

France - 10,634,872 (31 December 2016: 9,585,019) 15,295 L’Oreal SA 268,990 Vivendi SA

Germany - 16,938,636 (31 December 2016: 8,497,220) 94,334 Deutsche Post AG 219,680 Inﬁneon Technologies AG 56,638 SAP SE

Hong Kong - 8,528,137 (31 December 2016: 4,458,479) 1,000,400 AIA Group Ltd

India - 3,684,660 (31 December 2016: 935,351) 51,425 Apollo Hospitals Enterprise Ltd 144,916 Indiabulls Housing Finance Ltd

Ireland - 3,924,054 (31 December 2016: –) 602,075 AIB Group Plc

Japan - 26,089,605 (31 December 2016: 15,986,071) 48,000 210,400 87,900 136,900 51,500 112,000

Holdings Description

Fair Total value net assets USD %

Ebara Corp Japan Tobacco Inc Seven & i Holdings Co Ltd Sony Corp Sugi Holdings Co Ltd Suntory Beverage & Food Ltd

Netherlands - 16,581,824 (31 December 2016: 7,846,311) 350,762 RELX NV 162,578 Wolters Kluwer NV

Norway - 2,524,314 (31 December 2016: 4,662,616) 135,582 DNB ASA

South Korea - 3,926,120 (31 December 2016: –) 20,528 Samsung SDI Co Ltd

Switzerland - 12,231,999 (31 December 2016: 8,231,016) 71,754 Novartis AG 24,358 Roche Holding AG

1,023,353

0.33

1,023,353

0.33

8,621,984

2.75

4,581,897 4,040,087

1.46 1.29

10,634,872

3.40

3,393,612 7,241,260

1.09 2.31

16,938,636

5.41

4,507,861 6,081,061 6,349,714

1.44 1.94 2.03

8,528,137

2.72

8,528,137

2.72

3,684,660

1.18

972,061 2,712,599

0.31 0.87

3,924,054

1.25

3,924,054

1.25

26,089,605

8.33

1,832,289 6,787,067 3,659,277 6,187,055 2,631,871 4,992,046

0.58 2.17 1.17 1.98 0.84 1.59

16,581,824

5.29

8,071,711 8,510,113

2.58 2.71

2,524,314

0.81

2,524,314

0.81

Thailand - 1,765,227 (31 December 2016: –)

1,765,227

0.56

1,765,227

0.56

41,868,401

13.37

3,533,668 4,755,873 4,964,423 7,463,454 5,646,590 4,577,987 6,322,989 4,603,417

1.13 1.52 1.59 2.38 1.80 1.46 2.02 1.47

United States of America - 140,706,017 (31 December 2016: 139,696,523) 140,706,017

44.92

264,500 Bangkok Bank PCL

United Kingdom - 41,868,401 (31 December 2016: 31,370,434) 92,840 70,983 135,793 103,587 578,622 1,222,079 112,098 1,458,335

94,058 40,824 12,565 9,654 98,039 3,891 41,201 63,031 110,139 27,899 164,721 147,254 67,525 24,378 53,131 66,945 64,603 29,184 56,893 55,185 193,540 61,355 69,574 45,455 58,296 206,232

Associated British Foods Plc British American Tobacco Plc Diageo Plc Ferguson Plc Informa Plc Royal Bank of Scotland Group Plc Unilever NV Vodafone Group Plc

Abbott Laboratories Accenture Plc Align Technology Inc Alphabet Inc - Class A Altria Group Inc Amazon.com Inc Apple Inc Blue Buffalo Pet Products Inc CA Inc Cerner Corp Cisco Systems Inc Citigroup Inc ConocoPhillips Costco Wholesale Corp Dollar General Corp Eversource Energy Gilead Sciences Inc Intuit Inc Medtronic Plc Merck & Co Inc Microsoft Corp Principal Financial Group Inc Trimble Inc United Technologies Corp Walgreens Boots Alliance Inc Western Union Co/The

Total investments in equities Unrealised gain on forward foreign currency contracts - 9,409 (see below) (31 December 2016: 288,439)

Total ﬁnancial assets at fair value through proﬁt or loss 3,926,120

1.25

3,926,120

1.25

12,231,999

3.91

6,077,886 6,154,113

1.94 1.97

5,403,162 6,267,505 2,845,596 10,192,983 6,987,730 4,614,376 7,048,049 2,060,483 3,689,106 1,895,040 6,355,760 11,055,094 3,727,042 4,549,422 4,918,602 4,213,853 4,682,102 4,626,977 4,626,823 3,123,195 16,587,346 4,379,827 2,851,490 5,823,467 4,251,236 3,929,751

1.72 2.00 0.91 3.25 2.23 1.47 2.25 0.66 1.18 0.60 2.03 3.53 1.19 1.45 1.57 1.35 1.49 1.48 1.48 1.00 5.30 1.40 0.91 1.86 1.36 1.25

299,049,203

95.48

9,409

0.00

299,058,612

95.48

134

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BNY MELLON GLOBAL EQUITY FUND

Portfolio of investments – as at 31December2017

Description Unrealised loss on forward foreign currency contracts - (60) (see below) (31 December 2016: (303,083))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Total assets

Fair Total value net assets USD %

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Equity Fund (60)

(0.00)

(60)

(0.00)

14,154,039

4.52

313,212,591

100.00

% of Total Assets

US dollar

Euro

167

140 02-Jan-18 JPMorgan Chase Bank

USD

(1)

BNY Mellon Global Equity Fund EUR I (Hedged) Share Class Euro

US dollar

141

Euro

US dollar

584,354

Euro

US dollar

231

95.34 0.00 4.66

168 02-Jan-18 The Bank of New York Mellon 691,594 12-Jan-18 The Bank of New York Mellon 274 12-Jan-18 The Bank of New York Mellon

1 9,404 4

USD

9,409

EUR

7,848

100.00 US dollar

Euro

4,121

US dollar

Euro

169

US dollar

Euro

318

US dollar

Euro

548

3,474 12-Jan-18 The Bank of New York Mellon 141 12-Jan-18 The Bank of New York Mellon 269 12-Jan-18 The Bank of New York Mellon 463 12-Jan-18 The Bank of New York Mellon

(46) (1) (5) (7)

USD

(59)

EUR

(49)

Net USD

9,350

Net EUR

7,799

135

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BNY MELLON GLOBAL EQUITY INCOME FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities Australia - 11,064,784 (31 December 2016: 8,244,326) 1,449,727 Dexus

France - 53,690,329 (31 December 2016: 23,758,633) 237,582 Sanoﬁ 948,330 Television Francaise 1 346,890 TOTAL SA

Hong Kong - 15,234,687 (31 December 2016: 8,730,874) 1,644,000 Link REIT

India - 5,138,328 (31 December 2016: –) 317,671 Infosys Ltd ADR

Israel - 15,428,247 (31 December 2016: –) 2,093,700 Bank Hapoalim BM

Italy - 10,011,533 (31 December 2016: 6,092,758)

11,064,784

1.10

11,064,784

1.10

53,690,329

5.36

20,487,480 13,978,256 19,224,593

2.04 1.40 1.92

15,234,687

1.52

15,234,687

1.52

5,138,328

0.51

5,138,328

0.51

15,428,247

1.54

15,428,247

1.54

10,011,533

1.00

10,011,533

1.00

17,087,021

1.70

17,087,021

1.70

62,330,345

6.22

8,508,285 30,684,869 23,137,191

0.85 3.06 2.31

3,735,682

0.37

3,735,682

0.37

21,219,862

2.12

21,219,862

2.12

Republic of Korea - 8,577,619 (31 December 2016: 6,086,204)

8,577,619

0.86

1,113,738 Macquarie Korea Infrastructure Fund

8,577,619

0.86

314,833 Atlantia SpA

Japan - 17,087,021 (31 December 2016: 16,899,634) 529,700 Japan Tobacco Inc

Netherlands - 62,330,345 (31 December 2016: 35,796,273) 387,340 Koninklijke Ahold Delhaize NV 1,333,433 RELX NV 694,226 Royal Dutch Shell Plc

New Zealand - 3,735,682 (31 December 2016: 2,819,881) 1,446,971 Spark New Zealand Ltd

Norway - 21,219,862 (31 December 2016: 14,856,642) 2,002,642 Orkla ASA

Sweden - 21,521,702 (31 December 2016: –) 1,038,563 Hennes & Mauritz AB

Holdings Description

Equities cont’d. Switzerland - 91,085,906 (31 December 2016: 76,654,846) 207,633 339,829 87,217 74,077

91,085,906

9.08

17,779,021 28,785,044 22,035,604 22,486,237

1.77 2.87 2.20 2.24

194,743,524

19.42

8,393,157 16,582,540 18,934,115 14,499,447 34,408,369 10,406,906 24,617,336 23,575,822 28,276,157 15,049,675

0.84 1.65 1.89 1.45 3.43 1.04 2.45 2.35 2.82 1.50

United States of America - 446,325,521 (31 December 2016: 321,444,699) 446,325,521

44.52

Nestle SA Novartis AG Roche Holding AG Zurich Insurance Group AG

United Kingdom - 194,743,524 (31 December 2016: 150,264,313) 1,085,515 249,118 282,598 7,841,568 941,180 586,615 2,522,608 2,333,494 509,463 4,767,647

1,058,354 1,238,637 362,400 1,143,420 205,379 277,193 352,683 46,555 348,873 574,210 153,984 319,105 508,529 251,908 208,891 181,402 212,791 343,068 213,246 1,036,051

BAE Systems Plc British American Tobacco Plc ADR British American Tobacco Plc Centrica Plc Diageo Plc GlaxoSmithKline Plc Informa Plc UBM Plc Unilever Plc Vodafone Group Plc

CA Inc Cisco Systems Inc CMS Energy Corp Coty Inc Emerson Electric Co Eversource Energy Gilead Sciences Inc Kraft Heinz Co/The Mattel Inc Maxim Integrated Products Inc McDonald’s Corp Merck & Co Inc Microsoft Corp Paychex Inc Philip Morris International Inc Principal Financial Group Inc Procter & Gamble Co/The Ralph Lauren Corp Verizon Communications Inc Western Union Co/The

Total investments in equities

21,521,702

2.15

21,521,702

2.15

Fair Total value net assets USD %

Unrealised gain on forward foreign currency contracts - 4,202,204 (see below) (31 December 2016: 326,694)

Total ﬁnancial assets at fair value through proﬁt or loss

35,449,567 47,792,809 17,175,948 22,942,722 14,371,396 17,447,913 25,560,700 3,627,333 5,349,967 30,332,643 26,649,241 18,059,748 43,583,478 17,214,133 21,892,821 12,949,382 19,588,476 35,200,492 11,394,800 19,741,952

3.54 4.77 1.71 2.29 1.43 1.74 2.55 0.36 0.53 3.03 2.66 1.80 4.35 1.72 2.18 1.29 1.95 3.51 1.14 1.97

977,195,090

97.47

4,202,204

0.42

981,397,294

97.89

136

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BNY MELLON GLOBAL EQUITY INCOME FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Description Unrealised loss on forward foreign currency contracts - (4,105,146) (see below) (31 December 2016: (13,160))

(0.41)

(4,105,146)

(0.41)

Net current assets

25,297,213

2.52

1,002,589,361

100.00

Total assets

Buy Holdings Description Sell

Amount (B)

Amount (S)

Fair Total value net assets Settle Unrealised % Date Counterparty Gain/(Loss)

BNY Mellon Global Equity Income Fund (4,105,146)

Total ﬁnancial liabilities at fair value through proﬁt or loss

Total net assets

Forward foreign currency contracts

Euro

US dollar US dollar

US dollar

Sterling Sterling

4,305,768

14,915 387,265

% of Total Assets 96.42 0.41 3.17

100.00

5,143,542 02-Jan-18 JPMorgan Chase Bank

18,430

USD

18,430

11,040 02-Jan-18 UBS AG 288,000 02-Jan-18 State Street Bank

(2) (1,866)

USD

(1,868)

Net USD

16,562

BNY Mellon Global Equity Income Fund EUR H (Hedged) Share Class Euro

US dollar

13,328

Euro

US dollar

40,000

Euro

US dollar

6,287,855

Euro

US dollar

11,732

US dollar

Euro

6,636

US dollar

Euro

1,181

15,781 12-Jan-18 The Bank of New York Mellon 47,321 12-Jan-18 The Bank of New York Mellon 7,441,799 12-Jan-18 The Bank of New York Mellon 13,915 12-Jan-18 The Bank of New York Mellon

208 663 101,189 159

USD

102,219

EUR

85,264

5,579 12-Jan-18 The Bank of New York Mellon 1,004 12-Jan-18 The Bank of New York Mellon

(57) (23)

USD

(80)

EUR

(67)

Net USD

102,139

Net EUR

85,197

BNY Mellon Global Equity Income Fund EUR H (Inc) (Hedged) Share Class Euro

US dollar

69,225

Euro

US dollar

45,975

Euro

US dollar

38,588

Euro

US dollar

4,465,949

Euro

US dollar

24,225

82,337 12-Jan-18 The Bank of New York Mellon 54,916 12-Jan-18 The Bank of New York Mellon 45,779 12-Jan-18 The Bank of New York Mellon 5,285,537 12-Jan-18 The Bank of New York Mellon 28,600 12-Jan-18 The Bank of New York Mellon

706 236 511 71,869 461

USD

73,783

EUR

61,545

137

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BNY MELLON GLOBAL EQUITY INCOME FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Equity Income Fund EUR H (Inc) (Hedged) Share Class cont’d. US dollar

Euro

54,878

45,975 03-Jan-18 The Bank of New York Mellon

(242)

USD

(242)

EUR

(202)

Net USD

73,541

Net EUR

61,343

BNY Mellon Global Equity Income Fund EUR I (Hedged) Share Class Euro

US dollar

Euro

US dollar

Euro

US dollar

149

177 02-Jan-18 The Bank of New York Mellon 223,451,198 264,458,852 12-Jan-18 The Bank of New York Mellon 10,801 12,768 12-Jan-18 The Bank of New York Mellon

1 3,595,952 189

USD 3,596,142 EUR 2,999,659 US dollar

Euro

30,023

US dollar

Euro

3,352

US dollar

Euro

177

US dollar

Euro

28,604

US dollar

Euro

250,714,238

US dollar

Euro

140

US dollar

Euro

5,786

US dollar

Euro

290,532

25,242 12-Jan-18 The Bank of New York Mellon 2,825 12-Jan-18 The Bank of New York Mellon 149 12-Jan-18 The Bank of New York Mellon 24,072 12-Jan-18 The Bank of New York Mellon 212,412,142 12-Jan-18 The Bank of New York Mellon 119 12-Jan-18 The Bank of New York Mellon 4,887 12-Jan-18 The Bank of New York Mellon 245,797 12-Jan-18 The Bank of New York Mellon

(258) (37) (1) (273) (4,097,979) (2) (76) (4,330)

USD (4,102,956) EUR (3,422,409) Net USD (506,814) Net EUR (422,750)

BNY Mellon Global Equity Income Fund EUR I (Inc) (Hedged) Share Class Euro

US dollar

25,578,537

30,272,697 12-Jan-18 The Bank of New York Mellon

411,630

USD

411,630

EUR

343,354

138

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BNY MELLON GLOBAL HIGH YIELD BOND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes Ireland - 1,067,426 (31 December 2016: –) 10,282 iShares USD High Yield Corp Bond UCITS ETF

Total investments in collective investment schemes

Holdings Description

Bonds cont’d. 1,067,426

1.02

1,067,426

1.02

1,067,426

1.02

Italy - 569,088 (31 December 2016: 462,946)

569,088

0.54

569,088

0.54

1,304,501

1.24

404,568

0.38

442,575 457,358

0.42 0.44

8,608,787

8.20

323,950 384,300 200,074 464,669 413,283

0.31 0.37 0.19 0.44 0.39

244,800

0.23

256,828 435,278 597,525 436,606 927,037

0.25 0.41 0.57 0.42 0.88

361,567

0.34

451,562 334,467 241,043

0.43 0.32 0.23

609,464

0.58

415,000

0.40

411,750

0.39

294,325 540,697

0.28 0.52

264,562

0.25

1,459,117

1.39

443,625 593,542 421,950

0.42 0.57 0.40

Spain - 392,653 (31 December 2016: 376,248)

392,653

0.37

330,000 Haya Finance 2017 SA 5.250% 15-Nov-2022

392,653

0.37

1,524,663

1.45

223,634

0.21

530,000 Telecom Italia SpA/Milano 144A 5.303% 30-May-2024

Jersey - 1,304,501 (31 December 2016: 2,042,121)

Bonds Bermuda - 1,506,170 (31 December 2016: 2,459,844) 230,000 495,000 415,000 325,000

Aircastle Ltd 5.000% 01-Apr-2023 Aircastle Ltd 5.500% 15-Feb-2022 Digicel Group Ltd 144A 8.250% 30-Sep-2020 Digicel Ltd 144A 6.750% 01-Mar-2023

Canada - 6,736,570 (31 December 2016: 5,349,932) 390,000 ATS Automation Tooling Systems Inc 144A 6.500% 15-Jun-2023 285,000 Bombardier Inc 144A 7.500% 15-Mar-2025 415,000 Brookﬁeld Residential Properties Inc 144A 6.375% 15-May-2025 625,000 First Quantum Minerals Ltd 144A 7.250% 01-Apr-2023 265,000 Hudbay Minerals Inc 144A 7.250% 15-Jan-2023 785,000 Hudbay Minerals Inc 144A 7.625% 15-Jan-2025 505,000 Mattamy Group Corp 144A 6.875% 15-Dec-2023 320,000 Precision Drilling Corp 7.750% 15-Dec-2023 330,000 Teck Resources Ltd 6.000% 15-Aug-2040 420,000 Teck Resources Ltd 6.250% 15-Jul-2041 605,000 Trinidad Drilling Ltd 144A 6.625% 15-Feb-2025 105,000 Valeant Pharmaceuticals International Inc 144A 5.500% 01-Nov-2025 345,000 Valeant Pharmaceuticals International Inc 144A 5.875% 15-May-2023 500,000 Valeant Pharmaceuticals International Inc 144A 6.125% 15-Apr-2025 250,000 Valeant Pharmaceuticals International Inc 144A 7.000% 15-Mar-2024 145,000 Valeant Pharmaceuticals International Inc 144A 7.500% 15-Jul-2021 165,000 Valeant Pharmaceuticals International Inc 144A 9.000% 15-Dec-2025

Cayman Islands - 966,075 (31 December 2016: 2,248,121) 720,000 Noble Holding International Ltd 7.750% 15-Jan-2024 345,000 Park Aerospace Holdings Ltd 144A 5.500% 15-Feb-2024

France - 1,253,509 (31 December 2016: 4,479,876) 575,000 SFR Group SA 144A 6.250% 15-May-2024 330,000 SFR Group SA 144A 7.375% 01-May-2026 260,000 WFS Global Holding SAS 9.500% 15-Jul-2022

Fair Total value net assets USD %

1,506,170

1.44

242,650 532,744 409,530 321,246

0.23 0.51 0.39 0.31

6,736,570

6.41

409,500 288,648

0.39 0.27

441,975

0.42

667,187 282,225 863,500 536,563 338,000 368,775 483,000 577,775

0.64 0.27 0.82 0.51 0.32 0.35 0.46 0.55

107,604

0.10

321,609

0.31

460,000 268,750 148,625

0.44 0.26 0.14

172,834

0.16

966,075

0.92

622,800

0.59

343,275

0.33

1,253,509

1.19

577,875 342,055 333,579

0.55 0.32 0.32

Germany - 185,916 (31 December 2016: 502,155)

185,916

0.18

155,000 Platin 1426 GmbH 144A 5.375% 15-Jun-2023

185,916

0.18

295,000 AA Bond Co Ltd 5.500% 31-Jul-2022 420,000 Aston Martin Capital Holdings Ltd 144A 6.500% 15-Apr-2022 310,500 TVL Finance Plc 8.500% 15-May-2023

Luxembourg - 8,608,787 (31 December 2016: 10,129,067) 310,000 360,000 175,000 455,000 350,000 255,000 260,000 310,000 465,000 340,000 885,000 255,000 425,000 230,000 170,000 475,000 400,000 450,000 305,000 440,000 255,000

Altice Financing SA 144A 6.625% 15-Feb-2023 Altice Financing SA 144A 7.500% 15-May-2026 Altice Finco SA 4.750% 15-Jan-2028 Altice Finco SA 144A 7.625% 15-Feb-2025 Altice Luxembourg SA 6.250% 15-Feb-2025 Altice Luxembourg SA 144A 7.625% 15-Feb-2025 Altice Luxembourg SA 144A 7.750% 15-May-2022 Amigo Luxembourg SA 7.625% 15-Jan-2024 ArcelorMittal 7.500% 15-Oct-2039 ARD Finance SA 6.625% 15-Sep-2023 ARD Finance SA 7.125% 15-Sep-2023 Cabot Financial Luxembourg SA 7.500% 01-Oct-2023 Consolidated Energy Finance SA 144A 6.875% 15-Jun-2025 Garfunkelux Holdco 2 SA 11.000% 01-Nov-2023 Garfunkelux Holdco 3 SA 8.500% 01-Nov-2022 Horizon Parent Holdings Sarl 8.250% 15-Feb-2022 INEOS Group Holdings SA 144A 5.625% 01-Aug-2024 Intelsat Jackson Holdings SA 7.500% 01-Apr-2021 Intelsat Jackson Holdings SA 144A 9.750% 15-Jul-2025 Kleopatra Holdings 1 SCA 8.500% 30-Jun-2023 Trinseo Materials Operating SCA / Trinseo Materials Finance Inc 144A 5.375% 01-Sep-2025

Netherlands - 1,459,117 (31 December 2016: 2,955,664) 420,000 Constellium NV 144A 6.625% 01-Mar-2025 475,000 United Group BV 4.875% 01-Jul-2024 435,000 UPC Holding BV 144A 5.500% 15-Jan-2028

United Kingdom - 1,524,663 (31 December 2016: 4,982,967) 170,000 Boparan Finance Plc 144A 5.250% 15-Jul-2019

139

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BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

United Kingdom cont’d.

United States of America cont’d.

100,000 Boparan Finance Plc 144A 5.500% 15-Jul-2021 360,000 International Game Technology Plc 144A 6.250% 15-Feb-2022 245,000 International Game Technology Plc 144A 6.500% 15-Feb-2025 370,000 Jerrold Finco Plc 6.125% 15-Jan-2024

United States of America - 71,832,685 (31 December 2016: 104,494,485)

Holdings Description

Fair Total value net assets USD %

122,494

0.12

391,050

0.37

276,544 510,941

0.26 0.49

71,832,685

68.39

785,000 Advanced Disposal Services Inc 144A 5.625% 15-Nov-2024 120,000 AES Corp/VA 5.500% 15-Mar-2024 350,000 AES Corp/VA 6.000% 15-May-2026 465,000 Ahern Rentals Inc 144A 7.375% 15-May-2023 565,000 AK Steel Corp 7.000% 15-Mar-2027 350,000 Albertsons Cos LLC / Safeway Inc / New Albertson’s Inc / Albertson’s LLC 5.750% 15-Mar-2025 370,000 Ally Financial Inc 5.750% 20-Nov-2025 300,000 Ally Financial Inc 8.000% 01-Nov-2031 570,000 Alta Mesa Holdings LP / Alta Mesa Finance Services Corp 7.875% 15-Dec-2024 500,000 AMC Entertainment Holdings Inc 5.750% 15-Jun-2025 676,000 AMC Networks Inc 5.000% 01-Apr-2024 340,000 Archrock Partners LP / Archrock Partners Finance Corp 6.000% 01-Oct-2022 325,000 Ascend Learning LLC 144A 6.875% 01-Aug-2025 235,000 Ashton Woods USA LLC / Ashton Woods Finance Co 144A 6.875% 15-Feb-2021 220,000 AssuredPartners Inc 144A 7.000% 15-Aug-2025 290,000 Bank of America Corp 5.125% Perpetual VAR 420,000 Beacon Escrow Corp 144A 4.875% 01-Nov-2025 360,000 Big River Steel LLC / BRS Finance Corp 144A 7.250% 01-Sep-2025 485,000 BlueLine Rental Finance Corp / BlueLine Rental LLC 144A 9.250% 15-Mar-2024 450,000 BMC Software Finance Inc 144A 8.125% 15-Jul-2021 575,000 Brand Industrial Services Inc 144A 8.500% 15-Jul-2025 935,000 BWAY Holding Co 144A 7.250% 15-Apr-2025 280,000 California Resources Corp 144A 8.000% 15-Dec-2022 345,000 Calpine Corp 5.750% 15-Jan-2025 525,000 Carrizo Oil & Gas Inc 6.250% 15-Apr-2023 115,000 CB Escrow Corp 144A 8.000% 15-Oct-2025 505,000 CBS Radio Inc 144A 7.250% 01-Nov-2024 360,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.125% 01-May-2023 575,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 410,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.750% 15-Feb-2026

804,625 125,700 379,750 444,075 577,712

0.77 0.12 0.36 0.42 0.55

317,450 402,837 390,750

0.30 0.38 0.37

627,712

0.60

496,250 686,140

0.47 0.65

341,700 336,375

0.33 0.32

240,581 219,450 297,250 423,675

0.23 0.21 0.28 0.40

381,600

0.36

518,950

0.49

455,062

0.43

605,187 970,062

0.58 0.92

228,200 326,887 547,312 117,300 534,037

0.22 0.31 0.52 0.11 0.51

368,100

0.35

590,812

0.56

425,375

0.41

515,000 CDW LLC / CDW Finance Corp 5.500% 01-Dec-2024 385,000 Change Healthcare Holdings LLC / Change Healthcare Finance Inc 144A 5.750% 01-Mar-2025 105,000 Chemours Co/The 5.375% 15-May-2027 240,000 Chemours Co/The 7.000% 15-May-2025 380,000 Cheniere Corpus Christi Holdings LLC 5.875% 31-Mar-2025 385,000 Cheniere Corpus Christi Holdings LLC 7.000% 30-Jun-2024 460,000 Cheniere Energy Partners LP 144A 5.250% 01-Oct-2025 335,000 Chesapeake Energy Corp 144A 8.000% 15-Jan-2025 295,000 Chesapeake Energy Corp 144A 8.000% 15-Jun-2027 305,000 Cincinnati Bell Inc 144A 7.000% 15-Jul-2024 520,000 Citigroup Inc 5.950% Perpetual VAR 318,000 Cleveland-Cliffs Inc 144A 4.875% 15-Jan-2024 450,000 CNO Financial Group Inc 5.250% 30-May-2025 290,000 CommScope Technologies LLC 144A 6.000% 15-Jun-2025 130,000 Continental Resources Inc/OK 144A 4.375% 15-Jan-2028 490,000 Continental Resources Inc/OK 4.500% 15-Apr-2023 600,000 Covanta Holding Corp 5.875% 01-Mar-2024 420,000 Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp 5.750% 01-Apr-2025 330,000 CrownRock LP / CrownRock Finance Inc 144A 5.625% 15-Oct-2025 275,000 CSC Holdings LLC 5.250% 01-Jun-2024 485,000 CSC Holdings LLC 144A 10.125% 15-Jan-2023 235,000 CVR Partners LP / CVR Nitrogen Finance Corp 144A 9.250% 15-Jun-2023 695,000 CVR Reﬁning LLC / Coffeyville Finance Inc 6.500% 01-Nov-2022 335,000 DaVita Inc 5.000% 01-May-2025 505,000 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 560,000 DISH DBS Corp 5.875% 15-Jul-2022 115,000 DISH DBS Corp 7.750% 01-Jul-2026 290,000 DriveTime Automotive Group Inc / Bridgecrest Acceptance Corp 144A 8.000% 01-Jun-2021 280,000 Dynegy Inc 7.625% 01-Nov-2024 700,000 Eagle Holding Co II LLC 144A 7.625% 15-May-2022 450,000 Eldorado Resorts Inc 6.000% 01-Apr-2025 410,000 Endeavor Energy Resources LP / EER Finance Inc 144A 5.500% 30-Jan-2026 315,000 Engility Corp 8.875% 01-Sep-2024 455,000 EnPro Industries Inc 5.875% 15-Sep-2022

562,637

0.54

386,925 109,200 262,200

0.37 0.10 0.25

412,537

0.39

438,900

0.42

469,200

0.45

339,187

0.32

286,150 303,475 555,100

0.27 0.29 0.53

318,000 477,000

0.30 0.45

311,025

0.30

128,537

0.12

501,025 612,000

0.48 0.58

435,225

0.41

332,475 271,562 548,050

0.32 0.26 0.52

253,800

0.24

721,931 335,000

0.69 0.32

550,003 564,900 121,756

0.52 0.54 0.12

291,450 302,574

0.28 0.29

712,250 472,500

0.68 0.45

418,200 337,837 476,044

0.40 0.32 0.45

140

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BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

United States of America cont’d. 450,000 Enviva Partners LP / Enviva Partners Finance Corp 8.500% 01-Nov-2021 180,000 Everi Payments Inc 144A 7.500% 15-Dec-2025 250,000 Exela Intermediate LLC / Exela Finance Inc 144A 1 0.000% 15-Jul-2023 335,000 FBM Finance Inc 144A 8.250% 15-Aug-2021 345,000 First Data Corp 144A 5.375% 15-Aug-2023 410,000 First Data Corp 144A 7.000% 01-Dec-2023 305,000 First Quality Finance Co Inc 144A 5.000% 01-Jul-2025 375,000 Freeport-McMoRan Inc 5.450% 15-Mar-2043 270,000 Frontier Communications Corp 1 0.500% 15-Sep-2022 540,000 Gates Global LLC / Gates Global Co 5.750% 15-Jul-2022 375,000 Genesis Energy LP / Genesis Energy Finance Corp 5.625% 15-Jun-2024 150,000 Genesis Energy LP / Genesis Energy Finance Corp 6.000% 15-May-2023 150,000 Genesis Energy LP / Genesis Energy Finance Corp 6.250% 15-May-2026 50,000 Genesis Energy LP / Genesis Energy Finance Corp 6.500% 01-Oct-2025 535,000 Genesys Telecommunications Laboratories Inc/ Greeneden Lux 3 Sarl/Greeneden US Ho 144A 1 0.000% 30-Nov-2024 297,000 GEO Group Inc/The 6.000% 15-Apr-2026 215,000 Gray Television Inc 144A 5.125% 15-Oct-2024 305,000 Gray Television Inc 144A 5.875% 15-Jul-2026 360,000 Greystar Real Estate Partners LLC 144A 5.750% 01-Dec-2025 490,000 Griffon Corp 5.250% 01-Mar-2022 460,000 Grinding Media Inc / Moly-Cop AltaSteel Ltd 144A 7.375% 15-Dec-2023 490,000 Gulfport Energy Corp 6.000% 15-Oct-2024 465,000 H&E Equipment Services Inc 144A 5.625% 01-Sep-2025 255,000 HCA Healthcare Inc 6.250% 15-Feb-2021 420,000 HCA Inc 5.375% 01-Feb-2025 300,000 HCA Inc 5.875% 01-May-2023 335,000 HCA Inc 7.500% 15-Feb-2022 530,000 Hillman Group Inc/The 144A 6.375% 15-Jul-2022 415,000 Hub Holdings LLC / Hub Holdings Finance Inc 144A 8.125% 15-Jul-2019 570,000 Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.875% 01-Feb-2022 115,000 Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.250% 01-Feb-2022 335,000 Infor Software Parent LLC / Infor Software Parent Inc 144A 7.125% 01-May-2021 269,000 JPMorgan Chase & Co 6.100% Perpetual VAR 445,000 Kraton Polymers LLC / Kraton Polymers Capital Corp 144A 7.000% 15-Apr-2025

Holdings Description

Fair Total value net assets USD %

United States of America cont’d. 480,937 178,875

0.46 0.17

243,750 357,612 359,973 434,600

0.23 0.34 0.34 0.41

311,862 374,531

0.30 0.36

205,575

0.20

661,945

0.63

367,500

0.35

152,625

0.15

149,813

0.14

51,000

0.05

585,825 306,652 215,000 313,388

0.56 0.29 0.20 0.30

371,700 497,350

0.35 0.47

495,052 492,450

0.47 0.47

488,390 272,213 437,850 322,500 378,131

0.47 0.26 0.42 0.31 0.36

528,675

0.50

416,038

0.40

577,838

0.55

118,450

0.11

343,794 295,913

0.33 0.28

482,269

0.46

470,000 Kronos Acquisition Holdings Inc 144A 9.000% 15-Aug-2023 365,000 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 144A 5.250% 15-Mar-2022 410,000 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 144A 5.250% 01-Oct-2025 230,000 Level 3 Financing Inc 5.250% 15-Mar-2026 365,000 Level 3 Financing Inc 5.375% 15-Jan-2024 125,000 Matador Resources Co 6.875% 15-Apr-2023 175,000 Mercer International Inc 144A 5.500% 15-Jan-2026 125,000 Mercer International Inc 6.500% 01-Feb-2024 280,000 Mercer International Inc 7.750% 01-Dec-2022 250,000 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc 5.625% 01-May-2024 675,000 MPH Acquisition Holdings LLC 144A 7.125% 01-Jun-2024 555,000 Multi-Color Corp 144A 4.875% 01-Nov-2025 300,000 Netﬂix Inc 5.875% 15-Feb-2025 260,000 New Albertson’s Inc 8.000% 01-May-2031 295,000 Novelis Corp 144A 5.875% 30-Sep-2026 110,000 Novelis Corp 144A 6.250% 15-Aug-2024 285,000 NRG Energy Inc 144A 5.750% 15-Jan-2028 200,000 NRG Energy Inc 7.250% 15-May-2026 485,000 Oasis Petroleum Inc 6.500% 01-Nov-2021 540,000 PDC Energy Inc 6.125% 15-Sep-2024 420,000 Peabody Energy Corp 144A 6.000% 31-Mar-2022 215,000 Peabody Energy Corp 144A 6.375% 31-Mar-2025 510,000 Platform Specialty Products Corp 144A 5.875% 01-Dec-2025 385,000 Polaris Intermediate Corp 144A 8.500% 01-Dec-2022 60,000 Post Holdings Inc 144A 5.000% 15-Aug-2026 525,000 Post Holdings Inc 144A 5.500% 01-Mar-2025 125,000 Post Holdings Inc 144A 5.625% 15-Jan-2028 860,000 Prime Security Services Borrower LLC / Prime Finance Inc 144A 9.250% 15-May-2023 110,000 Quicken Loans Inc 144A 5.250% 15-Jan-2028 505,000 Quicken Loans Inc 144A 5.750% 01-May-2025 400,000 Rackspace Hosting Inc 144A 8.625% 15-Nov-2024 530,000 Radiate Holdco LLC / Radiate Finance Inc 144A 6.625% 15-Feb-2025 395,000 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 144A 7.000% 15-Jul-2024 865,000 RP Crown Parent LLC 144A 7.375% 15-Oct-2024 410,000 RSI Home Products Inc 144A 6.500% 15-Mar-2023 385,000 Sanchez Energy Corp 6.125% 15-Jan-2023 275,000 Sanchez Energy Corp 7.750% 15-Jun-2021 750,000 Scientiﬁc Games International Inc 1 0.000% 01-Dec-2022

441,800

0.42

377,206

0.36

406,925 225,400 365,000 131,875

0.39 0.21 0.35 0.13

178,115 133,438 296,870

0.17 0.13 0.28

267,500

0.26

720,563 558,469 319,500 235,950 301,638 114,950 287,850 218,500 496,519 561,600 437,325 224,138

0.69 0.53 0.30 0.22 0.29 0.11 0.27 0.21 0.47 0.54 0.42 0.21

506,175

0.48

400,400 59,400 544,688 126,250

0.38 0.06 0.52 0.12

956,750 109,038 525,205

0.91 0.10 0.50

428,000

0.41

502,175

0.48

423,391 908,250

0.40 0.87

431,525 327,250 259,875

0.41 0.31 0.25

826,875

0.79

141

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BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

United States of America cont’d. 595,000 SemGroup Corp / Rose Rock Finance Corp 5.625% 15-Jul-2022 200,000 SemGroup Corp / Rose Rock Finance Corp 5.625% 15-Nov-2023 160,000 SESI LLC 144A 7.750% 15-Sep-2024 290,000 Signode Industrial Group Lux SA/ Signode Industrial Group US Inc 144A 6.375% 01-May-2022 325,000 Sinclair Television Group Inc 144A 5.625% 01-Aug-2024 325,000 Sirius XM Radio Inc 144A 5.000% 01-Aug-2027 125,000 Sprint Capital Corp 6.875% 15-Nov-2028 270,000 Sprint Capital Corp 8.750% 15-Mar-2032 105,000 Sprint Corp 7.250% 15-Sep-2021 445,000 Sprint Corp 7.625% 15-Feb-2025 760,000 Sprint Corp 7.875% 15-Sep-2023 365,000 SRC Energy Inc 144A 6.250% 01-Dec-2025 275,000 Station Casinos LLC 144A 5.000% 01-Oct-2025 590,000 Summit Materials LLC / Summit Materials Finance Corp 6.125% 15-Jul-2023 540,000 Summit Midstream Holdings LLC / Summit Midstream Finance Corp 5.750% 15-Apr-2025 355,000 Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc 144A 5.875% 15-Apr-2023 500,000 Team Health Holdings Inc 144A 6.375% 01-Feb-2025 495,000 Tempo Acquisition LLC / Tempo Acquisition Finance Corp 144A 6.750% 01-Jun-2025 295,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 360,000 Tenet Healthcare Corp 8.125% 01-Apr-2022 283,000 TI Group Automotive Systems LLC 144A 8.750% 15-Jul-2023 440,000 T-Mobile USA Inc 6.000% 15-Apr-2024 220,000 T-Mobile USA Inc 6.375% 01-Mar-2025 170,000 T-Mobile USA Inc 6.500% 15-Jan-2024 750,000 Townsquare Media Inc 144A 6.500% 01-Apr-2023 260,000 TransDigm Inc 6.500% 15-May-2025 360,000 TTM Technologies Inc 144A 5.625% 01-Oct-2025 425,000 Unit Corp 6.625% 15-May-2021 440,000 United Rentals North America Inc 5.500% 15-Jul-2025 490,000 Univar USA Inc 144A 6.750% 15-Jul-2023 320,000 Universal Hospital Services Inc 7.625% 15-Aug-2020 725,000 USIS Merger Sub Inc 144A 6.875% 01-May-2025 430,000 Valeant Pharmaceuticals International 144A 6.750% 15-Aug-2021 170,000 Vantiv LLC / Vanity Issuer Corp 144A 3.875% 15-Nov-2025 365,000 Venator Finance Sarl / Venator Materials LLC 144A 5.750% 15-Jul-2025 645,000 VFH Parent LLC / Orchestra Co-Issuer Inc 144A 6.750% 15-Jun-2022

Fair Total value net assets USD %

United States of America cont’d. 590,538

0.56

196,500 170,192

0.19 0.16

304,500

0.29

335,563 326,625 126,250 308,475 111,431 467,250 806,550 375,950 277,063

0.32 0.31 0.12 0.29 0.11 0.45 0.77 0.36 0.26

616,550

0.59

325,000 ViaSat Inc 144A 5.625% 15-Sep-2025 430,000 West Corp 144A 8.500% 15-Oct-2025 320,000 West Street Merger Sub Inc 144A 6.375% 01-Sep-2025 315,000 Whiting Petroleum Corp 144A 6.625% 15-Jan-2026 630,000 William Lyon Homes Inc 5.875% 31-Jan-2025 115,000 Wrangler Buyer Corp 144A 6.000% 01-Oct-2025 155,000 XPO Logistics Inc 144A 6.125% 01-Sep-2023 1,010,000 York Risk Services Holding Corp 144A 8.500% 01-Oct-2022 490,000 Zachry Holdings Inc 144A 7.500% 01-Feb-2020

Total investments in bonds

United States of America - 1,253,223 (31 December 2016: 3,709,426) 280,000 Almonde Inc Term Loan 7.250% 13-Jun-2025 555,000 Asurion Corp Term Loan 6.000% 04-Aug-2025 413,385 Capital Automotive L.P. Term Loan B 24 6.000% 24-Mar-2025

0.52

Total investments in leveraged loans

376,744

0.36

Unrealised gain on forward foreign currency contracts - 607,631 (see below) (31 December 2016: 26,716)

448,750

0.43

0.48 0.27 0.35

303,518 467,500 235,400 180,200

0.29 0.45 0.22 0.17

737,813 265,200

0.70 0.25

369,900 430,313

0.35 0.41

466,950 514,500

0.44 0.49

322,400 734,063

0.31 0.70

435,375

0.41

234,002

0.22

389,181

0.37

680,475

0.65

0.31 0.40

322,800

0.31

320,906 644,963 119,025 164,494

0.31 0.61 0.11 0.16

989,800 499,800

0.94 0.48

96,339,734

91.72

1,253,223

1.19

280,000 558,547

0.27 0.53

414,676

0.39

1,253,223

1.19

607,631

0.58

99,268,014

94.51

(296,085)

(0.28)

(296,085)

(0.28)

6,060,567

5.77

105,032,496

100.00

Leveraged loans

544,725

503,663 287,625 369,450

329,063 424,625

Total ﬁnancial assets at fair value through proﬁt or loss Unrealised loss on forward foreign currency contracts - (296,085) (see below) (31 December 2016: (338,282))

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Analysis of portfolio

% of Total Assets

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Transferable securities and money market instruments other than those admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

91.63 1.18 0.57 6.62

100.00

142

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BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global High Yield Bond Fund Euro Sterling

US dollar US dollar

5,180,000 390,000

6,096,275 31-Jan-18 Goldman Sachs 520,833 31-Jan-18 Morgan Stanley

USD US dollar US dollar

Euro Euro

141,216 2,988,772

US dollar

Euro

3,635,975

US dollar US dollar US dollar

Euro Sterling Sterling

4,613,277 1,442,008 1,081,415

US dollar

Sterling

2,150,236

120,000 31-Jan-18 Morgan Stanley 2,540,000 31-Jan-18 Commonwealth Bank of Australia 3,090,000 31-Jan-18 Citigroup Global Markets Limited 3,920,000 31-Jan-18 Barclays Bank PLC 1,080,000 31-Jan-18 Goldman Sachs 810,000 31-Jan-18 Commonwealth Bank of Australia 1,610,000 31-Jan-18 Barclays Bank PLC

125,217 6,646

131,863

Buy

Sell

Amount (B)

Euro

US dollar

1,559

Euro

US dollar

2,601

Euro

US dollar

973,516

Euro

US dollar

1,935

(61,920) (75,301) (94,878) (18,703)

USD (295,139) Net USD (163,276)

US dollar

Euro

953

US dollar

Euro

12,676

US dollar

Euro

3,122

US dollar

Euro

4,883

BNY Mellon Global High Yield Bond Fund EUR H (Hedged) Share Class Euro

US dollar

4,788

Euro

US dollar

14,033

Euro

US dollar

1,033,611

Euro

US dollar

19,600

US dollar

Euro

16,751

US dollar

Euro

28,880

5,689 12-Jan-18 The Bank of New York Mellon 16,763 12-Jan-18 The Bank of New York Mellon 1,223,299 12-Jan-18 The Bank of New York Mellon 23,207 12-Jan-18 The Bank of New York Mellon

Unrealised Gain/(Loss)

1,846 12-Jan-18 The Bank of New York Mellon 3,091 12-Jan-18 The Bank of New York Mellon 1,152,176 12-Jan-18 The Bank of New York Mellon 2,278 12-Jan-18 The Bank of New York Mellon

24 29 15,667 44

USD

15,764

EUR

13,149

804 12-Jan-18 The Bank of New York Mellon 10,705 12-Jan-18 The Bank of New York Mellon 2,641 12-Jan-18 The Bank of New York Mellon 4,148 12-Jan-18 The Bank of New York Mellon

(13) (166) (46) (94)

USD

(319)

EUR

(266)

Net USD

15,445

Net EUR

12,883

16,634 305

USD

17,065

BNY Mellon Global High Yield Bond Fund EUR X (Inc) (Hedged) Share Class

EUR

14,234

Euro

14,033 03-Jan-18 The Bank of New York Mellon 24,535 12-Jan-18 The Bank of New York Mellon

Settle Date Counterparty

BNY Mellon Global High Yield Bond Fund EUR I (Hedged) Share Class

(2,912)

(14,119) (27,306)

Amount (S)

US dollar

27,524,062

32,575,265 12-Jan-18 The Bank of New York Mellon

442,939

(74)

USD

442,939

(553)

EUR

369,470

USD

(627)

EUR

(523)

Net USD

16,438

Net EUR

13,711

143

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BNY MELLON GLOBAL LEADERS FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Equities Australia - 2,204,909 (31 December 2016: 913,144)

2,204,909

3.50

2,204,909

3.50

1,638,397

2.60

1,638,397

2.60

6,542,510

10.40

2,146,323 2,199,902 2,196,285

3.41 3.50 3.49

2,239,041

3.56

2,239,041

3.56

2,638,445

4.19

2,638,445

4.19

5,044,786

8.02

2,523,308 2,521,478

4.01 4.01

2,334,325

3.71

2,334,325

3.71

5,710,460

9.07

1,152,019 2,206,360 2,352,081

1.83 3.50 3.74

2,193,474

3.48

2,193,474

3.48

2,155,907

3.43

2,155,907

3.43

28,555,553

45.38

2,357,850 2,605,611 2,088,429 2,151,892 2,241,223 2,882,399 2,167,598 2,368,470 2,841,359 2,240,502 2,331,861 2,278,359

3.75 4.14 3.32 3.42 3.56 4.58 3.44 3.76 4.52 3.56 3.71 3.62

61,257,807

97.34

20,000 CSL Ltd

Denmark - 1,638,397 (31 December 2016: 913,681) 30,400 Novo Nordisk A/S

France - 6,542,510 (31 December 2016: 2,820,466) 17,000 Air Liquide SA 9,900 L’Oreal SA 7,450 LVMH Moet Hennessy Louis Vuitton SE

Germany - 2,239,041 (31 December 2016: 947,399) 20,000 SAP SE

Hong Kong - 2,638,445 (31 December 2016: 874,992) 309,400 AIA Group Ltd

Japan - 5,044,786 (31 December 2016: 1,875,961) 10,500 FANUC Corp 4,500 Keyence Corp

Spain - 2,334,325 (31 December 2016: 888,801) 67,000 Industria de Diseno Textil SA

Switzerland - 5,710,460 (31 December 2016: 2,853,172) 13,400 Nestle SA 26,100 Novartis AG 9,300 Roche Holding AG

Taiwan - 2,193,474 (31 December 2016: 874,152) 55,300 Taiwan Semiconductor Manufacturing Co Ltd ADR

United Kingdom - 2,155,907 (31 December 2016: 924,000) 23,080 Reckitt Benckiser Group Plc

United States of America - 28,555,553 (31 December 2016: 12,768,537) 10,000 2,490 29,400 28,500 16,700 26,700 15,500 15,600 45,400 33,200 40,600 29,800

3M Co Alphabet Inc Cognizant Technology Solutions Corp Colgate-Palmolive Co Ecolab Inc EOG Resources Inc Johnson & Johnson Mastercard Inc NIKE Inc Schlumberger Ltd Starbucks Corp TJX Cos Inc/The

Total investments in equities

Description

Fair Total value net assets USD %

Unrealised gain on forward foreign currency contracts - 8,676 (see below) (31 December 2016: (1,773))

8,676

0.01

61,266,483

97.35

1,664,935

2.65

62,931,418

100.00

Total ﬁnancial assets at fair value through proﬁt or loss Net current assets Total net assets

Total assets

% of Total Assets 97.23 0.01 2.76

100.00

144

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BNY MELLON GLOBAL LEADERS FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Leaders Fund EUR H (Acc) (Hedged) Share Class Euro

US dollar

114,055

134,862 12-Jan-18 The Bank of New York Mellon

2,074

USD

2,074

EUR

1,729

BNY Mellon Global Leaders Fund EUR H (Inc) (Hedged) Share Class Euro

US dollar

120,005

141,897 12-Jan-18 The Bank of New York Mellon

2,182

USD

2,182

EUR

1,819

BNY Mellon Global Leaders Fund EUR W (Acc) (Hedged) Share Class Euro

US dollar

121,516

143,684 12-Jan-18 The Bank of New York Mellon

2,210

USD

2,210

EUR

1,842

BNY Mellon Global Leaders Fund EUR W (Inc) (Hedged) Share Class Euro

US dollar

121,516

143,684 12-Jan-18 The Bank of New York Mellon

2,210

USD

2,210

EUR

1,842

145

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Argentina - 5,380,140 (31 December 2016: 4,533,955)

5,380,140

10,550,000 Argentina POM Politica Monetaria 2 8.750% 21-Jun-2020 FRN 580,939 28,355,000 Argentine Bonos del Tesoro 2 1.200% 19-Sep-2018 1,419,626 475,000 Argentine Republic Government International Bond 5.250% 15-Jan-2028 591,682 1,233,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 501,782 400,000 Argentine Republic Government International Bond 6.875% 26-Jan-2027 437,600 525,764 Argentine Republic Government International Bond 8.280% 31-Dec-2033 625,002 5,100,000 City of Buenos Aires Argentina 2 6.661% 29-Mar-2024 FRN 259,262 325,000 Provincia de Buenos Aires/Argentina 5.750% 15-Jun-2019 337,301 400,000 Provincia de Buenos Aires/Argentina 9.125% 16-Mar-2024 469,000 3,000,000 Provincia de Buenos Aires/Argentina 2 5.361% 31-May-2022 FRN 157,946

Australia - 274,911 (31 December 2016: 2,564,640) 350,000 FBG Finance Pty Ltd 3.250% 06-Sep-2022

Bahrain - 191,500 (31 December 2016: 742,821) 200,000 Bahrain Government International Bond 7.500% 20-Sep-2047

Brazil - 769,169 (31 December 2016: 2,046,501) 342,000 Petrobras Global Finance BV 5.299% 27-Jan-2025 410,000 Petrobras Global Finance BV 7.250% 17-Mar-2044

6.85

1.81 0.75 0.64 0.56 0.79 0.33 0.43 0.60 0.20

274,911

0.35

274,911

0.35

191,500

0.24

191,500

0.24

769,169

0.98

342,769

0.44

426,400

0.54

0.53

414,134

0.53

535,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2021

Colombia - 692,156 (31 December 2016: 1,376,717) 1,711,000,000 Colombian TES 10.000% 24-Jul-2024

0.35

266,919

0.34

266,919

0.34

445,332

0.57

445,332

0.57

527,813

0.67

527,813

0.67

824,068

1.05

157,585

0.20

666,483

0.85

1,189,409

1.51

246,550

0.31

792,685 150,174

1.01 0.19

131,166

0.17

131,166

0.17

320,716

0.41

320,716

0.41

4,733,218

6.02

1,312,061

1.67

1,397,705

1.78

1,643,334

2.09

181,338

0.23

99,423

0.13

99,357

0.12

352,339

0.45

352,339

0.45

Germany - 266,919 (31 December 2016: 761,933)

Ghana - 445,332 (31 December 2016: –) 400,000 Ghana Government International Bond 8.125% 18-Jan-2026

Hungary - 527,813 (31 December 2016: 1,474,498) 425,000 Hungary Government International Bond 1.750% 10-Oct-2027

Ireland - 824,068 (31 December 2016: 2,977,186) 150,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500% 15-May-2021 625,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.000% 01-Oct-2021

Italy - 1,189,409 (31 December 2016: 944,529) 225,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 725,000 Italy Buoni Poliennali Del Tesoro 144A 2.700% 01-Mar-2047 125,000 SME Grecale 2017 Srl 0.036% 22-Mar-2056 FRN

Ivory Coast - 131,166 (31 December 2016: –) 100,000 Ivory Coast Government International Bond 5.125% 15-Jun-2025

Jamaica - 320,716 (31 December 2016: 455,033) 325,000 Digicel Group Ltd 8.250% 30-Sep-2020

414,134

Chile - 891,318 (31 December 2016: –)

0.35

276,539

200,000 Allianz SE 3.375% Perpetual VAR

425,000 Sinopec Group Overseas Development 2017 Ltd 2.500% 13-Sep-2022

150,000 Cenovus Energy Inc 4.250% 15-Apr-2027 175,000 Enbridge Inc 5.500% 15-Jul-2077 VAR 225,000 Ford Auto Securitization Trust 2.383% 15-Mar-2023

276,539

225,000 BNP Paribas SA 1.125% 10-Oct-2023 0.74

British Virgin Islands - 414,134 (31 December 2016: –)

Canada - 502,639 (31 December 2016: 3,280,758)

France - 276,539 (31 December 2016: –)

502,639

0.64

149,674 174,223

0.19 0.22

178,742

0.23

891,318

1.13

891,318

1.13

692,156

0.88

692,156

0.88

Japan - 4,733,218 (31 December 2016: 3,769,039) 139,494,000 Japanese Government CPI Linked Bond 0.100% 10-Mar-2025 147,979,282 Japanese Government CPI Linked Bond 0.100% 10-Mar-2026 173,379,570 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027 180,000 OSCAR US Funding Trust VI LLC 144A 3.300% 10-May-2024 100,000 OSCAR US Funding Trust VII LLC 2.450% 10-Dec-2021 100,000 OSCAR US Funding Trust VII LLC 2.760% 10-Dec-2024

Kazakhstan - 352,339 (31 December 2016: –) 350,000 KazTransGas JSC 4.375% 26-Sep-2027

146

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

325,000 Kuwait International Government Bond 3.500% 20-Mar-2027

Mexico - 1,796,378 (31 December 2016: 3,343,343) 11,010,000 325,000 200,000 250,000 350,000

Mexican Bonos 8.000% 07-Nov-2047 Mexico City Airport Trust 4.250% 31-Oct-2026 Mexico City Airport Trust 5.500% 31-Jul-2047 Nemak SAB de CV 144A 3.250% 15-Mar-2024 Petroleos Mexicanos 144A 6.500% 13-Mar-2027

Netherlands - 1,464,677 (31 December 2016: 5,322,301) 400,000 200,000 200,000 200,000

Allianz Finance II BV 5.750% 08-Jul-2041 VAR EDP Finance BV 144A 3.625% 15-Jul-2024 Mylan NV 3.000% 15-Dec-2018 Volkswagen International Finance NV 1.875% 30-Mar-2027 200,000 WPC Eurobond BV 2.250% 19-Jul-2024

New Zealand - 2,895,677 (31 December 2016: 2,840,356) 3,660,000 New Zealand Government Bond 2.000% 20-Sep-2025

Nigeria - 209,200 (31 December 2016: –) 200,000 Nigeria Government International Bond 6.500% 28-Nov-2027

Portugal - 1,441,531 (31 December 2016: 3,600,326) 1,025,000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045

Russia - 2,414,952 (31 December 2016: 1,833,013) 200,000 Lukoil International Finance BV 144A 4.750% 02-Nov-2026 200,000 Lukoil International Finance BV 6.125% 09-Nov-2020 300,000 MMC Norilsk Nickel OJSC Via MMC Finance DAC 4.100% 11-Apr-2023 500,000 MMC Norilsk Nickel OJSC Via MMC Finance DAC 4.375% 30-Apr-2018 70,300,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028

Saudi Arabia - 322,592 (31 December 2016: 379,740)

330,593

0.42

330,593

0.42

1,796,378

2.29

567,296 335,156 198,500 312,333 383,093

0.72 0.43 0.25 0.40 0.49

South Africa - 3,255,991 (31 December 2016: –) 30,100,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 11,450,000 Republic of South Africa Government Bond 1 0.500% 21-Dec-2026

Spain - 1,315,005 (31 December 2016: –) 1,075,000 Spain Government Bond 144A 2.900% 31-Oct-2046

3,255,991

4.14

2,216,213

2.82

1,039,778

1.32

1,315,005

1.67

1,315,005

1.67

447,128

0.57

235,584

0.30

211,544

0.27

1,459,423

1.86

Sri Lanka - 447,128 (31 December 2016: 1,388,673) 1,464,677

1.86

562,619 201,828 201,105

0.72 0.26 0.25

247,969 251,156

0.31 0.32

2,895,677

3.69

2,895,677

3.69

209,200

0.27

209,200

0.27

1,441,531

1.84

1,441,531

1.84

2,414,952

3.07

210,250

0.27

216,159

0.28

302,534

0.38

503,433

0.64

1,182,576

1.50

322,592

0.41

325,000 Saudi Government International Bond 3.625% 04-Mar-2028

322,592

0.41

Senegal - 501,031 (31 December 2016: –)

501,031

0.64

501,031

0.64

475,000 Senegal Government International Bond 6.250% 23-May-2033

Holdings Description

Bonds cont’d.

Bonds cont’d. Kuwait - 330,593 (31 December 2016: –)

Fair Total value net assets USD %

225,000 Sri Lanka Government International Bond 5.750% 18-Jan-2022 200,000 Sri Lanka Government International Bond 6.200% 11-May-2027

Supranational - 1,459,423 (31 December 2016: 2,693,136)

275,000 Asian Development Bank 3.500% 30-May-2024 275,000 European Investment Bank 1.125% 16-Sep-2021 1,230,000 International Bank for Reconstruction & Development 3.500% 22-Jan-2021 9,380,000 International Finance Corp 6.300% 25-Nov-2024

Switzerland - 442,880 (31 December 2016: –) 425,000 Credit Suisse Group AG 144A 4.282% 09-Jan-2028

Turkey - 1,944,381 (31 December 2016: 1,423,861) 3,349,310 Turkey Government Bond 2.000% 18-Sep-2024 2,675,000 Turkey Government Bond 1 1.000% 24-Feb-2027 425,000 Turkey Government International Bond 5.750% 11-May-2047

Ukraine - 662,966 (31 December 2016: –) 400,000 Ukraine Government International Bond 0.000% 31-May-2040 VAR 450,000 Ukraine Government International Bond 7.375% 25-Sep-2032

United Arab Emirates - 930,036 (31 December 2016: –) 400,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 200,000 Abu Dhabi Government International Bond 3.125% 11-Oct-2027 325,000 Abu Dhabi Government International Bond 4.125% 11-Oct-2047

United Kingdom - 3,855,865 (31 December 2016: 5,607,494) 350,000 Barclays Plc 5.200% 12-May-2026 400,000 Barclays Plc 7.875% Perpetual VAR

199,139 213,230

0.25 0.27

898,809

1.15

148,245

0.19

442,880

0.56

442,880

0.56

1,944,381

2.48

841,700

1.07

689,216

0.88

413,465

0.53

662,966

0.84

220,034

0.28

442,932

0.56

930,036

1.18

412,128

0.52

195,846

0.25

322,062

0.41

3,855,865

4.91

373,860 438,914

0.48 0.56

147

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

United Kingdom cont’d.

United States of America cont’d.

275,000 HSBC Holdings Plc 4.375% 23-Nov-2026 125,000 INEOS Finance Plc 2.125% 15-Nov-2025 275,000 International Game Technology Plc 6.250% 15-Feb-2022 325,000 Lloyds Banking Group Plc 3.750% 11-Jan-2027 500,000 Royal Bank of Scotland Group Plc 3.875% 12-Sep-2023 350,000 Royal Bank of Scotland Group Plc 8.625% Perpetual VAR 675,000 United Kingdom Gilt 1.500% 22-Jul-2047 150,000 Virgin Media Finance Plc 7.000% 15-Apr-2023

United States of America - 29,321,561 (31 December 2016: 59,580,864) 125,000 350,000 300,000 25,000 80,000 118,248 400,000 50,000 334,669 175,000 9,559

13,029

214,000 43,571 175,000 150,000

475,000 150,000 275,000 200,000 38,729 200,000 142,156 900,000

Holdings Description

Fair Total value net assets USD %

287,174 149,001

0.37 0.19

298,719 330,127

0.38 0.42

509,012

0.65

395,062 860,748 213,248

0.50 1.09 0.27

29,321,561

37.32

Abbott Laboratories 3.750% 30-Nov-2026 AbbVie Inc 1.375% 17-May-2024 Amazon.com Inc 3.150% 22-Aug-2027 AMC Networks Inc 4.750% 01-Aug-2025 AMC Networks Inc 5.000% 01-Apr-2024 American Homes 4 Rent 2014-SFR3 Trust 144A 3.678% 17-Dec-2036 AmeriCredit Automobile Receivables Trust 2017-4 2.600% 18-Sep-2023 Andeavor Logistics LP / Tesoro Logistics Finance Corp 3.500% 01-Dec-2022 Banc of America Commercial Mortgage Trust 2007-2 5.676% 10-Apr-2049 VAR Bank of America Corp 4.250% 22-Oct-2026 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 5.703% 11-Jun-2050 VAR Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 6.204% 11-Jun-2050 VAR BWAY Holding Co 144A 5.500% 15-Apr-2024 Carrington Mortgage Loan Trust Series 2006-NC4 1.612% 25-Oct-2036 FRN CCUBS Commercial Mortgage Trust 2017-C1 3.544% 15-Nov-2050 VAR Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 01-May-2047 Cheniere Corpus Christi Holdings LLC 5.125% 30-Jun-2027 Cheniere Energy Partners LP 5.250% 01-Oct-2025 CIT Equipment Collateral 2014-VT1 2.650% 20-Oct-2022 Citigroup Inc 4.300% 20-Nov-2026 CLUB Credit Trust 2017-NP1 144A 2.390% 17-Apr-2023 CLUB Credit Trust 2017-NP1 144A 3.170% 17-Apr-2023 COBALT CMBS Commercial Mortgage Trust 2007-C3 5.839% 15-May-2046 VAR Colony American Homes Single-Family Rental Pass-Through Certiﬁcates 5.082% 17-Jul-2032 FRN

128,271 428,063 301,701 24,875 81,200

0.16 0.55 0.38 0.03 0.10

122,501

0.16

398,841

0.51

49,926

0.06

298,560 184,330

0.38 0.23

9,577

0.01

13,021 223,630

0.02 0.28

43,609

0.06

180,248

0.23

154,978

0.20

492,528

0.63

153,000

0.20

275,306 209,194

0.35 0.27

38,766

0.05

200,397

0.26

144,671

0.18

906,629

1.15

398,079 Colony Starwood Homes 2016-2 Trust 2.727% 17-Dec-2033 FRN 300,000 COMM 2017-DLTA Mortgage Trust 2.327% 15-Aug-2035 FRN 100,000 Concho Resources Inc 3.750% 01-Oct-2027 25,000 Concho Resources Inc 4.875% 01-Oct-2047 92,732 Conn Funding II LP 144A 2.730% 15-Jul-2019 250,000 Conn Funding II LP 2.730% 15-Jul-2020 200,000 Continental Resources Inc/OK 3.800% 01-Jun-2024 150,000 Corning Inc 4.375% 15-Nov-2057 175,000 Cox Communications Inc 3.350% 15-Sep-2026 100,000 Dell Equipment Finance Trust 2017-2 2.470% 24-Oct-2022 275,000 Dell International LLC / EMC Corp 3.480% 01-Jun-2019 175,000 Diamondback Energy Inc 4.750% 01-Nov-2024 375,000 Digital Euro Finco LLC 2.625% 15-Apr-2024 250,000 Dominion Energy Inc 2.962% 01-Jul-2019 175,000 Drive Auto Receivables Trust 2.800% 15-Jul-2022 250,000 Drive Auto Receivables Trust 3.020% 15-Nov-2021 375,000 Drive Auto Receivables Trust 2015-C 4.200% 15-Sep-2021 150,000 Energy Transfer LP 4.750% 15-Jan-2026 500,000 Energy Transfer Partners LP 6.250% Perpetual VAR 60,000 EQT Corp 3.000% 01-Oct-2022 295,000 EQT Corp 3.900% 01-Oct-2027 160,000 First Data Corp 7.000% 01-Dec-2023 454,000 Freeport-McMoRan Inc 6.875% 15-Feb-2023 152,844 GE Capital Commercial Mortgage Corp 5.731% 10-Nov-2045 VAR 750,000 General Electric Co 5.000% Perpetual VAR 750,000 Georgetown University/The 2.456% 01-Apr-2029 100,000 Glencore Funding LLC 3.000% 27-Oct-2022 165,000 GLP Capital LP / GLP Financing II Inc 5.375% 15-Apr-2026 405,000 Goldman Sachs Group Inc/The 3.500% 16-Nov-2026 4,537,038 Government National Mortgage Association 0.414% 16-Feb-2053 VAR 115,452 Government National Mortgage Association 0.558% 16-May-2051 VAR 18,630 Government National Mortgage Association 0.622% 16-Apr-2042 VAR 1,615,277 Government National Mortgage Association 3.500% 20-Mar-2039 593,150 Government National Mortgage Association 4.000% 20-Mar-2042 780,857 Government National Mortgage Association 4.599% 20-Jul-2042 FRN 1,378,441 Government National Mortgage Association 4.699% 20-Nov-2045 FRN 100,000 HCA Inc 5.500% 15-Jun-2047 110,000 Healthcare Trust of America Holdings LP 3.750% 01-Jul-2027

400,809

0.51

300,563 101,135 27,162 92,799 249,942

0.38 0.13 0.03 0.12 0.32

198,500 149,173 171,056

0.25 0.19 0.22

99,442

0.13

278,486 176,531 482,975 251,972

0.35 0.22 0.61 0.32

175,124

0.22

251,931

0.32

383,134 155,655

0.49 0.20

486,562 59,385 293,342 169,600 497,130

0.62 0.08 0.37 0.22 0.63

155,899 771,563

0.20 0.98

703,244 99,208

0.90 0.13

177,375

0.23

406,911

0.52

118,621

0.15

3,162

0.00

884

0.00

156,120

0.20

82,422

0.11

159,321

0.20

294,268 100,125

0.37 0.13

109,580

0.14

148

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

United States of America cont’d. 561,253 Impac CMB Trust Series 2004-7 2.557% 25-Nov-2034 FRN 149,257 Impac Secured Assets Trust 2006-2 1.902% 25-Aug-2036 FRN 175,000 Infor US Inc 6.500% 15-May-2022 100,000 Kinder Morgan Inc/DE 4.300% 01-Jun-2025 150,000 Kinder Morgan Inc/DE 5.550% 01-Jun-2045 400,000 Kraft Heinz Foods Co 2.250% 25-May-2028 94,569 Marlette Funding Trust 2016-1 144A 3.060% 17-Jan-2023 94,781 Marlette Funding Trust 2017-1 144A 2.827% 15-Mar-2024 200,000 Morgan Stanley 3.950% 23-Apr-2027 364,832 Morgan Stanley ABS Capital I Inc Trust 2006-NC4 1.702% 25-Jun-2036 FRN 20,000 NGPL PipeCo LLC 4.375% 15-Aug-2022 175,000 NRG Energy Inc 6.250% 15-Jul-2022 200,000 Occidental Petroleum Corp 3.000% 15-Feb-2027 525,000 OneMain Financial Issuance Trust 2016-1 3.660% 20-Feb-2029 328,920 Oscar US Funding Trust 2.310% 15-Nov-2019 190,000 Oscar US Funding Trust 2.820% 10-Jun-2021 110,720 Prosper Marketplace Issuance Trust Series 2017-1 144A 2.560% 15-Jun-2023 325,000 Prudential Financial Inc 4.500% 15-Sep-2047 VAR 300,000 RAAC Series 2006-SP4 Trust 1.892% 25-Nov-2036 FRN 200,000 Santander Retail Auto Lease Trust 2017-A 2.680% 20-Jan-2022 180,000 Scientiﬁc Games International Inc 1 0.000% 01-Dec-2022 55,023 SMB Private Education Loan Trust 2.127% 15-Nov-2023 FRN 199,236 SoFi Consumer Loan Program 2016-2 LLC 144A 3.090% 27-Oct-2025 129,503 SoFi Professional Loan Program 2016-B LLC 1.680% 25-Mar-2031 250,000 Springleaf Funding Trust 3.620% 15-Nov-2024 400,000 Springleaf Funding Trust 2016-A 144A 3.800% 15-Nov-2029 150,000 Sprint Communications Inc 7.000% 15-Aug-2020 200,000 Sprint Corp 7.875% 15-Sep-2023 300,000 Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 3.360% 20-Sep-2021 398,544 Starwood Waypoint Homes 2017-1 Trust 2.441% 17-Jan-2035 FRN 150,000 Sunoco Logistics Partners Operations LP 4.000% 01-Oct-2027 50,000 Sunoco Logistics Partners Operations LP 5.400% 01-Oct-2047 200,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 230,000 T-Mobile USA Inc 6.625% 01-Apr-2023 200,000 Tricon American Homes Trust 3.275% 17-Jan-2036 140,000 United Rentals North America Inc 4.875% 15-Jan-2028 175,000 United Rentals North America Inc 5.500% 15-Jul-2025

Fair Total value net assets USD %

United States of America cont’d. 1,210,000 United States Treasury Bill 0.000% 01-Mar-2018* 1,582,845 United States Treasury Inﬂation Indexed Bonds 0.375% 15-Jan-2027 1,209,456 United States Treasury Inﬂation Indexed Bonds 0.625% 15-Jan-2026 1,481,755 United States Treasury Inﬂation Indexed Bonds 0.875% 15-Feb-2047 1,000,000 United States Treasury Note/Bond 2.000% 31-Oct-2022 75,000 Verizon Communications Inc 4.125% 16-Mar-2027 325,877 WaMu Mortgage Pass-Through Certiﬁcates Series 2005-AR8 1.972% 25-Jul-2045 FRN 200,000 Wells Fargo & Co 3.000% 22-Apr-2026 165,000 Zayo Group LLC / Zayo Capital Inc 5.750% 15-Jan-2027

501,743

0.64

146,727 182,298 104,184 163,791 492,380

0.19 0.23 0.13 0.21 0.63

94,753

0.12

95,141 203,146

0.12 0.26

328,681 20,500 183,278

0.42 0.03 0.23

198,721

0.25

533,559 328,714 190,393

0.68 0.42 0.24

111,097 329,810

0.14 0.42

Total investments in bonds

298,330

0.38

Leveraged loans

199,848

0.25

198,450

0.25

55,073

0.07

202,648

0.26

129,361 250,885

0.16 0.32

402,746

0.51

159,000 212,250

0.20 0.27

302,009

0.38

400,953

0.51

147,118

0.19

50,409 195,000 240,350

0.06 0.25 0.31

198,994

0.25

141,225

0.18

185,719

0.24

1,207,356

1.54

1,566,792

1.99

1,225,684

1.56

1,528,897

1.95

990,449

1.26

78,430

0.10

324,078 196,120

0.41 0.25

169,538

0.22

418,848

0.53

237,884

0.30

180,964

0.23

73,614,201

93.69

2,260,184

2.87

56,627

0.07

410,485

0.52

792,990

1.01

361,030 639,052

0.46 0.81

2,260,184

2.87

63 217 7,189 8,036 83,735

0.00 0.00 0.01 0.01 0.11

214 35,663 1,073 9,878 46,185 11,087 27,269

0.00 0.05 0.00 0.01 0.06 0.01 0.03

230,609

0.29

Uruguay - 418,848 (31 December 2016: –) 6,850,000 Uruguay Government International Bond 8.500% 15-Mar-2028 4,915,000 Uruguay Government International Bond 9.875% 20-Jun-2022

United States of America - 2,260,184 (31 December 2016: 3,774,929) 55,000 Asurion Corp Term Loan 6.000% 04-Aug-2025 409,366 Carestream Health Inc Term Loan 4.000% 07-Jun-2019 789,045 Catalent Pharma Solutions Inc Term Loan 2.250% 19-May-2021 358,828 Hilton Worldwide Finance LLC Term Loan 3.328% 25-Oct-2023 637,061 Univar USA Inc Term Loan 2.500% 01-Jul-2022

Total investments in leveraged loans Currency options - 230,609 (31 December 2016: 59) 1,975,000 Canadian dollar/Japanese yen Put 10-Jan-2018 86.000 700,000 Euro/Norwegian krone Put 01-Feb-2018 9.300 700,000 Euro/Sterling Put 22-Feb-2018 0.886 650,000 Euro/Swedish krona Put 09-Mar-2018 9.800 3,350,000 Euro/US dollar Call 11-May-2018 1.200 6,300,000 Norwegian krone/Swedish krona Call 29-Jan-2018 1.040 1,200,000 Sterling/US dollar Call 30-May-2018 1.350 1,575,000 US dollar/Japanese yen Put 10-Jan-2018 111.000 800,000 US dollar/Japanese yen Put 25-Jan-2018 113.400 1,550,000 US dollar/Norwegian krone Put 14-Jun-2018 8.240 775,000 US dollar/Turkish lira Put 12-Feb-2018 3.810 800,000 US dollar/Turkish lira Put 27-Feb-2018 3.930

Total currency options

149

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Future options - 13,406 (31 December 2016: –)

Interest rate swaps - (64,144) (31 December 2016: 127,290)

39 U.S. 10 Year Treasury Note Future Put 23-Feb-2018 123.000

Total future options

Holdings Description

Fair Total value net assets USD %

Underlying exposure USD

13,406

0.02

13,406

0.02

Fair Total value net assets USD %

10,900,000 10,900,000 32,700,000 11,500,000 163,000,000 4,750,000 4,000,000

IRS Pay Fixed 0.423% Swedish krona 20-Jul-2022 IRS Pay Fixed 0.435% Swedish krona 18-Jul-2022 IRS Pay Fixed 0.455% Swedish krona 19-Jul-2022 IRS Pay Fixed 0.490% Swedish krona 17-Aug-2022 IRS Pay Fixed 0.923% Japanese yen 23-Feb-2047 IRS Pay Fixed 1.075% Sterling 12-Dec-2022 IRS Receive Fixed 0.131% Euro 06-Mar-2022

Total interest rate swaps Open futures contracts - 243,919 (31 December 2016: 469,500) (3) Canadian 10 Year Treasury Bond Short Futures Contracts Exp Mar-2018 (41) Euro-Bobl Short Futures Contracts Exp Mar-2018 (6) Euro-BTP Short Futures Contracts Exp Mar-2018 (38) Euro-Bund Short Futures Contracts Exp Mar-2018 (8) Euro-Buxl 30 Year Bond Short Futures Contracts Exp Mar-2018 (50) U.S. 10 Year Treasury Note Short Futures Contracts Exp Mar-2018 (41) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018 (4) U.S. Treasury Bond Short Futures Contracts Exp Mar-2018

(322,999)

4,332

0.01

(6,467,534)

45,220

0.06

(980,276)

3,021

0.00

(7,367,367)

70,924

0.09

(1,575,961)

31,458

0.04

(6,192,187)

45,051

0.06

4 U.S. 2 Year Treasury Note Long Futures Contracts Exp Mar-2018 68 U.S. 5 Year Treasury Note Long Futures Contracts Exp Mar-2018 (25) U.S. Treasury Ultra Bond Short Futures Contracts Exp Mar-2018 (24) UK Long Gilt Short Futures Contracts Exp Mar-2018

(5,464,531)

41,038

(610,875)

0.05

2,875

0.00

243,919

0.31

(0.08)

Fair Total value net assets USD %

(2,125)

(0.00)

7,892,781

(47,864)

(0.06)

(4,180,469)

(10,486)

(0.02)

(4,062,207)

(29,834)

(0.04)

(90,309)

(0.12)

(1,444,900)

(1.84)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(1,624,718)

(2.07)

Net current assets

3,124,927

3.98

78,574,847

100.00

Unrealised loss on forward foreign currency contracts - (1,444,900) (see below) (31 December 2016: (1,918,251))

Total net assets

4,300,000 6 Month 10 Year Receive Fixed 2.100% Pay 3M USD LIBOR Exp 23-Apr-2018

8,713

0.01

8,713

0.01

703,606

0.90

77,074,638

98.09

Total swaptions Unrealised gain on forward foreign currency contracts - 703,606 (see below) (31 December 2016: 1,155,073)

Currency options - (25,365) (31 December 2016: (117,205))

* Part of the holding is held as collateral by Bank of America Merrill Lynch, Citigroup Global Markets Limited and JPMorgan Chase Bank in respect of currency options, futures options, future contracts, swaptions and forward foreign currency contracts held by the Fund. The counterparties for currency options are Barclays Bank PLC, Citigroup Global Markets Limited, Goldman Sachs and JPMorgan Chase Bank. The counterparty for future options is Bank of America Merrill Lynch. The counterparty for futures contracts is Bank of America Merrill Lynch. The counterparty for swaptions is Citigroup Global Markets Limited. The counterparty for interest rate swaps is Bank of America Merrill Lynch.

Analysis of portfolio

Canadian dollar/Japanese yen Call 10-Jan-2018 92.000 Euro/Norwegian krone Call 01-Feb-2018 9.700 Euro/Sterling Call 22-Feb-2018 0.960 Euro/Swedish krona Call 09-Mar-2018 10.200 Norwegian krone/Swedish krona Put 29-Jan-2018 1.000 US dollar/Russian rouble Call 06-Mar-2018 62.000 US dollar/Turkish lira Call 12-Feb-2018 4.260 US dollar/Turkish lira Call 27-Feb-2018 4.320

(167) (11,929) (154) (1,806) (6,041) (3,161) (852) (1,255)

(0.00) (0.02) (0.00) (0.00) (0.01) (0.00) (0.00) (0.00)

(25,365)

(0.03)

Total assets Total currency options

(64,144)

856,188

Total open futures contracts

Swaptions - 8,713 (31 December 2016: –)

(1,975,000) (700,000) (700,000) (650,000) (6,300,000) (800,000) (775,000) (800,000)

(0.00) (0.00) (0.01) (0.01) (0.04) (0.02) (0.00)

Open futures contracts - (90,309) (31 December 2016: (357,970))

Total open futures contracts

Total ﬁnancial assets at fair value through proﬁt or loss

Holdings Description

Underlying exposure USD

(1,278) (2,096) (9,752) (5,002) (27,357) (16,399) (2,260)

% of Total Assets 91.30 2.80 0.32 1.17 4.41

100.00

150

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BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Opportunistic Bond Fund Peruvian nuevo sol US dollar Czech koruna US dollar Hungarian forint

US dollar

Indonesian rupiah US dollar Norwegian krone US dollar Norwegian krone US dollar Polish zloty US dollar Singapore dollar Sterling

US dollar US dollar

Swedish krona US dollar US dollar

US dollar Mexican peso Argentinian peso

US dollar

Argentinian peso

4,140,000 34,360,000 414,300,000 31,765,830,000 13,080,000 12,190,000 5,640,000 1,520,000 1,180,000 26,745,000 671,023 654,083 936,052

Peruvian nuevo sol

US dollar

Peruvian nuevo sol

US dollar

Peruvian nuevo sol

Argentinian peso US dollar Argentinian peso US dollar US dollar US dollar

US dollar Australian dollar Canadian dollar Canadian dollar

US dollar

Chilean peso

US dollar

Colombian peso

US dollar US dollar

Euro Euro

US dollar US dollar US dollar

Euro Euro Hungarian forint

US dollar

Indian rupee

US dollar US dollar

Japanese yen Korean won

US dollar US dollar

New Zealand dollar Philippine peso

US dollar

Polish zloty

US dollar

Russian rouble

US dollar

South African rand

US dollar

South African rand

US dollar

South African rand

US dollar US dollar

South African rand South African rand

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Opportunistic Bond Fund cont’d.

1,268,577 10-Jan-18 Goldman Sachs 1,573,818 31-Jan-18 Citigroup Global Markets Limited 1,567,833 31-Jan-18 Citigroup Global Markets Limited 2,331,009 31-Jan-18 JPMorgan Chase Bank 1,574,265 31-Jan-18 JPMorgan Chase Bank 1,458,875 31-Jan-18 HSBC Bank plc 1,549,706 31-Jan-18 JPMorgan Chase Bank 1,114,329 31-Jan-18 UBS AG 1,586,132 31-Jan-18 JPMorgan Chase Bank 3,177,970 31-Jan-18 HSBC Bank plc 12,940,000 31-Jan-18 Goldman Sachs 12,000,000 15-Mar-18 Citigroup Global Markets Limited 17,170,000 15-Mar-18 Citigroup Global Markets Limited

USD US dollar

Buy

890,000 10-Jan-18 Citigroup Global Markets Limited 302,147 980,000 10-Jan-18 JPMorgan Chase Bank 699,495 2,270,000 10-Jan-18 Citigroup Global Markets Limited 5,520,000 297,574 23-Jan-18 Citigroup Global Markets Limited 4,300,000 232,432 31-Jan-18 HSBC Bank plc 357,379 470,000 31-Jan-18 HSBC Bank plc 2,076,569 2,660,000 31-Jan-18 HSBC Bank plc 202,350 260,000 31-Jan-18 Bank of America Securities Ltd 882,145 563,710,000 31-Jan-18 JPMorgan Chase Bank 30,051 92,210,000 31-Jan-18 JPMorgan Chase Bank 2,690,461 2,275,000 31-Jan-18 UBS AG 5,736,338 4,850,000 31-Jan-18 JPMorgan Chase Bank 3,583,975 3,030,000 31-Jan-18 Goldman Sachs 2,814,636 2,380,000 31-Jan-18 HSBC Bank plc 1,559,145 414,300,000 31-Jan-18 Citigroup Global Markets Limited 147,812 9,645,000 31-Jan-18 JPMorgan Chase Bank 2,357,142 266,675,000 31-Jan-18 HSBC Bank plc 1,530,977 1,702,860,000 31-Jan-18 JPMorgan Chase Bank 3,835,431 5,530,000 31-Jan-18 HSBC Bank plc 1,144,713 59,030,000 31-Jan-18 JPMorgan Chase Bank 1,565,688 5,640,000 31-Jan-18 JPMorgan Chase Bank 517,771 30,695,000 31-Jan-18 JPMorgan Chase Bank 3,282,884 47,330,000 31-Jan-18 Citigroup Global Markets Limited 114,818 1,560,000 31-Jan-18 Citigroup Global Markets Limited 424,707 5,850,000 31-Jan-18 Citigroup Global Markets Limited 189,582 2,620,000 31-Jan-18 Goldman Sachs 113,626 1,550,000 31-Jan-18 HSBC Bank plc

8,479

US dollar

Sterling

1,087,982

39,071

US dollar

Taiwanese dollar

3,132,414

36,692

US dollar

Turkish lira

751,543

13,404

US dollar

Turkish lira

747,916

815,000 31-Jan-18 JPMorgan Chase Bank 94,270,000 31-Jan-18 Citigroup Global Markets Limited 2,940,000 31-Jan-18 JPMorgan Chase Bank 2,930,000 31-Jan-18 JPMorgan Chase Bank

22,566 29,303

(62,254) (18,831) (19,838)

USD (1,444,900)

69,918 23,962 9,830 89,289 17,944

(14,314)

Net USD (958,456)

BNY Mellon Global Opportunistic Bond Fund EUR H (Hedged) Share Class Euro

US dollar

919,340

51,759

1,088,057 12-Jan-18 The Bank of New York Mellon

14,795

74,227

USD

14,795

486,444

EUR

12,341

272,663

(1,873) (151)

BNY Mellon Global Opportunistic Bond Fund Sterling I (Acc) (Hedged) Share Class Sterling

US dollar

14,972,180

20,034,325 12-Jan-18 The Bank of New York Mellon

202,367

(727) (13,406) (11,926) (10,168) (47,455)

USD

202,367

GBP

149,774

(5,262) (34,712) (754) (41,951) (88,804) (55,237) (43,887) (45,381) (2,871) (16,494) (64,923) (101,504) (40,648) (53,936) (10,826) (543,354) (11,295) (48,217) (22,223) (11,678)

151

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BNY MELLON GLOBAL OPPORTUNITIES FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds United States of America - 4,971,525 (31 December 2016: 8,201,332) 2,380,500 United States Treasury Bill 0.000% 04-Jan-2018 2,597,100 United States Treasury Bill 0.000% 01-Mar-2018

Total investments in bonds

4,971,525

6.70

2,380,100

3.21

2,591,425

3.49

4,971,525

6.70

2,581,207

3.48

1,684,796 896,411

2.27 1.21

Equities Canada - 2,581,207 (31 December 2016: 1,372,661) 20,168 Intact Financial Corp 24,361 Suncor Energy Inc

France - 1,920,971 (31 December 2016: 3,422,801) 71,358 Vivendi SA

Germany - 1,940,745 (31 December 2016: 3,028,667) 17,311 SAP SE

Hong Kong - 1,198,577 (31 December 2016: 1,343,527) 140,600 AIA Group Ltd

Ireland - 1,143,654 (31 December 2016: –) 175,473 AIB Group Plc

Israel - 1,376,472 (31 December 2016: 4,025,905) 186,795 Bank Hapoalim BM

Japan - 6,760,282 (31 December 2016: 5,536,200) 24,600 56,500 36,500 22,300 56,100

Ebara Corp Japan Tobacco Inc Suntory Beverage & Food Ltd Suzuki Motor Corp Yokogawa Electric Corp

Mexico - 1,831,817 (31 December 2016: 2,217,871) 481,174 Gentera SAB de CV 600,000 Wal-Mart de Mexico SAB de CV

Netherlands - 3,290,255 (31 December 2016: 4,019,255) 89,580 RELX NV 23,476 Wolters Kluwer NV

Norway - 492,902 (31 December 2016: 1,936,867) 26,474 DNB ASA

South Korea - 844,590 (31 December 2016: –) 4,416 Samsung SDI Co Ltd

Holdings Description

Equities cont’d. Switzerland - 2,951,261 (31 December 2016: 1,818,773) 13,196 Novartis AG 7,257 Roche Holding AG

United Kingdom - 8,604,328 (31 December 2016: 13,041,003) 12,258 56,135 28,759 121,130 20,473 35,136

Associated British Foods Plc Diageo Plc Ferguson Plc Informa Plc Johnson Matthey Plc Unilever NV

United States of America - 33,298,617 (31 December 2016: 54,649,805) 12,543 2,416 27,112 7,082 40,206 39,711 9,267 51,384 23,540 29,826 7,850 16,673 26,462 5,331 21,547 32,784 33,288 26,483 26,282 23,443 17,886 73,332

Accenture Plc Alphabet Inc - Class A Altria Group Inc Apple Inc Blue Buffalo Pet Products Inc CA Inc CH Robinson Worldwide Inc Cisco Systems Inc Citigroup Inc ConocoPhillips Costco Wholesale Corp Discovery Communications Inc - Class A Gilead Sciences Inc Intuit Inc Medtronic Plc Microsoft Corp Newell Brands Inc TJX Cos Inc/The Trimble Inc TripAdvisor Inc Walgreens Boots Alliance Inc Western Union Co/The

1,920,971

2.59

1,920,971

2.59

1,940,745

2.62

1,940,745

2.62

1,198,577

1.61

1,198,577

1.61

1,143,654

1.54

1,143,654

1.54

1,376,472

1.85

1,376,472

1.85

6,760,282

9.11

939,048 1,822,573 1,626,872 1,294,813 1,076,976

1.27 2.46 2.19 1.74 1.45

1,831,817

2.47

395,320 1,436,497

0.53 1.94

Total index options

3,290,255

4.43

Unrealised gain on forward foreign currency contracts - 122,588 (see below) (31 December 2016: 570,053)

2,061,409 1,228,846

2.78 1.65

492,902

0.66

492,902

0.66

844,590

1.14

844,590

1.14

Total investments in equities

Fair Total value net assets USD %

2,951,261

3.98

1,117,761 1,833,500

1.51 2.47

8,604,328

11.59

466,563 2,052,226 2,072,089 1,182,069 849,503 1,981,878

0.63 2.77 2.79 1.59 1.14 2.67

33,298,617

44.87

1,925,664 2,550,885 1,932,408 1,211,482 1,314,334 1,330,120 828,887 1,982,652 1,767,265 1,646,246 1,464,967 375,893 1,917,833 845,203 1,752,310 2,809,753 1,032,594 2,022,374 1,077,168 808,901 1,304,337 1,397,341

2.60 3.44 2.60 1.63 1.77 1.79 1.12 2.67 2.38 2.22 1.97 0.51 2.58 1.14 2.36 3.79 1.39 2.73 1.45 1.09 1.76 1.88

68,235,678

91.94

24,905 81,570

0.03 0.11

106,475

0.14

122,588

0.16

73,436,266

98.94

Index options - 106,475 (31 December 2016: –) 17 Euro STOXX 50 Index Put 20-Apr-2018 3,525.000 35 Euro STOXX 50 Index Put 20-Apr-2018 3,650.000

Total ﬁnancial assets at fair value through proﬁt or loss

152

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BNY MELLON GLOBAL OPPORTUNITIES FUND

Portfolio of investments – as at 31December2017

Description Unrealised loss on forward foreign currency contracts - (16,373) (see below) (31 December 2016: (384,937))

Fair Total value net assets USD %

(0.02)

(16,373)

(0.02)

Net current assets

796,608

1.08

74,216,501

100.00

The counterparty for index options is UBS AG.

Total assets

Buy Holdings Description Sell

Amount (B)

Amount (S)

Fair Total value net assets Settle Unrealised % Date Counterparty Gain/(Loss)

BNY Mellon Global Opportunities Fund (16,373)

Total ﬁnancial liabilities at fair value through proﬁt or loss

Total net assets

Forward foreign currency contracts

% of Total Assets 97.68 0.14 0.16 2.02

Euro

US dollar

US dollar US dollar

Mexican peso Hong Kong dollar

671 8,718 5,067

802 02-Jan-18 JPMorgan Chase Bank 171,703 02-Jan-18 State Street Bank 39,589 03-Jan-18 The Bank of New York Mellon

USD US dollar

Canadian dollar

12,488

US dollar US dollar US dollar

Euro Israeli shekel Norwegian krone

50,043 6,673 2,392

US dollar US dollar

Sterling Swiss franc

32,135 14,303

US dollar

Japanese yen

34,048

US dollar

Sterling

1,085,238

100.00

3 2 1

15,660 02-Jan-18 Royal Bank ofScotland 41,762 02-Jan-18 UBS AG 23,180 02-Jan-18 State Street Bank 19,618 02-Jan-18 Canadian Imperial Bank 23,787 02-Jan-18 UBS AG 13,956 03-Jan-18 JPMorgan Chase Bank 3,831,533 09-Jan-18 JPMorgan Chase Bank 814,000 13-Feb-18 JPMorgan Chase Bank

(16,116)

USD

(16,177)

Net USD

(16,171)

(5) (23) (5) (1) (4) (5) (18)

BNY Mellon Global Opportunities Fund EUR H (Hedged) Share Class Euro

US dollar

3,000

Euro

US dollar

17,197

Euro

US dollar

1,019,179

Euro

US dollar

225,967

US dollar

Euro

586

US dollar

Euro

4,003

3,568 12-Jan-18 The Bank of New York Mellon 20,434 12-Jan-18 The Bank of New York Mellon 1,206,218 12-Jan-18 The Bank of New York Mellon 266,776 12-Jan-18 The Bank of New York Mellon

31 195 16,402 4,297

USD

20,925

EUR

17,454

494 12-Jan-18 The Bank of New York Mellon 3,391 12-Jan-18 The Bank of New York Mellon

(6) (64)

USD

(70)

EUR

(58)

Net USD

20,855

Net EUR

17,396

153

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BNY MELLON GLOBAL OPPORTUNITIES FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Opportunities Fund EUR I (Hedged) Share Class Euro

US dollar

27,325

Euro

US dollar

3,119

Euro

US dollar

5,926

Euro

US dollar

2,493

Euro

US dollar

6,242,560

Euro

US dollar

25,664

Euro

US dollar

9,910

US dollar

Euro

7,057

US dollar

Euro

5,247

32,418 12-Jan-18 The Bank of New York Mellon 3,706 12-Jan-18 The Bank of New York Mellon 7,062 12-Jan-18 The Bank of New York Mellon 2,950 12-Jan-18 The Bank of New York Mellon 7,388,192 12-Jan-18 The Bank of New York Mellon 30,299 12-Jan-18 The Bank of New York Mellon 11,665 12-Jan-18 The Bank of New York Mellon

362 35 47 41 100,460 488 224

USD

101,657

EUR

84,795

5,926 02-Jan-18 The Bank of New York Mellon 4,439 12-Jan-18 The Bank of New York Mellon

(48) (78)

USD

(126)

EUR

(105)

Net USD

101,531

Net EUR

84,690

154

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BNY MELLON GLOBAL REAL RETURN FUND (EUR) Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Collective investment schemes Guernsey - 95,092,541 (31 December 2016: 118,318,505) 8,738,675 3,948,826 16,129,161 7,007,550 18,374,011 10,938,508

Blueﬁeld Solar Income Fund Ltd HICL Infrastructure Co Ltd/Fund International Public Partnerships Ltd John Laing Environmental Assets Group Ltd John Laing Infrastructure Fund Ltd NextEnergy Solar Fund Ltd

Ireland - 83,055,265 (31 December 2016: 248,385,151) 3,903,399 iShares Physical Gold ETC

Jersey - 11,098,056 (31 December 2016: 11,085,566) 9,138,836 Foresight Solar Fund Ltd

Luxembourg - 7,127,440 (31 December 2016: 7,216,786) 4,493,103 BBGI SICAV SA/Fund

United Kingdom - 26,009,361 (31 December 2016: 18,564,696)

Bonds cont’d. 95,092,541

2.46

11,560,057 7,045,108 28,467,040 8,618,451 25,471,109 13,930,776

0.30 0.18 0.74 0.22 0.66 0.36

83,055,265

2.14

83,055,265

2.14

11,098,056

0.29

11,098,056

0.29

7,127,440

0.18

7,127,440

0.18

26,009,361

0.67

Total investments in collective investment schemes 222,382,663

5.74

Brazil - 53,989,133 (31 December 2016: –) 50,702,000 Brazilian Government International Bond 4.875% 22-Jan-2021 11,621,000 Brazilian Government International Bond 5.000% 27-Jan-2045

Canada - 65,810,826 (31 December 2016: –) 99,095,000 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027

Cayman Islands - 12,645,445 (31 December 2016: 6,346,379) 3,284,632 Dwr Cymru Financing Ltd 1.859% 31-Mar-2048 6,811,000 Sable International Finance Ltd 144A 6.875% 01-Aug-2022

France - 2,022,307 (31 December 2016: 18,334,619) 2,339,000 SFR Group SA 144A 7.375% 01-May-2026

India - 5,324,621 (31 December 2016: –) 400,000,000 National Highways Authority of India 7.300% 18-May-2022

Indonesia - 20,957,971 (31 December 2016: –)

Japan - 7,997,366 (31 December 2016: –)

Jersey - 2,336,103 (31 December 2016: 2,109,449) 2,026,000 CPUK Finance Ltd 4.250% 28-Aug-2022

Luxembourg - 10,191,919 (31 December 2016: 10,499,781)

Bonds

116,823,000 Australia Government Bond 3.000% 21-Mar-2047 36,119,000 Australia Government Bond 3.250% 21-Jun-2039 72,735,000 Australia Government Bond 3.750% 21-Apr-2037 34,148,000 New South Wales Treasury Corp 2.750% 20-Nov-2025 36,036,000 Treasury Corp of Victoria 5.500% 17-Nov-2026

4,006,000 Ecuador Government International Bond 8.875% 23-Oct-2027

9,684,000 SoftBank Group Corp 6.000% Perpetual VAR

0.67

Australia - 207,643,077 (31 December 2016: 220,645,815)

Ecuador - 3,688,219 (31 December 2016: –)

304,462,000,000 Indonesia Treasury Bond 8.250% 15-May-2036

26,009,361

18,815,829 Greencoat UK Wind Plc/Funds

Holdings Description

Fair Total value net assets EUR %

9,724,000 SIG Combibloc Holdings SCA 7.750% 15-Feb-2023

3,688,219

0.10

3,688,219

0.10

2,022,307

0.05

2,022,307

0.05

5,324,621

0.14

5,324,621

0.14

20,957,971

0.54

20,957,971

0.54

7,997,366

0.21

7,997,366

0.21

2,336,103

0.06

2,336,103

0.06

10,191,919

0.26

10,191,919

0.26

207,643,077

5.36

71,236,976

1.84

Mexico - 60,566,290 (31 December 2016: 19,447,896)

60,566,290

1.56

23,808,133

0.62

1,271,435,100 Mexican Bonos 10.000% 05-Dec-2024

60,566,290

1.56

51,959,732

1.34

21,732,713

0.56

32,278,144

0.83

17,690,188

0.46

28,360,092

0.73

4,042,525

0.10

90,635,978

2.34

10,074,564

0.26

19,551,898

0.51

31,808,523

0.82

29,200,993

0.75

2,028,423

0.05

2,028,423

0.05

53,989,133

1.40

44,935,447

1.16

9,053,686

0.24

65,810,826

1.70

65,810,826

1.70

12,645,445

0.33

Netherlands - 21,732,713 (31 December 2016: –) 21,155,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 4,403,000 Petrobras Global Finance BV 7.375% 17-Jan-2027

New Zealand - 90,635,978 (31 December 2016: 109,309,207) 15,620,000 New Zealand Government Bond 2.500% 20-Sep-2040 35,384,000 New Zealand Government Bond 2.750% 15-Apr-2037 46,761,000 New Zealand Government Bond 4.500% 15-Apr-2027 43,552,000 New Zealand Government Bond 6.000% 15-May-2021

Peru - 2,028,423 (31 December 2016: –) 2,305,000 Petroleos del Peru SA 5.625% 19-Jun-2047

6,609,089

0.17

6,036,356

0.16

155

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BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Bonds cont’d. United Kingdom - 66,439,340 (31 December 2016: 70,936,662) 689,000 Anglian Water Services Financing Plc 3.666% 30-Jul-2024 853,000 Anglian Water Services Financing Plc 4.125% 28-Jul-2020 10,642,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 2,381,000 British Telecommunications Plc 3.500% 25-Apr-2025 1,581,290 High Speed Rail Finance 1 Plc 1.566% 01-Nov-2038 2,665,000 National Grid Electricity Transmission Plc 2.983% 08-Jul-2018 3,401,562 Network Rail Infrastructure Finance Plc 1.750% 22-Nov-2027 5,840,000 Tesco Plc 3.322% 05-Nov-2025 3,493,000 Tesco Plc 6.125% 24-Feb-2022 11,437,176 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040

Equities cont’d. 66,439,340 1,576,549

0.04

1,792,910

0.05

12,530,673

0.32

5,638,499

0.15

2,511,905

0.06

4,877,853

0.13

5,237,705 12,516,019 4,545,189

0.14 0.32 0.12 0.39

United States of America - 583,692,822 (31 December 2016: 991,372,995) 583,692,822

15.08

Total investments in bonds

31,486,823

5,671,226 Dexus 943,916 Newcrest Mining Ltd

246,099 2,846,769 1,024,690 968,364 596,460 2,491,915 1,749,759 1,858,504 2,563,971 1,038,272

6,889,138

0.18

4,633,481 15,881,176 11,502,022 1,098,208 22,519,304 8,944,620 8,696,432 8,069,960 9,793,237

0.12 0.41 0.30 0.03 0.58 0.23 0.22 0.21 0.25

116,774,793

3.02

80,398,102

2.08

110,763,051

2.86

93,482,072

2.42

43,141,844 9,618,559

1.11 0.25

1,217,702,553

31.46

50,152,505

1.30

36,105,112 14,047,393

0.93 0.37

Agnico Eagle Mines Ltd Alacer Gold Corp Alamos Gold Inc Barrick Gold Corp Detour Gold Corp Eldorado Gold Corp Kinross Gold Corp New Gold Inc OceanaGold Corp Wheaton Precious Metals Corp

Denmark - 43,347,693 (31 December 2016: 35,206,203) 952,250 Orsted A/S 144A

France - 99,747,265 (31 December 2016: 74,153,933) 334,545 Thales SA 904,052 TOTAL SA 1,248,728 Vivendi SA

Germany - 179,446,290 (31 December 2016: 130,616,823)

0.81

Equities Australia - 50,152,505 (31 December 2016: 52,137,082)

Canada - 75,994,872 (31 December 2016: 137,051,575)

1.72

15,212,038

37,558,000 AT&T Inc 3.400% 14-Aug-2024 8,038,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 5,380,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.875% 01-May-2027 17,942,000 CEMEX Finance LLC 6.000% 01-Apr-2024 13,855,000 EMC Corp 1.875% 01-Jun-2018 1,269,000 Post Holdings Inc 144A 5.500% 01-Mar-2025 23,630,000 Sprint Capital Corp 8.750% 15-Mar-2032 10,513,000 Sprint Corp 7.125% 15-Jun-2024 9,824,000 Sprint Corp 7.875% 15-Sep-2023 9,247,000 T-Mobile USA Inc 6.000% 01-Mar-2023 11,050,000 T-Mobile USA Inc 6.000% 15-Apr-2024 140,975,700 United States Treasury Note/Bond 1.500% 31-Oct-2019 97,669,100 United States Treasury Note/Bond 2.125% 31-Jul-2024 134,703,600 United States Treasury Note/Bond 2.125% 30-Sep-2024 113,879,300 United States Treasury Note/Bond 2.250% 15-Nov-2027 51,790,400 United States Treasury Note/Bond 2.750% 15-Nov-2047 9,930,000 Western Digital Corp 10.500% 01-Apr-2024

Holdings Description

Fair Total value net assets EUR %

327,626 1,044,334 1,418,609 234,159 160,759 6,640,897 238,997

Bayer AG Deutsche Wohnen SE Inﬁneon Technologies AG LEG Immobilien AG SAP SE Telefonica Deutschland Holding AG Vonovia SE

Guernsey - 32,927,416 (31 December 2016: 16,337,455)

75,994,872

1.96

9,542,575 4,196,011 5,591,355 11,667,860 5,729,396 2,993,099 6,287,568 5,120,054 5,638,912 19,228,042

0.25 0.11 0.14 0.30 0.15 0.08 0.16 0.13 0.14 0.50

43,347,693

1.12

43,347,693

1.12

99,747,265

2.58

29,915,014 41,792,064 28,040,187

0.77 1.08 0.73

179,446,290

4.64

34,007,579 37,877,994 32,755,682 22,225,202 15,033,378 27,699,181 9,847,274

0.88 0.98 0.85 0.57 0.39 0.72 0.25

32,927,416

0.85

11,476,485 Amedeo Air Four Plus Ltd 15,787,078 Renewables Infrastructure Group Ltd/The

13,613,499 19,313,917

0.35 0.50

Hong Kong - 61,347,514 (31 December 2016: –)

61,347,514

1.58

48,976,011 12,371,503

1.26 0.32

48,728,413

1.26

20,107,132 14,700,886 13,920,395

0.52 0.38 0.36

118,448,803

3.06

66,146,163 26,342,751 23,774,388 2,185,501

1.71 0.68 0.61 0.06

72,971,863

1.88

28,365,762 15,633,693

0.73 0.40

6,887,600 AIA Group Ltd 1,600,500 Link REIT

India - 48,728,413 (31 December 2016: 8,751,460) 5,842,932 ITC Ltd 1,996,550 LIC Housing Finance Ltd 2,543,114 Vakrangee Ltd

Ireland - 118,448,803 (31 December 2016: 86,668,867) 516,524 4,845,535 796,773 2,047,308

Accenture Plc AIB Group Plc CRH Plc Greencoat Renewables Plc

Japan - 72,971,863 (31 December 2016: 100,190,739) 1,054,200 Japan Tobacco Inc 420,500 Suntory Beverage & Food Ltd

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Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Equities cont’d.

Holdings Description

Equities cont’d.

Japan cont’d. 374,200 Suzuki Motor Corp 677,500 Yokogawa Electric Corp

Jersey - 67,794,363 (31 December 2016: 48,063,421) 751,894 Ferguson Plc 82,790 Randgold Resources Ltd 1,868,375 UBM Plc

Mexico - 17,482,164 (31 December 2016: –) 8,754,000 Wal-Mart de Mexico SAB de CV

Netherlands - 152,539,851 (31 December 2016: 176,167,962) 2,523,207 RELX NV 667,264 Unilever NV 1,665,322 Wolters Kluwer NV

South Africa - 6,438,504 (31 December 2016: 6,368,938) 1,758,136 Gold Fields Ltd

South Korea - 65,759,372 (31 December 2016: 32,422,814)

United States of America cont’d. 18,123,459 10,848,949

0.47 0.28

67,794,363

1.75

45,188,326 6,860,436 15,745,601

1.17 0.18 0.40

17,482,164

0.45

17,482,164

0.45

152,539,851

3.94

48,432,958 31,394,771 72,712,122

1.25 0.81 1.88

6,438,504

0.17

6,438,504

0.17

1.70

10,310,589 55,448,783

0.27 1.43

183,085,958

4.73

1,273,691 Novartis AG 308,491 Roche Holding AG 110,901 Zurich Insurance Group AG

89,992,348 65,013,171 28,080,439

2.32 1.68 0.73

Taiwan - 49,843,391 (31 December 2016: –)

49,843,391

1.29

1,503,832 Taiwan Semiconductor Manufacturing Co Ltd ADR 49,843,391

1.29

Switzerland - 183,085,958 (31 December 2016: 162,436,537)

United Kingdom - 366,510,154 (31 December 2016: 385,091,392) 893,152 1,417,672 832,352 280,235 22,828,340 30,848,016 1,356,255 442,198 4,166,887 2,252,471 16,135,982

Associated British Foods Plc BAE Systems Plc British American Tobacco Plc ADR British American Tobacco Plc Centrica Plc Cobham Plc Diageo Plc Fresnillo Plc Informa Plc Royal Dutch Shell Plc Vodafone Group Plc

366,510,154

9.47

28,356,393 9,143,244 46,215,537 15,661,500 35,209,342 44,032,283 41,358,787 6,992,190 33,918,610 63,135,520 42,486,748

0.73 0.24 1.19 0.40 0.91 1.14 1.07 0.18 0.88 1.63 1.10

United States of America - 455,021,336 (31 December 2016: 529,319,592) 455,021,336 922,424 429,773 2,165,349 2,025,568 1,312,073 1,230,314

Abbott Laboratories Albemarle Corp CA Inc Cisco Systems Inc CMS Energy Corp Eversource Energy

607,438 1,089,429 653,711 33,465

Maxim Integrated Products Inc Microsoft Corp Newell Brands Inc Newmont Mining Corp

Total investments in equities

44,199,552 46,053,113 60,498,266 65,192,911 51,871,113 64,596,985

26,765,571 77,882,545 16,914,635 1,046,645

0.69 2.01 0.44 0.03

2,147,587,727

55.49

Index options - 2,650,904 (31 December 2016: –) 1,779 1,187 1,376 2,159

CBOE S&P 500 Index Call 29-Dec-2017 2,675.000 CBOE S&P 500 Index Put 18-Jan-2018 2,450.000 CBOE S&P 500 Index Put 18-Jan-2018 2,600.000 FTSE 100 Index Put 19-Jan-2018 7,075.000

Total index options

Holdings Description

65,759,372

1,604,961 Macquarie Korea Infrastructure Fund 347,568 Samsung SDI Co Ltd

Fair Total value net assets EUR %

Underlying exposure EUR

1,795,545 171,290 562,405 121,664

0.05 0.00 0.02 0.00

2,650,904

0.07

Fair Total value net assets EUR %

Open futures contracts - 3,648,986 (31 December 2016: –) (231) DAX Index Short Futures Contracts Exp Mar-2018 (1,304) Euro STOXX 50 Index Short Futures Contracts Exp Mar-2018 (1,180) Euro-Bund Short Futures Contracts Exp Mar-2018

(74,558,137)

1,242,231

0.03

(45,561,760)

1,058,369

0.03

(190,829,600)

1,348,386

0.04

3,648,986

0.10

60,488,744

1.56

3,654,461,577

94.42

Total open futures contracts Unrealised gain on forward foreign currency contracts - 60,488,744 (see below) (31 December 2016: 23,324,103)

Total ﬁnancial assets at fair value through proﬁt or loss Index options - (29,678) (31 December 2016: –)

(1,779) CBOE S&P 500 Index Call 29-Dec-2017 2,700.000

Total index options

Holdings Description

Underlying exposure EUR

(29,678)

(0.00)

(29,678)

(0.00)

Fair Total value net assets EUR %

Open futures contracts - (11,835,391) (31 December 2016: (19,356,582)) 11.76 1.14 1.19 1.56 1.69 1.34 1.67

(1,226) E-mini S&P 500 Index Short Futures Contracts Exp Mar-2018 (647) FTSE 100 Index Short Futures Contracts Exp Mar-2018

(137,328,635)

(2,227,698)

(0.06)

(55,316,652)

(1,871,744)

(0.05)

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Portfolio of investments – as at 31December2017 Underlying exposure EUR

Holdings Description

Fair Total value net assets EUR %

(444,125,529)

Total open futures contracts

(7,735,949)

(0.20)

(11,835,391)

(0.31)

Unrealised loss on forward foreign currency contracts - (19,792,431) (see below) (31 December 2016: (137,485,437)) (19,792,431)

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

(31,657,500)

(0.51)

Total assets

Euro Euro

Japanese yen Japanese yen

Euro Euro

Japanese yen Japanese yen

Euro Euro Euro Euro Euro

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

Euro Euro

Japanese yen Japanese yen

(0.82)

247,624,824

6.40

3,870,428,901

100.00

Euro Euro Euro Euro Euro

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

% of Total Assets

Euro Euro Euro Euro Euro Euro

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

Euro Euro

Japanese yen Japanese yen

Euro Euro

Japanese yen Japanese yen

Euro

Japanese yen

Euro

Japanese yen

Euro Euro Euro Euro Euro Euro Euro

Japanese yen Japanese yen Sterling Sterling Sterling Sterling Sterling

Euro Euro Euro Euro

Sterling Sterling Sterling Sterling

Euro Euro Euro Euro Euro Euro Euro

Sterling Sterling Sterling Sterling Sterling Sterling Swiss franc

Euro Euro Euro Sterling

Swiss franc Swiss franc Swiss franc Euro

Sterling Sterling Sterling Sterling

Euro Euro Euro Euro

The counterparty for index options is UBS AG. The counterparty for futures contracts is UBS AG.

Analysis of portfolio

Buy Holdings Description Sell

Amount (B)

Amount (S)

Fair Total value net assets Settle Unrealised % Date Counterparty Gain/(Loss)

BNY Mellon Global Real Return Fund (EUR)

Open futures contracts cont’d. (793) S&P 500 Index Short Futures Contracts Exp Mar-2018

Forward foreign currency contracts

90.22 0.16 1.52 8.10

100.00

270,092 246,289

35,664,647 17-Jan-18 State Street Bank 32,955,606 17-Jan-18 Citigroup Global Markets Limited 186,614 24,679,041 17-Jan-18 State Street Bank 170,247 22,792,098 17-Jan-18 Citigroup Global Markets Limited 271,943 36,254,488 17-Jan-18 State Street Bank 348,776 46,263,674 17-Jan-18 State Street Bank 102,050,221 13,525,460,735 17-Jan-18 State Street Bank 306,980 40,618,107 17-Jan-18 State Street Bank 359,836 47,585,119 17-Jan-18 Royal Bank ofScotland 265,872 35,489,584 17-Jan-18 State Street Bank 297,008 39,290,457 17-Jan-18 Royal Bank ofScotland 242,547 32,199,505 17-Jan-18 UBS AG 290,012 38,798,321 17-Jan-18 UBS AG 346,772 46,119,251 17-Jan-18 State Street Bank 366,218 49,005,904 17-Jan-18 State Street Bank 29,911 3,989,567 17-Jan-18 JPMorgan Chase Bank 235,108 31,129,270 17-Jan-18 State Street Bank 384,285 50,921,679 17-Jan-18 UBS AG 463,775 61,824,038 17-Jan-18 UBS AG 606,706 80,406,824 17-Jan-18 UBS AG 273,196 36,420,166 17-Jan-18 UBS AG 217,981 28,769,624 17-Jan-18 Citigroup Global Markets Limited 362,482 48,326,233 17-Jan-18 UBS AG 247,932 33,006,042 17-Jan-18 Citigroup Global Markets Limited 235,058 31,463,801 17-Jan-18 State Street Bank 103,284 13,656,779 17-Jan-18 Citigroup Global Markets Limited 206,909 27,381,049 17-Jan-18 Citigroup Global Markets Limited 103,609 13,652,003 17-Jan-18 Citigroup Global Markets Limited 293,449 39,175,468 17-Jan-18 State Street Bank 304,471 40,436,657 17-Jan-18 State Street Bank 10,511,216 9,284,767 17-Jan-18 State Street Bank 260,177 230,056 17-Jan-18 State Street Bank 347,080 307,325 17-Jan-18 UBS AG 522,244 458,238 17-Jan-18 UBS AG 469,664 416,761 17-Jan-18 JPMorgan Chase Bank 580,737 512,591 17-Jan-18 UBS AG 333,449 293,914 17-Jan-18 UBS AG 216,417 191,346 17-Jan-18 State Street Bank 1,415,566 1,253,435 17-Jan-18 Canadian Imperial Bank 10,139,420 8,911,546 17-Jan-18 State Street Bank 1,114,024 987,019 17-Jan-18 State Street Bank 309,475 274,580 17-Jan-18 UBS AG 16,944,791 14,981,279 17-Jan-18 UBS AG 1,905,050 1,680,467 17-Jan-18 State Street Bank 6,724,398 5,867,149 17-Jan-18 State Street Bank 15,872,721 18,412,627 17-Jan-18 The Bank of New York Mellon 25,863,853 30,000,000 17-Jan-18 State Street Bank 176,062,262 202,082,328 17-Jan-18 State Street Bank 32,852,716 38,158,200 17-Jan-18 State Street Bank 1,697,474 1,902,569 17-Jan-18 Citigroup Global Markets Limited 600,290 664,296 17-Jan-18 State Street Bank 20,876,708 23,376,994 17-Jan-18 State Street Bank 14,678,911 16,448,949 17-Jan-18 State Street Bank 1,974,756 2,216,897 17-Jan-18 State Street Bank

5,741 2,018 3,690 1,309 3,220 5,864 1,797,728 5,914 7,129 2,818 5,782 3,880 2,434 4,930 2,979 340 4,373 6,847 5,527 10,720 3,245 4,737 4,282 3,287 1,844 2,058 3,957 2,418 3,076 4,750 51,449 1,007 862 6,015 161 3,277 2,340 856 3,506 100,105 2,097 146 67,610 11,918 114,753 124,989 205,809 3,227,691 217,225 9,723 11,962 141,690 87,598 7,767

158

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BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling

Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro

5,165,976 1,489,803 141,099 3,539,580 562,721 770,240 1,628,495 233,255 1,987,955 8,886,344 648,607 424,828

5,801,297 1,676,855 157,453 3,931,089 632,699 861,034 1,832,338 262,004 2,210,892 9,979,320 728,921 474,699

Sterling Sterling

Euro Euro

2,198,080 11,766,750

2,456,642 17-Jan-18 13,111,315 17-Jan-18

Sterling

Euro

986,805

1,110,855 17-Jan-18

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

Sterling

Euro

1,586,871

1,780,406 17-Jan-18

Sterling Sterling Sterling Sterling Sterling Sterling

Euro Euro Euro Euro Euro Euro

552,457 361,802 390,548 1,119,075 2,434,598 193,384

619,233 403,326 436,743 1,259,996 2,742,297 217,703

Sterling Canadian dollar Canadian dollar

Euro Euro Euro

4,480,213 422,873 1,164,366

5,022,598 17-Jan-18 279,586 13-Feb-18 764,735 13-Feb-18

Canadian dollar Euro Euro

Euro Canadian dollar Canadian dollar

20,049,390 13,227,469 13-Feb-18 95,403,282 141,806,198 13-Feb-18 11,463,524 17,218,098 13-Feb-18

Euro Euro

Hong Kong dollar Hong Kong dollar

52,549,090 477,366,440 13-Feb-18 3,961,595 36,629,624 13-Feb-18

Euro Euro Euro

US dollar US dollar US dollar

37,056,643 54,401,932 1,346,285

43,905,526 13-Feb-18 64,416,295 13-Feb-18 1,603,101 13-Feb-18

Euro Euro Euro

US dollar US dollar US dollar

366,881 369,227 1,922,587

438,153 13-Feb-18 437,356 13-Feb-18 2,251,298 13-Feb-18

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

Euro

US dollar

556,446

657,225 13-Feb-18

Euro Euro

US dollar US dollar

1,380,713 1,001,378

1,611,161 13-Feb-18 1,171,575 13-Feb-18

Euro Euro Euro Euro

US dollar US dollar US dollar US dollar

3,327,654 60,229,598 1,362,429 2,033,684

3,929,850 72,205,350 1,605,150 2,379,471

Euro Euro

US dollar US dollar

4,796,060 13,791,156

5,686,425 13-Feb-18 16,324,753 13-Feb-18

Euro Euro Euro Euro

US dollar US dollar US dollar US dollar

7,564,335 945,953 12,221,735 8,139,549

8,987,057 1,101,416 14,488,732 9,599,730

US dollar

Euro Euro

US dollar US dollar

1,333,401

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (EUR) cont’d.

Euro

Buy

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

1,550,790 13-Feb-18

4,421,938 5,254,746 13-Feb-18 1,511,306,637 1,760,270,224 13-Feb-18

State Street Bank 18,440 State Street Bank 1,484 State Street Bank 1,503 UBS AG 56,430 State Street Bank 1,236 UBS AG 6,681 State Street Bank 2,246 UBS AG 770 UBS AG 28,641 State Street Bank 31,603 UBS AG 1,768 JPMorgan Chase Bank 3,892 UBS AG 19,609 JPMorgan Chase Bank 144,533 JPMorgan Chase Bank 832 JPMorgan Chase Bank 7,286 State Street Bank 3,138 UBS AG 4,262 UBS AG 3,230 State Street Bank 700 UBS AG 402 Citigroup Global Markets Limited 154 UBS AG 24,592 State Street Bank 1,355 JPMorgan Chase Bank 8,825 State Street Bank 92,585 UBS AG 1,192,630 Canadian Imperial Bank 24,473 UBS AG 1,684,894 Royal Bank ofScotland 58,647 UBS AG 527,026 UBS AG 807,253 The Bank of New York Mellon 12,497 UBS AG 2,335 UBS AG 5,345 Citigroup Global Markets Limited 49,496 JPMorgan Chase Bank 9,631 State Street Bank 40,219 JPMorgan Chase Bank 26,622 State Street Bank 57,999 State Street Bank 154,386 UBS AG 26,936 JPMorgan Chase Bank 53,951 State Street Bank 64,926 JPMorgan Chase Bank 208,880 UBS AG 87,058 State Street Bank 29,569 UBS AG 167,037 JPMorgan Chase Bank 152,525 JPMorgan Chase Bank 43,136 State Street Bank 49,964 Royal Bank ofScotland 46,753,009

Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar

1,906,870 11,795,986 7,871,031 1,475,623 4,887,113

Euro

US dollar

1,131,763

Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar

3,989,982 14,025,807 12,063,829 1,723,711 20,280,408

Euro Korean won

US dollar Euro

1,901,716 3,886,211,598

2,270,367 13-Feb-18 3,001,863 13-Feb-18

Korean won Euro New Zealand dollar Euro New Zealand dollar Euro

52,745,777 410,441 4,687,911

40,743 13-Feb-18 241,824 13-Feb-18 2,718,323 13-Feb-18

New Zealand dollar Euro

6,948,323

3,999,805 13-Feb-18

New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar Australian dollar

657,091 1,008,896 520,100 1,640,729 586,934

Euro Euro Euro Euro Euro

2,222,286 13,916,928 9,287,203 1,771,200 5,788,918

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

1,343,677 13-Feb-18 4,730,643 16,715,680 14,280,860 2,033,362 24,106,693

389,084 597,341 304,984 971,513 379,749

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 16-Mar-18

UBS AG UBS AG UBS AG State Street Bank Citigroup Global Markets Limited Royal Bank ofScotland UBS AG State Street Bank State Street Bank State Street Bank Canadian Imperial Bank State Street Bank Royal Bank ofScotland State Street Bank UBS AG JPMorgan Chase Bank JPMorgan Chase Bank UBS AG UBS AG UBS AG UBS AG UBS AG

57,917 217,032 144,032 1,976 70,705 13,817 54,064 118,277 182,083 31,944 223,519 12,760 29,192 396 1,252 57,999 115,200 65 157 3,035 176 1,365

EUR 60,411,057 Euro Euro Euro Euro Euro

New Zealand dollar New Zealand dollar Sterling Sterling Sterling

974,316 599,011 7,379,676 507,143 102,284

1,640,729 1,008,896 6,562,894 455,331 91,297

03-Jan-18 04-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

Euro Euro Euro Euro

Sterling Sterling Sterling Sterling

Euro

Sterling

274,450

Euro Euro Euro Euro

Sterling Sterling Sterling Sterling

3,651,919 869,512 201,729 25,593

Euro Euro Euro

Sterling Sterling Sterling

262,658 817,438 14,696,532

Euro Euro Euro Euro Euro Japanese yen Japanese yen Japanese yen

Sterling Sterling Sterling Sterling Sterling Euro Euro Euro

2,450,627 8,484,807 479,544 180,114 239,299 263,077,945 1,965,548,186 608,712,347

Japanese yen Japanese yen

Euro Euro

693,111,349 198,228,641

5,160,338 17-Jan-18 1,493,963 17-Jan-18

Japanese yen Japanese yen

Euro Euro

1,248,824,234 1,138,112,807

9,463,500 17-Jan-18 8,571,772 17-Jan-18

756,176,512 675,928,036 17-Jan-18 472,061 422,384 17-Jan-18 583,178 520,555 17-Jan-18 714,202 635,550 17-Jan-18 243,750 17-Jan-18 3,267,215 771,949 180,334 22,882

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

235,935 17-Jan-18 732,972 17-Jan-18 13,091,641 17-Jan-18 2,182,610 7,566,595 428,717 161,035 213,465 1,989,062 14,897,322 4,516,568

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

UBS AG UBS AG UBS AG State Street Bank JPMorgan Chase Bank State Street Bank State Street Bank UBS AG JPMorgan Chase Bank Citigroup Global Markets Limited State Street Bank UBS AG UBS AG Royal Bank ofScotland UBS AG State Street Bank Royal Bank ofScotland State Street Bank State Street Bank State Street Bank State Street Bank State Street Bank State Street Bank State Street Bank JPMorgan Chase Bank UBS AG Citigroup Global Markets Limited UBS AG State Street Bank

(316) (251) (13,761) (5,811) (566) (5,291,151) (3,776) (3,254) (1,777) (147) (28,766) (129) (1,427) (185) (3,135) (8,292) (51,875) (8,195) (39,351) (3,428) (1,300) (1,180) (39,094) (328,420) (4,712) (22,906) (24,666) (207,050) (135,931)

159

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BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (EUR) cont’d. Japanese yen Sterling

Euro Euro

98,211,889 389,294

738,842 17-Jan-18 State Street Bank 440,398 17-Jan-18 Citigroup Global Markets Limited Sterling Euro 389,336 438,812 17-Jan-18 State Street Bank Sterling Euro 10,708,342 12,137,413 17-Jan-18 UBS AG Sterling Euro 1,172,821 1,331,107 17-Jan-18 Royal Bank ofScotland Sterling Euro 1,601,554 1,823,684 17-Jan-18 UBS AG Sterling Euro 1,383,162 1,568,034 17-Jan-18 State Street Bank Sterling Euro 1,518,122 1,720,311 17-Jan-18 UBS AG Sterling Euro 189,761 214,759 17-Jan-18 Royal Bank ofScotland Sterling Euro 524,652 593,099 17-Jan-18 Citigroup Global Markets Limited Sterling Euro 488,668 555,744 17-Jan-18 UBS AG Sterling Euro 467,063 530,696 17-Jan-18 Royal Bank ofScotland Sterling Euro 266,892 302,258 17-Jan-18 UBS AG Sterling Euro 961,787 1,084,049 17-Jan-18 State Street Bank Sterling Euro 1,355,433 1,546,061 17-Jan-18 UBS AG Sterling Euro 388,794 440,882 17-Jan-18 Citigroup Global Markets Limited Sterling Euro 3,106,661 3,503,691 17-Jan-18 State Street Bank Sterling Euro 355,775 401,474 17-Jan-18 Royal Bank ofScotland Sterling Euro 850,819 964,538 17-Jan-18 Royal Bank ofScotland Sterling Euro 232,190 262,227 17-Jan-18 State Street Bank Sterling Euro 2,014,332 2,282,937 17-Jan-18 State Street Bank Sterling Euro 11,400,015 12,930,728 17-Jan-18 UBS AG Swiss franc Euro 7,423,470 6,354,971 17-Jan-18 UBS AG Swiss franc Euro 5,478,510 4,699,886 17-Jan-18 State Street Bank Swiss franc Euro 46,990,794 40,202,312 17-Jan-18 State Street Bank Swiss franc Euro 19,105,165 16,367,476 17-Jan-18 The Bank of New York Mellon Canadian dollar Euro 2,175,515 1,446,513 13-Feb-18 State Street Bank Euro Canadian dollar 8,068,948 12,247,947 13-Feb-18 JPMorgan Chase Bank Euro Canadian dollar 8,353,390 12,630,810 13-Feb-18 State Street Bank Euro Korean won 30,266,823 39,407,403,913 13-Feb-18 State Street Bank Euro Korean won 2,997,001 3,886,211,598 13-Feb-18 Royal Bank ofScotland Euro Korean won 38,672,115 50,146,131,752 13-Feb-18 Royal Bank ofScotland Euro New Zealand dollar 28,395,734 48,048,735 13-Feb-18 Royal Bank ofScotland New Zealand dollar 27,235,876 47,646,824 13-Feb-18 State Street Bank Euro Euro New Zealand dollar 5,039,827 8,682,448 13-Feb-18 Royal Bank ofScotland Hong Kong dollar Euro 5,262,292 569,434 13-Feb-18 State Street Bank Hong Kong dollar Euro 2,012,040 215,661 13-Feb-18 The Bank of New York Mellon New Zealand dollar Euro 84,119 49,823 13-Feb-18 UBS AG US dollar Euro 249,075 209,381 13-Feb-18 State Street Bank US dollar Euro 11,061,301 9,298,008 13-Feb-18 UBS AG US dollar Euro 11,943,926 10,022,132 13-Feb-18 UBS AG US dollar Euro 10,738,543 9,010,753 13-Feb-18 Citigroup Global Markets Limited US dollar Euro 19,651,945 16,664,401 13-Feb-18 Canadian Imperial Bank US dollar Euro 693,076 585,775 13-Feb-18 State Street Bank US dollar Euro 7,265,608 6,151,500 13-Feb-18 State Street Bank US dollar Euro 1,837,996 1,554,924 13-Feb-18 State Street Bank US dollar Euro 874,710 732,540 13-Feb-18 UBS AG US dollar Euro 14,356,786 12,038,224 13-Feb-18 Royal Bank ofScotland US dollar Euro 3,972,182 3,350,054 13-Feb-18 UBS AG US dollar Euro 140,000,000 117,577,895 13-Feb-18 JPMorgan Chase Bank

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (EUR) cont’d. (10,883)

US dollar

Euro

10,000,000

(1,838) (205) (73,916)

US dollar US dollar US dollar US dollar US dollar

Euro Euro Euro Euro Euro

17,226,176 442,992 6,427,920 8,431,302 1,590,298

US dollar US dollar US dollar US dollar

Euro Euro Euro Euro

4,926,280 76,469,974 3,657,600 435,918

US dollar

Euro

222,843

US dollar

Euro

2,000,250

US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Euro Euro Euro Euro Euro Euro Euro

2,684,727 542,925 1,341,623 1,071,704 1,127,800 3,545,914 22,262,180

US dollar US dollar

Euro Euro

116,070,622 3,263,110

US dollar US dollar Euro

Euro Euro Australian dollar

470,475 1,107,786 217,696,262

(9,865) (19,451) (9,830) (10,068) (984) (2,051) (5,234) (4,526) (1,591) (547) (19,096) (2,885) (3,878) (675) (6,046) (653) (13,688) (88,026) (5,913) (14,291) (12,584)

8,401,077 13-Feb-18 JPMorgan Chase Bank (81,027) 14,446,206 13-Feb-18 UBS AG (113,941) 370,275 13-Feb-18 UBS AG (1,704) 5,399,413 13-Feb-18 UBS AG (51,351) 7,089,250 13-Feb-18 UBS AG (74,365) 1,348,281 13-Feb-18 Canadian Imperial Bank (25,144) 4,152,726 13-Feb-18 State Street Bank (54,036) 64,907,870 13-Feb-18 UBS AG (1,284,469) 3,091,499 13-Feb-18 State Street Bank (48,358) 366,179 13-Feb-18 Citigroup Global Markets Limited (3,493) 189,985 13-Feb-18 The Bank of New York Mellon (4,579) 1,708,400 13-Feb-18 Royal Bank ofScotland (44,182) 2,288,541 13-Feb-18 UBS AG (54,835) 465,743 13-Feb-18 State Street Bank (14,027) 1,127,130 13-Feb-18 State Street Bank (10,893) 907,198 13-Feb-18 State Street Bank (15,534) 945,518 13-Feb-18 UBS AG (7,182) 2,991,600 13-Feb-18 State Street Bank (41,381) 18,699,307 13-Feb-18 Canadian Imperial Bank (177,062) 98,073,747 13-Feb-18 State Street Bank (1,502,408) 2,758,007 13-Feb-18 JPMorgan Chase Bank (43,083) 395,128 13-Feb-18 UBS AG (3,690) 925,083 13-Feb-18 State Street Bank (3,400) 343,419,990 16-Mar-18 State Street Bank (5,296,853)

EUR (19,691,913)

(27,437) (1,183) (68,123) (38,041) (469,019)

Net EUR 40,719,144

BNY Mellon Global Real Return Fund (EUR) CHF W (Acc) (Hedged) Share Class Swiss franc

Euro

18,292,855

(34,053)

15,565,179 03-Jan-18 The Bank of New York Mellon

77,687

(439,408)

EUR

77,687

(60,172) (982,006)

CHF

90,849

(102,180) (8,728) (1,275) (5) (2,150) (94,950) (84,726) (76,231) (313,885) (9,132) (106,478) (25,702) (4,777)

Euro

Swiss franc

15,562,575

Swiss franc

Euro

20,304,766

18,292,855 12-Jan-18 The Bank of New York Mellon 17,383,721 12-Jan-18 The Bank of New York Mellon

(81,854) (18,664)

EUR (100,518) CHF (117,548) Net EUR

(22,831)

Net CHF

(26,699)

(93,306) (45,178) (1,097,195)

160

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BNY MELLON GLOBAL REAL RETURN FUND (GBP) Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

Collective investment schemes Guernsey - 1,634,053 (31 December 2016: 1,740,677) 189,628 77,912 308,635 129,224 365,268 189,845

Ireland - 1,452,553 (31 December 2016: 3,951,113) 76,939 iShares Physical Gold ETC

Jersey - 178,720 (31 December 2016: 160,431) 165,866 Foresight Solar Fund Ltd

Luxembourg - 176,647 (31 December 2016: 175,658) 125,504 BBGI SICAV SA/Fund

United Kingdom - 418,276 (31 December 2016: 277,705) 341,032 Greencoat UK Wind Plc/Funds

Total investments in collective investment schemes

2,278,000 705,000 1,421,000 765,500

Australia Government Bond 3.000% 21-Mar-2047 Australia Government Bond 3.250% 21-Jun-2039 Australia Government Bond 3.750% 21-Apr-2037 New South Wales Treasury Corp 2.750% 20-Nov-2025 703,000 Treasury Corp of Victoria 5.500% 17-Nov-2026

Brazil - 919,901 (31 December 2016: –) 994,000 Brazilian Government International Bond 4.875% 22-Jan-2021 200,000 Brazilian Government International Bond 5.000% 27-Jan-2045

Canada - 1,143,164 (31 December 2016: –) 1,940,000 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027

France - 241,651 (31 December 2016: 201,335) 315,000 SFR Group SA 144A 7.375% 01-May-2026

India - 118,111 (31 December 2016: –) 10,000,000 National Highways Authority of India 7.300% 18-May-2022

Indonesia - 363,287 (31 December 2016: –) 5,948,000,000 Indonesia Treasury Bond 8.250% 15-May-2036

Holdings Description

Bonds cont’d. 1,634,053

2.41

222,576 123,335 483,322 141,016 449,279 214,525

0.33 0.18 0.71 0.21 0.66 0.32

1,452,553

2.14

1,452,553

2.14

178,720

0.26

178,720

0.26

176,647

0.26

176,647

0.26

418,276

0.62

418,276

0.62

3,860,249

5.69

Bonds Australia - 3,678,452 (31 December 2016: 3,544,446)

Fair Total value net assets GBP %

3,678,452

5.42

1,232,514 412,325 900,697

1.82 0.61 1.33

642,022 490,894

0.94 0.72

919,901

1.36

781,649

1.15

138,252

0.21

1,143,164

1.68

1,143,164

1.68

241,651

0.36

241,651

0.36

118,111

0.17

118,111

0.17

363,287

0.53

363,287

0.53

Japan - 227,884 (31 December 2016: –)

227,884

0.34

227,884

0.34

159,026

0.23

159,026

0.23

1,050,014

1.55

1,050,014

1.55

371,295

0.55

301,236 70,059

0.45 0.10

1,709,210

2.52

311,000 SoftBank Group Corp 6.000% Perpetual VAR

Luxembourg - 159,026 (31 December 2016: 158,496) 171,000 SIG Combibloc Holdings SCA 7.750% 15-Feb-2023

Mexico - 1,050,014 (31 December 2016: 314,170) 24,842,600 Mexican Bonos 10.000% 05-Dec-2024

Netherlands - 371,295 (31 December 2016: –) 406,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 86,000 Petrobras Global Finance BV 7.375% 17-Jan-2027

New Zealand - 1,709,210 (31 December 2016: 1,762,394) 535,000 699,000 918,000 851,000

New Zealand Government Bond 2.500% 20-Sep-2040 New Zealand Government Bond 2.750% 15-Apr-2037 New Zealand Government Bond 4.500% 15-Apr-2027 New Zealand Government Bond 6.000% 15-May-2021

306,168 342,705 554,069 506,268

0.45 0.50 0.82 0.75

1,264,359

1.86

69,028

0.10

69,004

0.10

231,935

0.34

94,554

0.14

167,275

0.25

113,617 82,669 34,228 116,610

0.17 0.12 0.05 0.17

285,439

0.42

10,117,199

14.91

724,000 AT&T Inc 3.400% 14-Aug-2024 538,550 155,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 117,872 108,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.875% 01-May-2027 82,530 351,000 CEMEX Finance LLC 6.000% 01-Apr-2024 275,664 267,000 EMC Corp 1.875% 01-Jun-2018 196,671 24,000 Post Holdings Inc 144A 5.500% 01-Mar-2025 18,429 439,000 Sprint Capital Corp 8.750% 15-Mar-2032 371,208 177,000 Sprint Corp 7.125% 15-Jun-2024 133,619 214,000 Sprint Corp 7.875% 15-Sep-2023 168,085 170,000 T-Mobile USA Inc 6.000% 01-Mar-2023 131,638 218,000 T-Mobile USA Inc 6.000% 15-Apr-2024 171,428 2,730,200 United States Treasury Note/Bond 1.500% 31-Oct-2019 2,006,599

0.79

United Kingdom - 1,264,359 (31 December 2016: 1,471,219) 34,000 Anglian Water Services Financing Plc 3.666% 30-Jul-2024 37,000 Anglian Water Services Financing Plc 4.125% 28-Jul-2020 222,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 45,000 British Telecommunications Plc 3.500% 25-Apr-2025 103,000 National Grid Electricity Transmission Plc 2.983% 08-Jul-2018 83,161 Network Rail Infrastructure Finance Plc 1.750% 22-Nov-2027 50,000 Scotland Gas Networks Plc 2.127% 21-Oct-2022 18,000 Tesco Plc 3.322% 05-Nov-2025 101,000 Tesco Plc 6.125% 24-Feb-2022 241,871 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040

United States of America - 10,117,199 (31 December 2016: 14,853,100)

0.17 0.12 0.41 0.29 0.03 0.55 0.20 0.25 0.19 0.25 2.96

161

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BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets GBP %

Bonds cont’d.

Holdings Description

Equities cont’d. India - 847,048 (31 December 2016: 141,464)

United States of America cont’d. 1,923,300 United States Treasury Note/Bond 2.125% 31-Jul-2024 2,636,900 United States Treasury Note/Bond 2.125% 30-Sep-2024 2,229,900 United States Treasury Note/Bond 2.250% 15-Nov-2027 1,017,300 United States Treasury Note/Bond 2.750% 15-Nov-2047 233,000 Western Digital Corp 10.500% 01-Apr-2024

Total investments in bonds

1,404,743

2.07

1,923,847

2.83

1,624,165

2.39

751,899 200,252

1.11 0.30

21,363,553

31.48

114,708 ITC Ltd 39,197 LIC Housing Finance Ltd 49,564 Vakrangee Ltd

Ireland - 2,043,768 (31 December 2016: 329,098) 10,140 91,485 15,642 38,206

111,337 Dexus 18,223 Newcrest Mining Ltd

Canada - 1,302,698 (31 December 2016: 2,168,440) 4,751 54,959 19,782 18,694 11,515 49,015 33,780 35,879 49,499 20,044

Agnico Eagle Mines Ltd Alacer Gold Corp Alamos Gold Inc Barrick Gold Corp Detour Gold Corp Eldorado Gold Corp Kinross Gold Corp New Gold Inc OceanaGold Corp Wheaton Precious Metals Corp

Denmark - 743,544 (31 December 2016: 465,679) 18,409 Orsted A/S 144A

France - 1,737,510 (31 December 2016: 1,185,441) 6,568 Thales SA 17,748 TOTAL SA 24,515 Vivendi SA

Germany - 3,125,568 (31 December 2016: 2,101,985) 6,431 20,502 27,850 4,596 3,156 130,374 4,691

Bayer AG Deutsche Wohnen SE Inﬁneon Technologies AG LEG Immobilien AG SAP SE Telefonica Deutschland Holding AG Vonovia SE

Guernsey - 575,783 (31 December 2016: 322,814) 212,355 Amedeo Air Four Plus Ltd 324,532 Renewables Infrastructure Group Ltd/The

Hong Kong - 1,070,669 (31 December 2016: –) 136,000 AIA Group Ltd 31,000 Link REIT

Accenture Plc AIB Group Plc CRH Plc Greencoat Renewables Plc

Japan - 1,261,656 (31 December 2016: 1,585,631)

Equities Australia - 869,542 (31 December 2016: 830,019)

Fair Total value net assets GBP %

869,542

1.28

628,916 240,626

0.93 0.35

1,302,698

1.92

163,456 71,876 95,776 199,855 98,142 52,237 107,702 87,703 96,592 329,359

0.24 0.11 0.14 0.29 0.14 0.08 0.16 0.13 0.14 0.49

743,544

1.09

743,544

1.09

1,737,510

2.56

521,110 727,966 488,434

0.77 1.07 0.72

3,125,568

4.60

592,294 659,789 570,572 387,058 261,866 482,495 171,494

0.87 0.97 0.84 0.57 0.39 0.71 0.25

20,600 8,100 7,200 13,600

Japan Tobacco Inc Suntory Beverage & Food Ltd Suzuki Motor Corp Yokogawa Electric Corp

Jersey - 1,178,852 (31 December 2016: 766,987) 14,760 Ferguson Plc 1,598 Randgold Resources Ltd 36,681 UBM Plc

Mexico - 304,436 (31 December 2016: –) 171,809 Wal-Mart de Mexico SAB de CV

Netherlands - 2,632,637 (31 December 2016: 2,857,911) 49,535 RELX NV 13,099 Unilever NV 32,063 Wolters Kluwer NV

South Africa - 110,289 (31 December 2016: 100,776) 33,942 Gold Fields Ltd

South Korea - 1,124,260 (31 December 2016: 527,444) 27,824 Macquarie Korea Infrastructure Fund 6,822 Samsung SDI Co Ltd

Switzerland - 3,189,085 (31 December 2016: 2,670,185)

0.85

223,504 352,279

0.33 0.52

1,070,669

1.58

858,056 212,613

1.27 0.31

1.25

350,247 256,081 240,720

0.52 0.38 0.35

2,043,768

3.01

1,152,161 441,297 414,122 36,188

1.70 0.65 0.61 0.05

1,261,656

1.86

491,813 267,203 309,408 193,232

0.72 0.39 0.46 0.29

1,178,852

1.74

787,077 117,493 274,282

1.16 0.17 0.41

304,436

0.45

304,436

0.45

2,632,637

3.88

843,649 546,838 1,242,150

1.24 0.81 1.83

110,289

0.16

110,289

0.16

1,124,260

1.66

158,599 965,661

0.24 1.42

3,189,085

4.70

25,005 Novartis AG 6,056 Roche Holding AG 2,177 Zurich Insurance Group AG

1,567,580 1,132,416 489,089

2.31 1.67 0.72

Taiwan - 868,191 (31 December 2016: –)

868,191

1.28

868,191

1.28

6,384,654

9.41

493,933 161,827 804,997 272,731 613,322

0.73 0.24 1.19 0.40 0.90

29,522 Taiwan Semiconductor Manufacturing Co Ltd ADR

575,783

847,048

United Kingdom - 6,384,654 (31 December 2016: 6,313,604) 17,534 28,279 16,340 5,500 448,171

Associated British Foods Plc BAE Systems Plc British American Tobacco Plc ADR British American Tobacco Plc Centrica Plc

162

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BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31December2017 Fair Total value net assets GBP %

Holdings Description

United Kingdom cont’d. Cobham Plc Diageo Plc Fresnillo Plc Informa Plc Royal Dutch Shell Plc Vodafone Group Plc

United States of America - 7,930,179 (31 December 2016: 9,586,426) 18,108 8,437 42,510 39,766 25,365 23,785 11,924 21,387 12,833 1,928

Abbott Laboratories Albemarle Corp CA Inc Cisco Systems Inc CMS Energy Corp Eversource Energy Maxim Integrated Products Inc Microsoft Corp Newell Brands Inc Newmont Mining Corp

Total investments in equities

767,011 720,406 119,760 590,829 1,099,751 740,087

1.13 1.06 0.18 0.87 1.62 1.09

7,930,179

11.68

769,873 802,175 1,053,822 1,135,603 889,741 1,108,053 466,184 1,356,602 294,623 53,503

1.14 1.18 1.55 1.67 1.31 1.63 0.69 2.00 0.43 0.08

37,300,369

54.96

CBOE S&P 500 Index Call 29-Dec-2017 2,675.000 CBOE S&P 500 Index Put 18-Jan-2018 2,450.000 CBOE S&P 500 Index Put 18-Jan-2018 2,600.000 FTSE 100 Index Put 19-Jan-2018 7,075.000

Total index options

Holdings Description

(27) E-mini S&P 500 Index Short Futures Contracts Exp Mar-2018 (13) FTSE 100 Index Short Futures Contracts Exp Mar-2018 (15) S&P 500 Index Short Futures Contracts Exp Mar-2018

(2,683,463)

(40,124)

(0.06)

(986,180)

(33,132)

(0.05)

(7,453,925)

(130,280)

(0.19)

(203,536)

(0.30)

(265,496)

(0.39)

(469,520)

(0.69)

Net current assets

4,788,636

7.05

Total net assets

67,867,140

100.00

Total open futures contracts Unrealised loss on forward foreign currency contracts - (265,496) (seebelow) (31 December 2016: (90,570))

Total ﬁnancial liabilities at fair value through proﬁt or loss

The counterparty for futures contracts is UBS AG. The counterparty for index options is UBS AG.

Index options - 44,708 (31 December 2016: –) 33 21 29 39

Fair Total value net assets GBP %

Open futures contracts - (203,536) (31 December 2016: (314,166))

Equities cont’d. 605,615 26,625 8,536 81,804 44,220 316,784

Underlying exposure GBP

29,552 2,689 10,517 1,950

0.04 0.01 0.02 0.00

44,708

0.07

Fair Total value net assets GBP %

Total assets

% of Total Assets 90.90 0.16 1.33 7.61

100.00

Open futures contracts - 63,631 (31 December 2016: –) (5) DAX Index Short Futures Contracts Exp Mar-2018 (27) Euro STOXX 50 Index Short Futures Contracts Exp Mar-2018 (23) Euro-Bund Short Futures Contracts Exp Mar-2018

(1,431,906)

22,091

0.03

(837,043)

19,084

0.03

(3,300,295)

22,456

0.03

Total open futures contracts

63,631

0.09

Unrealised gain on forward foreign currency contracts - 915,514 (seebelow) (31 December 2016: 453,502)

915,514

1.35

63,548,024

93.64

(488)

(0.00)

(488)

(0.00)

Total ﬁnancial assets at fair value through proﬁt or loss Index options - (488) (31 December 2016: –) (33) CBOE S&P 500 Index Call 29-Dec-2017 2,700.000

Total index options

163

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BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) Sterling Sterling Sterling Sterling Sterling Sterling

16,398 11,985 7,136 45,129 24,932 11,843

Euro

Sterling

7,152

Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Sterling Sterling Sterling Sterling

Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Euro Euro Euro Euro

169,650 6,544 36,075 43,517 23,831 50,409 189,044 5,069 281,273 88,547 11,446 8,031 15,907 1,513 4,078 335,320 110,255 35,813 43,139 115,495

Sterling

Euro

8,243

9,210 17-Jan-18

Sterling

Euro

7,383

8,245 17-Jan-18

Sterling Sterling Sterling Sterling

Euro Euro Euro Euro

45,194 25,781 150,722 20,909

Sterling Sterling

Euro Euro

29,459 5,732

33,152 17-Jan-18 6,406 17-Jan-18

Sterling

Euro

8,783

9,881 17-Jan-18

Sterling Sterling Sterling

Euro Euro Euro

16,741 76,089 216,250

18,823 17-Jan-18 85,275 17-Jan-18 241,079 17-Jan-18

Euro Euro Euro

10,133 5,758 14,164

14,430 10,580 6,292 39,792 22,032 10,449

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

6,345 17-Jan-18 149,564 5,802 32,005 38,483 21,069 44,636 166,986 4,464 247,211 77,771 10,142 7,052 14,014 1,340 3,594 296,400 122,668 40,316 48,250 129,902

50,619 28,990 168,245 23,483

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

11,319 17-Jan-18 6,453 17-Jan-18 15,906 17-Jan-18

Sterling Sterling

Euro Euro

8,182,843 11,110

9,143,492 17-Jan-18 12,427 17-Jan-18

Sterling Sterling Sterling

Euro Euro Euro

2,905 9,862 44,548

3,239 17-Jan-18 11,032 17-Jan-18 50,153 17-Jan-18

Sterling Sterling Sterling Sterling Sterling

Euro Japanese yen Japanese yen Japanese yen Japanese yen

39,296 4,154 8,273 2,822 1,417

Sterling Sterling

Japanese yen Japanese yen

17,597 4,057

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) cont’d.

Euro Euro Euro Euro Euro Euro

Sterling Sterling Sterling

Buy

44,237 616,492 1,253,190 418,289 210,031

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

2,639,836 17-Jan-18 611,889 17-Jan-18

State Street Bank UBS AG UBS AG UBS AG UBS AG Citigroup Global Markets Limited Citigroup Global Markets Limited State Street Bank UBS AG UBS AG UBS AG UBS AG State Street Bank State Street Bank State Street Bank State Street Bank State Street Bank UBS AG UBS AG UBS AG UBS AG State Street Bank State Street Bank State Street Bank UBS AG State Street Bank Citigroup Global Markets Limited JPMorgan Chase Bank Royal Bank ofScotland State Street Bank State Street Bank State Street Bank Royal Bank ofScotland UBS AG JPMorgan Chase Bank Citigroup Global Markets Limited UBS AG State Street Bank JPMorgan Chase Bank State Street Bank UBS AG JPMorgan Chase Bank State Street Bank Citigroup Global Markets Limited UBS AG State Street Bank JPMorgan Chase Bank State Street Bank State Street Bank UBS AG UBS AG Citigroup Global Markets Limited JPMorgan Chase Bank State Street Bank

126 58 42 267 99

Sterling

Japanese yen

11,111

Sterling Sterling

Japanese yen Japanese yen

5,501 5,476

Sterling

Japanese yen

6,926

Sterling Sterling Sterling Sterling Sterling Sterling Sterling

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

6,799 5,513 5,535 4,227 19,157 5,385 4,131

Sterling

Japanese yen

4,143

Sterling

Japanese yen

2,796

Sterling

Japanese yen

4,180

Sterling Sterling Sterling

Japanese yen Japanese yen Japanese yen

4,169 6,866 1,809,791

Sterling Sterling

Japanese yen Japanese yen

3,967 1,411

Sterling Sterling Sterling Canadian dollar Canadian dollar Canadian dollar New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar

Japanese yen Japanese yen Japanese yen Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling

5,540 4,243 4,143 22,090 403,336 33,683 31,473 1,613 9,977 12,604 22,734

New Zealand dollar New Zealand dollar New Zealand dollar Sterling Sterling Sterling

Sterling Sterling Sterling Canadian dollar Hong Kong dollar Hong Kong dollar

7,873 20,855 44,460 2,471,864 15,836 837,774

2,253 85 29

Sterling

Hong Kong dollar

19,230

Sterling

Hong Kong dollar

102,057

45 66,487

Sterling Sterling Sterling

US dollar US dollar US dollar

125,892 78,145 18,408

80 30 69

Sterling

US dollar

18,932

Sterling Sterling

US dollar US dollar

16,350 28,194

Sterling Sterling

US dollar US dollar

21,264 534,441

Sterling

US dollar

153,456

Sterling

US dollar

5,711

Sterling Sterling

US dollar US dollar

23,914 283,522

64 3 1,029 6 17 145 85 111 821 36 2,465 829 18 77 106 3 26 1,252 1,368 26 309 185 67 64 261 48 1,376 63 31 46 12 32 393

29 28 98 28 70 35 228 32

1,670,791 17-Jan-18 Citigroup Global Markets Limited 829,470 17-Jan-18 State Street Bank 827,251 17-Jan-18 Royal Bank ofScotland 1,034,459 17-Jan-18 Royal Bank ofScotland 1,029,535 17-Jan-18 State Street Bank 835,658 17-Jan-18 UBS AG 837,245 17-Jan-18 UBS AG 627,263 17-Jan-18 UBS AG 2,906,480 17-Jan-18 UBS AG 792,548 17-Jan-18 State Street Bank 611,223 17-Jan-18 Citigroup Global Markets Limited 613,009 17-Jan-18 Citigroup Global Markets Limited 418,204 17-Jan-18 Citigroup Global Markets Limited 625,739 17-Jan-18 Citigroup Global Markets Limited 618,462 17-Jan-18 State Street Bank 1,019,239 17-Jan-18 State Street Bank 268,246,701 17-Jan-18 Citigroup Global Markets Limited 587,344 17-Jan-18 State Street Bank 210,104 17-Jan-18 JPMorgan Chase Bank 822,465 17-Jan-18 UBS AG 628,484 17-Jan-18 UBS AG 614,482 17-Jan-18 State Street Bank 12,832 13-Feb-18 UBS AG 232,280 13-Feb-18 State Street Bank 19,740 13-Feb-18 UBS AG 16,546 13-Feb-18 UBS AG 847 13-Feb-18 State Street Bank 5,200 13-Feb-18 UBS AG 6,622 13-Feb-18 UBS AG 11,750 13-Feb-18 JPMorgan Chase Bank 4,118 13-Feb-18 UBS AG 10,970 13-Feb-18 UBS AG 23,073 13-Feb-18 UBS AG 4,139,415 13-Feb-18 State Street Bank 166,497 13-Feb-18 UBS AG 8,581,619 13-Feb-18 Citigroup Global Markets Limited 201,395 13-Feb-18 Citigroup Global Markets Limited 1,069,120 13-Feb-18 Royal Bank ofScotland 168,794 13-Feb-18 UBS AG 104,933 13-Feb-18 UBS AG 24,695 13-Feb-18 Citigroup Global Markets Limited 25,412 13-Feb-18 Citigroup Global Markets Limited 21,525 13-Feb-18 State Street Bank 37,765 13-Feb-18 The Bank of New York Mellon 27,961 13-Feb-18 State Street Bank 715,797 13-Feb-18 Royal Bank ofScotland 205,655 13-Feb-18 Citigroup Global Markets Limited 7,526 13-Feb-18 Citigroup Global Markets Limited 31,500 13-Feb-18 UBS AG 375,395 13-Feb-18 State Street Bank

118 43 33 120 25 15 27 100 34 171 110 110 45 63 99 160 44,865 102 28 129 108 100 204 5,756 139 12 2 48 9 210 24 2 317 28,909 77 25,502 168 863 1,138 590 156 150 441 283 599 5,403 1,458 149 633 6,072

164

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BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d.

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) cont’d. Sterling Sterling Sterling

US dollar US dollar US dollar

22,705 9,186 28,825

Sterling Sterling Sterling

US dollar US dollar US dollar

6,892 661,773 78,956

Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar

22,932 56,185 193,156 22,245,432

Sterling

US dollar

224,497

Sterling Sterling Sterling

US dollar US dollar US dollar

74,379 422,799 46,296

Sterling Sterling

US dollar US dollar

25,065 256,479

Sterling Sterling Australian dollar Sterling

US dollar US dollar Sterling Australian dollar

34,447 3,747,787 11,115 70,078

Sterling

Australian dollar

9,560

Australian dollar Hong Kong dollar Mexican peso Sterling Sterling Japanese yen Euro

Sterling Sterling Sterling New Zealand dollar New Zealand dollar Sterling Sterling

Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) cont’d.

29,845 13-Feb-18 State Street Bank 12,075 13-Feb-18 State Street Bank 38,750 13-Feb-18 Citigroup Global Markets Limited 9,244 13-Feb-18 State Street Bank 887,768 13-Feb-18 UBS AG 104,475 13-Feb-18 JPMorgan Chase Bank 30,450 13-Feb-18 State Street Bank 74,550 13-Feb-18 State Street Bank 259,670 13-Feb-18 UBS AG 29,228,158 13-Feb-18 Citigroup Global Markets Limited 300,865 13-Feb-18 Royal Bank ofScotland 99,888 13-Feb-18 UBS AG 568,989 13-Feb-18 UBS AG 62,074 13-Feb-18 JPMorgan Chase Bank 33,600 13-Feb-18 State Street Bank 339,430 13-Feb-18 JPMorgan Chase Bank 46,576 13-Feb-18 State Street Bank 5,013,859 13-Feb-18 State Street Bank 6,345 16-Mar-18 UBS AG 121,159 16-Mar-18 Citigroup Global Markets Limited 16,545 16-Mar-18 UBS AG

16,545 166,497 846,311 16,576 10,989 2,906,480 4,326

9,584 15,843 31,855 31,473 20,855 19,153 3,897

02-Jan-18 02-Jan-18 02-Jan-18 03-Jan-18 04-Jan-18 05-Jan-18 17-Jan-18

Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling

41,285 37,538 17,480 6,547 8,580 10,295 168,095 25,222

36,690 33,709 15,591 5,882 7,685 9,244 150,777 22,512

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

Sterling Sterling Sterling Sterling

23,492 7,058 5,217 17,158

20,939 6,329 4,656 15,276

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

Euro Euro

Sterling Sterling

7,143 8,115

6,430 17-Jan-18 7,265 17-Jan-18

Euro Euro

Sterling Sterling

16,551 5,896

14,749 17-Jan-18 5,247 17-Jan-18

Euro Euro Euro Euro Euro Euro

Sterling Sterling Sterling Sterling Sterling Sterling

480,513 10,233 46,618 146,268 29,619 163,036

431,567 9,247 41,642 130,671 26,481 144,871

Euro

Sterling

159,993

142,732 17-Jan-18

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

647 262 185 59 5,633 1,740 426 1,086 1,237 643,193 2,131 553 2,264 417 231 5,610 23 42,094 71 133 8

GBP

915,514

UBS AG UBS AG UBS AG UBS AG UBS AG UBS AG Royal Bank ofScotland UBS AG State Street Bank State Street Bank UBS AG State Street Bank State Street Bank State Street Bank JPMorgan Chase Bank State Street Bank State Street Bank State Street Bank Citigroup Global Markets Limited State Street Bank Citigroup Global Markets Limited UBS AG JPMorgan Chase Bank State Street Bank UBS AG State Street Bank State Street Bank State Street Bank Royal Bank ofScotland UBS AG

(8) (76) (60) (13) (3) (33) (57) (43) (388) (75) (70) (69) (105) (1,564) (124) (86) (64) (26) (46) (89) (61) (58) (13) (5,033) (163) (261) (834) (190) (150) (711)

Euro Euro Euro Japanese yen Japanese yen

Sterling Sterling Sterling Sterling Sterling

18,806 10,884 135,505 13,722,632 1,033,810

Japanese yen Japanese yen Japanese yen

Sterling Sterling Sterling

10,711,565 3,024,545 3,190,457

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen Sterling

Sterling Sterling Sterling Sterling Sterling Euro

12,582,585 5,275,814 35,181,018 11,411,418 22,127,355 8,782

Sterling Sterling Sterling

Euro Euro Euro

7,666 6,406 148,014

8,737 17-Jan-18 7,260 17-Jan-18 166,748 17-Jan-18

Sterling

Euro

490,905

556,500 17-Jan-18

Sterling

Euro

163,611

185,500 17-Jan-18

Sterling Sterling

Euro Euro

12,238 7,173

13,843 17-Jan-18 8,188 17-Jan-18

Sterling Sterling Sterling Sterling

Euro Euro Euro Euro

16,068 12,432 28,224 8,650

18,171 14,023 31,945 9,798

Sterling

Euro

6,338

Sterling Sterling Sterling Hong Kong dollar Hong Kong dollar

Euro Euro Euro Sterling Sterling

Sterling Sterling Sterling Sterling Sterling Sterling US dollar US dollar

Canadian dollar Canadian dollar Korean won New Zealand dollar New Zealand dollar US dollar Sterling Sterling

US dollar US dollar

Sterling Sterling

67,200 45,675

US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling

424,011 6,221 74,300 315,907 212,462 52,054 417,224 24,866 36,844 158,279

315,126 4,599 55,331 235,858 157,797 38,835 312,201 18,831 28,066 117,741

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

US dollar US dollar US dollar US dollar

Sterling Sterling Sterling Sterling

1,022,270 36,750 3,853 8,925

766,193 27,815 2,934 6,686

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

13,406 5,863 30,777 36,450 158,365

16,775 9,695 121,421 90,612 6,860

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

70,603 17-Jan-18 20,436 17-Jan-18 21,138 17-Jan-18 84,443 35,690 236,962 75,307 148,488 9,904

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

7,177 17-Jan-18 15,189 6,646 34,761 3,450 15,241

17-Jan-18 17-Jan-18 17-Jan-18 13-Feb-18 13-Feb-18

19,541 33,294 35,831 60,786 1,131,602 1,654,741,440 1,686,573 3,217,362 45,165 85,869 239,954 325,396 4,725 3,501 3,141,332 2,341,242

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

50,770 13-Feb-18 34,377 13-Feb-18

State Street Bank State Street Bank UBS AG State Street Bank JPMorgan Chase Bank UBS AG State Street Bank The Bank of New York Mellon State Street Bank State Street Bank State Street Bank UBS AG UBS AG Citigroup Global Markets Limited State Street Bank UBS AG Citigroup Global Markets Limited Citigroup Global Markets Limited Citigroup Global Markets Limited UBS AG Citigroup Global Markets Limited State Street Bank UBS AG State Street Bank JPMorgan Chase Bank Royal Bank ofScotland State Street Bank UBS AG UBS AG State Street Bank Canadian Imperial Bank UBS AG UBS AG State Street Bank State Street Bank UBS AG State Street Bank UBS AG JPMorgan Chase Bank UBS AG Citigroup Global Markets Limited State Street Bank UBS AG UBS AG State Street Bank UBS AG UBS AG UBS AG UBS AG State Street Bank Citigroup Global Markets Limited UBS AG UBS AG UBS AG UBS AG

(82) (33) (1,138) (324) (58) (127) (536) (146) (1,656) (977) (5,489) (226) (2,901) (9) (90) (39) (2) (3,080) (1,051) (49) (95) (62) (16) (132) (47) (32) (77) (37) (79) – (251) (108) (43) (14,885) (6,056) (10) (543) (9) (19,515) (1,103) (619) (1,744) (1) (416) (2,374) (769) (362) (3,835) (453) (834) (759) (10,643) (654) (87) (90)

165

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BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) cont’d. US dollar

Sterling

1,472,244

US dollar US dollar

Sterling Sterling

87,012 9,975

US dollar Sterling Sterling Sterling Sterling

Sterling Australian dollar Australian dollar Australian dollar Australian dollar

1,369,244 16,869 18,764 4,041,707 49,357

1,108,660 13-Feb-18 Citigroup Global Markets Limited 65,503 13-Feb-18 UBS AG 7,587 13-Feb-18 Citigroup Global Markets Limited 1,041,766 13-Feb-18 UBS AG 29,340 16-Mar-18 UBS AG 32,663 16-Mar-18 UBS AG 7,205,260 16-Mar-18 State Street Bank 86,369 16-Mar-18 Citigroup Global Markets Limited

(20,539) (1,193) (215) (29,771) (69) (92) (117,888) (503)

GBP (265,496) Net GBP

650,018

166

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BNY MELLON GLOBAL REAL RETURN FUND (USD) Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes Guernsey - 15,135,226 (31 December 2016: 18,141,080) 1,331,841 211,257 2,376,708 900,411 2,552,003 1,292,568

Ireland - 12,244,200 (31 December 2016: 38,985,034) 480,000 iShares Physical Gold ETC

Jersey - 1,911,137 (31 December 2016: 1,681,519) 1,312,716 Foresight Solar Fund Ltd

Luxembourg - 1,471,461 (31 December 2016: 1,312,376) 773,743 BBGI SICAV SA/Fund

United Kingdom - 3,919,119 (31 December 2016: 2,779,920) 2,364,924 Greencoat UK Wind Plc/Funds

Total investments in collective investment schemes

15,135,226

2.71

2,112,184 451,852 5,028,880 1,327,605 4,241,212 1,973,493

0.38 0.08 0.90 0.24 0.76 0.35

12,244,200

2.19

12,244,200

2.19

1,911,137

0.34

1,911,137

0.34

1,471,461

0.27

1,471,461

0.27

3,919,119

0.70

3,919,119

0.70

34,681,143

6.21

30,155,270

5.40

Australia Government Bond 3.000% 21-Mar-2047 10,410,763 Australia Government Bond 3.250% 21-Jun-2039 3,479,391 Australia Government Bond 3.750% 21-Apr-2037 7,593,905 New South Wales Treasury Corp 2.750% 20-Nov-2025 4,526,472 4,393,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 4,144,739

1.87 0.62 1.36

6,093,000 Brazilian Government International Bond 4.875% 22-Jan-2021 1,508,000 Brazilian Government International Bond 5.000% 27-Jan-2045

Canada - 9,749,208 (31 December 2016: –) 12,245,000 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027

Cayman Islands - 2,013,720 (31 December 2016: 1,031,043) 505,328 Dwr Cymru Financing Ltd 1.859% 31-Mar-2048 748,000 Sable International Finance Ltd 144A 6.875% 01-Aug-2022

Ecuador - 533,111 (31 December 2016: –) 483,000 Ecuador Government International Bond 8.875% 23-Oct-2027

France - 324,434 (31 December 2016: 2,898,885) 313,000 SFR Group SA 144A 7.375% 01-May-2026

India - 797,928 (31 December 2016: –)

797,928

0.14

797,928

0.14

3,225,302

0.58

3,225,302

0.58

1,209,841

0.22

1,209,841

0.22

371,852

0.07

371,852

0.07

1,837,060

0.33

1,837,060

0.33

8,851,809

1.58

8,851,809

1.58

3,247,893

0.58

2,598,480 649,413

0.46 0.12

13,535,872

2.42

1,762,970

0.32

2,857,106

0.51

4,648,358

0.83

4,267,438

0.76

321,775

0.06

321,775

0.06

10,990,790

1.97

50,000,000 National Highways Authority of India 7.300% 18-May-2022

Indonesia - 3,225,302 (31 December 2016: –) 39,083,000,000 Indonesia Treasury Bond 8.250% 15-May-2036

Japan - 1,209,841 (31 December 2016: –) 1,222,000 SoftBank Group Corp 6.000% Perpetual VAR

Jersey - 371,852 (31 December 2016: 258,686) 269,000 CPUK Finance Ltd 4.250% 28-Aug-2022

Luxembourg - 1,837,060 (31 December 2016: 1,667,042) 1,462,000 SIG Combibloc Holdings SCA 7.750% 15-Feb-2023

Mexico - 8,851,809 (31 December 2016: 3,103,308) 154,999,500 Mexican Bonos 10.000% 05-Dec-2024

Netherlands - 3,247,893 (31 December 2016: –) 2,592,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 590,000 Petrobras Global Finance BV 7.375% 17-Jan-2027

14,241,000 4,403,000 8,867,000 3,994,400

Brazil - 7,882,285 (31 December 2016: –)

Holdings Description

Bonds cont’d.

Bonds Australia - 30,155,270 (31 December 2016: 35,013,289)

Fair Total value net assets USD %

0.81 0.74

7,882,285

1.41

6,473,813

1.16

1,408,472

0.25

9,749,208

1.75

9,749,208

1.75

2,013,720

0.36

1,218,970

0.22

794,750

0.14

533,111

0.09

533,111

0.09

324,434

0.06

324,434

0.06

New Zealand - 13,535,872 (31 December 2016: 17,301,498) 2,280,000 New Zealand Government Bond 2.500% 20-Sep-2040 4,313,000 New Zealand Government Bond 2.750% 15-Apr-2037 5,700,000 New Zealand Government Bond 4.500% 15-Apr-2027 5,309,000 New Zealand Government Bond 6.000% 15-May-2021

Peru - 321,775 (31 December 2016: –) 305,000 Petroleos del Peru SA 5.625% 19-Jun-2047

United Kingdom - 10,990,790 (31 December 2016: 11,649,974)

44,000 Anglian Water Services Financing Plc 3.666% 30-Jul-2024 60,000 Anglian Water Services Financing Plc 4.125% 28-Jul-2020 1,524,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 238,000 British Telecommunications Plc 3.500% 25-Apr-2025 273,986 High Speed Rail Finance 1 Plc 1.566% 01-Nov-2038 328,000 National Grid Electricity Transmission Plc 2.983% 08-Jul-2018 697,481 Network Rail Infrastructure Finance Plc 1.750% 22-Nov-2027 450,000 Scotland Gas Networks Plc 2.127% 21-Oct-2022 550,000 Tesco Plc 3.322% 05-Nov-2025 444,000 Tesco Plc 6.125% 24-Feb-2022 1,412,214 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040

120,700

0.02

151,191 2,151,300

0.03 0.39

675,688 521,777

0.12 0.09

719,731

0.13

1,287,538 1,005,287 1,413,126 692,630 2,251,822

0.23 0.18 0.25 0.13 0.40 167

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BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. United States of America - 85,345,613 (31 December 2016: 150,018,727)

Equities cont’d. 85,345,613

15.28

4,618,000 AT&T Inc 3.400% 14-Aug-2024 4,641,360 988,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 1,015,170 720,000 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.875% 01-May-2027 743,400 2,149,000 CEMEX Finance LLC 6.000% 01-Apr-2024 2,280,411 1,703,000 EMC Corp 1.875% 01-Jun-2018 1,694,913 156,000 Post Holdings Inc 144A 5.500% 01-Mar-2025 161,850 2,872,000 Sprint Capital Corp 8.750% 15-Mar-2032 3,281,260 1,106,000 Sprint Corp 7.125% 15-Jun-2024 1,128,120 1,306,000 Sprint Corp 7.875% 15-Sep-2023 1,385,993 1,136,000 T-Mobile USA Inc 6.000% 01-Mar-2023 1,188,540 1,302,000 T-Mobile USA Inc 6.000% 15-Apr-2024 1,383,375 16,911,100 United States Treasury Note/Bond 1.500% 31-Oct-2019 16,793,517 11,822,100 United States Treasury Note/Bond 2.125% 31-Jul-2024 11,666,704 16,469,200 United States Treasury Note/Bond 2.125% 30-Sep-2024 16,235,033 13,882,900 United States Treasury Note/Bond 2.250% 15-Nov-2027 13,662,453 6,318,800 United States Treasury Note/Bond 2.750% 15-Nov-2047 6,310,285 1,527,000 Western Digital Corp 10.500% 01-Apr-2024 1,773,229

0.83

Total investments in bonds

0.18 0.13 0.41 0.30 0.03 0.59 0.20 0.25 0.21 0.25

691,374 Dexus 116,087 Newcrest Mining Ltd

Canada - 11,212,947 (31 December 2016: 21,822,147) 30,266 350,109 126,021 119,093 73,356 312,242 215,193 228,567 315,328 127,690

Agnico Eagle Mines Ltd Alacer Gold Corp Alamos Gold Inc Barrick Gold Corp Detour Gold Corp Eldorado Gold Corp Kinross Gold Corp New Gold Inc OceanaGold Corp Wheaton Precious Metals Corp

Germany - 26,226,038 (31 December 2016: 20,583,395) 39,940 127,313 172,941 28,546 19,598 809,586 29,135

2.09

1,415,400 Amedeo Air Four Plus Ltd 2,332,502 Renewables Infrastructure Group Ltd/The

Hong Kong - 8,986,559 (31 December 2016: –) 842,200 AIA Group Ltd 195,000 Link REIT

India - 7,141,504 (31 December 2016: 1,372,819)

2.91 2.44 1.13 0.32

180,393,763

32.30

7,347,936

1.32

5,276,789 2,071,147

0.95 0.37

11,212,947

2.01

1,406,940 618,661 824,390 1,720,298 844,750 449,619 927,038 754,900 831,399 2,834,952

0.25 0.11 0.15 0.31 0.15 0.08 0.17 0.13 0.15 0.51

Bayer AG Deutsche Wohnen SE Inﬁneon Technologies AG LEG Immobilien AG SAP SE Telefonica Deutschland Holding AG Vonovia SE

Guernsey - 5,433,840 (31 December 2016: 3,146,347)

3.01

Equities Australia - 7,347,936 (31 December 2016: 8,250,398)

Holdings Description

712,307 ITC Ltd 243,397 LIC Housing Finance Ltd 313,048 Vakrangee Ltd

Ireland - 17,354,940 (31 December 2016: 3,273,370) 62,969 596,498 97,133 254,190

Accenture Plc AIB Group Plc CRH Plc Greencoat Renewables Plc

Japan - 10,663,467 (31 December 2016: 15,764,925) 129,600 51,200 45,600 80,900

Japan Tobacco Inc Suntory Beverage & Food Ltd Suzuki Motor Corp Yokogawa Electric Corp

Jersey - 9,916,903 (31 December 2016: 7,586,214) 91,662 Ferguson Plc 10,181 Randgold Resources Ltd 227,772 UBM Plc

Mexico - 2,555,002 (31 December 2016: –) 1,067,180 Wal-Mart de Mexico SAB de CV

Denmark - 6,335,302 (31 December 2016: 3,107,480) 116,088 Orsted A/S 144A

France - 14,578,113 (31 December 2016: 11,685,686) 40,784 Thales SA 110,212 TOTAL SA 152,231 Vivendi SA

Fair Total value net assets USD %

6,335,302

1.13

6,335,302

1.13

14,578,113

2.61

4,372,094 6,107,933 4,098,086

0.78 1.09 0.74

Netherlands - 22,085,616 (31 December 2016: 27,781,469) 307,602 RELX NV 81,345 Unilever NV 199,041 Wolters Kluwer NV

South Africa - 949,291 (31 December 2016: 1,014,095) 216,223 Gold Fields Ltd

26,226,038

4.70

4,970,160 5,535,862 4,787,258 3,248,217 2,197,141 4,048,258 1,439,142

0.89 0.99 0.86 0.58 0.39 0.73 0.26

5,433,840

0.97

2,012,820 3,421,020

0.36 0.61

8,986,559

1.61

7,179,525 1,807,034

1.29 0.32

7,141,504

1.28

2,938,675 2,148,540 2,054,289

0.53 0.38 0.37

17,354,940

3.11

9,667,316 3,887,705 3,474,614 325,305

1.73 0.70 0.62 0.06

10,663,467

1.91

4,180,626 2,282,078 2,647,690 1,553,073

0.75 0.41 0.47 0.28

9,916,903

1.77

6,604,256 1,011,415 2,301,232

1.18 0.18 0.41

2,555,002

0.46

2,555,002

0.46

22,085,616

3.95

7,078,516 4,588,338 10,418,762

1.27 0.82 1.86

949,291

0.17

949,291

0.17

168

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BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Equities cont’d. 9,934,387

1.78

237,695 Macquarie Korea Infrastructure Fund 42,371 Samsung SDI Co Ltd

1,830,644 8,103,743

0.33 1.45

Switzerland - 26,757,635 (31 December 2016: 25,597,766)

26,757,635

4.79

13,152,406 9,501,507 4,103,722

2.36 1.70 0.73

155,274 Novartis AG 37,607 Roche Holding AG 13,519 Zurich Insurance Group AG

Taiwan - 7,284,618 (31 December 2016: –)

7,284,618

1.30

7,284,618

1.30

53,586,285

9.59

4,144,295 1,347,912 6,754,417 2,288,927 5,145,873 6,435,354 6,044,588 1,030,938 4,957,226 9,227,281 6,209,474

0.74 0.24 1.21 0.41 0.92 1.15 1.08 0.19 0.89 1.65 1.11

66,502,818

11.91

6,459,748 6,730,667 8,841,842 9,527,987 7,580,972 9,440,869 3,911,797 11,382,567 2,472,077 154,292

1.16 1.20 1.58 1.71 1.36 1.69 0.70 2.04 0.44 0.03

314,853,201

56.37

183,330 Taiwan Semiconductor Manufacturing Co Ltd ADR

United Kingdom - 53,586,285 (31 December 2016: 60,771,567) Associated British Foods Plc BAE Systems Plc British American Tobacco Plc ADR British American Tobacco Plc Centrica Plc Cobham Plc Diageo Plc Fresnillo Plc Informa Plc Royal Dutch Shell Plc Vodafone Group Plc

United States of America - 66,502,818 (31 December 2016: 93,790,987) 112,451 52,393 263,975 246,935 159,953 149,986 74,052 132,811 79,693 4,115

Abbott Laboratories Albemarle Corp CA Inc Cisco Systems Inc CMS Energy Corp Eversource Energy Maxim Integrated Products Inc Microsoft Corp Newell Brands Inc Newmont Mining Corp

Total investments in equities Index options - 391,622 (31 December 2016: –) 220 144 169 262

(171) Euro STOXX 50 Index Short Futures Contracts Exp Mar-2018 (145) Euro-Bund Short Futures Contracts Exp Mar-2018

(7,162,819)

166,364

0.03

(28,112,320)

198,639

0.04

551,965

0.10

865,934

0.16

531,737,628

95.21

(4,400)

(0.00)

(4,400)

(0.00)

Total open futures contracts Unrealised gain on forward foreign currency contracts - 865,934 (seebelow) (31 December 2016: 15,464,311)

Total ﬁnancial assets at fair value through proﬁt or loss Index options - (4,400) (31 December 2016: –) (220) CBOE S&P 500 Index Call 29-Dec-2017 2,700.000

Total index options

Holdings Description

Underlying exposure USD

Total index options

266,200 24,912 82,810 17,700

0.05 0.00 0.02 0.00

391,622

0.07

(163) E-mini S&P 500 Index Short Futures Contracts Exp Mar-2018 (84) FTSE 100 Index Short Futures Contracts Exp Mar-2018 (94) S&P 500 Index Short Futures Contracts Exp Mar-2018

(21,888,863)

(355,095)

(0.06)

(8,609,855)

(291,131)

(0.05)

(63,113,950)

(1,102,248)

(0.20)

(1,748,474)

(0.31)

(7,423,623)

(1.33)

(9,176,497)

(1.64)

35,944,234

6.43

558,505,365

100.00

Total open futures contracts Unrealised loss on forward foreign currency contracts - (7,423,623) (seebelow) (31 December 2016: (566,229))

Total ﬁnancial liabilities at fair value through proﬁt or loss

Total net assets The counterparty for futures contracts is UBS AG. The counterparty for index options is UBS AG.

Analysis of portfolio Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - 551,965 (31 December 2016: –) (29) DAX Index Short Futures Contracts Exp Mar-2018

Total assets (11,221,374)

186,962

Fair Total value net assets USD %

Open futures contracts - (1,748,474) (31 December 2016: (2,957,660))

Net current assets

CBOE S&P 500 Index Call 29-Dec-2017 2,675.000 CBOE S&P 500 Index Put 18-Jan-2018 2,450.000 CBOE S&P 500 Index Put 18-Jan-2018 2,600.000 FTSE 100 Index Put 19-Jan-2018 7,075.000

Holdings Description

Fair Total value net assets USD %

Open futures contracts cont’d.

South Korea - 9,934,387 (31 December 2016: 5,109,328)

108,883 174,330 101,471 34,163 2,782,983 3,760,655 165,339 54,384 507,981 274,596 1,967,124

Underlying exposure USD

% of Total Assets 92.91 0.17 0.15 6.77

100.00

0.03 169

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BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (USD) Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar

220,212 292,421 199,056 72,581 52,403

Euro Euro

US dollar US dollar

40,199 34,412

Euro Euro

US dollar US dollar

71,130 43,940

Euro Euro

US dollar US dollar

145,564 169,841

Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

531,022 283,731 44,959 571,261 55,524 360,424 1,648,643 104,861 190,164 81,293 36,583 58,617

Euro Euro

US dollar US dollar

48,452 122,690

Euro Euro Euro Euro Euro

US dollar US dollar US dollar US dollar US dollar

122,939 69,079 65,305 155,267 1,527,493

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

47,553 17-Jan-18 40,896 17-Jan-18 83,879 17-Jan-18 51,905 17-Jan-18 172,165 17-Jan-18 201,862 17-Jan-18 631,893 337,328 53,596 676,218 65,948 426,246 1,950,607 124,542 226,092 96,244 43,085 69,618

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

57,630 17-Jan-18 144,695 17-Jan-18 145,100 81,730 77,808 183,403 1,810,505

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

US dollar US dollar US dollar

50,215 39,397 83,646

59,488 17-Jan-18 46,846 17-Jan-18 98,085 17-Jan-18

Euro

US dollar

15,629

18,209 17-Jan-18

Euro Euro

US dollar US dollar

42,083 83,336

48,868 17-Jan-18 96,992 17-Jan-18

Euro

US dollar

173,531

203,217 17-Jan-18

Euro

US dollar

350,142

409,282 17-Jan-18

Euro

US dollar

73,806

86,001 17-Jan-18

Euro Euro

US dollar US dollar US dollar US dollar

1,750,946 913,040 481,223 177,336

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (USD) cont’d. 264,030 347,244 236,532 86,365 62,563

Euro Euro Euro

Euro Euro

Buy

2,047,577 17-Jan-18 1,066,411 17-Jan-18 562,994 17-Jan-18 206,851 17-Jan-18

Euro

US dollar

38,018

44,573 17-Jan-18

Japanese yen

US dollar

11,888,807

104,640 17-Jan-18

Japanese yen Japanese yen Japanese yen

US dollar US dollar US dollar

136,977,610 216,439,742 72,026,036

1,209,476 17-Jan-18 1,916,646 17-Jan-18 636,128 17-Jan-18

Japanese yen Japanese yen

US dollar US dollar

136,406,014 82,478,031

1,201,094 17-Jan-18 729,625 17-Jan-18

UBS AG UBS AG State Street Bank State Street Bank Canadian Imperial Bank State Street Bank Royal Bank ofScotland State Street Bank The Bank of NewYork Mellon State Street Bank Royal Bank ofScotland UBS AG UBS AG UBS AG UBS AG UBS AG State Street Bank UBS AG UBS AG State Street Bank UBS AG UBS AG JPMorgan Chase Bank State Street Bank JPMorgan Chase Bank State Street Bank State Street Bank UBS AG UBS AG Citigroup Global Markets Limited State Street Bank UBS AG Citigroup Global Markets Limited JPMorgan Chase Bank State Street Bank Citigroup Global Markets Limited JPMorgan Chase Bank The Bank of NewYork Mellon JPMorgan Chase Bank State Street Bank The Bank of NewYork Mellon State Street Bank Citigroup Global Markets Limited JPMorgan Chase Bank JPMorgan Chase Bank State Street Bank State Street Bank The Bank of NewYork Mellon State Street Bank The Bank of NewYork Mellon

223 3,659 2,334 732

Sterling

US dollar

131,058

Sterling

US dollar

896,444

Sterling

US dollar

514,223

320 685

Sterling

US dollar

45,292

399 1,476

Sterling Sterling

US dollar US dollar

53,026 101,437

823 2,511

Sterling Sterling Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar US dollar US dollar

147,872 1,402,828 42,275 183,308 373,294 81,497

Sterling

US dollar

56,493

Sterling

US dollar

33,564

Sterling Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar US dollar

231,889 368,610 83,652 463,534 119,285

Sterling Sterling

US dollar US dollar

641,806 188,840

Sterling

US dollar

56,139

Sterling Sterling

US dollar US dollar

1,123,340 171,759

Sterling Sterling Sterling Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar US dollar US dollar US dollar

48,990 74,911 236,532 190,503 132,568 151,867 233,594

Sterling

US dollar

28,446

Sterling

US dollar

66,028

Sterling

US dollar

94,815

Sterling

US dollar

33,607

Sterling

US dollar

201,585

Sterling Sterling

US dollar US dollar

139,919 1,745,949

Sterling

US dollar

415,632

Sterling Sterling Sterling Sterling

US dollar US dollar US dollar US dollar

2,491,377 27,590 101,457 194,791

Sterling

US dollar

37,901

Sterling

US dollar

266,455

Sterling

US dollar

40,321

1,946 5,330 3,147 354 9,291 680 6,260 27,754 1,290 2,104 1,306 814 722 513 2,532 2,426 1,165 557 2,916 22,476 771 430 2,290 546 1,632 3,010 5,019 10,886 2,565 53,547 29,231 14,470 5,951 1,048 1,105 8,872 8,479 4,508 12,170 3,977

175,786 17-Jan-18 Citigroup Global Markets Limited 1,200,441 17-Jan-18 JPMorgan Chase Bank 686,576 17-Jan-18 JPMorgan Chase Bank 60,773 17-Jan-18 Citigroup Global Markets Limited 71,649 17-Jan-18 State Street Bank 137,080 17-Jan-18 Royal Bank ofScotland 194,882 17-Jan-18 State Street Bank 1,859,910 17-Jan-18 State Street Bank 55,533 17-Jan-18 State Street Bank 240,458 17-Jan-18 State Street Bank 490,044 17-Jan-18 State Street Bank 108,452 17-Jan-18 JPMorgan Chase Bank 75,106 17-Jan-18 Royal Bank ofScotland 45,182 17-Jan-18 Citigroup Global Markets Limited 304,780 17-Jan-18 State Street Bank 488,933 17-Jan-18 UBS AG 111,018 17-Jan-18 UBS AG 624,052 17-Jan-18 UBS AG 159,601 17-Jan-18 JPMorgan Chase Bank 840,923 17-Jan-18 State Street Bank 251,681 17-Jan-18 JPMorgan Chase Bank 75,186 17-Jan-18 Royal Bank ofScotland 1,508,293 17-Jan-18 UBS AG 229,108 17-Jan-18 Citigroup Global Markets Limited 64,331 17-Jan-18 UBS AG 98,764 17-Jan-18 UBS AG 311,469 17-Jan-18 State Street Bank 254,076 17-Jan-18 State Street Bank 175,262 17-Jan-18 UBS AG 200,098 17-Jan-18 State Street Bank 307,810 17-Jan-18 JPMorgan Chase Bank 37,919 17-Jan-18 Royal Bank ofScotland 87,796 17-Jan-18 Royal Bank ofScotland 125,169 17-Jan-18 Citigroup Global Markets Limited 44,967 17-Jan-18 Citigroup Global Markets Limited 266,546 17-Jan-18 JPMorgan Chase Bank 188,637 17-Jan-18 State Street Bank 2,310,565 17-Jan-18 JPMorgan Chase Bank 547,539 17-Jan-18 JPMorgan Chase Bank 3,296,678 17-Jan-18 State Street Bank 36,417 17-Jan-18 State Street Bank 133,225 17-Jan-18 State Street Bank 259,087 17-Jan-18 Royal Bank ofScotland 50,110 17-Jan-18 JPMorgan Chase Bank 357,032 17-Jan-18 Royal Bank ofScotland 54,367 17-Jan-18 JPMorgan Chase Bank

1,385 11,420 8,578 455 34 49 5,020 36,508 1,617 7,348 14,595 1,720 1,263 192 8,700 9,374 2,067 2,577 1,655 26,704 3,604 706 10,299 3,085 1,896 2,505 8,288 3,456 3,951 5,204 7,976 536 1,464 3,008 465 5,968 513 49,704 14,335 71,301 880 3,930 4,241 1,127 3,177 140

170

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BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (USD) cont’d. US dollar US dollar

Japanese yen Japanese yen

US dollar US dollar

Japanese yen Japanese yen

US dollar

Japanese yen

US dollar US dollar US dollar

Japanese yen Japanese yen Japanese yen

US dollar

Japanese yen

US dollar US dollar US dollar US dollar US dollar

Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

US dollar

Japanese yen

US dollar

Japanese yen

US dollar US dollar

Japanese yen Japanese yen

US dollar US dollar US dollar Canadian dollar

Japanese yen Japanese yen Japanese yen US dollar

Canadian dollar

US dollar

Canadian dollar

US dollar

Canadian dollar Canadian dollar Canadian dollar New Zealand dollar New Zealand dollar New Zealand dollar

US dollar US dollar US dollar US dollar US dollar US dollar

New Zealand dollar US dollar New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar New Zealand dollar Australian dollar Australian dollar Australian dollar Australian dollar

US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

US dollar US dollar Japanese yen Japanese yen

New Zealand dollar New Zealand dollar US dollar US dollar

US dollar

Euro

31,368

26,959 17-Jan-18

US dollar US dollar

Euro Euro

48,497 63,207

41,767 17-Jan-18 54,200 17-Jan-18

US dollar

Euro

58,116

187,789 118,610 402,600 14,224

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (USD) cont’d.

14,312,030 1,603,674,416 17-Jan-18 UBS AG 29,157 3,269,379 17-Jan-18 Citigroup Global Markets Limited 41,027 4,608,879 17-Jan-18 State Street Bank 49,823 5,583,945 17-Jan-18 Royal Bank ofScotland 34,527 3,871,079 17-Jan-18 Citigroup Global Markets Limited 38,455 4,301,380 17-Jan-18 State Street Bank 49,778 5,551,641 17-Jan-18 State Street Bank 15,040 1,680,247 17-Jan-18 Citigroup Global Markets Limited 31,295 3,493,455 17-Jan-18 Citigroup Global Markets Limited 38,889 4,329,235 17-Jan-18 State Street Bank 51,030 5,707,741 17-Jan-18 UBS AG 26,354 2,928,022 17-Jan-18 UBS AG 41,909 4,696,365 17-Jan-18 State Street Bank 52,115 5,792,971 17-Jan-18 Royal Bank ofScotland 143,358 16,042,082 17-Jan-18 JPMorgan Chase Bank 54,207 6,062,104 17-Jan-18 Citigroup Global Markets Limited 42,321 4,755,290 17-Jan-18 State Street Bank 43,082 4,781,378 17-Jan-18 Royal Bank ofScotland 33,213 3,719,849 17-Jan-18 State Street Bank 38,162 4,283,225 17-Jan-18 State Street Bank 33,925 3,763,579 17-Jan-18 UBS AG 5,245,861 4,112,362 13-Feb-18 JPMorgan Chase Bank 725,593 566,262 13-Feb-18 Citigroup Global Markets Limited 109,190 85,746 13-Feb-18 Canadian Imperial Bank 143,879 111,948 13-Feb-18 UBS AG 282,942 220,954 13-Feb-18 State Street Bank 2,113,687 1,644,590 13-Feb-18 State Street Bank 51,218 34,960 13-Feb-18 State Street Bank 162,359 113,964 13-Feb-18 UBS AG 404,104 275,858 13-Feb-18 JPMorgan Chase Bank 10,678 7,382 13-Feb-18 The Bank of NewYork Mellon 148,230 101,363 13-Feb-18 State Street Bank 187,789 132,993 13-Feb-18 State Street Bank 118,610 84,370 13-Feb-18 State Street Bank 75,208 53,161 13-Feb-18 State Street Bank 59,530 41,608 13-Feb-18 UBS AG 46,976 32,943 13-Feb-18 State Street Bank 325,392 249,755 16-Mar-18 State Street Bank 94,033 72,139 16-Mar-18 State Street Bank 49,506 38,204 16-Mar-18 UBS AG 793,843 608,684 16-Mar-18 UBS AG

133,063 84,412 45,256,390 1,590,622

Buy

03-Jan-18 04-Jan-18 17-Jan-18 17-Jan-18

49,094 17-Jan-18

48,135 78 34

US dollar US dollar

Euro Euro

252,562 388,755

US dollar US dollar

Euro Euro

81,439 254,482

US dollar

Euro

75,411

US dollar US dollar

Euro Euro

22,582 164,941

US dollar US dollar US dollar US dollar US dollar

Euro Euro Euro Euro Euro

1,300,012 59,266 158,128 127,888 115,635

US dollar US dollar US dollar US dollar

Euro Euro Euro Euro

182,954 663,081 1,131,595 256,541

US dollar US dollar US dollar US dollar US dollar

Euro Euro Euro Euro Euro

70,805 94,673 116,544 48,885 76,625,508

US dollar

Euro

73,505

US dollar

Euro

122,314

US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Euro Euro Euro Euro Euro Euro Euro Euro Euro Japanese yen

146,989 84,991 96,036 61,465 407,806 289,538 339,876 88,272 225,551 14,876

US dollar US dollar

Japanese yen Japanese yen

3,709 34,958

US dollar US dollar

Japanese yen Japanese yen

51,212 32,378

US dollar US dollar

Japanese yen Japanese yen

64,981 24,006

US dollar US dollar US dollar

Japanese yen Sterling Sterling

38,872 91,133 54,229

156 95 196 399 95 223 383 263 310 137 589 672 287 25 554 127 65 450 76,499 13,129 1,444 2,941 4,977 43,205 1,498 1,605 11,787 218 4,149 677 58 372 766 495 4,666 1,385 505 12,013

USD

865,934

US dollar US dollar

Sterling Sterling

36,711 65,421

State Street Bank State Street Bank State Street Bank JPMorgan Chase Bank JPMorgan Chase Bank UBS AG Citigroup Global Markets Limited UBS AG

(678) (59) (67)

US dollar US dollar

Sterling Sterling

1,079,172 72,719

US dollar

Sterling

127,717

(983) (1,623)

US dollar US dollar US dollar

Sterling Sterling Sterling

71,889 53,434 42,070

(1,833) (797)

US dollar

Sterling

928,680

(77)

215,961 17-Jan-18 State Street Bank 332,432 17-Jan-18 Royal Bank ofScotland 68,508 17-Jan-18 UBS AG 217,841 17-Jan-18 Royal Bank ofScotland 64,544 17-Jan-18 Citigroup Global Markets Limited 19,175 17-Jan-18 State Street Bank 138,770 17-Jan-18 Royal Bank ofScotland 1,105,153 17-Jan-18 State Street Bank 49,452 17-Jan-18 UBS AG 134,107 17-Jan-18 UBS AG 108,198 17-Jan-18 State Street Bank 97,466 17-Jan-18 Citigroup Global Markets Limited 154,583 17-Jan-18 State Street Bank 559,910 17-Jan-18 State Street Bank 951,673 17-Jan-18 State Street Bank 217,732 17-Jan-18 Citigroup Global Markets Limited 60,107 17-Jan-18 State Street Bank 79,976 17-Jan-18 State Street Bank 99,072 17-Jan-18 State Street Bank 41,174 17-Jan-18 UBS AG 64,728,900 17-Jan-18 Citigroup Global Markets Limited 62,220 17-Jan-18 Citigroup Global Markets Limited 103,063 17-Jan-18 Citigroup Global Markets Limited 124,000 17-Jan-18 State Street Bank 71,894 17-Jan-18 State Street Bank 80,399 17-Jan-18 State Street Bank 52,014 17-Jan-18 State Street Bank 349,539 17-Jan-18 State Street Bank 244,160 17-Jan-18 UBS AG 290,319 17-Jan-18 State Street Bank 74,727 17-Jan-18 UBS AG 190,848 17-Jan-18 State Street Bank 1,680,834 17-Jan-18 JPMorgan Chase Bank 419,955 17-Jan-18 State Street Bank 3,963,015 17-Jan-18 Citigroup Global Markets Limited 5,765,400 17-Jan-18 State Street Bank 3,653,861 17-Jan-18 Citigroup Global Markets Limited 7,310,275 17-Jan-18 State Street Bank 2,718,324 17-Jan-18 Citigroup Global Markets Limited 4,395,538 17-Jan-18 State Street Bank 68,058 17-Jan-18 UBS AG 40,572 17-Jan-18 Citigroup Global Markets Limited 27,308 17-Jan-18 UBS AG 48,829 17-Jan-18 JPMorgan Chase Bank 807,040 17-Jan-18 UBS AG 54,256 17-Jan-18 JPMorgan Chase Bank 94,926 17-Jan-18 Citigroup Global Markets Limited 53,513 17-Jan-18 State Street Bank 39,900 17-Jan-18 UBS AG 31,280 17-Jan-18 Citigroup Global Markets Limited 700,966 17-Jan-18 State Street Bank

(6,590) (10,161) (770) (6,926) (2,041) (428) (1,583) (26,165) (76) (2,800) (1,949) (1,324) (2,544) (8,807) (10,406) (4,736) (1,323) (1,298) (2,341) (524) (1,048,737) (1,159) (1,361) (1,810) (1,280) (442) (952) (11,639) (3,453) (8,506) (1,400) (3,466) (75) (26) (291) (69) (121) (40) (173) (224) (872) (619) (205) (589) (11,828) (628) (609) (453) (505) (216) (18,923)

171

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BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Real Return Fund (USD) cont’d. US dollar US dollar US dollar US dollar US dollar US dollar US dollar US dollar

Sterling Sterling Sterling Sterling Sterling Sterling Sterling Sterling

350,537 275,305 165,001 12,939 119,362,920 37,096 109,354 33,764

267,179 207,863 125,049 9,862 90,209,065 28,035 82,916 25,365

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

US dollar US dollar US dollar US dollar US dollar

Sterling Sterling Sterling Sterling Sterling

25,279 502,826 52,776 30,003 204,852

19,135 376,277 39,592 22,360 152,474

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18

US dollar

Sterling

100,453

US dollar US dollar US dollar US dollar US dollar

Sterling Sterling Sterling Sterling Canadian dollar

63,649 81,282 72,025 3,594 35,207,450

48,204 61,855 54,836 2,720 44,871,300

17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 13-Feb-18

US dollar US dollar US dollar US dollar US dollar

Canadian dollar Korean won Korean won New Zealand dollar Swiss franc

78,816 100,117 9,104,412 10,125,654,000 180,778 195,493,333 13,687,727 19,866,224 164,916 162,249

13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18 13-Feb-18

US dollar

Swiss franc

16,950,689

16,849,731 13-Feb-18

US dollar

Australian dollar

42,610,367

56,711,673 16-Mar-18

75,669 17-Jan-18

State Street Bank State Street Bank State Street Bank UBS AG State Street Bank UBS AG State Street Bank The Bank of NewYork Mellon UBS AG State Street Bank State Street Bank State Street Bank Citigroup Global Markets Limited Citigroup Global Markets Limited State Street Bank State Street Bank State Street Bank UBS AG Citigroup Global Markets Limited UBS AG State Street Bank UBS AG State Street Bank JPMorgan Chase Bank Citigroup Global Markets Limited State Street Bank

(10,650) (5,696) (4,046) (393) (2,586,573) (804) (2,735) (526) (589) (5,845) (746) (224) (1,270) (1,840) (1,516) (2,337) (2,106) (83) (622,631) (1,127) (387,740) (2,484) (453,273) (1,916) (375,029) (1,731,864)

USD (7,423,623) Net USD (6,557,689)

172

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BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Collective investment schemes Supranational - 41,287,535 (31 December 2016: 1,945,000)

41,287,535

5.86

41,287,535

5.86

41,287,535

5.86

Argentina - 5,192,500 (31 December 2016: 5,219,750)

5,192,500

0.74

5,000,000 Provincia de Buenos Aires/Argentina 5.750% 15-Jun-2019

5,192,500

0.74

13,262,700

1.88

13,262,700

1.88

21,236,530

3.01

5,000,000 JBS Investments GmbH 7.750% 28-Oct-2020 5,118,750 4,672,000 JBS USA LUX SA / JBS USA Finance Inc 7.250% 01-Jun-2021 4,771,280 11,000,000 Marfrig Holdings Europe BV 6.875% 24-Jun-2019 11,346,500

0.72

41,287,535 Insight Liquidity Funds Plc - USD Liquidity Fund

Total investments in collective investment schemes Bonds

Belgium - 13,262,700 (31 December 2016: –) 10,000,000 Nyrstar Netherlands Holdings BV 8.500% 15-Sep-2019

Brazil - 21,236,530 (31 December 2016: 21,733,937)

Canada - 21,724,438 (31 December 2016: 11,355,000)

0.68 1.61

21,724,438

3.08

5,393,750

0.77

7,921,875 8,408,813

1.12 1.19

7,402,500

1.05

7,402,500

1.05

Democratic Republic of Congo - 6,557,500 (31 December 2016: –) 6,557,500

0.93

5,000,000 Bombardier Inc 144A 7.750% 15-Mar-2020 7,500,000 GFL Environmental Inc 144A 9.875% 01-Feb-2021 7,425,000 Teck Resources Ltd 144A 8.500% 01-Jun-2024

Chile - 7,402,500 (31 December 2016: –) 7,000,000 VTR Finance BV 144A 6.875% 15-Jan-2024

6,100,000 HTA Group Ltd/Mauritius 9.125% 08-Mar-2022

Denmark - 14,863,970 (31 December 2016: –) 7,000,000 Nassa Topco AS 2.875% 06-Apr-2024 6,300,000 Welltec A/S 144A 8.000% 01-Feb-2019

France - 13,531,248 (31 December 2016: 11,461,228) 6,665,000 Loxam SAS 7.000% 23-Jul-2022 5,000,000 SFR Group SA 144A 6.000% 15-May-2022

Germany - 20,213,041 (31 December 2016: 2,782,313) 9,945,000 CeramTec Group GmbH 8.250% 15-Aug-2021 6,000,000 Kirk Beauty One GmbH 8.750% 15-Jul-2023

Ghana - 13,432,850 (31 December 2016: –) 13,250,000 Tullow Oil Plc 6.000% 01-Nov-2020

India - 13,290,000 (31 December 2016: 8,496,296) 12,000,000 Vedanta Resources Plc 8.250% 07-Jun-2021

Holdings Description

Fair Total value net assets USD %

6,557,500

0.93

14,863,970

2.11

8,540,345 6,323,625

1.21 0.90

13,531,248

1.92

8,462,498 5,068,750

1.20 0.72

20,213,041

2.87

12,493,881 7,719,160

1.77 1.10

13,432,850

1.91

13,432,850

1.91

13,290,000

1.89

13,290,000

1.89

Ireland - 12,797,500 (31 December 2016: –)

12,797,500

1.82

5,150,000

0.73

7,647,500

1.09

11,998,507

1.70

11,998,507

1.70

11,786,166

1.67

11,786,166

1.67

24,502,001

3.48

6,092,602 4,653,505

0.87 0.66

5,225,000

0.74

8,530,894

1.21

23,546,380

3.34

10,311,318 13,235,062

1.46 1.88

1,887,307

0.27

1,887,307

0.27

26,008,884

3.69

10,118,049 15,890,835

1.44 2.25

United Arab Emirates - 412,236 (31 December 2016: 2,342,400)

412,236

0.06

397,000 Topaz Marine SA 9.125% 26-Jul-2022

412,236

0.06

United Kingdom - 83,322,742 (31 December 2016: 89,176,239)

83,322,742

11.82

5,000,000 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 144A 6.000% 30-Jun-2021 7,000,000 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 144A 7.250% 15-May-2024

Italy - 11,998,507 (31 December 2016: 20,968,339) 10,000,000 Twin Set-Simona Barbieri SpA 5.546% 15-Jul-2019 FRN

Jamaica - 11,786,166 (31 December 2016: –) 11,950,000 Digicel Group Ltd 8.250% 30-Sep-2020

Luxembourg - 24,502,001 (31 December 2016: 31,245,500) 5,000,000 Altice Luxembourg SA 7.250% 15-May-2022 3,200,000 Garfunkelux Holdco 2 SA 11.000% 01-Nov-2023 5,000,000 INEOS Group Holdings SA 144A 5.625% 01-Aug-2024 7,000,000 Matterhorn Telecom Holding SA 4.875% 01-May-2023

Netherlands - 23,546,380 (31 December 2016: 10,687,500) 9,790,000 GTH Finance BV 6.250% 26-Apr-2020 12,650,000 Lincoln Finance Ltd 144A 7.375% 15-Apr-2021

Spain - 1,887,307 (31 December 2016: 3,689,474) 1,601,837 BBVA Leasing 1 FTA 0.081% 26-May-2031 FRN

Sweden - 26,008,884 (31 December 2016: 4,717,242) 8,357,000 Intrum Justitia AB 2.625% 15-Jul-2022 FRN 13,000,000 Ovako AB 5.000% 05-Oct-2022

12,550,000 Corral Petroleum Holdings AB 11.750% 15-May-2021 16,796,085 2,000,000 Enterprise Funding Ltd 3.500% 10-Sep-2020 2,799,538 15,000,000 Ithaca Energy Inc 144A 8.125% 01-Jul-2019 15,225,000 4,275,000 Jaguar Land Rover Automotive Plc 144A 5.625% 01-Feb-2023 4,392,563 1,325,000 Jerrold Finco Plc 6.250% 15-Sep-2021 1,843,602 3,802,281 Keystone Financing Plc 9.500% 15-Oct-2019 5,300,497 2,000,000 Moy Park BondCo Plc 6.250% 29-May-2021 2,795,676 4,653,371 Punch Taverns Finance B Ltd 7.369% 30-Sep-2021 7,183,780 5,695,000 Synlab Unsecured Bondco Plc 8.250% 01-Jul-2023 7,435,321 5,850,000 Virgin Media Receivables Financing Notes I DAC 5.500% 15-Sep-2024 7,968,441 8,835,000 Worldpay Finance Plc 3.750% 15-Nov-2022 11,582,239

2.38 0.40 2.16 0.62 0.26 0.75 0.40 1.02 1.06 1.13 1.64

173

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BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

13,000,000 AK Steel Corp 7.625% 01-Oct-2021 13,552,500 5,000,000 Alcoa Nederland Holding BV 144A 6.750% 30-Sep-2024 5,475,000 10,046,000 American Axle & Manufacturing Inc 7.750% 15-Nov-2019 11,000,370 13,493,000 Antero Resources Corp 5.375% 01-Nov-2021 13,880,924 2,000,000 Atrium Windows & Doors Inc 144A 7.750% 01-May-2019 2,037,500 8,000,000 Axalta Coating Systems LLC 144A 4.875% 15-Aug-2024 8,420,000 8,800,000 Beazer Homes USA Inc 8.750% 15-Mar-2022 9,723,120 7,351,000 Calpine Corp 144A 6.000% 15-Jan-2022 7,599,096 3,700,000 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 3,774,000 5,000,000 Citgo Holding Inc 144A 10.750% 15-Feb-2020 5,387,500 4,683,000 CITGO Petroleum Corp 144A 6.250% 15-Aug-2022 4,741,537 1,243,000 Cleveland-Cliffs Inc 4.800% 01-Oct-2020 1,205,710 1,118,000 Cleveland-Cliffs Inc 4.875% 01-Apr-2021 1,071,882 7,000,000 Continental Resources Inc/OK 5.000% 15-Sep-2022 7,131,250 5,000,000 DCP Midstream Operating LP 144A 5.350% 15-Mar-2020 5,237,500 8,000,000 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 8,761,936 10,500,000 Dynegy Inc 7.375% 01-Nov-2022 11,103,750 5,000,000 Global Partners LP / GLP Finance Corp 6.250% 15-Jul-2022 5,162,500 10,000,000 Herc Rentals Inc 144A 7.500% 01-Jun-2022 10,825,000 1,355,000 Herc Rentals Inc 144A 7.750% 01-Jun-2024 1,493,888 9,000,000 Kraton Polymers LLC / Kraton Polymers Capital Corp 144A 10.500% 15-Apr-2023 10,215,000 6,500,000 Manitowoc Co Inc/The 144A 12.750% 15-Aug-2021 7,442,500 13,000,000 McDermott International Inc 144A 8.000% 01-May-2021 13,427,050 5,000,000 PBF Holding Co LLC / PBF Finance Corp 7.000% 15-Nov-2023 5,225,000 8,015,000 Pitney Bowes Inc 3.625% 15-Sep-2020 7,974,925 8,233,000 Rialto Holdings LLC / Rialto Corp 144A 7.000% 01-Dec-2018 8,294,748 10,000,000 Rite Aid Corp 144A 6.125% 01-Apr-2023 9,062,500 2,375,000 Sable International Finance Ltd 144A 6.875% 01-Aug-2022 2,520,469 7,000,000 Sprint Communications Inc 7.000% 15-Aug-2020 7,437,500 11,375,000 Sunoco LP / Sunoco Finance Corp 6.250% 15-Apr-2021 11,852,750 6,000,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.125% 15-Nov-2019 6,052,500 6,565,000 Tronox Finance LLC 144A 7.500% 15-Mar-2022 6,876,837 3,277,000 United States Steel Corp 7.375% 01-Apr-2020 3,571,930 5,566,000 United States Steel Corp 144A 8.375% 01-Jul-2021 6,041,893 9,000,000 Western Digital Corp 10.500% 01-Apr-2024 10,451,250 8,000,000 XPO Logistics Inc 144A 6.500% 15-Jun-2022 8,380,000

10,000,000 First Quantum Minerals Ltd 144A 7.000% 15-Feb-2021

Total investments in bonds

Holdings Description

Equities

United States of America - 262,411,815 (31 December 2016: 145,647,276) 262,411,815

Zambia - 10,400,000 (31 December 2016: –)

Fair Total value net assets USD %

Norway - 1,398,193 (31 December 2016: 2,588,551)

37.23 1.92 0.78

Total investments in equities

1.56 1.97

Leveraged loans

0.29 1.19 1.38 1.08 0.54 0.76 0.67 0.17 0.15 1.01

0.73 1.54 0.21

1.45 1.06

Total investments in leveraged loans

Holdings Description

(37) Euro-Bund Short Futures Contracts Exp Mar-2018

1.00

7,061,711

1.00

8,944,306

1.27

8,944,306

1.27

21,719,017

3.08

Fair Total value net assets USD %

(7,177,699)

61,432

0.01

61,432

0.01

3,900,683

0.55

688,147,675

97.64

(3,183,581)

(0.45)

(3,183,581)

(0.45)

19,832,029

2.81

704,796,123

100.00

Total open futures contracts

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

87.94

7,061,711

Open futures contracts - 61,432 (31 December 2016: –)

0.36 1.05

619,780,815

0.81

Underlying exposure USD

Unrealised loss on forward foreign currency contracts - (3,183,581) (seebelow) (31 December 2016: (1,773,904))

1.47

0.81

5,713,000

7,529,814 Inovyn Finance Plc Term Loan 3.250% 15-May-2021

1.18 1.29

10,400,000

5,713,000

United Kingdom - 8,944,306 (31 December 2016: 6,694,017)

Total ﬁnancial assets at fair value through proﬁt or loss

1.47

0.20

5,892,857 Noretyl A/S EUR Term Loan 2.564% 19-Nov-2019

0.74 1.13

10,400,000

1,398,193

Norway - 7,061,711 (31 December 2016: –)

Unrealised gain on forward foreign currency contracts - 3,900,683 (seebelow) (31 December 2016: 2,178,023)

0.86 0.98 0.51 0.86 1.48 1.19

0.20

5,800,000 Linxens France SA Term Loan 8.500% 16-Oct-2023

1.90

1.68

0.20

1,398,193

France - 5,713,000 (31 December 2016: 5,500,000)

0.74 1.24 1.58

1,398,193

40,000 Norwegian Energy Co ASA

The counterparty for futures contracts is Goldman Sachs.

Total assets

% of Total Assets 93.42 3.06 0.01 0.55 2.96

100.00

174

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BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts Buy

Sell

Amount (B)

Settle Date Counterparty

Amount (S)

Unrealised Gain/(Loss)

BNY Mellon Global Short-Dated High Yield Bond Fund Euro Euro Sterling Swedish krona Swedish krona

US dollar US dollar US dollar US dollar US dollar

1,677,000 8,157,000 6,878,000 22,842,000 17,468,000

1,996,641 9,718,663 9,270,966 2,720,339 2,088,338

19-Jan-18 19-Jan-18 07-Mar-18 07-Mar-18 07-Mar-18

HSBC Bank plc HSBC Bank plc HSBC Bank plc HSBC Bank plc Toronto Dominion Bank

17,677 79,066 34,776 75,018 49,360

USD 255,897 US dollar US dollar

Euro Euro

2,407,365 1,778,971

US dollar US dollar

Euro Euro

4,609,809 43,175,689

US dollar

Euro

4,135,530

US dollar

Euro

10,237,183

US dollar US dollar US dollar US dollar

Euro Norwegian krone Sterling Swedish krona

103,581,363 1,129,644 41,384,372 4,663,474

2,043,000 19-Jan-18 UBS AG (46,572) 1,490,000 19-Jan-18 RBC Capital Markets (10,734) 3,882,000 19-Jan-18 UBS AG (53,031) 36,661,000 19-Jan-18 Citigroup Global Markets Limited (859,443) 3,478,000 19-Jan-18 Bank of America Merrill Lynch (42,048) 8,699,000 19-Jan-18 RBC Capital Markets (211,566) 87,300,000 22-Feb-18 Barclays Bank PLC (1,483,340) 9,334,000 07-Mar-18 HSBC Bank plc (9,220) 30,749,000 07-Mar-18 HSBC Bank plc (218,166) 38,993,000 07-Mar-18 Toronto Dominion Bank (108,409)

Buy

Sell

Amount (B)

Euro

US dollar

65,470

Euro

US dollar

280,840

Euro

US dollar

123,982

Euro

US dollar

39,990

Euro

US dollar

50,108,263

Euro

US dollar

75,283

Euro

US dollar

163,408

Euro

US dollar

72,975

Euro

US dollar

34,276

Euro

1,450,029

USD (3,042,529)

US dollar

Euro

405,043

Net USD (2,786,632)

US dollar

Euro

2,382

US dollar

Euro

770,735

BNY Mellon Global Short-Dated High Yield Bond Fund CHF W (Acc) (Hedged) Share Class

US dollar

Euro

153,630

Swiss franc

US dollar

Euro

1,281,266

US dollar

Euro

25,549

530,151

536,603 12-Jan-18 The Bank of NewYork Mellon

7,852

USD

7,852

CHF

7,651

77,638 12-Jan-18 The Bank of NewYork Mellon 331,756 12-Jan-18 The Bank of NewYork Mellon 146,331 12-Jan-18 The Bank of NewYork Mellon 47,166 12-Jan-18 The Bank of NewYork Mellon 59,249,339 12-Jan-18 The Bank of NewYork Mellon 88,655 12-Jan-18 The Bank of NewYork Mellon 192,710 12-Jan-18 The Bank of NewYork Mellon 86,302 12-Jan-18 The Bank of NewYork Mellon 40,640 12-Jan-18 The Bank of NewYork Mellon

US dollar

100,127

118,393 12-Jan-18 The Bank of NewYork Mellon

1,821

USD

1,821

EUR

1,518

BNY Mellon Global Short-Dated High Yield Bond Fund EUR H (Acc) (Hedged) Share Class Euro

US dollar

2,001

Euro

US dollar

372,655

Euro

US dollar

116,852

Euro

US dollar

210,122

Euro

US dollar

339,161

Euro

US dollar

1,219,076

2,380 02-Jan-18 The Bank of NewYork Mellon 443,683 12-Jan-18 The Bank of NewYork Mellon 139,134 12-Jan-18 The Bank of NewYork Mellon 249,373 12-Jan-18 The Bank of NewYork Mellon 405,270 12-Jan-18 The Bank of NewYork Mellon 1,450,900 12-Jan-18 The Bank of NewYork Mellon

21 3,731

Unrealised Gain/(Loss)

966 5,423 2,524 846 911,210 1,731 3,479 1,313 511

USD

950,484

EUR

792,169

1,219,076 02-Jan-18 The Bank of NewYork Mellon 339,161 03-Jan-18 The Bank of NewYork Mellon 2,001 12-Jan-18 The Bank of NewYork Mellon 651,720 12-Jan-18 The Bank of NewYork Mellon 130,270 12-Jan-18 The Bank of NewYork Mellon 1,079,598 12-Jan-18 The Bank of NewYork Mellon 21,458 12-Jan-18 The Bank of NewYork Mellon

BNY Mellon Global Short-Dated High Yield Bond Fund EUR G (Acc) (Hedged) Share Class Euro

Settle Date Counterparty

BNY Mellon Global Short-Dated High Yield Bond Fund EUR H (Acc) (Hedged) Share Class cont’d.

US dollar

Amount (S)

(12,679) (1,925) (21) (11,727) (2,774) (14,912) (213)

USD

(44,251)

EUR

(36,880)

Net USD

906,233

Net EUR

755,289

BNY Mellon Global Short-Dated High Yield Bond Fund EUR H (Inc) (Hedged) Share Class Euro

US dollar

3,705

Euro

US dollar

17,516

Euro

US dollar

289,661

Euro

US dollar

2,001

4,369 12-Jan-18 The Bank of NewYork Mellon 20,854 12-Jan-18 The Bank of NewYork Mellon 342,503 12-Jan-18 The Bank of NewYork Mellon 2,360 12-Jan-18 The Bank of NewYork Mellon

79 175 5,267 42

1,160

USD

5,563

2,902

EUR

4,636

1,931 12,736

175

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BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Short-Dated High Yield Bond Fund EUR I (Acc) (Hedged) Share Class Euro

US dollar

262,325

Euro

US dollar

270

Euro

US dollar

89,739

Euro Euro

US dollar US dollar

18,691 80,328,012

Euro

US dollar

475,000

Euro

US dollar

590,749

Euro Euro Euro

US dollar US dollar US dollar

3,300 5,558 38,075

Euro

US dollar

75,000

Euro

US dollar

1,756

US dollar

Euro

567,269

US dollar

Euro

43,233

US dollar

Euro

8,141

US dollar

Euro

56,575

US dollar

Euro

71,183

US dollar

Euro

323

US dollar

Euro

312,210

US dollar

Euro

1,526,694

US dollar

Euro

50,340

US dollar

Euro

11,880

US dollar

Euro

4,769

US dollar

Euro

US dollar

Euro

1,649

Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Short-Dated High Yield Bond Fund EUR I (Inc) (Hedged) Share Class

312,022 02-Jan-18 The Bank of NewYork Mellon 323 03-Jan-18 The Bank of NewYork Mellon 106,502 12-Jan-18 The Bank of NewYork Mellon 22,253 12-Jan-18 The Bank of NewYork Mellon 94,981,972 12-Jan-18 The Bank of NewYork Mellon 567,586 12-Jan-18 The Bank of NewYork Mellon 697,852 12-Jan-18 The Bank of NewYork Mellon 3,895 12-Jan-18 The Bank of NewYork Mellon 6,555 12-Jan-18 The Bank of NewYork Mellon 45,145 12-Jan-18 The Bank of NewYork Mellon 88,449 12-Jan-18 The Bank of NewYork Mellon 2,077 12-Jan-18 The Bank of NewYork Mellon

Euro

US dollar

185,430

2,728

3,372

USD

3,372

1,240

EUR

2,810

187 US dollar

Euro

122,494

1,460,752

103,296 12-Jan-18 The Bank of NewYork Mellon

(1,524)

2,705

USD

(1,524)

11,408

EUR

(1,270)

Net USD

1,848

Net EUR

1,540

67 118 568 1,597 32

BNY Mellon Global Short-Dated High Yield Bond Fund EUR W (Acc) (Hedged) Share Class Euro

US dollar

53,285

USD 1,481,404

Euro

US dollar

2,117

EUR 1,234,657

Euro

US dollar

85,963

Euro

US dollar

54,775

Euro

US dollar

12,414

Euro

US dollar

64,076

Euro

US dollar

32,016,692

Euro

US dollar

462,819

Euro

US dollar

161,011

Euro

US dollar

71,346

Euro

US dollar

61,286

Euro

US dollar

32,887

Euro

US dollar

110,914

Euro

US dollar

41,850

475,000 03-Jan-18 The Bank of NewYork Mellon 36,457 12-Jan-18 The Bank of NewYork Mellon 6,837 12-Jan-18 The Bank of NewYork Mellon 47,515 12-Jan-18 The Bank of NewYork Mellon 60,312 12-Jan-18 The Bank of NewYork Mellon 270 12-Jan-18 The Bank of NewYork Mellon 262,325 12-Jan-18 The Bank of NewYork Mellon 1,290,944 12-Jan-18 The Bank of NewYork Mellon 42,456 12-Jan-18 The Bank of NewYork Mellon 10,088 12-Jan-18 The Bank of NewYork Mellon 4,019 12-Jan-18 The Bank of NewYork Mellon 37 12-Jan-18 The Bank of NewYork Mellon 1,398 12-Jan-18 The Bank of NewYork Mellon

219,258 12-Jan-18 The Bank of NewYork Mellon

(2,696) (538) (68) (472) (1,228) (2) (2,740) (23,229) (633) (232) (56)

63,380 02-Jan-18 The Bank of NewYork Mellon 2,528 03-Jan-18 The Bank of NewYork Mellon 101,940 12-Jan-18 The Bank of NewYork Mellon 65,215 12-Jan-18 The Bank of NewYork Mellon 14,774 12-Jan-18 The Bank of NewYork Mellon 76,566 12-Jan-18 The Bank of NewYork Mellon 37,857,386 12-Jan-18 The Bank of NewYork Mellon 551,070 12-Jan-18 The Bank of NewYork Mellon 190,414 12-Jan-18 The Bank of NewYork Mellon 84,594 12-Jan-18 The Bank of NewYork Mellon 72,172 12-Jan-18 The Bank of NewYork Mellon 39,030 12-Jan-18 The Bank of NewYork Mellon 131,023 12-Jan-18 The Bank of NewYork Mellon 49,354 12-Jan-18 The Bank of NewYork Mellon

554 12 1,269 548 130 365 582,218 4,596 2,897 1,065 1,409 454 2,142 891

(1)

USD

598,550

(30)

EUR

498,854

USD

(31,925)

EUR

(26,607)

US dollar

Euro

14,765

US dollar

Euro

76,523

Net USD 1,449,479

US dollar

Euro

63,418

Net EUR 1,208,050

US dollar

Euro

35,888

US dollar

Euro

2,529

12,414 02-Jan-18 The Bank of NewYork Mellon 64,076 03-Jan-18 The Bank of NewYork Mellon 53,285 12-Jan-18 The Bank of NewYork Mellon 30,475 12-Jan-18 The Bank of NewYork Mellon 2,117 12-Jan-18 The Bank of NewYork Mellon

(129) (364) (557) (701) (12)

176

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23/04/18 10:44

BNY MELLON GLOBAL SHORT-DATED HIGH YIELD BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Short-Dated High Yield Bond Fund EUR W (Acc) (Hedged) Share Class cont’d. US dollar

Euro

899

US dollar

Euro

43,869

US dollar

Euro

1,187

US dollar

Euro

19,380

US dollar

Euro

30,773

755 12-Jan-18 The Bank of NewYork Mellon 37,199 12-Jan-18 The Bank of NewYork Mellon 1,001 12-Jan-18 The Bank of NewYork Mellon 16,277 12-Jan-18 The Bank of NewYork Mellon 26,050 12-Jan-18 The Bank of NewYork Mellon

(8) (792) (15) (162) (503)

USD

(3,243)

EUR

(2,703)

Net USD

595,307

Net EUR

496,151

BNY Mellon Global Short-Dated High Yield Bond Fund EUR W (Inc) (Hedged) Share Class Euro

US dollar

103,464

122,339 12-Jan-18 The Bank of NewYork Mellon

1,881

USD

1,881

EUR

1,568

BNY Mellon Global Short-Dated High Yield Bond Fund Sterling W (Acc) (Hedged) Share Class Sterling

US dollar

748,701

1,001,531 12-Jan-18 The Bank of NewYork Mellon

9,689

USD

9,689

GBP

7,176

BNY Mellon Global Short-Dated High Yield Bond Fund Sterling Y (Acc) (Hedged) Share Class Sterling

US dollar

Sterling

45,138,815

8,070,032

60,381,811 12-Jan-18 The Bank of NewYork Mellon

584,170

USD

584,170

GBP

432,670

6,019,504 12-Jan-18 The Bank of NewYork Mellon

(60,109)

USD

(60,109)

GBP

(44,520)

Net USD

524,061

Net GBP

388,150

177

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BNY MELLON GLOBAL UNCONSTRAINED FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes Ireland - 975,072 38,225 iShares Physical Gold ETC

Total investments in collective investment schemes

Holdings Description

Equities cont’d. 975,072

4.73

975,072

4.73

975,072

4.73

Republic of Korea - 166,393

166,393

0.81

166,393

0.81

511,541

2.48

205,832 305,709

1.00 1.48

United Kingdom - 1,714,720

1,714,720

8.33

Cobham Plc Ferguson Plc GlaxoSmithKline Plc Johnson Matthey Plc Prudential Plc Royal Bank of Scotland Group Plc Royal Dutch Shell Plc

205,348 313,418 164,810 208,714 209,329 186,678 426,423

1.00 1.52 0.80 1.01 1.02 0.91 2.07

4,291,467

20.84

389,953 335,294 337,866 393,449 451,385 481,231 404,107 323,432 314,668 539,941 320,141

1.89 1.63 1.64 1.91 2.19 2.34 1.96 1.57 1.53 2.62 1.56

11,862,670

57.61

483,976

2.35

19,011,200

92.32

1,581,509

7.68

20,592,709

100.00

870 Samsung SDI Co Ltd

Switzerland - 511,541 2,430 Novartis AG 1,210 Roche Holding AG

Bonds Norway - 203,761 1,670,000 Norway Government Bond 144A 1.500% 19-Feb-2026

United States of America - 5,485,721 724,390 United States Treasury Inﬂation Indexed Bonds 0.125% 15-Apr-2019 827,527 United States Treasury Inﬂation Indexed Bonds 0.125% 15-Apr-2020 599,256 United States Treasury Inﬂation Indexed Bonds 3.375% 15-Apr-2032 875,100 United States Treasury Note/Bond 1.625% 15-Aug-2022 625,900 United States Treasury Note/Bond 2.000% 15-Feb-2025 803,500 United States Treasury Note/Bond 2.875% 15-May-2043 786,000 United States Treasury Note/Bond 3.000% 15-May-2045

Total investments in bonds

203,761

0.99

203,761

0.99

5,485,721

26.64

722,209

3.51

824,880

4.00

826,455

4.01

853,923

4.15

610,827

2.97

824,153

4.00

823,274

4.00

5,689,482

27.63

223,488

1.09

223,488

1.09

400,568

1.94

400,568

1.94

816,702

3.97

382,834 433,868

1.86 2.11

477,385

2.32

477,385

2.32

507,227

2.46

248,613 258,614

1.21 1.25

Equities

120,000 4,350 9,290 5,030 8,220 49,833 12,690

United States of America - 4,291,467 2,540 2,610 320 2,300 8,730 6,410 6,420 2,040 5,560 6,300 4,390

Accenture Plc Albemarle Corp Alphabet Inc - Class A Apple Inc Applied Materials Inc Citigroup Inc Eversource Energy Intuit Inc Merck & Co Inc Microsoft Corp Walgreens Boots Alliance Inc

Total investments in equities Australia - 223,488

39,501 Insurance Australia Group Ltd

Denmark - 400,568 7,340 Orsted A/S 144A

Germany - 816,702 13,830 Inﬁneon Technologies AG 3,870 SAP SE

Unrealised gain on forward foreign currency contracts - 483,976 (seebelow)

Total ﬁnancial assets at fair value through proﬁt or loss Net current assets Total net assets

Hong Kong - 477,385 56,000 AIA Group Ltd

Ireland - 507,227 6,950 CRH Plc 3,180 Medtronic Plc

Japan - 2,007,806 5,300 7,000 9,000 5,000 6,400 4,000 6,000

2,007,806

9.75

Don Quijote Holdings Co Ltd Ebara Corp Recruit Holdings Co Ltd SoftBank Group Corp Sony Corp Sugi Holdings Co Ltd Suzuki Motor Corp

277,919 267,209 224,070 396,569 289,242 204,417 348,380

1.35 1.30 1.09 1.93 1.40 0.99 1.69

Netherlands - 412,477

412,477

2.00

412,477

2.00

332,896

1.62

332,896

1.62

7,880 Wolters Kluwer NV

Norway - 332,896 17,880 DNB ASA

Fair Total value net assets USD %

Total assets

% of Total Assets 89.96 2.35 7.69

100.00

178

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BNY MELLON GLOBAL UNCONSTRAINED FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Global Unconstrained Fund CAD X (Acc) (Hedged) Share Class Canadian dollar

US dollar

25,571,609

19,922,707 12-Jan-18 The Bank of NewYork Mellon

483,976

USD

483,976

CAD

606,664

179

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BNY MELLON JAPAN ALL CAP EQUITY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets JPY %

Basic Materials - 157,001,000 (31 December 2016: 114,346,300)

3.16

76,076,000 80,925,000

1.53 1.63

Consumer Discretionary - 1,169,299,400 (31 December 2016: 559,638,650) 1,169,299,400

23.53

Arata Corp Bandai Namco Holdings Inc Hikari Tsushin Inc Isuzu Motors Ltd JINS Inc Kura Corp LIXIL VIVA Corp Matsuoka Corp Mazda Motor Corp Nifco Inc/Japan Rinnai Corp Sekisui Chemical Co Ltd Shimano Inc Subaru Corp Tomy Co Ltd Toyota Motor Corp Yamaha Corp Yonex Co Ltd

Consumer Staples - 278,918,700 (31 December 2016: 121,406,750) Asahi Group Holdings Ltd Ezaki Glico Co Ltd Pola Orbis Holdings Inc Tsuruha Holdings Inc

Financials - 708,716,450 (31 December 2016: 293,330,005) 14,300 37,400 36,700 233,600 76,700 37,800 27,900 34,200 20,000 11,600

Anicom Holdings Inc Aruhi Corp Dai-ichi Life Holdings Inc Mitsubishi UFJ Financial Group Inc Mizuho Financial Group Inc Star Mica Co Ltd Sumitomo Mitsui Financial Group Inc Tokai Tokyo Financial Holdings Inc Uzabase Inc Zenkoku Hosho Co Ltd

Health Care - 169,029,100 (31 December 2016: 137,866,550) 14,900 Hoya Corp 48,100 Santen Pharmaceutical Co Ltd

Industrials - 1,319,044,700 (31 December 2016: 654,882,475) 36,100 8,000 1,900 18,400 14,100 38,000 51,000 9,800

Industrials cont’d. 157,001,000

7,600 Nitto Denko Corp 16,600 Tokyo Ohka Kogyo Co Ltd

18,100 6,200 21,800 3,700

Holdings Description

Equities cont’d.

Equities

13,200 11,000 3,900 33,300 6,700 8,600 10,600 14,300 39,500 15,800 6,200 49,200 1,900 20,800 44,300 19,700 15,800 18,900

Fair Total value net assets JPY %

Anest Iwata Corp Daikin Industries Ltd FANUC Corp Kito Corp METAWATER Co Ltd Mitsubishi Electric Corp Nichias Corp Nidec Corp

81,114,000 40,562,500 63,180,000 62,853,750 39,798,000 56,846,000 20,558,700 54,697,500 59,684,500 121,502,000 63,209,000 111,315,000 30,105,500 74,526,400 67,867,600 142,086,250 65,728,000 13,664,700

1.63 0.82 1.27 1.26 0.80 1.14 0.41 1.10 1.20 2.45 1.27 2.24 0.61 1.50 1.37 2.86 1.32 0.28

278,918,700

5.61

101,215,200 34,782,000 86,219,000 56,702,500

2.04 0.70 1.73 1.14

708,716,450

14.27

51,980,500 49,218,400 85,263,275 193,000,320 15,696,655 64,940,400 135,789,300 24,897,600 31,670,000 56,260,000

1.05 0.99 1.72 3.88 0.32 1.31 2.73 0.50 0.64 1.13

169,029,100

3.40

83,819,950 85,209,150

1.69 1.71

1,319,044,700

26.54

45,522,100 106,720,000 51,447,250 32,641,600 41,143,800 71,107,500 76,551,000 154,962,500

0.92 2.15 1.03 0.66 0.83 1.43 1.54 3.12

24,100 128,200 24,700 26,800 69,500 2,000 9,800 25,400 20,400 18,900

Park24 Co Ltd Penta-Ocean Construction Co Ltd Persol Holdings Co Ltd Recruit Holdings Co Ltd Shimizu Corp SMC Corp/Japan Sohgo Security Services Co Ltd Star Micronics Co Ltd Totetsu Kogyo Co Ltd Trusco Nakayama Corp

64,997,700 107,559,800 69,740,450 75,073,500 80,898,000 92,820,000 60,074,000 49,403,000 76,296,000 62,086,500

1.31 2.16 1.40 1.51 1.63 1.87 1.21 0.99 1.53 1.25

875,822,650

17.62

85,706,550 70,168,000 75,434,900 84,672,000 75,762,000 24,353,500 49,452,000 76,551,000 36,067,200 44,954,000 85,800,000 68,621,500 98,280,000

1.72 1.41 1.52 1.70 1.52 0.49 1.00 1.54 0.73 0.90 1.73 1.38 1.98

Telecommunication Services - 235,466,400 (31 December 2016: 100,076,400) 235,466,400

4.74

Information Technology - 875,822,650 (31 December 2016: 277,142,200) 67,300 2,800 86,000 12,600 1,200 5,300 1,200 11,400 44,200 5,200 16,500 14,200 45,500

Anritsu Corp Disco Corp Hitachi Ltd Iriso Electronics Co Ltd Keyence Corp LINE Corp Nintendo Co Ltd Omron Corp Osaki Electric Co Ltd Otsuka Corp SCSK Corp Siix Corp Yokogawa Electric Corp

6,600 Nippon Telegraph & Telephone Corp 22,000 NTT DOCOMO Inc 15,900 SoftBank Group Corp

Total investments in equities

34,999,800 58,575,000 141,891,600

0.70 1.18 2.86

4,913,298,400

98.87

Unrealised gain on forward foreign currency contracts - 234,920 (seebelow) (31 December 2016: 14,172,892)

Total ﬁnancial assets at fair value through proﬁt or loss

234,920

0.01

4,913,533,320

98.88

Unrealised loss on forward foreign currency contracts - (1,894,253) (seebelow) (31 December 2016: (72,660))

(1,894,253)

(0.04)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(1,894,253)

(0.04)

Net current assets

57,917,512

1.16

4,969,556,579

100.00

Total net assets

Total assets

% of Total Assets 98.71 0.00 1.29

100.00

180

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BNY MELLON JAPAN ALL CAP EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Japan All Cap Equity Fund EUR H (Hedged) Share Class Euro

Japanese yen

112,433

15,052,705 12-Jan-18 The Bank of NewYork Mellon

115,067

JPY

115,067

EUR

853

BNY Mellon Japan All Cap Equity Fund EUR I (Hedged) Share Class Euro

Japanese yen

117,109

15,678,854 12-Jan-18 The Bank of NewYork Mellon

119,853

JPY

119,853

EUR

889

BNY Mellon Japan All Cap Equity Fund USD I (Hedged) Share Class US dollar

Japanese yen

2,839,248 321,189,408 12-Jan-18 The Bank of NewYork Mellon

(1,894,253)

JPY (1,894,253) USD

(16,836)

181

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BNY MELLON JAPAN REIT ALPHA FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets JPY %

Real estate investment trust Real Estate - 1,650,710,350 (31 December 2016: 2,133,619,950) 122 180 63 102 107 156 61 179 46 350 100 137 67 18 154 37 264 59 144 826 146 789 36 19 130 297 475 128 149 10 150 175 97 77 195 90 202 91 182 384 108 392 66 418 135 106 30 41

Holdings Description

Fair Total value net assets JPY %

Real estate investment trust cont’d. Real Estate cont’d. 1,650,710,350

97.93

Activia Properties Inc 57,553,500 Advance Residence Investment Corp 49,770,000 AEON REIT Investment Corp 7,452,900 Comforia Residential REIT Inc 24,592,200 Daiwa House REIT Investment Corp 28,617,150 Daiwa Ofﬁce Investment Corp 92,508,000 Frontier Real Estate Investment Corp 26,687,500 Fukuoka REIT Corp 30,107,800 Global One Real Estate Investment Corp 18,411,500 GLP J-Reit 42,595,000 Hankyu Reit Inc 13,040,000 Health Care & Medical Investment Corp 14,754,900 Heiwa Real Estate REIT Inc 6,271,200 Hoshino Resorts REIT Inc 9,846,000 Hulic Reit Inc 25,256,000 Ichigo Hotel REIT Investment Corp 4,530,650 Ichigo Ofﬁce REIT Investment 20,407,200 Industrial & Infrastructure Fund Investment Corp 28,585,500 Invesco Ofﬁce J-Reit Inc 15,746,400 Invincible Investment Corp 39,586,050 Japan Excellent Inc 19,104,100 Japan Hotel REIT Investment Corp 59,648,400 Japan Logistics Fund Inc 7,468,200 Japan Prime Realty Investment Corp 6,797,250 Japan Real Estate Investment Corp 69,550,000 Japan Rental Housing Investments Inc 24,398,550 Japan Retail Fund Investment Corp 98,063,750 Kenedix Ofﬁce Investment Corp 81,728,000 Kenedix Residential Investment Corp 48,797,500 Kenedix Retail REIT Corp 2,327,000 LaSalle Logiport REIT 17,325,000 MCUBS MidCity Investment Corp 13,133,750 Mirai Corp 17,460,000 Mitsui Fudosan Logistics Park Inc 27,623,750 Mori Hills REIT Investment Corp 26,588,250 Mori Trust Hotel Reit Inc 12,798,000 Mori Trust Sogo Reit Inc 31,663,500 Nippon Accommodations Fund Inc 42,246,750 Nippon Building Fund Inc 100,100,000 Nippon Prologis REIT Inc 91,545,600 NIPPON REIT Investment Corp 34,938,000 Nomura Real Estate Master Fund Inc 54,742,800 One REIT Inc 16,483,500 Orix JREIT Inc 65,145,300 Premier Investment Corp 14,377,500 Sakura Sogo REIT Investment Corp 9,921,600 Sekisui House Reit Inc 3,942,000 Sekisui House Residential Investment Corp 4,608,400

3.41 2.95 0.44 1.46 1.70 5.49 1.58 1.79 1.09 2.53 0.77 0.88 0.37 0.58 1.50 0.27 1.21 1.70 0.93 2.35 1.13 3.54 0.44 0.40 4.13 1.45 5.82 4.85 2.89 0.14 1.03 0.78 1.04 1.64 1.58 0.76 1.88 2.51 5.94 5.43 2.07 3.25 0.98 3.86 0.85 0.59 0.23 0.27

73 Starts Proceed Investment Corp 493 United Urban Investment Corp

12,023,100 79,841,350

0.71 4.74

Total investments in real estate investment trust

1,650,710,350

97.93

Total ﬁnancial assets at fair value through proﬁt or loss

1,650,710,350

97.93

34,846,990

2.07

1,685,557,340

100.00

Net current assets Total net assets

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total Assets 96.33 3.67

100.00

182

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BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND Portfolio of investments – as at 31December2017 Fair Total value net assets JPY %

Holdings Description

Equities Basic Materials - 667,392,400 (31 December 2016: 310,127,550)

667,392,400

8.28

245,180,000 299,492,400 122,720,000

3.04 3.72 1.52

624,578,550

7.75

282,808,000 341,770,550

3.51 4.24

1,520,044,450

18.87

272,544,000 300,679,000 224,406,000 389,964,150 212,794,800 119,656,500

3.38 3.73 2.79 4.84 2.64 1.49

429,862,500

5.33

151,425,000 278,437,500

1.88 3.45

987,680,300

12.26

129,140,300 330,785,000 287,195,000 240,560,000

1.60 4.11 3.56 2.99

1,552,653,650

19.27

386,252,550 262,675,000 171,196,800 282,910,800 249,154,500 200,464,000

4.79 3.26 2.13 3.51 3.09 2.49

Information Technology - 2,002,436,300 (31 December 2016: 382,146,750) 2,002,436,300

24.85

36,800 Open Door Inc 205,700 Vector Inc

Consumer, Cyclical - 1,520,044,450 (31 December 2016: 536,868,750) 66,800 39,100 54,800 152,300 138,900 165,500

HIS Co Ltd Nifco Inc/Japan Nippon Gas Co Ltd Resorttrust Inc Tomy Co Ltd Yonex Co Ltd

Consumer, Non-cyclical - 429,862,500 (31 December 2016: 82,097,000) 22,500 Ain Holdings Inc 29,700 Atrae Inc

Financials - 987,680,300 (31 December 2016: 378,921,200) 45,400 91,000 80,900 49,600

77 Bank Ltd/The Anicom Holdings Inc eGuarantee Inc Zenkoku Hosho Co Ltd

Industrials - 1,552,653,650 (31 December 2016: 690,510,150) 303,300 175,000 209,800 337,200 128,100 53,600

59,400 61,000 50,300 489,000 171,700 206,400 470,300

Anritsu Corp Nichias Corp Osaki Electric Co Ltd Penta-Ocean Construction Co Ltd Star Micronics Co Ltd Totetsu Kogyo Co Ltd

BayCurrent Consulting Inc Itokuro Inc RS Technologies Co Ltd Sanken Electric Co Ltd TechMatrix Corp V-Cube Inc Wacom Co Ltd

Total investments in equities

193,347,000 370,575,000 301,548,500 397,068,000 340,481,100 113,004,000 286,412,700

2.40 4.60 3.74 4.93 4.23 1.40 3.55

7,784,648,150

96.61

Unrealised gain on forward foreign currency contracts - 24,672,227 (seebelow) (31 December 2016: 12,061,781)

Total ﬁnancial assets at fair value through proﬁt or loss

Description Unrealised loss on forward foreign currency contracts - (1,276,013) (seebelow) (31 December 2016: (4,029))

53,300 Dowa Holdings Co Ltd 166,200 Sakata INX Corp 20,800 Sanyo Chemical Industries Ltd

Communications - 624,578,550 (31 December 2016: 279,752,000)

Fair Total value net assets JPY %

24,672,227

0.31

7,809,320,377

96.92

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Total assets

(1,276,013)

(0.02)

(1,276,013)

(0.02)

249,467,692

3.10

8,057,512,056

100.00

% of Total Assets 96.43 0.31 3.26

100.00

183

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BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Forward foreign currency contracts cont’d. Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Japan Small Cap Equity Focus Fund CHF E (Acc) (Hedged) Share Class Swiss franc

Japanese yen

43,126

Swiss franc

Japanese yen

69,047

Swiss franc

Japanese yen

1,070

Swiss franc

Japanese yen

1,704,104

Swiss franc

Japanese yen

7,461

Swiss franc

Japanese yen

88,669

Buy

Sell

Amount (B)

4,959,800 15-Jan-18 The Bank of NewYork Mellon 7,935,376 15-Jan-18 The Bank of NewYork Mellon 123,237 15-Jan-18 The Bank of NewYork Mellon 195,300,888 15-Jan-18 The Bank of NewYork Mellon 851,103 15-Jan-18 The Bank of NewYork Mellon 10,156,114 15-Jan-18 The Bank of NewYork Mellon

CHF Swiss franc

123,196

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Japan Small Cap Equity Focus Fund EUR H (Hedged) Share Class cont’d. Japanese yen

Euro

94,226

Japanese yen

Euro

1,726,018

Japanese yen

Euro

80,654

Japanese yen

Euro

2,919,914

Japanese yen

Euro

3,040,622

Japanese yen

Euro

3,464,724

Japanese yen

Euro

145,271

16,158 31,363 180 1,322,337 9,789 74,655

JPY 1,454,482

Japanese yen

Amount (S)

1,070 09-Jan-18 The Bank of NewYork Mellon

12,610

(204)

JPY

(204)

CHF

(2)

Net JPY 1,454,278

Japanese yen

BNY Mellon Japan Small Cap Equity Focus Fund EUR H (Hedged) Share Class

Euro

Japanese yen

Euro

Japanese yen

21,682

Euro

Japanese yen

Euro

Japanese yen

599

Euro

Japanese yen

Euro

Japanese yen

700

Euro

Japanese yen

Euro

Japanese yen

201,992

Euro

Japanese yen

Euro

Japanese yen

4,285,254

Euro

Japanese yen

Euro

Japanese yen

12,813

Euro

Japanese yen

Euro

Japanese yen

107,249

Euro

Japanese yen

Euro

Japanese yen

55,810

Euro

Japanese yen

Euro

Japanese yen

3,500

Euro

Japanese yen

Euro

Japanese yen

21,529

Euro

Japanese yen

8,825

6,189 118 164 24,570 4,385,668 2,295 229,898 70,253 6,671

(107) (5,082) (28,639) (40,644) (146)

(77,346)

EUR

(573)

34,545

BNY Mellon Japan Small Cap Equity Focus Fund EUR I (Hedged) Share Class Euro

2,918,551 05-Jan-18 The Bank of NewYork Mellon 80,640 09-Jan-18 The Bank of NewYork Mellon 94,270 12-Jan-18 The Bank of NewYork Mellon 27,225,326 12-Jan-18 The Bank of NewYork Mellon 573,718,814 12-Jan-18 The Bank of NewYork Mellon 1,726,316 12-Jan-18 The Bank of NewYork Mellon 14,238,552 12-Jan-18 The Bank of NewYork Mellon 7,458,807 12-Jan-18 The Bank of NewYork Mellon 465,498 12-Jan-18 The Bank of NewYork Mellon 2,901,439 12-Jan-18 The Bank of NewYork Mellon 1,182,284 12-Jan-18 The Bank of NewYork Mellon

(2,528)

JPY

Net EUR

Japanese yen

12,608

(200)

Net JPY 4,659,611

Euro

Net CHF

700 05-Jan-18 The Bank of NewYork Mellon 12,813 09-Jan-18 The Bank of NewYork Mellon 599 12-Jan-18 The Bank of NewYork Mellon 21,682 12-Jan-18 The Bank of NewYork Mellon 22,751 12-Jan-18 The Bank of NewYork Mellon 25,984 12-Jan-18 The Bank of NewYork Mellon 1,078 12-Jan-18 The Bank of NewYork Mellon

339,989

45,712,508 12-Jan-18 The Bank of NewYork Mellon 3,806 512,922 12-Jan-18 The Bank of NewYork Mellon 5,383 715,914 12-Jan-18 The Bank of NewYork Mellon 8,351 1,125,034 12-Jan-18 The Bank of NewYork Mellon 418,613 56,422,241 12-Jan-18 The Bank of NewYork Mellon 55,442 7,466,465 12-Jan-18 The Bank of NewYork Mellon 299,985 40,000,333 12-Jan-18 The Bank of NewYork Mellon 400,563 53,319,345 12-Jan-18 The Bank of NewYork Mellon 15,447,960 2,068,205,155 12-Jan-18 The Bank of NewYork Mellon 10,338 1,373,257 12-Jan-18 The Bank of NewYork Mellon 398,882 52,956,404 12-Jan-18 The Bank of NewYork Mellon 4,036 534,637 12-Jan-18 The Bank of NewYork Mellon

153,930 518 10,261 1,496 50,919 12,995 469,235 718,845 15,809,941 21,446 855,043 9,785

2,928

JPY 18,114,414

8,203

EUR

134,292

JPY 4,736,957 EUR

35,118

184

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BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Forward foreign currency contracts cont’d. Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Japan Small Cap Equity Focus Fund EUR I (Hedged) Share Class cont’d. Japanese yen

Euro

7,462,980

Japanese yen

Euro

1,124,840

Japanese yen

Euro

89,309

Japanese yen

Euro

7,559,343

Buy

Sell

Amount (B)

55,442 05-Jan-18 The Bank of NewYork Mellon 8,351 09-Jan-18 The Bank of NewYork Mellon 671 12-Jan-18 The Bank of NewYork Mellon 56,837 12-Jan-18 The Bank of NewYork Mellon

Japanese yen

US dollar

682,361

Japanese yen

US dollar

417,366

Japanese yen

US dollar

25,778

US dollar

Japanese yen

31,620

US dollar

Japanese yen

3,254

(15,825) (1,648) (1,205) (108,344)

Singapore dollar

23,642,318

Japanese yen

Singapore dollar

272,000

Japanese yen Singapore dollar Singapore dollar Singapore dollar Singapore dollar Singapore dollar

Singapore dollar Japanese yen Japanese yen Japanese yen Japanese yen Japanese yen

85,615 1,860 100,000 16,213 3,000 753,544

Singapore dollar

Japanese yen

5,000

Singapore dollar

Japanese yen

18,346

Singapore dollar

Japanese yen

8,413,687 3,224

Japanese yen

Singapore dollar

1,298,240

Singapore dollar

Japanese yen

280,379

Singapore dollar

Japanese yen

22,112

Singapore dollar

Japanese yen

21,090

1,247 194 8,226 357

Net JPY 17,987,392

USD

117

133,350

21,090 05-Jan-18 The Bank of NewYork Mellon 280,379 09-Jan-18 The Bank of NewYork Mellon 3,224 12-Jan-18 The Bank of NewYork Mellon 1,016 12-Jan-18 The Bank of NewYork Mellon 154,902 12-Jan-18 The Bank of NewYork Mellon 8,412,444 12-Jan-18 The Bank of NewYork Mellon 1,363,412 12-Jan-18 The Bank of NewYork Mellon 251,811 12-Jan-18 The Bank of NewYork Mellon 63,159,231 12-Jan-18 The Bank of NewYork Mellon 415,570 12-Jan-18 The Bank of NewYork Mellon 1,528,945 12-Jan-18 The Bank of NewYork Mellon

3,081 34,349 579 38

Japanese yen

US dollar

Japanese yen

6,037

US dollar

Japanese yen

35,015

US dollar

Japanese yen

3,700

US dollar

Japanese yen

50,650

US dollar

Japanese yen

1,267,277

US dollar

Japanese yen

28,056

990 12-Jan-18 The Bank of NewYork Mellon 682,274 12-Jan-18 The Bank of NewYork Mellon 3,958,236 12-Jan-18 The Bank of NewYork Mellon 417,336 12-Jan-18 The Bank of NewYork Mellon 5,739,040 12-Jan-18 The Bank of NewYork Mellon 143,360,537 12-Jan-18 The Bank of NewYork Mellon 3,171,349 12-Jan-18 The Bank of NewYork Mellon

(209) (3,342) (20,554) (1,281) (43,059) (845,487) (16,198)

JPY (930,130)

6,691

USD

(8,267)

1,565

Net JPY (916,919)

763

Net USD

282,667 5,387 15,617

JPY

352,424

SGD

4,185

100,000 04-Jan-18 The Bank of NewYork Mellon 271,959 05-Jan-18 The Bank of NewYork Mellon 15,505 12-Jan-18 The Bank of NewYork Mellon 23,643,703 12-Jan-18 The Bank of NewYork Mellon 1,866,953 12-Jan-18 The Bank of NewYork Mellon 1,779,386 12-Jan-18 The Bank of NewYork Mellon

111,077

1,687

(8,150)

BNY Mellon Japan Small Cap Equity Focus Fund USD I (Hedged) Share Class US dollar

Japanese yen

3,187

13,211

BNY Mellon Japan Small Cap Equity Focus Fund SGD H (Hedged) Share Class Japanese yen

6,037 05-Jan-18 The Bank of NewYork Mellon 3,700 09-Jan-18 The Bank of NewYork Mellon 228 12-Jan-18 The Bank of NewYork Mellon 3,547,655 12-Jan-18 The Bank of NewYork Mellon 365,557 12-Jan-18 The Bank of NewYork Mellon

JPY

Net EUR

1,779,114

Unrealised Gain/(Loss)

(942)

EUR

Singapore dollar

Settle Date Counterparty

BNY Mellon Japan Small Cap Equity Focus Fund USD H (Hedged) Share Class

JPY (127,022)

Japanese yen

Amount (S)

Japanese yen

2,841

318,759 12-Jan-18 The Bank of NewYork Mellon

739

JPY

739

USD

(7,817) US dollar

Japanese yen

3,020

US dollar

Japanese yen

2,499

US dollar

Japanese yen

112,959

(471) (7,135) (38,225)

341,401 12-Jan-18 The Bank of NewYork Mellon 282,478 12-Jan-18 The Bank of NewYork Mellon 12,778,431 12-Jan-18 The Bank of NewYork Mellon

(1,773) (1,443) (75,363)

(5,294)

JPY

(78,579)

(3,790)

USD

(698)

Net JPY

(77,840)

Net USD

(691)

JPY

(62,732)

SGD

(745)

Net JPY

289,692

Net SGD

3,440

185

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BNY MELLON LONG-TERM GLOBAL EQUITY FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Equities

Equities cont’d. Australia - 25,083,964 (31 December 2016: 27,814,147)

273,000 CSL Ltd

Canada - 13,934,698 (31 December 2016: 28,752,627) 320,300 Alimentation Couche-Tard Inc

China - 49,227,472 (31 December 2016: 54,479,959)

25,083,964

1.96

25,083,964

1.96

13,934,698

1.09

13,934,698

1.09

49,227,472

3.84

23,154,253 26,073,219

1.81 2.03

25,733,395

2.01

25,733,395

2.01

14,315,132

1.12

14,315,132

1.12

78,184,987

6.11

27,261,267 25,076,080 25,847,640

2.13 1.96 2.02

12,726,802

0.99

12,726,802

0.99

55,013,751

4.30

35,882,995 19,130,756

2.80 1.50

107,488,254

8.39

20,810,281 30,563,869 31,428,994 24,685,110

1.62 2.39 2.45 1.93

27,350,421

2.14

27,350,421

2.14

13,993,389

1.09

13,993,389

1.09

87,304,512

6.82

23,494,655 23,933,388 24,628,463 15,248,006

1.84 1.87 1.92 1.19

28,229,224

2.20

853,923 Taiwan Semiconductor Manufacturing Co Ltd ADR 28,229,224

2.20

2,737,986 China Mobile Ltd 21,764,646 CNOOC Ltd

Denmark - 25,733,395 (31 December 2016: 16,803,978) 572,900 Novo Nordisk A/S

Finland - 14,315,132 (31 December 2016: –) 320,500 Kone OYJ

France - 78,184,987 (31 December 2016: 82,528,872) 236,900 Essilor International Cie Generale d’Optique SA 135,400 L’Oreal SA 105,200 LVMH Moet Hennessy Louis Vuitton SE

Germany - 12,726,802 (31 December 2016: –) 136,400 SAP SE

Hong Kong - 55,013,751 (31 December 2016: 48,064,519) 5,048,800 AIA Group Ltd 11,713,688 Hong Kong & China Gas Co Ltd

Japan - 107,488,254 (31 December 2016: 110,274,303) 416,000 152,600 67,300 291,400

Denso Corp FANUC Corp Keyence Corp Shin-Etsu Chemical Co Ltd

Spain - 27,350,421 (31 December 2016: 24,393,648) 941,900 Industria de Diseno Textil SA

Sweden - 13,993,389 (31 December 2016: 21,535,758) 812,326 Hennes & Mauritz AB

Switzerland - 87,304,512 (31 December 2016: 105,574,431) 327,900 339,700 116,841 7,023

Holdings Description

Fair Total value net assets EUR %

Nestle SA Novartis AG Roche Holding AG SGS SA

Taiwan - 28,229,224 (31 December 2016: 23,454,799)

United Kingdom - 67,248,586 (31 December 2016: 71,198,178)

67,248,586

5.25

27,706,394 13,773,344 25,768,848

2.16 1.08 2.01

United States of America - 650,870,392 (31 December 2016: 647,913,303) 650,870,392

50.84

1,538,400 Compass Group Plc 748,400 Experian Plc 331,000 Reckitt Benckiser Group Plc

186,108 34,854 365,226 205,189 452,400 884,324 458,618 384,810 281,300 386,273 649,942 257,387 89,117 215,460 223,341 396,337 495,673 570,283 218,042 488,343 519,003 208,339 419,768 279,410 297,158

Adobe Systems Inc Alphabet Inc - Class C Amphenol Corp Automatic Data Processing Inc Cerner Corp Cisco Systems Inc Cognizant Technology Solutions Corp Colgate-Palmolive Co Edwards Lifesciences Corp EOG Resources Inc Fastenal Co Gilead Sciences Inc Intuitive Surgical Inc Johnson & Johnson Mastercard Inc Microsoft Corp NIKE Inc Oracle Corp Praxair Inc Schlumberger Ltd Starbucks Corp Stryker Corp TJX Cos Inc/The Tractor Supply Co Walt Disney Co/The

27,189,884 30,397,340 26,731,781 20,041,764 25,414,846 28,246,611 27,151,652 24,215,578 26,427,906 34,754,408 29,627,500 15,371,133 27,106,822 25,112,293 28,260,805 28,273,905 25,854,628 22,479,075 28,144,546 27,466,606 24,843,871 26,903,384 26,747,796 17,408,244 26,698,014

2.12 2.37 2.09 1.57 1.98 2.21 2.12 1.89 2.06 2.71 2.31 1.20 2.12 1.96 2.21 2.21 2.02 1.76 2.20 2.15 1.94 2.10 2.09 1.36 2.09

Total investments in equities

1,256,704,979

98.15

Total ﬁnancial assets at fair value through proﬁt or loss

1,256,704,979

98.15

(5,751)

(0.00)

(5,751)

(0.00)

23,642,757

1.85

1,280,341,985

100.00

Unrealised loss on forward foreign currency contracts - (5,751) (seebelow) (31 December 2016: 1,602)

Total ﬁnancial liabilities at fair value through proﬁt or loss Net current assets Total net assets

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total Assets 98.05 1.95

100.00

186

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BNY MELLON LONG-TERM GLOBAL EQUITY FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon Long-Term Global Equity Fund Euro

US dollar

75,226

Euro

US dollar

7,509

Euro

US dollar

50,181

90,488 02-Jan-18 The Bank of NewYork Mellon 9,032 02-Jan-18 The Bank of NewYork Mellon 60,362 02-Jan-18 The Bank of NewYork Mellon

EUR

(191) (19) (127)

(337)

BNY Mellon Long-Term Global Equity Fund CHF W (Hedged) Share Class Euro

Swiss franc

Euro

12,108 358,271

14,185 12-Jan-18 The Bank of NewYork Mellon 306,651 12-Jan-18 The Bank of NewYork Mellon

(26) (193)

EUR

(219)

CHF

(256)

BNY Mellon Long-Term Global Equity Fund USD W (Hedged) Share Class US dollar

Euro

402,842

340,726 12-Jan-18 The Bank of NewYork Mellon

(5,195)

EUR

(5,195)

USD

(6,233)

187

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BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds

Holdings Description

Fair Total value net assets USD %

Equities cont’d. Government - 35,916 (31 December 2016: 39,960)

36,000 United States Treasury Bill 0.000% 08-Mar-2018*

Total investments in bonds

Communications cont’d. 35,916

0.04

35,916

0.04

35,916

0.04

2,002,235

2.42

49,371 36,325 599,415 47,527 126,421 47,238 93,433 44,869 84,426 126,984 183,821 32,915 72,723 73,441 106,661 157,353 119,312

0.06 0.04 0.73 0.06 0.15 0.06 0.11 0.05 0.10 0.15 0.22 0.04 0.09 0.09 0.13 0.19 0.15

128,522

0.16

128,522

0.16

11,351,652

13.74

1,133,727 1,140,609 1,686,426 862,485 75,644 57,814 234,324 680,690 673,581 100,112 11,797 17,215 40,349 132,050 52,936 29,134 1,518,645 61,345 29,582 40,648 52,858 301,095 20,472 7,332 43,104 60,834 305,918

1.37 1.38 2.04 1.04 0.09 0.07 0.28 0.82 0.82 0.12 0.01 0.02 0.05 0.16 0.06 0.04 1.84 0.07 0.04 0.05 0.06 0.37 0.03 0.01 0.05 0.07 0.37

Equities Basic Materials - 2,002,235 (31 December 2016: 1,982,594) 386 854 8,404 513 942 499 4,924 294 1,456 1,151 1,573 1,282 1,938 1,155 913 1,016 291

Albemarle Corp CF Industries Holdings Inc DowDuPont Inc Eastman Chemical Co Ecolab Inc FMC Corp Freeport-McMoRan Inc International Flavors & Fragrances Inc International Paper Co LyondellBasell Industries NV Monsanto Co Mosaic Co/The Newmont Mining Corp Nucor Corp PPG Industries Inc Praxair Inc Sherwin-Williams Co/The

Chemicals - 128,522 (31 December 2016: 138,096) 783 Air Products & Chemicals Inc

Communications - 11,351,652 (31 December 2016: 11,587,029) 1,076 1,090 1,442 22,169 1,282 3,465 697 17,761 16,808 3,129 527 813 845 3,498 442 222 8,603 433 1,467 1,426 585 1,568 1,261 441 1,184 835 176

Alphabet Inc - Class A Alphabet Inc - Class C Amazon.com Inc AT&T Inc CBS Corp CenturyLink Inc Charter Communications Inc Cisco Systems Inc Comcast Corp Corning Inc Discovery Communications Inc - Class A Discovery Communications Inc - Class C DISH Network Corp eBay Inc Expedia Inc F5 Networks Inc Facebook Inc Harris Corp Interpublic Group of Cos Inc/The Juniper Networks Inc Motorola Solutions Inc Netﬂix Inc News Corp - Class A News Corp - Class B Nielsen Holdings Plc Omnicom Group Inc Priceline Group Inc/The

332 2,195 2,824 409 3,754 1,548 313 14,652 1,222 5,430

256 461 1,528 956 103 916 739 657 1,442 96 1,563 3,622 464 2,407 945 836 1,211 1,021 432 14,001 789 4,596 518 932 1,344 647 394 726 4,196 622 916 744 1,132 3,008 1,106 1,125 1,334 2,864 1,843 547 228 1,737 4,761 428 665 314

Scripps Networks Interactive Inc Symantec Corp Time Warner Inc TripAdvisor Inc Twenty-First Century Fox Inc - Class A Twenty-First Century Fox Inc - Class B VeriSign Inc Verizon Communications Inc Viacom Inc Walt Disney Co/The

28,351 61,603 258,650 14,092 129,644 52,826 35,828 776,922 37,656 585,354

0.04 0.08 0.31 0.02 0.16 0.06 0.04 0.94 0.05 0.71

Consumer, Cyclical - 7,292,422 (31 December 2016: 7,917,070)

7,292,422

8.83

Advance Auto Parts Inc Alaska Air Group Inc American Airlines Group Inc Aptiv Plc AutoZone Inc Best Buy Co Inc BorgWarner Inc CarMax Inc Carnival Corp Chipotle Mexican Grill Inc Costco Wholesale Corp CVS Health Corp Darden Restaurants Inc Delta Air Lines Inc Dollar General Corp Dollar Tree Inc DR Horton Inc Fastenal Co Foot Locker Inc Ford Motor Co Gap Inc/The General Motors Co Genuine Parts Co Goodyear Tire & Rubber Co/The Hanesbrands Inc Harley-Davidson Inc Hasbro Inc Hilton Worldwide Holdings Inc Home Depot Inc/The Kohl’s Corp L Brands Inc Lennar Corp LKQ Corp Lowe’s Cos Inc Macy’s Inc Marriott International Inc/MD Mattel Inc McDonald’s Corp MGM Resorts International Michael Kors Holdings Ltd Mohawk Industries Inc Newell Brands Inc NIKE Inc Nordstrom Inc Norwegian Cruise Line Holdings Ltd O’Reilly Automotive Inc

25,522 33,890 79,509 81,102 73,271 62,714 37,752 42,143 95,713 27,749 291,038 262,794 44,570 134,804 87,923 89,724 61,852 55,844 20,250 174,942 26,877 188,459 49,213 30,118 28,110 32,923 35,813 57,975 796,086 33,722 55,157 47,054 46,044 279,579 27,866 152,708 20,537 493,338 61,547 34,436 62,909 53,682 297,967 20,277 35,408 75,522

0.03 0.04 0.10 0.10 0.09 0.08 0.05 0.05 0.12 0.03 0.35 0.32 0.05 0.16 0.11 0.11 0.07 0.07 0.02 0.21 0.03 0.23 0.06 0.04 0.03 0.04 0.04 0.07 0.96 0.04 0.07 0.06 0.06 0.34 0.03 0.18 0.02 0.60 0.07 0.04 0.08 0.06 0.36 0.02 0.04 0.09

188

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BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Consumer, Cyclical cont’d. 1,241 977 283 203 1,394 615 234 1,976 5,148 1,035 1,963 352 2,277 447 205 760 668 936 1,168 3,152 5,292 260 182 357 289 1,219

PACCAR Inc PulteGroup Inc PVH Corp Ralph Lauren Corp Ross Stores Inc Royal Caribbean Cruises Ltd Signet Jewelers Ltd Southwest Airlines Co Starbucks Corp Tapestry Inc Target Corp Tiffany & Co TJX Cos Inc/The Tractor Supply Co Ulta Beauty Inc Under Armour Inc - Class A Under Armour Inc - Class C United Continental Holdings Inc VF Corp Walgreens Boots Alliance Inc Wal-Mart Stores Inc Whirlpool Corp WW Grainger Inc Wyndham Worldwide Corp Wynn Resorts Ltd Yum! Brands Inc

Consumer, Non-cyclical - 18,553,370 (31 December 2016: 19,747,771) 6,248 5,725 1,172 799 266 1,207 172 6,851 581 2,605 935 1,993 1,604 313 1,811 949 767 4,966 5,899 682 675 1,150 2,853 615 915 887 302 474 13,855 3,136

Abbott Laboratories AbbVie Inc Aetna Inc Alexion Pharmaceuticals Inc Align Technology Inc Allergan Plc Alliance Data Systems Corp Altria Group Inc AmerisourceBergen Corp Amgen Inc Anthem Inc Archer-Daniels-Midland Co Automatic Data Processing Inc Avery Dennison Corp Baxter International Inc Becton Dickinson and Co Biogen Inc Boston Scientiﬁc Corp Bristol-Myers Squibb Co Brown-Forman Corp Campbell Soup Co Cardinal Health Inc Celgene Corp Centene Corp Church & Dwight Co Inc Cigna Corp Cintas Corp Clorox Co/The Coca-Cola Co/The Colgate-Palmolive Co

Fair Total value net assets USD %

Consumer, Non-cyclical cont’d. 88,216 32,480 38,829 21,048 111,889 73,366 13,232 129,359 295,675 45,783 128,096 36,606 174,088 33,415 45,851 10,978 8,894 63,091 86,426 228,914 523,273 43,863 42,998 41,403 48,727 99,489

0.11 0.04 0.05 0.03 0.14 0.09 0.02 0.16 0.36 0.06 0.16 0.04 0.21 0.04 0.06 0.01 0.01 0.08 0.10 0.28 0.63 0.05 0.05 0.05 0.06 0.12

18,553,370

22.46

356,917 554,552 211,704 95,580 59,115 197,532 43,603 489,470 53,350 453,049 210,436 79,889 187,981 35,956 117,072 203,186 244,378 123,132 361,697 46,843 32,478 70,466 297,782 62,075 45,919 180,225 47,062 70,505 636,568 236,784

0.43 0.67 0.26 0.12 0.07 0.24 0.05 0.59 0.06 0.55 0.25 0.10 0.23 0.04 0.14 0.25 0.30 0.15 0.44 0.06 0.04 0.09 0.36 0.08 0.06 0.22 0.06 0.09 0.77 0.29

1,471 619 170 1,622 562 813 657 769 3,511 484 442 791 2,036 338 2,057 4,697 590 704 1,049 589 501 974 949 523 314 1,289 520 618 400 540 399 9,692 871 1,279 2,137 3,165 374 3,335 421 754 4,898 9,824 664 5,368 1,485 587 1,914 296 4,061 5,104 491 21,525 5,578 9,200 568 481 274 500 433

Conagra Brands Inc Constellation Brands Inc Cooper Cos Inc/The Coty Inc DaVita Inc DENTSPLY SIRONA Inc Dr Pepper Snapple Group Inc Edwards Lifesciences Corp Eli Lilly & Co Envision Healthcare Corp Equifax Inc Estee Lauder Cos Inc/The Express Scripts Holding Co Gartner Inc General Mills Inc Gilead Sciences Inc Global Payments Inc H&R Block Inc HCA Healthcare Inc Henry Schein Inc Hershey Co/The Hologic Inc Hormel Foods Corp Humana Inc IDEXX Laboratories Inc IHS Markit Ltd Illumina Inc Incyte Corp Intuitive Surgical Inc IQVIA Holdings Inc JM Smucker Co/The Johnson & Johnson Kellogg Co Kimberly-Clark Corp Kraft Heinz Co/The Kroger Co/The Laboratory Corp of America Holdings Mastercard Inc McCormick & Co Inc/MD McKesson Corp Medtronic Plc Merck & Co Inc Molson Coors Brewing Co Mondelez International Inc Monster Beverage Corp Moody’s Corp Mylan NV Patterson Cos Inc PayPal Holdings Inc PepsiCo Inc Perrigo Co Plc Pﬁzer Inc Philip Morris International Inc Procter & Gamble Co/The Quanta Services Inc Quest Diagnostics Inc Regeneron Pharmaceuticals Inc ResMed Inc Robert Half International Inc

55,420 141,500 37,043 32,253 40,613 53,524 63,778 86,686 296,732 16,725 52,123 100,659 152,018 41,633 121,970 336,564 59,180 18,462 92,170 41,168 56,886 41,643 34,539 129,785 49,105 58,218 113,633 58,534 145,984 52,874 49,578 1,355,378 59,224 154,356 166,227 86,927 59,662 506,336 42,906 117,605 395,685 553,484 54,498 229,777 94,015 86,673 81,029 10,699 298,991 612,148 42,803 780,389 589,371 846,630 22,223 47,376 103,046 42,347 24,051

0.07 0.17 0.04 0.04 0.05 0.06 0.08 0.10 0.36 0.02 0.06 0.12 0.18 0.05 0.15 0.41 0.07 0.02 0.11 0.05 0.07 0.05 0.04 0.16 0.06 0.07 0.14 0.07 0.18 0.06 0.06 1.64 0.07 0.19 0.20 0.11 0.07 0.61 0.05 0.14 0.48 0.67 0.07 0.28 0.11 0.10 0.10 0.01 0.36 0.74 0.05 0.94 0.71 1.02 0.03 0.06 0.12 0.05 0.03

189

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BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Consumer, Non-cyclical cont’d. 913 1,151 1,741 615 1,048 310 3,500 305 335 577 894 6,538 1,598 737 1,764

154,731 178,336 105,740 48,643 84,977 53,291 772,677 34,573 37,247 55,401 133,988 747,097 30,386 88,945 127,176

0.19 0.22 0.13 0.06 0.10 0.06 0.94 0.04 0.05 0.07 0.16 0.90 0.04 0.11 0.15

Diversiﬁed - 30,390 (31 December 2016: 35,728)

30,390

0.04

30,390

0.04

4,998,891

6.05

106,271 57,912 58,158 49,382 46,111 13,798 860,084 43,078 81,594 237,848 78,628 223,467 49,980 1,281,142 153,468 24,957 45,234 125,422 53,582 117,057 48,346 21,948 50,159 201,952 73,875 157,506 103,865 12,969 337,088 50,981 144,046 88,983

0.13 0.07 0.07 0.06 0.06 0.02 1.04 0.05 0.10 0.29 0.09 0.27 0.06 1.55 0.19 0.03 0.05 0.15 0.06 0.14 0.06 0.03 0.06 0.24 0.09 0.19 0.13 0.02 0.41 0.06 0.17 0.11

14,249,891

17.25

125,414 46,753

0.15 0.06

Energy - 4,998,891 (31 December 2016: 6,470,115) 1,981 506 1,377 1,560 1,612 3,480 6,859 353 543 4,332 1,899 2,070 878 15,289 3,140 386 953 6,939 3,164 1,774 1,342 696 1,721 2,740 1,382 1,556 601 760 4,995 1,628 1,567 2,917

Financials cont’d.

S&P Global Inc Stryker Corp Sysco Corp Total System Services Inc Tyson Foods Inc United Rentals Inc UnitedHealth Group Inc Universal Health Services Inc Varian Medical Systems Inc Verisk Analytics Inc Vertex Pharmaceuticals Inc Visa Inc Western Union Co/The Zimmer Biomet Holdings Inc Zoetis Inc

1,147 Leucadia National Corp

Financials - 14,249,891 (31 December 2016: 14,967,509) 1,428 Aﬂac Inc 358 Alexandria Real Estate Equities Inc

Fair Total value net assets USD %

1,306 2,615 3,237 1,539 532 919 571 660 211 504 35,012 3,676 2,838 6,943 442 558 323 1,764 394 1,102 4,274 1,658 552 9,504 1,833 1,217 632 1,443 733 1,339 1,246 1,024 282 1,340 241 153 467 258 2,609 1,183 2,208 1,272 1,336 1,654 2,623 3,819 2,103 1,445 1,027 12,518 3,846 1,457 777 976 543 372 1,833 3,809 424

Allstate Corp/The American Express Co American International Group Inc American Tower Corp Ameriprise Financial Inc Aon Plc Apartment Investment & Management Co Arthur J Gallagher & Co Assurant Inc AvalonBay Communities Inc Bank of America Corp Bank of New York Mellon Corp/The BB&T Corp Berkshire Hathaway Inc BlackRock Inc Boston Properties Inc Brighthouse Financial Inc Capital One Financial Corp Cboe Global Markets Inc CBRE Group Inc Charles Schwab Corp/The Chubb Ltd Cincinnati Financial Corp Citigroup Inc Citizens Financial Group Inc CME Group Inc Comerica Inc Crown Castle International Corp Digital Realty Trust Inc Discover Financial Services Duke Realty Corp E*TRADE Financial Corp Equinix Inc Equity Residential Essex Property Trust Inc Everest Re Group Ltd Extra Space Storage Inc Federal Realty Investment Trust Fifth Third Bancorp Franklin Resources Inc GGP Inc Goldman Sachs Group Inc/The Hartford Financial Services Group Inc/The HCP Inc Host Hotels & Resorts Inc Huntington Bancshares Inc/OH Intercontinental Exchange Inc Invesco Ltd Iron Mountain Inc JPMorgan Chase & Co KeyCorp Kimco Realty Corp Lincoln National Corp Loews Corp M&T Bank Corp Macerich Co/The Marsh & McLennan Cos Inc MetLife Inc Mid-America Apartment Communities Inc

136,745 259,735 192,909 219,623 90,166 123,160 24,961 41,768 21,278 89,926 1,034,079 198,045 141,148 1,379,401 227,268 72,560 18,942 175,677 49,096 47,744 219,577 242,458 41,386 707,335 76,959 177,785 54,873 160,281 83,500 103,003 33,897 50,765 127,860 85,472 58,210 33,857 40,842 34,264 79,170 51,265 51,634 324,341 75,210 43,145 52,080 55,624 148,419 52,808 38,754 1,341,930 77,593 26,466 59,732 48,834 92,856 24,435 149,215 192,602 42,644

0.17 0.31 0.23 0.27 0.11 0.15 0.03 0.05 0.03 0.11 1.25 0.24 0.17 1.67 0.28 0.09 0.02 0.21 0.06 0.06 0.27 0.29 0.05 0.86 0.09 0.22 0.07 0.19 0.10 0.13 0.04 0.06 0.16 0.10 0.07 0.04 0.05 0.04 0.10 0.06 0.06 0.39 0.09 0.05 0.06 0.07 0.18 0.06 0.05 1.62 0.09 0.03 0.07 0.06 0.11 0.03 0.18 0.23 0.05

190

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BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Financials cont’d. 5,039 401 1,086 757 1,245 1,707 971 2,073 1,913 1,540 533 477 999 542 4,207 440 1,122 346 1,345 1,721 2,689 890 382 979 977 786 5,667 1,297 641 15,973 1,346 2,661 489 904 698

Morgan Stanley Nasdaq Inc Navient Corp Northern Trust Corp People’s United Financial Inc PNC Financial Services Group Inc/The Principal Financial Group Inc Progressive Corp/The Prologis Inc Prudential Financial Inc Public Storage Raymond James Financial Inc Realty Income Corp Regency Centers Corp Regions Financial Corp SBA Communications Corp Simon Property Group Inc SL Green Realty Corp State Street Corp SunTrust Banks Inc Synchrony Financial T Rowe Price Group Inc Torchmark Corp Travelers Cos Inc/The UDR Inc Unum Group US Bancorp Ventas Inc Vornado Realty Trust Wells Fargo & Co Welltower Inc Weyerhaeuser Co Willis Towers Watson Plc XL Group Ltd Zions Bancorporation

Industrials - 8,707,713 (31 December 2016: 8,971,231) 2,144 153 205 1,168 325 821 1,079 509 1,493 1,310 2,010 2,156 523 3,213 573 2,191 1,153 551 1,609 2,288 672

3M Co Acuity Brands Inc Afﬁliated Managers Group Inc Agilent Technologies Inc Allegion Plc AMETEK Inc Amphenol Corp AO Smith Corp Arconic Inc Ball Corp Boeing Co/The Caterpillar Inc CH Robinson Worldwide Inc CSX Corp Cummins Inc Danaher Corp Deere & Co Dover Corp Eaton Corp Plc Emerson Electric Co Expeditors International of Washington Inc

Fair Total value net assets USD %

Industrials cont’d. 264,422 30,817 14,471 75,628 23,288 246,448 68,519 116,762 123,436 177,092 111,416 42,598 56,978 37,498 72,718 71,889 192,821 34,927 131,312 111,168 103,836 93,392 34,653 132,816 37,639 43,147 303,836 77,839 50,123 970,280 85,841 93,840 73,690 31,789 35,483

0.32 0.04 0.02 0.09 0.03 0.30 0.08 0.14 0.15 0.21 0.14 0.05 0.07 0.05 0.09 0.09 0.23 0.04 0.16 0.14 0.13 0.11 0.04 0.16 0.05 0.05 0.37 0.09 0.06 1.18 0.10 0.11 0.09 0.04 0.04

8,707,713

10.54

505,523 26,930 42,092 78,192 25,862 59,518 94,758 31,199 40,692 49,590 592,970 339,840 46,602 176,795 101,223 203,402 180,508 55,659 127,151 159,508 43,478

0.61 0.03 0.05 0.09 0.03 0.07 0.11 0.04 0.05 0.06 0.72 0.41 0.06 0.21 0.12 0.25 0.22 0.07 0.15 0.19 0.05

885 512 448 500 1,106 572 401 998 31,146 2,756 1,117 894 438 311 3,374 366 277 479 893 227 1,123 94 1,043 628 330 485 590 378 1,032 823 453 573 361 618 214 559 298 1,252 969 1,454 177 2,830 2,456 2,690 477 1,462 287 890 669

FedEx Corp FLIR Systems Inc Flowserve Corp Fluor Corp Fortive Corp Fortune Brands Home & Security Inc Garmin Ltd General Dynamics Corp General Electric Co Honeywell International Inc Illinois Tool Works Inc Ingersoll-Rand Plc Jacobs Engineering Group Inc JB Hunt Transport Services Inc Johnson Controls International plc Kansas City Southern L3 Technologies Inc Leggett & Platt Inc Lockheed Martin Corp Martin Marietta Materials Inc Masco Corp Mettler-Toledo International Inc Norfolk Southern Corp Northrop Grumman Corp Packaging Corp of America Parker-Hanniﬁn Corp Pentair Plc PerkinElmer Inc Raytheon Co Republic Services Inc Rockwell Automation Inc Rockwell Collins Inc Roper Technologies Inc Sealed Air Corp Snap-on Inc Stanley Black & Decker Inc Stericycle Inc TE Connectivity Ltd Textron Inc Thermo Fisher Scientiﬁc Inc TransDigm Group Inc Union Paciﬁc Corp United Parcel Service Inc United Technologies Corp Vulcan Materials Co Waste Management Inc Waters Corp WestRock Co Xylem Inc/NY

Technology - 12,498,143 (31 December 2016: 11,390,456) 2,238 2,750 1,786 3,050 639 1,309 295

Accenture Plc Activision Blizzard Inc Adobe Systems Inc Advanced Micro Devices Inc Akamai Technologies Inc Analog Devices Inc ANSYS Inc

220,847 23,872 18,876 25,828 80,069 39,151 23,890 203,183 544,276 423,528 186,422 79,749 28,888 35,760 128,634 38,518 54,806 22,865 286,823 50,177 49,350 58,249 151,261 192,868 39,786 96,806 41,669 27,645 193,897 55,647 88,999 77,765 93,548 30,470 37,307 94,882 20,263 119,009 54,841 276,260 48,642 379,928 292,718 343,473 61,235 126,178 55,464 56,270 45,629

0.27 0.03 0.02 0.03 0.10 0.05 0.03 0.25 0.66 0.51 0.23 0.10 0.04 0.04 0.16 0.05 0.07 0.03 0.35 0.06 0.06 0.07 0.18 0.23 0.05 0.12 0.05 0.03 0.23 0.07 0.11 0.09 0.11 0.04 0.05 0.11 0.02 0.14 0.07 0.33 0.06 0.46 0.35 0.42 0.07 0.15 0.07 0.07 0.06

12,498,143

15.13

342,694 174,157 313,077 31,369 41,570 116,586 43,542

0.42 0.21 0.38 0.04 0.05 0.14 0.05

191

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BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities cont’d.

Holdings Description

Equities cont’d.

Technology cont’d. 18,510 3,876 797 1,463 1,094 988 1,148 507 2,097 567 1,039 1,117 1,184 754 5,819 6,041 16,901 3,095 880 566 575 835 4,138 27,818 946 2,176 10,941 1,162 446 5,339 625 2,464 1,006 645 524 3,532 1,072 815 909

Apple Inc Applied Materials Inc Autodesk Inc Broadcom Ltd CA Inc Cadence Design Systems Inc Cerner Corp Citrix Systems Inc Cognizant Technology Solutions Corp CSRA Inc DXC Technology Co Electronic Arts Inc Fidelity National Information Services Inc Fiserv Inc Hewlett Packard Enterprise Co HP Inc Intel Corp International Business Machines Corp Intuit Inc KLA-Tencor Corp Lam Research Corp Microchip Technology Inc Micron Technology Inc Microsoft Corp NetApp Inc NVIDIA Corp Oracle Corp Paychex Inc Qorvo Inc QUALCOMM Inc Red Hat Inc salesforce.com Inc Seagate Technology Plc Skyworks Solutions Inc Synopsys Inc Texas Instruments Inc Western Digital Corp Xerox Corp Xilinx Inc

Utilities - 2,404,592 (31 December 2016: 2,722,293) 2,408 810 862 1,779 635 1,611 1,047 1,127 2,319 651 2,542 1,148 638 1,151 3,458 1,574 1,690

Fair Total value net assets USD %

Utilities cont’d. 3,133,650 198,199 83,550 376,452 36,414 41,323 77,381 44,619 148,960 16,967 98,617 117,391 111,456 98,891 83,590 126,952 780,573 475,129 138,904 59,472 105,866 73,384 170,175 2,381,082 52,337 421,143 517,455 79,115 29,706 342,043 75,066 251,981 42,096 61,259 44,668 368,970 85,262 23,761 61,289

3.79 0.24 0.10 0.46 0.04 0.05 0.09 0.05 0.18 0.02 0.12 0.14 0.14 0.12 0.10 0.15 0.95 0.58 0.17 0.07 0.13 0.09 0.21 2.88 0.06 0.51 0.63 0.10 0.04 0.41 0.09 0.31 0.05 0.07 0.05 0.45 0.10 0.03 0.07

2,404,592

2.91

26,091 34,518 50,854 130,890 58,093 45,712 49,528 95,767 187,990 71,275 213,820 72,605 51,936 72,737 136,366 48,204 264,020

0.03 0.04 0.06 0.16 0.07 0.05 0.06 0.12 0.23 0.09 0.26 0.09 0.06 0.09 0.16 0.06 0.32

1,139 1,033 1,823 414 2,410 1,845 529 893 3,579 1,112 1,794

NiSource Inc NRG Energy Inc PG&E Corp Pinnacle West Capital Corp PPL Corp Public Service Enterprise Group Inc SCANA Corp Sempra Energy Southern Co/The WEC Energy Group Inc Xcel Energy Inc

29,244 29,425 81,716 35,271 74,602 95,027 21,046 95,511 172,168 73,876 86,300

0.03 0.04 0.10 0.04 0.09 0.11 0.03 0.12 0.21 0.09 0.10

Total investments in equities

82,217,821

99.53

Total ﬁnancial assets at fair value through proﬁt or loss

82,253,737

99.57

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - (1,304) (31 December 2016: (3,034)) 2 E-mini S&P 500 Index Long Futures Contracts Exp Mar-2018

267,600

(1,304)

(0.00)

Total open futures contracts

(1,304)

(0.00)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(1,304)

(0.00)

356,448

0.43

82,608,881

100.00

Net current assets Total net assets

* Held as collateral by Goldman Sachs in respect of futures contracts held by the Fund. The counterparty for futures contracts is Goldman Sachs.

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total Assets 98.94 1.06

100.00

192

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BNY MELLON SMALL CAP EUROLAND FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets EUR %

Equities

Equities cont’d. Austria - 746,122 (31 December 2016: –)

7,084 Lenzing AG

Belgium - 2,725,478 (31 December 2016: 1,891,363) 33,454 bpost SA 23,628 Galapagos NV

Denmark - 2,786,878 (31 December 2016: –) 38,362 GN Store Nord A/S 35,242 Royal Unibrew A/S

Finland - 3,751,444 (31 December 2016: 1,537,686) 63,519 Cramo OYJ 19,103 Huhtamaki OYJ 110,250 Valmet OYJ

France - 25,737,434 (31 December 2016: 9,336,578) 34,700 12,845 69,328 46,135 21,886 95,915 31,165 25,644 35,793 53,054 77,715 31,693 39,620 15,428 11,409

Holdings Description

APERAM SA Arkema SA Cie Plastic Omnium SA Edenred Eiffage SA Elior Group SA 144A Fonciere Des Regions Gaztransport Et Technigaz SA Korian SA Maisons du Monde SA 144A Metropole Television SA Rubis SCA Solutions 30 SE Sopra Steria Group Teleperformance

746,122

0.70

746,122

0.70

2,725,478

2.57

860,520 1,864,958

0.81 1.76

2,786,878

2.63

1,034,686 1,752,192

0.98 1.65

3,751,444

3.54

1,248,148 672,044 1,831,252

1.18 0.63 1.73

25,737,434

24.25

1,485,073 1,309,227 2,621,985 1,111,969 1,989,547 1,630,076 2,935,431 1,289,380 1,047,751 2,001,727 1,666,598 1,874,958 1,009,121 2,404,068 1,360,523

1.40 1.23 2.47 1.05 1.87 1.54 2.77 1.21 0.99 1.89 1.57 1.77 0.95 2.26 1.28

Ireland - 1,601,895 (31 December 2016: 520,444)

1,601,895

1.51

1,601,895

1.51

12,047,571

11.35

2,145,975 1,123,746 1,413,866 1,144,464 1,466,599 1,380,543 1,602,732 1,769,646

2.02 1.06 1.33 1.08 1.38 1.30 1.51 1.67

4,822,032

4.54

1,281,382 1,326,507 2,214,143

1.21 1.25 2.08

1,242,225

1.17

1,242,225

1.17

11,086,230

10.45

1,373,920 1,666,456 1,692,623 2,212,996 1,162,008 1,251,163 1,727,064

1.29 1.57 1.60 2.09 1.09 1.18 1.63

1,809,366

1.70

1,809,366

1.70

6,334,902

5.97

842,951 1,916,421 1,342,268 1,460,966 772,296

0.79 1.81 1.26 1.38 0.73

1,512,250

1.43

1,512,250

1.43

Total investments in equities

103,493,859

97.53

Total ﬁnancial assets at fair value through proﬁt or loss

103,493,859

97.53

16,944 ICON Plc

Italy - 12,047,571 (31 December 2016: 3,330,377) 362,649 1,160,295 20,754 187,617 286,585 320,163 104,006 451,210

Anima Holding SpA 144A Immobiliare Grande Distribuzione SIIQ SpA Industria Macchine Automatiche SpA Infrastrutture Wireless Italiane SpA 144A Italgas SpA Maire Tecnimont SpA Societa Iniziative Autostradali e Servizi SpA Unipol Gruppo SpA

Luxembourg - 4,822,032 (31 December 2016: 1,004,665) 2,533 Euroﬁns Scientiﬁc SE 62,795 Orion Engineered Carbons SA 29,778 Stabilus SA

Malta - 1,242,225 (31 December 2016: 404,516) 104,613 Kindred Group Plc

Netherlands - 11,086,230 (31 December 2016: 2,312,513) 32,863 48,645 24,151 42,574 37,971 23,748 209,468

AMG Advanced Metallurgical Group NV ASR Nederland NV BE Semiconductor Industries NV Euronext NV 144A Philips Lighting NV 144A TKH Group NV TomTom NV

Norway - 1,809,366 (31 December 2016: –) 551,464 Evry AS 144A

Germany - 27,290,032 (31 December 2016: 9,487,990) 82,519 23,882 17,309 77,168 16,605 30,993 50,730 62,739 30,422 13,185 10,174 15,831 15,249 31,738 117,421 42,369 36,879 27,920

Fair Total value net assets EUR %

alstria ofﬁce REIT-AG Brenntag AG Cewe Stiftung & Co KGAA Deutsche Pfandbriefbank AG 144A Draegerwerk AG & Co KGaA Pfd Hella GmbH & Co KGaA Jenoptik AG K+S AG LANXESS AG MorphoSys AG Pfeiffer Vacuum Technology AG Rheinmetall AG Siltronic AG Stroeer SE & Co KGaA TAG Immobilien AG Talanx AG Uniper SE Wirecard AG

27,290,032

25.72

1,059,131 1,257,745 1,527,433 1,027,685 1,193,318 1,600,324 1,399,133 1,296,972 2,020,173 1,012,608 1,578,242 1,672,545 1,866,478 1,955,696 1,844,390 1,441,182 940,138 2,596,839

1.00 1.18 1.44 0.97 1.12 1.51 1.32 1.22 1.90 0.95 1.49 1.58 1.76 1.84 1.74 1.36 0.89 2.45

Spain - 6,334,902 (31 December 2016: 4,233,707) 44,122 80,185 197,960 93,802 29,390

Cia de Distribucion Integral Logista Holdings SA Enagas SA Euskaltel SA 144A Hispania Activos Inmobiliarios SOCIMI SA Tecnicas Reunidas SA

Switzerland - 1,512,250 (31 December 2016: 479,937) 43,957 Oriﬂame Holding AG

193

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BNY MELLON SMALL CAP EUROLAND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Underlying exposure EUR

Fair Total value net assets EUR %

Open futures contracts - (33,345) (31 December 2016: 1,006) 45 Euro STOXX 50 Index Long Futures Contracts Exp Mar-2018

1,572,300

(33,345)

(0.03)

Total open futures contracts

(33,345)

(0.03)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(33,345)

(0.03)

2,653,964

2.50

106,114,478

100.00

Net current assets Total net assets The counterparty for futures contracts is Goldman Sachs.

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total Assets 97.34 2.66

100.00

194

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BNY MELLON TARGETED RETURN BOND FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds

Bonds cont’d. Argentina - 5,401,326 (31 December 2016: 2,502,256)

Canada cont’d. 5,401,326

11,800,000 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN 649,770 29,850,000 Argentine Bonos del Tesoro 21.200% 19-Sep-2018 1,494,475 550,000 Argentine Republic Government International Bond 5.250% 15-Jan-2028 685,106 1,377,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 560,385 400,000 Argentine Republic Government International Bond 6.875% 26-Jan-2027 437,600 350,510 Argentine Republic Government International Bond 8.280% 31-Dec-2033 416,668 6,600,000 City of Buenos Aires Argentina 26.661% 29-Mar-2024 FRN 335,515 250,000 Provincia de Buenos Aires/Argentina 5.750% 15-Jun-2019 259,463 300,000 Provincia de Buenos Aires/Argentina 144A 9.125% 16-Mar-2024 351,750 4,000,000 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN 210,594

Australia - 306,329 (31 December 2016: 5,621,747) 390,000 FBG Finance Pty Ltd 3.250% 06-Sep-2022

Bahrain - 215,437 (31 December 2016: 435,446) 225,000 Bahrain Government International Bond 7.500% 20-Sep-2047

Bermuda - 241,771 (31 December 2016: 212,349) 245,000 Digicel Group Ltd 8.250% 30-Sep-2020

Brazil - 833,040 (31 December 2016: 1,233,586)

6.04

1.67 0.77 0.63 0.49 0.47 0.37 0.29 0.39 0.23

306,329

0.34

306,329

0.34

215,437

0.24

215,437

0.24

241,771

0.27

241,771

0.27

0.93

552,240 280,800

0.62 0.31

British Virgin Islands - 462,856 (31 December 2016: –)

462,856

0.52

475,000 Sinopec Group Overseas Development 2017 Ltd 2.500% 13-Sep-2022

462,856

0.52

2,852,369

3.19

Canada - 2,852,369 (31 December 2016: 1,974,863)

200,000 285,000 280,000 250,000 800,000 386,565 289,924

BMW Canada Auto Trust 1.677% 20-May-2020 BMW Canada Auto Trust 1.866% 20-Apr-2021 Cenovus Energy Inc 4.250% 15-Apr-2027 CNH Capital Canada Receivables Trust 2015-1 1.353% 15-Mar-2021 Enbridge Inc 5.500% 15-Jul-2077 VAR Ford Auto Securitization Trust 1.423% 15-Apr-2021 Ford Auto Securitization Trust 2.000% 15-Nov-2020 Ford Auto Securitization Trust 2.383% 15-Mar-2023 MBarc Credit Canada Inc 1.457% 18-Feb-2020 MBarc Credit Canada Inc 1.532% 17-Jun-2019 MBarc Credit Canada Inc 144A 1.532% 17-Jun-2019

325,000 MBarc Credit Canada Inc 1.716% 15-Jul-2021 100,000 MBarc Credit Canada Inc 144A 1.716% 15-Jul-2021

258,306 79,564

0.29 0.09

899,648

1.01

899,648

1.01

752,836

0.84

752,836

0.84

France - 276,539 (31 December 2016: 1,673,679)

276,539

0.31

225,000 BNP Paribas SA 1.125% 10-Oct-2023

276,539

0.31

400,378

0.45

400,378

0.45

445,332

0.50

445,332

0.50

589,909

0.66

589,909

0.66

610,003

0.68

210,113

0.23

399,890

0.45

1,244,016

1.39

219,156

0.24

874,687

0.98

150,173

0.17

334,969

0.37

131,166

0.14

203,803

0.23

6,112,166

6.84

3,188,459

3.57

873,328

0.98

1,821,792

2.04

0.73

833,040

551,000 Petrobras Global Finance BV 5.299% 27-Jan-2025 270,000 Petrobras Global Finance BV 7.250% 17-Mar-2044

100,000 225,000 175,000 76,743

Holdings Description

Fair Total value net assets USD %

79,227 178,982 174,620

0.09 0.20 0.20

61,069 199,112 225,563 223,206 198,602 634,687 308,173 231,258

0.07 0.22 0.25 0.25 0.22 0.71 0.34 0.26

Chile - 899,648 (31 December 2016: –) 540,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2021

Colombia - 752,836 (31 December 2016: 826,030) 1,861,000,000 Colombian TES 10.000% 24-Jul-2024

Germany - 400,378 (31 December 2016: 326,543) 300,000 Allianz SE 3.375% Perpetual VAR

Ghana - 445,332 (31 December 2016: –) 400,000 Ghana Government International Bond 8.125% 18-Jan-2026

Hungary - 589,909 (31 December 2016: 982,112) 475,000 Hungary Government International Bond 1.750% 10-Oct-2027

Ireland - 610,003 (31 December 2016: 1,445,019) 200,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500% 15-May-2021 375,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.000% 01-Oct-2021

Italy - 1,244,016 (31 December 2016: 518,397) 200,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 800,000 Italy Buoni Poliennali Del Tesoro 144A 2.700% 01-Mar-2047 125,000 SME Grecale 2017 Srl 0.036% 22-Mar-2056 FRN

Ivory Coast - 334,969 (31 December 2016: –) 100,000 Ivory Coast Government International Bond 5.125% 15-Jun-2025 200,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033

Japan - 6,112,166 (31 December 2016: 3,661,657) 338,986,500 Japanese Government CPI Linked Bond 0.100% 10-Mar-2025 92,461,953 Japanese Government CPI Linked Bond 0.100% 10-Mar-2026 192,207,665 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027

195

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BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Bonds cont’d. Senegal - 474,661 (31 December 2016: –)

Japan cont’d. 100,000 OSCAR US Funding Trust VII LLC 2.450% 10-Dec-2021 130,000 OSCAR US Funding Trust VII LLC 2.760% 10-Dec-2024

Kazakhstan - 377,506 (31 December 2016: –) 375,000 KazTransGas JSC 4.375% 26-Sep-2027

Kuwait - 508,605 (31 December 2016: –) 500,000 Kuwait International Government Bond 3.500% 20-Mar-2027

Mexico - 1,968,234 (31 December 2016: 1,999,656) 12,875,000 425,000 200,000 250,000 325,000

Netherlands - 1,939,235 (31 December 2016: 3,317,544) 300,000 Allianz Finance II BV 5.750% 08-Jul-2041 VAR 200,000 EDP Finance BV 144A 3.625% 15-Jul-2024 288,878 Globaldrive Auto Receivables 2016-B BV 0.130% 20-Aug-2024 FRN 225,000 Mylan NV 2.500% 07-Jun-2019 150,000 Mylan NV 3.000% 15-Dec-2018 300,000 Volkswagen International Finance NV 1.875% 30-Mar-2027 175,000 WPC Eurobond BV 2.250% 19-Jul-2024

New Zealand - 2,947,103 (31 December 2016: 1,832,488) 3,725,000 New Zealand Government Bond 2.000% 20-Sep-2025

Nigeria - 235,350 (31 December 2016: –) 225,000 Nigeria Government International Bond 6.500% 28-Nov-2027

Portugal - 1,406,371 (31 December 2016: 2,186,372) 1,000,000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045

Russia - 2,725,106 (31 December 2016: 988,331) 375,000 Lukoil International Finance BV 144A 4.750% 02-Nov-2026 200,000 Lukoil International Finance BV 6.125% 09-Nov-2020 275,000 MMC Norilsk Nickel OJSC Via MMC Finance DAC 4.100% 11-Apr-2023 500,000 MMC Norilsk Nickel OJSC Via MMC Finance DAC 4.375% 30-Apr-2018 79,300,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028

Holdings Description

Fair Total value net assets USD %

99,423

0.11

129,164

0.14

474,661

0.53

474,661

0.53

3,720,718

4.16

2,267,753

2.54

1,452,965

1.62

1,498,495

1.68

1,225,000 Spain Government Bond 144A 2.900% 31-Oct-2046 1,498,495

1.68

450,000 Senegal Government International Bond 6.250% 23-May-2033

South Africa - 3,720,718 (31 December 2016: –) 377,506

0.42

377,506

0.42

508,605

0.57

508,605

0.57

1,968,234

2.20

663,391 438,281 198,500 312,333 355,729

0.74 0.49 0.22 0.35 0.40

1,939,235

2.17

421,964 201,828

0.47 0.22

348,103 224,795 150,829

0.39 0.25 0.17

30,800,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 16,000,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026

Spain - 1,498,495 (31 December 2016: –)

Sri Lanka - 471,169 (31 December 2016: 831,310)

471,169

0.53

471,169

0.53

1,748,827

1.96

375,000 Asian Development Bank 3.500% 30-May-2024 271,552 275,000 European Investment Bank 1.125% 16-Sep-2021 213,230 1,525,000 International Bank for Reconstruction & Development 3.500% 22-Jan-2021 1,114,377 9,470,000 International Finance Corp 6.300% 25-Nov-2024 149,668

0.30 0.24

450,000 Sri Lanka Government International Bond 5.750% 18-Jan-2022

Supranational - 1,748,827 (31 December 2016: 1,711,280)

Switzerland - 286,569 (31 December 2016: –) 275,000 Credit Suisse Group AG 144A 4.282% 09-Jan-2028

371,954 219,762

0.42 0.25

2,947,103

3.30

2,947,103

3.30

235,350

0.26

235,350

0.26

1,406,371

1.57

1,406,371

1.57

2,725,106

3.05

394,219

0.44

216,159

0.24

277,323

0.31

503,432 1,333,973

0.57 1.49

Turkey - 2,127,322 (31 December 2016: 849,597) 3,550,505 Turkey Government Bond 2.000% 18-Sep-2024 3,000,000 Turkey Government Bond 11.000% 24-Feb-2027 475,000 Turkey Government International Bond 5.750% 11-May-2047

Ukraine - 687,573 (31 December 2016: –) 400,000 Ukraine Government International Bond 0.000% 31-May-2040 VAR 475,000 Ukraine Government International Bond 7.375% 25-Sep-2032

United Arab Emirates - 1,005,342 (31 December 2016: –) 425,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 200,000 Abu Dhabi Government International Bond 3.125% 11-Oct-2027 375,000 Abu Dhabi Government International Bond 4.125% 11-Oct-2047

United Kingdom - 4,561,719 (31 December 2016: 3,405,583) 425,000 Barclays Plc 5.200% 12-May-2026 350,000 Barclays Plc 7.875% Perpetual VAR 200,000 HSBC Holdings Plc 4.375% 23-Nov-2026

1.25 0.17

286,569

0.32

286,569

0.32

2,127,322

2.38

892,261 772,953

1.00 0.86

462,108

0.52

687,573

0.77

220,034

0.25

467,539

0.52

1,005,342

1.12

437,886

0.49

195,846

0.22

371,610

0.41

4,561,719

5.10

453,973 384,050 208,853

0.51 0.43 0.23

196

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BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Holdings Description

Bonds cont’d.

United Kingdom cont’d.

United States of America cont’d.

125,000 INEOS Finance Plc 2.125% 15-Nov-2025 225,000 International Game Technology Plc 6.250% 15-Feb-2022 200,000 Lloyds Banking Group Plc 3.100% 06-Jul-2021 200,000 Lloyds Banking Group Plc 3.750% 11-Jan-2027 750,000 Royal Bank of Scotland Group Plc 3.875% 12-Sep-2023 325,000 Royal Bank of Scotland Group Plc 8.625% Perpetual VAR 200,000 Santander UK Group Holdings Plc 3.571% 10-Jan-2023 750,000 United Kingdom Gilt 1.500% 22-Jul-2047 300,000 Virgin Media Finance Plc 7.000% 15-Apr-2023

United States of America - 35,415,101 (31 December 2016: 34,953,234) 75,000 225,000 725,000 100,000 350,000 35,000 85,000 70,949 450,000 50,000 407,219 225,000 186,122 189,000 200,000 175,000

250,000 175,000 200,000 325,000 48,411 250,000 91,809 750,000 323,439 66,144 550,000 325,000

Fair Total value net assets USD %

149,001

0.17

244,406 202,082 203,155

0.27 0.22 0.23

763,518

0.85

366,844

0.41

202,955 956,386 426,496

0.23 1.07 0.48

35,415,101

39.61

Abbott Laboratories 3.750% 30-Nov-2026 AbbVie Inc 1.375% 17-May-2024 Ally Financial Inc 3.600% 21-May-2018 Ally Financial Inc 4.750% 10-Sep-2018 Amazon.com Inc 3.150% 22-Aug-2027 AMC Networks Inc 4.750% 01-Aug-2025 AMC Networks Inc 5.000% 01-Apr-2024 American Homes 4 Rent 2014-SFR3 Trust 144A 3.678% 17-Dec-2036 AmeriCredit Automobile Receivables Trust 2017-4 2.600% 18-Sep-2023 Andeavor Logistics LP / Tesoro Logistics Finance Corp 3.500% 01-Dec-2022 Banc of America Commercial Mortgage Trust 2007-2 5.676% 10-Apr-2049 VAR Bank of America Corp 4.250% 22-Oct-2026 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 6.204% 11-Jun-2050 VAR BWAY Holding Co 144A 5.500% 15-Apr-2024 CCUBS Commercial Mortgage Trust 2017-C1 3.544% 15-Nov-2050 VAR Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 01-May-2047 Cheniere Corpus Christi Holdings LLC 5.125% 30-Jun-2027 Cheniere Energy Partners LP 5.250% 01-Oct-2025 Citigroup Inc 4.300% 20-Nov-2026 Citizens Bank NA/Providence RI 2.500% 14-Mar-2019 CLUB Credit Trust 2017-NP1 144A 2.390% 17-Apr-2023 CLUB Credit Trust 2017-NP1 144A 3.170% 17-Apr-2023 COBALT CMBS Commercial Mortgage Trust 2007-C3 5.839% 15-May-2046 VAR Colony American Homes Single-Family Rental Pass-Through Certiﬁcates 5.082% 17-Jul-2032 FRN Colony Starwood Homes 2016-2 Trust 2.727% 17-Dec-2033 FRN COMM 2006-C8 Mortgage Trust 5.377% 10-Dec-2046 COMM 2015-CCRE23 Mortgage Trust 3.685% 10-May-2048 VAR COMM 2017-DLTA Mortgage Trust 2.327% 15-Aug-2035 FRN

100,000 25,000 79,485 275,000 175,000 110,000 175,000 100,000 100,000 350,000

76,963 275,183 728,081 101,375 351,985 34,825 86,275

0.09 0.31 0.81 0.11 0.39 0.04 0.10

73,501

0.08

448,696

0.50

49,926

0.06

100,000 150,000 300,000 400,000 175,000 225,000 500,000 225,000 75,000 85,000 550,000 65,000 335,000 205,000 350,000 336,000 152,844

363,283 236,995

0.41 0.27

850,000 525,000

186,016 197,505

0.21 0.22

350,000

205,998

0.23

900,000 125,000 145,000

180,808

0.20

225,000

259,225 178,500 209,194 325,729

0.29 0.20 0.23 0.36

290,000 996,339 365,015

48,458

0.05

476,916

250,497

0.28

851,390

93,433

0.10

125,000 130,000

755,524

0.85 70,040

325,657 66,665

0.36 0.07

544,029

0.61

325,609

0.36

175,000 575,000 50,000 100,000

Concho Resources Inc 3.750% 01-Oct-2027 Concho Resources Inc 4.875% 01-Oct-2047 Conn Funding II LP 144A 2.730% 15-Jul-2019 Conn Funding II LP 2.730% 15-Jul-2020 Continental Resources Inc/OK 3.800% 01-Jun-2024 Continental Resources Inc/OK 5.000% 15-Sep-2022 Corning Inc 4.375% 15-Nov-2057 Cox Communications Inc 3.350% 15-Sep-2026 Dell Equipment Finance Trust 2017-2 2.470% 24-Oct-2022 Dell International LLC / EMC Corp 3.480% 01-Jun-2019 Diamondback Energy Inc 4.750% 01-Nov-2024 Digital Euro Finco LLC 2.625% 15-Apr-2024 Dominion Energy Inc 2.579% 01-Jul-2020 Dominion Energy Inc 2.962% 01-Jul-2019 Drive Auto Receivables Trust 2.800% 15-Jul-2022 Drive Auto Receivables Trust 3.020% 15-Nov-2021 Drive Auto Receivables Trust 3.840% 15-Jul-2021 Drive Auto Receivables Trust 4.180% 15-Mar-2024 Energy Transfer LP 4.200% 15-Apr-2027 Energy Transfer LP 4.750% 15-Jan-2026 Energy Transfer Partners LP 6.250% Perpetual VAR EQT Corp 3.000% 01-Oct-2022 EQT Corp 3.900% 01-Oct-2027 First Data Corp 7.000% 01-Dec-2023 Ford Motor Credit Co LLC 3.336% 18-Mar-2021 Freeport-McMoRan Inc 6.875% 15-Feb-2023 GE Capital Commercial Mortgage Corp 5.731% 10-Nov-2045 VAR General Electric Co 5.000% Perpetual VAR General Motors Financial Co Inc 2.350% 04-Oct-2019 General Motors Financial Co Inc 2.919% 15-Jan-2020 FRN Georgetown University/The 2.456% 01-Apr-2029 Glencore Funding LLC 3.000% 27-Oct-2022 GLP Capital LP / GLP Financing II Inc 5.375% 15-Apr-2026 GM Financial Automobile Leasing Trust 2016-1 2.590% 20-Mar-2020 Goldman Sachs Group Inc/The 3.500% 16-Nov-2026 Government National Mortgage Association 3.500% 20-Mar-2039 Government National Mortgage Association 4.000% 20-Mar-2042 Government National Mortgage Association 4.599% 20-Jul-2042 FRN Government National Mortgage Association 4.699% 20-Nov-2045 FRN HCA Inc 5.500% 15-Jun-2047 Healthcare Trust of America Holdings LP 3.750% 01-Jul-2027 Impac Secured Assets Trust 2006-2 1.902% 25-Aug-2036 FRN Infor US Inc 6.500% 15-May-2022 JPMorgan Chase & Co 1.850% 22-Mar-2019 Kinder Morgan Inc/DE 4.300% 01-Jun-2025 Kinder Morgan Inc/DE 5.550% 01-Jun-2045

101,135 27,162 79,542 274,936 173,687 112,337 174,036 97,746

0.11 0.03 0.09 0.31 0.19 0.13 0.19 0.11

99,442

0.11

354,437 100,875 193,190 300,141 403,156 175,124 226,738 508,077 231,140 74,628 88,205 535,219 64,333 333,117 217,300 355,577 367,920

0.40 0.11 0.22 0.34 0.45 0.20 0.25 0.57 0.26 0.08 0.10 0.60 0.07 0.37 0.24 0.40 0.41

155,899 874,437

0.17 0.98

523,535

0.59

357,207 843,893 124,009

0.40 0.94 0.14

155,875

0.17

225,604 291,368

0.25 0.33

96,299

0.11

50,721

0.06

97,307

0.11

181,754 125,156

0.20 0.14

129,504

0.15

68,853 182,298 572,883 52,092 109,194

0.08 0.20 0.64 0.06 0.12

197

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BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

United States of America cont’d. 300,000 Kraft Heinz Foods Co 2.250% 25-May-2028 369,285 170,000 Kraft Heinz Foods Co 4.875% 15-Feb-2025 180,247 47,285 Marlette Funding Trust 2016-1 144A 3.060% 17-Jan-2023 47,376 54,161 Marlette Funding Trust 2017-1 144A 2.827% 15-Mar-2024 54,366 225,000 Morgan Stanley 3.950% 23-Apr-2027 228,539 218,434 Morgan Stanley ABS Capital I Inc Trust 2006-NC4 1.702% 25-Jun-2036 FRN 196,789 29,000 Newell Brands Inc 2.600% 29-Mar-2019 29,102 30,000 NGPL PipeCo LLC 4.375% 15-Aug-2022 30,750 165,000 NRG Energy Inc 6.250% 15-Jul-2022 172,804 175,000 Occidental Petroleum Corp 3.000% 15-Feb-2027 173,881 375,000 OneMain Financial Issuance Trust 2016-1 3.660% 20-Feb-2029 381,113 303,618 Oscar US Funding Trust 2.310% 15-Nov-2019 303,429 110,000 Oscar US Funding Trust 2.820% 10-Jun-2021 110,228 110,000 Oscar US Funding Trust 3.300% 10-May-2024 110,818 96,880 Prosper Marketplace Issuance Trust Series 2017-1 144A 2.560% 15-Jun-2023 97,210 350,000 Prudential Financial Inc 4.500% 15-Sep-2047 VAR 355,180 275,000 RAAC Series 2006-SP4 Trust 1.892% 25-Nov-2036 FRN 273,469 500,000 Santander Drive Auto Receivables Trust 2015-2 3.020% 15-Apr-2021 504,918 225,000 Santander Retail Auto Lease Trust 2017-A 2.680% 20-Jan-2022 224,829 220,000 Scientiﬁc Games International Inc 10.000% 01-Dec-2022 242,550 45,019 SMB Private Education Loan Trust 2.127% 15-Nov-2023 FRN 45,060 253,278 Soﬁ Consumer Loan Program 2016-3 LLC 144A 3.050% 26-Dec-2025 254,628 254,810 Soﬁ Consumer Loan Program 2017-1 LLC 144A 3.280% 26-Jan-2026 257,406 88,607 SoFi Professional Loan Program 2016-B LLC 1.680% 25-Mar-2031 88,510 600,000 Southern Co/The 1.550% 01-Jul-2018 598,838 300,000 Springleaf Funding Trust 3.620% 15-Nov-2024 301,063 375,000 Springleaf Funding Trust 2016-A 144A 3.800% 15-Nov-2029 377,575 150,000 Sprint Communications Inc 7.000% 15-Aug-2020 159,000 175,000 Sprint Corp 7.875% 15-Sep-2023 185,719 275,000 Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 3.360% 20-Sep-2021 276,841 448,362 Starwood Waypoint Homes 2017-1 Trust 2.441% 17-Jan-2035 FRN 451,073 150,000 Sunoco Logistics Partners Operations LP 4.000% 01-Oct-2027 147,118 50,000 Sunoco Logistics Partners Operations LP 5.400% 01-Oct-2047 50,408 175,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 170,625 260,000 T-Mobile USA Inc 6.625% 01-Apr-2023 271,700 250,000 Tricon American Homes Trust 3.275% 17-Jan-2036 248,742 160,000 United Rentals North America Inc 4.875% 15-Jan-2028 161,400 150,000 United Rentals North America Inc 5.500% 15-Jul-2025 159,187 1,440,000 United States Treasury Bill 0.000% 01-Mar-2018* 1,436,854

Fair Total value net assets USD %

United States of America cont’d. 0.41 0.20 0.05 0.06 0.26 0.22 0.03 0.03 0.19 0.19 0.43 0.34 0.12 0.12 0.11 0.40 0.31 0.57 0.25 0.27 0.05 0.29 0.29 0.10 0.67 0.34 0.42 0.18 0.21 0.31

3,012,511 United States Treasury Inﬂation Indexed Bonds 0.375% 15-Jan-2027 1,635,040 United States Treasury Inﬂation Indexed Bonds 0.875% 15-Feb-2047 2,025,000 United States Treasury Note/Bond 1.750% 28-Feb-2022 125,000 Verizon Communications Inc 4.125% 16-Mar-2027 365,781 WaMu Mortgage Pass-Through Certiﬁcates Series 2005-AR8 1.972% 25-Jul-2045 FRN 155,000 Wells Fargo & Co 3.000% 22-Apr-2026 50,000 Wells Fargo & Co 4.300% 22-Jul-2027 351,900 Wendys Funding LLC 2015-1 4.080% 15-Jun-2045 95,000 Zayo Group LLC / Zayo Capital Inc 5.750% 15-Jan-2027

2,981,959

3.34

1,687,059

1.89

1,992,410 130,717

2.23 0.15

363,761 151,993 53,244 360,692

0.41 0.17 0.06 0.40

97,613

0.11

482,713

0.54

265,666

0.30

217,047

0.24

86,566,643

96.82

Uruguay - 482,713 (31 December 2016: –) 7,650,000 Uruguay Government International Bond 8.500% 15-Mar-2028 5,895,000 Uruguay Government International Bond 9.875% 20-Jun-2022

Total investments in bonds Currency options - 257,013 (31 December 2016: 11)

2,175,000 Canadian dollar/Japanese yen Put 10-Jan-2018 86.000 750,000 Euro/Norwegian krone Put 01-Feb-2018 9.300 700,000 Euro/Sterling Put 22-Feb-2018 0.886 750,000 Euro/Swedish krona Put 09-Mar-2018 9.800 3,750,000 Euro/US dollar Call 11-May-2018 1.200 7,000,000 Norwegian krone/Swedish krona Call 29-Jan-2018 1.040 1,300,000 Sterling/US dollar Call 30-May-2018 1.350 1,750,000 US dollar/Japanese yen Put 10-Jan-2018 111.000 900,000 US dollar/Japanese yen Put 25-Jan-2018 113.400 1,750,000 US dollar/Norwegian krone Put 14-Jun-2018 8.240 875,000 US dollar/Turkish lira Put 12-Feb-2018 3.810 900,000 US dollar/Turkish lira Put 27-Feb-2018 3.930

Total currency options

69 233 7,189 9,272 93,733

0.00 0.00 0.01 0.01 0.11

238 38,635 1,192 11,113 52,144 12,518 30,677

0.00 0.04 0.00 0.01 0.06 0.01 0.04

257,013

0.29

15,125

0.02

15,125

0.02

Future options - 15,125 (31 December 2016: –) 44 U.S. 10 Year Treasury Note Future Put 23-Feb-2018 123.000

0.50

Total future options 0.16 0.06 0.19 0.30 0.28 0.18 0.18 1.61

Holdings Description

Underlying exposure USD

Fair Total value net assets USD %

Open futures contracts - 254,105 (31 December 2016: 225,023) (8) Canadian 10 Year Treasury Bond Short Futures Contracts Exp Mar-2018

(861,332)

11,584

0.01

198

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BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Underlying exposure USD

Holdings Description

Open futures contracts cont’d. (45) Euro-Bobl Short Futures Contracts Exp Mar-2018 (6) Euro-BTP Short Futures Contracts Exp Mar-2018 (31) Euro-Bund Short Futures Contracts Exp Mar-2018 (12) Euro-Buxl 30 Year Bond Short Futures Contracts Exp Mar-2018 (1) Japanese 10 Year Bond Short Futures Contracts Exp Mar-2018 (23) U.S. 10 Year Treasury Note Short Futures Contracts Exp Mar-2018 (51) U.S. 10 Year Ultra Treasury Note Short Futures Contracts Exp Mar-2018 (4) U.S. 2 Year Treasury Note Short Futures Contracts Exp Mar-2018 (10) U.S. Treasury Bond Short Futures Contracts Exp Mar-2018

Fair Total value net assets USD %

Interest rate swaps - (65,303) (31 December 2016: 83,090) (7,098,513)

49,632

0.06

(980,276)

3,033

0.00

(6,010,220)

57,233

0.07

(2,363,941)

47,187

0.05

14,500,000 14,500,000 43,400,000 159,000,000 5,400,000 4,500,000

IRS Pay Fixed 0.423% Swedish krona 20-Jul-2022 IRS Pay Fixed 0.435% Swedish krona 18-Jul-2022 IRS Pay Fixed 0.455% Swedish krona 19-Jul-2022 IRS Pay Fixed 0.923% Japanese yen 23-Feb-2047 IRS Pay Fixed 1.075% Sterling 12-Dec-2022 IRS Receive Fixed 0.131% Euro 06-Mar-2022

Total interest rate swaps

Holdings Description (1,340,088)

711

0.00

(2,848,406)

19,897

0.02

(6,797,344)

55,705

(856,187)

2,060

(1,527,188)

Total open futures contracts

0.06

0.00

7,063

0.01

254,105

0.28

Swaptions - 9,726 (31 December 2016: –) 4,800,000 6 Month 10 Year Receive Fixed 2.100% Pay 3M USD LIBOR Exp 23-Apr-2018

Total swaptions

9,726

0.01

9,726

0.01

Underlying exposure USD

Total ﬁnancial assets at fair value through proﬁt or loss

1,440,342

1.61

88,542,954

99.03

Currency options - (27,647) (31 December 2016: (23,163)) (2,175,000) Canadian dollar/Japanese yen Call 10-Jan-2018 92.000 (750,000) Euro/Norwegian krone Call 01-Feb-2018 9.700 (700,000) Euro/Sterling Call 22-Feb-2018 0.960 (750,000) Euro/Swedish krona Call 09-Mar-2018 10.200 (7,000,000) Norwegian krone/Swedish krona Put 29-Jan-2018 1.000 (850,000) US dollar/Russian rouble Call 06-Mar-2018 62.000 (875,000) US dollar/Turkish lira Call 12-Feb-2018 4.260 (900,000) US dollar/Turkish lira Call 27-Feb-2018 4.320

Total currency options

(184) (12,781) (154) (2,084)

(0.00) (0.02) (0.00) (0.00)

(6,712) (3,358) (962) (1,412)

(0.01) (0.00) (0.00) (0.00)

(27,647)

(0.03)

(0.00) (0.00) (0.02) (0.03) (0.02) (0.00)

(65,303)

(0.07)

Fair Total value net assets USD %

Open futures contracts - (83,250) (31 December 2016: (229,232)) 62 U.S. 5 Year Treasury Note Long Futures Contracts Exp Mar-2018 (23) U.S. Treasury Ultra Bond Short Futures Contracts Exp Mar-2018 (28) UK Long Gilt Short Futures Contracts Exp Mar-2018

7,196,359

(41,088)

(0.04)

(3,846,031)

(9,343)

(0.01)

(4,739,241)

(32,819)

(0.04)

(83,250)

(0.09)

(1,672,967)

(1.87)

Total ﬁnancial liabilities at fair value through proﬁt or loss

(1,849,167)

(2.06)

Net current assets

2,714,444

3.03

89,408,231

100.00

Total open futures contracts Unrealised loss on forward foreign currency contracts - (1,672,967) (seebelow) (31 December 2016: (2,708,149))

Total net assets Unrealised gain on forward foreign currency contracts - 1,440,342 (seebelow) (31 December 2016: 487,091)

(1,700) (2,788) (12,943) (26,686) (18,643) (2,543)

* Part of the holding is held as collateral by Bank of America Merrill Lynch, Citigroup Global Markets Limited and JPMorgan Chase Bank in respect of currency options, futures contracts, future options and swaptions held by the Fund. The counterparties for currency options are Barclays Bank PLC, Citigroup Global Markets Limited, Goldman Sachs and JPMorgan Chase Bank. The counterparty for future options is Bank of America Merrill Lynch. The counterparty for futures contracts is Bank of America Merrill Lynch. The counterparty for swaptions is Citigroup Global Markets Limited. The counterparty for interest rate swaps is Bank of America Merrill Lynch.

Total assets

% of Total Assets 94.28 0.29 1.86 3.57

100.00

199

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BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Czech koruna Hungarian forint

US dollar

4,630,000 980,000 38,390,000

US dollar

464,780,000

Indonesian rupiah US dollar

34,002,045,000

Norwegian krone US dollar

14,780,000

Norwegian krone US dollar Polish zloty US dollar Singapore dollar Sterling Swedish krona US dollar US dollar US dollar

US dollar US dollar US dollar Mexican peso Argentinian peso Argentinian peso

13,440,000 6,310,000 1,700,000 1,330,000 29,840,000 771,624 738,569 1,057,079

1,418,722 10-Jan-18 Goldman Sachs 319 31-Jan-18 JPMorgan Chase Bank 1,758,407 31-Jan-18 Citigroup Global Markets Limited 1,758,865 31-Jan-18 Citigroup Global Markets Limited 2,495,105 31-Jan-18 JPMorgan Chase Bank 1,778,871 31-Jan-18 JPMorgan Chase Bank 1,608,473 31-Jan-18 HSBC Bank plc 1,733,802 31-Jan-18 JPMorgan Chase Bank 1,246,289 31-Jan-18 UBS AG 1,787,759 31-Jan-18 JPMorgan Chase Bank 3,545,733 31-Jan-18 HSBC Bank plc 14,880,000 31-Jan-18 Goldman Sachs 13,550,000 15-Mar-18 Citigroup Global Markets Limited 19,390,000 15-Mar-18 Citigroup Global Markets Limited

Peruvian nuevo sol

306,363

US dollar

Peruvian nuevo sol

336,062

US dollar

Peruvian nuevo sol

782,694

Argentinian peso US dollar

6,000,000

Argentinian peso US dollar US dollar US dollar

US dollar Australian dollar Canadian dollar Chilean peso

5,000,000 364,982 4,769,864 856,011

US dollar

Euro

6,126,645

US dollar US dollar US dollar US dollar

Euro Euro Euro Hungarian forint

3,832,369 3,003,855 2,867,854 1,749,118

US dollar

Indian rupee

276,237

US dollar US dollar

Japanese yen Korean won

3,541,171 1,733,275

US dollar US dollar

New Zealand dollar Philippine peso

4,151,004 1,291,511

US dollar

Polish zloty

1,751,683

Amount (B)

9,483

US dollar

Russian rouble

US dollar

South African rand

3,597,439

43,654

US dollar US dollar

South African rand South African rand

164,941 167,075

1,000,000 10-Jan-18 Citigroup Global Markets Limited 1,090,000 10-Jan-18 JPMorgan Chase Bank 2,540,000 10-Jan-18 Citigroup Global Markets Limited 323,450 23-Jan-18 Citigroup Global Markets Limited 270,270 31-Jan-18 HSBC Bank plc 480,000 31-Jan-18 HSBC Bank plc 6,110,000 31-Jan-18 HSBC Bank plc 547,010,000 31-Jan-18 JPMorgan Chase Bank 5,180,000 31-Jan-18 JPMorgan Chase Bank 3,240,000 31-Jan-18 Goldman Sachs 2,540,000 31-Jan-18 HSBC Bank plc 2,425,000 31-Jan-18 UBS AG 464,780,000 31-Jan-18 Citigroup Global Markets Limited 18,025,000 31-Jan-18 JPMorgan Chase Bank 400,630,000 31-Jan-18 HSBC Bank plc 1,927,870,000 31-Jan-18 JPMorgan Chase Bank 5,985,000 31-Jan-18 HSBC Bank plc 66,600,000 31-Jan-18 JPMorgan Chase Bank 6,310,000 31-Jan-18 JPMorgan Chase Bank

544,085

US dollar US dollar

South African rand South African rand

275,690 615,644

US dollar

Sterling

1,374,995

US dollar

Taiwanese dollar

3,517,528

US dollar

Turkish lira

812,894

US dollar

Turkish lira

811,732

41,163 14,348 25,499 32,308 78,223 26,799 11,080 99,622 20,634

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

32,255,000 31-Jan-18 JPMorgan Chase Bank 51,865,000 31-Jan-18 Citigroup Global Markets Limited 2,250,000 31-Jan-18 HSBC Bank plc 2,270,000 31-Jan-18 Citigroup Global Markets Limited 3,810,000 31-Jan-18 Goldman Sachs 8,480,000 31-Jan-18 Citigroup Global Markets Limited 1,030,000 31-Jan-18 JPMorgan Chase Bank 105,860,000 31-Jan-18 Citigroup Global Markets Limited 3,180,000 31-Jan-18 JPMorgan Chase Bank 3,180,000 31-Jan-18 JPMorgan Chase Bank

(11,376) (595,417) (16,952) (16,436) (32,317) (69,894) (18,091) (69,908) (20,369) (21,531)

USD (1,672,967)

58,445

Net USD (1,127,877) 83,824

USD 545,090 US dollar

Sell

BNY Mellon Targeted Return Bond Fund cont’d.

BNY Mellon Targeted Return Bond Fund Peruvian nuevo sol US dollar Colombian peso US dollar

Buy

BNY Mellon Targeted Return Bond Fund Sterling W (Acc) (Hedged) Share Class Sterling

(2,104) (168) (813)

US dollar

66,235,685

88,630,196 12-Jan-18 The Bank of NewYork Mellon

895,252

USD

895,252

GBP

662,585

(14,572) (13,867) (10,384) (109,003) (33,684) (94,846) (59,065) (46,838) (44,717) (50,910) (5,365) (24,780) (73,501) (109,855) (45,861) (60,343)

200

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BNY MELLON U.S. DYNAMIC VALUE FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes United States of America - 613,917 (31 December 2016: 1,261,174) 4,938 iShares Russell 1000 Value ETF

Total investments in collective investment schemes

Equities cont’d. Health Care cont’d. 613,917

0.60

613,917

0.60

613,917

0.60

3,524,044

3.45

1,012,856 766,576 958,699 785,913

0.99 0.75 0.94 0.77

5,631,053

5.51

515,503 741,077 1,632,156 1,229,350 1,022,250 490,717

0.50 0.73 1.60 1.20 1.00 0.48

Equities Consumer Discretionary - 3,524,044 (31 December 2016: 8,645,897) 25,274 23,722 13,159 22,757

Comcast Corp Goodyear Tire & Rubber Co/The Omnicom Group Inc Twenty-First Century Fox Inc

Consumer Staples - 5,631,053 (31 December 2016: 12,873,876) 11,220 18,599 43,322 18,080 13,142 11,464

Coca-Cola Co/The Coca-Cola European Partners Plc Conagra Brands Inc Kellogg Co Kraft Heinz Co/The Mondelez International Inc

Energy - 13,248,235 (31 December 2016: 19,939,371) 15,493 22,112 34,457 42,060 23,942 3,074 18,982 11,517

Anadarko Petroleum Corp EOG Resources Inc Hess Corp Occidental Petroleum Corp Phillips 66 Pioneer Natural Resources Co Schlumberger Ltd Valero Energy Corp

Financials - 34,896,822 (31 December 2016: 44,926,094) 10,911 10,800 15,220 5,934 147,052 25,887 25,174 8,709 21,768 2,962 19,264 44,967 10,775 9,779 11,191 13,380 6,824 19,447 33,250 30,666 33,572

Allstate Corp/The American Express Co American International Group Inc Ameriprise Financial Inc Bank of America Corp BB&T Corp Berkshire Hathaway Inc Capital One Financial Corp Citigroup Inc Goldman Sachs Group Inc/The Hartford Financial Services Group Inc/The JPMorgan Chase & Co LPL Financial Holdings Inc Morgan Stanley PNC Financial Services Group Inc/The Prudential Financial Inc Raymond James Financial Inc SunTrust Banks Inc Synchrony Financial Voya Financial Inc Wells Fargo & Co

Health Care - 12,325,650 (31 December 2016: 13,124,417) 23,776 8,329 2,175 1,589

Abbott Laboratories AmerisourceBergen Corp Anthem Inc Biogen Inc

Holdings Description

Fair Total value net assets USD %

13,248,235

12.96

831,122 2,387,101 1,635,502 3,100,032 2,423,529 531,249 1,281,000 1,058,700

0.81 2.34 1.60 3.03 2.37 0.52 1.25 1.04

34,896,822

34.14

1,142,436 1,072,710 907,036 1,005,724 4,343,181 1,287,490 5,001,445 867,329 1,620,083 755,266 1,084,467 4,820,462 615,630 513,153 1,615,701 1,538,633 609,417 1,256,179 1,283,949 1,517,200 2,039,331

1.12 1.05 0.89 0.98 4.25 1.26 4.89 0.85 1.58 0.74 1.06 4.72 0.60 0.50 1.58 1.51 0.60 1.23 1.26 1.48 1.99

12,325,650

12.06

1,358,204 764,810 489,516 506,279

1.33 0.75 0.48 0.50

7,754 6,827 5,959 3,913 21,269 15,820 60,925 4,397

Bristol-Myers Squibb Co Express Scripts Holding Co Gilead Sciences Inc Humana Inc Johnson & Johnson Mylan NV Pﬁzer Inc UnitedHealth Group Inc

475,437 509,738 426,992 971,031 2,974,363 669,740 2,208,836 970,704

0.46 0.50 0.42 0.95 2.91 0.65 2.16 0.95

10,628,591

10.40

1,295,732 1,373,086 1,288,036 530,972 774,851 1,084,897 2,226,437 2,054,580

1.27 1.34 1.26 0.52 0.76 1.06 2.18 2.01

10,170,734

9.95

482,571 1,548,203 3,666,476 973,874 1,538,128 498,136 1,463,346

0.47 1.51 3.59 0.95 1.51 0.49 1.43

7,471,462

7.31

1,552,953 1,912,081 760,859 713,533 986,232 512,642 1,033,162

1.52 1.87 0.74 0.70 0.97 0.50 1.01

3,725,175

3.65

1,903,660 1,821,515

1.87 1.78

Total investments in equities

101,621,766

99.43

Total ﬁnancial assets at fair value through proﬁt or loss

102,235,683

100.03

(31,787)

(0.03)

102,203,896

100.00

Industrials - 10,628,591 (31 December 2016: 13,689,880) 23,136 8,935 6,510 3,934 2,523 27,729 11,850 16,091

Delta Air Lines Inc Honeywell International Inc L3 Technologies Inc Middleby Corp/The Northrop Grumman Corp Quanta Services Inc Raytheon Co United Technologies Corp

Information Technology - 10,170,734 (31 December 2016: 13,685,429) 458 9,145 95,668 6,874 32,522 12,947 14,008

Alphabet Inc - Class A Apple Inc Cisco Systems Inc Harris Corp Oracle Corp Teradata Corp Texas Instruments Inc

Materials - 7,471,462 (31 December 2016: 8,044,286) 36,510 26,808 40,098 3,228 26,282 4,252 8,048

CF Industries Holdings Inc DowDuPont Inc Freeport-McMoRan Inc Martin Marietta Materials Inc Newmont Mining Corp Packaging Corp of America Vulcan Materials Co

Telecommunication Services - 3,725,175 (31 December 2016: 3,261,287) 48,931 AT&T Inc 34,352 Verizon Communications Inc

Net current liabilities Total net assets

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total Assets 98.49 1.51

100.00

201

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BNY MELLON U.S. EQUITY INCOME FUND Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Equities

Equities cont’d. Consumer Discretionary - 10,266,172

66,980 Comcast Corp 41,767 Las Vegas Sands Corp 64,234 Omnicom Group Inc

Consumer Staples - 16,115,723 106,007 111,420 64,897 33,873

Coca-Cola Co/The Conagra Brands Inc Kellogg Co Kraft Heinz Co/The

Energy - 28,846,409 64,577 146,250 63,186 65,392 38,173

Holdings Description

Fair Total value net assets USD %

10,266,172

4.23

2,684,224 2,902,180 4,679,768

1.11 1.19 1.93

16,115,723

6.64

4,870,492 4,197,748 4,412,672 2,634,811

2.01 1.73 1.82 1.08

28,846,409

11.89

Hess Corp Pfd Occidental Petroleum Corp Phillips 66 Schlumberger Ltd Valero Energy Corp

3,749,018 10,779,356 6,396,003 4,412,979 3,509,053

1.54 4.44 2.64 1.82 1.45

Financials - 71,214,412

71,214,412

29.35

2,974,863 2,416,687 10,172,208 7,752,692 2,414,858 3,031,405 2,357,336 10,912,960 2,438,251 3,613,418 4,845,429 7,657,737 6,414,874 4,211,694

1.23 1.00 4.19 3.19 0.99 1.25 0.97 4.50 1.00 1.49 2.00 3.16 2.64 1.74

21,902,657

9.03

2,091,087 2,038,800 8,473,208 6,884,172 2,415,390

0.86 0.84 3.49 2.84 1.00

49,918 14,259 344,412 155,880 24,248 40,731 9,245 101,800 46,465 25,028 42,136 118,550 119,647 69,334

American International Group Inc Ameriprise Financial Inc Bank of America Corp BB&T Corp Capital One Financial Corp Citigroup Inc Goldman Sachs Group Inc/The JPMorgan Chase & Co Morgan Stanley PNC Financial Services Group Inc/The Prudential Financial Inc SunTrust Banks Inc US Bancorp Wells Fargo & Co

34,104 28,453 60,590 189,882 10,941

Bristol-Myers Squibb Co Gilead Sciences Inc Johnson & Johnson Pﬁzer Inc UnitedHealth Group Inc

Health Care - 21,902,657

Industrials - 17,645,232

17,645,232

7.27

55,974 23,374 30,427 40,738

Delta Air Lines Inc Honeywell International Inc Raytheon Co United Technologies Corp

3,134,824 3,591,999 5,716,777 5,201,632

1.29 1.48 2.36 2.14

26,732,306

11.02

54,000 277,174 44,447 46,576

Apple Inc Cisco Systems Inc Oracle Corp Texas Instruments Inc

9,141,930 10,622,693 2,102,121 4,865,562

3.77 4.38 0.87 2.00

Materials - 12,111,499

12,111,499

4.99

60,782 CF Industries Holdings Inc 94,706 DowDuPont Inc 21,587 Vulcan Materials Co

2,585,362 6,754,906 2,771,231

1.07 2.78 1.14

11,048,534

4.56

5,012,900 2,937,113 3,098,521

2.07 1.21 1.28

Information Technology - 26,732,306

Real Estate - 11,048,534 67,532 Lamar Advertising Co 126,627 Outfront Media Inc 174,221 Uniti Group Inc

Telecommunication Services - 13,391,589 13,391,589 155,116 AT&T Inc 91,196 Verizon Communications Inc 79,020 Vodafone Group Plc ADR

Utilities - 8,431,571 142,663 FirstEnergy Corp 94,116 NextEra Energy Partners LP

Total investments in equities Unrealised gain on forward foreign currency contracts - 12,049 (seebelow)

Total ﬁnancial assets at fair value through proﬁt or loss Net current assets Total net assets

Total assets

5.52

6,034,788 4,835,668 2,521,133

2.49 1.99 1.04

8,431,571

3.48

4,369,054 4,062,517

1.80 1.68

237,706,104

97.98

12,049

0.00

237,718,153

97.98

4,887,269

2.02

242,605,422

100.00

% of Total Assets 95.53 0.00 4.47

100.00

202

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BNY MELLON U.S. EQUITY INCOME FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon U.S. Equity Income Fund EUR H (Acc) (Hedged) Share Class Euro

US dollar

107,342

126,924 12-Jan-18 The Bank of NewYork Mellon

1,952

USD

1,952

EUR

1,627

BNY Mellon U.S. Equity Income Fund EUR H (Inc) (Hedged) Share Class Euro

US dollar

107,354

126,938 12-Jan-18 The Bank of NewYork Mellon

1,952

USD

1,952

EUR

1,627

BNY Mellon U.S. Equity Income Fund EUR I (Inc) (Hedged) Share Class Euro

US dollar

108,248

127,996 12-Jan-18 The Bank of NewYork Mellon

1,969

USD

1,969

EUR

1,641

BNY Mellon U.S. Equity Income Fund Sterling E (Inc) (Hedged) Share Class Sterling

US dollar

13,100

Sterling

US dollar

16,319

Sterling

US dollar

459,767

17,567 12-Jan-18 The Bank of NewYork Mellon 21,940 12-Jan-18 The Bank of NewYork Mellon 615,026 12-Jan-18 The Bank of NewYork Mellon

126 100 5,950

USD

6,176

GBP

4,574

203

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BNY MELLON U.S. HIGH YIELD BETA FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds

25,000 25,000 25,000 25,000 25,000 100,000 25,000 25,000 50,000 25,000 25,000 20,000 50,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000

25,000 50,000 25,000 25,000 25,000 20,000 25,000 19,000

Holdings Description

Bonds cont’d. Basic Materials - 1,533,924

100,000 25,000 25,000 25,000 20,000 50,000 25,000 20,000 30,000 25,000 25,000 7,000 25,000 25,000 25,000 25,000 30,000 25,000

Fair Total value net assets USD %

1,533,924

AK Steel Corp 7.000% 15-Mar-2027 Alcoa Nederland Holding BV 144A 6.750% 30-Sep-2024 Aleris International Inc 144A 9.500% 01-Apr-2021 Allegheny Technologies Inc 7.875% 15-Aug-2023 ArcelorMittal 5.750% 05-Aug-2020 ArcelorMittal 6.000% 01-Mar-2021 ArcelorMittal 6.125% 01-Jun-2025 ArcelorMittal 7.250% 01-Mar-2041 Ashland LLC 6.875% 15-May-2043 Blue Cube Spinco Inc 9.750% 15-Oct-2023 Blue Cube Spinco Inc 10.000% 15-Oct-2025 Cascades Inc 144A 5.500% 15-Jul-2022 CF Industries Inc 3.450% 01-Jun-2023 Chemours Co/The 5.375% 15-May-2027 Chemours Co/The 6.625% 15-May-2023 Cleveland-Cliffs Inc 144A 5.750% 01-Mar-2025 Cleveland-Cliffs Inc 6.250% 01-Oct-2040 Consolidated Energy Finance SA 144A 6.875% 15-Jun-2025 Constellium NV 144A 6.625% 01-Mar-2025 CVR Partners LP / CVR Nitrogen Finance Corp 144A 9.250% 15-Jun-2023 FMG Resources August 2006 Pty Ltd 144A 4.750% 15-May-2022 FMG Resources August 2006 Pty Ltd 144A 5.125% 15-May-2024 Freeport-McMoRan Inc 3.100% 15-Mar-2020 Freeport-McMoRan Inc 3.875% 15-Mar-2023 Freeport-McMoRan Inc 4.000% 14-Nov-2021 Freeport-McMoRan Inc 4.550% 14-Nov-2024 Freeport-McMoRan Inc 5.450% 15-Mar-2043 Freeport-McMoRan Inc 6.875% 15-Feb-2023 GCP Applied Technologies Inc 144A 9.500% 01-Feb-2023 HB Fuller Co 4.000% 15-Feb-2027 Hexion Inc 6.625% 15-Apr-2020 Hudbay Minerals Inc 144A 7.625% 15-Jan-2025 Huntsman International LLC 4.875% 15-Nov-2020 INEOS Group Holdings SA 144A 5.625% 01-Aug-2024 Joseph T Ryerson & Son Inc 144A 11.000% 15-May-2022 Kinross Gold Corp 144A 4.500% 15-Jul-2027 Olin Corp 5.125% 15-Sep-2027 PolyOne Corp 5.250% 15-Mar-2023 Rain CII Carbon LLC / CII Carbon Corp 144A 7.250% 01-Apr-2025 Rayonier AM Products Inc 144A 5.500% 01-Jun-2024 Resolute Forest Products Inc 5.875% 15-May-2023 Signode Industrial Group Lux SA/ Signode Industrial Group US Inc 144A 6.375% 01-May-2022 SPCM SA 144A 4.875% 15-Sep-2025 Teck Resources Ltd 6.250% 15-Jul-2041 Teck Resources Ltd 144A 8.500% 01-Jun-2024 TPC Group Inc 144A 8.750% 15-Dec-2020 Trinseo Materials Operating SCA / Trinseo Materials Finance Inc 144A 5.375% 01-Sep-2025 Tronox Finance Plc 144A 5.750% 01-Oct-2025 United States Steel Corp 6.875% 15-Aug-2025 United States Steel Corp 144A 8.375% 01-Jul-2021

102,250 27,375 26,500 27,047 21,200 54,250 28,906 25,400 33,450 29,625 30,125 7,227 24,750 25,937 26,562 23,875 23,625

Communications - 5,016,792

6.10 0.41 0.11 0.11 0.11 0.08 0.22 0.12 0.10 0.13 0.12 0.12 0.03 0.10 0.10 0.11 0.09 0.09

25,000 25,000 100,000 25,000 25,000 25,000 25,000 25,000 50,000 100,000 50,000 50,000 100,000

26,562 26,406

0.11 0.11

27,000

0.11

25,406

0.10

25,406 24,938 100,000 25,125 25,543 50,187 27,375

0.10 0.10 0.40 0.10 0.10 0.20 0.11

25,000 25,000 25,000 25,000 100,000 25,000 25,000 25,000 100,000 100,000

27,813 19,050 45,125 27,500 26,094 26,125

0.11 0.08 0.18 0.11 0.10 0.10

28,031 25,219 26,375 26,438

0.11 0.10 0.10 0.11

27,281 25,031 25,969

0.11 0.10 0.10

26,219 25,281 57,500 28,313 25,125

0.10 0.10 0.23 0.11 0.10

25,938 20,600 26,220 20,625

0.10 0.08 0.10 0.08

25,000 25,000 25,000 100,000 100,000 100,000 25,000 100,000 30,000 25,000 25,000 100,000 25,000 100,000 25,000 25,000 25,000 25,000 25,000 20,000 25,000 25,000 50,000 25,000 40,000

5,016,792

Altice Luxembourg SA 144A 7.625% 15-Feb-2025 Altice US Finance I Corp 144A 5.375% 15-Jul-2023 Altice US Finance I Corp 144A 5.500% 15-May-2026 AMC Networks Inc 4.750% 15-Dec-2022 AMC Networks Inc 4.750% 01-Aug-2025 AMC Networks Inc 5.000% 01-Apr-2024 C&W Senior Financing Designated Activity Co 144A 6.875% 15-Sep-2027 Cablevision Systems Corp 5.875% 15-Sep-2022 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.000% 01-Feb-2028 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.125% 01-May-2027 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 CCO Holdings LLC / CCO Holdings Capital Corp 5.750% 15-Jan-2024 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.750% 15-Feb-2026 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.875% 01-May-2027 CenturyLink Inc 5.625% 01-Apr-2020 CenturyLink Inc 5.625% 01-Apr-2025 CenturyLink Inc 6.750% 01-Dec-2023 CenturyLink Inc 7.500% 01-Apr-2024 Cequel Communications Holdings I LLC / Cequel Capital Corp 144A 5.125% 15-Dec-2021 Cequel Communications Holdings I LLC / Cequel Capital Corp 144A 7.750% 15-Jul-2025 Cincinnati Bell Inc 144A 7.000% 15-Jul-2024 Cogent Communications Finance Inc 144A 5.625% 15-Apr-2021 CommScope Technologies LLC 144A 6.000% 15-Jun-2025 CSC Holdings LLC 5.250% 01-Jun-2024 CSC Holdings LLC 144A 5.500% 15-Apr-2027 CSC Holdings LLC 144A 6.625% 15-Oct-2025 CSC Holdings LLC 144A 10.125% 15-Jan-2023 CSC Holdings LLC 144A 10.875% 15-Oct-2025 DISH DBS Corp 5.000% 15-Mar-2023 DISH DBS Corp 5.125% 01-May-2020 DISH DBS Corp 7.750% 01-Jul-2026 Embarq Corp 7.995% 01-Jun-2036 Frontier Communications Corp 6.250% 15-Sep-2021 Frontier Communications Corp 6.875% 15-Jan-2025 Frontier Communications Corp 7.125% 15-Jan-2023 Frontier Communications Corp 7.625% 15-Apr-2024 Frontier Communications Corp 10.500% 15-Sep-2022 Frontier North Inc 6.730% 15-Feb-2028 Gogo Intermediate Holdings LLC / Gogo Finance Co Inc 144A 12.500% 01-Jul-2022 Gray Television Inc 144A 5.125% 15-Oct-2024 Gray Television Inc 144A 5.875% 15-Jul-2026 GTT Communications Inc 144A 7.875% 31-Dec-2024 HC2 Holdings Inc 144A 11.000% 01-Dec-2019 Hughes Satellite Systems Corp 5.250% 01-Aug-2026 Hughes Satellite Systems Corp 6.625% 01-Aug-2026 iHeartCommunications Inc 9.000% 15-Dec-2019 Inmarsat Finance Plc 144A 4.875% 15-May-2022 Intelsat Jackson Holdings SA 5.500% 01-Aug-2023

19.95

24,031 25,625 102,125 25,594 24,844 25,375

0.10 0.10 0.41 0.10 0.10 0.10

26,250 24,687

0.10 0.10

48,875

0.19

98,750

0.39

51,375

0.20

51,500

0.20

104,125

0.41

25,812 25,281 22,844 24,594 100,000

0.10 0.10 0.09 0.10 0.40

25,187

0.10

26,750 24,875

0.11 0.10

101,250

0.40

106,750 24,687 25,562 27,125 112,875 119,250 94,875 25,625 105,500 29,325 17,812 16,312 67,000 16,687 75,875 21,875

0.42 0.10 0.10 0.11 0.45 0.47 0.38 0.10 0.42 0.12 0.07 0.06 0.27 0.07 0.30 0.09

28,281 25,000 25,687 26,437 20,425 25,594 26,250 37,375 25,062 32,800

0.11 0.10 0.10 0.11 0.08 0.10 0.10 0.15 0.10 0.13

204

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BNY MELLON U.S. HIGH YIELD BETA FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

Communications cont’d. 40,000 Intelsat Jackson Holdings SA 7.250% 15-Oct-2020 25,000 Intelsat Jackson Holdings SA 144A 8.000% 15-Feb-2024 25,000 Intelsat Jackson Holdings SA 144A 9.500% 30-Sep-2022 100,000 Intelsat Luxembourg SA 7.750% 01-Jun-2021 25,000 Koninklijke KPN NV 144A 7.000% 28-Mar-2073 VAR 25,000 Lamar Media Corp 5.000% 01-May-2023 25,000 Level 3 Financing Inc 5.125% 01-May-2023 25,000 Level 3 Financing Inc 5.250% 15-Mar-2026 25,000 Level 3 Financing Inc 5.375% 15-Jan-2024 25,000 Level 3 Financing Inc 5.375% 01-May-2025 25,000 Level 3 Financing Inc 5.625% 01-Feb-2023 25,000 Level 3 Parent LLC 5.750% 01-Dec-2022 100,000 Match Group Inc 6.375% 01-Jun-2024 25,000 MDC Partners Inc 144A 6.500% 01-May-2024 25,000 Midcontinent Communications / Midcontinent Finance Corp 144A 6.875% 15-Aug-2023 25,000 Netﬂix Inc 4.375% 15-Nov-2026 30,000 Netﬂix Inc 144A 4.875% 15-Apr-2028 25,000 Netﬂix Inc 5.375% 01-Feb-2021 25,000 Netﬂix Inc 5.500% 15-Feb-2022 25,000 Netﬂix Inc 5.875% 15-Feb-2025 25,000 Nexstar Broadcasting Inc 144A 5.625% 01-Aug-2024 25,000 Nokia OYJ 3.375% 12-Jun-2022 25,000 Nokia OYJ 4.375% 12-Jun-2027 25,000 Plantronics Inc 144A 5.500% 31-May-2023 100,000 SFR Group SA 144A 7.375% 01-May-2026 25,000 Sinclair Television Group Inc 5.375% 01-Apr-2021 25,000 Sinclair Television Group Inc 144A 5.625% 01-Aug-2024 25,000 Sinclair Television Group Inc 6.125% 01-Oct-2022 37,000 Sirius XM Radio Inc 144A 4.625% 15-May-2023 50,000 Sirius XM Radio Inc 144A 5.000% 01-Aug-2027 100,000 Sirius XM Radio Inc 144A 5.375% 15-Apr-2025 100,000 SoftBank Group Corp 144A 4.500% 15-Apr-2020 100,000 Sprint Capital Corp 6.875% 15-Nov-2028 100,000 Sprint Communications Inc 6.000% 15-Nov-2022 100,000 Sprint Communications Inc 7.000% 15-Aug-2020 100,000 Sprint Corp 7.250% 15-Sep-2021 25,000 Symantec Corp 144A 5.000% 15-Apr-2025 40,000 Telecom Italia Capital SA 7.200% 18-Jul-2036 100,000 Telecom Italia SpA/Milano 144A 5.303% 30-May-2024 25,000 Telesat Canada / Telesat LLC 144A 8.875% 15-Nov-2024 25,000 TIBCO Software Inc 144A 11.375% 01-Dec-2021 25,000 Time Inc 144A 5.750% 15-Apr-2022 25,000 T-Mobile USA Inc 4.000% 15-Apr-2022 25,000 T-Mobile USA Inc 5.125% 15-Apr-2025 25,000 T-Mobile USA Inc 6.000% 01-Mar-2023 25,000 T-Mobile USA Inc 6.000% 15-Apr-2024 25,000 T-Mobile USA Inc 6.500% 15-Jan-2024 100,000 T-Mobile USA Inc 6.500% 15-Jan-2026 25,000 Tribune Media Co 5.875% 15-Jul-2022 50,000 United States Cellular Corp 6.700% 15-Dec-2033 25,000 Unitymedia GmbH 144A 6.125% 15-Jan-2025 22,500 Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 144A 5.500% 15-Jan-2023

Fair Total value net assets USD %

Communications cont’d. 37,800

0.15

26,375

0.10

28,937 53,375 28,431 25,875 25,125 24,601 25,031 25,031 25,250 25,164 108,750 25,250

0.12 0.21 0.11 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.43 0.10

26,656 24,563 29,438 26,531 26,406 26,625 25,875 24,908 24,775 26,031 103,000 25,500

0.11 0.10 0.12 0.11 0.11 0.11 0.10 0.10 0.10 0.10 0.41 0.10

25,844 25,844 37,879 50,375 104,375 102,403 100,875 100,250 106,250 106,125 26,063 49,900

0.10 0.10 0.15 0.20 0.42 0.41 0.40 0.40 0.42 0.42 0.10 0.20

107,125

0.43

28,063 27,297 26,188 25,703 26,031 26,238 26,563 26,563 109,375 25,813 52,412 26,500

0.11 0.11 0.10 0.10 0.10 0.10 0.11 0.11 0.44 0.10 0.21 0.11

23,175

0.09

25,000 Univision Communications Inc 144A 5.125% 15-May-2023 25,000 Univision Communications Inc 144A 5.125% 15-Feb-2025 25,000 UPCB Finance IV Ltd 144A 5.375% 15-Jan-2025 100,000 Urban One Inc 144A 9.250% 15-Feb-2020 25,000 Viacom Inc 5.875% 28-Feb-2057 VAR 25,000 Viacom Inc 6.250% 28-Feb-2057 VAR 25,000 Virgin Media Finance Plc 144A 6.000% 15-Oct-2024 100,000 Virgin Media Secured Finance Plc 144A 5.250% 15-Jan-2026 25,000 Virgin Media Secured Finance Plc 144A 5.500% 15-Aug-2026 50,000 Windstream Services LLC / Windstream Finance Corp 6.375% 01-Aug-2023 25,000 Zayo Group LLC / Zayo Capital Inc 6.000% 01-Apr-2023 25,000 Zayo Group LLC / Zayo Capital Inc 6.375% 15-May-2025 25,000 Ziggo Bond Finance BV 144A 6.000% 15-Jan-2027 100,000 Ziggo Secured Finance BV 144A 5.500% 15-Jan-2027

Consumer, Cyclical - 3,553,091

25,000

0.10

24,406 25,298 94,500 24,616 24,449 25,750

0.10 0.10 0.38 0.10 0.10 0.10

101,375

0.40

25,688

0.10

30,750 26,164 26,531 24,438 99,500

0.12 0.10 0.11 0.10 0.40

3,553,091

14.13

50,000 1011778 BC ULC / New Red Finance Inc 144A 4.250% 15-May-2024 50,000 40,000 1011778 BC ULC / New Red Finance Inc 144A 4.625% 15-Jan-2022 41,050 25,000 24 Hour Fitness Worldwide Inc 144A 8.000% 01-Jun-2022 24,563 25,000 Adient Global Holdings Ltd 144A 4.875% 15-Aug-2026 25,812 25,000 Algeco Scotsman Global Finance Plc 144A 8.500% 15-Oct-2018 25,062 25,000 Allison Transmission Inc 144A 5.000% 01-Oct-2024 25,844 25,000 AMC Entertainment Holdings Inc 5.750% 15-Jun-2025 24,812 25,000 AMC Entertainment Holdings Inc 5.875% 15-Nov-2026 24,687 25,000 American Airlines Group Inc 144A 4.625% 01-Mar-2020 25,500 25,000 American Airlines Group Inc 144A 5.500% 01-Oct-2019 25,812 25,000 American Axle & Manufacturing Inc 144A 6.500% 01-Apr-2027 26,531 25,000 American Axle & Manufacturing Inc 6.625% 15-Oct-2022 25,969 25,000 American Tire Distributors Inc 144A 10.250% 01-Mar-2022 25,875 25,000 Aramark Services Inc 4.750% 01-Jun-2026 25,437 25,000 Beazer Homes USA Inc 8.750% 15-Mar-2022 27,622 25,000 Boyd Gaming Corp 6.375% 01-Apr-2026 27,000 20,000 CalAtlantic Group Inc 5.250% 01-Jun-2026 21,225 20,000 CalAtlantic Group Inc 5.875% 15-Nov-2024 22,306 15,000 Constellation Merger Sub Inc 144A 8.500% 15-Sep-2025 14,700 100,000 Dana Inc 5.500% 15-Dec-2024 106,125 25,000 Diamond Resorts International Inc 144A 7.750% 01-Sep-2023 27,247 25,000 Diamond Resorts International Inc 144A 10.750% 01-Sep-2024 26,906 100,000 Dollar Tree Inc 5.750% 01-Mar-2023 104,937 25,000 Fiat Chrysler Automobiles NV 5.250% 15-Apr-2023 26,235 100,000 Gap Inc/The 5.950% 12-Apr-2021 107,909

0.20 0.16 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.11 0.10 0.10 0.10 0.11 0.11 0.09 0.09 0.06 0.42 0.11 0.11 0.42 0.10 0.43

205

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Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

Consumer, Cyclical cont’d. 25,000 GLP Capital LP / GLP Financing II Inc 5.375% 15-Apr-2026 25,000 Golden Nugget Inc 144A 6.750% 15-Oct-2024 25,000 Golden Nugget Inc 144A 8.750% 01-Oct-2025 25,000 Goodyear Tire & Rubber Co/The 4.875% 15-Mar-2027 25,000 Goodyear Tire & Rubber Co/The 5.000% 31-May-2026 25,000 Hanesbrands Inc 144A 4.625% 15-May-2024 25,000 Hanesbrands Inc 144A 4.875% 15-May-2026 25,000 HD Supply Inc 144A 5.750% 15-Apr-2024 25,000 Hilton Domestic Operating Co Inc 4.250% 01-Sep-2024 25,000 Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 4.625% 01-Apr-2025 25,000 Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 4.875% 01-Apr-2027 25,000 IHO Verwaltungs GmbH 144A 4.125% 15-Sep-2021 25,000 IHO Verwaltungs GmbH 144A 4.750% 15-Sep-2026 100,000 International Game Technology Plc 144A 6.250% 15-Feb-2022 25,000 International Game Technology Plc 144A 6.500% 15-Feb-2025 25,000 Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp 144A 6.750% 15-Nov-2021 20,000 K Hovnanian Enterprises Inc 144A 10.000% 15-Jul-2022 100,000 KB Home 7.000% 15-Dec-2021 25,000 KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC 144A 4.750% 01-Jun-2027 25,000 KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC 144A 5.250% 01-Jun-2026 25,000 L Brands Inc 5.625% 15-Oct-2023 20,000 Lennar Corp 144A 2.950% 29-Nov-2020 50,000 Lennar Corp 4.500% 30-Apr-2024 30,000 Levi Strauss & Co 5.000% 01-May-2025 20,000 M/I Homes Inc 5.625% 01-Aug-2025 50,000 MDC Holdings Inc 6.000% 15-Jan-2043 25,000 Men’s Wearhouse Inc/The 7.000% 01-Jul-2022 100,000 MGM Resorts International 5.250% 31-Mar-2020 25,000 MGM Resorts International 6.000% 15-Mar-2023 25,000 MGM Resorts International 6.750% 01-Oct-2020 25,000 Mohegan Gaming & Entertainment 144A 7.875% 15-Oct-2024 20,000 National CineMedia LLC 6.000% 15-Apr-2022 25,000 NCL Corp Ltd 144A 4.750% 15-Dec-2021 20,000 New Albertson’s Inc 8.000% 01-May-2031 10,000 New Albertson’s Inc 8.700% 01-May-2030 100,000 Penske Automotive Group Inc 5.750% 01-Oct-2022 50,000 PetSmart Inc 144A 7.125% 15-Mar-2023 25,000 Pinnacle Entertainment Inc 5.625% 01-May-2024 25,000 PVH Corp 4.500% 15-Dec-2022 25,000 Regal Entertainment Group 5.750% 15-Mar-2022 100,000 Rite Aid Corp 144A 6.125% 01-Apr-2023 25,000 Sabre GLBL Inc 144A 5.250% 15-Nov-2023 25,000 Sally Holdings LLC / Sally Capital Inc 5.625% 01-Dec-2025 100,000 Scientiﬁc Games International Inc 10.000% 01-Dec-2022 25,000 Silversea Cruise Finance Ltd 144A 7.250% 01-Feb-2025 25,000 Six Flags Entertainment Corp 144A 4.875% 31-Jul-2024

Fair Total value net assets USD %

Consumer, Cyclical cont’d. 26,875 25,500 26,312 25,656 25,871 25,625 25,750 26,625 25,312

0.11 0.10 0.11 0.10 0.10 0.10 0.10 0.11 0.10

25,750

0.10

26,219 25,500 25,438

0.10 0.10 0.10

108,250

0.43

28,062

0.11

26,375

0.11

22,100 111,500

0.09 0.44

25,625

0.10

26,375 27,094 19,950 51,390 31,425 20,398 49,125 25,220 103,750 27,063 27,063

0.11 0.11 0.08 0.20 0.13 0.08 0.20 0.10 0.41 0.11 0.11

25,719 20,350 25,938 18,150 9,400 103,188 29,875 26,875 25,560 25,844 90,625 25,695

0.10 0.08 0.10 0.07 0.04 0.41 0.12 0.11 0.10 0.10 0.36 0.10

25,000 Six Flags Entertainment Corp 144A 5.500% 15-Apr-2027 100,000 Sonic Automotive Inc 5.000% 15-May-2023 25,000 Staples Inc 144A 8.500% 15-Sep-2025 25,000 Station Casinos LLC 144A 5.000% 01-Oct-2025 25,000 Suburban Propane Partners LP/ Suburban Energy Finance Corp 5.500% 01-Jun-2024 25,000 Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc 144A 5.250% 15-Apr-2021 100,000 Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc 144A 5.625% 01-Mar-2024 25,000 Tempur Sealy International Inc 5.500% 15-Jun-2026 25,000 Tenneco Inc 5.000% 15-Jul-2026 100,000 Tesla Inc 144A 5.300% 15-Aug-2025 100,000 Toll Brothers Finance Corp 4.875% 15-Mar-2027 100,000 Toll Brothers Finance Corp 5.875% 15-Feb-2022 20,000 TRI Pointe Group Inc / TRI Pointe Homes Inc 4.375% 15-Jun-2019 30,000 TRI Pointe Group Inc / TRI Pointe Homes Inc 5.875% 15-Jun-2024 20,000 Virgin Australia Holdings Ltd 144A 7.875% 15-Oct-2021 10,000 William Carter Co/The 5.250% 15-Aug-2021 100,000 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp 144A 5.500% 01-Mar-2025 30,000 Yum! Brands Inc 5.350% 01-Nov-2043 55,000 ZF North America Capital Inc 144A 4.750% 29-Apr-2025

25,000

25,000 25,000 25,000 25,000 25,000 25,000 50,000 100,000 25,000

0.10

110,125

0.44

27,063

0.11

25,438

0.10

0.10 0.39 0.09 0.10

24,875

0.10

25,531

0.10

105,125 25,693 25,688 95,875 104,000 109,375

0.42 0.10 0.10 0.38 0.41 0.44

20,500

0.08

32,175

0.13

20,650 10,294

0.08 0.04

103,250 29,100

0.41 0.12

58,438

0.23

4,003,527

15.92

Acadia Healthcare Co Inc 5.625% 15-Feb-2023 25,500 ADT Corp/The 3.500% 15-Jul-2022 24,750 Ahern Rentals Inc 144A 7.375% 15-May-2023 23,625 Albertsons Cos LLC / Safeway Inc / New Albertson’s Inc / Albertson’s LLC 5.750% 15-Mar-2025 22,675 Albertsons Cos LLC / Safeway Inc / New Albertson’s Inc / Albertson’s LLC 6.625% 15-Jun-2024 23,812 Alliance One International Inc 9.875% 15-Jul-2021 23,094 APTIM Corp 144A 7.750% 15-Jun-2025 24,000 APX Group Inc 7.875% 01-Dec-2022 26,844 Ashtead Capital Inc 144A 4.125% 15-Aug-2025 25,281 Ashtead Capital Inc 144A 4.375% 15-Aug-2027 25,437 Ashtead Capital Inc 144A 5.625% 01-Oct-2024 26,625 Avantor Inc 144A 9.000% 01-Oct-2025 49,375 Avis Budget Car Rental LLC / Avis Budget Finance Inc 144A 5.250% 15-Mar-2025 99,375 Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.500% 01-Apr-2023 25,719 Avon International Operations Inc 144A 7.875% 15-Aug-2022 25,562 B&G Foods Inc 5.250% 01-Apr-2025 25,491 C&S Group Enterprises LLC 144A 5.375% 15-Jul-2022 14,212 Centene Corp 4.750% 15-May-2022 104,250 Centene Corp 4.750% 15-Jan-2025 25,500 Centene Corp 5.625% 15-Feb-2021 25,750 Centene Corp 6.125% 15-Feb-2024 26,500

0.10 0.10 0.09

Consumer, Non-cyclical - 4,003,527 25,000 25,000 25,000 25,000

25,000 25,000

25,938 97,000 23,187 25,188

25,000 15,000 100,000 25,000 25,000 25,000

0.09

0.09 0.09 0.10 0.11 0.10 0.10 0.11 0.20 0.40 0.10 0.10 0.10 0.06 0.41 0.10 0.10 0.11

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Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Consumer, Non-cyclical cont’d. 100,000 CHS/Community Health Systems Inc 6.250% 31-Mar-2023 90,500 100,000 CHS/Community Health Systems Inc 7.125% 15-Jul-2020 75,250 25,000 Cott Holdings Inc 144A 5.500% 01-Apr-2025 25,750 20,000 Darling Ingredients Inc 5.375% 15-Jan-2022 20,550 100,000 DaVita Inc 5.125% 15-Jul-2024 101,187 25,000 Dean Foods Co 144A 6.500% 15-Mar-2023 24,937 10,000 DJO Finance LLC / DJO Finance Corp 10.750% 15-Apr-2020 9,050 25,000 DJO Finco Inc / DJO Finance LLC / DJO Finance Corp 144A 8.125% 15-Jun-2021 23,500 25,000 Dole Food Co Inc 144A 7.250% 15-Jun-2025 27,156 25,000 Eagle Holding Co II LLC 144A 7.625% 15-May-2022 25,312 20,000 Emeco Pty Ltd 9.250% 31-Mar-2022 21,220 100,000 Encompass Health Corp 5.750% 01-Nov-2024 102,750 25,000 Endo Dac / Endo Finance LLC / Endo Finco Inc 144A 6.000% 15-Jul-2023 19,750 10,000 Endo Dac / Endo Finance LLC / Endo Finco Inc 144A 6.000% 01-Feb-2025 7,800 10,000 Endo Finance LLC 144A 5.750% 15-Jan-2022 8,375 10,000 Endo Finance LLC / Endo Finco Inc 144A 5.375% 15-Jan-2023 7,850 25,000 Envision Healthcare Corp 144A 5.125% 01-Jul-2022 24,375 25,000 Envision Healthcare Corp 5.625% 15-Jul-2022 25,375 25,000 Envision Healthcare Corp 144A 6.250% 01-Dec-2024 25,875 25,000 Gartner Inc 144A 5.125% 01-Apr-2025 26,187 25,000 GW Honos Security Corp 144A 8.750% 15-May-2025 26,937 25,000 HCA Healthcare Inc 6.250% 15-Feb-2021 26,562 25,000 HCA Inc 4.250% 15-Oct-2019 25,594 100,000 HCA Inc 4.500% 15-Feb-2027 100,750 25,000 HCA Inc 4.750% 01-May-2023 25,812 100,000 HCA Inc 5.250% 15-Jun-2026 106,250 100,000 HCA Inc 5.375% 01-Feb-2025 103,750 30,000 HCA Inc 5.500% 15-Jun-2047 30,000 100,000 HCA Inc 5.875% 01-May-2023 107,000 21,000 Herc Rentals Inc 144A 7.500% 01-Jun-2022 22,732 25,000 Herc Rentals Inc 144A 7.750% 01-Jun-2024 27,562 25,000 Hertz Corp/The 5.875% 15-Oct-2020 25,187 25,000 Hertz Corp/The 6.250% 15-Oct-2022 24,250 25,000 Hertz Corp/The 144A 7.625% 01-Jun-2022 26,250 25,000 IHS Markit Ltd 144A 4.750% 15-Feb-2025 26,437 20,000 Immucor Inc 144A 11.125% 15-Feb-2022 20,800 25,000 Ingles Markets Inc 5.750% 15-Jun-2023 25,375 25,000 Jaguar Holding Co II / Pharmaceutical Product Development LLC 144A 6.375% 01-Aug-2023 25,312 25,000 JBS USA LUX SA / JBS USA Finance Inc 144A 5.875% 15-Jul-2024 24,281 25,000 KAR Auction Services Inc 144A 5.125% 01-Jun-2025 25,688 25,000 Kindred Healthcare Inc 6.375% 15-Apr-2022 25,500 25,000 Kindred Healthcare Inc 8.000% 15-Jan-2020 27,211 25,000 Kindred Healthcare Inc 8.750% 15-Jan-2023 26,625 25,000 Kinetic Concepts Inc / KCI USA Inc 144A 7.875% 15-Feb-2021 26,156 15,000 Kinetic Concepts Inc / KCI USA Inc 144A 12.500% 01-Nov-2021 16,913 25,000 Kronos Acquisition Holdings Inc 144A 9.000% 15-Aug-2023 23,438 25,000 Lamb Weston Holdings Inc 144A 4.625% 01-Nov-2024 25,875 25,000 Lamb Weston Holdings Inc 144A 4.875% 01-Nov-2026 26,188

Holdings Description

Fair Total value net assets USD %

Consumer, Non-cyclical cont’d. 0.36 0.30 0.10 0.08 0.40 0.10 0.04 0.09 0.11 0.10 0.08 0.41 0.08 0.03 0.03 0.03 0.10 0.10 0.10 0.10 0.11 0.11 0.10 0.40 0.10 0.42 0.41 0.12 0.43 0.09 0.11 0.10 0.10 0.10 0.11 0.08 0.10 0.10 0.10 0.10 0.10 0.11 0.11 0.10 0.07 0.09 0.10 0.10

25,000 Laureate Education Inc 144A 8.250% 01-May-2025 26,563 25,000 Mallinckrodt International Finance SA 4.750% 15-Apr-2023 19,750 25,000 Mallinckrodt International Finance SA / Mallinckrodt CB LLC 144A 5.500% 15-Apr-2025 20,500 25,000 Mallinckrodt International Finance SA / Mallinckrodt CB LLC 144A 5.625% 15-Oct-2023 21,375 25,000 MEDNAX Inc 144A 5.250% 01-Dec-2023 25,500 25,000 Molina Healthcare Inc 5.375% 15-Nov-2022 26,188 25,000 Ortho-Clinical Diagnostics Inc / Ortho-Clinical Diagnostics SA 144A 6.625% 15-May-2022 25,250 25,000 Pilgrim’s Pride Corp 144A 5.750% 15-Mar-2025 25,906 20,000 Prestige Brands Inc 144A 6.375% 01-Mar-2024 20,825 100,000 Prime Security Services Borrower LLC / Prime Finance Inc 144A 9.250% 15-May-2023 111,250 10,000 Quorum Health Corp 11.625% 15-Apr-2023 9,813 25,000 RegionalCare Hospital Partners Holdings Inc 144A 8.250% 01-May-2023 26,500 25,000 Rent-A-Center Inc/TX 6.625% 15-Nov-2020 24,000 25,000 Revlon Consumer Products Corp 5.750% 15-Feb-2021 19,000 25,000 Ritchie Bros Auctioneers Inc 144A 5.375% 15-Jan-2025 25,875 20,000 Service Corp International/US 5.375% 15-Jan-2022 20,513 9,000 Service Corp International/US 5.375% 15-May-2024 9,518 25,000 ServiceMaster Co LLC/The 144A 5.125% 15-Nov-2024 25,375 25,000 Spectrum Brands Inc 5.750% 15-Jul-2025 26,438 20,000 Sterigenics-Nordion Topco LLC 144A 8.125% 01-Nov-2021 20,250 20,000 Surgery Center Holdings Inc 144A 8.875% 15-Apr-2021 20,800 20,000 Syniverse Foreign Holdings Corp 144A 9.125% 15-Jan-2022 20,400 25,000 Team Health Holdings Inc 144A 6.375% 01-Feb-2025 22,438 25,000 Tenet Healthcare Corp 4.375% 01-Oct-2021 25,063 100,000 Tenet Healthcare Corp 144A 4.625% 15-Jul-2024 97,875 25,000 Tenet Healthcare Corp 4.750% 01-Jun-2020 25,563 25,000 Tenet Healthcare Corp 144A 5.125% 01-May-2025 24,469 15,000 Tenet Healthcare Corp 5.500% 01-Mar-2019 15,300 25,000 Tenet Healthcare Corp 144A 7.500% 01-Jan-2022 26,344 100,000 Tenet Healthcare Corp 8.125% 01-Apr-2022 102,125 100,000 United Rentals North America Inc 5.500% 15-May-2027 105,500 100,000 United Rentals North America Inc 5.750% 15-Nov-2024 105,625 71,000 Valeant Pharmaceuticals International Inc 144A 5.375% 15-Mar-2020 71,355 25,000 Valeant Pharmaceuticals International Inc 144A 5.500% 01-Mar-2023 23,000 25,000 Valeant Pharmaceuticals International Inc 144A 5.625% 01-Dec-2021 24,531 100,000 Valeant Pharmaceuticals International Inc 144A 6.125% 15-Apr-2025 91,875 50,000 Valeant Pharmaceuticals International Inc 144A 6.500% 15-Mar-2022 52,625 100,000 Valeant Pharmaceuticals International Inc 144A 7.500% 15-Jul-2021 102,000 25,000 Vector Group Ltd 144A 6.125% 01-Feb-2025 25,938 25,000 Vizient Inc 144A 10.375% 01-Mar-2024 28,125 25,000 WellCare Health Plans Inc 5.250% 01-Apr-2025 26,438 25,000 West Street Merger Sub Inc 144A 6.375% 01-Sep-2025 25,188

0.11 0.08 0.08 0.09 0.10 0.10

0.10 0.10 0.08 0.44 0.04 0.11 0.10 0.08 0.10 0.08 0.04 0.10 0.11 0.08 0.08 0.08 0.09 0.10 0.39 0.10 0.10 0.06 0.10 0.41 0.42 0.42 0.28 0.09 0.10 0.37 0.21 0.41 0.10 0.11 0.11 0.10

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Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. Energy - 3,332,073

Holdings Description

Fair Total value net assets USD %

Bonds cont’d. 3,332,073

25,000 Alta Mesa Holdings LP / Alta Mesa Finance Services Corp 7.875% 15-Dec-2024 27,531 20,000 American Midstream Partners LP / American Midstream Finance Corp 144A 8.500% 15-Dec-2021 20,650 25,000 Antero Midstream Partners LP / Antero Midstream Finance Corp 5.375% 15-Sep-2024 25,875 25,000 Antero Resources Corp 5.125% 01-Dec-2022 25,625 25,000 Antero Resources Corp 5.375% 01-Nov-2021 25,719 25,000 Blue Racer Midstream LLC / Blue Racer Finance Corp 144A 6.125% 15-Nov-2022 26,187 50,000 Bristow Group Inc 6.250% 15-Oct-2022 41,187 40,000 California Resources Corp 144A 8.000% 15-Dec-2022 33,150 25,000 Calumet Specialty Products Partners LP / Calumet Finance Corp 6.500% 15-Apr-2021 25,000 50,000 Calumet Specialty Products Partners LP / Calumet Finance Corp 7.750% 15-Apr-2023 50,500 74,000 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 75,480 100,000 Cheniere Corpus Christi Holdings LLC 5.125% 30-Jun-2027 103,690 100,000 Cheniere Corpus Christi Holdings LLC 5.875% 31-Mar-2025 108,562 14,063 Chesapeake Energy Corp 4.875% 15-Apr-2022 13,395 25,000 Chesapeake Energy Corp 144A 8.000% 15-Jan-2025 25,312 25,000 Chesapeake Energy Corp 144A 8.000% 15-Jun-2027 24,062 100,000 CNX Resources Corp 5.875% 15-Apr-2022 102,625 25,000 CNX Resources Corp 8.000% 01-Apr-2023 26,862 50,000 Comstock Resources Inc 10.000% 15-Mar-2020 51,812 25,000 Continental Resources Inc/OK 3.800% 01-Jun-2024 24,812 100,000 Continental Resources Inc/OK 4.500% 15-Apr-2023 102,250 10,000 Continental Resources Inc/OK 4.900% 01-Jun-2044 9,600 25,000 Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp 5.750% 01-Apr-2025 25,906 25,000 Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp 6.250% 01-Apr-2023 26,105 100,000 CVR Reﬁning LLC / Coffeyville Finance Inc 6.500% 01-Nov-2022 103,500 20,000 DCP Midstream Operating LP 4.950% 01-Apr-2022 20,875 25,000 DCP Midstream Operating LP 144A 5.850% 21-May-2043 VAR 23,375 20,000 DCP Midstream Operating LP 144A 6.750% 15-Sep-2037 21,900 20,000 DCP Midstream Operating LP 144A 9.750% 15-Mar-2019 21,725 25,000 Diamond Offshore Drilling Inc 7.875% 15-Aug-2025 26,250 100,000 Energy Transfer Equity LP 7.500% 15-Oct-2020 110,250 25,000 Ensco Plc 4.500% 01-Oct-2024 21,125 30,000 Ensco Plc 5.750% 01-Oct-2044 20,700 25,000 EP Energy LLC / Everest Acquisition Finance Inc 144A 8.000% 29-Nov-2024 25,938 25,000 Extraction Oil & Gas Inc / Extraction Finance Corp 144A 7.875% 15-Jul-2021 26,563 30,000 Genesis Energy LP / Genesis Energy Finance Corp 6.000% 15-May-2023 30,525 25,000 Gulfport Energy Corp 6.375% 15-May-2025 25,219 6,000 Halcon Resources Corp 144A 6.750% 15-Feb-2025 6,270

13.25 0.11

0.08 0.10 0.10 0.10 0.10 0.16 0.13 0.10 0.20 0.30 0.41 0.43 0.05 0.10 0.10 0.41 0.11 0.21 0.10 0.41 0.04

0.10

0.10 0.41 0.08 0.09 0.09 0.09 0.11 0.44 0.08 0.08 0.10 0.11 0.12 0.10 0.03

Energy cont’d. 25,000 Holly Energy Partners LP / Holly Energy Finance Corp 144A 6.000% 01-Aug-2024 50,000 Laredo Petroleum Inc 5.625% 15-Jan-2022 25,000 Matador Resources Co 6.875% 15-Apr-2023 100,000 McDermott International Inc 144A 8.000% 01-May-2021 25,000 MEG Energy Corp 144A 6.500% 15-Jan-2025 25,000 MEG Energy Corp 144A 7.000% 31-Mar-2024 25,000 Murphy Oil Corp 4.450% 01-Dec-2022 25,000 Murphy Oil Corp 5.750% 15-Aug-2025 25,000 Nabors Industries Inc 5.500% 15-Jan-2023 25,000 Newﬁeld Exploration Co 5.375% 01-Jan-2026 50,000 Noble Holding International Ltd 5.250% 15-Mar-2042 50,000 Noble Holding International Ltd 6.050% 01-Mar-2041 25,000 NuStar Logistics LP 5.625% 28-Apr-2027 25,000 Oasis Petroleum Inc 6.875% 15-Mar-2022 25,000 Parsley Energy LLC / Parsley Finance Corp 144A 5.375% 15-Jan-2025 30,000 Parsley Energy LLC / Parsley Finance Corp 144A 6.250% 01-Jun-2024 30,000 PBF Holding Co LLC / PBF Finance Corp 7.000% 15-Nov-2023 25,000 Peabody Energy Corp 144A 6.000% 31-Mar-2022 30,000 Precision Drilling Corp 144A 7.125% 15-Jan-2026 20,000 Pride International LLC 8.500% 15-Jun-2019 100,000 QEP Resources Inc 5.250% 01-May-2023 25,000 Range Resources Corp 4.875% 15-May-2025 25,000 Range Resources Corp 5.000% 15-Aug-2022 25,000 Range Resources Corp 5.000% 15-Mar-2023 10,000 Rowan Cos Inc 5.850% 15-Jan-2044 25,000 Rowan Cos Inc 7.375% 15-Jun-2025 25,000 RSP Permian Inc 6.625% 01-Oct-2022 20,000 SemGroup Corp / Rose Rock Finance Corp 5.625% 15-Jul-2022 25,000 SESI LLC 144A 7.750% 15-Sep-2024 30,000 Seven Generations Energy Ltd 144A 6.875% 30-Jun-2023 25,000 SM Energy Co 5.625% 01-Jun-2025 25,000 SM Energy Co 6.750% 15-Sep-2026 25,000 Southwestern Energy Co 4.950% 23-Jan-2025 25,000 Southwestern Energy Co 7.500% 01-Apr-2026 25,000 Southwestern Energy Co 7.750% 01-Oct-2027 25,000 Summit Midstream Holdings LLC / Summit Midstream Finance Corp 5.750% 15-Apr-2025 25,000 SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp 144A 7.500% 15-Jun-2025 25,000 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 144A 5.500% 15-Sep-2024 25,000 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 144A 5.500% 15-Jan-2028 25,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.125% 15-Nov-2019 25,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.250% 15-Nov-2023

26,188 50,750 26,375

0.10 0.20 0.11

103,285 24,781 21,219 25,156 25,625 24,375 26,563 32,125 34,500 25,500 25,719

0.41 0.10 0.08 0.10 0.10 0.10 0.11 0.13 0.14 0.10 0.10

25,375

0.10

31,725

0.13

31,350 26,031 30,675 21,250 101,686 24,250 25,000 25,000 7,850 25,563 26,281

0.13 0.10 0.12 0.09 0.40 0.10 0.10 0.10 0.03 0.10 0.11

19,850 26,625

0.08 0.11

32,025 24,375 25,875 26,094 26,594 26,719

0.13 0.10 0.10 0.10 0.11 0.11

25,335

0.10

26,250

0.10

25,781

0.10

25,336

0.10

25,219

0.10

24,813

0.10

208

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BNY MELLON U.S. HIGH YIELD BETA FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Holdings Description

Bonds cont’d.

Energy cont’d.

Financials cont’d.

25,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 5.250% 01-May-2023 25,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 5.375% 01-Feb-2027 25,000 Targa Resources Partners LP / Targa Resources Partners Finance Corp 6.750% 15-Mar-2024 20,000 Teine Energy Ltd 144A 6.875% 30-Sep-2022 25,000 Transocean Inc 5.800% 15-Oct-2022 30,000 Transocean Inc 6.800% 15-Mar-2038 25,000 Transocean Inc 144A 9.000% 15-Jul-2023 22,500 Transocean Phoenix 2 Ltd 144A 7.750% 15-Oct-2024 22,500 Transocean Proteus Ltd 144A 6.250% 01-Dec-2024 10,000 Trinidad Drilling Ltd 144A 6.625% 15-Feb-2025 25,000 Tullow Oil Plc 144A 6.000% 01-Nov-2020 25,000 Tullow Oil Plc 144A 6.250% 15-Apr-2022 25,000 Ultra Resources Inc 144A 6.875% 15-Apr-2022 100,000 Unit Corp 6.625% 15-May-2021 25,000 Weatherford International Ltd 7.750% 15-Jun-2021 25,000 Weatherford International Ltd 8.250% 15-Jun-2023 25,000 Whiting Petroleum Corp 5.000% 15-Mar-2019 25,000 Whiting Petroleum Corp 5.750% 15-Mar-2021 25,000 Williams Cos Inc/The 3.700% 15-Jan-2023 25,000 WPX Energy Inc 5.250% 15-Sep-2024 25,000 WPX Energy Inc 8.250% 01-Aug-2023

25,625

0.10

25,750

0.10

26,906 20,750 24,750 24,225 27,125 24,722 23,681 9,550 25,345 25,220 25,156 101,250 25,578 25,313 25,669 25,719 25,000 25,039 28,500

0.11 0.08 0.10 0.10 0.11 0.10 0.09 0.04 0.10 0.10 0.10 0.40 0.10 0.10 0.10 0.10 0.10 0.10 0.11

2,232,071

8.88

Aircastle Ltd 5.000% 01-Apr-2023 26,406 Aircastle Ltd 5.125% 15-Mar-2021 26,375 Aircastle Ltd 5.500% 15-Feb-2022 26,906 Aircastle Ltd 6.250% 01-Dec-2019 26,437 Ally Financial Inc 4.125% 30-Mar-2020 25,562 Ally Financial Inc 4.125% 13-Feb-2022 25,620 Ally Financial Inc 4.250% 15-Apr-2021 25,687 Ally Financial Inc 4.625% 30-Mar-2025 26,344 Ally Financial Inc 5.750% 20-Nov-2025 27,344 Ally Financial Inc 8.000% 15-Mar-2020 110,500 Ally Financial Inc 8.000% 01-Nov-2031 65,250 American Equity Investment Life Holding Co 5.000% 15-Jun-2027 25,953 Ardonagh Midco 3 Plc 144A 8.625% 15-Jul-2023 26,000 ASP AMC Merger Sub Inc 144A 8.000% 15-May-2025 24,125 AssuredPartners Inc 144A 7.000% 15-Aug-2025 24,937 CIT Group Inc 5.000% 15-Aug-2022 26,562 CIT Group Inc 5.000% 01-Aug-2023 26,687 CIT Group Inc 5.375% 15-May-2020 31,762 CNO Financial Group Inc 5.250% 30-May-2025 26,500 CyrusOne LP / CyrusOne Finance Corp 144A 5.000% 15-Mar-2024 26,000 Deutsche Bank AG 4.296% 24-May-2028 VAR 98,958 Enova International Inc 9.750% 01-Jun-2021 26,562 ESH Hospitality Inc 144A 5.250% 01-May-2025 25,312 FelCor Lodging LP 6.000% 01-Jun-2025 31,800 Genworth Holdings Inc 7.625% 24-Sep-2021 73,688 Howard Hughes Corp/The 144A 5.375% 15-Mar-2025 25,688 HUB International Ltd 144A 7.875% 01-Oct-2021 57,338 Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.250% 01-Feb-2022 25,625

0.11 0.11 0.11 0.11 0.10 0.10 0.10 0.10 0.11 0.44 0.26

Financials - 2,232,071 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 100,000 50,000 25,000 25,000 25,000 25,000 25,000 25,000 30,000 25,000 25,000 100,000 25,000 25,000 30,000 75,000 25,000 55,000 25,000

Fair Total value net assets USD %

0.10 0.10 0.10 0.10 0.11 0.11 0.13 0.11 0.10 0.39 0.11 0.10 0.13 0.29 0.10 0.23 0.10

25,000 Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.750% 01-Feb-2024 25,781 100,000 Intesa Sanpaolo SpA 144A 5.710% 15-Jan-2026 105,518 100,000 iStar Inc 6.000% 01-Apr-2022 103,750 25,000 Kennedy-Wilson Inc 5.875% 01-Apr-2024 25,875 25,000 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 144A 5.250% 15-Mar-2022 25,844 20,000 Liberty Mutual Group Inc 144A 7.800% 15-Mar-2037 25,510 25,000 LPL Holdings Inc 144A 5.750% 15-Sep-2025 25,500 25,000 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc 5.625% 01-May-2024 26,750 100,000 Navient Corp 6.750% 25-Jun-2025 103,000 100,000 Navient Corp 8.000% 25-Mar-2020 108,375 25,000 NFP Corp 144A 6.875% 15-Jul-2025 25,250 25,000 QCP SNF West/Central/East/AL REIT LLC 144A 8.125% 01-Nov-2023 25,688 25,000 Quicken Loans Inc 144A 5.750% 01-May-2025 26,000 100,000 Realogy Group LLC / Realogy Co-Issuer Corp 144A 4.500% 15-Apr-2019 101,750 20,000 RHP Hotel Properties LP / RHP Finance Corp 5.000% 15-Apr-2021 20,400 100,000 Royal Bank of Scotland Group Plc 5.125% 28-May-2024 106,212 25,000 SBA Communications Corp 4.875% 01-Sep-2024 25,750 25,000 Springleaf Finance Corp 6.125% 15-May-2022 26,063 25,000 Springleaf Finance Corp 7.750% 01-Oct-2021 27,594 25,000 Springleaf Finance Corp 8.250% 15-Dec-2020 27,563 25,000 Starwood Property Trust Inc 5.000% 15-Dec-2021 26,000 25,000 Tempo Acquisition LLC / Tempo Acquisition Finance Corp 144A 6.750% 01-Jun-2025 25,313 25,000 UniCredit SpA 144A 5.861% 19-Jun-2032 VAR 26,688 25,000 Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 144A 7.125% 15-Dec-2024 22,875 25,000 Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC 144A 6.000% 15-Apr-2023 24,562 25,000 Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC 8.250% 15-Oct-2023 24,156 25,000 USIS Merger Sub Inc 144A 6.875% 01-May-2025 25,313 25,000 VFH Parent LLC / Orchestra Co-Issuer Inc 144A 6.750% 15-Jun-2022 26,375 25,000 Voya Financial Inc 5.650% 15-May-2053 VAR 26,688

Industrials - 2,647,996 25,000 25,000 30,000 20,000 25,000 100,000 25,000 25,000 100,000 100,000 25,000 25,000 25,000

0.10 0.42 0.41 0.10

0.10 0.10 0.10 0.11 0.41 0.43 0.10 0.10 0.10 0.40 0.08 0.42 0.10 0.10 0.11 0.11 0.10 0.10 0.11 0.09 0.10 0.10 0.10 0.11 0.11

2,647,996

10.53

AECOM 5.125% 15-Mar-2027 25,529 AECOM 5.750% 15-Oct-2022 26,187 AGCO Corp 5.875% 01-Dec-2021 32,413 Apex Tool Group LLC 144A 7.000% 01-Feb-2021 19,350 Arconic Inc 5.125% 01-Oct-2024 26,761 Arconic Inc 5.400% 15-Apr-2021 106,475 ARD Finance SA 7.125% 15-Sep-2023 26,187 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 144A 4.625% 15-May-2023 25,601 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 144A 7.250% 15-May-2024 109,250 Ball Corp 4.000% 15-Nov-2023 102,375 Berry Global Inc 5.125% 15-Jul-2023 26,094 Berry Global Inc 5.500% 15-May-2022 25,781 BlueLine Rental Finance Corp / BlueLine Rental LLC 144A 9.250% 15-Mar-2024 26,750

0.10 0.10 0.13 0.08 0.11 0.42 0.10 0.10 0.43 0.41 0.10 0.10 0.11

209

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BNY MELLON U.S. HIGH YIELD BETA FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Bonds cont’d.

Holdings Description

Bonds cont’d.

Industrials cont’d. 90,000 25,000 25,000 100,000 25,000 25,000 25,000 25,000 25,000 25,000 30,000 25,000 50,000 25,000 25,000 20,000 25,000 25,000 25,000 50,000 25,000 100,000 25,000 100,000 25,000 25,000 25,000 100,000 50,000 96,911 25,000 25,000 30,000 30,000 25,000 25,000 25,000 25,000 25,000 100,000 25,000 20,000 25,000 25,000 25,000 25,000 25,000

Boise Cascade Co 144A 5.625% 01-Sep-2024 95,400 Bombardier Inc 144A 6.000% 15-Oct-2022 24,687 Bombardier Inc 144A 6.125% 15-Jan-2023 24,625 Bombardier Inc 144A 7.500% 15-Mar-2025 101,280 Bombardier Inc 144A 8.750% 01-Dec-2021 27,562 Brand Industrial Services Inc 144A 8.500% 15-Jul-2025 26,312 BWAY Holding Co 144A 5.500% 15-Apr-2024 26,062 BWAY Holding Co 144A 7.250% 15-Apr-2025 25,875 Cloud Crane LLC 144A 10.125% 01-Aug-2024 28,250 Core & Main LP 144A 6.125% 15-Aug-2025 25,437 Covanta Holding Corp 5.875% 01-Mar-2024 30,525 Coveris Holdings SA 144A 7.875% 01-Nov-2019 24,938 Crown Americas LLC / Crown Americas Capital Corp V 4.250% 30-Sep-2026 49,375 Energizer Holdings Inc 144A 5.500% 15-Jun-2025 26,101 Flex Acquisition Co Inc 144A 6.875% 15-Jan-2025 25,937 Fortress Transportation & Infrastructure Investors LLC 144A 6.750% 15-Mar-2022 20,775 General Cable Corp 5.750% 01-Oct-2022 26,031 GFL Environmental Inc 144A 9.875% 01-Feb-2021 26,406 Grinding Media Inc / Moly-Cop AltaSteel Ltd 144A 7.375% 15-Dec-2023 26,905 Hornbeck Offshore Services Inc 5.000% 01-Mar-2021 26,500 Ingram Micro Inc 5.450% 15-Dec-2024 24,865 Louisiana-Paciﬁc Corp 4.875% 15-Sep-2024 103,500 Novelis Corp 144A 6.250% 15-Aug-2024 26,250 Owens-Brockway Glass Container Inc 144A 5.000% 15-Jan-2022 103,875 Park Aerospace Holdings Ltd 144A 4.500% 15-Mar-2023 23,938 Park Aerospace Holdings Ltd 144A 5.250% 15-Aug-2022 24,938 Park Aerospace Holdings Ltd 144A 5.500% 15-Feb-2024 24,875 Park-Ohio Industries Inc 6.625% 15-Apr-2027 108,250 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 144A 5.125% 15-Jul-2023 51,813 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.750% 15-Oct-2020 98,486 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 144A 7.000% 15-Jul-2024 26,797 RSI Home Products Inc 144A 6.500% 15-Mar-2023 26,313 Sealed Air Corp 144A 5.125% 01-Dec-2024 32,250 Sealed Air Corp 144A 5.250% 01-Apr-2023 32,100 Standard Industries Inc/NJ 144A 5.000% 15-Feb-2027 25,625 Standard Industries Inc/NJ 144A 5.375% 15-Nov-2024 26,257 Standard Industries Inc/NJ 144A 5.500% 15-Feb-2023 26,125 Standard Industries Inc/NJ 144A 6.000% 15-Oct-2025 26,812 Summit Materials LLC / Summit Materials Finance Corp 6.125% 15-Jul-2023 26,125 Teekay Corp 8.500% 15-Jan-2020 102,250 Terex Corp 144A 5.625% 01-Feb-2025 26,156 Tervita Escrow Corp 144A 7.625% 01-Dec-2021 20,150 TransDigm Inc 5.500% 15-Oct-2020 25,344 TransDigm Inc 6.000% 15-Jul-2022 25,563 TransDigm Inc 6.375% 15-Jun-2026 25,313 TransDigm Inc 6.500% 15-Jul-2024 25,688 TransDigm Inc 6.500% 15-May-2025 25,625

Fair Total value net assets USD %

Industrials cont’d. 0.38 0.10 0.10 0.40 0.11 0.11 0.10 0.10 0.11 0.10 0.12 0.10 0.20 0.10 0.10 0.08 0.10 0.11 0.11 0.11 0.10 0.41 0.10 0.41 0.10 0.10 0.10 0.43 0.21 0.39 0.11 0.11 0.13 0.13 0.10 0.10 0.10 0.11 0.10 0.41 0.10 0.08 0.10 0.10 0.10 0.10 0.10

25,000 25,000 25,000 25,000 25,000 25,000

Triumph Group Inc 144A 7.750% 15-Aug-2025 Tutor Perini Corp 144A 6.875% 01-May-2025 US Concrete Inc 6.375% 01-Jun-2024 USG Corp 144A 4.875% 01-Jun-2027 Vertiv Group Corp 144A 9.250% 15-Oct-2024 Vertiv Intermediate Holding Corp 144A 12.000% 15-Feb-2022 100,000 XPO Logistics Inc 144A 6.500% 15-Jun-2022

Technology - 1,245,273

26,594 26,938 26,938 25,976 26,812

0.11 0.11 0.11 0.10 0.11

26,969 104,750

0.11 0.42

1,245,273

4.95

50,000 Advanced Micro Devices Inc 7.000% 01-Jul-2024 50,000 Advanced Micro Devices Inc 7.500% 15-Aug-2022 100,000 BMC Software Finance Inc 144A 8.125% 15-Jul-2021 25,000 Camelot Finance SA 144A 7.875% 15-Oct-2024 25,000 Change Healthcare Holdings LLC / Change Healthcare Finance Inc 144A 5.750% 01-Mar-2025 25,000 Conduent Finance Inc / Conduent Business Services LLC 144A 10.500% 15-Dec-2024 100,000 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 25,000 First Data Corp 144A 5.375% 15-Aug-2023 100,000 First Data Corp 144A 5.750% 15-Jan-2024 100,000 First Data Corp 144A 7.000% 01-Dec-2023 25,000 Genesys Telecommunications Laboratories Inc/ Greeneden Lux 3 Sarl/Greeneden US Ho 144A 10.000% 30-Nov-2024 25,000 Harland Clarke Holdings Corp 144A 9.250% 01-Mar-2021 25,000 Infor Software Parent LLC / Infor Software Parent Inc 144A 7.125% 01-May-2021 100,000 Infor US Inc 6.500% 15-May-2022 25,000 Informatica LLC 144A 7.125% 15-Jul-2023 25,000 NCR Corp 4.625% 15-Feb-2021 25,000 NCR Corp 5.000% 15-Jul-2022 25,000 NCR Corp 6.375% 15-Dec-2023 25,000 Open Text Corp 144A 5.625% 15-Jan-2023 25,000 Quintiles IMS Inc 144A 4.875% 15-May-2023 25,000 Rackspace Hosting Inc 144A 8.625% 15-Nov-2024 25,000 Riverbed Technology Inc 144A 8.875% 01-Mar-2023 25,000 Sensata Technologies BV 144A 5.000% 01-Oct-2025 25,000 Sensata Technologies UK Financing Co Plc 144A 6.250% 15-Feb-2026 25,000 SS&C Technologies Holdings Inc 5.875% 15-Jul-2023 25,000 Veritas US Inc / Veritas Bermuda Ltd 144A 10.500% 01-Feb-2024 100,000 Western Digital Corp 10.500% 01-Apr-2024

Utilities - 795,613 25,000 25,000 25,000 25,000 25,000

AES Corp/VA 4.875% 15-May-2023 AES Corp/VA 5.125% 01-Sep-2027 AES Corp/VA 5.500% 15-Mar-2024 AES Corp/VA 5.500% 15-Apr-2025 AmeriGas Partners LP / AmeriGas Finance Corp 5.500% 20-May-2025 25,000 AmeriGas Partners LP / AmeriGas Finance Corp 5.750% 20-May-2027 25,000 AmeriGas Partners LP / AmeriGas Finance Corp 5.875% 20-Aug-2026

52,062 55,125

0.21 0.22

101,125 26,750

0.40 0.11

25,094

0.10

29,257

0.12

109,524 26,085 103,875 106,000

0.44 0.10 0.41 0.42

27,375

0.11

25,437

0.10

25,687 104,000 25,688 25,281 25,563 26,250 26,156 25,875 26,750 23,688 26,563

0.10 0.41 0.10 0.10 0.10 0.11 0.10 0.10 0.11 0.09 0.11

27,313 26,500

0.11 0.11

26,125 116,125

0.10 0.46

795,613

3.16

25,594 26,312 26,125 26,375

0.10 0.10 0.10 0.11

25,375

0.10

25,375

0.10

25,875

0.10

210

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BNY MELLON U.S. HIGH YIELD BETA FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Utilities cont’d.

25,000 25,000 25,000 100,000 25,000

Calpine Corp 144A 5.250% 01-Jun-2026 Calpine Corp 5.375% 15-Jan-2023 Calpine Corp 5.500% 01-Feb-2024 Calpine Corp 5.750% 15-Jan-2025 Dynegy Inc 5.875% 01-Jun-2023 Dynegy Inc 7.375% 01-Nov-2022 Dynegy Inc 7.625% 01-Nov-2024 Dynegy Inc 144A 8.125% 30-Jan-2026 FirstEnergy Solutions Corp 6.050% 15-Aug-2021 FirstEnergy Solutions Corp 6.800% 15-Aug-2039 InterGen NV 144A 7.000% 30-Jun-2023 IPALCO Enterprises Inc 144A 3.700% 01-Sep-2024 NGL Energy Partners LP / NGL Energy Finance Corp 6.125% 01-Mar-2025 NRG Energy Inc 6.250% 15-Jul-2022 NRG Energy Inc 7.250% 15-May-2026 NRG Yield Operating LLC 5.375% 15-Aug-2024 Talen Energy Supply LLC 7.000% 15-Oct-2027 Terraform Global Operating LLC 144A 9.750% 15-Aug-2022

Total investments in bonds

Buy Holdings Description Sell

Amount (B)

24,594 24,406 23,906 71,063 25,438 105,750 26,938 27,406 10,500 20,750 24,250 20,005

0.10 0.10 0.10 0.28 0.10 0.42 0.11 0.11 0.04 0.08 0.10 0.08

24,500 26,125 27,344 26,000 77,826

0.10 0.10 0.11 0.10 0.31

27,781

0.11

24,360,360

96.87

Euro

US dollar

99,912

(1,000,000) CDS CDX North American High Yield Index Series 29 5.000% 20-Dec-2022

Unrealised gain on forward foreign currency contracts - 7,266 (seebelow)

Total ﬁnancial assets at fair value through proﬁt or loss Net current assets Total net assets

82,822

0.33

82,822

0.33

7,266

0.03

Euro

97.23

695,976

2.77

25,146,424

100.00

1,817

USD

1,817

EUR

1,514

US dollar

99,872

118,091 12-Jan-18 The Bank of NewYork Mellon

1,816

USD

1,816

EUR

1,514

BNY Mellon U.S. High Yield Beta Fund EUR I (Inc) (Hedged) Share Class Euro

US dollar

99,872

118,091 12-Jan-18 The Bank of NewYork Mellon

1,816

USD

1,816

EUR

1,514

BNY Mellon U.S. High Yield Beta Fund EUR W (Inc) (Hedged) Share Class Euro

24,450,448

118,138 12-Jan-18 The Bank of NewYork Mellon

BNY Mellon U.S. High Yield Beta Fund EUR I (Acc) (Hedged) Share Class

Credit default swaps - 82,822

Total credit default swaps

Amount (S)

Fair Total value net assets Settle Unrealised % Date Counterparty Gain/(Loss)

BNY Mellon U.S. High Yield Beta Fund EUR E (Acc) (Hedged) Share Class

Bonds cont’d. 25,000 25,000 25,000 75,000 25,000 100,000 25,000 25,000 25,000 50,000 25,000 20,000 25,000

Forward foreign currency contracts

US dollar

99,892

118,114 12-Jan-18 The Bank of NewYork Mellon

1,817

USD

1,817

EUR

1,514

The counterparty for credit default swaps is Goldman Sachs.

Total assets

% of Total Assets 96.36 0.36 3.28

100.00

211

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BNY MELLON U.S. MUNICIPAL INFRASTRUCTURE DEBT FUND Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Fair Total value net assets USD %

Holdings Description

Bonds cont’d.

Bonds Dedicated Tax - 21,468,599

21,468,599

1,000,000 Atlanta & Fulton County Recreation Authority 3.379% 15-Dec-2027 1,000,000 City of Fort Worth TX 3.755% 01-Mar-2030 1,000,000 County of Miami-Dade FL Transit System 6.710% 01-Jul-2029 3,400,000 Irvine Uniﬁed School District 1.600% 01-Sep-2054 1,000,000 Kentucky Economic Development Finance Authority 4.021% 01-Dec-2029 1,250,000 Kentucky Economic Development Finance Authority 4.121% 01-Dec-2030 1,840,000 Kentucky Economic Development Finance Authority 4.171% 01-Dec-2031 1,000,000 Metropolitan Transportation Authority 5.989% 15-Nov-2030 1,000,000 New York City Transitional Finance Authority Future Tax Secured Revenue 3.080% 01-Feb-2026 1,365,000 Riverside County Redevelopment Successor Agency 3.000% 01-Oct-2025 1,445,000 Riverside County Redevelopment Successor Agency 3.125% 01-Oct-2026 1,000,000 San Francisco City & County Redevelopment Agency 3.250% 01-Aug-2029 3,750,000 San Jose Redevelopment Agency Successor Agency 3.250% 01-Aug-2029 1,000,000 State of Connecticut Special Tax Revenue 5.459% 01-Nov-2030

Education - 28,817,312

996,360 1,031,110

0.57 0.60

1,067,785 3,400,000

0.62 1.97

1,011,015

0.58

1,265,762

0.73

1,863,469

1.08

1,257,195

0.73

1,004,755

0.58

1,330,493

0.77

1,406,642

0.81

987,470

0.57

3,703,088

2.14

1,143,455

0.66

1,000,000 Dignity Health 3.125% 01-Nov-2022 2,270,000 Fulton County Development Authority 5.000% 01-Apr-2047 3,000,000 Health & Educational Facilities Authority of the State of Missouri 4.000% 15-May-2042 3,000,000 Illinois Finance Authority 4.000% 01-Dec-2036 1,965,000 Illinois Finance Authority 4.125% 15-Aug-2037 2,000,000 Illinois Finance Authority 4.125% 15-Nov-2037

Healthcare cont’d. 1,000,000 Lexington County Health Services District Inc 4.000% 01-Nov-2031 1,000,000 Louisiana Public Facilities Authority 5.000% 15-May-2046 1,000,000 Miami-Dade County Health Facilities Authority 4.000% 01-Aug-2042 2,000,000 Monroe County Hospital Authority/PA 5.000% 01-Jul-2041 2,000,000 New Hampshire Health and Education Facilities Authority Act 5.000% 01-Jul-2044 5,000,000 Pennsylvania Economic Development Financing Authority 4.000% 15-Nov-2047 1,125,000 SSM Health Care Corp 3.823% 01-Jun-2027 1,750,000 St Joseph’s Hospital & Medical Center/NJ 3.926% 01-Jul-2022 3,000,000 Wisconsin Health & Educational Facilities Authority 4.000% 15-Aug-2036

Housing - 2,035,500

28,817,312

1,370,000 California Educational Facilities Authority 3.414% 01-Apr-2031 1,372,715 1,635,000 California Educational Facilities Authority 3.431% 01-Apr-2030 1,634,297 2,500,000 Delaware County Authority 5.000% 01-Jul-2042 2,768,750 2,500,000 Florida Higher Educational Facilities Financial Authority 5.000% 01-Mar-2037 2,797,875 1,000,000 Illinois Finance Authority 5.450% 01-Aug-2038 1,078,730 2,075,000 Louisiana Public Facilities Authority 5.000% 01-Jul-2042 2,391,593 1,500,000 Miami-Dade County Educational Facilities Authority 5.000% 01-Apr-2045 1,710,743 2,500,000 Montgomery County Economic Development Authority 3.945% 01-Jun-2039 2,613,150 5,500,000 New Jersey Educational Facilities Authority 3.736% 01-Sep-2030 5,538,145 1,000,000 Texas A&M University 3.477% 15-May-2031 1,005,770 3,605,000 Texas A&M University 4.113% 15-May-2045 3,767,369 1,100,000 University of California 3.063% 01-Jul-2025 1,113,415 1,000,000 University of Oklahoma/The 3.466% 01-Jul-2028 1,024,760

Healthcare - 33,095,987

12.41

16.66 0.79 0.95 1.60 1.62 0.62 1.38 0.99 1.51 3.20 0.58 2.18 0.65 0.59

33,095,987

19.14

1,005,752

0.58

2,608,763

1.51

3,123,690 3,101,669 2,037,096 2,097,880

1.81 1.79 1.18 1.21

2,000,000 California Housing Finance Agency 3.656% 01-Feb-2029

Leasing - 1,263,937 1,225,000 Oklahoma Capitol Improvement Authority 4.250% 01-Jul-2040

Local Government - 8,984,049 4,620,000 City of Chicago IL 7.045% 01-Jan-2029 6,500,000 Clackamas County School District No 12 North Clackamas 0.000% 15-Jun-2039 1,000,000 County of Cook IL 5.000% 15-Nov-2033

Power - 6,998,843 1,100,000 American Municipal Power Inc 7.334% 15-Feb-2028 1,000,000 Grand River Dam Authority 4.545% 01-Jun-2039 1,000,000 Municipal Electric Authority of Georgia 4.430% 01-Jan-2022 1,000,000 South Carolina Public Service Authority 5.125% 01-Dec-2043 1,000,000 South Carolina Public Service Authority 5.784% 01-Dec-2041 1,000,000 Southern California Public Power Authority 4.208% 01-Jul-2028

Retirement - 10,026,252 950,000 Berks County Industrial Development Authority 3.200% 15-May-2021 725,000 Berks County Industrial Development Authority 3.950% 15-May-2024 1,000,000 Montgomery County Industrial Development Authority/PA 5.000% 15-Nov-2036 1,000,000 North Carolina Medical Care Commission 5.000% 01-Oct-2042 1,000,000 North Carolina Medical Care Commission 5.000% 01-Oct-2047 1,000,000 Sarasota County Health Facilities Authority 5.000% 01-Jan-2037

1,077,470

0.62

1,138,355

0.66

1,047,865

0.61

2,288,780

1.32

2,285,720

1.32

5,189,975 1,167,996

3.00 0.68

1,752,545

1.01

3,172,431

1.84

2,035,500

1.18

2,035,500

1.18

1,263,937

0.73

1,263,937

0.73

8,984,049

5.20

5,111,614

2.96

2,789,605 1,082,830

1.61 0.63

6,998,843

4.05

1,408,638 1,063,700

0.81 0.62

1,050,890

0.61

1,121,775

0.65

1,273,355

0.74

1,080,485

0.62

10,026,252

5.80

953,653

0.55

729,005

0.42

1,126,450

0.65

1,111,985

0.64

1,109,195

0.64

1,103,695

0.64

212

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BNY MELLON U.S. MUNICIPAL INFRASTRUCTURE DEBT FUND

Portfolio of investments – as at 31December2017 Fair Total value net assets USD %

Holdings Description

Bonds cont’d. Retirement cont’d. 1,000,000 Sarasota County Health Facilities Authority 5.000% 01-Jan-2042 2,500,000 St Louis County Industrial Development Authority 5.000% 01-Sep-2048

Total ﬁnancial assets at fair value through proﬁt or loss

(3,055)

(0.00)

9,088,659

5.25

172,933,146

100.00

2,792,589

1.62

Net current assets

663,431

0.38

663,431

0.38

38,812,821

22.44

Total net assets

Analysis of portfolio 1,548,900

0.90

2,202,950

1.27

988,445

0.57

1,089,920

0.63

1,424,689 1,334,126

0.82 0.77

1,937,177

1.12

1,547,405

0.89

2,749,650

1.59

1,498,900

0.87

1,462,545

0.85

1,452,057 2,570,754

0.84 1.49

6,333,838

3.66

4,305,540

2.49

3,000,000

1.73

3,365,925

1.95

11,181,059

6.47

Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market OTC ﬁnancial derivative instruments Other current assets

Total assets

1,000,000 City of Chicago IL Wastewater Transmission Revenue 5.000% 01-Jan-2039 1,104,360 3,200,000 Santa Clara Valley Water District 4.354% 01-Jun-2046 3,439,024 1,250,000 State of California Department of Water Resources 3.127% 01-Dec-2029 1,246,250 5,000,000 Texas Water Development Board 4.000% 15-Oct-2045 5,391,425

Unrealised gain on forward foreign currency contracts - 499,752 (seebelow)

(0.00)

Total ﬁnancial liabilities at fair value through proﬁt or loss

1,500,000 Colorado Bridge Enterprise 4.000% 30-Jun-2051 2,000,000 Colorado High Performance Transportation Enterprise 5.000% 31-Dec-2047 1,000,000 County of Miami-Dade FL Aviation Revenue 3.354% 01-Oct-2029 1,000,000 Dallas/Fort Worth International Airport 5.000% 01-Nov-2042 1,350,000 Greater Orlando Aviation Authority 4.000% 01-Oct-2047 1,180,000 Mid-Bay Bridge Authority 5.000% 01-Oct-2035 1,685,000 New Jersey Transportation Trust Fund Authority 5.754% 15-Dec-2028 1,000,000 New Jersey Turnpike Authority 7.414% 01-Jan-2040 2,500,000 New York Transportation Development Corp 5.000% 01-Jul-2046 1,325,000 North Texas Tollway Authority 5.000% 01-Jan-2038 1,400,000 Pennsylvania Turnpike Commission 4.000% 01-Jun-2039 1,295,000 Port Authority of New York & New Jersey 5.310% 01-Aug-2046 2,290,000 State of Ohio 5.000% 31-Dec-2039 5,600,000 Susquehanna Area Regional Airport Authority 5.000% 01-Jan-2038 4,000,000 Tampa-Hillsborough County Expressway Authority 4.000% 01-Jul-2042 3,000,000 Triborough Bridge & Tunnel Authority 1.610% 01-Jan-2032 3,000,000 Virginia Small Business Financing Authority 5.000% 31-Dec-2052

Total investments in bonds

(3,055)

0.64

State Government - 663,431

Water - 11,181,059

Unrealised loss on forward foreign currency contracts - (3,055) (seebelow) 1,099,680

665,000 State of California 2.367% 01-Apr-2022

Transportation - 38,812,821

Holdings Description Description

Fair Total value net assets USD %

% of Total Assets 94.40 0.29 5.31

100.00

0.64 1.99 0.72 3.12

163,347,790

94.46

499,752

0.29

163,847,542

94.75

213

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BNY MELLON U.S. MUNICIPAL INFRASTRUCTURE DEBT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d.

Forward foreign currency contracts Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

Swiss franc

US dollar US dollar

199,200 3,115,506

201,813 12-Jan-18 The Bank of NewYork Mellon 3,153,420 12-Jan-18 The Bank of NewYork Mellon

US dollar

521,300

Euro

US dollar

310,830

Euro

US dollar

853,784

Euro

US dollar

8,152,102

Euro

US dollar

730,520

Euro

US dollar

Euro

5,171,971

122,802

Amount (S)

US dollar

130,919

154,802 12-Jan-18 The Bank of NewYork Mellon

US dollar

Euro

104,833 1

Unrealised Gain/(Loss)

2,381

USD

2,381

USD

48,902

EUR

1,984

CHF

47,653 BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR I (Acc) (Hedged) Share Class Euro

615,812 12-Jan-18 The Bank of NewYork Mellon 368,599 12-Jan-18 The Bank of NewYork Mellon 1,007,681 12-Jan-18 The Bank of NewYork Mellon 9,639,262 12-Jan-18 The Bank of NewYork Mellon 861,609 12-Jan-18 The Bank of NewYork Mellon

104,184

4,587

148,245 15,462

EUR

163,139

Euro

US dollar

104,171

US dollar

155,055

USD

94,051

Euro

US dollar

1,720,146

EUR

78,386

EUR

1,579

123,175 12-Jan-18 The Bank of NewYork Mellon

1,894

USD

1,894

EUR

1,579

184,621 12-Jan-18 The Bank of NewYork Mellon 2,033,946 12-Jan-18 The Bank of NewYork Mellon

(1,528)

USD

(1,528)

EUR

(1,273)

Net USD

92,523

Net EUR

77,113

EUR

1,895

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR W (Acc) (Hedged) Share Class Euro

USD

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR I (Inc) (Hedged) Share Class

94,051

123,958 12-Jan-18 The Bank of NewYork Mellon 1 12-Jan-18 The Bank of NewYork Mellon

1,895

17,382

195,742

103,555 12-Jan-18 The Bank of NewYork Mellon

123,190 12-Jan-18 The Bank of NewYork Mellon

10,066

USD

6,115,475 12-Jan-18 The Bank of NewYork Mellon

US dollar

Euro

122,724

1,906

31,281

32,821

EUR

27,354

(1,527)

USD

(1,527)

EUR

(1,273)

Net USD

31,294

Net EUR

26,082

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR W (Inc) (Hedged) Share Class

–

Euro

US dollar

11,000,000

1,906

Euro

US dollar

104,238

1,589

1,540

USD

103,490 12-Jan-18 The Bank of NewYork Mellon

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR H (Acc) (Hedged) Share Class Euro

Settle Date Counterparty

46,141

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR E (Inc) (Hedged) Share Class Euro

Amount (B)

2,761

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR E (Acc) (Hedged) Share Class Euro

Sell

BNY Mellon U.S. Municipal Infrastructure Debt Fund EUR H (Inc) (Hedged) Share Class

BNY Mellon U.S. Municipal Infrastructure Debt Fund CHF E (Acc) (Hedged) Share Class Swiss franc

Buy

13,096,602 12-Jan-18 The Bank of NewYork Mellon 123,253 12-Jan-18 The Bank of NewYork Mellon

110,123 1,895

USD

112,018

EUR

93,360

214

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BNY MELLON U.S. MUNICIPAL INFRASTRUCTURE DEBT FUND

Portfolio of investments – as at 31December2017 Forward foreign currency contracts cont’d. Buy

Sell

Amount (B)

Amount (S)

Settle Date Counterparty

Unrealised Gain/(Loss)

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling E (Acc) (Hedged) Share Class Sterling

US dollar

104,941

140,379 12-Jan-18 The Bank of NewYork Mellon

1,358

USD

1,358

GBP

1,006

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling E (Inc) (Hedged) Share Class Sterling

US dollar

104,917

140,347 12-Jan-18 The Bank of NewYork Mellon

1,358

USD

1,358

GBP

1,006

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling I (Acc) (Hedged) Share Class Sterling

US dollar

104,807

140,200 12-Jan-18 The Bank of NewYork Mellon

1,356

USD

1,356

GBP

1,004

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling I (Inc) (Hedged) Share Class Sterling

US dollar

104,784

140,168 12-Jan-18 The Bank of NewYork Mellon

1,356

USD

1,356

GBP

1,004

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling W (Acc) (Hedged) Share Class Sterling

US dollar

104,874

140,290 12-Jan-18 The Bank of NewYork Mellon

1,357

USD

1,357

GBP

1,005

BNY Mellon U.S. Municipal Infrastructure Debt Fund Sterling W (Inc) (Hedged) Share Class Sterling

US dollar

104,850

140,258 12-Jan-18 The Bank of NewYork Mellon

1,357

USD

1,357

GBP

1,005

215

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BNY MELLON US OPPORTUNITIES FUND

Portfolio of investments – as at 31December2017

Holdings Description

Fair Total value net assets USD %

Collective investment schemes United States of America - 550,317 (31 December 2016: 31,675) 2,062 SPDR S&P 500 ETF Trust

Total investments in collective investment schemes

Equities cont’d. 550,317

0.60

550,317

0.60

550,317

0.60

Equities Consumer Discretionary - 8,279,165 (31 December 2016: 2,836,392) 32,485 30,090 17,585 21,450

Newell Brands Inc Nexstar Media Group Inc Toyota Motor Corp ADR Visteon Corp

Energy - 6,395,636 (31 December 2016: 2,028,690) 19,281 Andeavor 36,206 Continental Resources Inc/OK 24,702 Valero Energy Corp

Financials - 26,056,851 (31 December 2016: 9,684,713) 86,664 126,915 28,876 68,731 34,778 183,719 66,854 113,860

Ally Financial Inc Bank of America Corp Citigroup Inc E*TRADE Financial Corp JPMorgan Chase & Co MGIC Investment Corp Morgan Stanley Synchrony Financial

Health Care - 11,106,638 (31 December 2016: 2,262,180) 77,634 14,396 22,282 10,574

Abbott Laboratories Alexion Pharmaceuticals Inc Celgene Corp Humana Inc

Industrials - 6,194,492 (31 December 2016: 2,642,872) 85,915 Knight-Swift Transportation Holdings Inc 37,226 Southwest Airlines Co

Information Technology - 26,371,271 (31 December 2016: 7,767,920) 3,287 127,665 50,472 33,273 60,485 28,222 23,088 24,112 61,316 66,414 39,515

Alphabet Inc First Data Corp Fortinet Inc HubSpot Inc Oracle Corp Power Integrations Inc salesforce.com Inc Splunk Inc Square Inc Twilio Inc Xilinx Inc

Holdings Description

Fair Total value net assets USD %

8,279,165

8.98

1,003,949 2,353,791 2,236,636 2,684,789

1.09 2.55 2.43 2.91

6,395,636

6.94

2,206,711 1,918,194 2,270,731

2.40 2.08 2.46

26,056,851

28.28

2,527,556 3,748,434 2,149,096 3,407,339 3,728,202 2,591,356 3,508,164 4,396,704

2.74 4.07 2.33 3.70 4.05 2.81 3.81 4.77

11,106,638

12.05

4,434,842 1,722,121 2,325,684 2,623,991

4.81 1.87 2.52 2.85

6,194,492

6.72

3,757,492 2,437,000

4.08 2.64

26,371,271

28.62

3,439,615 2,132,644 2,205,374 2,942,165 2,860,638 2,075,023 2,361,094 1,997,197 2,125,519 1,567,703 2,664,299

3.73 2.32 2.39 3.19 3.11 2.25 2.56 2.17 2.31 1.70 2.89

Materials - 6,952,960 (31 December 2016: 2,034,199)

6,952,960

7.55

3,276,671 1,134,401 2,541,888

3.56 1.23 2.76

Total investments in equities

91,357,013

99.14

Total ﬁnancial assets at fair value through proﬁt or loss

91,907,330

99.74

235,472

0.26

92,142,802

100.00

45,940 DowDuPont Inc 59,784 Freeport-McMoRan Inc 23,040 LyondellBasell Industries NV

Net current assets Total net assets

Analysis of portfolio Transferable securities and money market instruments admitted to ofﬁcial stock exchange listing or traded on a regulated market Other current assets

Total assets

% of Total assets 99.63 0.37

100.00

216

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BNY MELLON US OPPORTUNITIES FUND

Portfolio of investments – as at 31December2017

217

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STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017

BNY Mellon Absolute Insight Fund*

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asia Rising Stars Fund*

BNY Mellon Asian Bond Fund*

Notes

EUR

GBP

USD

465 983,178 571

16,712 698 688,128

10,068 119,237,918 40,475

239 221,328 15,133

– – 1,422

(1,817,716)

(45,672,069)

44,287,300

953,733

682,000

203,605

(9,392,524)

(47,931,532)

2,313,649

273,352

(629,897)

(54,359,055)

115,644,229

3,504,082

956,774

483,179 4,557 117,984 154,367 325,042 36,256 (79,637)

9,563,189 (965,397) 292,371 1,540,998 – – –

19,263,055 1,482,820 255,926 1,751,396 31,237,537 5,044,799 –

90,957 – 45,454 64,656 – – (65,517)

63,879 – 7,570 19,413 – – (13,869)

Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager Total expenses Net income/(expense) Finance costs Bank interest Distributions Profit/(loss) for the financial year Withholding taxes on dividends and other investment income Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations

3 3 5 7

1,041,748

10,431,161

59,035,533

135,550

76,993

(1,671,645)

(64,790,216)

56,608,696

3,368,532

879,781

36,176 –

808,227 2,061,376

807 1,266,585

– –

115 415,534

(1,707,821)

(67,659,819)

55,341,304

3,368,532

464,132

(33,223)

89,866

(1,371,771)

(24,961)

5,064

(1,741,044)

(67,569,953)

53,969,533

3,343,571

469,196

Other than the Funds closed during the year, gains and losses arise solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. * Please refer to Note 19 of the ﬁnancial statements.

The accompanying notes form an integral part of these ﬁnancial statements.

218

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

BNY Mellon Dynamic U.S. Equity Fund*

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

BNY Mellon Emerging Markets Debt Local Currency Fund

USD

GBP

USD

7,179 1,281,566 13,751

– 935,559 –

7,652 1,858,437 –

1,336 57,330 –

65 56,531 –

591 177,170 162,038

745 – 27,951

2,557 – 53,587

19,237,587

136,726

2,978,896

1,907,178

915,135

23,884,441

6,908,087

44,366,228

7,886,534

1,254,847

11,678,404

(108,683)

1,341,756

4,651,747

2,679,927

113,414,663

28,426,617

2,327,132

16,523,389

1,857,161

2,313,487

28,875,987

9,616,710

157,837,035

1,391,151 – 111,722 101,915 – – –

203,956 – 6,819 12,501 – – (9,810)

1,311,720 – 171,059 92,058 – – –

134,095 – 3,798 26,212 – – (698)

14,198 4 885 6,665 – – (2,385)

1,621,270 – 72,000 233,640 – – –

898,252 – 27,902 63,503 – – –

4,953,567 – 655,213 764,745 – – –

1,604,788

213,466

1,574,837

163,407

19,367

1,926,910

989,657

6,373,525

26,821,829

2,113,666

14,948,552

1,693,754

2,294,120

26,949,077

8,627,053

151,463,510

– 5,848

55 876,171

– 72,907

471 17,204

– –

9,783 3,925,299

158 301,927

2,223 22,260,963

26,815,981

1,237,440

14,875,645

1,676,079

2,294,120

23,013,995

8,324,968

129,200,324

(125,398)

–

(2,337,286)

(17,972)

(16,061)

(15,507)

17,829

(4,111,242)

26,690,583

1,237,440

12,538,359

1,658,107

2,278,059

22,998,488

8,342,797

125,089,082

219

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Emerging Markets Debt Total Return Fund*

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

Notes

USD

EUR

USD

33 – 14,285

– – –

3,763 890 186,436

– – 5,583

203,055 660 116,194

6,623,067

89,238

64,883,703

2,646,907

13,915,354

2,984,768

531,786

(42,760,887)

860,814

27,196,137

9,622,153

621,024

22,313,905

3,513,304

41,431,400

4,018 – 60,280 44,262 – – –

19,418 – 3,676 3,342 – – (1,954)

6,916,060 – 130,859 553,856 – – –

33,034 – 35,419 45,221 – – –

2,940,441 – 82,783 574,071 – – –

Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager Total expenses

3 3 5 7

108,560

24,482

7,600,775

113,674

3,597,295

Net income/(expense)

9,513,593

596,542

14,713,130

3,399,630

37,834,105

Finance costs Bank interest Distributions

686 3,216,210

– –

114,532 2,843,162

20,004 839,327

872 115,637

Profit/(loss) for the financial year

6,296,697

596,542

11,755,436

2,540,299

37,717,596

(110,506)

(43,408)

34,925

5,013

(100,593)

6,186,191

553,134

11,790,361

2,545,312

37,617,003

Withholding taxes on dividends and other investment income Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations * Please refer to Note 19 of the ﬁnancial statements.

220

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Global Credit Fund

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund

USD

43,966 198,380 35,210

5,934 505,057 103,790

11,792 888,623 6,052

86,597 5,824,102 26,261

201,877 30,219,100 141,269

1,736 28,955 89,887

453 682,209 2,804

210 – 17,513

18,409,938

22,187,619

5,515,548

863,500

28,318,906

14,262,774

381,880

4,505,841

32,382,145

16,043,686

15,743,014

48,516,886

105,034,290

1,331,114

7,946,302

3,135,531

51,069,639

38,846,086

22,165,029

55,317,346

163,915,442

15,714,466

9,013,648

7,659,095

282,136 – 110,323 311,413 – – (17,584)

3,306,692 – 117,533 537,681 – – –

489,028 – 91,143 86,215 – – (37,143)

2,566,968 – 74,207 323,728 – – –

9,925,706 – 184,178 941,753 – – –

678,724 – 50,492 116,264 – – –

369,051 – 11,253 49,587 – – (5,867)

388,409 – 82,911 96,735 – – (17,112)

686,288

3,961,906

629,243

2,964,903

11,051,637

845,480

424,024

550,943

50,383,351

34,884,180

21,535,786

52,352,443

152,863,805

14,868,986

8,589,624

7,108,152

4,472 7,706,911

93 1,313,176

– 296,026

– 384,038

663,764 9,298,541

7,008 4,415,852

– –

1,503 697,657

42,671,968

33,570,911

21,239,760

51,968,405

142,901,500

10,446,126

8,589,624

6,408,992

(57,234)

(110,432)

(83,515)

(962,655)

(4,924,604)

(61,242)

(145,674)

(17,453)

42,614,734

33,460,479

21,156,245

51,005,750

137,976,896

10,384,884

8,443,950

6,391,539

221

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Global Opportunities Fund

BNY Mellon Global Property Securities Fund*

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

Notes

USD

EUR

GBP

USD

24,874 1,825,737 9,843

18 284,523 1,532

7 69,024,351 1,272,769

– 1,184,064 2,142

351,788 10,451,472 160,882

6,477,853

1,091,642

(134,456,842)

2,578,410

(32,759,609)

8,130,213

(1,213,670)

166,023,317

(1,438,352)

51,162,171

16,468,520

164,045

101,863,602

2,326,264

29,366,704

1,471,624 – 61,160 112,568 – – –

95,506 – 52,033 16,984 – – (21,797)

41,515,627 – 633,113 3,053,401 – – –

348,269 – 87,290 62,114 – – –

3,984,657 – 203,582 574,744 – – –

3 3 5 7

1,645,352

142,726

45,202,141

497,673

4,762,983

14,823,168

21,319

56,661,461

1,828,591

24,603,721

– –

238 3,766

291,649 28,981,190

430 1,173,874

1,094 4,237,652

14,823,168

17,315

27,388,622

654,287

20,364,975

(293,910)

(46,107)

(9,048,897)

(148,840)

(1,384,535)

14,529,258

(28,792)

18,339,725

505,447

18,980,440

* Please refer to Note 19 of the ﬁnancial statements.

222

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Global Short-Dated High Yield Bond Fund

BNY Mellon Global Unconstrained Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund*

BNY Mellon S&P 500® Index Tracker

USD

JPY

EUR

USD

7,108 316,993 234,134

5,011 9,988 –

– 71,677,197 2,842,328

156 67,306,918 525,022

13,917 56,406,300 15,538,073

7,837 26,609,131 281,686

381 4,687 45

231 1,768,736 13,020

42,164,169

(286,579)

112,785,963

(44,889,676)

552,882,923

87,925,346

97,297

8,876,324

11,352,674

729,408

742,241,798

(137,104,931)

1,285,192,788

10,460,265

(39,388)

6,447,995

54,075,078

457,828

929,547,286

(114,162,511)

1,910,034,001

125,284,265

63,022

17,106,306

985,557 – 118,311 421,240 – – (85,110)

2 – 329 1,462 – – –

28,743,459 – 639,717 3,519,290 – – 1,432,994

13,771,904 – 691,938 3,192,521 – – –

47,461,253 – 2,303,977 4,641,238 – – 309,687

8,428,751 312,803 212,125 809,911 – – –

6,463 – 5,426 29,445 – – (11,264)

494,415 – 25,398 103,235 – – –

1,439,998

1,793

34,335,460

17,656,363

54,716,155

9,763,590

30,070

623,048

52,635,080

456,035

895,211,826

(131,818,874)

1,855,317,846

115,520,675

32,952

16,483,258

7,946 26,783,598

– –

327,401 2,274,340

27,537 34,221,059

259,443 819,604

67,566 8,139,640

– –

25,843,536

456,035

892,610,085

(166,067,470)

1,854,238,799

107,313,469

32,952

16,483,258

(30,511)

(2,554)

(10,751,585)

(10,122,796)

(8,460,946)

(4,492,012)

21,060

(493,143)

25,813,025

453,481

881,858,500

(176,190,266)

1,845,777,853

102,821,457

54,012

15,990,115

223

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon U.S. Equity Income Fund*

BNY Mellon U.S. High Yield Beta Fund*

Notes

EUR

USD

75 2,568,204 95,960

802 – 3,630

62 2,155,010 9,071

12,286 3,965,641 7,577

48 – –

6,634,157

5,975,060

12,733,900

2,306,233

366,366

6,536,230

4,927,556

459,593

15,876,761

(205,981)

15,834,626

10,907,048

15,357,636

22,168,498

160,433

1,136,312 – 66,283 67,180 – – –

549,548 – 68,236 106,310 – – –

1,138,963 – 65,154 118,425 – – –

719,965 – 48,942 130,484 – – (31,284)

12,946 – 2,728 9,517 – – (6,121)

3 3 5 7

1,269,775

724,094

1,322,542

868,107

19,070

14,564,851

10,182,954

14,035,094

21,300,391

141,363

11,849 97

1,691 2,380,089

– –

– 2,101,110

43 –

14,552,905

7,801,174

14,035,094

19,199,281

141,320

(367,824)

(22,438)

(623,781)

(1,115,508)

(3,133)

14,185,081

7,778,736

13,411,313

18,083,773

138,187

* Please refer to Note 19 of the ﬁnancial statements. ^ The Company Total as at 31 December 2017 has been adjusted to account for cross investments by BNY Mellon Euroland Bond Fund and BNY Mellon European Credit Fund.

224

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

BNY Mellon US Opportunities Fund

Total 31 December 2017^

USD

3,676 – –

2,048 507,762 16,059

1,030,022 333,125,905 4,360,098

1,844,001

2,183,093

311,434,208

2,397,510

8,819,216

619,279,645

4,245,187

11,528,178

1,269,229,878

180,160 – 9,747 51,711 – – (7,767)

499,687 – 12,937 64,371 – – (16,567)

144,661,440 1,178,440 4,806,431 15,674,092 40,582,174 6,535,633 (433,118)

233,851

560,428

213,005,092

4,011,336

10,967,750

1,056,224,786

– 193,016

– –

2,231,273 143,070,168

3,818,320

10,967,750

910,923,345

–

(141,021)

(35,172,156)

3,818,320

10,826,729

875,751,189

225

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016

BNY Mellon Absolute Insight Fund

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asian Bond Fund

Notes

EUR

GBP

USD

73,992 949,880 –

1,821 – 223,759

41,023 47,354,034 38,044

705 – –

(95,322,205)

67,717,743

250,756,541

2,021,790

90,091,099

(51,955,120)

35,037,278

277,122

(4,207,234)

15,988,203

333,226,920

2,299,617

1,134,824 (3,069) 222,131 127,699 947,933 73,768 –

9,733,111 2,753,597 401,095 1,717,635 – – –

24,609,660 173,369 323,852 2,013,071 36,897,274 4,988,593 –

287,691 – 23,122 57,194 – – (72,512)

Total expenses

2,503,286

14,605,438

69,005,819

295,495

Net income/(expense)

(6,710,520)

1,382,765

264,221,101

2,004,122

– 369,218

871,233 610,390

4,797 277,965

– 1,183,736

Income Bank interest income Dividend income Securities lending income Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities held at fair value through profit or loss Net change in unrealised gains/(losses) on financial assets/liabilities held at fair value through profit or loss Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager

Finance costs Bank interest Distributions Profit/(loss) for the financial year Withholding taxes on dividends and other investment income Increase/(decrease) in nets assets attributable to redeemable participating shareholders from operations

3 3 5 7

(7,079,738)

(98,858)

263,938,339

820,386

(58,094)

59,778

(1,687,248)

(2,078)

(7,137,832)

(39,080)

262,251,091

818,308

Other than the Funds closed during the financial year, gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. ** This Fund closed during the ﬁnancial year.

The accompanying notes form an integral part of these financial statements.

226

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Crossover Credit Fund**

BNY Mellon Dynamic Total Return Fund

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

USD

GBP

USD

EUR

USD

2,677 1,521,975 446

277 1,211,389 –

5,849 2,528,315 –

– – 50,727

– 32,786 –

5 41,075 125,455

1,729 – 36,729

41,280

2,243,120

(10,884,409)

9,528,271

134,498

7,910,119

1,733,147

1,703,062

3,805,225

41,510,523

2,936,690

(4,718)

6,106,151

4,669,080

3,269,440

7,260,011

33,160,278

12,515,688

162,566

14,182,805

6,440,685

1,409,291 – 88,726 113,082 – – –

231,307 – 5,174 25,264 – – (819)

1,163,476 – 114,583 77,523 – – –

347,577 – 80,385 113,637 – – (5,730)

30,755 – 6,839 19,152 – – (4,861)

526,736 – 58,112 121,903 – – –

888,871 – 36,467 82,759 – – –

1,611,099

260,926

1,355,582

535,869

51,885

706,751

1,008,097

1,658,341

6,999,085

31,804,696

11,979,819

110,681

13,476,054

5,432,588

– 94,188

32 941,381

3,124 52,716

40,061 2,429,175

178 2,360

3,841 62,562

205 342,940

1,564,153

6,057,672

31,748,856

9,510,583

108,143

13,409,651

5,089,443

(146,612)

(18,768)

(2,117,801)

18,363

(9,891)

(45,648)

(14,898)

1,417,541

6,038,904

29,631,055

9,528,946

98,252

13,364,003

5,074,545

227

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

Notes

USD

EUR

5,413 – 51,165

12,672 – 26,098

– – 165,497

38 – 6,119

(325,235,503)

4,749,186

68,368,672

5,088,798

421,565,630

4,178,522

10,335,687

(438,030)

96,386,705

8,966,478

78,869,856

4,656,925

5,542,554 – 1,028,235 967,653 – – (6)

2,668 – 83,489 80,929 – – –

13,431,695 – 519,609 1,782,846 128,437 – –

101,574 – 36,801 49,253 – – (4,092)

Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager Total expenses

3 3 5 7

7,538,436

167,086

15,862,587

183,536

Net income/(expense)

88,848,269

8,799,392

63,007,269

4,473,389

Finance costs Bank interest Distributions

14,223 25,941,979

24 3,802,443

207,462 2,676,161

16,896 218,126

Profit/(loss) for the financial year

62,892,067

4,996,925

60,123,646

4,238,367

Withholding taxes on dividends and other investment income

(1,914,329)

(97,496)

72,697

(10,495)

Increase/(decrease) in nets assets attributable to redeemable participating shareholders from operations

60,977,738

4,899,429

60,196,343

4,227,872

* This Fund launched during the ﬁnancial year. ** This Fund closed during the ﬁnancial year.

228

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund*

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Equity Value Fund**

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

USD

111,232 – 91,260

7,419 62,578 –

61,135 46,508 45,527

– (4,727) 1,007

3,560 962,770 1,949

56,996 5,724,920 24,385

101,204 22,299,095 59,807

10,219,081

22,060,487

6,121,521

(441,890)

1,988,099

12,938,345

16,214,706

(12,847,004)

(12,957,826)

446,178

192,558

498,030

(14,464,313)

(4,293,405)

(2,425,431)

9,172,658

6,720,869

(253,052)

3,454,408

4,280,333

34,381,407

2,646,670 – 179,070 458,732 – – –

73,998 – 101,540 215,295 – – (265,903)

2,106,072 – 133,303 335,259 – – –

9,866 – 386 21,996 – – (26,829)

592,485 – 46,771 87,895 – – (19,500)

2,653,714 – 96,909 284,368 – – –

7,437,761 – 158,338 615,460 – – –

3,284,472

124,930

2,574,634

5,419

707,651

3,034,991

8,211,559

(5,709,903)

9,047,728

4,146,235

(258,471)

2,746,757

1,245,342

26,169,848

1,476 64,913

– –

4,383 82,451

468 –

905 260

167 –

880 11,050,787

(5,776,292)

9,047,728

4,059,401

(258,939)

2,745,592

1,245,175

15,118,181

(106,831)

(31,951)

(37,666)

(4,332)

(250,100)

(1,005,270)

(3,816,288)

(5,883,123)

9,015,777

4,021,735

(263,271)

2,495,492

239,905

11,301,893

229

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund*

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

Notes

USD

33 53,296 80,833

– 2,886 –

805 – 51,609

26,495 3,215,069 14,483

2,255,204

21,511

(13,137,551)

5,507,956

14,876,383

336,278

12,413,495

(6,587,507)

17,265,749

360,675

(671,642)

2,176,496

645,382 – 64,717 130,101 – – –

17,823 – 838 2,567 – – (691)

484,871 – 104,723 167,035 3,484 – (19,745)

1,240,406 – 146,852 133,482 – – (2)

Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager Total expenses Net income/(expense) Finance costs Bank interest Distributions Profit/(loss) for the financial year Withholding taxes on dividends and other investment income Increase/(decrease) in nets assets attributable to redeemable participating shareholders from operations

3 3 5 7

840,200

20,537

740,368

1,520,738

16,425,549

340,138

(1,412,010)

655,758

4,693 6,113,101

– –

1,069 2,097,213

269 992,461

10,307,755

340,138

(3,510,292)

(336,972)

(39,111)

(866)

1,675

(506,687)

10,268,644

339,272

(3,508,617)

(843,659)

* This Fund launched during the ﬁnancial year.

230

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Global Property Securities Fund

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund*

EUR

GBP

USD

JPY

90 552,720 1,821

– 59,019,024 1,141,432

– 1,094,086 1,144

147,379 9,915,554 170,423

3 – –

– 59,972,323 2,906,189

– 10,018,856 –

944,734

50,390,092

(6,098,337)

2,045,010

2,855,795

(438,404,228)

(153,556)

(4,017)

(106,188,980)

7,694,765

(1,869,553)

2,921,517

(28,803,071)

81,064,475

1,495,348

4,361,568

2,691,658

10,408,813

5,777,315

(404,328,787)

90,929,775

154,562 – 64,725 18,220 – – (29,209)

34,403,621 – 495,518 2,990,801 – – –

255,960 – 62,301 55,714 – – –

3,292,013 – 192,880 538,086 – – –

236 – 8,548 23,061 – – (9,472)

16,456,454 – 3,619,487 4,261,345 – – (6,188,858)

729,912 – 53,899 133,787 – – –

208,298

37,889,940

373,975

4,022,979

22,373

18,148,428

917,598

1,287,050

(33,528,372)

2,317,683

6,385,834

5,754,942

(422,477,215)

90,012,177

2,559 9,908

39,565 15,360,595

68 909,063

740 1,856,660

348 –

10,108 1,723,746

– –

1,274,583

(48,928,532)

1,408,552

4,528,434

5,754,594

(424,211,069)

90,012,177

(129,268)

(7,577,782)

(141,171)

(1,311,186)

(40,370)

(8,875,015)

(2,860,179)

1,145,315

(56,506,314)

1,267,381

3,217,248

5,714,224

(433,086,084)

87,151,998

231

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund

BNY Mellon S&P 500® Index Tracker

Notes

JPY

EUR

USD

– 47,499,557 8,862,058

– 25,927,707 346,807

– 1,188,056 4,217

129 1,914,545 10,802

(420,141,970)

96,404,966

(4,494,245)

3,926,790

96,764,634

(12,569,337)

(1,302,517)

4,531,445

(267,015,721)

110,110,143

(4,604,489)

10,383,711

30,199,597 – 3,233,458 4,715,130 – – (5,931,935)

8,853,318 – 251,852 954,451 – – –

346,331 – 21,200 30,530 – – (1,584)

526,383 – 108,284 90,721 – – –

Total income Expenses Management fee Performance fee Depositary fee Operating expenses Dividend expense Finance charges on swaps Rebate due (from)/to the manager Total expenses Net income/(expense) Finance costs Bank interest Distributions Profit/(loss) for the financial year Withholding taxes on dividends and other investment income Increase/(decrease) in nets assets attributable to redeemable participating shareholders from operations

3 3 5 7

32,216,250

10,059,621

396,477

725,388

(299,231,971)

100,050,522

(5,000,966)

9,658,323

13,203 21,966

130,781 8,155,981

884 –

– –

(299,267,140)

91,763,760

(5,001,850)

9,658,323

(7,063,904)

(5,242,322)

(107,669)

(557,733)

(306,331,044)

86,521,438

(5,109,519)

9,100,590

^ The Company Total as at 31 December 2016 has been adjusted to account for cross investment by BNY Mellon Euroland Bond Fund and BNY Mellon European Credit Fund.

232

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon US Opportunities Fund

Total 30 December 2016^

EUR

USD

4,726 1,174,480 47,728

– – 14,946

– 1,362,011 4,032

1,233 641,666 7,330

691,683 216,708,158 3,178,978

(671,110)

(16,018,823)

2,492,366

(334,231)

283,450,415

(1,009,172)

1,572,999

10,499,321

1,903,635

461,700,313

(453,348)

(14,430,878)

14,357,730

2,219,633

965,729,547

582,222 – 36,203 41,688 – – –

552,902 – 52,854 97,176 – – –

642,194 – 55,813 62,726 – – –

543,725 – 28,757 63,545 – – (8,511)

144,077,063 3,277,169 5,868,051 16,418,064 51,012,175 6,817,095 (585,522)

660,113

702,932

760,733

627,516

226,884,095

(1,113,461)

(15,133,810)

13,596,997

1,592,117

738,845,452

5,637 239,715

– 3,209,153

150 –

4 –

1,498,931 93,107,316

(1,358,813)

(18,342,963)

13,596,847

1,592,113

644,239,205

(139,429)

4,115

(395,231)

(189,143)

(29,811,739)

(1,498,242)

(18,338,848)

13,201,616

1,402,970

614,427,466

233

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STATEMENT OF FINANCIAL POSITION

As at 31 December 2017

Assets (due within one year) Financial assets at fair value through profit or loss Cash at bank Income receivable Receivable for investments sold Rebate receivable from management company Margins on derivatives contracts Cash collateral received from broker Subscriptions receivable Other receivables

Liabilities (due within one year) Financial liabilities at fair value through profit or loss Bank overdraft Payable for investments purchased Redemptions payable Expenses payable Performance fees payable Margins on derivatives contracts Cash collateral payable to broker Income payable on swaps Finance charges payable on swaps Tax payable Other payables

Net assets attributable to redeemable participating shareholders

BNY Mellon Absolute Insight Fund*

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asia Rising Stars Fund*

BNY Mellon Asian Bond Fund*

Notes

EUR

GBP

USD

16 9

– 244,910 1,565 – 27,156 – – – 2,385

1,402,886,377 74,581,283 4,897,368 2,000,000 – 94,816,523 12,417,409 1,469,530 2,111

1,829,592,564 1,307,604 2,624,163 309,599 – 15,314,623 26,865,000 8,961,152 –

13,162,918 744,433 14,852 – 17,182 – – 40,337 –

– 16,813 – – – – – – –

276,016

1,593,070,601

1,884,974,705

13,979,722

16,813

– 5,746 – 46,308 221,847 – – – – – – 2,115

42,612,155 – 7,014,796 20,241,729 966,098 8,756 27,275,624 12,417,409 – – – –

41,763,389 4,777,859 3,879 3,821,949 2,036,310 1,377,649 22 26,865,000 598,606 242,843 – –

669 – 55,607 102,837 63,881 – – – – – – –

– 1,314 – – 15,499 – – – – – – –

276,016

110,536,567

81,487,506

222,994

16,813

–

1,482,534,034

1,803,487,199

13,756,728

–

6 9

16 9

3 9

* Please refer to Note 19 of the ﬁnancial statements.

The accompanying notes form an integral part of these ﬁnancial statements. Signed on behalf of the Board of Directors by Director – David Dillon Director – Greg Brisk Date: 18 April 2018

234

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

BNY Mellon Dynamic U.S. Equity Fund*

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

BNY Mellon Emerging Markets Debt Local Currency Fund

USD

GBP

USD

68,926,623 1,886,504 41,685 254,100 – – – 1,010,332 –

21,731,165 90,390 – – 1,045 – – – 1

65,334,068 1,319,498 539,430 – – – – 345,167 18

23,622,046 4,064,811 – – 698 440,493 – 180,000 –

47,166,632 4,273,339 22,317 – 2,385 – – – –

337,563,231 2,701,674 4,052,241 – – – – 628,978 –

71,785,592 612,633 1,026,374 – – – – 2,913,199 22

943,381,200 16,157,498 18,074,289 – – – 1,933,000 56,260 484

72,119,244

21,822,601

67,538,181

28,308,048

51,464,673

344,946,124

76,337,820

979,602,731

178 2 – 560,767 164,123 – – – – – – –

280 1,647 – – 25,727 – – – – – – –

116 – – 389,847 147,318 – – – – – 2,880,331 –

402,347 189,150 – – 34,402 – 469,531 – – – – –

– – – – 16,681 5 131,095 – – – – –

213,543 – – 335,547 298,388 – – – – – – –

36,523 – – 360,736 102,970 – – – – – – –

14,455,563 – – 159,711 857,393 – – 1,933,000 – – – –

725,070

27,654

3,417,612

1,095,430

147,781

847,478

500,229

17,405,667

71,394,174

21,794,947

64,120,569

27,212,618

51,316,892

344,098,646

75,837,591

962,197,064

235

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Emerging Markets Debt Total Return Fund*

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

Notes

USD

EUR

USD

16 9

68,089,740 796,098 1,176,809 – – – – – 1

59,409,962 1,037,906 921,515 – 1,954 – – – –

864,690,309 10,177,144 9,382,265 147,284 – 5,463,443 1,943,785 1,010,683 882

91,516,440 109,142 773,586 – – 874,584 30,000 – 49

391,637,677 5,867,954 2,702,762 – – 1,320,000 – 95,695 –

70,062,648

61,371,337

892,815,795

93,303,801

401,624,088

637,076 – – 1,800,000 35,292 – – – – – – 179,860

177,487 – 363,840 – 26,436 – – – – – – –

7,370,594 3,023 1,739,070 785,168 811,994 – 2,520,536 1,943,785 – – – –

188,690 – – 1,999 28,755 – 558,170 30,000 – – – –

2,030,891 51,859 – 233,657 391,351 – – – – – – –

2,652,228

567,763

15,174,170

807,614

2,707,758

67,410,420

60,803,574

877,641,625

92,496,187

398,916,330

6 9

16 9

3 9

* Please refer to Note 19 of the ﬁnancial statements.

236

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

BNY Mellon Global Credit Fund

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund

USD

458,385,468 366,131 3,989,075 – 6,688 5,366,591 – – –

674,729,879 27,253,811 6,312,899 – – 2,938,140 300,000 584,058 –

79,751,076 2,119,203 56,939 281,532 15,263 – – 325,410 63

299,058,612 14,100,584 408,946 – – – – 85,555 27,948

981,397,294 29,272,021 2,070,032 – – – – 693,548 104

99,268,014 4,725,950 1,640,693 614,982 – – – 58,065 –

61,266,483 1,709,396 22,769 – 1,775 – – – –

77,074,638 2,267,964 757,581 25,594 7,619 490,215 – – 5,384

468,113,953

712,118,787

82,549,486

313,681,645

1,013,432,999

106,307,704

63,000,423

80,628,995

5,376,540 – – – 147,234 – 967,743 – – – – –

4,533,598 2,162 – 195,287 580,778 – – 300,000 – – – –

137 2 394,934 131,118 104,634 – – – – – – –

60 123,255 – 1,088 344,651 – – – – – – –

4,105,146 60,442 – 5,471,362 1,206,688 – – – – – – –

296,085 – 469,047 436,253 73,823 – – – – – – –

– – – – 69,005 – – – – – – –

1,624,718 – 57,228 – 84,143 – 288,059 – – – – –

6,491,517

5,611,825

630,825

469,054

10,843,638

1,275,208

69,005

2,054,148

461,622,436

706,506,962

81,918,661

313,212,591

1,002,589,361

105,032,496

62,931,418

78,574,847

237

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Global Opportunities Fund

BNY Mellon Global Property Securities Fund*

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

Notes

USD

EUR

GBP

USD

16 9

73,436,266 1,055,753 71,474 326,976 – – – 54,757 3

– 48,151 – – – – – – –

3,654,461,577 205,392,082 13,464,489 1,514,928 – 48,624,898 43,000,000 10,114,425 2,510

63,548,024 3,961,563 240,459 25,786 – 734,314 270,000 – –

531,737,628 25,837,195 2,011,147 207,869 – 10,195,543 280,000 127,037 3

74,945,229

48,151

3,976,574,909

68,780,146

570,396,422

16,373 2,072 – 548,876 161,407 – – – – – – –

– – – – 48,140 – – – – – – 11

31,657,500 – – 27,202,011 4,286,497 – – 43,000,000 – – – –

469,520 – 114,718 – 58,768 – – 270,000 – – – –

9,176,497 – – 1,913,097 521,463 – – 280,000 – – – –

728,728

48,151

106,146,008

913,006

11,891,057

74,216,501

–

3,870,428,901

67,867,140

558,505,365

6 9

16 9

3 9

* Please refer to Note 19 of the ﬁnancial statements.

238

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

BNY Mellon Global Short-Dated High Yield Bond Fund

BNY Mellon Global Unconstrained Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund*

BNY Mellon S&P 500® Index Tracker

USD

JPY

EUR

USD

688,147,675 2,140,621 11,020,697 4,032,204 7,259 1,079,015 170,000 2,531,357 –

19,011,200 1,554,957 28,320 – – – – – –

4,913,533,320 57,607,513 6,023,099 – 342,621 – – – 2,474

1,650,710,350 18,840,441 16,183,548 27,868,029 – – – – 39,872

7,809,320,377 212,388,916 3,987,605 – 1,384,559 – – 45,458,754 –

1,256,704,979 23,385,930 544,964 – – – – 1,104,595 6,880

– 78,743 – – – – – – –

82,253,737 816,900 59,396 – – – – 8,470 48

709,128,828

20,594,477

4,977,509,027

1,713,642,240

8,072,540,211

1,281,747,348

78,743

83,138,551

3,183,581 2,629 – 383,950 373,612 – 218,933 170,000 – – – –

– – – – 1,768 – – – – – – –

1,894,253 – – – 6,058,161 – – – – – – 34

– – 25,752,025 – 2,332,875 – – – – – – –

1,276,013 – – 3,276,898 10,475,244 – – – – – – –

5,751 – – 117,975 968,834 312,803 – – – – – –

– – – 48,335 30,408 – – – – – – –

1,304 – – 441,742 86,442 – 182 – – – – –

4,332,705

1,768

7,952,448

28,084,900

15,028,155

1,405,363

78,743

529,670

704,796,123

20,592,709

4,969,556,579

1,685,557,340

8,057,512,056

1,280,341,985

–

82,608,881

239

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon U.S. Equity Income Fund*

BNY Mellon U.S. High Yield Beta Fund*

Notes

EUR

USD

16 9

103,493,859 2,093,728 – – – 352,060 – 385,798 1,588

88,542,954 1,761,242 804,535 28,438 – 501,271 177,000 – –

102,235,683 180,555 41,954 1,333,670 – – – 11,353 76

237,718,153 4,496,522 265,311 5,272,775 29,996 – – 1,052,522 –

24,450,448 386,138 393,696 – 4,046 45,332 – – –

106,327,033

91,815,440

103,803,291

248,835,279

25,279,660

33,345 – – 33,446 145,764 – – – – – – –

1,849,167 702 – – 101,410 – 278,930 177,000 – – – –

– – 1,469,580 10 129,805 – – – – – – –

– – 6,002,426 40,357 187,074 – – – – – – –

– – 67,124 – 15,427 – 50,685 – – – – –

212,555

2,407,209

1,599,395

6,229,857

133,236

106,114,478

89,408,231

102,203,896

242,605,422

25,146,424

6 9

16 9

3 9

240

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2017 (cont’d.)

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

BNY Mellon US Opportunities Fund

Total 31 December 2017^

USD

163,847,542 7,794,759 1,384,784 – 5,848 – – – –

91,907,330 321,311 4,911 – 12,930 – – – 88

18,450,739,200 556,725,987 98,890,327 17,472,400 162,966 224,180,486 108,357,209 40,204,392 54,303

173,032,933

92,246,570

19,496,787,270

3,055 – – – 96,732 – – – – – – –

– – – – 103,768 – – – – – – –

203,399,386 6,897,165 19,771,794 76,860,662 18,583,328 2,245,862 38,825,853 108,357,209 808,208 327,875 2,880,331 182,411

99,787

103,768

479,140,084

172,933,146

92,142,802

19,017,647,186

241

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016

Net assets attributable to redeemable participating shareholders

BNY Mellon Absolute Insight Fund

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asian Bond Fund

Notes

EUR

GBP

USD

16 9

67,949,523 14,480,000 825,524 56,196 – 2,341,498 10,000 459,858 1,771

1,985,052,587 200,975,758 6,816,057 452 – 46,983,146 – 9,726,432 364

2,296,806,125 71,821,457 3,502,088 – – 35,546,822 16,360,000 5,850,023 791

25,199,031 159,959 307,514 – 12,115 6,732 – – 2,174

86,124,370

2,249,554,796

2,429,887,306

25,687,525

2,442,376 8 1,874,584 237,451 175,441 – 1,228,942 10,000 13,433 1,094 – –

66,814,757 – 2,171,818 5,742,595 1,412,361 2,832,568 10,183,146 – 154,031 – – –

78,724,195 525,497 54,100,000 5,176,206 2,500,024 – 242,451 16,360,000 1,363,138 342,980 – –

17,431 – – – 42,034 – – – – – – –

5,983,329

89,311,276

159,334,491

59,465

80,141,041

2,160,243,520

2,270,552,815

25,628,060

6 9

16 9

3 9

** This Fund closed during the ﬁnancial year.

The accompanying notes form an integral part of these financial statements.

242

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Crossover Credit Fund**

BNY Mellon Dynamic Total Return Fund

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

USD

GBP

USD

EUR

USD

72,330,091 581,173 43,444 6,565 – – – 3 1

17,848,877 43,528 – – 819 – – – –

79,180,038 1,369,201 961,590 3,756,011 – – – 615,902 357

– 30,238 – – 5,730 – – – –

15,350,088 1,902,573 2,689 – 612 122,083 – 40,000 249

170,592,726 2,257,237 2,249,014 – – 197,068 – 363,079 453

59,856,826 911,234 1,035,799 – – – – – 64

72,961,277

17,893,224

85,883,099

35,968

17,418,294

175,659,577

61,803,923

11 10,587 30,785 16,301 169,217 – – – – – – –

10 – – – 29,803 – – – – – – –

6,295 824,516 2,186,940 307,930 150,480 – – – – – 1,924,173 –

– – – – 35,968 – – – – – – –

240,952 200,767 – – 28,549 – 101,087 – – – – –

41,868 – – 56,202 124,834 – – – – – – –

1,019 – – – 127,444 – – – – – – –

226,901

29,813

5,400,334

35,968

571,355

222,904

128,463

72,734,376

17,863,411

80,482,765

–

16,846,939

175,436,673

61,675,460

243

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

Notes

USD

EUR

16 9

824,072,617 11,132,041 20,889,612 3,449,414 – – – 229,673 10,356

65,615,213 624,803 1,357,549 – – – – – 3

1,343,804,830 6,339,394 13,757,597 – – 7,726,463 – 3,665,966 553

83,299,841 3,774,862 842,752 – 1,185 646,481 – 222 1,024

859,783,713

67,597,568

1,375,294,803

88,566,367

20,418,828 – – 7,569,060 1,114,612 – – – – – – –

721,865 – – – 35,748 – – – – – – –

11,572,653 – – 12,506,663 1,624,904 – 13,278,624 – – – – –

533,520 – – – 26,034 – 531,286 – 611 – – –

29,102,500

757,613

38,982,844

1,091,451

830,681,213

66,839,955

1,336,311,959

87,474,916

6 9

16 9

3 9

* This Fund launched during the ﬁnancial year. ** This Fund closed during the ﬁnancial year.

244

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund*

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Equity Value Fund**

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

USD

475,475,606 17,656,529 3,006,721 – – – – 903,694 –

409,715,947 6,289,543 3,251,603 9,449 22,496 1,993,434 – – 2,827

352,308,503 14,300,082 3,758,911 1,084,271 – 100,700 – 335,344 1

– 6,121 – – – – – – –

29,750,579 447,582 18,322 – 6,899 – – 50,000 26

246,699,128 10,633,269 356,033 1,270,806 – – – 77,450 23,299

671,975,777 17,478,740 1,434,522 – – – – 3,177,503 952

497,042,550

421,285,299

371,887,812

6,121

30,273,408

259,059,985

694,067,494

3,856,815 342,971 – 1,076,815 481,470 – – – – – – –

8,669,091 – 11,672,052 – 116,276 – 339,210 – 8,317 – – –

503,022 93,029 – 6,000,285 326,003 – – – – – – –

– – – – 6,121 – – – – – – –

166 5,052 5,323 – 96,002 – – – – – – –

303,083 – 417,746 2,320 319,632 – – – – – – –

13,160 – – 727,921 882,523 – – – – – – –

5,758,071

20,804,946

6,922,339

6,121

106,543

1,042,781

1,623,604

491,284,479

400,480,353

364,965,473

–

30,166,865

258,017,204

692,443,890

245

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund*

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

Notes

USD

16 9

147,029,745 5,712,168 2,573,057 1,378,951 – – – 73,912 226

27,564,304 801,300 2,020 – 691 – – – –

129,460,857 3,650,066 1,131,639 – 10,392 486,287 – – 10,442

105,184,720 1,913,427 109,595 32,997 – – – 65,756 899

156,768,059

28,368,315

134,749,683

107,307,394

338,282 – 496,830 – 140,752 – – – – – – –

1,773 – – – 21,228 – – – – – – –

2,393,426 – 1,305,881 – 94,267 – 414,012 – 3,274 – – –

384,937 – – 66,800 205,266 – – – – – – –

975,864

23,001

4,210,860

657,003

155,792,195

28,345,314

130,538,823

106,650,391

6 9

16 9

3 9

* This Fund launched during the ﬁnancial year.

246

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

BNY Mellon Global Property Securities Fund

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund*

EUR

GBP

USD

JPY

21,164,594 156,199 76,978 5,759 10,615 – – – 2,597

3,932,800,646 249,646,374 15,876,969 2,666,297 – 75,076,888 – 14,128,557 9,554

62,240,161 3,567,310 244,874 42,454 – 1,218,055 – – 1,850

623,927,693 12,536,271 2,478,316 415,129 – 11,663,545 – 336,000 244

443,845,081 553,284 7,198,792 – 9,472 – – 67,500,000 –

2,272,862,222 6,127,295 3,154,520 – 3,023,076 – – – –

2,133,619,950 8,887,897 13,676,268 17,776,117 – – – – –

21,416,742

4,290,205,285

67,314,704

651,357,198

519,106,629

2,285,167,113

2,173,960,232

4,690 7,746 1,640 4,433 33,569 – – – – – – 278

156,842,019 37,464 490,787 12,731,721 4,543,002 – – – – – – –

404,736 538 7,934 168,106 46,140 – – – – – – –

3,523,889 1,577 76,992 2,053,082 551,983 – – – – – – –

1,773,904 – 476,141 67,500,000 31,845 – – – – – – –

72,660 – – – 4,548,266 – – – – – – –

– – 11,304,291 – 917,598 – – – – – – –

52,356

174,644,993

627,454

6,207,523

69,781,890

4,620,926

12,221,889

21,364,386

4,115,560,292

66,687,250

645,149,675

449,324,739

2,280,546,187

2,161,738,343

247

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

Net assets attributable to redeemable participating shareholders

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund

BNY Mellon S&P 500® Index Tracker

Notes

JPY

EUR

USD

16 9

2,672,485,181 49,478,057 3,664,265 – 3,086,804 – – 404,682 7,796

1,262,790,624 21,195,471 703,767 – – – – 386,350 40,541

1,925,877 20,487 4,555 – 1,584 – – – –

85,970,077 659,886 77,980 – – 393 – 57,093 48

2,729,126,785

1,285,116,753

1,952,503

86,765,477

4,029 – – 29,125 4,555,188 – – – – – – –

500 – – 236,871 1,128,234 – – – – – – –

– – – 3,805 14,877 – – – – – – –

3,034 – – 65,129 122,625 – – – – – – –

4,588,342

1,365,605

18,682

190,788

2,724,538,443

1,283,751,148

1,933,821

86,574,689

6 9

16 9

3 9

^ The Company Total as at 31 December 2016 has been adjusted to account for cross investments by BNY Mellon Euroland Bond Fund and BNY Mellon European Credit Fund.

248

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2016 (cont’d.)

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon US Opportunities Fund

Total 31 December 2016^

EUR

USD

34,540,782 752,533 – – – 105,000 – 442,742 5,398

79,548,543 2,468,801 696,856 – – 192,545 – – –

139,451,711 851,696 143,103 688,825 – – – 504,299 3

31,521,683 174,174 18,028 238,608 6,591 – – – 1,817

17,456,447,128 732,143,898 98,848,347 15,407,813 142,675 199,947,477 20,172,600 111,869,734 122,818

35,846,455

82,906,745

141,639,637

31,960,901

18,635,102,490

– – 770,478 7,609 52,357 – 3,549 – – – – –

2,960,544 – 815,533 – 74,446 – 145,443 – 2,390 – – –

– – 1,532,035 – 164,814 – – – – – – –

– – 227,920 – 43,809 – – – – – – –

394,444,999 2,174,384 91,612,391 125,156,544 18,255,407 2,981,704 27,852,231 20,172,600 1,870,837 423,840 1,924,173 293

833,993

3,998,356

1,696,849

271,729

686,869,403

35,012,462

78,908,389

139,942,788

31,689,172

17,948,233,087

249

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STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS For the financial year ended 31 December 2017

BNY Mellon Absolute Insight Fund*

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asia Rising Stars Fund*

BNY Mellon Asian Bond Fund*

EUR

GBP

USD

80,141,041 –

2,160,243,520 –

2,270,552,815 –

– –

25,628,060 –

(1,741,044) 15,793,497 (94,193,494)

(67,569,953) 1,283,747,011 (1,893,886,544)

53,969,533 914,060,467 (1,435,095,616)

3,343,571 10,543,657 (130,500)

469,196 3,371,909 (29,469,165)

Net increase/(decrease) in net assets from share transactions

(78,399,997)

(610,139,533)

(521,035,149)

10,413,157

(26,097,256)

–

1,482,534,034

1,803,487,199

13,756,728

–

BNY Mellon Emerging Markets Debt Total Return Fund*

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund

USD

EUR

USD

Net assets attributable to redeemable participating shareholders at end of financial year

– –

1,336,311,959 –

87,474,916 –

491,284,479 –

400,480,353 –

553,134 60,250,440 –

11,790,361 295,873,774 (766,334,469)

2,545,312 8,745,292 (6,269,333)

37,617,003 361,130,198 (491,115,350)

42,614,734 229,522,053 (210,994,704)

Net increase/(decrease) in net assets from share transactions

60,250,440

(470,460,695)

2,475,959

(129,985,152)

18,527,349

Net assets attributable to redeemable participating shareholders at end of financial year

60,803,574

877,641,625

92,496,187

398,916,330

461,622,436

* Please refer to Note 19 of the ﬁnancial statements.

The accompanying notes form an integral part of these financial statements.

250

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

BNY Mellon Dynamic U.S. Equity Fund*

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund

USD

GBP

USD

72,734,376 –

17,863,411 –

80,482,765 –

16,846,939 –

– –

175,436,673 –

61,675,460 –

830,681,213 –

66,839,955 –

26,690,583 17,423,593 (45,454,378)

1,237,440 4,075,057 (1,380,961)

12,538,359 89,204,951 (118,105,506)

1,658,107 9,691,535 (983,963)

2,278,059 49,038,833 –

22,998,488 210,683,547 (65,020,062)

8,342,797 74,010,679 (68,191,345)

125,089,082 462,309,799 (455,883,030)

6,186,191 15,097,451 (20,713,177)

(28,030,785)

2,694,096

(28,900,555)

8,707,572

49,038,833

145,663,485

5,819,334

6,426,769

(5,615,726)

71,394,174

21,794,947

64,120,569

27,212,618

51,316,892

344,098,646

75,837,591

962,197,064

67,410,420

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

BNY Mellon Global Property Securities Fund*

USD

EUR

364,965,473 –

30,166,865 –

258,017,204 –

692,443,890 –

155,792,195 –

28,345,314 –

130,538,823 –

106,650,391 –

21,364,386 –

33,460,479 426,319,420 (118,238,410)

21,156,245 58,520,477 (27,924,926)

51,005,750 55,993,688 (51,804,051)

137,976,896 649,188,004 (477,019,429)

10,384,884 82,889,597 (144,034,180)

8,443,950 27,197,089 (1,054,935)

6,391,539 40,587,986 (98,943,501)

14,529,258 34,876,603 (81,839,751)

(28,792) 1,993,494 (23,329,088)

308,081,010

30,595,551

4,189,637

172,168,575

(61,144,583)

26,142,154

(58,355,515)

(46,963,148)

(21,335,594)

706,506,962

81,918,661

313,212,591

1,002,589,361

105,032,496

62,931,418

78,574,847

74,216,501

–

251

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2017 (cont’d.)

Net assets attributable to redeemable participating shareholders at beginning of financial year Notional exchange adjustment (Note 1) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations Proceeds from redeemable participating shares issued Cost of redeemable participating shares redeemed Net increase/(decrease) in net assets from share transactions Net assets attributable to redeemable participating shareholders at end of financial year

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

BNY Mellon BNY Mellon Global Global Short-Dated Unconstrained High Yield Fund* Bond Fund

EUR

GBP

USD

4,115,560,292 –

66,687,250 –

645,149,675 –

449,324,739 –

– –

18,339,725 1,170,833,579 (1,434,304,695)

505,447 30,625,419 (29,950,976)

18,980,440 101,324,452 (206,949,202)

25,813,025 446,876,019 (217,217,660)

453,481 20,139,228 –

(263,471,116)

674,443

(105,624,750)

229,658,359

20,139,228

3,870,428,901

67,867,140

558,505,365

704,796,123

20,592,709

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon U.S. Equity Income Fund*

BNY Mellon U.S. High Yield Beta Fund*

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

USD

78,908,389 –

139,942,788 –

– –

7,778,736 2,721,221 (115)

13,411,313 54,841,775 (105,991,980)

18,083,773 233,673,312 (9,151,663)

138,187 25,008,237 –

3,818,320 169,494,480 (379,654)

2,721,106

(51,150,205)

224,521,649

25,008,237

169,114,826

89,408,231

102,203,896

242,605,422

25,146,424

172,933,146

252

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2017 (cont’d.)

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund*

BNY Mellon S&P 500® Index Tracker

BNY Mellon Small Cap Euroland Fund

JPY

EUR

USD

EUR

2,280,546,187 –

2,161,738,343 –

2,724,538,443 –

1,283,751,148 –

1,933,821 –

86,574,689 –

35,012,462 –

881,858,500 2,993,141,226 (1,185,989,334)

(176,190,266) 9,263 (300,000,000)

1,845,777,853 5,759,370,666 (2,272,174,906)

102,821,457 288,636,266 (394,866,886)

54,012 46,588 (2,034,421)

15,990,115 20,792,145 (40,748,068)

14,185,081 122,153,580 (65,236,645)

1,807,151,892

(299,990,737)

3,487,195,760

(106,230,620)

(1,987,833)

(19,955,923)

56,916,935

4,969,556,579

1,685,557,340

8,057,512,056

1,280,341,985

–

82,608,881

106,114,478

BNY Mellon US Opportunities Fund

Total 31 December 2017^

USD

31,689,172 –

17,948,233,087 1,485,911,925

10,826,729 51,238,683 (1,611,782)

875,751,189 8,973,220,745 (10,265,469,760)

49,626,901

(1,292,249,015)

92,142,802

19,017,647,186

253

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2016

BNY Mellon Absolute Insight Fund

BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asian Bond Fund

BNY Mellon Asian Equity Fund

EUR

GBP

USD

224,417,441 –

2,156,159,324 –

1,877,967,094 –

40,960,870 –

92,509,650 –

(7,137,832) 42,478,068 (179,616,636)

(39,080) 1,083,138,889 (1,079,015,613)

262,251,091 1,193,571,100 (1,063,236,470)

818,308 15,420,095 (31,571,213)

1,417,541 2,651,323 (23,844,138)

Net increase/(decrease) in net assets from share transactions

(137,138,568)

4,123,276

130,334,630

(16,151,118)

(21,192,815)

80,141,041

2,160,243,520

2,270,552,815

25,628,060

72,734,376

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund*

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Equity Value Fund**

EUR

USD

Net assets attributable to redeemable participating shareholders at end of financial year

50,753,263 –

309,274,826 –

– –

263,712,709 –

4,126,148 –

4,227,872 60,491,542 (27,997,761)

(5,883,123) 429,401,952 (241,509,176)

9,015,777 391,464,576 –

4,021,735 173,827,633 (76,596,604)

(263,271) 133,832 (3,996,709)

Net increase/(decrease) in net assets from share transactions

32,493,781

187,892,776

391,464,576

97,231,029

(3,862,877)

Net assets attributable to redeemable participating shareholders at end of financial year

87,474,916

491,284,479

400,480,353

364,965,473

–

* This Fund launched during the ﬁnancial year. ** This Fund closed during the ﬁnancial year.

The accompanying notes form an integral part of these financial statements.

254

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

BNY Mellon Crossover Credit Fund**

BNY Mellon Dynamic Total Return Fund

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Euroland Bond Fund

GBP

USD

EUR

USD

EUR

21,002,259 –

56,888,143 –

233,567,042 –

11,519,058 –

108,707,950 –

71,167,680 –

1,324,481,237 –

87,983,556 –

2,753,951,220 –

6,038,904 10,211,236 (19,388,988)

29,631,055 80,833,771 (86,870,204)

9,528,946 4,853,955 (247,949,943)

98,252 6,964,037 (1,734,408)

13,364,003 109,194,506 (55,829,786)

5,074,545 92,791,707 (107,358,472)

60,977,738 247,985,246 (802,763,008)

4,899,429 8,413,228 (34,456,258)

60,196,343 511,089,948 (1,988,925,552)

(9,177,752)

(6,036,433)

(243,095,988)

5,229,629

53,364,720

(14,566,765)

(554,777,762)

(26,043,030)

(1,477,835,604)

17,863,411

80,482,765

–

16,846,939

175,436,673

61,675,460

830,681,213

66,839,955

1,336,311,959

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund*

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

BNY Mellon Global Property Securities Fund

BNY Mellon Global Real Return Fund (EUR)

USD

EUR

68,936,938 –

255,410,733 –

469,197,968 –

134,419,024 –

– –

217,468,477 –

141,840,200 –

14,019,967 –

2,609,987,886 –

2,495,492 4,879,268 (46,144,833)

239,905 262,373,219 (260,006,653)

11,301,893 573,364,507 (361,420,478)

10,268,644 137,277,336 (126,172,809)

339,272 28,006,042 –

(3,508,617) 12,098,743 (95,519,780)

(843,659) 62,533,499 (96,879,649)

1,145,315 9,518,372 (3,319,268)

(56,506,314) 2,569,249,067 (1,007,170,347)

(41,265,565)

2,366,566

211,944,029

11,104,527

28,006,042

(83,421,037)

(34,346,150)

6,199,104

1,562,078,720

30,166,865

258,017,204

692,443,890

155,792,195

28,345,314

130,538,823

106,650,391

21,364,386

4,115,560,292

255

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund*

GBP

USD

JPY

59,049,879 –

506,138,241 –

– –

3,963,253,205 –

– –

1,267,381 31,416,886 (25,046,896)

3,217,248 324,580,686 (188,786,500)

5,714,224 514,759,298 (71,148,783)

(433,086,084) 1,496,483,562 (2,746,104,496)

87,151,998 2,074,586,345 –

6,369,990

135,794,186

443,610,515

(1,249,620,934)

2,074,586,345

66,687,250

645,149,675

449,324,739

2,280,546,187

2,161,738,343

* Please refer to Note 19 of the ﬁnancial statements. ^ The Company Total as at 31 December 2016 has been adjusted to account for cross investments by BNY Mellon Euroland Bond Fund and BNY Mellon European Credit Fund.

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BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the financial year ended 31 December 2016 (cont’d.)

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund

BNY Mellon S&P 500® Index Tracker

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon US Opportunities Fund

Total 31 December 2016^

JPY

EUR

USD

EUR

USD

4,454,629,125 –

1,449,584,755 –

49,183,300 –

76,861,012 –

61,991,179 –

93,725,700 –

41,549,699 –

51,224,603 –

17,782,853,268 (817,707,235)

(306,331,044) 1,625,345,776 (3,049,105,414)

86,521,438 216,351,842 (468,706,887)

(5,109,519) 320,123 (42,460,083)

9,100,590 27,972,426 (27,359,339)

(1,498,242) 51,342,147 (76,822,622)

(18,338,848) 3,521,537 –

13,201,616 100,321,421 (15,129,948)

1,402,970 27,940,811 (48,879,212)

614,427,466 10,383,813,876 (10,015,154,288)

(1,423,759,638)

(252,355,045)

(42,139,960)

613,087

(25,480,475)

3,521,537

85,191,473

(20,938,401)

368,659,588

2,724,538,443

1,283,751,148

1,933,821

86,574,689

35,012,462

78,908,389

139,942,788

31,689,172

17,948,233,087

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The signiﬁcant accounting policies and estimation techniques applied in the preparation of these ﬁnancial statements are set out below.

STATEMENT OF COMPLIANCE The ﬁnancial statements for the ﬁnancial year ended 31 December 2017 have been prepared in accordance with Financial Reporting Standard (“FRS”) 102: “The Financial Reporting Standard applicable in the United Kingdom and the Republic of Ireland” (“FRS 102”) and Irish statute comprising the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment inTransferable Securities) Regulations 2015 (as amended) (the “Central Bank UCITS Regulations”).

BASIS OF PREPARATION The ﬁnancial statements have been prepared on a going concern basis for the Company under the historical cost convention as modiﬁed by the revaluation of ﬁnancial assets and liabilities held at fair value through the proﬁt or loss. The format and certain wordings of the ﬁnancial statements has been adapted from those contained in the Companies Act 2014 so that, in the opinion of the Directors, they more appropriately reﬂect the nature of the Company’s business as an investment fund. The Company has availed of the exemption available to open-ended investment funds under Section 7 “Statement of Cash Flows” of FRS 102 not to prepare a cash ﬂow statement on the basis that substantially all of the Company’s investments are highly liquid and carried at fair value, and the Company provides a statement of changes in net assets attributable to redeemable participating shareholders.

CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS The preparation of ﬁnancial statements requires the use of certain critical accounting estimates. It also requires the Directors to exercise its judgement in the process of applying the Company’s accounting policies. Management makes estimates and assumptions concerning the future. The estimates and assumptions that have a signiﬁcant risk of causing a material adjustment to the carrying amounts of assets and liabilities are discussed below within “Financial assets and liabilities at fair value through proﬁt or loss – Fair value estimation”. The Funds based its assumptions and estimates on parameters available when the ﬁnancial statements were prepared. However, existing circumstances and assumptions about future developments may change due to market changes or circumstances arising beyond the control of the Funds. Such changes are reﬂected in the assumptions when they occur and are recognised prospectively.

FOREIGN CURRENCY TRANSLATION – FUNCTIONAL AND PRESENTATION CURRENCY Items included in the Company’s ﬁnancial statements are measured using the currency of the primary economic environment in which each Fund operates (the “functional currency”). In accordance with Section 30 “Foreign Currency Translation” of FRS 102, the functional currency of each Fund has been evaluated by the Board of Directors based on the currency that most faithfully represents the economic effects of the underlying transactions, events, investors’ base and conditions. The ﬁnancial statements are presented in US dollar, which is the Company’s presentational currency. The functional and presentation currency of the Funds are US dollar, Euro, Sterling or Japanese yen as noted in the Statement of Financial Position. Foreign currency assets and liabilities, including net assets attributable to redeemable participating shareholders are translated into the functional currency using the closing rate applicable at the ﬁnancial year end date. Foreign currency income and expenses in the Statement of Comprehensive Income are translated into the functional currency at the exchange rates prevailing at the dates of the transactions. Proceeds from redeemable participating shares issued and the cost of redeemable participating shares redeemed are also translated into the functional currency at the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses arising from transactions and translations are presented in the Statement of Comprehensive Income within “net gains/losses on ﬁnancial assets/ liabilities at fair value through proﬁt or loss”.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. FOREIGN CURRENCY TRANSLATION – FUNCTIONAL AND PRESENTATION CURRENCY cont’d. For Company aggregation purposes, all assets and liabilities together with income and expenses for all classes of shares are translated into US dollar using the closing rate for assets and liabilities and the average rate for income and expenses including subscriptions and redemptions, as this is the currency of the primary economic environment in which the Company operates. A currency adjustment arises from the re-translation of the opening net assets at the ﬁnancial year end exchange rates, as disclosed in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. This method of allocation has no effect on the value of net assets allocated to the individual Funds.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – CLASSIFICATION This category has two sub-categories: ﬁnancial assets and liabilities held for trading, and those designated at fair value through proﬁt or loss at inception. A ﬁnancial asset or liability is classiﬁed as held for trading if it is acquired or incurred principally for the purpose of selling or repurchasing in the near term or if on initial recognition is part of a portfolio of identiﬁable ﬁnancial investments that are managed together and for which there is evidence of a recent actual pattern of short-term proﬁt taking. Derivatives are also categorised as held for trading. The Company does not classify any derivatives as hedges in a hedging relationship. Financial assets and liabilities designated at fair value through proﬁt or loss at inception are ﬁnancial instruments that are not classiﬁed as held for trading but are managed, and their performance is evaluated on a fair value basis inaccordance with the investment strategy of the Funds as documented in the prospectus.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – RECOGNITION AND MEASUREMENT Regular purchases and sales of investments are recognised on the trade date – the date on which the Company commits to purchase or sell the investment. Financial assets and liabilities at fair value through proﬁt or loss are initially recognised at fair value. Transaction costs are expensed as incurred in the Statement of Comprehensive Income. Financial assets are derecognised when the rights to receive cash ﬂows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership. Subsequent to initial recognition, all ﬁnancial assets and liabilities at fair value through proﬁt or loss are measured atfair value. Gains and losses arising from changes in the fair value of the “ﬁnancial assets or ﬁnancial liabilities at fair value through proﬁt or loss” category are presented in the Statement of Comprehensive Income within “net gains/losses onﬁnancial assets/liabilities at fair value through proﬁt or loss” in the ﬁnancial year in which they arise using the average cost method. For hedge share class level forward foreign currency contracts, the realised and unrealised gains or losses are allocated solely to the relevant share classes. The unrealised gains or losses on hedging activities are reﬂected in the “ﬁnancial assets or ﬁnancial liabilities at fair value through proﬁt or loss” category in the Statement of Financial Position.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – FAIR VALUE ESTIMATION The fair value of ﬁnancial assets and liabilities traded in active markets (such as publicly traded derivatives and trading securities) are based on quoted market prices at the ﬁnancial year end date. In accordance with FRS 102, the Company has applied the recognition and measurement provisions of International Accounting Standards No.39 “Financial Instruments: Recognition and Measurement” as adopted for use in the European Union and the disclosure requirements of Sections11 and12 of FRS102. Accordingly, the quoted market price used for ﬁnancial assets held is the mid-market price. When the Company holds derivatives with offsetting market risks, it uses mid-market prices as a basis for establishing fair values for the offsetting risk positions and applies this mid-market price to the net open position, asappropriate. If a signiﬁcant movement in fair value occurs subsequent to the valuation point of the Funds on the ﬁnancial year end date, valuation techniques will be applied to determine the fair value. A signiﬁcant event is any event that occurs after the

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – FAIR VALUE ESTIMATION cont’d. last market price for a security, close of market or close of the foreign exchange, but before the Funds’ valuation time that materially affects the integrity of the closing prices for any security, instrument, currency or securities affected bythat event so that they cannot be considered readily available market quotations. The fair value of ﬁnancial assets and liabilities that are not traded in an active market (for example over-the-counter derivatives) is determined by using valuation techniques. The Company uses a variety of methods and makes assumptions that are based on market conditions existing at each reporting date. Valuation techniques used include the use of comparable recent arm’s length transactions, reference to other instruments that are substantially the same, discounted cash ﬂow analysis, option pricing models and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity-speciﬁc inputs. For instruments for which there is no active market, the Company may use internally developed models, which are usually based on valuation methods and techniques generally recognised as standard within the industry. Valuation models are used primarily to value unlisted equity, debt securities and other debt instruments for which markets were or have been inactive during the ﬁnancial year. Some of the inputs to these models may not be market observable and are therefore estimated based on assumptions. The output of a model is always an estimate or approximation of a value that cannot be determined with certainty, and valuation techniques employed may not fully reﬂect all factors relevant to the positions the Company holds. Valuations are therefore adjusted, where appropriate, to allow for additional factors including model risk, liquidity risk and counterparty risk. There were no instruments during the ﬁnancial year or at ﬁnancial year end that were valued using such model. The carrying value less impairment provision of other receivables and payables are assumed to approximate their fair values. The main valuation techniques of the Company are as follows: (a) Financial assets and liabilities listed and regularly traded on a recognised exchange and for which market quotations are readily available or traded on over-the-counter markets shall be valued at the mid-market price accordingly onthe principal exchange in the market for such investment. (b) If the financial assets and liabilities are listed on several recognised exchanges, the mid-market price on the recognised exchange, which, in the opinion of the Directors in consultation with the relevant investment manager, constitutes the principal market for such assets, will be used. (c) If for specific financial assets or liabilities the mid-market price referred to in (a) or (b) above is not available or does not, in the opinion of the Directors in consultation with the relevant investment manager, reflect a fair or appropriate value, the value shall be calculated by alternative methods with care and in good faith by the Directors, as appropriate, approved for such purpose by BNY Mellon Trust Company (Ireland) Limited (the “Depositary”), in consultation with the relevant investment manager with a view to establishing the probable realisation value for such assets. (d) In the event that any financial assets or liabilities are not listed or dealt on any recognised exchange, such assets shall be valued by the Directors with care and in good faith and in consultation with the relevant investment manager at the probable realisation value. Such probable realisation value may be determined by using a quotation from a broker. (e) Cash and other liquid assets are valued at their face value with interest accrued, where applicable. (f) Units or shares in collective investment schemes (other than those valued pursuant to (a) or (b) above), are valued atthe latest available net asset value of the relevant collective investment scheme. (g) Derivative instruments dealt on a market are fair valued at the settlement price for such instruments on such market. Where such derivative instruments are not dealt on a market, their value shall be the daily quotation from independent pricing service or market makers. (h) Forward foreign exchange contracts are fair valued by an independent price source by reference to the price at which a new forward contract of the same size and maturity could be undertaken. (i) Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents. Futures contracts are fair valued based upon their quoted daily settlement prices. Changes in the value

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – FAIR VALUE ESTIMATION cont’d. of open futures contracts are recognised as unrealised gains or losses on futures contracts until the contracts are terminated, at which time the realised gains and losses are recognised. Unrealised gains or losses on futures contracts are shown in the Portfolio of Investments. The variation margin receivable or payable at the reporting date is reported as an asset or liability, as applicable, in the Statement of Financial Position. (j) The premium on purchased put options exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the realised gain or loss. The premium on purchased call options exercised is added to the cost of the securities or foreign currencies purchased. Premiums paid from the purchase of options, which expire unexercised are treated as realised losses. The premium on written call options exercised is added tothe proceeds from the sale of the underlying security or foreign currency in determining the realised gain orloss. The premium on written put options exercised is subtracted from the cost of the securities or foreign currencies purchased. Premiums received from written options, which expire unexercised are treated as realisedgains. (k) Interest rate, credit default and total return swap contracts are fair valued daily based upon quotations from independent pricing service or market makers and the change in the value if any is recorded as unrealised gains or losses. Payments received or made as a result of the contract termination are recognised net of any upfront payment as realised gains or losses. Income on over-the-counter derivatives accrues to the Funds and is not subject to any returns sharing arrangements with BNY Mellon Global Management Limited (the “Manager”) or any otherparties. (l) Commercial paper and time deposits are valued at amortised cost, as a best estimate of fair value. The Company may invest in financial instruments that are not traded in an active market, whereby fair value may be determined by applying valuation techniques, such as discounted cash flow analysis and other valuation techniques used bymarket participants. (m) Exchange traded funds are fair valued based upon quotations of the net asset value per share from independent pricing sources. (n) Certain Funds may enter into “TBA” (To Be Announced) purchase commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalised. The Funds hold and maintain until settlement date, cash or high grade debt obligations in an amount sufficient to meet the purchase price, or the Funds may enter into offsetting contracts for the forward sale of other securities they own. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities. Although the Funds may enter into TBA purchase commitments with the intention of acquiring securities for their portfolios or for delivery pursuant to option contracts that they have entered into, the Funds may dispose ofacommitment prior to settlement if the investment manager deems it the appropriate action. (o) Equity swaps are priced in accordance with the pricing basis for the underlying equity positions. Finance charges on equity swaps are accrued daily, reset on a monthly basis and subject to settlement on disposal of equity swaps. Income on equity swaps accrues to the Funds and is not subject to any returns sharing arrangements with the Manager or any other parties. (p) Loans are fair valued based on valuations provided by the pricing vendor Markit. Fees earned or paid and the receipt of payments of principal are recorded as a component of “net gains/(losses) on financial assets/liabilities at fair value through profit or loss” in the Statement of Comprehensive Income. Where Markit is unable to provide a value for a loan, the loan is fair valued based on a quotation obtained from a loan house. Unsettled loans are fair valued based on the agreed purchase price until a valuation from pricing vendor becomes available. (q) Certain Funds may use Participatory Notes (“P-Notes”), that are either listed or traded on eligible markets. P-Notes provide the Funds with the opportunity for economic exposure to specific equities in restricted or emerging markets, i.e. India, Sri Lanka, Vietnam, Bangladesh, China and Brazil, where owning local equity or equity related securities might be less efficient that the use of P-Notes, leading to a reduction in costs. P-Notes are valued by reference tothe mid-market price of the underlying security.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. LOANS Certain Funds of the Company may invest in direct debt instruments which are interests in amounts owed to lenders orlending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered byabank or other ﬁnancial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as speciﬁed in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms ofthe loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. Asat31December2017, loans are held on the portfolio of BNY Mellon Absolute Return Bond Fund, BNY Mellon Euroland Bond Fund, BNY Mellon Global High Yield Bond Fund, BNY Mellon Global Opportunistic Bond Fund and BNY Mellon Global Short-Dated High Yield Bond Fund (31 December 2016: loans were held on the portfolio of BNY Mellon Absolute Insight Fund, BNY Mellon Absolute Return Bond Fund, BNY Mellon Global High Yield Bond Fund, BNY Melon Global Opportunistic Bond Fund and BNY Mellon Global Short-Dated High Yield Bond Fund).

RECEIVABLES Receivables include cash at bank, income receivable, receivable for investments sold, rebate receivable from the management company, margins on derivatives contracts, cash collateral received from broker, subscriptions receivable and other receivables. These amounts are recognised initially at fair value and subsequently measured at amortised cost.

FINANCIAL LIABILITIES AT AMORTISED COST Financial liabilities at amortised cost include bank overdraft, payable for investments purchased, redemptions payable, expenses payable, performance fees payable, margins on derivatives contracts, cash collateral payable to broker, income payable on swaps, ﬁnance charges payable on swaps, tax payable and other payables. These amounts are recognised initially at fair value and subsequently measured at amortised cost.

OFFSETTING FINANCIAL INSTRUMENTS Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the asset and settle the liability simultaneously.

CROSS INVESTMENT As at 31 December 2017 and 31 December 2016, BNY Mellon Euroland Bond Fund and BNY Mellon European Credit Fund invest in other Funds of the Company. These cross investments have been eliminated in the ﬁnancial statements of the Company. Where a Fund invests in another Fund or Funds of the Company, these cross investments have been deducted from the total net asset value when calculating the management fees payable. The realised gains and losses, including movements in unrealised gains and losses, on the cross investments have been eliminated in the Total Company amounts disclosed in the Statement of Comprehensive Income.

CASH AND CASH EQUIVALENTS AND BANK OVERDRAFTS Cash and cash equivalents are valued at face value, with interest accrued where applicable at relevant valuation point on the relevant business day. Cash equivalents include deposits held at call with banks and other short-term investments in an active market with original maturities of three months or less. Bank overdrafts are shown separately in the Statement of Financial Position.

COLLATERAL Cash collateral provided by the Funds is identiﬁed in the Statement of Financial Position as “margins on derivative contracts” and is not included as a component of cash and cash equivalents. Cash collateral received by the Funds isidentiﬁed in the Statement of Financial Position as “cash collateral received from broker”. The obligation to return the

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. COLLATERAL cont’d. cash collateral is identiﬁed in the Statement of Financial Position as “cash collateral payable to broker”. Cash collateral received is restricted and does not form part of the Funds’ cash and cash equivalents. For collateral other than cash, ifthe party to whom the collateral is provided has the right by contract or custom to sell or re-pledge the collateral, the Funds classify that asset in its Statement of Financial Position separately from other assets and identify the asset as pledged collateral. Where the party to whom the collateral is provided does not have the right to sell or re-pledge, adisclosure of the collateral provided is made in the Portfolio of Investments, as indicated by a “*” tick mark.

TRANSACTION COSTS Transaction costs are costs incurred to acquire ﬁnancial assets or liabilities at fair value through proﬁt or loss. They include fees and commissions paid to agents, advisers, brokers and dealers. In respect of equities and ﬁnancial derivative instruments, the transaction costs, when incurred, are immediately recognised in the Statement of Comprehensive Income as an expense and are included in the “net gains/(losses) on ﬁnancial assets/liabilities at fair value through proﬁt or loss”. In respect of all other securities, the bid ask spread is embedded in the purchase and sale price of the securities and cannot be separately veriﬁed or disclosed.

DIVIDEND INCOME Dividend income from ﬁnancial assets at fair value through proﬁt or loss is recognised in the Statement of Comprehensive Income within “dividend income” when the right of the Funds to receive payments is established. Dividend income is shown gross of any non-recoverable withholding taxes.

DIVIDEND EXPENSE Interest on short equity swaps is recognised in the Statement of Comprehensive Income as “dividend expense”, which may be subject to change, dependant on periodic resetting and/or ﬁnal disposal of underlying swap instruments.

INTEREST INCOME Interest income on interest bearing ﬁnancial instruments is shown as a component of “net gains/losses on ﬁnancial assets/liabilities at fair value through proﬁt or loss”. Bank interest income is accounted for on a cash receipts basis.

TAXATION Under current law and practice, there is no income, gains or other taxes payable by the Funds. The Funds currently incur withholding taxes imposed by certain countries on investment income and capital gains. Withholding taxes are disclosed separately in the Statement of Comprehensive Income and net of any tax credits. Effective 1 October 2016, BNY Mellon Brazil Equity Fund has elected to accrue for Brazilian capital gains tax on net realised and unrealised gains on investments. The capital gains tax is recorded in accordance with the understanding of the change in Brazilian tax regulations and rates on Irish investors, which came into effect on 1 October 2016. The capital gains tax expense and the amounts payable at the ﬁnancial year end are reﬂected in the “withholding taxes on dividends and other investment income” and “tax payable” ﬁgures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

EXPENSES Expenses are accounted for on an accruals basis. Any costs associated with the termination of a Fund are paid for by the Manager.

SECURITIES LENDING The Company has entered into a securities lending agreement (as amended, assigned, novated and assumed) with The Bank of New York Mellon, London Branch and the Depositary. The Company can lend securities with a value of up to100% of any one line of stock, to borrowers approved by The Bank of New York Mellon. The Company receives securities, ﬁnancial instruments or other assets as collateral against the loaned securities. The Company does not accept cash as collateral or engage in cash collateral reinvestment. Collateral held (and pending) will not be less than 102% of the value of the securities on loan. Securities lending income is accounted for on a cash receipts basis. Details of the securities lending position at the ﬁnancial year end are contained in Note 14 to the ﬁnancial statements.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. DISTRIBUTIONS TO REDEEMABLE PARTICIPATING SHAREHOLDERS Distributions to redeemable participating shareholders are recognised as “ﬁnance costs” in the Statement ofComprehensive Income when they are declared to the Irish Stock Exchange, as detailed in the prospectus. For non-distributing share classes, all income earned and realised net capital gains after the deduction of expenses will be accumulated and reﬂected in the net asset value per share.

REDEEMABLE PARTICIPATING SHARES The Company issues multiple classes of redeemable participating shares within each Fund which are redeemable at the holder’s option and do not have identical rights. Such shares are classiﬁed as ﬁnancial liabilities. Redeemable participating shares can be put back to the Fund at any time for cash equal to a proportionate share of the Fund’s net asset value attributable to the share class. The redeemable participating shares are carried at the redemption amount that is payable at the ﬁnancial year end date if the holder exercises the right to put the share back to the Fund. Redeemable participating shares are issued and redeemed at the holder’s option at prices based on the Fund’s net asset value per share at the time of issue or redemption. The Fund’s net asset value per share is calculated by dividing the net assets attributable to the holders of each class of redeemable participating shares with the total number of outstanding redeemable participating shares for each respective class in accordance with the provisions of the prospectus indetermining the net asset value per share for subscriptions and redemptions.

DILUTION ADJUSTMENT To mitigate the effects of dilution, the Directors may, at their discretion, make a dilution adjustment to the net asset value per share. The Directors will retain the discretion in relation to the circumstances in which to make such a dilution adjustment. The decision to make a dilution adjustment will depend on the volume of subscriptions or redemptions of shares in the Fund. The Directors may in their discretion make a dilution adjustment if, in their opinion, the existing shareholders, inthe case of subscriptions, or remaining shareholders, in the case of redemptions, might otherwise be adversely affected. Inparticular, the dilution adjustment may be made in the following circumstances: -

where a Fund is in continual decline (i.e. is experiencing a net outflow of redemptions); if the Fund is experiencing large levels of net subscriptions or net redemptions relevant to its size; and in any other circumstances where the Directors believe it will be in the interests of shareholders to make a dilution adjustment.

The dilution adjustment will involve adding to the net asset value per share when the Fund is in a net subscription position, and deducting from the net asset value per share when the Fund is in a net redemption position, such ﬁgure as the Directors consider represents an appropriate ﬁgure to meet transaction costs, including but not restricted tomarket spreads, brokerage fees and taxes, to preserve the value of the underlying assets of the relevant Fund and in any other circumstances where the Directors believe it will be in the interests of the shareholders. The resultant amount will be the price rounded to such number of decimal places, as the Directors deem appropriate. Where a dilution adjustment is made, it will increase the price at which shares shall be issued when there are net subscriptions and decrease the price at which shares shall be redeemed when there are net redemptions. The price atwhich each class of share shall be issued or redeemed (as appropriate) will be calculated separately but any dilution adjustment will in percentage terms affect the price of each class in an identical manner. Such dilution adjustment will not exceed 2% of the Fund’s net asset value. As dilution is directly related to the inﬂows and outﬂows from a Fund, itisnot possible to accurately predict whether dilution will occur at any future point in time. Consequently, it is also not possible to accurately predict how frequently the dilution adjustment will be applied.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES cont’d. DILUTION ADJUSTMENT cont’d. As at 31 December 2017, there is a dilution adjustment on BNY Mellon Emerging Markets Debt Opportunistic Fund in the amount of USD 179,860. The dilution adjustment is included in “other payables” in the Statement of Financial Position and “redemptions” in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. Asat 31 December 2016, there was no dilution adjustment.

2. SHARE CAPITAL AUTHORISED SHARES The initial authorised share capital of the Company is EUR 38,092 divided into 38,092 subscriber shares of EUR 1.00 each and 25,000,000,000 at no par value initially designated as unclassiﬁed shares. The unclassiﬁed shares are available for issue as participating shares.

SUBSCRIBER SHARES The 38,092 subscriber shares at EUR 1.00 each were all issued as fully paid, 38,085 of which are held by the Manager and the remainder are held on trust by nominees for the Manager. The subscriber shares do not entitle the holders to any dividend and on a winding up, entitle the holders to receive the amount paid up thereon but not otherwise to participate in the assets of the Company. The subscriber shares do not form part of the net asset value of the Company and are thus disclosed in the ﬁnancial statements by way of this note only. In the opinion of the Directors, this disclosure reﬂects the nature of the Company’s investment business.

REDEEMABLE PARTICIPATING SHARES Redeemable participating shares carry the right to a proportionate share in the assets of the Funds and the holder ofthe share is entitled to one vote each on a poll. Shares are redeemed by shareholders at prices based on the value of net assets of the relevant class. The activity on redeemable participating shares for the ﬁnancial year ended 31 December 2017 is as follows:

Fund

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR CHF GBP EUR USD EUR EUR USD EUR USD EUR GBP

15,757,052 100,000 2,004,296 10,962,519 731,085 3,246,364 15,054,591 9,650,003 580,452 3,420,733 5,154 16,530,735

– – – 1,049,886 24,871 30,978 10,843,440 885,251 – 658,825 – 2,251,445

(15,757,052) (100,000) (2,004,296) (12,012,405) (755,956) (3,277,342) (25,898,031) (10,535,254) (580,452) (4,079,558) (5,154) (18,782,180)

– – – – – – – – – – – –

EUR EUR EUR USD GBP EUR

1,150,781 1,951 – 1,091,123 1,052,927 836,652

570,097 185 50 1,941,497 531,545 769,939

(1,499,838) (51) – (3,032,620) (1,584,472) (1,207,933)

221,040 2,085 50 – – 398,658

Share class Currency

BNY Mellon Absolute Insight Fund* Class E (Acc)^ Class E (Acc) (Hedged)^ Sterling E (Acc) (Hedged)^ Class R (Acc)^ Class R (Acc) (Hedged)^ Class R (Inc)^ Class S (Acc)^ Class T (Acc) (Hedged)^ Class U (Acc)^ Class U (Acc) (Hedged)^ Class U (Inc)^ Sterling U (Acc) (Hedged)^ BNY Mellon Absolute Return Bond Fund Class C Class C (Inc) Class D (Acc)^ Class I (Hedged)^ Sterling I (Acc) (Hedged)^ Class R

265

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Absolute Return Bond Fund cont’d. Class R (Hedged) Class R (Inc) Class S Class S (Inc) Class T (Hedged) Class T (Hedged) Sterling T (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged) Class X Sterling X (Acc) (Hedged) Class Z (Acc)

USD EUR EUR EUR USD CHF GBP EUR USD USD GBP GBP EUR GBP EUR

190,069 71,047 9,689,656 2,926 498,163 101,731 123,845 51,087 26,466 36,956 513,961 25,923 3,192,154 739,991 50

21,461 23,743 5,836,685 52,941 339,601 29,673 10,220 1,407 29,368 61,880 802,817 8,290 819,873 – 205

(81,026) (69,083) (8,663,516) (38,789) (309,064) (53,288) (76,414) (2,380) (4,151) (93,110) (498,981) (29,152) (31,097) (604,856) (50)

130,504 25,707 6,862,825 17,078 528,700 78,116 57,651 50,114 51,683 5,726 817,797 5,061 3,980,930 135,135 205

BNY Mellon Absolute Return Equity Fund Class D (Acc) (Hedged)^ Class R (Hedged) Class R (Hedged) Class R (Hedged) Class R (Inc) (Hedged) Sterling R (Acc) Sterling S (Acc) Class T (Hedged) Class T (Hedged) Class U (Hedged) Class U (Hedged) Class U (Inc) (Hedged)^ Sterling U (Acc) Sterling X (Acc)

EUR CHF EUR USD EUR GBP GBP EUR USD EUR USD EUR GBP GBP

– 3,554,222 811,877,167 52,091,806 14,622,543 3,470,408 40,194,161 658,285,461 22,513,626 254,761,881 52,224,789 – 192,697,499 138,053,587

942,906 100,000 198,068,919 5,492,572 20,765,025 392,849 17,131,222 211,971,919 18,075,412 381,923,687 14,587,528 15,963,671 33,483,702 11,549,550

(9,990) (3,317,002) (512,266,000) (18,927,823) (25,952,953) (2,064,884) (10,653,375) (567,493,925) (17,914,818) (172,287,389) (26,424,995) (200,573) (47,512,423) (32,336,611)

932,916 337,220 497,680,086 38,656,555 9,434,615 1,798,373 46,672,008 302,763,455 22,674,220 464,398,179 40,387,322 15,763,098 178,668,778 117,266,526

Class A (Acc)^ Class H (Acc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^

USD SGD USD SGD

– – – –

27,540 663,490 9,853,400 101,100

(22,923) (107,691) – –

4,617 555,799 9,853,400 101,100

Class A (Acc)^ Class A (Inc)^ Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Class E (Inc)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Acc) (Hedged)^

USD USD USD USD USD USD EUR EUR EUR

5,000 5,227 14,546,266 5,284 5,000 3,267,044 374,689 87,525 74,689

– 98 2,708,315 118 – – – 1,520 –

(5,000) (5,325) (17,254,581) (5,402) (5,000) (3,267,044) (374,689) (89,045) (74,689)

– – – – – – – – –

BNY Mellon Asia Rising Stars Fund*

BNY Mellon Asian Bond Fund*

266

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR USD EUR USD EUR USD

78,658 4,645 74,689 5,325 79,211 5,355,368

1,841 – – 133 2,070 –

(80,499) (4,645) (74,689) (5,458) (81,281) (5,355,368)

– – – – – –

Class A Class A Class B Class B Class C Class C Sterling C (Inc) Class W Sterling W (Inc)^

USD EUR USD EUR USD EUR GBP USD GBP

10,109,467 8,691,899 3,288,496 49,870 107,103 4,888,879 8,257 1,172,306 5,216

1,592,977 535,010 – – 2,615,373 41,234 74 30,000 72

(3,931,338) (1,991,232) (429,697) – (2,618,827) (3,997,548) (37) (651,634) (5,288)

7,771,106 7,235,677 2,858,799 49,870 103,649 932,565 8,294 550,672 –

Class A (Acc) Class A (Acc) Class A (Inc) Class A (Inc)^ Sterling A (Acc)^ Sterling A (Inc)^ Class B (Acc) Class C (Acc) Sterling C (Acc) Class H (Inc) (Hedged)^ Class J (Inc) (Hedged)^ Class W (Inc) Class W (Inc) Sterling W (Inc)

EUR USD EUR USD GBP GBP USD USD GBP EUR EUR EUR USD GBP

18,309 225,497 14,802 5,313 5,000 5,314 328,399 16,318,840 5,000 – 112,616 898,796 1,977,097 2,479,860

5,116 4,948 46,805 31 – 28 – 2,140,869 – 813,028 7,198 7,194 614,400 469,384

(5,000) (225,497) (5,471) (5,344) (5,000) (5,342) (221,132) (4,999) – (105,368) (119,814) (191,084) (407,728) (256,346)

18,425 4,948 56,136 – – – 107,267 18,454,710 5,000 707,660 – 714,906 2,183,769 2,692,898

Class A Class A Class B Class B Sterling B (Acc) Class C Class C Sterling C (Inc) Class H (Hedged) Class W (Acc) Class W (Acc) Sterling W (Acc)

USD EUR USD EUR GBP USD EUR GBP EUR USD EUR GBP

23,465,871 20,843,145 1,419,753 4,698 396,025 31,214,478 1,718,338 125,435 665,886 2,082,468 90,592 1,469,389

10,546,700 16,619,020 862,425 520,631 76,212 29,072,245 5,565,062 700 10,426,559 1,100,296 625,800 2,831,177

(15,661,966) (21,418,582) (117,347) (240,631) (45,441) (51,407,489) (5,039,816) (52,049) (8,706,057) (595,761) (185,592) (2,859,365)

18,350,605 16,043,583 2,164,831 284,698 426,796 8,879,234 2,243,584 74,086 2,386,388 2,587,003 530,800 1,441,201

Share class Currency

BNY Mellon Asian Bond Fund* cont’d. Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class W (Inc)^ Class W (Inc) (Hedged)^ Class X (Acc)^ BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

267

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

USD EUR EUR USD USD EUR EUR USD EUR USD EUR GBP GBP GBP GBP USD

5,000 5,000 5,000 7,745,756 5,000 107,287 91,212 5,000 91,212 5,000 91,212 5,000 64,888 5,000 64,888 9,348,448

20,364 – – 9,870,477 – – – – – – – – – – – –

(5,000) – – (965,658) – (10,761) – – – – – – – – – –

20,364 5,000 5,000 16,650,575 5,000 96,526 91,212 5,000 91,212 5,000 91,212 5,000 64,888 5,000 64,888 9,348,448

Class A (Inc)^ Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Sterling E (Acc)^ Class U (Acc)^ Class W (Acc)^ Sterling W (Acc)^ Class X (Acc)^ Class X (Inc)^

USD USD USD USD GBP USD USD GBP USD USD

– – – – – – – – – –

5,000 5,000 5,000 4,013,500 5,000 5,000 25,090,786 5,000 19,959,106 5,000

– – – – – – – – – –

5,000 5,000 5,000 4,013,500 5,000 5,000 25,090,786 5,000 19,959,106 5,000

BNY Mellon Emerging Markets Corporate Debt Fund Class A Class A Class B Class C Class C Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class I (Hedged) Class W Class W Class W (Acc) (Hedged)^ Class W (Acc) (Hedged) Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged) Class X

USD EUR USD USD EUR USD EUR EUR EUR USD EUR EUR CHF EUR GBP USD

40,992 37,813 755 285,464 53,140 – – 78,382 17,347 106,816 50 – 16,876 – 3,825 637,213

21,351 57,192 256,568 293,345 85,319 50 1,000 116,018 237,155 129,591 102,268 1,000 9,214 100,000 6,450 4,337

(19,678) (28,886) (84,453) (66,514) (79,753) – – (22,422) (33,898) (27,511) (46,424) – – – (3,505) (5,937)

42,665 66,119 172,870 512,295 58,706 50 1,000 171,978 220,604 208,896 55,894 1,000 26,090 100,000 6,770 635,613

Fund

Share class Currency

BNY Mellon Dynamic Total Return Fund Class A (Acc) Class A (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class H (Acc) (Hedged) Class I (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) Class W (Inc) (Hedged) Sterling W (Acc) Sterling W (Acc) (Hedged) Sterling W (Inc) Sterling W (Inc) (Hedged) Class X (Acc) BNY Mellon Dynamic U.S. Equity Fund*

268

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Emerging Markets Debt Fund Class A Class A Class C Class C Class C (Inc) Class H (Acc) (Hedged) Class W

USD EUR USD EUR USD EUR USD

3,576,571 4,737,768 3,330,835 17,737,791 6,359 264,316 5,000

635,054 3,819,348 8,587,488 3,762,144 808,154 27,213,664 –

(569,369) (4,450,865) (8,874,412) (4,089,542) (17,506) (20,930,622) –

3,642,256 4,106,251 3,043,911 17,410,393 797,007 6,547,358 5,000

BNY Mellon Emerging Markets Debt Local Currency Fund Class A Class A Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling A (Inc)^ Class B^ Class B^ Sterling B (Acc) Sterling B (Inc)^ Class C Class C Class C (Inc) Class C (Inc) Sterling C (Acc) Sterling C (Inc) Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Sterling J (Inc) (Hedged) Class W Class W Class W (Hedged) Class W (Inc) Class W (Inc) Sterling W (Inc) Sterling W (Inc) (Hedged) Class X Class X (Inc)

USD EUR USD EUR GBP GBP USD EUR GBP GBP USD EUR USD EUR GBP GBP USD EUR EUR EUR EUR GBP USD EUR EUR USD EUR GBP GBP USD CHF

50,324,049 39,926,973 607,124 1,497,876 385,413 44,749 5,000 5,000 23,716 7,838 13,043,178 28,105,605 1,280,698 93,895,476 9,427,102 630,480 – – 3,624,361 1,121,514 86,704,787 11,000 56,709,612 1,398,757 39,365,876 9,073 6,174 24,058,203 299,377 203,655,535 165,602,567

23,725,707 10,236,217 114,619 203,794 – – – – – 192 148,636,067 11,133,275 – 2,450,000 – 3,229,762 5,000 100,000 4,636,104 7,179,051 – – 30,266,348 14,168,484 124,931,800 1,015 20,054 2,700,611 22,338 – –

(15,843,140) (30,444,663) (442,815) (131,629) (264,717) (44,749) (5,000) (5,000) (14,545) (8,030) (146,972,132) (36,732,075) (175,500) (40,367,737) (31,801) (214,962) – – (4,989,852) (5,668,948) – – (1,644,451) (13,661,488) (4,508,735) (508) (352) (4,867,732) (103,843) (36,064,235) –

58,206,616 19,718,527 278,928 1,570,041 120,696 – – – 9,171 – 14,707,113 2,506,805 1,105,198 55,977,739 9,395,301 3,645,280 5,000 100,000 3,270,613 2,631,617 86,704,787 11,000 85,331,509 1,905,753 159,788,941 9,580 25,876 21,891,082 217,872 167,591,300 165,602,567

BNY Mellon Emerging Markets Debt Opportunistic Fund Class A^ Class A Class C Class C Class W^ Class W (Acc)^

USD EUR USD EUR EUR USD

5,000 113,152 203,500 5,000 5,000 –

– 1,661 – 78,546 – 5,000

(5,000) (56,428) (5,000) (78,546) (5,000) –

– 58,385 198,500 5,000 – 5,000

269

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Emerging Markets Debt Opportunistic Fund cont’d. Class X USD Class X (Inc) USD

13,454,006 52,215,347

5,855,239 8,080,994

(5,022,688) (14,306,893)

14,286,557 45,989,448

USD USD EUR USD EUR USD

– – – – – –

5,000 5,000 100,000 60,000,000 100,000 5,000

– – – – – –

5,000 5,000 100,000 60,000,000 100,000 5,000

EUR EUR EUR EUR EUR EUR EUR USD CHF USD CHF EUR EUR USD EUR CHF USD

245,423,438 24,380,777 227,994 202,162 194,146,133 109,187,367 – 953,270 136,187,185 24,107,783 17,920,105 73,053,000 1,431,408 8,030,076 23,657,590 100,000 100,000

20,926,920 1,170,101 125,205 35 91,240,311 3,009,600 5,000 98,087 2,667,886 2,109,843 727,694 35,079,006 18,794,722 – 360,460 – –

(124,129,597) (10,303,891) (205,172) (167,290) (100,166,912) (22,174,333) – (674,270) (133,040,133) (26,217,626) (9,214,080) (60,763,970) (1,545,345) (8,030,076) (24,018,050) (100,000) (100,000)

142,220,761 15,246,987 148,027 34,907 185,219,532 90,022,634 5,000 377,087 5,814,938 – 9,433,719 47,368,036 18,680,785 – – – –

Class A Class C Class C (Inc)^ Class W (Acc)^ Class X Class X (Inc)

EUR EUR EUR EUR EUR EUR

697 40,414 53 – 681,804 54

6,153 38,426 – 6,500 15,529 1

(782) (29,685) (53) – (21,041) –

6,068 49,155 – 6,500 676,292 55

Class A Class A Class B Class C Class C Class C (Inc) Sterling C (Inc) Class H (Hedged) Class I (Hedged) Class W (Acc)^

USD EUR USD USD EUR USD GBP EUR EUR USD

34,989,185 10,641,166 1,158,086 68,625,292 92,759,748 641,104 3,691,594 2,937,271 18,201,473 –

7,376,557 1,941,407 – 66,162,858 33,400,654 490,204 1,197,009 1,180,902 57,938,207 5,000

(11,296,437) (2,589,631) (149,642) (96,546,010) (83,450,641) (287,616) (3,251,994) (2,119,346) (22,649,438) –

31,069,305 9,992,942 1,008,444 38,242,140 42,709,761 843,692 1,636,609 1,998,827 53,490,242 5,000

Fund

BNY Mellon Emerging Markets Debt Total Return Fund* Class A (Acc)^ Class A (Inc)^ Class H (Acc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class X (Acc)^ BNY Mellon Euroland Bond Fund Class A Class A (Inc) Class B Class B (Inc) Class C Class C (Inc) Class G (Acc)^ Class H (Acc) (Hedged) Class H (Hedged) Class I (Acc) (Hedged)^ Class I (Hedged) Class S Class W (Acc) Class W (Acc) (Hedged)^ Class Z (Acc)^ Class Z (Acc) (Hedged)^ Class Z (Acc) (Hedged)^ BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

270

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Global Bond Fund cont’d. Class W (Acc)^ Class X

EUR USD

– 9,562,811

23,788,364 –

(14,938,802) –

8,849,562 9,562,811

Class B (Acc) Class C (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged)^ Class W (Acc) Class W (Acc) (Hedged) Class W (Acc) (Hedged)^ Sterling W (Acc) (Hedged) Class X (Acc) Class X (Acc) (Hedged)

USD USD EUR EUR USD EUR CHF GBP USD CAD

15,609,922 5,000 8,909,446 100,000 26,000 100,000 100,000 100,933 5,000 479,804,141

3,045,461 – 1,193,448 1,857 6,552,477 – – – – –

– – (100,000) (101,857) (41,848) – (100,000) – – –

18,655,383 5,000 10,002,894 – 6,536,629 100,000 – 100,933 5,000 479,804,141

USD EUR USD USD USD EUR EUR EUR EUR EUR USD EUR CHF EUR GBP

2,015,542 1,283,918 686,068 119,131,397 – – 8,469,611 562,162 51,480,051 8,361,112 68,572,275 61,143,821 100,000 – 2,511,257

4,032,155 455,697 1,098 88,403,731 5,000 100,000 7,490,952 149,190 66,470,758 5,986,680 72,699,834 109,922,779 3,991,216 100,000 3,253,683

(498,976) (171,521) (507,536) (13,095,647) – – (6,229,573) (169,343) (41,250,256) (6,104,599) (5,556,765) (25,511,663) (100,000) – (419,986)

5,548,721 1,568,094 179,630 194,439,481 5,000 100,000 9,730,990 542,009 76,700,553 8,243,193 135,715,344 145,554,937 3,991,216 100,000 5,344,954

USD EUR USD EUR USD EUR GBP USD USD USD GBP USD CHF EUR EUR EUR

11,965 23,539 5,571 119,396 107,118 31,404 5,605 5,261 31,356,975 104,675 5,614 – – – 5,000 380,540

405,475 141,053 111 83,722 – 114 113 53,500 7,527,473 41,808 113 27,710,374 3,186,742 500,000 385,267 124

(11,965) (23,539) (55) (68,961) (56,915) (5,718) (5,718) (5,261) (20,580,538) (133,229) (5,727) (1,530,479) (24,400) – (245,887) (380,664)

405,475 141,053 5,627 134,157 50,203 25,800 – 53,500 18,303,910 13,254 – 26,179,895 3,162,342 500,000 144,380 –

BNY Mellon Global Credit Fund

BNY Mellon Global Dynamic Bond Fund Class A Class A Class A (Inc) Class C Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W Class W (Hedged) Class W (Acc) (Hedged) Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged) BNY Mellon Global Emerging Markets Fund Class A Class A Class A (Inc) Class A (Inc) Class B (Inc) Class B (Inc) Sterling B (Inc)^ Class C Class C (Acc) Class C (Inc) Sterling C (Inc)^ Class E (Acc)^ Class E (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class H (Inc) (Hedged)^

271

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR EUR USD USD EUR GBP

87,023 5,551 5,000 6,546 32,605 5,628

269,022 125 9,058,773 219,530 25,758 113

(118,469) (5,676) (5,000) (6,676) (32,721) (5,741)

237,576 – 9,058,773 219,400 25,642 –

Class A Class A Class B Class B Class C Class C Class I (Hedged) Class W (Acc) Class W (Acc)

USD EUR USD EUR USD EUR EUR USD EUR

11,344,837 665,754 4,076,295 5,000 11,280,819 5,823 729,314 17,201,923 168,157,396

7,084,226 3,303,986 3,958 16,994 862,221 31,854 18,726 4,208,757 23,905,545

(7,419,809) (3,294,211) (241,159) (5,000) (1,944,026) (6,291) (294,886) (4,447,226) (17,435,425)

11,009,254 675,529 3,839,094 16,994 10,199,014 31,386 453,154 16,963,454 174,627,516

Class A Class A Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling A (Inc)^ Class B Class B Class B (Inc) Class B (Inc) Sterling B (Inc) Class C Class C Class C (Inc) Class C (Inc) Sterling C (Inc) Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W Class W Class W (Inc) Class W (Inc) Sterling W (Acc) Sterling W (Inc) Class Z (Acc) Class Z (Acc) Class Z (Inc) Class Z (Inc)

USD EUR USD EUR GBP GBP USD EUR USD EUR GBP USD EUR USD EUR GBP EUR EUR EUR EUR USD EUR USD EUR GBP GBP USD EUR USD EUR

12,474,440 66,173,607 2,851,639 178,359 115,059 5,188 22,062,156 2,741,048 11,862,896 268,881 3,956,062 2,508,117 18,428,747 12,836,539 25,055,669 10,220,198 3,566,706 3,426,720 117,673,966 2,774,101 5,887,295 7,970,415 11,177,700 43,358,225 3,721,994 29,041,674 4,943,396 2,727,873 607,552 1,653,141

3,826,294 19,893,212 1,221,208 622,899 236,209 135 8,490,297 4,142 237,918 87,436 298,990 377,235 8,429,826 1,041,333 29,705,220 830,253 2,690,705 1,474,735 45,712,140 18,558,382 37,002,193 24,184,295 1,825,392 155,833,404 705,497 4,605,864 5,124,298 2,118,351 935,770 1,526,770

(2,346,891) (22,157,917) (1,229,455) (6,093) – (5,323) (10,577,189) (626,382) (4,178,591) (167,575) (728,805) (1,143,234) (15,052,854) (7,643,370) (14,126,163) (2,262,022) (1,494,032) (873,613) (155,749,629) (38,688) (1,337,445) (2,315,781) (3,868,799) (6,886,464) (1,060,927) (7,400,820) (5,223,961) (3,061,091) (1,261,151) (1,755,789)

13,953,843 63,908,902 2,843,392 795,165 351,268 – 19,975,264 2,118,808 7,922,223 188,742 3,526,247 1,742,118 11,805,719 6,234,502 40,634,726 8,788,429 4,763,379 4,027,842 7,636,477 21,293,795 41,552,043 29,838,929 9,134,293 192,305,165 3,366,564 26,246,718 4,843,733 1,785,133 282,171 1,424,122

Fund

Share class Currency

BNY Mellon Global Emerging Markets Fund cont’d. Class I (Hedged) Class I (Inc) (Hedged)^ Class W (Acc) Class W (Inc) Class W (Inc) Sterling W (Inc)^ BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

GBP GBP

5,000 763,440

– 47,752

(5,000) (262,351)

– 548,841

Class A Class A (Inc)^ Class C Class C Class C (Inc)^ Class H (Hedged) Class I (Hedged) Class W (Acc)^ Class X^ Class X (Inc) Class X (Inc) (Hedged)

EUR EUR USD EUR USD EUR EUR USD USD USD EUR

6,614,231 5,120 44,716,168 3,282,289 – 344,062 876,777 – 5,000 40,362,082 35,776,431

2,392,416 630 48,048,747 2,740,167 669,792 642,719 373,409 5,000 – 5,381,301 4,197,282

(2,647,347) (5,750) (82,006,291) (5,031,079) (9,048) (117,027) (465,655) – (5,000) (10,658,159) (12,193,082)

6,359,300 – 10,758,624 991,377 660,744 869,754 784,531 5,000 – 35,085,224 27,780,631

Class A (Acc) Class C (Acc) Class E (Acc)^ Sterling E (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc)

USD USD USD GBP EUR EUR USD EUR EUR GBP

5,000 27,541,559 – 5,000 100,000 100,000 5,000 100,000 100,000 5,000

– – 650,000 12,590,959 95,104 – – – – 5,017,037

– – – (534,423) (100,000) – – – – (62,020)

5,000 27,541,559 650,000 12,061,536 95,104 100,000 5,000 100,000 100,000 4,960,017

USD USD USD EUR EUR GBP USD USD

1,322,399 29,009,923 5,201 1,228,270 18,172 14,840,799 – 67,151,954

791,943 34,209,850 178 181,470 – – 5,000 –

(650,825) (28,490,640) (5,379) (551,603) (18,172) – – (54,407,068)

1,463,517 34,729,133 – 858,137 – 14,840,799 5,000 12,744,886

USD EUR USD EUR USD EUR EUR EUR USD EUR

7,984,770 15,647,154 1,005,373 5,000 603,578 4,147,437 3,045,932 9,595,822 – 8,756,138

4,469,551 5,467,960 9,378 – 1,422,794 134,089 902,282 3,700,227 5,000 –

(4,099,903) (8,441,889) (141,781) (5,000) (1,065,414) (2,375,093) (3,026,865) (8,967,467) – (8,739,138)

8,354,418 12,673,225 872,970 – 960,958 1,906,433 921,349 4,328,582 5,000 17,000

Fund

Share class Currency

BNY Mellon Global Equity Income Fund cont’d. Sterling Z (Acc)^ Sterling Z (Inc) BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund Class A Class C Class C (Inc)^ Class H (Hedged) Class I (Hedged)^ Sterling I (Acc) (Hedged) Class W (Acc)^ Class X BNY Mellon Global Opportunities Fund Class A Class A Class B Class B^ Class C Class C Class H (Hedged) Class I (Hedged) Class W (Acc)^ Class X

273

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR USD EUR USD GBP GBP GBP

275,592 504,262 4,866 18,048,905 28,901 46,400 6,682

53,787 – – 1,639,344 816 5,890 17

(329,379) (504,262) (4,866) (19,688,249) (29,717) (52,290) (6,699)

– – – – – – –

Class A Class A (Inc) Class C Class C (Inc) Class G (Acc)^ Class G (Inc)^ Class W Class W (Acc) (Hedged) Class W (Inc)^ Class X Class Z (Acc)

EUR EUR EUR EUR EUR EUR EUR CHF EUR EUR EUR

973,156,313 43,964,981 1,054,489,393 7,283,110 – – 1,016,187,872 9,661,043 – 217,057,908 24,514,397

375,589,240 32,154,924 179,920,235 2,304,332 687,515 717,186 309,931,311 11,889,466 5,000 599,500 13,491,183

(603,173,412) (20,869,862) (177,870,913) (1,901,808) – (23,278) (307,247,016) (19,470,845) – (25,692,930) (4,166,016)

745,572,141 55,250,043 1,056,538,715 7,685,634 687,515 693,908 1,018,872,167 2,079,664 5,000 191,964,478 33,839,564

BNY Mellon Global Real Return Fund (GBP) Sterling B (Acc) Sterling B (Inc) Sterling C (Inc) Sterling W (Acc) Sterling W (Inc) Sterling X (Acc)

GBP GBP GBP GBP GBP GBP

2,252,970 741,395 4,476,323 6,230,132 23,453,928 23,483,425

818,844 1,341 498,609 2,537,222 8,166,832 14,592,566

(946,947) (159,288) (2,448,908) (1,797,949) (9,238,430) (12,080,929)

2,124,867 583,448 2,526,024 6,969,405 22,382,330 25,995,062

Class A Class A (Inc)^ Class C Class C (Inc) Class W (Acc) Class W (Inc) Class X

USD USD USD USD USD USD USD

116,633,101 12,000 43,098,145 4,247,484 116,208,698 10,845,155 196,789,846

19,845,218 37 15,284,209 214,831 23,556,092 11,171,313 6,991,514

(44,698,618) (12,037) (14,895,333) (871,679) (16,403,726) (2,362,658) (68,744,532)

91,779,701 – 43,487,021 3,590,636 123,361,064 19,653,810 135,036,828

BNY Mellon Global Short-Dated High Yield Bond Fund Class A (Acc) Class A (Inc)^ Class C (Acc) Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Acc) (Hedged) Class H (Inc) (Hedged)^ Class I (Acc) (Hedged) Class I (Inc) (Hedged)^ Class W (Acc)

USD USD USD USD EUR EUR EUR EUR EUR USD

5,000 – 5,000 – – 100,000 – 100,000 – 5,000

3,207,085 5,156 8,960,821 5,000 100,000 53,225,274 314,299 81,540,338 188,288 53,923,412

(492,406) (78) (113,808) – – (4,089,855) (1,561) (5,413,868) (106,201) (5,738,118)

2,719,679 5,078 8,852,013 5,000 100,000 49,235,419 312,738 76,226,470 82,087 48,190,294

Fund

Share class Currency

BNY Mellon Global Property Securities Fund* Class A^ Class A^ Class C^ Class C^ Sterling I (Inc) (Hedged)^ Sterling J (Acc) (Hedged)^ Sterling J (Inc) (Hedged)^ BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (USD)

274

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

CHF EUR USD EUR GBP USD USD GBP

– – – – 100,000 17,763,485 366,530,345 47,148,146

634,900 33,381,951 30,005,287 106,553 707,197 5,364,603 51,925,032 45,947,798

(118,000) (1,291,646) (5,287) (3,277) (100,000) (1,025,111) (109,607,700) (56,359,931)

516,900 32,090,305 30,000,000 103,276 707,197 22,102,977 308,847,677 36,736,013

USD CAD

– –

5,000 25,500,000

– –

5,000 25,500,000

Class C Class C Class H (Hedged) Class H (Hedged)^ Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) Class X (Inc)

JPY USD EUR USD EUR USD JPY GBP JPY

5,000 5,000 34,242 1,170,843 2,813,945 1,953,199 5,000 5,697 13,254,925

– 22,096,192 84,363 – – 135,927 5,000 32,901 –

– (5,000) (40,491) (1,170,843) (2,735,493) (204,898) (5,000) (35,489) (4,416,204)

5,000 22,096,192 78,114 – 78,452 1,884,228 5,000 3,109 8,838,721

Class C (Acc) Class W (Inc)

JPY JPY

5,701 20,740,163

– –

– (3,042,662)

5,701 17,697,501

JPY USD CHF EUR USD SGD EUR USD JPY GBP

5,000 8,311,837 – 168,050 796,360 468,994 2,573,945 306,103 4,667,700 435,735

1,706,440 9,993,366 1,799,842 3,779,788 199,853 1,222,079 9,232,760 – 2,246,000 574,048

(80,504) (5,000) – (1,640,130) (311,990) (938,533) (3,617,898) (249,859) (4,662,700) (132,634)

1,630,936 18,300,203 1,799,842 2,307,708 684,223 752,540 8,188,807 56,244 2,251,000 877,149

EUR USD EUR GBP EUR USD GBP EUR

59,973,221 37,942,181 8,124,898 1,176,212 1,021,335 2,099,134 92,337 90,543,818

14,837,641 4,987,827 440,180 66,716 13,759 – 41 19,960,129

(19,934,307) (17,972,074) (8,050,686) (329,424) (54) (918,198) (4,376) (68,995,956)

54,876,555 24,957,934 514,392 913,504 1,035,040 1,180,936 88,002 41,507,991

Fund

Share class Currency

BNY Mellon Global Short-Dated High Yield Bond Fund cont’d. Class W (Acc) (Hedged)^ Class W (Acc) (Hedged)^ Class W (Inc)^ Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged) Class X (Acc) Class Y (Acc) Sterling Y (Acc) (Hedged) BNY Mellon Global Unconstrained Fund* Class W (Acc)^ Class X (Acc) (Hedged)^ BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund Class C Class C Class E (Acc) (Hedged)^ Class H (Hedged) Class H (Hedged) Class H (Acc) (Hedged) Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) BNY Mellon Long-Term Global Equity Fund Class A Class A Class A (Inc) Sterling A (Acc) Class B Class B Sterling B (Inc) Class C

275

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

USD EUR EUR EUR USD CHF USD USD GBP GBP GBP

115,052,624 68,500 45,226,591 16,904,256 55,292,887 134,700 235,441 20,278,244 11,443,816 1,964,225 287,730,910

45,939,976 – 17,330,963 34,038,610 11,983,749 91,622 2,637 – 32,645 79,156 9,185,466

(56,220,107) (68,500) (15,093,912) (8,311,061) (12,354,326) (16,000) – (180,000) (5,464,743) (5,235) (8,675)

104,772,493 – 47,463,642 42,631,805 54,922,310 210,322 238,078 20,098,244 6,011,718 2,038,146 296,907,701

Class A^ Class A^ Class B^ Class C^

EUR USD EUR EUR

685,436 539,462 117,385 4,517

7,292 23,760 – –

(692,728) (563,222) (117,385) (4,517)

– – – –

Class A Class A Class C Class C

USD EUR USD EUR

16,361,588 1,780,482 18,508,876 3,854,351

1,311,481 401,988 6,919,028 200,141

(5,975,892) (855,281) (10,309,686) (180,001)

11,697,177 1,327,189 15,118,218 3,874,491

Class A Class A Class B Class C Class C Class W (Acc)^ Sterling W (Acc)

EUR USD EUR EUR USD EUR GBP

3,167,279 5,000 36,529 2,198,792 9,500,039 – 5,000

4,144,705 74,664 1,421,817 9,425,215 40,153,051 164,481 30,136

(2,460,584) (16,925) (1,451,497) (4,334,658) (20,076,900) – (5,000)

4,851,400 62,739 6,849 7,289,349 29,576,190 164,481 30,136

Class A (Acc) Sterling W (Acc) (Hedged)

USD GBP

5,000 65,062,746

– 260,691

– –

5,000 65,323,437

Class A Class A Class B Class B^ Class C Class C Class W (Acc)^

USD EUR USD EUR USD EUR USD

1,597,313 1,814,434 152,761 5,555 44,437,393 45,543 –

536,004 998,195 – – 15,911,614 363,093 5,000

(1,173,484) (1,750,805) (85,009) (5,555) (31,677,888) (408,053) –

959,833 1,061,824 67,752 – 28,671,119 583 5,000

Class A (Acc)^ Class A (Inc)^

EUR EUR

– –

5,000 5,152

– (76)

5,000 5,076

Fund

Share class Currency

BNY Mellon Long-Term Global Equity Fund cont’d. Class C Class C (Inc)^ Class S Class W Class W Class W (Hedged) Class W (Hedged) Class W (Inc) Sterling W (Acc) Sterling W (Inc) Sterling X BNY Mellon Pan European Equity Fund*

BNY Mellon S&P 500® Index Tracker

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon U.S. Equity Income Fund*

276

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

USD USD EUR USD EUR GBP GBP GBP EUR EUR EUR USD USD GBP

– – – – – – – – – – – – – –

159,552 914,018 5,152 1,698,090 203,173 36,361,275 90,653,536 452,000 100,000 102,919 102,912 16,940,037 5,155 38,710,678

(154,552) (5,104) (76) (9,175) (12,743) (314,268) (2,079,472) – – (1,460) (1,456) (5,648,629) (77) (18,745)

5,000 908,914 5,076 1,688,915 190,430 36,047,007 88,574,064 452,000 100,000 101,459 101,456 11,291,408 5,078 38,691,933

Class A (Inc)^ Class A (Inc)^ Class C (Acc)^ Class C (Acc)^ Class E (Acc) (Hedged)^ Class I (Acc) (Hedged)^ Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Inc) (Hedged)^ Class X (Acc)^

USD EUR USD EUR EUR EUR EUR USD EUR USD

– – – – – – – – – –

5,000 5,000 5,000 5,000 100,000 100,000 100,000 24,509,713 100,000 5,000

– – – – – – – – – –

5,000 5,000 5,000 5,000 100,000 100,000 100,000 24,509,713 100,000 5,000

BNY Mellon U.S. Municipal Infrastructure Debt Fund* Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Class E (Acc) (Hedged)^ Class E (Acc) (Hedged)^ Class E (Inc) (Hedged)^ Sterling E (Acc) (Hedged)^ Sterling E (Inc) (Hedged)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Acc) (Hedged)^ Class I (Inc) (Hedged)^ Sterling I (Acc) (Hedged)^ Sterling I (Inc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged)^ Sterling W (Inc) (Hedged)^ Class X (Acc)^

USD EUR USD EUR CHF EUR GBP GBP EUR EUR EUR EUR GBP GBP USD EUR EUR GBP GBP USD

– – – – – – – – – – – – – – – – – – – –

83,457,393 5,071 2,655,000 10,231,313 3,305,000 4,991,313 100,000 101,353 100,943 127,562 100,000 101,314 100,000 101,354 26,368,744 1,800,000 10,796,500 100,000 101,354 15,000,000

(5,000) (36) – (100,000) – (101,313) – (676) – (658) – (657) – (677) – (100,000) (656) – (677) –

83,452,393 5,035 2,655,000 10,131,313 3,305,000 4,890,000 100,000 100,677 100,943 126,904 100,000 100,657 100,000 100,677 26,368,744 1,700,000 10,795,844 100,000 100,677 15,000,000

Fund

Share class Currency

BNY Mellon U.S. Equity Income Fund* cont’d. Class C (Acc)^ Class C (Inc)^ Class C (Inc)^ Class E (Inc)^ Class E (Inc)^ Sterling E (Acc)^ Sterling E (Inc)^ Sterling E (Inc) (Hedged)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Inc)^ Sterling W (Inc)^ BNY Mellon U.S. High Yield Beta Fund*

277

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

5,000 365,597 8,578 27,320,445 619,261 5,000 –

– 127,305 13,895 40,617,939 3,355 – 5,000

(5,000) (294,520) (5,000) (36,078) (619,261) (5,000) –

– 198,382 17,473 67,902,306 3,355 – 5,000

BNY Mellon US Opportunities Fund Class A^ Class A Class A (Inc) Class C Class C Class W^ Class W (Acc)^

USD EUR EUR USD EUR EUR USD

* Please refer to Note 19 of the ﬁnancial statements. ^ This share class was launched or closed during the ﬁnancial year.

The activity on redeemable participating shares for the ﬁnancial year ended 31 December 2016 was as follows:

Fund

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR CHF USD EUR GBP EUR USD EUR EUR USD EUR CHF USD EUR GBP

104,579,065 1,873,142 4,099,171 4,891,000 5,684,897 18,315,251 1,124,668 3,859,546 13,030,343 1,552,082 30,869,805 458,535 1,890,506 3,684,911 18,852,697

– – – – – 5,428,642 316,639 80,768 13,473,751 9,932,710 423,750 12,000 2,755,917 265,311 8,721,218

(88,822,013) (1,773,142) (4,099,171) (4,891,000) (3,680,601) (12,781,374) (710,222) (693,950) (11,449,503) (1,834,789) (30,713,103) (470,535) (1,225,690) (3,945,068) (11,043,180)

15,757,052 100,000 – – 2,004,296 10,962,519 731,085 3,246,364 15,054,591 9,650,003 580,452 – 3,420,733 5,154 16,530,735

EUR EUR USD GBP EUR USD EUR EUR EUR USD CHF GBP EUR USD

3,630,012 51 1,692,670 991,601 1,119,207 280,963 56,659 8,407,270 2,918 672,612 – 53,681 – –

253,837 1,900 263,155 517,533 634,227 33,437 41,410 5,591,382 14,507 393,026 213,452 101,851 51,087 26,466

(2,733,068) – (864,702) (456,207) (916,782) (124,331) (27,022) (4,308,996) (14,499) (567,475) (111,721) (31,687) – –

1,150,781 1,951 1,091,123 1,052,927 836,652 190,069 71,047 9,689,656 2,926 498,163 101,731 123,845 51,087 26,466

Share class Currency

BNY Mellon Absolute Insight Fund Class E (Acc) Class E (Acc) (Hedged) Class E (Acc) (Hedged) Class E (Inc) Sterling E (Acc) (Hedged) Class R (Acc) Class R (Acc) (Hedged) Class R (Inc) Class S (Acc) Class T (Acc) (Hedged) Class U (Acc) Class U (Acc) (Hedged) Class U (Acc) (Hedged) Class U (Inc) Sterling U (Acc) (Hedged) BNY Mellon Absolute Return Bond Fund Class C Class C (Inc) Class I (Hedged) Sterling I (Acc) (Hedged) Class R Class R (Hedged) Class R (Inc) Class S Class S (Inc) Class T (Hedged) Class T (Hedged) Sterling T (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged)

278

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Absolute Return Bond Fund cont’d. Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged) Class X Sterling X (Acc) (Hedged) Class Z (Acc)

USD GBP GBP EUR GBP EUR

– 489,778 25,057 2,446,872 7,100 –

36,956 100,212 3,637 777,049 733,191 50

– (76,029) (2,771) (31,767) (300) –

36,956 513,961 25,923 3,192,154 739,991 50

BNY Mellon Absolute Return Equity Fund Class R (Hedged) Class R (Hedged) Class R (Hedged) Class R (Inc) (Hedged) Sterling R (Acc) Sterling S (Acc) Class T (Hedged) Class T (Hedged) Class U (Hedged) Class U (Hedged) Sterling U (Acc) Sterling X (Acc)

CHF EUR USD EUR GBP GBP EUR USD EUR USD GBP GBP

6,692,740 729,854,401 42,329,465 12,467,816 3,959,903 57,858,432 768,349,162 31,477,986 221,816,479 31,116,048 145,282,421 62,689,846

1,410,790 351,676,627 21,088,003 3,630,513 1,568,803 13,687,178 424,551,664 4,355,135 188,972,885 70,887,649 80,190,170 93,432,225

(4,549,308) (269,653,861) (11,325,662) (1,475,786) (2,058,298) (31,351,449) (534,615,365) (13,319,495) (156,027,483) (49,778,908) (32,775,092) (18,068,484)

3,554,222 811,877,167 52,091,806 14,622,543 3,470,408 40,194,161 658,285,461 22,513,626 254,761,881 52,224,789 192,697,499 138,053,587

Class A (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class E (Acc) Class E (Inc) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class I (Acc) (Hedged) Class I (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) Class W (Inc) (Hedged) Class X (Acc)

USD USD USD USD USD USD EUR EUR EUR EUR USD EUR USD EUR USD

5,000 5,119 23,812,946 5,149 – 4,144,531 374,689 76,250 74,689 76,637 1,618,650 74,689 5,171 76,910 9,363,676

– 190 – 236 13,797,989 – – 12,500 – 3,541 453,729 – 270 4,032 –

– (82) (9,266,680) (101) (13,792,989) (877,487) – (1,225) – (1,520) (2,067,734) – (116) (1,731) (4,008,308)

5,000 5,227 14,546,266 5,284 5,000 3,267,044 374,689 87,525 74,689 78,658 4,645 74,689 5,325 79,211 5,355,368

Class A Class A Class B Class B Class C Class C Sterling C (Inc) Class W Sterling W (Inc)

USD EUR USD EUR USD EUR GBP USD GBP

13,409,081 10,579,995 3,446,301 49,870 121,550 5,438,676 8,164 8,130,289 5,141

142,902 664,404 – – 78,087 20,525 93 245,302 75

(3,442,516) (2,552,500) (157,805) – (92,534) (570,322) – (7,203,285) –

10,109,467 8,691,899 3,288,496 49,870 107,103 4,888,879 8,257 1,172,306 5,216

BNY Mellon Asian Bond Fund

BNY Mellon Asian Equity Fund

279

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Asian Income Fund Class A (Acc) Class A (Acc) Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling A (Inc) Class B (Acc) Class C (Acc) Sterling C (Acc) Class H (Inc) Hedged Class J (Inc) (Hedged) Class W (Inc) Class W (Inc) Sterling W (Inc)

EUR USD EUR USD GBP GBP USD USD GBP EUR EUR EUR USD GBP

5,000 225,497 5,185 5,179 5,000 5,182 953,747 29,853,614 5,000 – – 400,342 1,937,460 2,010,889

30,538 – 9,736 255 – 253 57,267 – 1,607 102,230 112,616 573,454 8,004,939 3,444,263

(17,229) – (119) (121) – (121) (682,615) (13,534,774) (1,607) (102,230) – (75,000) (7,965,302) (2,975,292)

18,309 225,497 14,802 5,313 5,000 5,314 328,399 16,318,840 5,000 – 112,616 898,796 1,977,097 2,479,860

Class A Class A Class B Class B Sterling B (Acc) Class C Class C Sterling C (Inc) Class H (Hedged) Class I (Hedged) Class W (Acc) Class W (Acc) Sterling W (Acc)

USD EUR USD EUR GBP USD EUR GBP EUR EUR USD EUR GBP

32,926,543 22,614,795 3,739,451 4,698 335,396 27,900,701 3,743,149 223,299 34,667 7,000 2,116,382 704,522 141,942

17,485,540 21,493,480 145,000 – 170,608 32,974,908 4,275,041 10,000 3,268,856 3,194,558 2,196,430 85,592 4,790,970

(26,946,212) (23,265,130) (2,464,698) – (109,979) (29,661,131) (6,299,852) (107,864) (2,637,637) (3,201,558) (2,230,344) (699,522) (3,463,523)

23,465,871 20,843,145 1,419,753 4,698 396,025 31,214,478 1,718,338 125,435 665,886 – 2,082,468 90,592 1,469,389

Class A Class A (Inc) Class C Class C Class C (Inc) Class I (Acc) (Hedged) Class X

EUR EUR EUR USD EUR USD EUR

3,415,636 264,085 2,913,857 5,183 104,534,351 25,368,247 92,428,140

400,150 878,294 24,893 – 1,042,150 – 1,820,000

(3,815,786) (1,142,379) (2,938,750) (5,183) (105,576,501) (25,368,247) (94,248,140)

– – – – – – –

USD EUR EUR USD USD EUR EUR USD EUR

5,000 5,000 5,000 360,975 5,000 91,212 91,212 1,855,926 91,212

– – – 7,384,781 – 16,075 – – –

– – – – – – – (1,850,926) –

5,000 5,000 5,000 7,745,756 5,000 107,287 91,212 5,000 91,212

BNY Mellon Brazil Equity Fund

BNY Mellon Crossover Credit Fund**

BNY Mellon Dynamic Total Return Fund Class A (Acc) Class A (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class H (Acc) (Hedged) Class I (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged)

280

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Dynamic Total Return Fund cont’d. Class W (Inc) Class W (Inc) (Hedged) Sterling W (Acc) Sterling W (Acc) (Hedged) Sterling W (Inc) Sterling W (Inc) (Hedged) Class X (Acc)

USD EUR GBP GBP GBP GBP USD

5,000 91,212 5,000 64,888 5,000 64,888 9,348,448

– – – – – – –

5,000 91,212 5,000 64,888 5,000 64,888 9,348,448

BNY Mellon Emerging Markets Corporate Debt Fund Class A Class A Class B Class C Class C Class H (Hedged) Class I (Hedged) Class W Class W Class W (Acc) (Hedged) Sterling W (Acc) (Hedged) Class X

USD EUR USD USD EUR EUR EUR USD EUR CHF GBP USD

11,217 5,926 180 31,590 104,014 50 1,550 6,762 50 – 25,998 662,650

31,959 39,395 2,525 339,864 30,262 130,442 119,306 120,499 – 16,876 1,006 468

(2,184) (7,508) (1,950) (85,990) (81,136) (52,110) (103,509) (20,445) – – (23,179) (25,905)

40,992 37,813 755 285,464 53,140 78,382 17,347 106,816 50 16,876 3,825 637,213

Class A Class A Class C Class C Class C (Inc) Class H (Acc) (Hedged) Class I (Acc) (Hedged) Class W

USD EUR USD EUR USD EUR EUR USD

4,751,012 5,041,762 3,864,968 22,126,674 6,022 1,436,025 1,621,470 5,000

3,287,005 4,501,327 18,288,044 4,114,651 583 15,765,698 7,939,576 –

(4,461,446) (4,805,321) (18,822,177) (8,503,534) (246) (16,937,407) (9,561,046) –

3,576,571 4,737,768 3,330,835 17,737,791 6,359 264,316 – 5,000

BNY Mellon Emerging Markets Debt Local Currency Fund Class A Class A Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling A (Inc) Class B Class B Sterling B (Acc) Sterling B (Inc) Class C Class C Class C (Inc) Class C (Inc) Sterling C (Acc) Sterling C (Inc)

USD EUR USD EUR GBP GBP USD EUR GBP GBP USD EUR USD EUR GBP GBP

88,558,629 44,626,300 291,127 1,478,994 586,045 64,609 5,000 5,000 6,210 11,548 195,008,030 35,106,345 3,463,630 122,616,138 9,717,522 9,341,067

26,093,135 21,581,047 391,432 117,800 891 – – – 29,570 8,142 97,864,044 81,392 – 6,838 1,665 2,878

(64,327,715) (26,280,374) (75,435) (98,918) (201,523) (19,860) – – (12,064) (11,852) (279,828,896) (7,082,132) (2,182,932) (28,727,500) (292,085) (8,713,465)

50,324,049 39,926,973 607,124 1,497,876 385,413 44,749 5,000 5,000 23,716 7,838 13,043,178 28,105,605 1,280,698 93,895,476 9,427,102 630,480

BNY Mellon Emerging Markets Debt Fund

281

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Emerging Markets Debt Local Currency Fund cont’d. Class H (Hedged) EUR Class I (Hedged) EUR Class I (Inc) (Hedged) EUR Sterling J (Inc) (Hedged) GBP Class W USD Class W EUR Class W (Hedged) EUR Class W (Inc) USD Class W (Inc) EUR Sterling W (Inc) GBP Sterling W (Inc) (Hedged) GBP Class X USD Class X (Inc) CHF

2,071,331 3,657,282 102,964,913 173,529 57,996,483 1,239,403 66,209,439 30,273 5,815 30,586,849 969,149 322,075,097 214,526,742

4,097,078 79,375 37,503,769 10,367 496,303 927,345 17,173,385 9,460 622 2,344,913 20,888 7,973,952 –

(2,544,048) (2,615,143) (53,763,895) (172,896) (1,783,174) (767,991) (44,016,948) (30,660) (263) (8,873,559) (690,660) (126,393,514) (48,924,175)

3,624,361 1,121,514 86,704,787 11,000 56,709,612 1,398,757 39,365,876 9,073 6,174 24,058,203 299,377 203,655,535 165,602,567

USD EUR USD EUR EUR USD USD

5,000 5,000 203,500 5,000 5,000 18,750,016 73,078,235

– 113,152 – – – 3,457,050 4,899,147

– (5,000) – – – (8,753,060) (25,762,035)

5,000 113,152 203,500 5,000 5,000 13,454,006 52,215,347

Class A Class A (Inc) Class B Class B (Inc) Class C Class C (Inc) Class C (Acc) Class H (Acc) (Hedged) Class H (Hedged) Class I (Acc) (Hedged) Class I (Hedged) Class S Class W (Acc) Class W (Acc) (Hedged) Class Z (Acc) Class Z (Acc) (Hedged) Class Z (Acc) (Hedged)

EUR EUR EUR EUR EUR EUR USD USD CHF USD CHF EUR EUR USD EUR CHF USD

468,545,608 29,085,807 372,209 40,103 569,713,471 113,559,836 – 1,601,554 141,184,041 7,992,020 23,166,810 375,035,740 – – 11,162,550 100,000 100,000

100,933,652 4,508,479 – 162,099 72,110,648 18,687,051 21,677,282 654,325 20,866,494 24,309,466 4,994,357 27,781,977 1,431,408 8,116,076 36,869,650 – –

(324,055,822) (9,213,509) (144,215) (40) (447,677,986) (23,059,520) (21,677,282) (1,302,609) (25,863,350) (8,193,703) (10,241,062) (329,764,717) – (86,000) (24,374,610) – –

245,423,438 24,380,777 227,994 202,162 194,146,133 109,187,367 – 953,270 136,187,185 24,107,783 17,920,105 73,053,000 1,431,408 8,030,076 23,657,590 100,000 100,000

Class A Class C Class C (Inc) Class I (Hedged) Class X Class X (Inc)

EUR EUR EUR USD EUR EUR

962 55,050 53 198,308 229,311 53

732 45,130 – – 466,877 2

(997) (59,766) – (198,308) (14,384) (1)

697 40,414 53 – 681,804 54

Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund Class A Class A Class C Class C Class W Class X Class X (Inc) BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

282

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Global Bond Fund Class A Class A Class B Class C Class C Class C (Inc) Sterling C (Inc) Class H (Hedged) Class I (Hedged) Class X

USD EUR USD USD EUR USD GBP EUR EUR USD

32,965,754 11,629,187 1,192,532 35,290,716 42,785,010 641,012 3,560,183 3,017,184 17,501,100 9,620,694

13,446,941 4,827,611 52,274 78,301,300 89,368,290 430,170 3,385,908 1,811,216 4,667,779 –

(11,423,510) (5,815,632) (86,720) (44,966,724) (39,393,552) (430,078) (3,254,497) (1,891,129) (3,967,406) (57,883)

34,989,185 10,641,166 1,158,086 68,625,292 92,759,748 641,104 3,691,594 2,937,271 18,201,473 9,562,811

Class B (Acc) Class C (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Acc) (Hedged) Sterling W (Acc) (Hedged) Class X (Acc) Class X (Acc) (Hedged)

USD USD EUR EUR USD EUR CHF GBP USD CAD

– – – – – – – – – –

15,609,922 5,000 8,909,446 100,000 26,000 100,000 100,000 100,933 5,000 479,804,141

– – – – – – – – – –

15,609,922 5,000 8,909,446 100,000 26,000 100,000 100,000 100,933 5,000 479,804,141

USD EUR USD USD EUR EUR EUR EUR USD EUR CHF GBP

1,263,195 463,050 5,177 88,656,802 11,495,653 673,207 63,247,884 2,593,427 33,682,328 33,362,186 – 1,182,376

1,114,107 927,311 682,425 60,999,448 6,507,746 291,394 5,292,906 6,716,467 41,497,158 28,449,816 100,000 1,434,811

(361,760) (106,443) (1,534) (30,524,853) (9,533,788) (402,439) (17,060,739) (948,782) (6,607,211) (668,181) – (105,930)

2,015,542 1,283,918 686,068 119,131,397 8,469,611 562,162 51,480,051 8,361,112 68,572,275 61,143,821 100,000 2,511,257

USD EUR USD EUR GBP USD EUR

167,124 1,115,976 11,113 5,000 5,130 342,637 7,088

489 59,262 – – 149 – 13

(167,613) (1,175,238) (11,113) (5,000) (5,279) (342,637) (7,101)

– – – – – – –

BNY Mellon Global Credit Fund*

BNY Mellon Global Dynamic Bond Fund Class A Class A Class A (Inc) Class C Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W Class W (Hedged) Class W (Acc) (Hedged) Sterling W (Acc) (Hedged) BNY Mellon Global Emerging Markets Equity Value Fund** Class A Class A Class B Class B Sterling B (Acc) Class C Class C

283

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d.

Fund

Share class Currency

Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

BNY Mellon Global Emerging Markets Fund Class A Class A Class A (Inc) Class A (Inc) Class B (Inc) Class B (Inc) Sterling B (Inc) Class C Class C (Acc) Class C (Inc) Sterling C (Inc) Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W (Acc) Class W (Inc) Class W (Inc) Sterling W (Inc)

USD EUR USD EUR USD EUR GBP USD USD USD GBP EUR EUR EUR EUR USD USD EUR GBP

5,000 5,000 5,571 122,186 603,117 31,404 5,605 4,698 73,296,891 98,754 5,603 5,000 380,540 87,023 5,540 5,000 6,533 32,557 5,603

6,965 23,394 – 7,657 – – – 5,261 4,873,747 6,168 11 – – – 11 – 13 48 25

– (4,855) – (10,447) (495,999) – – (4,698) (46,813,663) (247) – – – – – – – – –

11,965 23,539 5,571 119,396 107,118 31,404 5,605 5,261 31,356,975 104,675 5,614 5,000 380,540 87,023 5,551 5,000 6,546 32,605 5,628

Class A Class A Class B Class B Class C Class C Class I (Hedged) Class W (Acc) Class W (Acc)

USD EUR USD EUR USD EUR EUR USD EUR

11,745,484 563,702 4,659,130 5,000 16,985,288 95,245,258 786,485 – –

7,311,509 4,766,212 – – 5,588,846 10,125,195 47,501 17,943,091 170,799,706

(7,712,156) (4,664,160) (582,835) – (11,293,315) (105,364,630) (104,672) (741,168) (2,642,310)

11,344,837 665,754 4,076,295 5,000 11,280,819 5,823 729,314 17,201,923 168,157,396

Class A Class A Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling A (Inc) Class B Class B Class B (Inc) Class B (Inc) Sterling B (Inc) Class C Class C Class C (Inc) Class C (Inc) Sterling C (Inc)

USD EUR USD EUR GBP GBP USD EUR USD EUR GBP USD EUR USD EUR GBP

13,508,531 30,254,758 2,783,219 – 30,158 16,946 16,659,780 2,898,201 16,701,061 581,098 4,192,076 6,189,055 7,394,946 12,735,777 22,922,044 16,150,837

7,198,976 50,268,343 831,495 178,424 154,660 277 11,453,237 1,164,095 960,631 36,761 602,475 4,107,429 20,854,215 3,552,823 26,613,681 1,484,627

(8,233,067) (14,349,494) (763,075) (65) (69,759) (12,035) (6,050,861) (1,321,248) (5,798,796) (348,978) (838,489) (7,788,367) (9,820,414) (3,452,061) (24,480,056) (7,415,266)

12,474,440 66,173,607 2,851,639 178,359 115,059 5,188 22,062,156 2,741,048 11,862,896 268,881 3,956,062 2,508,117 18,428,747 12,836,539 25,055,669 10,220,198

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

284

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR EUR EUR EUR USD EUR USD EUR GBP GBP USD EUR USD EUR GBP GBP

420,968 345,377 105,920,632 34,453 3,575,246 3,502,127 4,846,254 16,806,587 2,327,533 18,001,503 5,000 5,000 5,154 5,000 285,147 5,153

24,243,165 3,715,928 63,667,123 2,739,781 16,947,807 6,523,472 7,725,970 30,262,693 5,317,089 14,411,252 41,214,873 9,479,377 9,762,919 1,768,098 – 780,840

(21,097,427) (634,585) (51,913,789) (133) (14,635,758) (2,055,184) (1,394,524) (3,711,055) (3,922,628) (3,371,081) (36,276,477) (6,756,504) (9,160,521) (119,957) (280,147) (22,553)

3,566,706 3,426,720 117,673,966 2,774,101 5,887,295 7,970,415 11,177,700 43,358,225 3,721,994 29,041,674 4,943,396 2,727,873 607,552 1,653,141 5,000 763,440

Class A Class A (Inc) Class C Class C Class H (Hedged) Class I (Hedged) Class X Class X (Inc) Class X (Inc) (Hedged)

EUR EUR USD EUR EUR EUR USD USD EUR

6,853,523 – 14,748,800 1,055,302 3,030,783 617,068 5,000 56,338,055 45,013,667

1,886,058 5,240 89,652,012 7,529,447 876,301 4,977,569 – 2,462,659 3,568,138

(2,125,350) (120) (59,684,644) (5,302,460) (3,563,022) (4,717,860) – (18,438,632) (12,805,374)

6,614,231 5,120 44,716,168 3,282,289 344,062 876,777 5,000 40,362,082 35,776,431

Class A (Acc) Class C (Acc) Sterling E (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc)

USD USD GBP EUR EUR USD EUR EUR GBP

– – – – – – – – –

5,000 27,541,559 5,000 100,000 100,000 5,000 100,000 100,000 5,000

– – – – – – – – –

5,000 27,541,559 5,000 100,000 100,000 5,000 100,000 100,000 5,000

USD USD USD EUR EUR GBP USD USD

1,385,243 62,634,762 5,000 1,417,704 4,782,714 14,840,799 70,436,961 43,089,158

55,070 8,964,588 811,163 302,942 5,959 – 317,715 –

(117,914) (42,589,427) (810,962) (492,376) (4,770,501) – (3,602,722) (43,089,158)

1,322,399 29,009,923 5,201 1,228,270 18,172 14,840,799 67,151,954 –

Fund

Share class Currency

BNY Mellon Global Equity Income Fund cont’d. Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W Class W Class W (Inc) Class W (Inc) Sterling W (Acc) Sterling W (Inc) Class Z (Acc) Class Z (Acc) Class Z (Inc) Class Z (Inc) Sterling Z (Acc) Sterling Z (Inc) BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund*

BNY Mellon Global Opportunistic Bond Fund Class A Class C Class C (Inc) Class H (Hedged) Class I (Hedged) Sterling I (Acc) (Hedged) Class X Class X (Inc)

285

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

USD EUR USD EUR USD EUR EUR EUR EUR

7,772,279 10,983,439 1,068,325 5,000 520,999 9,557,445 3,560,410 2,004,042 25,806,256

6,682,965 10,786,641 54,083 – 1,727,379 2,670,080 900,758 8,119,173 –

(6,470,474) (6,122,926) (117,035) – (1,644,800) (8,080,088) (1,415,236) (527,393) (17,050,118)

7,984,770 15,647,154 1,005,373 5,000 603,578 4,147,437 3,045,932 9,595,822 8,756,138

EUR USD EUR USD GBP GBP GBP

668,020 1,164,302 460,281 9,926,084 52,752 111,517 26,565

247,005 – 3,600 8,565,310 10,766 15,834 410

(639,433) (660,040) (459,015) (442,489) (34,617) (80,951) (20,293)

275,592 504,262 4,866 18,048,905 28,901 46,400 6,682

Class A Class A (Inc) Class C Class C (Inc) Class W Class W (Acc) (Hedged) Class X Class Z (Acc)

EUR EUR EUR EUR EUR CHF EUR EUR

471,869,006 11,583,736 802,226,027 6,125,633 580,716,208 – 244,735,285 12,871,218

885,658,613 44,654,852 469,474,649 3,988,881 550,162,425 9,661,043 24,586,031 31,068,662

(384,371,306) (12,273,607) (217,211,283) (2,831,404) (114,690,761) – (52,263,408) (19,425,483)

973,156,313 43,964,981 1,054,489,393 7,283,110 1,016,187,872 9,661,043 217,057,908 24,514,397

BNY Mellon Global Real Return Fund (GBP) Sterling B (Acc) Sterling B (Inc) Sterling C (Inc) Sterling W (Acc) Sterling W (Inc) Sterling X (Acc)

GBP GBP GBP GBP GBP GBP

243,157 300,207 5,117,782 4,799,095 14,919,690 30,167,656

2,185,553 441,188 707,501 2,145,018 11,468,908 10,362,071

(175,740) – (1,348,960) (713,981) (2,934,670) (17,046,302)

2,252,970 741,395 4,476,323 6,230,132 23,453,928 23,483,425

Class A Class A (Inc) Class C Class C (Inc) Class W (Acc) Class W (Inc) Class X

USD USD USD USD USD USD USD

85,248,275 – 51,570,493 4,356,366 28,481,024 5,567,010 201,148,872

58,786,873 12,000 55,135,852 596,541 101,254,527 7,126,124 26,508,728

(27,402,047) – (63,608,200) (705,423) (13,526,853) (1,847,979) (30,867,754)

116,633,101 12,000 43,098,145 4,247,484 116,208,698 10,845,155 196,789,846

BNY Mellon Global Short-Dated High Yield Bond Fund* Class A (Acc) Class C (Acc) Class H (Acc) (Hedged)

USD USD EUR

– – –

5,000 5,000 100,000

– – –

5,000 5,000 100,000

Fund

Share class Currency

BNY Mellon Global Opportunities Fund Class A Class A Class B Class B Class C Class C Class H (Hedged) Class I (Hedged) Class X BNY Mellon Global Property Securities Fund Class A Class A Class C Class C Sterling I (Inc) (Hedged) Sterling J (Acc) (Hedged) Sterling J (Inc) (Hedged) BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (USD)

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

EUR USD GBP USD USD GBP

– – – – – –

100,000 5,000 100,000 17,763,485 433,124,663 50,042,647

– – – – (66,594,318) (2,894,501)

100,000 5,000 100,000 17,763,485 366,530,345 47,148,146

Class C Class C Class H (Hedged) Class H (Hedged) Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) Class X (Inc)

JPY USD EUR USD EUR USD JPY GBP JPY

5,000 5,000 5,000 194,230 2,573,945 12,694,687 5,000 6,179 15,070,189

– 6,858,213 40,441 2,051,852 450,000 1,748,301 – 1,640 2,434,237

– (6,858,213) (11,199) (1,075,239) (210,000) (12,489,789) – (2,122) (4,249,501)

5,000 5,000 34,242 1,170,843 2,813,945 1,953,199 5,000 5,697 13,254,925

Class C (Acc) Class W (Inc)

JPY JPY

– –

5,701 20,740,163

– –

5,701 20,740,163

JPY USD EUR USD SGD EUR USD JPY GBP

2,393,000 5,000 86,900 2,324,839 – 2,614,728 14,318,378 4,667,700 27,926

– 10,401,246 414,053 902,623 651,268 – – – 443,971

(2,388,000) (2,094,409) (332,903) (2,431,102) (182,274) (40,783) (14,012,275) – (36,162)

5,000 8,311,837 168,050 796,360 468,994 2,573,945 306,103 4,667,700 435,735

EUR USD EUR GBP EUR USD GBP EUR USD EUR EUR EUR USD CHF USD USD

76,679,456 87,700,119 4,179,979 1,582,469 1,026,488 3,290,374 64,616 107,003,513 86,463,272 68,500 49,507,286 2,038,731 45,638,160 202,200 317,115 20,296,199

15,041,535 3,896,150 3,948,480 207,716 1,215 481,481 27,721 27,319,977 40,250,960 28,003 2,337,395 19,579,232 23,211,008 33,300 – 152,695

(31,747,770) (53,654,088) (3,561) (613,973) (6,368) (1,672,721) – (43,779,672) (11,661,608) (28,003) (6,618,090) (4,713,707) (13,556,281) (100,800) (81,674) (170,650)

59,973,221 37,942,181 8,124,898 1,176,212 1,021,335 2,099,134 92,337 90,543,818 115,052,624 68,500 45,226,591 16,904,256 55,292,887 134,700 235,441 20,278,244

Fund

Share class Currency

BNY Mellon Global Short-Dated High Yield Bond Fund* cont’d. Class I (Acc) (Hedged) Class W (Acc) Sterling W (Acc) (Hedged) Class X (Acc) Class Y (Acc) Sterling Y (Acc) (Hedged) BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund*

BNY Mellon Japan Small Cap Equity Focus Fund Class C Class C Class H (Hedged) Class H (Hedged) Class H (Acc) (Hedged) Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) BNY Mellon Long-Term Global Equity Fund Class A Class A Class A (Inc) Sterling A (Acc) Class B Class B Sterling B (Inc) Class C Class C Class C (Inc) Class S Class W Class W Class W (Hedged) Class W (Hedged) Class W (Inc)

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2. SHARE CAPITAL cont’d. REDEEMABLE PARTICIPATING SHARES cont’d. Shares in issue at beginning of financial year

Shares issued during the financial year

Shares redeemed during the financial year

Shares in issue at end of financial year

GBP GBP EUR GBP

12,601,211 971,444 100,904,915 301,522,894

16,416 1,165,608 – –

(1,173,811) (172,827) (100,904,915) (13,791,984)

11,443,816 1,964,225 – 287,730,910

Class A Class A Class B Class C Class C

EUR USD EUR EUR USD

1,085,124 507,978 117,385 4,517 20,548,468

88,698 131,427 – – –

(488,386) (99,943) – – (20,548,468)

685,436 539,462 117,385 4,517 –

Class A Class A Class C Class C

USD EUR USD EUR

21,318,684 1,792,632 12,970,187 4,145,751

994,680 740,352 12,450,691 –

(5,951,776) (752,502) (6,912,002) (291,400)

16,361,588 1,780,482 18,508,876 3,854,351

Class A Class A Class B Class C Class C Class I (Acc) (Hedged) Sterling W (Acc)

EUR USD EUR EUR USD USD GBP

3,729,894 5,000 48,529 2,779,497 5,000 35,408,090 –

955,828 – – 3,501,718 34,493,517 – 5,000

(1,518,443) – (12,000) (4,082,423) (24,998,478) (35,408,090) –

3,167,279 5,000 36,529 2,198,792 9,500,039 – 5,000

USD GBP

5,000 64,822,766

– 239,980

– –

5,000 65,062,746

Class A Class A Class B Class B Class C Class C

USD EUR USD EUR USD EUR

1,252,399 661,688 152,761 5,000 14,746,051 45,543

1,241,675 3,083,316 – 555 32,833,635 –

(896,761) (1,930,570) – – (3,142,293) –

1,597,313 1,814,434 152,761 5,555 44,437,393 45,543

Class A Class A Class A (Inc) Class C Class C Class W

USD EUR EUR USD EUR EUR

5,000 791,565 8,578 47,621,548 5,000 5,000

– 71,820 – 25,984,527 614,261 –

– (497,788) – (46,285,630) – –

5,000 365,597 8,578 27,320,445 619,261 5,000

Fund

Share class Currency

BNY Mellon Long-Term Global Equity Fund cont’d. Sterling W (Acc) Sterling W (Inc) Class X Sterling X BNY Mellon Pan European Equity Fund

BNY Mellon S&P 500® Index Tracker

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund Class A (Acc) Sterling W (Acc) (Hedged) BNY Mellon U.S. Dynamic Value Fund

BNY Mellon US Opportunities Fund

* This Fund launched during the ﬁnancial year. ** This Fund closed during the ﬁnancial year.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

3. MANAGEMENT AND PERFORMANCE FEES MANAGEMENT FEES The Manager is entitled to receive out of the assets of a Fund an annual management fee in respect of each class, accruing daily and payable monthly in arrears at an agreed annual rate as set out in the relevant supplement of the prospectus. The table below outlines the range of annual management fee rates for each share class: Share Class

Rate

Share Class

Rate

Class A Class B Class C Class D Class E Class F Class G Class H Class I Class J

0.40% – 2.00% 0.75% – 1.50% 0.30% – 1.00% 0.50% – 1.00% 0.10% – 1.50% 0.10% 0.30% – 1.00% 0.40% – 2.00% 0.30% – 1.00% 0.75% – 1.50%

Class R Class S Class T Class U Class W Class X Class Y Class Z

0.60% – 2.75% 0.20% – 2.00% 0.40% – 2.00% 0.20% – 1.75% 0.20% – 0.75% None None 0.40% – 0.65%

Management fees accrued to the Manager and the amounts due at the ﬁnancial year end are included in the “Management Fee” and “Expenses Payable” ﬁgures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

PERFORMANCE FEES In addition to the annual management fee, the Manager is entitled to an annual performance fee (the “Performance Fee”) in respect of certain classes of the following Funds, as detailed in the relevant supplement of the prospectus. The table below outlines the performance fee rates and benchmarks of the respective share class: Fund

Benchmark

Rate

BNY Mellon Absolute Insight Fund*

1 month EURIBOR / USD LIBOR / GBP LIBOR / CHF LIBOR / SGD LIBOR

Class E, R, S, T and U – 10.00%

BNY Mellon Absolute Return Bond Fund

3 month EURIBOR / USD LIBOR / GBP LIBOR / CHF LIBOR

Class D, R, S and T - 10.00%

BNY Mellon Absolute Return Equity Fund

1 month EURIBOR / USD LIBOR / GBP LIBOR / CHF LIBOR

Class D, R, S, T and U - 15.00%

BNY Mellon Dynamic U.S. Equity Fund*

S&P 500 Net Total Return Index in USD terms

Class U – 10.00%

BNY Mellon Long-Term Global Equity Fund

MSCI World Daily (with net dividends reinvested) in Euro/USD terms

Class S – 15.00%

* Please refer to Note 19 of the ﬁnancial statements.

Performance fees accrued to the Manager and the amounts due at the year end are included in the “Performance Fee” and “Performance Fees Payable” ﬁgures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

4. ADMINISTRATION FEES The Manager pays to BNY Mellon Fund Services (Ireland) Designated Activity Company (the “Administrator”) out ofthe assets of each Fund an annual fee which shall accrue daily and be payable monthly in arrears as detailed in the prospectus. The annual fee accrued to the Administrator is attributable to all share classes and represents a deduction from the net asset value of the Fund and, accordingly, each class. Fees accrued to the Administrator and the amounts due at the ﬁnancial year end are included in the “Operating Expenses” and “Expenses Payable” ﬁgures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

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5. DEPOSITARY FEES The Company pays to the Depositary out of the assets of each Fund an annual fee which shall accrue daily and be payable monthly in arrears as detailed in the prospectus. The annual fee accrued to the Depositary is attributable to all share classes and represents a deduction from the net asset value of the Fund and, accordingly, each class. Fees accrued to the Depositary and the amounts due at the ﬁnancial year end are included in the “Depositary Fee” and “Expenses Payable” ﬁgures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

6. REBATE FROM MANAGER In order to maintain the Total Expense Ratios (“TER”) of particular funds at a competitive level with regard to the comparable funds in the market place, BNY Mellon Investment Management EMEA Limited (the “Global Distributor and Promoter”) undertook to pay, via the Manager, a sum equivalent to the percentage amount, if any, the TER of the following Funds exceeds an agreed TER limit, effectively structured as an Annual Management Charge (“AMC”) plus acap arrangement: Fund BNY Mellon Absolute Insight Fund (capped until closure date of 1 December 2017) BNY Mellon Asia Rising Stars Fund (capped from launch date of 10 January 2017) BNY Mellon Asian Bond Fund (capped until closure date of 31 May 2017) BNY Mellon Asian Income Fund (capped from 1 December 2016) BNY Mellon Crossover Credit Fund (capped until closure date of 20 September 2016) BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund (capped from launch date of 3 November 2017) BNY Mellon Emerging Markets Debt Total Return Fund (capped from launch date of 11 December 2017) BNY Mellon European Credit Fund7 BNY Mellon Global Credit Fund9 BNY Mellon Global Emerging Markets Equity Value Fund (capped from 4 January until closure date of 26 February 2016) BNY Mellon Global Emerging Markets Fund (capped from 4 January 2016) BNY Mellon Global Leaders Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Property Securities Fund (capped until closure date of 30 August 2017) BNY Mellon Global Short-Dated High Yield Bond Fund11 BNY Mellon Global Unconstrained Fund (capped from launch date of 6 December 2017) BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Pan European Equity Fund (capped from 14 November 2016 until closure date of 9 March 2017) BNY Mellon U.S. Equity Income Fund (capped from launch date of 17 January 2017) BNY Mellon U.S. High Yield Beta Fund (capped from launch date of 26 September 2017) BNY Mellon U.S. Municipal Infrastructure Debt Fund (capped from launch date of 19 April 2017) BNY Mellon US Opportunities Fund

Agreed TER Limit TER limit of AMC plus 35 basis points1 TER limit of AMC plus 50 basis points TER limit of AMC plus 16 basis points2 TER limit of AMC plus 9 basis points TER limit of AMC plus 17 basis points3 TER limit of AMC plus 22 basis points4 TER limit of AMC plus 10 basis points5 TER limit of AMC plus 17 basis points6 TER limit of AMC plus 15 basis points8

TER limit of AMC plus 15 basis points TER limit of AMC plus 30 basis points TER limit of AMC plus 15 basis points TER limit of AMC plus 20 basis points10 TER limit of AMC plus 55 basis points TER limit of AMC plus 6 basis points TER limit of AMC plus 15 basis points12 TER limit of AMC plus 17 basis points TER limit of AMC plus 17 basis points TER limit of AMC plus 20 basis points TER limit of AMC plus 15 basis points13 TER limit of AMC plus 10 basis points14 TER limit of AMC plus 15 basis points TER limit of AMC plus 16 basis points

Rebate arrangement ceased effective 1 June 2015 and was subsequently reapplied effective 2 February 2017. With exception for USD X (Acc) share class subject to TER limit of 11 basis points. 3 With exception for EUR X share class subject to TER of 12 basis points. 4 With exception for USD X (Acc) share class subject to TER limit of 17 basis points. 5 With exception for USD X (Acc) and USD X (Inc) share classes subject to TER limit of 6 basis points. 6 With exception for USD X (Acc) share class subject to TER limit of 13 basis points. 7 Rebate arrangement ceased effective 1 November 2016. 8 With exception for EUR X and EUR X (Inc) share classes subject to TER limit of 10 basis points. 9 CAD X (Acc) (Hedged) share class subject to TER limit of 10 basis points and USD X (Acc) share class subject to TER limit of 7 basis points. 10 With exception for USD X and USD X (Inc) share classes subject to TER limit of 15 basis points. 11 Applicable to Sterling Y (Acc) (Hedged) and USD Y (Acc) share classes. 12 Applicable to CAD X (Acc) (Hedged) share class. 13 With exception for Sterling E (Acc) and Sterling E (Inc) share classes subject to TER limit of 20 basis points. 14 With exception for USD X (Acc) share class subject to TER limit of 6 basis points. 2

The amount rebated to the Company during the ﬁnancial year ended 31 December 2017 was USD 433,118 (31December2016: USD585,522).

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7. OPERATING EXPENSES The operating expenses in the Statement of Comprehensive Income comprise of the following: 31 December 2017 USD

31 December 2016 USD

Administration fee Audit fee Directors’ fee Other expenses

11,162,304 437,566 126,832 3,947,390

13,006,661 347,261 102,339 2,961,803

Total operating expenses

15,674,092

16,418,064

Expense

Fees and expenses paid/payable to the statutory auditors, Ernst & Young, in respect of the ﬁnancial year are as follows: 31 December 2017 USD

31 December 2016 USD

Statutory audit of ﬁnancial statements Taxation services

437,566 -

347,261 -

Total

437,566

347,261

8. TRANSACTION COSTS Transaction costs are costs incurred to acquire ﬁnancial assets or liabilities at fair value through proﬁt or loss and include the bid ask spread, fees and commissions paid to agents, advisers, brokers and dealers. Transaction costs incurred for the purchases and sales of equities and ﬁnancial derivative instruments are included in the “net gains/(losses) on ﬁnancial assets/liabilities at fair value through proﬁt or loss” in the Statement of Comprehensive Income and are detailed in the table below. In respect of all other securities, the bid ask spread is embedded in the purchase and sale price of the securities and cannot be separately veriﬁed or disclosed. Fund BNY Mellon Absolute Insight Fund*^ BNY Mellon Absolute Return Bond Fund^ BNY Mellon Absolute Return Equity Fund BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Bond Fund*^ BNY Mellon Asian Equity Fund BNY Mellon Brazil Equity Fund BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund* BNY Mellon Emerging Markets Corporate Debt Fund^ BNY Mellon Euroland Bond Fund^ BNY Mellon European Credit Fund^ BNY Mellon Global Bond Fund^ BNY Mellon Global Credit Fund^ BNY Mellon Global Dynamic Bond Fund^ BNY Mellon Global Emerging Markets Equity Value Fund** BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund^

Base Currency

31 December 2017

31 December 2016

EUR EUR GBP USD USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD

3,416 933,493 325,261 51,007 189,042 153,820 18,069 2,377 32 155,698 3,907 6,477 426 43,718 N/A 164,532 189,515 607,772 83,822

6,200 869,375 713,550 N/A 1,625 123,139 216,926 12,658 N/A 211 592,393 8,110 3,784 16,497 1,953 204,154 176,088 951,199 26,320

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

8. TRANSACTION COSTS cont’d. Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunistic Bond Fund^ BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR)^ BNY Mellon Global Real Return Fund (GBP)^ BNY Mellon Global Real Return Fund (USD)^ BNY Mellon Global Short-Dated High Yield Bond Fund^ BNY Mellon Global Unconstrained Fund* BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund^ BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund* BNY Mellon US Opportunities Fund

Base Currency

31 December 2017

31 December 2016

USD USD USD EUR EUR GBP USD USD USD JPY JPY JPY EUR EUR USD EUR USD USD USD USD

31,003 23,639 76,790 3,579,444 62,974 492,132 1,286 12,374 1,927,742 2,361,226 3,247,993 298,303 2,551 261,962 14,852 98,450 101,940 53,967

23,042 87,191 151,870 33,222 3,043,514 41,659 486,052 488 N/A 1,587,937 89,180 2,731,046 440,039 83,020 2,123 94,599 11,081 66,204 N/A 123,142

* Please refer to Note 19 of the ﬁnancial statements. ** This Fund closed during the prior year. ^ Transaction costs on purchase and sales of bonds are included in the purchase and sale price of the investment, which cannot be practically orreliably gathered and cannot be separately veriﬁed or disclosed.

9. CASH AT BANK Cash held by the Company is deposited with The Bank of New York Mellon SA/NV London Branch (the “Global Sub-Custodian”) and held by counterparties (Bank of America Merrill Lynch, Barclays Bank PLC, BNP Paribas, Citigroup Global Markets Limited, Goldman Sachs, HSBC Bank plc, JPMorgan Chase Bank, Royal Bank of Canada, Royal Bank ofScotland, State Street Bank and UBS AG) in respect of collateral and margin requirements. Cash balances include cash invested into short-term investment vehicles daily as detailed further in Note 16 of the ﬁnancial statements. The Central Bank published the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) Client Asset Regulations 2015 (“Client Asset Regulations”) in March 2015, which came into effect on 1 July 2016. In response tothe Client Asset Regulations, the Manager undertook, together with the Administrator, a review of the way in which subscription, distribution and redemption monies are channelled to and from the Company. As a result of this review, subscription and redemption monies are channelled through an umbrella cash collection account in the name of the Company effective from 1 July 2016. Pending issue of the shares and/or payment of subscription proceeds to an account in the name ofthe Company, and pending payment of redemption proceeds or distributions, the relevant investor will bean unsecured creditor of the relevant Fund in respect of amounts paid by or due to it. As at 31 December 2017, monies held in this cash collection account are deposited with the Global Sub-Custodian and are deemed to be immaterial in respect of the relevant Fund to which they are due, with exception of cash balances held in respect of BNY Mellon Asian Equity Fund, BNY Mellon Pan European Equity Fund, BNY Mellon Global Property Securities Fund and BNY Mellon Absolute Insight Fund which were adjusted in “cash at bank” in the Statement of Financial Position as at 31 December 2017. As at 31 December 2016, all monies held in the cash collection account were deemed to beimmaterial inrespect of the relevant Fund to which they are due.

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10. TAXATION Under current law and practice, the Company qualiﬁes as an investment undertaking as deﬁned in Section 739B of the Tax Consolidation Acts, 1997, as amended. On that basis, it is not chargeable to Irish tax on its income and gains. However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders or any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of each eight year period beginning with the acquisition of the shares. No Irish tax will arise on the Company in respect of chargeable events in respect of: (a) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Company; or the Company has been authorised by the Irish Revenue to make gross payments in the absence of appropriate declarations; and (b) certain exempted Irish resident investors who have provided the Company with the necessary signed statutory declarations. Distributions, interest and capital gains (if any) received on investments made by the Company may be subject towithholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Company or its shareholders. Effective 1 October 2016, BNY Mellon Brazil Equity Fund has elected to accrue for Brazilian capital gains tax on net realised and unrealised gains on investments. As at 31 December 2017, a capital gains tax payable of USD2,880,331 (31December2016: USD 1,924,173) has been recorded in the Statement of Financial Position for this Fund.

11. RELATED PARTIES In the opinion of the Directors, the Manager, and the Investment Managers, Mellon Capital Management Corporation, The Boston Company Asset Management, LLC, Newton Investment Management Limited, Standish Mellon Asset Management Company, LLC, Walter Scott & Partners Limited, ARX Investimentos Ltda, Blackfriars Asset Management Limited, CenterSquare Investment Management, Inc., Oddo Meriten Asset Management Gmbh, Insight Investment Management (Global) Limited, Alcentra NY, LLC, BNY Mellon Asset Management Japan Limited, EACM Advisors LLC and Maybank Asset Management Singapore Pte. LTD and the Global Distributor and Promoter are related parties under Section 33 “Related Party Transactions” of FRS 102. As the Global Distributor and Promoter for BNY Mellon’s asset management group, distributor fees of USD84,920,963 (31 December 2016: USD 83,320,625) were paid by the Manager to the Distributor during the ﬁnancial year. Fees paid in respect of all material related party transactions during the ﬁnancial year are fully disclosed in the Statement ofComprehensive Income and in Notes 3 and 5 – 7 of the ﬁnancial statements. The Directors are related parties of the Company. All Directors are Directors of the Manager. Greg Brisk and David Turnbull have waived their right to receive a fee for their services as Directors. Directors’ fees incurred during the ﬁnancial year are disclosed in Note 7 of the ﬁnancial statements. Greg Brisk is also a Director of the following Investment Managers for the Funds: • • • • • •

Alcentra NY, LLC; Newton Investment Management Limited; Insight Investment Management (Global) Limited; Standish Mellon Asset Management Company, LLC; CenterSquare Investment Management, Inc.; EACM Advisors LLC;

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11. RELATED PARTIES cont’d. • •

Mellon Capital Management Corporation; and The Boston Company Asset Management, LLC.

Greg Brisk is also a Director of BNY Mellon Investment Management Seed Capital Limited, a related entity of the Company, and a trustee of Mellon Retirement Beneﬁts Plan, a pension scheme for BNY Mellon staff. These entities held a material beneﬁcial interest in the share classes of the Funds listed below as at 31 December 2017 and 31 December 2016:

Investor Name

Fund

BNY Mellon Investment Management Seed Capital Limited BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Bond Fund* BNY Mellon Asian Income Fund BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund* BNY Mellon Emerging Markets Debt Total Return Fund* BNY Mellon Global Emerging Markets Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Property Securities Fund* BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Pan European Equity Fund* BNY Mellon U.S. High Yield Beta Fund* BNY Mellon U.S. Municipal Infrastructure Debt Fund* BNY Mellon US Opportunities Fund Mellon Retirement Benefits Plan BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Global Opportunistic Bond Fund

Base 31 December 31 December Currency 2017 2016 USD USD GBP USD USD USD USD USD USD EUR JPY JPY EUR USD USD USD USD USD

6,554,879 N/A 10,399 10,358,970 26,265,082 256,736 5,424 31,247,559 4,987 N/A 17,990,664 14,673,602 N/A 25,145,966 26,224,410 11,345 20,940,613 20,195,612

N/A 532,374 122,397 9,529,480 N/A N/A 4,255,174 25,318,426 4,964 2,261 424,719,618 542,033,170 6,779 N/A N/A 27,542 18,144,197 17,869,144

* Please refer to Note 19 of the ﬁnancial statements.

The following Funds invest in collective investment schemes managed by their own Investment Managers and in other Funds of the Company.

Fund

Collective Investment Scheme

BNY Mellon Absolute Insight Fund* BNY Mellon Absolute Return Bond Fund

Insight Liquidity Funds Plc - EUR Cash Fund Insight Global Funds II plc - Insight Emerging Markets Debt Fund Insight Liquidity Funds Plc - EUR Cash Fund BNY Mellon Absolute Return Equity Fund Insight Liquidity Funds Plc - GBP Liquidity Fund BNY Mellon Asian Income Fund Mellon Investments Funds ICVC - Newton Asian Income Fund BNY Mellon Emerging Markets Corporate Debt Fund Insight Liquidity Funds Plc - USD Liquidity Fund BNY Mellon Emerging Markets Debt Total Return Fund* Insight Liquidity Funds Plc - USD Liquidity Fund BNY Mellon Euroland Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Asian Bond Fund BNY Mellon U.S. Municipal Infrastructure Debt Fund BNY Mellon European Credit Fund BNY Mellon Global Short-Dated High Yield Bond Fund Insight Global Funds II plc - Insight Emerging Markets Debt Fund Insight Liquidity Funds Plc - EUR Cash Fund BNY Mellon Global Credit Fund Insight Emerging Market Bond Opportunities Fund Insight Liquidity Funds Plc - USD Liquidity Fund BNY Mellon Global Short-Dated High Yield Bond Fund Insight Liquidity Funds Plc - USD Liquidity Fund

Currency

31 December 31 December 2017 2016

EUR N/A 5,217,215 EUR 142,184,112 173,142,727 EUR 8,154,332 5,373,802 GBP 194,875,459 164,671,643 GBP 21,726,827 17,847,250 USD 16,853,107 13,406,035 USD EUR EUR EUR EUR EUR EUR USD USD USD

4,415,000 12,937,669 N/A 12,637,822 2,677,280 2,726,663 269,472 6,763,999 13,192,527 41,287,535

N/A 27,798,880 5,607,451 N/A 2,852,842 1,451,026 – 8,792,751 20,320,898 1,945,000

* Please refer to Note 19 of the ﬁnancial statements.

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11. RELATED PARTIES cont’d. With effect from 1 March 2017, Greg Brisk was appointed to the Board of Directors of Insight Global Funds II plc and Insight Liquidity Funds plc in which some Funds of the Company have invested, as detailed in the table overleaf. As detailed in the prospectus, BNY Mellon Asian Income Fund (the “Feeder Fund”) is established as a feeder fund which invests in Newton Asian Income Fund (the “Master Fund”) on a permanent basis as detailed in the table overleaf. TheMaster Fund is a sub-fund of BNY Mellon Investment Funds and is managed by Newton Investment Management Limited. The Feeder Fund invests in the X share class of the Master Fund which does not charge an annual management fee. Theannual and semi-annual ﬁnancial statements of the Master Fund are published on the website of BNY Mellon Investment Management EMEA Limited (www.bnymellonim.com). During the ﬁnancial year, companies related to the Depositary and the Investment Managers were selected by the Investment Managers to execute investment transactions and foreign exchange transactions and to accept deposits on behalf of the Investment Managers. The Bank of New York Mellon, New York and The Bank of New York Mellon, London were counterparties to forward foreign exchange currency contracts open at the ﬁnancial year end as disclosed inappendices to the Portfolio of Investments. The counterparties were selected by the Investment Managers and the terms of such transactions were negotiated by the Investment Managers with such companies. The Manager owns 38,085 of the Company’s subscriber shares as disclosed in Note 2 of the ﬁnancial statements. There was no ultimate controlling party of the Company during the ﬁnancial year ended 31 December 2017 or31December2016.

12. SOFT COMMISSION AND DIRECTED BROKERAGE ARRANGEMENTS During the ﬁnancial year, CenterSquare Investment Management, Inc., The Boston Company Asset Management, LLC and ARX Investimentos Ltda (the “Investment Managers”) have entered into soft commission arrangements (also referred toassoft dollar arrangements) with brokers in respect of which certain goods and services used to support the investment process were received. The Investment Managers do not make direct payment for these services but either remunerate brokers through commissions paid on transactions or arrange for executing counterparties to pay some or all of their allocated research commission away to other brokers or non-brokering research providers. The goods and services utilised for the Company include economic and political analysis, industry, sector or company speciﬁc, investment related research and broker provide active order management. The Investment Managers consider these arrangements tobeofbeneﬁt to its clients and the brokerage rates are not in excess of customary institutional full service brokerage rates. During the ﬁnancial year, Insight Investment Management (Global) Limited and Newton Investment Management Limited (the “Investment Managers”) have entered into commission sharing arrangements with brokers in respect ofwhich certain goods and services used to support the investment process were received. The Investment Managers and connected persons do not make direct payment for these services but arrange for executing counterparties to pay some or all oftheir allocated research commission away to other brokers or non-brokering research providers. The goods and services utilised for the Company can include economic and political analysis, industry, sector or company speciﬁc analysis, investment related research and broker provide active order management. The Investment Managers consider these arrangements tobe of beneﬁt to investors and the brokerage rates are not in excess of customary institutional full service brokerage rates.

13. EXCHANGE RATES The ﬁnancial statements are prepared in US dollar. The following exchange rates have been used to translate assets and liabilities in other currencies to US dollar: Currency Argentinian peso Australian dollar Brazilian real

31 December 2017

31 December 2016

18.6250 1.2816 3.3171

15.8680 1.3857 3.2547

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13. EXCHANGE RATES cont’d. Currency

31 December 2017

31 December 2016

1.2570 615.4000 6.5140 2,984.4400 21.2939 6.2047 0.8334 7.8129 258.9574 63.8275 13,567.5000 3.4797 112.6750 332.6950 1,070.5500 4.0470 19.6625 1.4110 360.0000 8.2106 3.2425 49.9200 3.4810 3.8882 57.6250 1.3375 12.3725 153.5000 0.7407 8.2031 0.9745 29.7585 32.5900 3.7905 28.7100

1.3427 669.7950 6.9495 3,002.0000 25.6705 7.0625 18.1300 0.9500 7.7545 293.7872 67.8700 13,472.5000 3.8521 116.8750 1,207.8000 4.4860 20.7297 1.4395 314.9800 8.6354 3.3560 49.7125 4.1847 4.3117 61.3450 1.4482 13.7338 149.8000 0.8114 9.1106 1.0183 32.2290 35.8105 3.5269 -

Canadian dollar Chilean peso Chinese yuan Colombian peso Czech koruna Danish krone Egyptian pound Euro Hong Kong dollar Hungarian forint Indian rupee Indonesian rupiah Israeli shekel Japanese yen Kazakhstani tenge Korean won Malaysian ringgit Mexican peso New Zealand dollar Nigerian naira Norwegian krone Peruvian nuevo sol Philippine peso Polish zloty Romanian leu Russian rouble Singapore dollar South African rand Sri Lankan rupee Sterling Swedish krona Swiss franc Taiwanese dollar Thai baht Turkish lira Uruguayan peso

In respect of the aggregation of the Funds’ ﬁnancial statements, the following exchange rates against the US dollar were used in the preparation of the accounts: 31 December 2017 Closing Rate Average Rate Euro Japanese yen Sterling

0.8334 112.6750 0.7407

0.8870 112.1378 0.7767

31 December 2016 Closing Rate Average Rate 0.9500 116.8750 0.8114

0.9039 108.7561 0.7406

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14. EFFICIENT PORTFOLIO MANAGEMENT The Company and each Fund may invest in Financial Derivative Instruments (“FDIs”) for investment purposes where speciﬁed in the relevant supplement to the prospectus. In addition, each Fund may utilise techniques and instruments for efﬁcient portfolio management purposes or to protect against foreign exchange rate risks, subject to the conditions and within the limits laid down by the Central Bank. Such techniques and instruments include, but are not limited to, futures, options, swaps, warrants, P-Notes, stock lending arrangements, repurchase/reverse repurchase agreements, forward foreign currency contracts and when issued and/or delayed delivery securities. Efﬁcient portfolio management transactions relating to the assets of a Fund may be entered into with one of the following aims: a reduction of risk, a reduction of cost with no increase or a minimal increase in risk or generation of additional capital or income with no, or an acceptably low level of risk (relative to the expected return). The Company currently invests in futures, options, swaps, forward foreign currency contracts and P-Notes, as evidenced in the relevant Portfolio ofInvestments. Details of all open transactions at the ﬁnancial year end are disclosed in the Portfolio of Investments. The Company has entered into a securities lending agreement (as amended, assigned, novated and assumed) with The Bank of New York Mellon, London Branch and the Depositary. The securities lending income is currently split between the Company and The Bank of New York Mellon, London Branch in the proportion 80%:20%. Securities lending transactions and the related collateral are settled and cleared in accordance with the tri-party and bilateral agreements. The Company earned revenue from securities lending during the ﬁnancial year ended 31 December 2017, as detailed inthe table below:

Fund BNY Mellon Absolute Insight Fund* BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Bond Fund* BNY Mellon Asian Equity Fund BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Bond Fund BNY Mellon Global Credit Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund*

Base Currency

Gross Earnings

Direct Costs (Paid to The Bank of New York Mellon SA/NA) (20%)

EUR EUR GBP USD USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD USD USD EUR

713 860,160 50,594 18,917 1,777 17,189 202,548 34,938 66,984 17,856 233,045 6,979 145,243 44,012 129,738 7,565 32,826 176,586 112,358 3,504 21,891 12,303 1,915

(142) (172,032) (10,119) (3,784) (355) (3,438) (40,510) (6,987) (13,397) (3,571) (46,609) (1,396) (29,049) (8,802) (25,948) (1,513) (6,565) (35,317) (22,471) (700) (4,378) (2,460) (383)

Net Earnings to Company (80%)^ 571 688,128 40,475 15,133 1,422 13,751 162,038 27,951 53,587 14,285 186,436 5,583 116,194 35,210 103,790 6,052 26,261 141,269 89,887 2,804 17,513 9,843 1,532

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14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Base Currency

Gross Earnings

Direct Costs (Paid to The Bank of New York Mellon SA/NA) (20%)

EUR GBP USD USD JPY JPY JPY EUR EUR USD EUR USD USD USD USD

1,590,961 2,678 201,103 292,668 3,552,910 656,278 19,422,591 352,108 56 16,276 119,951 4,538 11,339 9,472 20,074

(318,192) (536) (40,221) (58,534) (710,582) (131,256) (3,884,518) (70,422) (11) (3,256) (23,991) (908) (2,268) (1,895) (4,015)

BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund* BNY Mellon US Opportunities Fund

Net Earnings to Company (80%)^ 1,272,769 2,142 160,882 234,134 2,842,328 525,022 15,538,073 281,686 45 13,020 95,960 3,630 9,071 7,577 16,059

* Please refer to Note 19 of the ﬁnancial statements. ^ Disclose as “Securities lending income” in the Statement of Comprehensive Income.

The Company earned revenue from securities lending during the ﬁnancial year ended 31 December 2016, as detailed inthe table below:

Fund BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asian Equity Fund BNY Mellon Crossover Credit Fund* BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Bond Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Equity Value Fund* BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP)

Base Currency

Gross Earnings

Direct Costs (Paid to The Bank of New York Mellon SA/NV) (20%)

EUR GBP USD EUR USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD USD EUR EUR GBP

279,699 47,555 558 63,409 156,819 45,911 63,956 32,623 206,871 7,649 114,075 56,909 1,259 2,436 30,481 74,759 101,041 64,511 18,104 2,276 1,426,790 1,430

(55,940) (9,511) (112) (12,682) (31,364) (9,182) (12,791) (6,525) (41,374) (1,530) (22,815) (11,382) (252) (487) (6,096) (14,952) (20,208) (12,902) (3,621) (455) (285,358) (286)

Net Earnings to Company (80%)^ 223,759 38,044 446 50,727 125,455 36,729 51,165 26,098 165,497 6,119 91,260 45,527 1,007 1,949 24,385 59,807 80,833 51,609 14,483 1,821 1,141,432 1,144

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14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Base Currency

Gross Earnings

Direct Costs (Paid to The Bank of New York Mellon SA/NV) (20%)

USD JPY JPY EUR EUR USD EUR USD USD USD

213,029 3,632,736 11,077,573 433,509 5,271 13,503 59,660 18,683 5,040 9,163

(42,606) (726,547) (2,215,515) (86,702) (1,054) (2,701) (11,932) (3,737) (1,008) (1,833)

BNY Mellon Global Real Return Fund (USD) BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon US Opportunities Fund

Net Earnings to Company (80%)^ 170,423 2,906,189 8,862,058 346,807 4,217 10,802 47,728 14,946 4,032 7,330

^ Disclose as “Securities lending income” in the Statement of Comprehensive Income. * This Fund closed during the ﬁnancial year.

The value of securities on loan by counterparty and the value and type of collateral held by the Company in respect ofthose securities as at 31 December 2017 are detailed as follows:

Fund

Counterparty

BNY Mellon Absolute Return Bond Fund Credit Suisse Securities (Europe) Limited Societe Generale Barclays Capital Securities Ltd. HSBC Bank plc Merrill Lynch International Barclays Bank PLC

Country of Incorporation

United Kingdom France United Kingdom United Kingdom United Kingdom United Kingdom

Merrill Lynch, Pierce, Fenner & Smith Inc United States ofAmerica BNP Paribas Arbitrage Netherlands

BNY Mellon Absolute Return Equity Fund UBS AG Barclays Capital Securities Ltd. Barclays Bank PLC

Switzerland United Kingdom United Kingdom

Deutsche Bank AG Citigroup Global Markets Limited Merrill Lynch International

Germany United Kingdom United Kingdom

Collateral Type

Equity Indices Equity Indices Equity Indices Equity Indices Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral) Government Debt & Supranationals (TriParty)

Equity Indices (TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty)

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

EUR 121,672,043 42,786,926 30,058,632 6,776,866 3,702,998

EUR 133,840,158 47,065,712 33,065,261 7,449,575 3,889,796

% 110.00% 110.00% 110.00% 109.93% 105.04%

2,047,274

2,087,772

101.98%

440,113 316,990

448,958 332,926

102.01% 105.03%

207,801,842

228,180,158

109.81%

GBP 2,377,241 1,968,688

GBP 2,640,755 2,098,854

% 111.08% 106.61%

996,552 924,334 248,977 31,702

1,048,952 1,030,760 273,922 33,383

105.26% 111.51% 110.02% 105.30%

6,547,494

7,126,626

108.85%

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14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Asia Rising Stars Fund J.P. Morgan Securities plc Credit Suisse Securities (Europe) Limited Citigroup Global Markets Limited UBS AG Credit Suisse Securities (USA) LLC

Country of Incorporation

United Kingdom United Kingdom United Kingdom Switzerland United States ofAmerica

BNY Mellon Asian Equity Fund HSBC Bank plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Credit Suisse Securities (USA) LLC United States ofAmerica Deutsche Bank AG Germany Goldman Sachs International United States ofAmerica UBS AG Switzerland Barclays Bank PLC United Kingdom Barclays Capital Securities Ltd. United Kingdom BNP Paribas Arbitrage Netherlands J.P. Morgan Securities LLC United States ofAmerica Merrill Lynch International United Kingdom J.P. Morgan Securities plc United Kingdom

BNY Mellon Emerging Markets Corporate Debt Fund Goldman Sachs International United States ofAmerica Citigroup Global Markets Inc United Kingdom J.P. Morgan Securities plc United Kingdom

BNP Paribas Arbitrage Barclays Capital Inc Citigroup Global Markets Limited

Netherlands United States ofAmerica United Kingdom

UBS AG

Switzerland

Deutsche Bank AG

Germany

BNP Paribas

France

Morgan Stanley & Co. International PLC United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD 687,724 376,757 331,883 166,032 129,450

USD 759,620 425,336 365,110 176,220 143,799

% 110.45% 112.89% 110.01% 106.14% 111.08%

56,859

57,999

102.00%

1,748,705

1,928,084

110.26%

USD 1,130,593 899,921

USD 1,281,674 1,015,955

% 113.36% 112.89%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

894,926 819,965

912,862 914,374

102.00% 111.51%

Equity Indices (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty)

807,011 470,188 423,132 356,367 305,072

907,617 522,308 431,933 393,943 335,879

112.47% 111.08% 102.08% 110.54% 110.10%

U.S. Government Debt (Bilateral) G10 Debt (TriParty) Equity Indices (TriParty)

154,146 62,762 37,839

157,741 66,090 41,795

102.33% 105.30% 110.45%

6,361,922

6,982,171

109.75%

USD

Government Debt & Supranationals (TriParty) U.S. Government Debt (Bilateral) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

4,572,724 4,373,223 1,923,887

4,816,537 6,369,972 2,122,655

105.33% 145.66% 110.33%

211,628 1,818,422

244,096 1,909,839

115.34% 105.03%

U.S. Government Debt (Bilateral) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

1,713,711

1,748,845

102.05%

1,207,988

1,268,333

105.00%

1,035,273

1,109,288

107.15%

817,268

857,966

104.98%

563,995

595,844

105.65%

300,084

337,704

112.54%

Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

Equity Indices (TriParty) Equity Indices (TriParty)

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14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Emerging Markets Corporate Debt Fund cont’d. Credit Suisse Securities (USA) LLC United States ofAmerica BNP Paribas Prime Brokerage Inc United States ofAmerica

BNY Mellon Emerging Markets Debt Fund J.P. Morgan Securities plc

United Kingdom

Deutsche Bank AG

Germany

Nomura International PLC

United Kingdom

UBS AG

Switzerland

Citigroup Global Markets Limited

United Kingdom

Barclays Bank PLC

United Kingdom

BNP Paribas

France

Merrill Lynch International

United Kingdom

BNY Mellon Emerging Markets Debt Local Currency Fund J.P. Morgan Securities plc United Kingdom

BNY Mellon Emerging Markets Debt Opportunistic Fund UBS AG Switzerland

Citigroup Global Markets Limited

United Kingdom

Deutsche Bank AG

Germany

J.P. Morgan Securities plc

United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD

U.S. Government Debt (Bilateral)

109,310

111,501

102.00%

U.S. Government Debt (Bilateral)

96,546

101,046

104.66%

18,744,059

21,593,626

115.20%

USD

1,093,813 884,447 1,171,074

1,261,625 975,824 1,229,770

115.34% 110.33% 105.01%

209,628

220,067

104.98%

1,333,216

1,433,166

107.50%

663,304 377,235

710,726 401,618

107.15% 106.46%

938,823

985,722

105.00%

598,936

630,429

105.26%

415,193 316,341

438,639 333,115

105.65% 105.30%

8,002,010

8,620,701

107.73%

USD

9,197,229

10,608,282

115.34%

9,197,229

10,608,282

115.34%

USD 395,788

USD 421,369

% 106.46%

241,296

258,547

107.15%

545,132

572,363

105.00%

509,096

534,448

104.98%

213,883

246,698

115.34%

1,905,195

2,033,425

106.73%

Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty)

Government Debt & Supranationals (Euroclear TriParty)

Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

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14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Euroland Bond Fund Barclays Bank PLC

Nomura International PLC

Country of Incorporation

United Kingdom

Citigroup Global Markets Limited BNP Paribas

United Kingdom France

J.P. Morgan Securities plc

United Kingdom

Merrill Lynch International

United Kingdom

UBS AG

Switzerland

Credit Suisse Securities (Europe) Limited United Kingdom J.P. Morgan Securities LLC

BNY Mellon European Credit Fund J.P. Morgan Securities plc BNP Paribas Arbitrage Citigroup Global Markets Limited

United States ofAmerica

United Kingdom Netherlands United Kingdom

Credit Suisse Securities (Europe) Limited United Kingdom

BNY Mellon Global Bond Fund HSBC Bank plc Citigroup Global Markets Limited BNP Paribas Arbitrage ING Bank NV UBS AG

United Kingdom United Kingdom Netherlands Netherlands Switzerland

BNY Mellon Global Credit Fund Credit Suisse Securities (Europe) Limited United Kingdom

Citigroup Global Markets Limited

United Kingdom

J.P. Morgan Securities plc

United Kingdom

Collateral Type

Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) Equity Indices G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral)

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

Equity Indices G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (TriParty)

Equity Indices Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

EUR

32,733,067 8,786,364

33,380,575 8,966,728

101.98% 102.05%

20,121,120 10,228,833 25,670,048 12,229,672

21,121,837 10,743,775 28,242,826 12,476,346

104.97% 105.03% 110.02% 102.02%

3,887,342 12,291,904

3,965,253 12,935,694

102.00% 105.24%

1,807,668

2,085,003

115.34%

1,578,770

1,610,525

102.01%

598,891

641,707

107.15%

439,059

461,144

105.03%

437,185

447,379

102.33%

130,809,923

137,078,792

104.79%

EUR

865,672 566,605

929,124 595,090

107.33% 105.03%

390,198

409,690

105.00%

308,291

314,682

102.07%

2,130,766

2,248,586

105.53%

USD 36,432,371 8,834,398 4,047,292 3,677,539 105,632

USD 40,048,851 9,280,387 4,250,760 3,861,417 112,459

% 109.93% 105.05% 105.03% 105.00% 106.46%

53,097,232

57,553,874

108.39%

USD 10,903,547

USD 11,993,983

% 110.00%

544,304

571,682

105.03%

3,502,624

3,677,597

105.00%

3,435,474

3,722,358

108.35%

302

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Credit Fund cont’d. Morgan Stanley & Co. International PLC United Kingdom UBS AG

Switzerland

BNY Mellon Global Dynamic Bond Fund HSBC Bank plc United Kingdom Barclays Capital Securities Ltd. United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom

BNP Paribas Merrill Lynch International

France United Kingdom

Goldman Sachs International

United States ofAmerica United Kingdom

Barclays Bank PLC

BNY Mellon Global Emerging Markets Fund J.P. Morgan Securities LLC UBS AG HSBC Bank plc Barclays Capital Inc

BNY Mellon Global Equity Fund UBS AG HSBC Bank plc Merrill Lynch International J.P. Morgan Securities LLC Barclays Bank PLC

BNY Mellon Global Equity Income Fund Citigroup Global Markets Limited Goldman Sachs International Barclays Capital Inc Merrill Lynch International UBS AG

United States ofAmerica Switzerland United Kingdom United States ofAmerica

Switzerland United Kingdom United Kingdom United States ofAmerica United Kingdom

United Kingdom United States ofAmerica United States ofAmerica United Kingdom Switzerland

Collateral Type

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD

1,252,479

1,303,380

104.06%

432,112

440,805

102.01%

20,070,540

21,709,805

108.17%

USD 38,593,911 31,992,531 16,754,486

USD 42,424,958 35,192,600 18,430,060

% 109.93% 110.00% 110.00%

1,717,915 6,895,740

1,804,326 10,025,923

105.03% 145.39%

2,081,880

2,212,003

106.25%

495,686

522,115

105.33%

196,085

206,395

105.26%

98,728,234

110,818,380

112.25%

USD

U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty)

2,865,285 607,571 318,755

2,932,096 674,919 346,712

102.33% 111.08% 108.77%

U.S. Government Debt (Bilateral)

239,753

244,668

102.05%

4,031,364

4,198,395

104.14%

USD 4,802,041 631,214 126,625

USD 5,334,342 715,564 135,557

% 111.08% 113.36% 107.05%

41,013 6,373

41,970 6,505

102.33% 102.07%

5,607,266

6,233,938

111.18%

Equity Indices (TriParty)

USD 49,233,508

USD 54,162,705

% 110.01%

G10 Debt (TriParty)

19,292,207

20,417,312

105.83%

U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty)

13,938,368 6,314,401 6,072,637

14,224,128 6,759,829 6,745,783

102.05% 107.05% 111.08%

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

Equity Indices Equity Indices Equity Indices Government Debt & Supranationals (Euroclear TriParty) UK Gilts (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty)

Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral) U.S. Government Debt (Bilateral)

303

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Equity Income Fund cont’d. Deutsche Bank AG Germany HSBC Bank plc

United Kingdom

Credit Suisse Securities (USA) LLC

United States ofAmerica

Collateral Type

Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

BNY Mellon Global High Yield Bond Fund Barclays Capital Inc

United States ofAmerica Goldman Sachs & Company United States ofAmerica Credit Suisse Securities (Europe) Limited United Kingdom

Barclays Bank PLC Credit Suisse Securities (USA) LLC Deutsche Bank Securities Inc Goldman Sachs International

BNY Mellon Global Opportunistic Bond Fund Nomura International PLC

HSBC Bank plc J.P. Morgan Securities plc Goldman Sachs International Deutsche Bank AG Deutsche Bank Securities Inc Goldman Sachs & Company J.P. Morgan Securities LLC

BNY Mellon Global Opportunities Fund UBS AG Deutsche Bank AG Credit Suisse Securities (USA) LLC J.P. Morgan Securities LLC

United Kingdom United States ofAmerica United States ofAmerica United States ofAmerica

United Kingdom

United Kingdom United Kingdom United States ofAmerica Germany United States ofAmerica United States ofAmerica United States ofAmerica

Switzerland Germany United States ofAmerica United States ofAmerica

U.S. Government Debt (Bilateral)

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD 2,307,809 2,282,807 1,804,693 16,160

USD 2,573,524 2,417,961 1,962,974 18,319

% 111.51% 105.92% 108.77% 113.36%

739,449

754,269

102.00%

102,002,039

110,036,804

107.88%

USD

2,428,115

2,477,896

102.05%

U.S. Government Debt (Bilateral) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral)

782,786

798,816

102.05%

658,018 551,432

682,238 562,903

103.68% 102.08%

U.S. Government Debt (Bilateral)

322,640

329,106

102.00%

U.S. Government Debt (Bilateral)

243,704

251,726

103.29%

Government Debt & Supranationals (TriParty)

126,008

132,726

105.33%

5,112,703

5,235,411

102.40%

USD

2,434,639 1,473,276 1,532,200 1,412,724

2,558,090 1,547,444 1,684,295 1,486,715

105.07% 105.03% 109.93% 105.24%

Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) Equity Indices Government Debt & Supranationals (TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty)

202,538

213,337

105.33%

123,389

129,534

104.98%

U.S. Government Debt (Bilateral)

110,513

114,151

103.29%

U.S. Government Debt (Bilateral)

107,126

109,320

102.05%

U.S. Government Debt (Bilateral)

87,649

89,692

102.33%

7,484,054

7,932,578

105.99%

Equity Indices (TriParty) Equity Indices (TriParty)

USD 962,099 868,344

USD 1,068,747 968,323

% 111.08% 111.51%

U.S. Government Debt (Bilateral)

788,029

803,822

102.00%

U.S. Government Debt (Bilateral)

416,973

426,696

102.33%

304

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Opportunities Fund cont’d. HSBC Bank plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Merrill Lynch International Barclays Bank PLC

BNY Mellon Global Real Return Fund (EUR) Societe Generale

United Kingdom United Kingdom

France

Barclays Capital Securities Ltd. HSBC Bank plc

United Kingdom United Kingdom

Deutsche Bank AG UBS AG

Germany Switzerland

Credit Suisse Securities (Europe) Limited United Kingdom

Citigroup Global Markets Limited Barclays Capital Inc

United Kingdom United States ofAmerica

BNY Mellon Global Real Return Fund (GBP) Deutsche Bank AG Germany Credit Suisse Securities (Europe) Limited United Kingdom UBS AG Switzerland

BNY Mellon Global Real Return Fund (USD) Credit Suisse Securities (Europe) Limited United Kingdom Societe Generale

France

Deutsche Bank AG HSBC Bank plc UBS AG

Germany United Kingdom Switzerland

BNY Mellon Global Short-Dated High Yield Bond Fund Credit Suisse Securities (Europe) Limited United Kingdom Citigroup Global Markets Limited

United Kingdom

Citigroup Global Markets Inc

United Kingdom

Collateral Type

Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

Equity Indices Equity Indices-Expanded Equity Indices Equity Indices G10 Debt (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

Equity Indices G10 Debt (TriParty) Equity Indices Equity Indices-Expanded Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral)

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD 345,820 17,367 306,815 23,098 61,863 6,013

USD 392,032 18,890 346,375 24,303 66,227 6,138

% 113.36% 108.77% 112.89% 105.22% 107.05% 102.08%

3,796,421

4,121,553

108.56%

EUR 134,942,283 4,724,441 90,973,402 73,785,524 2,228,931 62,878,542 28,166,120 19,398,542 17,623,002 9,981,087 1,220,609 18,718,727

EUR 148,436,808 5,196,895 100,073,061 81,109,888 2,424,420 70,118,215 29,552,997 21,548,851 19,385,434 11,268,034 1,284,313 20,592,823

% 110.00% 110.00% 110.00% 109.93% 108.77% 111.51% 104.92% 111.08% 110.00% 112.89% 105.22% 110.01%

6,991,787

7,135,130

102.05%

471,632,997

518,126,869

109.86%

GBP 580,276 154,355 38,589

GBP 647,089 162,411 42,866

% 111.51% 105.22% 111.08%

773,220

852,366

110.24%

USD 16,271,904 1,586,291 10,972,959 796,978 4,459,292 578,896 127,241

USD 17,899,215 1,669,079 12,070,279 876,678 4,972,724 629,668 141,346

% 110.00% 105.22% 110.00% 110.00% 111.51% 108.77% 111.09%

34,793,561

38,258,989

109.96%

USD

20,496,215

21,279,150

103.82%

2,130,800 1,522,000

2,237,244 2,216,923

105.00% 145.66%

305

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Short-Dated High Yield Bond Fund cont’d. J.P. Morgan Securities plc United Kingdom UBS AG

Switzerland

Goldman Sachs & Company

United States ofAmerica

BNY Mellon Japan All Cap Equity Fund Deutsche Bank AG Merrill Lynch International J.P. Morgan Securities plc Citigroup Global Markets Limited Credit Suisse Securities (Europe) Limited UBS AG

BNY Mellon Japan REIT Alpha Fund J.P. Morgan Securities plc UBS AG Citigroup Global Markets Limited

Germany United Kingdom United Kingdom United Kingdom United Kingdom Switzerland

United Kingdom Switzerland United Kingdom

BNY Mellon Japan Small Cap Equity Focus Fund Merrill Lynch International United Kingdom J.P. Morgan Securities plc United Kingdom Deutsche Bank AG Germany Credit Suisse Securities (Europe) Limited Morgan Stanley & Co. International PLC UBS AG Citigroup Global Markets Limited

BNY Mellon Long-Term Global Equity Fund Citigroup Global Markets Limited Barclays Capital Securities Ltd. Skandinaviska Enskilda Banken AB Goldman Sachs International

HSBC Bank plc Barclays Capital Inc Deutsche Bank AG

United Kingdom United Kingdom Switzerland United Kingdom

United Kingdom United Kingdom Sweden United States ofAmerica United Kingdom United States ofAmerica Germany

Collateral Type

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral)

Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

USD

1,126,667

1,229,553

109.13%

1,014,667

1,087,208

107.15%

422,456

431,107

102.05%

26,712,805

28,481,185

106.62%

JPY 223,572,702 11,096,795 191,893,550 101,279,465 90,216,868 44,308,392 9,979,728

JPY 249,314,291 11,753,783 202,068,513 111,867,263 99,255,805 50,021,451 11,085,972

% 111.51% 105.92% 105.30% 110.45% 110.02% 112.89% 111.08%

672,347,500

735,367,078

109.37%

JPY 217,310,385 19,356,301 16,184,690

JPY 240,028,120 21,501,928 17,805,925

% 110.45% 111.08% 110.02%

252,851,376

279,335,973

110.47%

JPY 373,102,768 204,624,069 131,013,781 29,848,343 124,167,511 66,729,256 24,706,442 7,914,303

JPY 392,886,216 226,015,557 146,098,370 31,615,521 140,177,486 70,305,917 27,445,126 8,708,336

% 105.30% 110.45% 111.51% 105.92% 112.89% 105.36% 111.08% 110.03%

962,106,473 1,043,252,529

108.43%

Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

EUR 22,848,163 15,070,822 2,546,178 14,515,694

EUR 25,135,690 16,659,937 2,714,527 16,033,980

% 110.01% 110.54% 106.61% 110.46%

G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

6,911,887 3,430,968 7,616,548

7,314,983 3,858,689 8,634,351

105.83% 112.47% 113.36%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

7,410,589 5,078,518

7,562,519 5,663,245

102.05% 111.51%

306

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Long-Term Global Equity Fund cont’d. Credit Suisse Securities (Europe) Limited United Kingdom UBS AG Switzerland J.P. Morgan Securities LLC United States ofAmerica Merrill Lynch International United Kingdom

BNY Mellon S&P 500® Index Tracker Societe Generale France Credit Suisse Securities (Europe) Limited United Kingdom UBS AG

Switzerland

J.P. Morgan Securities LLC

United States ofAmerica United Kingdom

HSBC Bank plc Citigroup Global Markets Limited Credit Suisse Securities (USA) LLC

United Kingdom United States ofAmerica Goldman Sachs & Company United States ofAmerica Merrill Lynch, Pierce, Fenner & Smith Inc United States ofAmerica Merrill Lynch International United Kingdom UBS Securities, LLC Deutsche Bank AG Barclays Capital Inc Barclays Bank PLC Macquarie Bank Limited

BNY Mellon Small Cap Euroland Fund Deutsche Bank AG

United States ofAmerica Germany United States ofAmerica United Kingdom Australia

Germany

Barclays Capital Securities Ltd.

United Kingdom

Morgan Stanley & Co. International PLC Credit Suisse Securities (Europe) Limited UBS AG Merrill Lynch International Citigroup Global Markets Limited HSBC Bank plc

United Kingdom United Kingdom Switzerland United Kingdom United Kingdom United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2017

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

EUR 1,816,542 1,196,043

EUR 2,050,764 1,273,349

% 112.89% 106.46%

597,324 186,432

611,252 196,318

102.33% 105.30%

89,225,708

97,709,604

109.51%

Equity Indices (TriParty) Equity Indices (TriParty) Government Debt & Supranationals (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) U.S. Government Debt (Bilateral) Government Debt & Supranationals (TriParty)

USD 685,071 664,911 5,822 540,187 59,032 37,704 34

USD 768,465 750,644 6,160 600,066 62,654 38,594 36

% 112.17% 112.89% 105.81% 111.08% 106.14% 102.36% 105.88%

U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

507,259 386,090 42,893 221,562

519,087 437,683 46,655 243,745

102.33% 113.36% 108.77% 110.01%

U.S. Government Debt (Bilateral)

179,542

183,140

102.00%

U.S. Government Debt (Bilateral)

148,099

151,132

102.05%

U.S. Government Debt (Bilateral) G10 Debt (TriParty) Equity Indices (TriParty)

136,427 90,347 30,474

139,169 95,137 32,624

102.01% 105.30% 107.06%

U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty)

96,800 56,368 3,370

98,808 62,858 3,570

102.07% 111.51% 105.93%

U.S. Government Debt (Bilateral) U.S. Government Debt (Bilateral) Equity Indices (TriParty)

41,549 20,527 5,744

42,400 20,954 6,347

102.05% 102.08% 110.50%

3,959,812

4,309,928

108.84%

EUR 2,904,249 78,396 2,105,398 570,469 2,070,295 1,725,509 1,306,557 1,190,120 1,105,039 353,026

EUR 3,238,639 83,038 2,244,602 630,621 2,181,262 1,947,993 1,451,387 1,253,225 1,215,674 400,201

% 111.51% 105.92% 106.61% 110.54% 105.36% 112.89% 111.08% 105.30% 110.01% 113.36%

Equity Indices (TriParty) Government Debt & Supranationals (TriParty) U.S. Government Debt (Bilateral) G10 Debt (TriParty)

Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

307

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Small Cap Euroland Fund cont’d. Nomura International PLC Goldman Sachs International

BNY Mellon Targeted Return Bond Fund J.P. Morgan Securities LLC

Country of Incorporation

United Kingdom United States ofAmerica

United States ofAmerica

BNY Mellon U.S. Dynamic Value Fund HSBC Bank plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom J.P. Morgan Securities LLC Barclays Bank PLC Credit Suisse Securities (USA) LLC UBS AG

United States ofAmerica United Kingdom United States ofAmerica Switzerland

Collateral Type

BNY Mellon US Opportunities Fund UBS AG J.P. Morgan Securities LLC Societe Generale Deutsche Bank AG

Switzerland United States ofAmerica France Germany

Credit Suisse Securities (Europe) Limited United Kingdom Credit Suisse Securities (USA) LLC United States ofAmerica

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2017 2017

Equity Indices (TriParty)

EUR 82,260

EUR 91,900

% 111.72%

G10 Debt (TriParty)

51,459

54,460

105.83%

13,542,777

14,793,002

109.23%

USD

170,428

174,402

102.33%

170,428

174,402

102.33%

USD 2,592,922 1,931,138 5,789

USD 2,939,415 2,180,136 6,125

% 113.36% 112.89% 105.80%

U.S. Government Debt (Bilateral) U.S. Government Debt (Bilateral)

874,458 202,135

894,848 206,340

102.33% 102.08%

U.S. Government Debt (Bilateral) U.S. Government Debt (Bilateral)

187,242 110,592

190,995 113,202

102.00% 102.36%

5,904,276

6,531,061

110.62%

USD

U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

4,686,573 3,702,003 2,924,306 2,900,880

4,795,852 4,179,334 3,248,462 3,262,593

102.33% 112.89% 111.08% 112.47%

U.S. Government Debt (Bilateral)

381,467

389,112

102.00%

14,595,229

15,875,353

108.77%

Equity Indices (TriParty) U.S. Government Debt (Bilateral)

USD 4,372,291 428,606

USD 4,856,956 438,723

% 111.08% 102.36%

U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

3,757,703 1,980,724 1,962,218 47,160 213,864

3,845,322 2,221,835 2,078,392 52,590 241,439

102.33% 112.17% 105.92% 111.51% 112.89%

U.S. Government Debt (Bilateral)

86,427

88,159

102.00%

12,848,993

13,823,416

107.58%

U.S. Government Debt (Bilateral)

Equity Indices (TriParty) Equity Indices (TriParty) Government Debt & Supranationals (TriParty)

BNY Mellon U.S. Equity Income Fund J.P. Morgan Securities LLC

United States ofAmerica Credit Suisse Securities (Europe) Limited United Kingdom UBS AG Switzerland Citigroup Global Markets Inc United Kingdom Credit Suisse Securities (USA) LLC United States ofAmerica

Aggregate value of securities on loan at 31 December 2017

308

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d. The value of securities on loan by counterparty and the value and type of collateral held by the Company in respect ofthose securities as at 31 December 2016 are detailed as follows:

Fund

Counterparty

BNY Mellon Absolute Insight Fund Citigroup Global Markets Limited

BNY Mellon Absolute Return Bond Fund Barclays Bank PLC

Country of Incorporation

Collateral Type

United Kingdom

Equity Indices (TriParty)

United Kingdom

HSBC Bank plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Citigroup Global Markets Limited United Kingdom UBS AG J.P. Morgan Securities plc

Switzerland United Kingdom

Goldman Sachs International

United Kingdom

BNY Mellon Absolute Return Equity Fund Merrill Lynch International UBS AG Deutsche Bank, AG Merrill Lynch International Citigroup Global Markets Limited Barclays Capital Securities Ltd

United Kingdom Switzerland Germany United Kingdom United Kingdom United Kingdom

BNY Mellon Asian Bond Fund Credit Suisse Securities (Europe) Limited United Kingdom UBS AG

BNY Mellon Asian Equity Fund Barclays Capital Inc

Switzerland

United States ofAmerica

Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) Equity Indices G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

Government Debt & Supranationals (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

U.S. Government Debt (Bilateral)

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

EUR 34,495

EUR 38,151

% 110.60%

34,495

38,151

110.60%

EUR

65,261,212 3,301,289 42,815,013 5,982,302

66,594,247 3,376,497 47,096,645 6,120,613

102.04% 102.28% 110.00% 102.31%

4,438,464 3,270,663

4,527,471 3,456,230

102.01% 105.67%

1,497,858 66,161

1,558,424 69,694

104.04% 105.34%

126,632,962

132,799,821

104.87%

GBP 11,335,037 7,593,352 1,760,818 357,088 193,838 124,565

GBP 12,380,382 8,353,047 1,957,447 378,580 214,383 141,778

% 109.22% 110.00% 111.17% 106.02% 110.60% 113.82%

21,364,698

23,425,617

109.65%

USD

401,592

421,534

104.97%

195,966

204,998

104.61%

597,558

626,532

104.85%

USD

884,779

903,123

102.07%

884,779

903,123

102.07%

309

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Emerging Markets Corporate Debt Fund Credit Suisse Securities (Europe) Limited United Kingdom UBS AG

Switzerland

Deutsche Bank, AG

Germany

J.P. Morgan Securities plc

United Kingdom

Goldman Sachs International

United Kingdom

BNY Mellon Emerging Markets Debt Fund Barclays Bank PLC United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom J.P. Morgan Securities plc United Kingdom Nomura International PLC

United Kingdom

Barclays Bank PLC

United Kingdom

Deutsche Bank, AG

Germany

Barclays Capital Inc

United States ofAmerica

BNY Mellon Emerging Markets Debt Local Currency Fund Citigroup Global Markets Limited United Kingdom

BNP Paribas

France

BNY Mellon Emerging Markets Debt Opportunistic Fund Citigroup Global Markets Limited United Kingdom

J.P. Morgan Securities plc

United Kingdom

Deutsche Bank, AG

Germany

Credit Suisse Securities (Europe) Limited United Kingdom

Collateral Type

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) Government Debt & Supranationals (TriParty)

G10 minus Belgium (Euroclear Triparty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral)

G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty)

G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

USD

7,641,582

8,021,038

104.97%

5,114,894

5,350,628

104.61%

2,980,056

3,118,318

104.64%

2,223,408 1,728,189 1,252,265

2,443,734 1,815,638 1,319,130

109.91% 105.06% 105.34%

20,940,394

22,068,486

105.39%

USD 1,199,648 1,088,000

USD 1,259,409 1,142,728

% 104.98% 105.03%

985,603 799,102

1,083,270 839,887

109.91% 105.10%

563,512 274,801

603,931 289,669

107.17% 105.41%

239,712 302,479

251,316 324,144

104.84% 107.16%

180,256

188,619

104.64%

146,497

149,534

102.07%

5,779,610

6,132,507

106.11%

USD 19,522,380

USD 20,460,530

% 104.81%

4,918,780 1,785,459

5,153,510 1,875,402

104.77% 105.04%

26,226,619

27,489,442

104.82%

USD 1,482,033

USD 1,553,252

% 104.81%

1,407,667

1,474,843

104.77%

1,154,686 1,005,251

1,269,108 1,077,252

109.91% 107.16%

437,765

458,076

104.64%

985,802

1,034,753

104.97%

6,473,204

6,867,284

106.09%

310

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Euroland Bond Fund Citigroup Global Markets Limited Barclays Bank PLC

Country of Incorporation

United Kingdom United Kingdom

Morgan Stanley & Co. International PLC BNP Paribas Merrill Lynch International Goldman Sachs International

United Kingdom France United Kingdom United Kingdom

Deutsche Bank, AG

Germany

UBS AG Barclays Capital Inc

RBC Europe Limited Societe Generale

Switzerland United States ofAmerica United States ofAmerica United Kingdom France

Nomura International PLC

United Kingdom

J.P. Morgan Securities plc

United Kingdom

Deutsche Bank Securities Inc

BNY Mellon European Credit Fund RBC Europe Limited Citigroup Global Markets Limited

United Kingdom United Kingdom

Credit Suisse Securities (Europe) Limited United Kingdom Merrill Lynch International

BNY Mellon Global Bond Fund HSBC Bank plc ING Bank NV Credit Suisse Securities (Europe) Limited Nomura International PLC BNP Paribas Arbitrage Citigroup Global Markets Limited RBC Europe Limited

United Kingdom

United Kingdom Netherlands United Kingdom United Kingdom Netherlands United Kingdom United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

EUR

50,891,992

51,912,566

102.01%

36,181,332 3,681,018 21,246,863 13,849,123 13,355,664

36,920,378 3,764,878 21,679,953 14,787,779 14,587,355

102.04% 102.28% 102.04% 106.78% 109.22%

9,244,578

9,429,952

102.01%

8,558,935 6,461,593

8,733,042 6,828,204

102.03% 105.67%

U.S. Government Debt (Bilateral)

6,448,831

6,582,536

102.07%

U.S. Government Debt (Bilateral) G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

1,821,392 957,271

1,858,321 1,003,486

102.03% 104.83%

519,538

530,048

102.02%

481,095 199,769

515,602 214,147

107.17% 107.20%

173,898,994

179,348,247

103.13%

EUR 360,945

EUR 479,094

% 132.73%

325,565

332,094

102.01%

307,198 98,760

313,524 107,867

102.06% 109.22%

1,092,468

1,232,579

112.83%

USD 25,272,315 15,606,477 14,346,409 3,937,106 2,968,868 2,491,980 2,045,659

USD 27,799,623 16,386,807 15,783,879 4,138,052 3,119,670 2,741,268 2,144,419

% 110.00% 105.00% 110.02% 105.10% 105.08% 110.00% 104.83%

66,668,814

72,113,718

108.17%

Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) G10 minus Belgium (Euroclear Triparty) G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

Equity Indices Government Debt & Supranationals (TriParty) Equity Indices G10 Debt (TriParty) Government Debt & Supranationals (TriParty) Equity Indices G10 minus Belgium (Euroclear Triparty)

311

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Credit Fund J.P. Morgan Securities plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Deutsche Bank, AG Germany

BNY Mellon Global Dynamic Bond Fund HSBC Bank plc Deutsche Bank, AG Citigroup Global Markets Limited Barclays Bank PLC UBS AG

United Kingdom Germany United Kingdom United Kingdom Switzerland

Collateral Type

BNY Mellon Global Equity Fund Citigroup Global Markets Limited UBS AG Morgan Stanley & Co. LLC BNP Paribas Arbitrage J.P. Morgan Securities LLC HSBC Bank plc Barclays Capital Securities Ltd Barclays Capital Inc

BNY Mellon Global Equity Income Fund HSBC Bank plc Merrill Lynch International UBS Securities LLC UBS AG Morgan Stanley & Co. LLC

United Kingdom Switzerland United States ofAmerica Netherlands United States ofAmerica United Kingdom United Kingdom United States ofAmerica

United Kingdom United Kingdom United States ofAmerica Switzerland United States ofAmerica

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

USD 3,266,879 3,154,830

USD 3,502,049 3,227,770

% 107.20% 102.31%

2,422,678

2,471,961

102.03%

8,844,387

9,201,780

104.04%

USD 14,578,295 1,903,591

USD 16,036,168 2,039,936

% 110.00% 107.16%

1,436,229 744,544

1,465,030 781,634

102.01% 104.98%

305,713

319,803

104.61%

18,968,372

20,642,571

108.83%

USD

509,553 207,269 59,241 2,424

520,117 234,986 65,760 2,695

102.07% 113.37% 111.00% 111.18%

778,487

823,558

105.79%

Equity Indices (TriParty) U.S. Government Debt (Bilateral)

USD 6,282,406 4,903,571

USD 6,948,296 5,008,996

% 110.60% 102.15%

U.S. Government Debt (Bilateral) G10 Debt (TriParty)

4,177,214 2,404,057

4,263,974 2,565,240

102.08% 106.70%

U.S. Government Debt (Bilateral) G10 Debt (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

2,185,335 1,835,130 1,436,339 104,947

2,230,736 1,941,919 1,546,604 119,452

102.08% 105.82% 107.68% 113.82%

U.S. Government Debt (Bilateral)

816,015

832,934

102.07%

24,145,014

25,458,151

105.44%

USD 11,654,469 4,366,546

USD 12,332,662 4,674,239

% 105.82% 107.05%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

2,616,216 1,930,723

2,671,662 2,143,185

102.12% 111.00%

U.S. Government Debt (Bilateral)

1,457,109

1,487,373

102.08%

Government Debt & Supranationals (TriParty) G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty)

Equity Indices G10 Debt (TriParty) Government Debt & Supranationals (Euroclear TriParty) G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty)

BNY Mellon Global Emerging Markets Fund Barclays Capital Inc

United States ofAmerica Credit Suisse Securities (Europe) Limited United Kingdom UBS AG Switzerland Deutsche Bank, AG Germany

Aggregate value of securities on loan at 31 December 2016

U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

G10 Debt (TriParty) Equity Indices (TriParty)

312

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Equity Income Fund cont’d. Credit Suisse Securities (USA) LLC United States ofAmerica

BNY Mellon Global High Yield Bond Fund Barclays Capital Inc Deutsche Bank Securities Inc Barclays Bank PLC

United States ofAmerica United States ofAmerica United Kingdom

United States ofAmerica Credit Suisse Securities (Europe) Limited United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

USD

310,772

317,225

102.08%

22,335,835

23,626,346

105.78%

USD

13,281,657

13,557,029

102.07%

U.S. Government Debt (Bilateral) Government Debt & Supranationals (Euroclear TriParty)

1,920,502

1,959,440

102.03%

1,290,793

1,353,276

104.84%

U.S. Government Debt (Bilateral) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty)

1,083,504

1,106,003

102.08%

828,440

856,568

103.40%

435,825

483,681

110.98%

18,840,721

19,315,997

102.52%

USD 2,118,143 1,478,498 747,601 617,815

USD 2,224,143 1,614,848 822,508 649,205

% 105.00% 109.22% 110.02% 105.08%

783,779 507,772

799,496 532,173

102.01% 104.81%

696,247

710,683

102.07%

U.S. Government Debt (Bilateral)

Credit Suisse Securities (USA) LLC

UBS AG

Switzerland

BNY Mellon Global Opportunistic Bond Fund BNP Paribas France Merrill Lynch International United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Citigroup Global Markets Limited

Barclays Capital Inc

United Kingdom

Barclays Bank PLC

United States ofAmerica United Kingdom

Nomura International PLC

United Kingdom

UBS AG Credit Suisse Securities (USA) LLC

Switzerland United States ofAmerica Merrill Lynch, Pierce, Fenner & Smith Inc United States ofAmerica

BNY Mellon Global Opportunities Fund Citigroup Global Markets Limited UBS AG Credit Suisse Securities (USA) LLC Goldman Sachs & Co

United Kingdom Switzerland United States ofAmerica United States ofAmerica

G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (TriParty) Equity Indices G10 minus Belgium (Euroclear Triparty) Government Debt & Supranationals (Euroclear TriParty) G10 Debt (TriParty) U.S. Government Debt (Bilateral) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (Euroclear TriParty) Government Debt & Supranationals (TriParty)

588,751

600,777

102.04%

496,388 495,027

531,992 523,113

107.17% 105.67%

U.S. Government Debt (Bilateral)

289,151

295,155

102.08%

U.S. Government Debt (Bilateral)

282,431

288,241

102.06%

9,101,603

9,592,334

105.39%

Equity Indices (TriParty) U.S. Government Debt (Bilateral)

USD 4,449,923 2,667,286

USD 4,921,581 2,724,632

% 110.60% 102.15%

U.S. Government Debt (Bilateral)

2,340,525

2,389,126

102.08%

U.S. Government Debt (Bilateral)

1,681,265

1,715,402

102.03%

313

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Global Opportunities Fund cont’d. UBS Securities LLC United States ofAmerica Merrill Lynch International United Kingdom

Collateral Type

Citigroup Global Markets Limited

BNY Mellon Global Real Return Fund (EUR) Barclays Capital Securities Ltd

United Kingdom

HSBC Bank plc

United Kingdom

ING Bank NV Citigroup Global Markets Limited UBS AG

Netherlands United Kingdom Switzerland

Deutsche Bank, AG Societe Generale Credit Suisse Securities (Europe) Limited UBS Securities LLC Merrill Lynch International

BNY Mellon Global Real Return Fund (GBP) Citigroup Global Markets Limited UBS AG Deutsche Bank, AG Barclays Capital Securities Ltd Merrill Lynch International

Germany France United Kingdom United States ofAmerica United Kingdom

United Kingdom Switzerland Germany United Kingdom United Kingdom

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

USD

38,879 31,304

39,703 33,510

102.12% 107.05%

11,209,182

11,823,954

105.48%

EUR

U.S. Government Debt (Bilateral)

306,043

312,388

102.07%

U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices (TriParty)

237,261 229,348 219,305 148,043 121,147 73,352 17,662 39,414

242,190 253,670 248,630 164,575 130,447 74,929 19,608 43,591

102.08% 110.60% 113.37% 111.17% 107.68% 102.15% 111.00% 110.60%

1,391,575

1,490,028

107.07%

EUR 281,448,212 2,866,361 259,010 158,557,515 248,938 125,346,078 15,825,956

EUR 309,614,056 3,262,506 278,893 174,413,746 263,426 131,613,431 17,503,391

% 110.01% 113.82% 107.68% 110.00% 105.82% 105.00% 110.60%

11,316,292 4,080,078 5,155,288 4,648,238 3,481,500

11,837,834 4,167,798 5,730,974 5,117,105 3,830,336

104.61% 102.15% 111.17% 110.09% 110.02%

1,174,518 899,817

1,199,410 953,971

102.12% 106.02%

615,307,801

669,786,877

108.85%

GBP 1,090,252 817,103 220,612 114,330 98,452

GBP 1,205,811 834,671 245,246 123,106 104,378

% 110.60% 102.15% 111.17% 107.68% 106.02%

2,340,749

2,513,212

107.37%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

BNY Mellon Global Property Securities Fund Barclays Capital Inc

United States ofAmerica J.P. Morgan Securities LLC United States ofAmerica J.P. Morgan Securities plc United Kingdom Credit Suisse Securities (Europe) Limited United Kingdom Deutsche Bank, AG Germany Barclays Capital Securities Ltd United Kingdom UBS AG Switzerland

Aggregate value of securities on loan at 31 December 2016

Equity Indices Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices G10 Debt (TriParty) Government Debt & Supranationals (TriParty) Equity Indices (TriParty) Government Debt & Supranationals (Euroclear TriParty) U.S. Government Debt (Bilateral) Equity Indices (TriParty) Equity Indices-Expanded Equity Indices U.S. Government Debt (Bilateral) G10 Debt (TriParty)

Equity Indices (TriParty) U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty)

314

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Global Real Return Fund (USD) Barclays Capital Securities Ltd

Country of Incorporation

United Kingdom

HSBC Bank plc

United Kingdom

Citigroup Global Markets Limited

United Kingdom

ING Bank NV Credit Suisse Securities (Europe) Limited Societe Generale Deutsche Bank, AG Merrill Lynch International UBS AG

Netherlands United Kingdom France Germany United Kingdom Switzerland

BNY Mellon Japan All Cap Equity Fund UBS AG J.P. Morgan Securities plc Deutsche Bank, AG Credit Suisse Securities (Europe) Limited BNP Paribas Arbitrage Merrill Lynch International

Switzerland United Kingdom Germany United Kingdom Netherlands United Kingdom

BNY Mellon Japan Small Cap Equity Focus Fund UBS AG Switzerland J.P. Morgan Securities plc United Kingdom Deutsche Bank, AG

Germany

Credit Suisse Securities (Europe) Limited United Kingdom

BNY Mellon Long-Term Global Equity Fund Citigroup Global Markets Limited UBS AG Skandinaviska Enskilda Banken AB Deutsche Bank, AG Credit Suisse Securities (USA) LLC

United Kingdom Switzerland Sweden Germany United States ofAmerica J.P. Morgan Securities plc United Kingdom UBS Securities LLC United States ofAmerica Credit Suisse Securities (Europe) Limited United Kingdom J.P. Morgan Securities LLC United States ofAmerica

Collateral Type

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

USD 38,721,651 15 23,370,620 574,650 13,944,300 7,076,397 8,086,984 2,493,183 687,913 570,062 362,459 97,488

USD 42,596,706 16 25,707,753 608,090 15,422,294 7,784,291 8,491,337 2,742,993 757,302 633,721 384,274 99,584

% 110.01% 106.67% 110.00% 105.82% 110.60% 110.00% 105.00% 110.02% 110.09% 111.17% 106.02% 102.15%

95,985,722

105,228,361

109.63%

JPY 137,377,914 76,673,506 45,872,269 21,093,016 10,988,470 12,790,683 12,531,338

JPY 152,495,461 84,804,500 50,994,783 23,913,560 11,825,997 13,648,195 13,285,532

% 111.00% 110.60% 111.17% 113.37% 107.62% 106.70% 106.02%

317,327,196

350,968,028

110.60%

JPY 204,972,219 53,045,589 33,899,711 44,217,669 20,369,910 48,531,292

JPY 227,528,043 55,729,740 37,494,669 49,155,404 21,465,613 55,020,776

% 111.00% 105.06% 110.60% 111.17% 105.38% 113.37%

405,036,390

446,394,245

110.21%

Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

EUR 88,854,709 31,647,392 17,951,799 17,029,775

EUR 98,272,659 34,844,778 19,917,723 18,931,473

% 110.60% 110.10% 110.95% 111.17%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

16,573,922 6,076,795

16,918,078 6,721,221

102.08% 110.60%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

4,882,366 3,962,026

4,985,839 4,491,831

102.12% 113.37%

U.S. Government Debt (Bilateral)

3,608,824

3,683,798

102.08%

Equity Indices G10 Debt (TriParty) Equity Indices G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices Government Debt & Supranationals (TriParty) Equity Indices Equity Indices-Expanded Equity Indices (TriParty) G10 Debt (TriParty) U.S. Government Debt (Bilateral)

Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty) G10 Debt (TriParty)

Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty)

315

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

Country of Incorporation

BNY Mellon Long-Term Global Equity Fund cont’d. Nomura International PLC United Kingdom Goldman Sachs International United Kingdom

BNY Mellon Pan European Equity Fund Societe Generale Barclays Capital Securities Ltd Citigroup Global Markets Limited Nomura International PLC

BNY Mellon S&P 500® Index Tracker Citigroup Global Markets Limited

France United Kingdom United Kingdom United Kingdom

United Kingdom

HSBC Bank plc

United Kingdom

Deutsche Bank, AG Societe Generale Barclays Capital Inc

UBS AG

Germany France United States ofAmerica United States ofAmerica United Kingdom United States ofAmerica United States ofAmerica United States ofAmerica Switzerland

Merrill Lynch International

United Kingdom

Goldman Sachs & Co

United States ofAmerica

J.P. Morgan Securities LLC Goldman Sachs International Credit Suisse Securities (USA) LLC Morgan Stanley & Co. LLC UBS Securities LLC

BNY Mellon Small Cap Euroland Fund Barclays Capital Securities Ltd

United Kingdom

Credit Suisse Securities (Europe) Limited United Kingdom UBS AG Switzerland Citigroup Global Markets Limited United Kingdom Nomura International PLC Merrill Lynch International Goldman Sachs International

United Kingdom United Kingdom United Kingdom

Collateral Type

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

EUR 1,251,534 324,133

EUR 1,577,963 356,577

% 126.08% 110.01%

192,163,275

210,701,940

109.65%

EUR 80,590 25,762 9,836 638

EUR 89,854 27,739 10,879 804

% 111.49% 107.67% 110.60% 126.08%

116,826

129,276

110.66%

USD 2,023,259 25,635 1,392,802 370,441 700,361 659,059

USD 2,237,710 27,390 1,473,852 408,548 778,569 734,812

% 110.60% 106.85% 105.82% 110.29% 111.17% 111.49%

U.S. Government Debt (Bilateral)

335,927

342,890

102.07%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

311,652 292,402

318,127 321,671

102.08% 110.01%

U.S. Government Debt (Bilateral)

258,861

264,236

102.08%

U.S. Government Debt (Bilateral)

227,361

232,083

102.08%

U.S. Government Debt (Bilateral) U.S. Government Debt (Bilateral) Equity Indices (TriParty) G10 Debt (TriParty) Government Debt & Supranationals (TriParty) Equity Indices (TriParty)

211,231 175,512 14,246 79,892 51,463 43,660

215,708 179,286 15,814 84,700 56,209 46,737

102.12% 102.15% 111.01% 106.02% 109.22% 107.05%

U.S. Government Debt (Bilateral)

136,290

139,057

102.03%

7,310,054

7,877,399

107.76%

EUR 941,231 56,100 823,217 801,585 642,050 72,064 489,868 219,737 205,429

EUR 1,013,487 63,855 933,298 883,234 710,102 76,998 617,638 240,001 215,771

% 107.68% 113.82% 113.37% 110.19% 110.60% 106.85% 126.08% 109.22% 105.03%

Equity Indices (TriParty) Equity Indices (TriParty)

Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

Equity Indices (TriParty) G10 Debt (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty)

G10 Debt (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) Government Debt & Supranationals (TriParty) G10 Debt (TriParty)

316

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT cont’d.

Fund

Counterparty

BNY Mellon Small Cap Euroland Fund cont’d. Societe Generale Deutsche Bank, AG

Country of Incorporation

Collateral Type

France Germany

Equity Indices (TriParty) Equity Indices (TriParty)

BNY Mellon Targeted Return Bond Fund Merrill Lynch International United Kingdom Merrill Lynch, Pierce, Fenner & Smith Inc United States ofAmerica Credit Suisse Securities (USA) LLC United States ofAmerica

BNY Mellon U.S. Dynamic Value Fund Citigroup Global Markets Limited HSBC Bank plc J.P. Morgan Securities LLC Deutsche Bank, AG

BNY Mellon US Opportunities Fund Deutsche Bank, AG UBS AG J.P. Morgan Securities LLC Citigroup Global Markets Limited

United Kingdom United Kingdom United States ofAmerica Germany

Germany Switzerland United States ofAmerica United Kingdom

Aggregate value of securities on loan at 31 December 2016

Aggregate Value of value of collateral as % collateral of securities held at on loan at 31 December 31 December 2016 2016

EUR 70,021 35,086

EUR 78,069 39,004

% 111.49% 111.17%

4,356,388

4,871,457

111.82%

Government Debt & Supranationals (TriParty)

USD 699,664

USD 764,189

% 109.22%

U.S. Government Debt (Bilateral)

205,405

209,630

102.06%

U.S. Government Debt (Bilateral)

157,718

160,993

102.08%

1,062,787

1,134,812

106.78%

USD 7,218,997 4,023,561 270,020

USD 7,984,158 4,257,699 297,797

% 110.60% 105.82% 110.29%

592,230 57,831

604,534 64,289

102.08% 111.17%

12,162,639

13,208,477

108.60%

Equity Indices (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral)

USD 629,272 573,926 52,589

USD 699,543 637,083 53,719

% 111.17% 111.00% 102.15%

U.S. Government Debt (Bilateral) Equity Indices (TriParty)

508,172 407,155

518,729 450,310

102.08% 110.60%

2,171,114

2,359,384

108.67%

Equity Indices (TriParty) G10 Debt (TriParty) Equity Indices (TriParty) U.S. Government Debt (Bilateral) Equity Indices (TriParty)

15. NET ASSET VALUE The net asset value of each class of redeemable participating share is determined by dividing the value of the net assets of the share class by the total number of redeemable participating shares in issue at the ﬁnancial year end. The published net asset value of each class of redeemable participating share is as follows: Fund

Share Class Currency

BNY Mellon Absolute Insight Fund* Total net assets Net asset value per: Class E (Acc)^ Class E (Acc) (Hedged)^

EUR EUR CHF

31 December 2017

31 December 2016

31 December 2015

– – –

80,141,041 1.0006 0.9850

224,417,441 1.0114 1.0001

317

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

USD GBP EUR EUR USD EUR EUR USD EUR CHF USD EUR GBP

– – – – – – – – – – – – –

– 1.0168 – 0.9756 0.9924 0.9758 0.9875 1.0031 0.9913 – 0.9857 0.9697 1.0074

1.0155 1.0191 1.0095 0.9959 1.0004 0.9961 1.0030 1.0062 1.0049 0.9769 0.9868 0.9833 1.0128

Class C Class C (Inc) Class D (Acc)^ Class I (Hedged)^ Sterling I (Acc) (Hedged)^ Class R Class R (Hedged) Class R (Inc) Class S Class S (Inc) Class T (Hedged) Class T (Hedged) Sterling T (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged) Class X Sterling X (Acc) (Hedged) Class Z (Acc)

EUR EUR EUR EUR USD GBP EUR USD EUR EUR EUR USD CHF GBP EUR USD USD GBP GBP EUR GBP EUR

1,482,534,034 104.8910 102.6143 99.9462 – – 104.1423 105.9983 103.5650 109.9478 103.2802 114.5937 100.2744 113.8513 100.4320 101.3064 101.7309 102.9753 102.2759 115.2836 119.0151 99.9509

2,160,243,520 105.1455 103.5435 – 103.1703 105.1026 104.8450 104.8126 104.5947 110.0282 104.0572 112.8007 100.9574 113.2574 100.8570 99.9449 100.5379 102.7010 102.4824 114.8703 117.7481 100.2904

2,156,159,324 103.6759 102.3427 – 100.4807 102.8416 103.8774 102.6019 103.6250 108.6252 102.8894 109.9164 – 110.8220 – – – 100.5530 100.4839 112.4932 114.4492 –

BNY Mellon Absolute Return Equity Fund Total net assets Net asset value per: Class D (Acc) (Hedged)^ Class R (Hedged) Class R (Hedged) Class R (Hedged) Class R (Inc) (Hedged) Sterling R (Acc) Sterling S (Acc) Class T (Hedged) Class T (Hedged) Class U (Hedged)

GBP EUR CHF EUR USD EUR GBP GBP EUR USD EUR

1,803,487,199 1.0021 0.9763 1.1469 1.0782 1.0330 1.1917 1.2323 1.1843 1.1018 1.0504

2,270,552,815 – 0.9727 1.1367 1.0494 1.0238 1.1711 1.2065 1.1682 1.0680 1.0354

1,877,967,094 – 0.9931 1.1548 1.0526 1.0399 1.1790 1.2086 1.1810 1.0658 1.0444

BNY Mellon Absolute Insight Fund* cont’d. Net asset value per: Class E (Acc) (Hedged) Sterling E (Acc) (Hedged)^ Class E (Inc) Class R (Acc)^ Class R (Acc) (Hedged)^ Class R (Inc)^ Class S (Acc)^ Class T (Acc) (Hedged)^ Class U (Acc)^ Class U (Acc) (Hedged) Class U (Acc) (Hedged)^ Class U (Inc)^ Sterling U (Acc) (Hedged)^ BNY Mellon Absolute Return Bond Fund Total net assets Net asset value per:

318

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

BNY Mellon Absolute Return Equity Fund cont’d. Net asset value per: Class U (Hedged) Class U (Inc) (Hedged)^ Sterling U (Acc) Sterling X (Acc)

USD EUR GBP GBP

1.0855 1.0058 1.2384 1.3604

1.0516 – 1.2113 1.3154

1.0484 – 1.2117 1.3042

BNY Mellon Asia Rising Stars Fund* Total net assets Net asset value per: Class A (Acc)^ Class H (Acc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^

USD USD SGD USD SGD

13,756,728 1.3199 1.3107 1.3300 1.3210

– – – – –

Class A (Acc)^ Class A (Inc)^ Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Class E (Inc)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Acc) (Hedged)^ Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class W (Inc)^ Class W (Inc) (Hedged)^ Class X (Acc)^

USD USD USD USD USD USD USD EUR EUR EUR EUR USD EUR USD EUR USD

– – – – – – – – – – – – – – – –

25,628,060 1.0617 1.0149 1.0744 1.0162 1.0323 0.9883 1.0412 0.9947 1.0541 0.9958 1.0836 1.0631 1.0170 0.9966 1.1022

40,960,870 1.0252 1.0007 1.0321 1.0020 – 0.9745 1.0201 0.9955 1.0275 0.9967 1.0373 1.0327 1.0028 0.9975 1.0479

Class A Class A Class B Class B Class C Class C Sterling C (Inc) Class W Sterling W (Inc)^

USD USD EUR USD EUR USD EUR GBP USD GBP

71,394,174 3.8838 2.8542 4.1576 1.4789 4.6695 2.9031 3.0846 1.2997 –

72,734,376 2.7807 2.3199 2.9619 1.1961 3.3108 2.3365 2.4130 0.9189 1.1553

92,509,650 2.7215 2.2013 2.8845 1.1293 3.2082 2.1950 1.9617 0.8883 0.9396

Class A (Acc) Class A (Acc) Class A (Inc) Class A (Inc)^ Sterling A (Acc)^ Sterling A (Inc)^

GBP EUR USD EUR USD GBP GBP

21,794,947 1.1851 1.0516 1.0819 – – –

17,863,411 1.1212 0.8726 1.0662 0.8226 1.2103 1.1395

21,002,259 1.0056 0.8081 0.9811 0.7812 0.9372 0.9050

BNY Mellon Asian Bond Fund* Total net assets Net asset value per:

BNY Mellon Asian Equity Fund Total net assets Net asset value per:

BNY Mellon Asian Income Fund Total net assets Net asset value per:

319

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

BNY Mellon Asian Income Fund cont’d. Net asset value per:

31 December 2017

31 December 2016

31 December 2015

Class B (Acc) Class C (Acc) Sterling C (Acc) Class H (Inc) (Hedged)^ Class J (Inc) (Hedged)^ Class W (Inc) Class W (Inc) Sterling W (Inc)

USD USD GBP EUR EUR EUR USD GBP

1.0546 1.1205 1.3091 0.9514 – 1.1443 1.0007 1.2506

0.8705 0.9207 1.1785 – 0.9852 1.1162 0.8537 1.1718

0.8022 0.8442 0.9035 – – 1.0270 0.8112 0.9300

Class A Class A Class B Class B Sterling B (Acc) Class C Class C Sterling C (Inc) Class H (Hedged) Class I (Hedged) Class W (Acc) Class W (Acc) Sterling W (Acc)

USD USD EUR USD EUR GBP USD EUR GBP EUR EUR USD EUR GBP

64,120,569 0.9887 1.1450 0.8371 0.9875 0.9235 1.0958 1.2704 1.1074 0.9416 – 0.9454 1.0304 1.1289

80,482,765 0.8366 1.1043 0.7047 0.9474 0.8517 0.9185 1.2128 1.0326 0.8143 – 0.7899 0.9812 1.0333

56,888,143 0.5300 0.6777 0.4443 0.5785 0.4489 0.5762 0.7370 0.5555 0.5232 0.5376 0.4942 0.5948 0.5406

Class A Class A (Inc) Class C Class C Class C (Inc) Class I (Acc) (Hedged) Class X

EUR EUR EUR EUR USD EUR USD EUR

– – – – – – – –

233,567,042 1.0428 0.9930 1.0537 0.9308 1.0123 0.9577 1.0656

USD USD EUR EUR USD USD EUR EUR USD EUR USD EUR GBP GBP GBP

27,212,618 0.9843 0.9390 0.9390 1.0107 1.0105 0.9607 0.9852 1.0170 0.9917 1.0169 0.9917 1.1856 1.0057 1.1856

16,846,939 0.9280 1.0092 1.0092 0.9433 0.9432 0.9228 0.9370 0.9470 0.9408 0.9469 0.9408 1.2093 0.9463 1.2093

11,519,058 0.9334 0.9832 0.9832 0.9393 0.9393 0.9397 0.9454 0.9407 0.9468 0.9408 0.9468 1.0041 0.9449 1.0042

BNY Mellon Brazil Equity Fund Total net assets Net asset value per:

BNY Mellon Crossover Credit Fund** Total net assets Net asset value per:

BNY Mellon Dynamic Total Return Fund Total net assets Net asset value per:

Class A (Acc) Class A (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class H (Acc) (Hedged) Class I (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) Class W (Inc) (Hedged) Sterling W (Acc) Sterling W (Acc) (Hedged) Sterling W (Inc)

320

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

GBP USD

1.0057 1.0387

0.9463 0.9595

0.9449 0.9455

Class A (Inc)^ Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Sterling E (Acc)^ Class U (Acc)^ Class W (Acc)^ Sterling W (Acc)^ Class X (Acc)^ Class X (Inc)^

USD USD USD USD USD GBP USD USD GBP USD USD

51,316,892 1.0443 1.0444 1.0444 1.0450 1.0121 1.0441 1.0448 1.0118 1.0455 1.0454

– – – – – – – – – – –

BNY Mellon Emerging Markets Corporate Debt Fund Total net assets Net asset value per: Class A Class A Class B Class C Class C Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class I (Hedged) Class W Class W Class W (Acc) (Hedged)^ Class W (Acc) (Hedged) Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged) Class X

USD USD EUR USD USD EUR USD EUR EUR EUR USD EUR EUR CHF EUR GBP USD

344,098,646 129.8738 137.6214 142.5908 144.6294 152.4896 100.2184 99.7819 126.6094 130.3152 146.2148 161.5407 99.5508 104.7606 101.5204 138.9860 156.9336

175,436,673 118.7668 142.8519 130.0582 131.4009 157.3113 – – 118.2109 120.8610 132.5739 166.3248 – 97.3067 – 127.6105 141.3124

108,707,950 106.0477 123.6597 115.8427 116.5712 135.2970 – – 107.0378 108.7738 117.3775 142.7798 – – – 113.0298 124.2625

Class A Class A Class C Class C Class C (Inc) Class H (Acc) (Hedged) Class I (Acc) (Hedged) Class W

USD USD EUR USD EUR USD EUR EUR USD

75,837,591 2.2345 1.8623 2.3803 1.9786 0.8563 1.1783 – 1.1939

61,675,460 2.0054 1.9052 2.1257 2.0142 0.8072 1.0822 – 1.0641

71,167,680 1.8250 1.6794 1.9250 1.7666 0.7719 1.0068 1.0186 0.9613

BNY Mellon Emerging Markets Debt Local Currency Fund Total net assets Net asset value per: Class A Class A

USD USD EUR

962,197,064 1.1442 1.1870

830,681,213 0.9965 1.1785

1,324,481,237 0.9272 1.0621

BNY Mellon Dynamic Total Return Fund cont’d. Net asset value per: Sterling W (Inc) (Hedged) Class X (Acc) BNY Mellon Dynamic U.S. Equity Fund* Total net assets Net asset value per:

BNY Mellon Emerging Markets Debt Fund Total net assets Net asset value per:

321

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

BNY Mellon Emerging Markets Debt Local Currency Fund cont’d. Net asset value per: Class A (Inc) USD Class A (Inc) EUR Sterling A (Acc) GBP Sterling A (Inc)^ GBP Class B^ USD Class B^ EUR Sterling B (Acc) GBP Sterling B (Inc)^ GBP Class C USD Class C EUR Class C (Inc) USD Class C (Inc) EUR Sterling C (Acc) GBP Sterling C (Inc) GBP Class G (Acc)^ USD Class G (Acc) (Hedged)^ EUR Class H (Hedged) EUR Class I (Hedged) EUR Class I (Inc) (Hedged) EUR Sterling J (Inc) (Hedged) GBP Class W USD Class W EUR Class W (Hedged) EUR Class W (Inc) USD Class W (Inc) EUR Sterling W (Inc) GBP Sterling W (Inc) (Hedged) GBP Class X USD Class X (Inc) CHF

0.6602 0.8950 1.1068 – – – 1.1375 – 1.5037 1.2544 0.7088 0.8421 1.6511 1.0409 1.0356 1.0338 1.0342 1.0425 0.6485 0.6363 0.8940 0.9631 0.9093 0.6850 0.7380 0.8129 0.7122 1.6951 0.7063

0.6025 0.9313 1.0560 0.7918 0.7733 0.9798 1.0826 0.8273 1.3039 1.2390 0.6469 0.8762 1.5673 1.0405 – – 0.9226 0.9261 0.6078 0.5897 0.7720 0.9484 0.8037 0.6251 0.7678 0.8128 0.6597 1.4536 0.6733

0.5896 0.8828 0.8213 0.6478 0.7175 0.8810 0.8398 0.6768 1.2072 1.1111 0.6331 0.8306 1.2130 0.8517 – – 0.8731 0.8731 0.6050 0.5814 0.7122 0.8475 0.7542 0.6118 0.7281 0.6650 0.6470 1.3319 0.6480

BNY Mellon Emerging Markets Debt Opportunistic Fund Total net assets Net asset value per: Class A^ Class A Class C Class C Class W^ Class W (Acc)^ Class X Class X (Inc)

USD USD EUR USD EUR EUR USD USD USD

67,410,420 – 1.1907 1.0827 1.2152 – 1.0171 1.1318 1.1074

66,839,955 0.9096 1.1931 0.9470 1.2125 1.2265 – 0.9796 1.0209

87,983,556 0.8351 1.0608 0.8650 1.0728 1.0813 – 0.8856 0.9740

BNY Mellon Emerging Markets Debt Total Return Fund* Total net assets Net asset value per: Class A (Acc)^ Class A (Inc)^ Class H (Acc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class X (Acc)^

USD USD USD EUR USD EUR USD

60,803,574 1.0087 1.0087 1.0066 1.0091 1.0070 1.0095

– – – – – – –

322

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund BNY Mellon Euroland Bond Fund Total net assets Net asset value per:

BNY Mellon Global Credit Fund** Total net assets Net asset value per:

31 December 2017

31 December 2016

31 December 2015

EUR EUR EUR EUR EUR EUR EUR EUR USD CHF USD CHF EUR EUR USD EUR CHF USD

877,641,625 1.9106 1.1915 1.3345 1.1983 2.0512 1.3016 0.9987 1.0597 1.2323 – 1.2903 1.1435 1.0370 – – – –

1,336,311,959 1.8777 1.1863 1.3086 1.1929 2.0062 1.2959 – 1.0214 1.2181 1.0408 1.2679 1.1165 1.0138 0.9832 0.9979 0.9691 0.9970

2,753,951,220 1.8318 1.1675 1.2734 1.1740 1.9473 1.2753 – 0.9845 1.1942 0.9903 1.2371 1.0826 – – 0.9676 0.9445 0.9542

Class A Class C Class C (Inc)^ Class I (Hedged) Class W (Acc)^ Class X Class X (Inc)

EUR EUR EUR EUR USD EUR EUR EUR

92,496,187 119.5950 122.5119 – – 101.3336 125.8087 114.2344

87,474,916 116.3434 118.5887 111.3604 – – 121.1334 111.5149

50,753,263 111.9740 113.5695 107.9592 98.4456 – 115.3858 108.1038

Class A Class A Class B Class C Class C Class C (Inc) Sterling C (Inc) Class H (Hedged) Class I (Hedged) Class W (Acc)^ Class W (Acc)^ Class X

USD USD EUR USD USD EUR USD GBP EUR EUR USD EUR USD

398,916,330 2.2263 1.6567 2.2722 2.3886 1.7886 0.9460 1.3996 1.2513 1.3061 1.0149 0.9628 2.4905

491,284,479 2.0895 1.7653 2.1294 2.2310 1.8966 0.8927 1.4494 1.2013 1.2479 – – 2.3131

309,274,826 2.0594 1.6868 2.0957 2.1880 1.8033 0.8834 1.1921 1.2056 1.2452 – – 2.2564

Class B (Acc) Class C (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged)^

USD USD USD EUR EUR

461,622,436 1.0301 1.1034 1.0578 –

400,480,353 0.9798 1.0466 1.0288 0.9986

– – – – –

Class A Class A (Inc) Class B Class B (Inc) Class C Class C (Inc) Class G (Acc)^ Class H (Acc) (Hedged) Class H (Hedged) Class I (Acc) (Hedged)^ Class I (Hedged) Class S Class W (Acc) Class W (Acc) (Hedged)^ Class Z (Acc)^ Class Z (Acc) (Hedged)^ Class Z (Acc) (Hedged)^

BNY Mellon European Credit Fund Total net assets Net asset value per:

BNY Mellon Global Bond Fund Total net assets Net asset value per:

Share Class Currency

323

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

BNY Mellon Global Credit Fund** cont’d. Net asset value per: Class W (Acc) Class W (Acc) (Hedged) Class W (Acc) (Hedged)^ Sterling W (Acc) (Hedged) Class X (Acc) Class X (Acc) (Hedged) BNY Mellon Global Dynamic Bond Fund Total net assets Net asset value per:

Class A Class A Class A (Inc) Class C Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W Class W (Hedged) Class W (Acc) (Hedged) Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged)

BNY Mellon Global Emerging Markets Equity Value Fund** Total net assets Net asset value per: Class A Class A Class B Class B Sterling B (Acc) Class C Class C BNY Mellon Global Emerging Markets Fund Total net assets Net asset value per:

Class A Class A Class A (Inc) Class A (Inc) Class B (Inc) Class B (Inc) Sterling B (Inc)^ Class C Class C (Acc) Class C (Inc) Sterling C (Inc)^ Class E (Acc)^ Class E (Acc)^

31 December 2017

31 December 2016

31 December 2015

USD EUR CHF GBP USD CAD

1.1050 1.0692 – 1.0895 1.1015 1.1061

1.0473 1.0338 0.9776 1.0446 1.0390 1.0495

– – – – – –

USD USD EUR USD USD USD EUR EUR EUR EUR EUR USD EUR CHF EUR GBP

706,506,962 1.1836 1.1491 1.0232 1.2474 1.0012 0.9969 1.0245 0.9602 1.0540 0.9631 1.0655 1.0284 1.0062 0.9971 1.0575

364,965,473 1.1590 1.2774 1.0141 1.2153 – – 1.0238 0.9708 1.0463 0.9738 1.0354 1.0204 1.0015 – 1.0394

263,712,709 1.1228 1.1997 0.9901 1.1715 – – 1.0047 0.9604 1.0218 0.9632 0.9957 0.9939 – – 1.0022

USD USD EUR USD EUR GBP USD EUR

– – – – – – – –

4,126,148 2.4593 2.2379 0.7460 0.9693 0.7073 2.7952 2.3896

USD USD EUR USD EUR USD EUR GBP USD USD USD GBP USD CHF

81,918,661 1.0854 1.2438 0.9639 1.1015 1.0692 1.1340 – 1.2537 1.3832 1.0972 – 1.3587 1.2677

30,166,865 0.7436 0.9674 0.6675 0.8662 0.7367 0.8874 0.9526 0.8504 0.9382 0.7524 0.9713 – –

68,936,938 0.7408 0.9347 0.6650 0.8367 0.7305 0.8529 0.7842 0.8390 0.9256 0.7422 0.7968 – –

324

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

EUR EUR EUR EUR EUR USD USD EUR GBP

1.0133 1.0631 – 1.1165 – 1.6039 1.1096 1.1553 –

– 0.7457 0.6689 0.7756 0.6976 1.0853 0.7588 0.8972 0.9795

– 0.7550 0.6772 0.7772 0.6989 1.0680 0.7481 0.8620 0.8034

Class A Class A Class B Class B Class C Class C Class I (Hedged) Class W (Acc) Class W (Acc)

USD USD EUR USD EUR USD EUR EUR USD EUR

313,212,591 2.2773 1.7136 2.4289 2.0076 2.6117 1.9409 1.2908 1.1718 1.0991

258,017,204 1.9203 1.6404 2.0379 1.9122 2.1806 1.8387 1.1009 0.9758 1.0391

255,410,733 1.9327 1.6007 2.0409 1.8564 2.1729 1.7769 1.1114 – –

USD USD EUR USD EUR GBP GBP USD EUR USD EUR GBP USD EUR USD EUR GBP EUR EUR EUR EUR USD EUR USD EUR GBP GBP

1,002,589,361 1.6076 1.9914 1.2834 1.0944 1.4231 – 1.9362 1.9455 1.5415 1.6687 1.7849 1.8032 2.0832 1.5908 1.6401 1.8393 1.3401 1.1598 1.4090 1.2091 1.5769 1.7202 1.3434 1.4700 1.8804 1.6021

692,443,890 1.3832 1.9451 1.1375 1.1012 1.3446 1.2951 1.6576 1.8910 1.3595 1.6712 1.7286 1.5364 2.0146 1.3961 1.6340 1.7726 1.1791 1.0507 1.2274 1.0844 1.3398 1.6592 1.1757 1.4607 1.7550 1.5402

469,197,968 1.3065 1.7812 1.1082 – 1.0545 1.0475 1.5580 1.7232 1.3178 1.5706 1.3911 1.4370 1.8265 1.3466 1.5280 1.4192 1.1317 1.0376 1.1636 1.0606 1.2500 1.5007 1.1312 1.3626 1.3593 1.2302

BNY Mellon Global Emerging Markets Fund cont’d. Net asset value per: Class G (Acc) (Hedged)^ Class H (Hedged) Class H (Inc) (Hedged)^ Class I (Hedged) Class I (Inc) (Hedged)^ Class W (Acc) Class W (Inc) Class W (Inc) Sterling W (Inc)^ BNY Mellon Global Equity Fund Total net assets Net asset value per:

BNY Mellon Global Equity Income Fund Total net assets Net asset value per:

325

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

USD EUR USD EUR GBP GBP

1.3190 1.3723 1.2025 1.0989 – 1.4160

1.1200 1.3227 1.0521 1.0909 1.2927 1.3597

1.0437 1.1952 1.0117 1.0110 1.0002 1.0850

Class A Class A (Inc)^ Class C Class C Class C (Inc)^ Class H (Hedged) Class I (Hedged) Class W (Acc)^ Class X^ Class X (Inc) Class X (Inc) (Hedged)

USD EUR EUR USD EUR USD EUR EUR USD USD USD EUR

105,032,496 2.2243 – 1.2641 2.3004 1.0073 1.2055 1.2264 1.0016 – 1.0150 0.9923

155,792,195 2.3461 1.1515 1.1720 2.4199 – 1.1432 1.1607 – 1.1005 0.9874 0.9861

134,419,024 2.0159 – 1.0362 2.0739 – 1.0241 1.0326 – 0.9629 0.9218 0.9319

Class A (Acc) Class C (Acc) Class E (Acc)^ Sterling E (Acc) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc)

USD USD USD USD GBP EUR EUR USD EUR EUR GBP

62,931,418 1.2408 1.2542 1.1020 1.1792 1.2131 1.2138 1.2575 1.2300 1.2300 1.1761

28,345,314 1.0122 1.0129 – 1.0380 1.0110 1.0110 1.0130 1.0118 1.0118 1.0379

– – – – – – – – – – –

USD USD USD USD EUR EUR GBP USD USD USD

78,574,847 1.1048 1.1552 – 1.0691 – 1.0079 0.9974 1.2180 –

130,538,823 1.0646 1.1066 0.9545 1.0515 1.0798 0.9770 – 1.1586 –

217,468,477 1.0530 1.0879 0.9761 1.0529 1.0750 0.9652 – 1.1314 0.9218

USD USD EUR

74,216,501 2.7460 2.0498

106,650,391 2.3795 2.0165

141,840,200 2.3574 1.9369

BNY Mellon Global Equity Income Fund cont’d. Net asset value per: Class Z (Acc) Class Z (Acc) Class Z (Inc) Class Z (Inc) Sterling Z (Acc)^ Sterling Z (Inc) BNY Mellon Global High Yield Bond Fund Total net assets Net asset value per:

BNY Mellon Global Leaders Fund** Total net assets Net asset value per:

BNY Mellon Global Opportunistic Bond Fund Total net assets Net asset value per:

Class A Class C Class C (Inc)^ Class H (Hedged) Class I (Hedged)^ Sterling I (Acc) (Hedged) Class W (Acc)^ Class X Class X (Inc)

BNY Mellon Global Opportunities Fund Total net assets Net asset value per:

Class A Class A

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

USD EUR USD EUR EUR EUR USD EUR

2.9340 – 3.1049 2.3125 1.4093 1.4723 1.0341 2.6022

2.5298 2.0032 2.6639 2.2534 1.2493 1.2920 – 2.5079

2.4939 1.9144 2.6129 2.1429 1.2517 1.2811 – 2.3604

EUR EUR USD EUR USD GBP GBP GBP

– – – – – – – –

21,364,386 1.6369 1.0834 1.7855 1.1816 2.4930 1.7426 1.6708

14,019,967 1.5715 1.0728 1.6971 1.1584 2.4444 1.6571 1.6357

Class A Class A (Inc) Class C Class C (Inc) Class G (Acc)^ Class G (Inc)^ Class W Class W (Acc) (Hedged) Class W (Inc)^ Class X Class Z (Acc)

EUR EUR EUR EUR EUR EUR EUR EUR CHF EUR EUR EUR

3,870,428,901 1.2544 1.0449 1.3040 1.1021 1.0020 1.0023 1.1849 0.9702 1.0003 1.2873 0.9952

4,115,560,292 1.2450 1.0458 1.2878 1.1032 – – 1.1673 0.9614 – 1.2584 0.9795

2,609,987,886 1.2388 1.0472 1.2750 1.1048 – – 1.1528 – – 1.2331 0.9664

BNY Mellon Global Real Return Fund (GBP) Total net assets Net asset value per: Sterling B (Acc) Sterling B (Inc) Sterling C (Inc) Sterling W (Acc) Sterling W (Inc) Sterling X (Acc)

GBP GBP GBP GBP GBP GBP GBP

67,867,140 1.1389 1.0796 1.1007 1.1535 1.0825 1.1451

66,687,250 1.1245 1.0740 1.0959 1.1304 1.0771 1.1134

59,049,879 1.0916 1.0465 1.0681 1.0892 1.0500 1.0644

USD USD USD USD USD USD USD USD

558,505,365 1.3479 – 1.4061 1.1452 1.1435 1.0704 1.5362

645,149,675 1.3103 0.9524 1.3600 1.1222 1.1033 1.0490 1.4703

506,138,241 1.2885 – 1.3307 1.1100 1.0767 1.0375 1.4238

BNY Mellon Global Opportunities Fund cont’d. Net asset value per:

Class B Class B^ Class C Class C Class H (Hedged) Class I (Hedged) Class W (Acc)^ Class X

BNY Mellon Global Property Securities Fund* Total net assets Net asset value per:

Class A^ Class A^ Class C^ Class C^ Sterling I (Inc) (Hedged)^ Sterling J (Acc) (Hedged)^ Sterling J (Inc) (Hedged)^

BNY Mellon Global Real Return Fund (EUR) Total net assets Net asset value per:

BNY Mellon Global Real Return Fund (USD) Total net assets Net asset value per:

Class A Class A (Inc)^ Class C Class C (Inc) Class W (Acc) Class W (Inc) Class X

327

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

BNY Mellon Global Short-Dated High Yield Bond Fund** Total net assets Net asset value per: Class A (Acc) Class A (Inc)^ Class C (Acc) Class G (Acc)^ Class G (Acc) (Hedged)^ Class H (Acc) (Hedged) Class H (Inc) (Hedged)^ Class I (Acc) (Hedged) Class I (Inc) (Hedged)^ Class W (Acc) Class W (Acc) (Hedged)^ Class W (Acc) (Hedged)^ Class W (Inc)^ Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged) Class X (Acc) Class Y (Acc) Sterling Y (Acc) (Hedged)

USD USD USD USD USD EUR EUR EUR EUR EUR USD CHF EUR USD EUR GBP USD USD GBP

704,796,123 1.0654 1.0143 1.0712 1.0066 1.0025 1.0436 1.0013 1.0490 1.0024 1.0740 1.0266 1.0300 1.0188 1.0031 1.0610 1.0804 1.0806 1.0672

449,324,739 1.0138 – 1.0143 – – 1.0122 – 1.0127 – 1.0145 – – – – 1.0138 1.0150 1.0149 1.0142

– – – – – – – – – – – – – – – – – – –

BNY Mellon Global Unconstrained Fund* Total net assets Net asset value per: Class W (Acc)^ Class X (Acc) (Hedged)^

USD USD CAD

20,592,709 1.0122 1.0120

– – –

Class C Class C Class H (Hedged) Class H (Hedged)^ Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) Class X (Inc)

JPY JPY USD EUR USD EUR USD JPY GBP JPY

4,969,556,579 153.8290 1.3920 1.4428 – 1.4987 1.5144 101.7376 1.7283 130.6342

2,280,546,187 125.4772 1.0922 1.2012 1.1942 1.2347 1.2238 126.4444 1.5098 105.6373

3,963,253,205 126.7942 1.0713 1.2339 1.2253 1.2589 1.2486 127.4470 1.2270 105.7885

Class C (Acc) Class W (Inc)

JPY JPY JPY

1,685,557,340 96.7374 95.2115

2,161,738,343 104.1878 104.2009

– – –

BNY Mellon Japan Small Cap Equity Focus Fund Total net assets Net asset value per: Class C Class C Class E (Acc) (Hedged)^ Class H (Hedged) Class H (Hedged) Class H (Acc) (Hedged)

JPY JPY USD CHF EUR USD SGD

8,057,512,056 214.4752 1.6839 1.0555 1.9909 2.0695 1.5887

2,724,538,443 154.2432 1.1650 – 1.4611 1.4857 1.1466

4,454,629,125 146.5065 1.0740 – 1.4095 1.4164 –

BNY Mellon Japan All Cap Equity Fund Total net assets Net asset value per:

BNY Mellon Japan REIT Alpha Fund** Total net assets Net asset value per:

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

EUR USD JPY GBP

2.1029 2.1445 216.6741 2.3815

1.5288 1.5200 155.4471 1.8054

1.4583 1.4459 147.2666 1.3796

EUR EUR USD EUR GBP EUR USD GBP EUR USD EUR EUR EUR USD CHF USD USD GBP GBP EUR GBP

1,280,341,985 2.1595 1.6330 1.3860 2.2495 2.0017 1.6965 1.9062 2.3790 1.7999 – 2.4193 1.7380 1.6076 1.6278 1.6872 1.5575 1.9116 1.8518 – 1.6719

1,283,751,148 2.0079 1.3319 1.2878 2.0101 1.8519 1.3764 1.6955 2.1898 1.4536 1.7953 2.2213 1.5960 1.2951 1.5013 1.5235 1.2635 1.6871 1.6456 – 1.4643

1,449,584,755 1.8731 1.2828 1.2014 1.6184 1.7190 1.3190 1.3588 2.0226 1.3861 1.6672 2.0419 1.4704 1.2319 1.3962 1.3941 1.2115 1.3416 1.3190 1.8326 1.1553

Class A^ Class A^ Class B^ Class C^ Class C

EUR EUR USD EUR EUR USD

– – – – – –

1,933,821 1.3712 1.6000 1.4465 1.5007 –

49,183,300 1.4970 1.8019 1.5714 1.6223 2.4663

Class A Class A Class C Class C

USD USD EUR USD EUR

82,608,881 2.4233 2.0188 2.7165 2.1467

86,574,689 2.0222 1.9201 2.2510 2.0275

76,861,012 1.8391 1.6915 2.0330 1.7736

Class A Class A Class B Class C Class C

EUR EUR USD EUR EUR USD

106,114,478 5.3060 1.3627 2.6580 6.0415 1.4604

35,012,462 4.4737 1.0124 2.2291 5.0434 1.0737

61,991,179 4.2824 1.0000 2.1231 4.7798 1.0497

BNY Mellon Japan Small Cap Equity Focus Fund cont’d. Net asset value per: Class I (Hedged) Class I (Hedged) Class W Sterling W (Acc) BNY Mellon Long-Term Global Equity Fund Total net assets Net asset value per:

Class A Class A Class A (Inc) Sterling A (Acc) Class B Class B Sterling B (Inc) Class C Class C Class C (Inc)^ Class S Class W Class W Class W (Hedged) Class W (Hedged) Class W (Inc) Sterling W (Acc) Sterling W (Inc) Class X Sterling X

BNY Mellon Pan European Equity Fund* Total net assets Net asset value per:

BNY Mellon S&P 500® Index Tracker Total net assets Net asset value per:

BNY Mellon Small Cap Euroland Fund Total net assets Net asset value per:

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

31 December 2017

31 December 2016

31 December 2015

BNY Mellon Small Cap Euroland Fund cont’d. Net asset value per: Class I (Acc) (Hedged) Class W (Acc)^ Sterling W (Acc)

USD EUR GBP

– 0.9777 1.6652

– – 1.3414

1.0035 – –

BNY Mellon Targeted Return Bond Fund Total net assets Net asset value per: Class A (Acc) Sterling W (Acc) (Hedged)

USD USD GBP

89,408,231 1.0124 1.0129

78,908,389 0.9820 0.9858

93,725,700 0.9756 0.9757

Class A Class A Class B Class B^ Class C Class C Class W (Acc)^

USD USD EUR USD EUR USD EUR USD

102,203,896 2.9804 2.4451 2.1628 – 3.3509 2.9531 1.0578

139,942,788 2.6395 2.4682 1.9063 2.5656 2.9382 2.9483 –

41,549,699 2.2676 2.0538 1.6295 2.1242 2.4991 2.4290 –

Class A (Acc)^ Class A (Inc)^ Class C (Acc)^ Class C (Inc)^ Class C (Inc)^ Class E (Inc)^ Class E (Inc)^ Sterling E (Acc)^ Sterling E (Inc)^ Sterling E (Inc) (Hedged)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Inc)^ Sterling W (Inc)^

USD EUR EUR USD USD EUR USD EUR GBP GBP GBP EUR EUR EUR USD USD GBP

242,605,422 0.9783 0.9639 1.1227 1.1057 0.9726 1.1025 1.0054 1.0368 1.0208 1.0938 1.0833 1.0679 1.0774 1.1256 1.1082 1.0180

– – – – – – – – – – – – – – – – –

USD USD EUR USD EUR EUR EUR EUR USD EUR USD

25,146,424 1.0019 0.9865 1.0051 0.9877 0.9993 0.9988 0.9988 1.0053 0.9991 1.0026

– – – – – – – – – – –

BNY Mellon U.S. Dynamic Value Fund Total net assets Net asset value per:

BNY Mellon U.S. Equity Income Fund* Total net assets Net asset value per:

BNY Mellon U.S. High Yield Beta Fund* Total net assets Net asset value per:

Class A (Inc)^ Class A (Inc)^ Class C (Acc)^ Class C (Acc)^ Class E (Acc) (Hedged)^ Class I (Acc) (Hedged)^ Class I (Inc) (Hedged)^ Class W (Acc)^ Class W (Inc) (Hedged)^ Class X (Acc)^

330

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15. NET ASSET VALUE cont’d. Fund

Share Class Currency

BNY Mellon U.S. Municipal Infrastructure Debt Fund* Total net assets Net asset value per: Class C (Acc)^ Class C (Inc)^ Class E (Acc)^ Class E (Acc) (Hedged)^ Class E (Acc) (Hedged)^ Class E (Inc) (Hedged)^ Sterling E (Acc) (Hedged)^ Sterling E (Inc) (Hedged)^ Class H (Acc) (Hedged)^ Class H (Inc) (Hedged)^ Class I (Acc) (Hedged)^ Class I (Inc) (Hedged)^ Sterling I (Acc) (Hedged)^ Sterling I (Inc) (Hedged)^ Class W (Acc)^ Class W (Acc) (Hedged)^ Class W (Inc) (Hedged)^ Sterling W (Acc) (Hedged)^ Sterling W (Inc) (Hedged)^ Class X (Acc)^ BNY Mellon US Opportunities Fund Total net assets Net asset value per:

Class A^ Class A Class A (Inc) Class C Class C Class W^ Class W (Acc)^

31 December 2017

31 December 2016

31 December 2015

USD USD EUR USD EUR CHF EUR GBP GBP EUR EUR EUR EUR GBP GBP USD EUR EUR GBP GBP USD

172,933,146 1.0564 0.9370 1.0080 1.0424 1.0018 1.0351 1.0491 1.0418 1.0369 1.0300 1.0405 1.0336 1.0476 1.0403 1.0573 1.0412 1.0338 1.0483 1.0411 1.0118

– – – – – – – – – – – – – – – – – – – – –

USD USD EUR EUR USD EUR EUR USD

92,142,802 – 1.4752 1.4510 1.3512 1.5286 – 1.0383

31,689,172 1.0595 1.3894 1.3666 1.1054 1.4253 1.4344 –

51,224,603 1.0183 1.2932 1.2720 1.0516 1.3135 1.3185 –

* Please refer to Note 19 of the ﬁnancial statements. ** This Fund launched or closed during the prior ﬁnancial year. ^ This share class was launched or closed during the ﬁnancial year.

16. RISK MANAGEMENT OBJECTIVES AND POLICIES STRATEGY IN USING FINANCIAL INSTRUMENTS The Company’s investment activities expose it to the various types of risk, which are associated with the ﬁnancial instruments and markets in which it invests: market risk (including market price risk, interest rate risk and currency risk), credit risk and liquidity risk. The Company has in place risk management programmes that seek to limit the potential adverse effects of these risks on the Funds’ ﬁnancial performances. The assets of each Fund will be invested separately in accordance with the investment objectives and policies of the relevant Fund, which are set out in the relevant supplements to the prospectus. Where a Fund maintains in its name reference to a particular currency, country, region, economic sector or type of security, at least three quarters of the assets of that Fund will comprise investments corresponding to the relevant currency, country, region, economic sector or type of security (as appropriate).

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. STRATEGY IN USING FINANCIAL INSTRUMENTS cont’d. The Funds may use FDI for efﬁcient portfolio management purposes or to protect against foreign exchange risks. Some Funds have the facility to use FDI for investment purposes according to the Central Bank UCITS Regulations. In their Risk Management Process (“RMP”) it explains whether each Fund uses the commitment approach or Value at Risk (“VaR”) tocalculate its global exposure.The commitment approach measures the leverage effect produced by the use ofderivatives and is calculated by converting all derivative positions, whether used as part of the Fund’s general investment policy, for purposes of risk reduction or for the purpose of efﬁcient portfolio management, based on the market values ofthe underlying assets or contracts. VaR for a pre-deﬁned time horizon measures the threshold loss invalue of a portfolio of ﬁnancial instruments that may be exceeded for a given probability (either Absolute[1] orRelative[2]). The quality of the VaR model forecasts is demonstrated by back-testing. As a complement to VaR, stress testing is used to evaluate the potential impact on portfolio values of extreme, although plausible, events or movements in a set ofﬁnancial variables. For a more detailed discussion, the RMP for each of the Funds is available on request. [1]

This is deﬁned as the VaR of the Fund capped as a percentage of NAV.

[2]

This is deﬁned as the VaR of the Fund divided by the VaR of a benchmark or reference portfolio.

FINANCIAL RISK MANAGEMENT PROCESS In order to achieve its investment objectives, the Company buys, sells and holds ﬁnancial assets and liabilities. Asaconsequence, the Company is exposed to market price risk, interest rate risk, currency risk, credit risk and liquidity risk arising from the ﬁnancial instruments it holds. The Company’s overall risk management programme focuses onthe unpredictability of ﬁnancial markets and seeks to minimise potential adverse effects on the Company’s ﬁnancial performance. The Company uses FDI to moderate certain risk exposures. The risk management policies employed by the Company to manage these risks are discussed below.

INVESTMENT RISK Activities of each Fund expose it to a variety of ﬁnancial risks: market risk (including market price risk, interest rate risk and currency risk), credit risk and liquidity risk.

MARKET RISK Market risk is the risk that the fair value of a ﬁnancial instrument will ﬂuctuate because of changes in market prices. Market risk comprises three types of risk: market price risk, interest rate risk and currency risk.

MARKET PRICE RISK Market price risk is the risk that the fair value of a ﬁnancial instrument will ﬂuctuate because of changes in market prices (other than those arising from interest rate risk and currency risk), whether those changes are caused by factors speciﬁc to individual ﬁnancial instruments or its issuer, or other factors affecting similar ﬁnancial instruments traded in the market. Many of the Funds trade in ﬁnancial instruments, taking positions in traded securities in the equity and equity derivative markets. The investment of the Fund is subject to market ﬂuctuations and there can be no assurances that investments will appreciate in value, therefore presenting a risk of loss of capital. The Investment Managers manage market price risk through building diversiﬁed investment portfolios across a range of industry and/or geographic sectors as is appropriate for the Fund and in accordance with the Central Bank UCITS Regulations and the investment objectives of the Funds. An analysis of exposures to market price risk is provided in the Portfolio of Investments for each Fund. The market positions of the Funds are monitored on a daily basis by the Investment Managers, reviewed on a monthly basis by the Investment Management Oversight Committee and on aquarterly basis by the Directors.

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d. The following table provides a comparative analysis of exposures to market price risk for the closed Funds asat31December2016: BNY Mellon Absolute Insight Fund Analysis by Geographic Location Angola Argentina Australia Austria Bahrain Bermuda Brazil Canada Cayman Islands Colombia Cote d’Ivoire Denmark Dominican Republic Ecuador Egypt Finland France Germany Guernsey Indonesia Ireland Isle of Man Italy Japan Jersey Luxembourg Malaysia Mexico Netherlands New Zealand Panama Peru Romania Russia South Africa Spain Supranational Sweden Switzerland Ukraine United Kingdom United States of America

2016 Total net assets % 0.23 0.56 0.17 0.50 0.30 0.42 1.07 1.78 0.47 0.38 0.33 0.34 0.25 0.24 0.21 5.47 17.90 7.55 1.58 0.23 1.39 0.17 0.29 0.63 0.27 1.98 0.14 0.78 10.49 0.89 0.29 0.35 0.06 0.52 0.67 0.98 6.51 0.34 0.19 0.33 5.32 9.79 82.36

333

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d. BNY Mellon Absolute Insight Fund cont’d. Analysis by Geographic Location Derivatives ﬁnancial liabilities, net Net current assets Total net assets

2016 Total net assets % (0.63) 18.27 100.00

BNY Mellon Asian Bond Fund Analysis by Geographic Location Bahrain China Hong Kong India Indonesia Macau Malaysia Mongolia Philippines Republic of Korea Saudi Arabia Singapore Sri Lanka Supranational Thailand United States of America

2016 Total net assets % 1.60 42.60 7.44 9.60 7.70 1.17 1.99 0.67 4.70 10.03 0.90 3.15 3.28 1.26 1.82 0.25 98.16

Derivatives ﬁnancial assets, net Net current assets Total net assets

0.10 1.74 100.00

BNY Mellon Global Property Securities Fund Analysis by Geographic Location Australia Canada Finland France Germany Hong Kong Ireland Japan Netherlands Norway Singapore Spain Sweden Switzerland

2016 Total net assets % 6.26 2.35 0.21 3.43 3.43 6.75 0.29 10.94 0.41 0.49 1.66 0.60 1.08 0.84

334

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d. BNY Mellon Global Property Securities Fund cont’d. Analysis by Geographic Location United Kingdom United States of America

2016 Total net assets % 4.88 55.44 99.06

Derivatives ﬁnancial liabilities, net Net current assets Total net assets

(0.02) 0.96 100.00

BNY Mellon Pan European Equity Fund Analysis by Geographic Location Denmark France Germany Ireland Italy Netherlands Norway Portugal Spain Sweden Switzerland United Kingdom

2016 Total net assets % 0.68 10.26 19.75 4.75 1.87 4.89 2.92 1.09 1.36 1.52 10.86 39.64 99.59

Derivatives ﬁnancial asset, net Net current assets Total net assets

0.00 0.41 100.00

The Company’s market risk strategy is driven by the Company’s investment risk and return objectives. The Board ofDirectors has instructed the Investment Managers to manage each of the risks in accordance with an established risk management system. The following table demonstrates by way of example the likely increase in net asset value as a result of a 5% upwards movement in the Funds’ related market index (a 5% decrease would have similar negative results). Please note the table does not include the bond Funds as their main exposure is to interest rate risk, as detailed below. Detail ofmarket sensitivity for these Funds is provided in the subsequent commentary. In the interests of providing consistent comparisons across the Funds, the table assumes a movement of 5%. It should be noted future market conditions could vary signiﬁcantly and the table is meant for illustrative purposes only. As at 31 December 2017 and 31 December 2016, for the Funds listed in the following table, should market value have increased or decreased by 5% with all other variables remaining constant, the increase or decrease in net assets attributable to redeemable participating shareholders for the ﬁnancial year is shown.

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d.

Fund

Benchmark Index

BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Equity Fund BNY Mellon Asian Income Fund BNY Mellon Brazil Equity Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Unconstrained Fund*

MSCI All Country Asia Small Cap TR MSCI All-Country Asia Paciﬁc ex Japan FTSE All-World Asia Paciﬁc ex Japan MSCI Brazil 10/40 MSCI Emerging Markets Index MSCI All-Country World Index FTSE World Index MSCI World Large Cap Index MSCI All-Country World Index FTSE EPRA/NAREIT Developed 1 Month EURIBOR 1 Month LIBOR GBP 1 Month LIBOR USD 60% MSCI All Country World Index and40% JP Morgan Global Government Bond Index USD Tokyo Stock Price Index (TOPIX) Tokyo Stock Exchange REIT Index Russell Nomura Small Cap Index MSCI World Index FTSEuroﬁrst 300 S&P 500 Index S&P EuroZone Small Cap Russell 1000 Value S&P 500 Index S&P 500 Index

BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund* BNY Mellon US Opportunities Fund

Currency

Increase/(decrease) in financial assets & liabilities at fair value Volatility through profit and loss 2017 2016 2017 2016

USD USD GBP USD USD USD USD USD USD EUR EUR GBP USD

5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00%

658,112^ 2,894,911 782,312 2,940,028 3,987,547 14,504,340 35,182,517 3,063,324^ 3,340,605 N/A 181,140,204 3,153,925 26,128,057

N/A 2,965,533 892,443^ 3,444,058 1,487,521 11,580,614 25,198,598 1,378,127^ 4,768,390 1,068,575 188,797,931 3,091,771 31,020,190

USD JPY JPY JPY EUR EUR USD EUR USD USD USD

5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00%

950,560^ 206,288,841 82,535,518^ 277,185,575 56,551,465 N/A 4,153,748 5,638,598 5,776,316 11,885,908^ 5,146,810

N/A 100,002,741 106,680,998^ 104,226,765 57,456,951 92,442 4,298,352 1,899,743 7,739,570 N/A 1,576,084^

* Please refer to Note 19 of the ﬁnancial statements. ^ As the Fund is in existence for less than three years, a statistically signiﬁcant beta is not available. Hence, for market price risk sensitivity disclosure, a notional beta of 1 is applied in the effective calculation for these Funds.

For the bond Funds, the likelihood of a decrease in net asset value as a consequence of a downward movement in market prices is deﬁned as follows. As at 31 December 2017 and 31 December 2016, for bond Funds utilising the Investment Managers’ VaR risk model (VaRis based on probability), one would not expect the Fund to lose more than the following percentage as listed in the table below (Regulatory limit) in any one week or day, i.e. 1 week in a hundred weeks or 1 day in a hundred days. The table below also shows the VaR of each Fund as at 31 December 2017 and 31 December 2016 calculated at the 99th percentile conﬁdence level over the holding period listed below.

Confidence Level

Holding Period

VaR Type

Regulatory Limit

VaR 2017

VaR 2016

99% 99% 99% 99% 99% 99% 99% 99% 99%

Five days Five days Five days Twenty days Ten days Five days Five days Twenty days Twenty days

Absolute Absolute Absolute Relative Relative Absolute Absolute Relative Relative

10.00% 10.00% 10.00% 200.00% 200.00% 10.00% 10.00% 200.00% 200.00%

0.01% 2.69% 0.99% 112.11% N/A 1.82% 4.05% 109.24% 111.94%

0.62% 1.47% 0.90% 109.81% 125.45% 2.54% N/A 112.21% 109.70%

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d.

Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Credit Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Municipal Infrastructure Debt Fund*

Confidence Level

Holding Period

VaR Type

Regulatory Limit

VaR 2017

VaR 2016

99% 99% 99% 99% 99% 99% 99% 99%

Twenty days Twenty days Five days Five days One day Twenty days Twenty days Twenty days

Relative Relative Relative Relative Relative Absolute Absolute Absolute

200.00% 200.00% 200.00% 200.00% 200.00% 20.00% 20.00% 20.00%

120.44% 108.09% 91.00% 95.00% 97.70% 1.56% 1.45% 3.68%

118.19% 110.59% 104.00% 109.00% 104.00% 1.71% 1.56% N/A

* Please refer to Note 19 of the ﬁnancial statements. ** The ﬁgure for 2017 relates to the period from 1 January 2017 to date of closure. ^ The ﬁgure for 2016 relates to the period from 1 January 2016 to 20 September 2016 (date of closure).

VaR is the risk measurement methodology used to assess the Fund’s leverage and market risk volatility. When the VaR is calculated as a percentage of the net asset value of the Fund (absolute or relative VaR), it may not be greater than the Regulatory limits, as detailed in the prospectus. VaR is calculated on a daily basis using a one-tailed 99% conﬁdence level and pre-determined holding period on either an absolute (where the ﬁgure is compared to the net asset value of the fund) or relative basis (where VaR is compared to the benchmark or reference portfolio). The historical observation period will not be less than one year unless a shorter period is justiﬁed. Some limitations of VaR analysis are: –

–

the models’ methodologies are based on historical data and cannot take account of the fact that future market price movements, correlations between markets and levels of market liquidity in conditions of market stress may bear norelation to historical patterns; the market price risk information is a relative estimate of risk rather than a precise and accurate number; and the market price information represents a hypothetical outcome and is not intended to be predictive.

The minimum, average and maximum utilisation of the Regulatory limit calculated during the ﬁnancial year ended 31 December 2017 are as follows: Fund

Minimum utilisation

Average utilisation

Maximum utilisation

0.10% 14.20% 2.40% 17.28% 10.01% 16.21% 52.01% 51.52% 55.76% 41.98% 45.00% 44.00% 5.50% 6.64% 6.29% 7.68%

8.76% 22.69% 10.55% 56.13% 20.47% 40.55% 57.15% 54.33% 60.12% 50.85% 50.03% 47.99% 43.09% 8.80% 8.28% 17.03%

14.80% 30.20% 14.80% 63.66% 27.40% 43.23% 62.20% 57.38% 61.99% 59.22% 56.00% 55.00% 50.15% 15.03% 12.24% 21.33%

BNY Mellon Absolute Insight Fund** BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asian Bond Fund** BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund* BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Credit Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Municipal Infrastructure Debt Fund* * Please refer to Note 19 of the ﬁnancial statements. ** The ﬁgure for 2017 relates to the period from 1 January 2017 to date of closure.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. MARKET PRICE RISK cont’d. The minimum, average and maximum utilisation of the Regulatory limit calculated during the ﬁnancial year ended 31 December 2016 were as follows: Fund BNY Mellon Absolute Insight Fund BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asian Bond Fund BNY Mellon Crossover Credit Fund^ BNY Mellon Dynamic Total Return Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Credit Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Targeted Return Bond Fund

Minimum utilisation

Average utilisation

Maximum utilisation

4.60% 7.40% 0.10% 43.56% 51.59% 13.28% 45.25% 48.32% 42.02% 47.55% 40.50% 51.00% 26.20% 7.68% 7.31%

7.26% 18.98% 14.61% 52.63% 67.41% 27.88% 54.12% 51.40% 53.31% 53.51% 48.70% 53.81% 46.17% 10.15% 10.18%

30.30% 27.70% 20.60% 59.82% 94.07% 44.20% 61.03% 55.54% 60.59% 59.12% 90.50% 62.50% 58.75% 14.76% 16.77%

^ This Fund closed during the ﬁnancial year. The ﬁgure relates to the period from 1 January 2016 to 20 September 2016 (date of closure).

Leverage is calculated as the sum of the notionals of the derivatives used. (This may be supplemented with leverage calculated on the basis of a commitment approach. The creation of leveraged exposure to an index via FDI, or the inclusion of a leverage feature in an index, must also be taken into account in meeting the prospectus disclosure requirements). The average level of leverage employed during the ﬁnancial year ended 31 December 2017 and 31 December 2016 isasfollows:

Fund BNY Mellon Absolute Insight Fund** BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asian Bond Fund** BNY Mellon Crossover Credit Fund^ BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund* BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Credit Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Municipal Infrastructure Debt Fund*

Average Level of Leverage 2017

Average Level of Leverage 2016

246.32% 369.01% 133.72% 20.59% N/A 379.48% 90.66% 0.00% 60.06% 43.38% 164.52% 47.63% 158.75% 33.65% 178.00% 174.44% 0.00%

214.31% 270.79% 116.19% 17.78% 20.51% 390.76% N/A 0.00% 50.98% 32.97% 206.74% 43.44% 130.41% 31.08% 340.77% 316.62% N/A

338

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK Interest rate risk is deﬁned as the risk that the fair value of a ﬁnancial instrument will ﬂuctuate because of changes inmarket interest rates. This risk arises on ﬁnancial instruments whose fair value is affected by changes in interest rates. The majority of the Company’s ﬁnancial assets and liabilities i.e. those Funds holding substantially equity or equity derivative instruments are non-interest bearing, as a result, these assets are not subject to signiﬁcant amounts of risk due to ﬂuctuations in the prevailing levels of market interest rates. Any excess cash and cash equivalents are invested at short-term market interest rates. The table below summarises the Company’s exposure to interest rate risk as at 31 December 2017. It includes the Company’s assets and liabilities at fair value, categorised by the earlier of contractual repricing or maturity dates: BNY Mellon Absolute Return Bond Fund

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2017 EUR

40,230,744 74,581,283 94,816,523 –

529,923,154 – – –

668,317,107 – – –

164,415,372 – – 20,786,418

1,402,886,377 74,581,283 94,816,523 20,786,418

209,628,550

529,923,154

668,317,107

185,201,790

1,593,070,601

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

20,624,212 27,275,624 –

15,851,770 – –

2,062,551 – –

4,073,622 – 40,648,788

42,612,155 27,275,624 40,648,788

Total liabilities

47,899,836

15,851,770

2,062,551

44,722,410

110,536,567

161,728,714

514,071,384

666,254,556

Less than 1 month GBP

1-3 months GBP

Over 3 months GBP

Non interest bearing GBP

Total 2017 GBP

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

288,970,283 1,307,604 15,314,623 –

361,305,602 – – –

692,851,646 – – –

486,465,033 – – 38,759,914

1,829,592,564 1,307,604 15,314,623 38,759,914

Total assets

305,592,510

361,305,602

692,851,646

525,224,947

1,884,974,705

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

– 4,777,859 22 –

1,887,761 – – –

– – – –

39,875,628 – – 34,946,236

41,763,389 4,777,859 22 34,946,236

Total liabilities

4,777,881

1,887,761

–

74,821,864

81,487,506

300,814,629

359,417,841

692,851,646

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors Total assets

Total interest sensitivity gap

BNY Mellon Absolute Return Equity Fund

Total interest sensitivity gap

339

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Dynamic Total Return Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

20,963,714 4,064,811 440,493 –

– – – –

2,658,332 – – 180,698

23,622,046 4,064,811 440,493 180,698

Total assets

25,469,018

–

2,839,030

28,308,048

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

246,810 189,150 469,531 –

– – – –

155,537 – – 34,402

402,347 189,150 469,531 34,402

Total liabilities

905,491

–

189,939

1,095,430

24,563,527

–

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 2,701,674 –

122,246,446 – –

197,330,557 – –

17,986,228 – 4,681,219

337,563,231 2,701,674 4,681,219

Total assets

2,701,674

122,246,446

197,330,557

22,667,447

344,946,124

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

213,543 633,935

Total liabilities

–

847,478

2,701,674

122,246,446

197,330,557

Total interest sensitivity gap

BNY Mellon Emerging Markets Corporate Debt Fund

Total interest sensitivity gap

340

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Emerging Markets Debt Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 612,633 –

16,960,631 – –

54,704,031 – –

120,930 – 3,939,595

71,785,592 612,633 3,939,595

Total assets

612,633

16,960,631

54,704,031

4,060,525

76,337,820

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

36,523 463,706

Total liabilities

–

500,229

612,633

16,960,631

54,704,031

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

24,621,249 16,157,498 –

238,152,768 – –

666,891,762 – –

13,715,421 – 20,064,033

943,381,200 16,157,498 20,064,033

Total assets

40,778,747

238,152,768

666,891,762

33,779,454

979,602,731

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

14,455,563 2,950,104

Total liabilities

–

17,405,667

40,778,747

238,152,768

666,891,762

Total interest sensitivity gap

BNY Mellon Emerging Markets Debt Local Currency Fund

Total interest sensitivity gap

341

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Emerging Markets Debt Opportunistic Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

299,387 796,098 –

15,636,979 – –

51,579,235 – –

574,139 – 1,176,810

68,089,740 796,098 1,176,810

1,095,485

15,636,979

51,579,235

1,750,949

70,062,648

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

637,076 2,015,152

Total liabilities

–

2,652,228

Total interest sensitivity gap

1,095,485

15,636,979

51,579,235

BNY Mellon Emerging Markets Debt Total Return Fund*

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

1,861,169 1,037,906 –

10,307,177 – –

42,655,651 – –

4,585,965 – 923,469

59,409,962 1,037,906 923,469

Total assets

2,899,075

10,307,177

42,655,651

5,509,434

61,371,337

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

177,487 390,276

Total liabilities

–

567,763

2,899,075

10,307,177

42,655,651

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors Total assets

Total interest sensitivity gap

342

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Euroland Bond Fund

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2017 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

44,595,469 10,177,144 5,463,443 –

250,958,426 – – –

536,877,900 – – –

32,258,514 – – 12,484,899

864,690,309 10,177,144 5,463,443 12,484,899

Total assets

60,236,056

250,958,426

536,877,900

44,743,413

892,815,795

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

1,590,427 3,023 2,520,536 –

1,118,901 – – –

113,956 – – –

4,547,310 – – 5,280,017

7,370,594 3,023 2,520,536 5,280,017

Total liabilities

4,113,986

1,118,901

113,956

9,827,327

15,174,170

56,122,070

249,839,525

536,763,944

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2017 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

1,203,646 109,142 874,584 –

42,098,103 – – –

42,433,365 – – –

5,781,326 – – 803,635

91,516,440 109,142 874,584 803,635

Total assets

2,187,372

42,098,103

42,433,365

6,584,961

93,303,801

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

57,607 558,170 –

119,932 – –

8,606 – –

2,545 – 60,754

188,690 558,170 60,754

Total liabilities

615,777

119,932

8,606

63,299

807,614

1,571,595

41,978,171

42,424,759

Total interest sensitivity gap

BNY Mellon European Credit Fund

Total interest sensitivity gap

343

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

13,208,195 5,867,954 1,320,000 –

125,678,846 – – –

250,312,301 – – –

2,438,335 – – 2,798,457

391,637,677 5,867,954 1,320,000 2,798,457

Total assets

20,396,149

125,678,846

250,312,301

5,236,792

401,624,088

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

– 51,859 –

– – –

2,030,891 – 625,008

2,030,891 51,859 625,008

Total liabilities

51,859

–

2,655,899

2,707,758

Total interest sensitivity gap

20,344,290

125,678,846

250,312,301

BNY Mellon Global Credit Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

7,426,518 366,131 5,366,591 –

168,627,042 – – –

252,857,631 – – –

29,474,277 – – 3,995,763

458,385,468 366,131 5,366,591 3,995,763

13,159,240

168,627,042

252,857,631

33,470,040

468,113,953

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

1,075,327 967,743 –

2,637,974 – –

– – –

1,663,239 – 147,234

5,376,540 967,743 147,234

Total liabilities

2,043,070

2,637,974

–

1,810,473

6,491,517

Total interest sensitivity gap

11,116,170

165,989,068

252,857,631

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors Total assets

344

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Dynamic Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

90,143,777 27,253,811 2,938,140 –

299,984,265 – – –

279,784,175 – – –

4,817,662 – – 7,196,957

674,729,879 27,253,811 2,938,140 7,196,957

120,335,728

299,984,265

279,784,175

12,014,619

712,118,787

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

82,142 2,162 –

– – –

4,451,456 – 1,076,065

4,533,598 2,162 1,076,065

Total liabilities

84,304

–

5,527,521

5,611,825

120,251,424

299,984,265

279,784,175

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 4,725,950 –

39,271,299 – –

58,321,658 – –

1,675,057 – 2,313,740

99,268,014 4,725,950 2,313,740

Total assets

4,725,950

39,271,299

58,321,658

3,988,797

106,307,704

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

296,085 979,123

Total liabilities

–

1,275,208

4,725,950

39,271,299

58,321,658

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors Total assets

Total interest sensitivity gap

BNY Mellon Global High Yield Bond Fund

Total interest sensitivity gap

345

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Opportunistic Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

3,597,558 2,267,964 490,215 –

16,862,704 – – –

55,680,161 – – –

934,215 – – 796,178

77,074,638 2,267,964 490,215 796,178

Total assets

6,355,737

16,862,704

55,680,161

1,730,393

80,628,995

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

90,309 288,059 –

36,787 – –

27,357 – –

1,470,265 – 141,371

1,624,718 288,059 141,371

Total liabilities

378,368

36,787

27,357

1,611,636

2,054,148

Total interest sensitivity gap

5,977,369

16,825,917

55,652,804

BNY Mellon Global Real Return Fund (EUR)

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2017 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

22,679,765 205,392,082 48,624,898 –

250,435,396 – – –

950,887,282 – – –

2,430,459,134 – – 68,096,352

3,654,461,577 205,392,082 48,624,898 68,096,352

Total assets

276,696,745

250,435,396

950,887,282

2,498,555,486

3,976,574,909

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

11,865,069 –

– –

19,792,431 74,488,508

31,657,500 74,488,508

Total liabilities

11,865,069

–

94,280,939

106,146,008

264,831,676

250,435,396

950,887,282

Total interest sensitivity gap

346

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Real Return Fund (GBP)

Less than 1 year GBP

1-6 years GBP

Over 6 years GBP

Non interest bearing GBP

Total 2017 GBP

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

472,285 3,961,563 734,314 –

4,371,594 – – –

16,628,013 – – –

42,076,132 – – 536,245

63,548,024 3,961,563 734,314 536,245

Total assets

5,168,162

4,371,594

16,628,013

42,612,377

68,780,146

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

204,024 –

– –

265,496 443,486

469,520 443,486

Total liabilities

204,024

–

708,982

913,006

Total interest sensitivity gap

4,964,138

4,371,594

16,628,013

BNY Mellon Global Real Return Fund (USD)

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

3,358,231 25,837,195 10,195,543 –

37,911,299 – – –

140,067,820 – – –

350,400,278 – – 2,626,056

531,737,628 25,837,195 10,195,543 2,626,056

Total assets

39,390,969

37,911,299

140,067,820

353,026,334

570,396,422

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

1,752,874 –

– –

7,423,623 2,714,560

9,176,497 2,714,560

Total liabilities

1,752,874

–

10,138,183

11,891,057

37,638,095

37,911,299

140,067,820

Total interest sensitivity gap

347

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Short-Dated High Yield Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

8,356,180 2,140,621 1,079,015 –

551,523,104 – – –

81,681,980 – – –

46,586,411 – – 17,761,517

688,147,675 2,140,621 1,079,015 17,761,517

11,575,816

551,523,104

81,681,980

64,347,928

709,128,828

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

– 2,629 218,933 –

– – – –

3,183,581 – – 927,562

3,183,581 2,629 218,933 927,562

Total liabilities

221,562

–

4,111,143

4,332,705

11,354,254

551,523,104

81,681,980

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 1,554,957 –

2,401,012 – –

3,288,470 – –

13,321,718 – 28,320

19,011,200 1,554,957 28,320

Total assets

1,554,957

2,401,012

3,288,470

13,350,038

20,594,477

Liabilities Creditors – amount falling due within one year

–

1,768

Total liabilities

–

1,768

1,554,957

2,401,012

3,288,470

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors Total assets

Total interest sensitivity gap

BNY Mellon Global Unconstrained Fund*

Total interest sensitivity gap

348

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Targeted Return Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

5,292,840 1,761,242 501,271 –

22,581,043 – – –

58,971,716 – – –

1,697,355 – – 1,009,973

88,542,954 1,761,242 501,271 1,009,973

Total assets

7,555,353

22,581,043

58,971,716

2,707,328

91,815,440

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

83,250 702 278,930 –

38,617 – – –

26,686 – – –

1,700,614 – – 278,410

1,849,167 702 278,930 278,410

Total liabilities

362,882

38,617

26,686

1,979,024

2,407,209

Total interest sensitivity gap

7,192,471

22,542,426

58,945,030

BNY Mellon U.S. High Yield Beta Fund*

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

25,062 386,138 45,332 –

11,957,244 – – –

12,460,876 – – –

7,266 – – 397,742

24,450,448 386,138 45,332 397,742

Total assets

456,532

11,957,244

12,460,876

405,008

25,279,660

Liabilities Margins on derivative contracts Creditors – amount falling due within one year

50,685 –

– –

– 82,551

50,685 82,551

Total liabilities

50,685

–

82,551

133,236

405,847

11,957,244

12,460,876

Total interest sensitivity gap

349

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon U.S. Municipal Infrastructure Debt Fund*

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2017 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 7,794,759 –

5,426,271 – –

157,921,519 – –

499,752 – 1,390,632

163,847,542 7,794,759 1,390,632

Total assets

7,794,759

5,426,271

157,921,519

1,890,384

173,032,933

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

3,055 96,732

Total liabilities

–

99,787

7,794,759

5,426,271

157,921,519

Total interest sensitivity gap * Please refer to Note 19 of the ﬁnancial statements.

The table below summarises the Company’s exposure to interest rate risk as at 31 December 2016. It includes the Company’s assets and liabilities at fair value, categorised by the earlier of contractual repricing or maturity dates: BNY Mellon Absolute Insight Fund

Less than 1 month EUR

1-3 months EUR

Over 3 months EUR

Non interest bearing EUR

Total 2016 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

11,293,858 14,480,000 2,341,498 –

11,213,108 – – –

35,110,730 – – –

10,331,827 – – 1,353,349

67,949,523 14,480,000 2,341,498 1,353,349

Total assets

28,115,356

11,213,108

35,110,730

11,685,176

86,124,370

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

120,433 8 1,228,942 –

176,159 – – –

160,821 – – –

1,984,963 – – 2,312,003

2,442,376 8 1,228,942 2,312,003

Total liabilities

1,349,383

176,159

160,821

4,296,966

5,983,329

26,765,973

11,036,949

34,949,909

Total interest sensitivity gap

350

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Absolute Return Bond Fund

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2016 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

317,103,747 200,975,758 46,983,146 –

437,445,162 – – –

1,047,584,130 – – –

182,919,548 – – 16,543,305

1,985,052,587 200,975,758 46,983,146 16,543,305

Total assets

565,062,651

437,445,162

1,047,584,130

199,462,853

2,249,554,796

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

7,820,046 10,183,146 –

10,625,097 – –

– – –

48,369,614 – 12,313,373

66,814,757 10,183,146 12,313,373

Total liabilities

18,003,192

10,625,097

–

60,682,987

89,311,276

547,059,459

426,820,065

1,047,584,130

Less than 1 month GBP

1-3 months GBP

Over 3 months GBP

Non interest bearing GBP

Total 2016 GBP

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

404,404,334 71,821,457 35,546,822 –

718,476,136 – – –

601,087,909 – – –

572,837,746 – – 25,712,902

2,296,806,125 71,821,457 35,546,822 25,712,902

Total assets

511,772,613

718,476,136

601,087,909

598,550,648

2,429,887,306

444,147 525,497 242,451 –

2,345,141 – – –

– – – –

75,934,907 – – 79,842,348

78,724,195 525,497 242,451 79,842,348

1,212,095

2,345,141

–

155,777,255

159,334,491

510,560,518

716,130,995

601,087,909

Total interest sensitivity gap

BNY Mellon Absolute Return Equity Fund

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year Total liabilities Total interest sensitivity gap

351

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Asian Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

275,337 159,959 6,732 –

12,953,844 – – –

11,934,726 – – –

35,124 – – 321,803

25,199,031 159,959 6,732 321,803

Total assets

442,028

12,953,844

11,934,726

356,927

25,687,525

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

14,576 –

– –

2,855 42,034

17,431 42,034

Total liabilities

14,576

–

44,889

59,465

427,452

12,953,844

11,934,726

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

13,636,864 1,902,573 122,083 –

– – – –

1,713,224 – – 43,550

15,350,088 1,902,573 122,083 43,550

Total assets

15,661,520

–

1,756,774

17,418,294

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Margins on derivative contracts Creditors – amount falling due within one year

148,319 200,767 101,087 –

– – – –

92,633 – – 28,549

240,952 200,767 101,087 28,549

Total liabilities

450,173

–

121,182

571,355

15,211,347

–

Total interest sensitivity gap

BNY Mellon Dynamic Total Return Fund

Total interest sensitivity gap

352

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Emerging Markets Corporate Debt Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

6,530 2,257,237 197,068 –

69,041,893 – – –

88,067,703 – – –

13,476,600 – – 2,612,546

170,592,726 2,257,237 197,068 2,612,546

Total assets

2,460,835

69,041,893

88,067,703

16,089,146

175,659,577

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

41,868 181,036

Total liabilities

–

222,904

Total interest sensitivity gap

2,460,835

69,041,893

88,067,703

BNY Mellon Emerging Markets Debt Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 911,234 –

16,441,138 – –

43,415,076 – –

612 – 1,035,863

59,856,826 911,234 1,035,863

Total assets

911,234

16,441,138

43,415,076

1,036,475

61,803,923

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

1,019 127,444

Total liabilities

–

128,463

911,234

16,441,138

43,415,076

Total interest sensitivity gap

353

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Emerging Markets Debt Local Currency Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

111,277,320 11,132,041 –

137,964,512 – –

569,497,907 – –

5,332,878 – 24,579,055

824,072,617 11,132,041 24,579,055

Total assets

122,409,361

137,964,512

569,497,907

29,911,933

859,783,713

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

20,418,828 8,683,672

Total liabilities

–

29,102,500

122,409,361

137,964,512

569,497,907

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

2,138,451 624,803 –

15,886,599 – –

47,161,963 – –

428,200 – 1,357,552

65,615,213 624,803 1,357,552

Total assets

2,763,254

15,886,599

47,161,963

1,785,752

67,597,568

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

721,865 35,748

Total liabilities

–

757,613

2,763,254

15,886,599

47,161,963

Total interest sensitivity gap

BNY Mellon Emerging Markets Debt Opportunistic Fund

Total interest sensitivity gap

354

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Euroland Bond Fund

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2016 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

127,538,769 6,339,394 7,726,463 –

435,893,547 – – –

738,112,165 – – –

42,260,349 – – 17,424,116

1,343,804,830 6,339,394 7,726,463 17,424,116

Total assets

141,604,626

435,893,547

738,112,165

59,684,465

1,375,294,803

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

2,237,096 13,278,624 –

1,471,456 – –

– – –

7,864,101 – 14,131,567

11,572,653 13,278,624 14,131,567

Total liabilities

15,515,720

1,471,456

–

21,995,668

38,982,844

126,088,906

434,422,091

738,112,165

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2016 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

742,512 3,774,862 646,481 –

37,865,816 – – –

40,362,385 – – –

4,329,128 – – 845,183

83,299,841 3,774,862 646,481 845,183

Total assets

5,163,855

37,865,816

40,362,385

5,174,311

88,566,367

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

48,633 531,286 –

70,015 – –

– – –

414,872 – 26,645

533,520 531,286 26,645

Total liabilities

579,919

70,015

–

441,517

1,091,451

4,583,936

37,795,801

40,362,385

Total interest sensitivity gap

BNY Mellon European Credit Fund

Total interest sensitivity gap

355

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

52,294,936 17,656,529 –

204,234,451 – –

216,842,903 – –

2,103,316 – 3,910,415

475,475,606 17,656,529 3,910,415

Total assets

69,951,465

204,234,451

216,842,903

6,013,731

497,042,550

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

– 342,971 –

– – –

3,856,815 – 1,558,285

3,856,815 342,971 1,558,285

Total liabilities

342,971

–

5,415,100

5,758,071

Total interest sensitivity gap

69,608,494

204,234,451

216,842,903

BNY Mellon Global Credit Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

34,739,540 6,289,543 1,993,434 –

85,924,137 – – –

253,427,885 – – –

35,624,385 – – 3,286,375

409,715,947 6,289,543 1,993,434 3,286,375

Total assets

43,022,517

85,924,137

253,427,885

38,910,760

421,285,299

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

375,700 339,210 –

664,699 – –

– – –

7,628,692 – 11,796,645

8,669,091 339,210 11,796,645

Total liabilities

714,910

664,699

–

19,425,337

20,804,946

42,307,607

85,259,438

253,427,885

Total interest sensitivity gap

356

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Dynamic Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

44,561,821 14,300,082 100,700 –

184,455,055 – – –

106,570,983 – – –

16,720,644 – – 5,178,527

352,308,503 14,300,082 100,700 5,178,527

Total assets

58,962,603

184,455,055

106,570,983

21,899,171

371,887,812

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

– 93,029 –

– – –

503,022 – 6,326,288

503,022 93,029 6,326,288

Total liabilities

93,029

–

6,829,310

6,922,339

58,869,574

184,455,055

106,570,983

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

– 5,712,168 –

64,179,457 – –

82,823,572 – –

26,716 – 4,026,146

147,029,745 5,712,168 4,026,146

Total assets

5,712,168

64,179,457

82,823,572

4,052,862

156,768,059

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

338,282 637,582

Total liabilities

–

975,864

5,712,168

64,179,457

82,823,572

Total interest sensitivity gap

BNY Mellon Global High Yield Bond Fund

Total interest sensitivity gap

357

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Opportunistic Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

5,028,763 3,650,066 486,287 –

42,453,042 – – –

80,823,920 – – –

1,155,132 – – 1,152,473

129,460,857 3,650,066 486,287 1,152,473

Total assets

9,165,116

42,453,042

80,823,920

2,307,605

134,749,683

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

357,970 414,012 –

– – –

2,035,456 – 1,403,422

2,393,426 414,012 1,403,422

Total liabilities

771,982

–

3,438,878

4,210,860

Total interest sensitivity gap

8,393,134

42,453,042

80,823,920

BNY Mellon Global Real Return Fund (EUR)

Less than 1 year EUR

1-6 years EUR

Over 6 years EUR

Non interest bearing EUR

Total 2016 EUR

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

13,762,995 249,646,374 75,076,888 –

545,534,460 – – –

892,989,364 – – –

2,480,513,827 – – 32,681,377

3,932,800,646 249,646,374 75,076,888 32,681,377

Total assets

338,486,257

545,534,460

892,989,364

2,513,195,204

4,290,205,285

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

19,356,582 37,464 –

– – –

137,485,437 – 17,765,510

156,842,019 37,464 17,765,510

Total liabilities

19,394,046

–

155,250,947

174,644,993

319,092,211

545,534,460

892,989,364

Total interest sensitivity gap

358

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Real Return Fund (GBP)

Less than 1 year GBP

1-6 years GBP

Over 6 years GBP

Non interest bearing GBP

Total 2016 GBP

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

220,334 3,567,310 1,218,055 –

7,978,497 – – –

14,158,633 – – –

39,882,697 – – 289,178

62,240,161 3,567,310 1,218,055 289,178

Total assets

5,005,699

7,978,497

14,158,633

40,171,875

67,314,704

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

314,166 538 –

– – –

90,570 – 222,180

404,736 538 222,180

Total liabilities

314,704

–

312,750

627,454

Total interest sensitivity gap

4,690,995

7,978,497

14,158,633

BNY Mellon Global Real Return Fund (USD)

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

2,157,014 12,536,271 11,663,545 –

78,398,226 – – –

142,904,040 – – –

400,468,413 – – 3,229,689

623,927,693 12,536,271 11,663,545 3,229,689

Total assets

26,356,830

78,398,226

142,904,040

403,698,102

651,357,198

Liabilities Financial liabilities at fair value through proﬁt or loss Bank overdraft Creditors – amount falling due within one year

2,957,660 1,577 –

– – –

566,229 – 2,682,057

3,523,889 1,577 2,682,057

Total liabilities

2,959,237

–

3,248,286

6,207,523

23,397,593

78,398,226

142,904,040

Total interest sensitivity gap

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. BNY Mellon Global Short-Dated High Yield Bond Fund

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Debtors

19,060,045 553,284 –

343,038,925 – –

75,034,537 – –

6,711,574 – 74,708,264

443,845,081 553,284 74,708,264

Total assets

19,613,329

343,038,925

75,034,537

81,419,838

519,106,629

Liabilities Financial liabilities at fair value through proﬁt or loss Creditors – amount falling due within one year

– –

1,773,904 68,007,986

Total liabilities

–

69,781,890

19,613,329

343,038,925

75,034,537

Less than 1 year USD

1-6 years USD

Over 6 years USD

Non interest bearing USD

Total 2016 USD

Assets Financial assets at fair value through proﬁt or loss Cash and bank balances Margins on derivative contracts Debtors

2,160,037 2,468,801 192,545 –

31,637,053 – – –

45,264,351 – – –

487,102 – – 696,856

79,548,543 2,468,801 192,545 696,856

Total assets

4,821,383

31,637,053

45,264,351

1,183,958

82,906,745

Liabilities Financial liabilities at fair value through proﬁt or loss Margins on derivative contracts Creditors – amount falling due within one year

229,232 145,443 –

– – –

2,731,312 – 892,369

2,960,544 145,443 892,369

Total liabilities

374,675

–

3,623,681

3,998,356

4,446,708

31,637,053

45,264,351

Total interest sensitivity gap

BNY Mellon Targeted Return Bond Fund

Total interest sensitivity gap

For those Funds holding primarily interest bearing securities and as such exposed to the risk of ﬂuctuations in the prevailing levels of market interest rates, the Investment Managers monitor the Funds’ exposure to interest ﬂuctuations on a daily basis. Whilst primarily an investment decision, the Investment Managers employ proprietary systems and processes to best position the Funds to beneﬁt from or limit the risk of any ﬂuctuations in the prevailing market levels of market interest rates. The Investment Managers will endeavour to acquire interest bearing securities in liquid markets. However, not all securities invested by the Funds will be listed or rated and consequently liquidity may be low. Moreover the accumulation and disposal of holdings in some securities may be time consuming and need to be conducted at unfavourable prices. The Funds may also encounter difﬁculties in disposing of assets at their fair price due to adverse market conditions leading to limited liquidity. The ﬁnancial markets of emerging market countries in general, are less liquid than those ofthe more developed nations. Purchases and sales of investments may take longer than would otherwise be expected on developed stock markets and transactions may need to be conducted at unfavourable prices.

360

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. INTEREST RATE RISK cont’d. The table below demonstrates the impacts of 25 basis points (“bps”) increase in the market interest rates in the key markets the listed Funds were invested. As at 31 December 2017 and 31 December 2016, should interest rates have increased by 25bps with all other variables remaining constant, the instantaneous shift in the Funds’ total return is listed (25bps decrease would have similar but opposite results in the Funds’ total return).

Fund

Functional currency

Funds Total Return (%) – Instantaneous Shift 2017

Funds Total Return (%) – Instantaneous Shift 2016

USD USD USD USD EUR GBP USD USD USD

1.350 1.673 1.790 0.670 0.624 0.619 0.642 0.858 0.937

1.125 N/A 1.500 0.700 0.801 0.778 0.829 0.338 N/A

BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Total Return Fund* BNY Mellon Global Bond Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon U.S. High Yield Beta Fund* * Please refer to Note 19 of the ﬁnancial statements.

It should be noted that the future market conditions could vary signiﬁcantly and the table is meant for illustrative purposes only. For those Funds which use VaR, the interest rate risk sensitivity analysis has been incorporated into the calculation ofmarket price risk.

CURRENCY RISK Currency risk is the risk that a fair value of a ﬁnancial instrument will ﬂuctuate because of changes in foreign exchange rates. The risk arises on ﬁnancial instruments that are denominated in a currency other than the functional currency inwhich they are measured. The Investment Managers monitor the Company’s currency position on a daily basis and may act to manage the Company’s currency exposure through the use of FDI such as forward foreign currency contracts or options. The Investment Managers of hedged non-base share classes may also use derivative instruments such as forward foreign currency contracts or options as a key component of their operating strategy. Currency risk does not arise from ﬁnancial instruments denominated in the functional currency. The following tables set out the Company’s material exposures to foreign currency risk as at 31 December 2017:

Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 693,607 (24,084,921) (884,357) 542 1,424,313 2,766,211 1,036,829

EUR 2,334,107 4,692,725 2,568,940 542 – – 684,064

EUR – (7,339,500) – – – – –

EUR – – – – – – –

EUR (1,640,500) (21,438,146) (3,453,297) – 1,424,313 2,766,211 352,765

BNY Mellon Absolute Return Bond Fund Argentinian peso Australian dollar Brazilian real Canadian dollar Chilean peso Chinese yuan Colombian peso

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 37 1,040 3,017,573 2,129,870 638,232 227,792 3,510,358 2,800,607 (825) 63 152,250 2,057 505,689 2,755,123 1,174,013 (7,416,331) 3,848,684 2,096 677,838 4,946,584

EUR 37 3 – 4,816,889 – 227,792 – 2,451,357 39,196 63 2,258,970 3,059,620 1,164,287 2,833,277 1,039,310 155,905,782 1,421,086 – 677,838 738,898,864

EUR – – – – – – – – – – – – – – – (90,592) – – – (14,230,170)

EUR – – – – – – – – – – – – – – – 142,184,112 – – – –

EUR – 1,037 3,017,573 (2,687,019) 638,232 – 3,510,358 349,250 (40,021) – (2,106,720) (3,057,563) (658,598) (78,154) 134,703 (305,415,633) 2,427,598 2,096 – (719,722,110)

(75,026)

925,074,749

(21,660,262)

142,184,112

(1,045,673,625)

GBP (262,788) (74,407,370) (584) 127,525 (45,680) 89,220,555

GBP 69,405 47,967,102 – 553,112 336,686 1,307,604

GBP (332,193) (18,973,909) (584) (425,587) (382,366) –

GBP – 11,886,015 – – – 87,912,951

GBP – (115,286,578) – – – –

14,631,658

50,233,909

(20,114,639)

99,798,966

(115,286,578)

USD 1,666,839 824,844 6,982,415 689,778 78,651 303,146 569,361 134,587 434,596 271,879

USD – – 22,577 – 138 – – – – –

USD – – – – – – – – – –

USD 1,666,839 824,844 6,959,838 689,778 78,646 303,146 569,361 134,587 434,596 271,879

USD – – – – (133) – – – – –

11,956,096

22,715

–

11,933,514

(133)

BNY Mellon Absolute Return Bond Fund cont’d. Hong Kong dollar Hungarian forint Indian rupee Indonesian rupiah Israeli shekel Kazakhstan tenge Korean won Malaysian ringgit Mexican peso Norwegian krone Peruvian nuevo sol Polish zloty Romanian leu Russian rouble South African rand Sterling Swedish krona Turkish lira Uruguayan peso US dollar

BNY Mellon Absolute Return Equity Fund Danish krone Euro Norwegian krone Swedish krona Swiss franc US dollar

BNY Mellon Asia Rising Stars Fund* Hong Kong dollar Indonesian rupiah Japanese yen Korean won Malaysian ringgit Philippine peso Singapore dollar Sri Lankan rupee Taiwanese dollar Thai baht

362

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 7,316,169 4,528 12,840,452 19,791,964 10,676,455 405,019 3,376,947 4,832,362

USD – 54,393 7 2 – – – 219,562

USD (2) – – – – – – –

USD 7,316,171 – 12,844,602 19,791,962 10,676,455 405,019 3,376,947 4,612,800

USD – (49,865) (4,157) – – – – –

59,243,896

273,964

(2)

59,023,956

(54,022)

GBP (1,646)

GBP –

GBP (1,646)

GBP –

(1,646)

–

(1,646)

–

USD 56,281,674 131,565 271,167

USD 618,072 131,565 271,167

USD – – –

USD 55,663,602 – –

USD – – –

56,684,406

1,020,804

–

55,663,602

–

USD 415,100 (1,427,600) (702,241) 3,450 (387,957) (752,866) (694,782) (2,339,475) (1,759,078) 2,769,371

USD 73 769 248,661 3,450 69,467 – – 99,745 – 1,508

USD (62,740) (66,860) (252,999) – – – – (53,061) – –

USD – – – – – – – – – –

USD 477,767 (1,361,509) (697,903) – (457,424) (752,866) (694,782) (2,386,159) (1,759,078) 2,767,863

(4,876,078)

423,673

(435,660)

–

(4,864,091)

USD 1,081,053 158,264 783,404 1,183,383 422

USD 1,085,644 5,163,035 6,487,476 1,183,383 422

USD – – – – –

USD (4,591) (5,004,771) (5,704,072) – –

3,206,526

13,919,960

–

(10,713,434)

BNY Mellon Asian Equity Fund Australian dollar Euro Hong Kong dollar Indian rupee Korean won New Zealand dollar Philippine peso Taiwanese dollar

BNY Mellon Asian Income Fund Euro

BNY Mellon Brazil Equity Fund Brazilian real Euro Sterling

BNY Mellon Dynamic Total Return Fund Australian dollar Canadian dollar Euro Hong Kong dollar Japanese yen New Zealand dollar Norwegian krone Sterling Swedish krona Swiss franc

BNY Mellon Emerging Markets Corporate Debt Fund Argentinian peso Colombian peso Euro Kazakhstan tenge Sterling

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 401,296 4 399

USD 53,339 4 399

USD – – –

USD 347,957 – –

401,699

53,742

–

347,957

USD 22,716,528 90,393,251 22,996,282 76,313,171 79,048,455 (19,750,134) (16,220,474) 43,580,152 9,399,851 107,434,515 (16,307,776) 63,250,134 84,241,226 27,840,405 (14,921,595) 89,945,002 19,303,637 72,609,383 10,330,622 75,311,504 401,995 7,139 (20,363,701) 60,850,978 68,758,061 10,402,233

USD 57,725,527 64,506,760 25,903,480 86,425,080 – 29,210 – 9,813,558 – 80,869,054 – 25,710,731 107,178,930 24,178,394 4,448,763 78,239,490 11,014,596 74,331,682 – 162,701,569 401,995 7,139 – 32,740,476 68,758,061 10,402,233

USD – – – – – – – – – – – – – – – – – – – – – – – – – –

USD (35,008,999) 25,886,491 (2,907,198) (10,111,909) 79,048,455 (19,779,344) (16,220,474) 33,766,594 9,399,851 26,565,461 (16,307,776) 37,539,403 (22,937,704) 3,662,011 (19,370,358) 11,705,512 8,289,041 (1,722,299) 10,330,622 (87,390,065) – – (20,363,701) 28,110,502 – –

947,570,844

925,386,728

–

22,184,116

USD 1,294,710 3,300,629 864,704 3,197,714 4,372,227 (1,380,035) (1,147,083) 1,588,311 755,864 4,757,883 (1,171,639)

USD 2,815,374 2,052,780 276,274 3,270,312 – – – – – 3,272,265 –

USD – – – – – – – – – – –

USD (1,520,664) 1,247,849 588,430 (72,598) 4,372,227 (1,380,035) (1,147,083) 1,588,311 755,864 1,485,618 (1,171,639)

BNY Mellon Emerging Markets Debt Fund Euro Hungarian forint Sterling

BNY Mellon Emerging Markets Debt Local Currency Fund Argentinian peso Brazilian real Chilean peso Colombian peso Czech koruna Euro Hong Kong dollar Hungarian forint Indian rupee Indonesian rupiah Korean won Malaysian ringgit Mexican peso Peruvian nuevo sol Philippine peso Polish zloty Romanian leu Russian rouble Singapore dollar South African rand Sterling Swiss franc Taiwanese dollar Thai baht Turkish lira Uruguayan peso

BNY Mellon Emerging Markets Debt Opportunistic Fund Argentinian peso Brazilian real Chilean peso Colombian peso Czech koruna Euro Hong Kong dollar Hungarian forint Indian rupee Indonesian rupiah Korean won

364

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 2,646,542 3,097,260 929,568 (945,264) 3,551,707 302,055 2,640,561 725,612 2,408,938 420 (1,496,628) 1,619,348 2,561,478 656,392

USD 1,181,446 4,608,678 618,497 – 1,852,404 577,071 3,216,903 – 6,112,929 420 – 1,066,867 2,794,180 656,392

USD – – – – – – – – – – – – – –

USD 1,465,096 (1,511,418) 311,071 (945,264) 1,699,303 (275,016) (576,342) 725,612 (3,703,991) – (1,496,628) 552,481 (232,702) –

35,131,274

34,372,792

–

758,482

USD 892,642 2,776,961 1,132,596 2,065,068 795,046 (149,859) 938,491 2,784,780 926,399 1,861,169 1,870,436 548,792 2,175,665 2,734,562 2,551,613 1,027,520 1,483,686 521,912

USD 892,642 3,375,183 – 2,065,068 793,166 5,202,002 – 2,784,780 – 1,861,169 1,401,888 1,155,702 2,175,665 2,734,562 2,412,458 1,027,520 – 521,912

USD – – – – – – – – – – – – – – – – – –

USD – (598,222) 1,132,596 – 1,880 (5,351,861) 938,491 – 926,399 – 468,548 (606,910) – – 139,155 – 1,483,686 –

26,937,479

28,403,717

–

(1,466,238)

EUR 11,961,670 (711,696) (10,991,568) 347,277 3,974,093 9,026,693 17,592,187 11,020,691

EUR 19,033,346 7,467,070 59,073 2,276,481 4,258,968 – – 10,003

EUR – – (291,185) – – – – –

EUR – – – – – – – –

EUR (7,071,676) (8,178,766) (10,759,456) (1,929,204) (284,875) 9,026,693 17,592,187 11,010,688

BNY Mellon Emerging Markets Debt Opportunistic Fund cont’d. Malaysian ringgit Mexican peso Peruvian nuevo sol Philippine peso Polish zloty Romanian leu Russian rouble Singapore dollar South African rand Sterling Taiwanese dollar Thai baht Turkish lira Uruguayan peso

BNY Mellon Emerging Markets Debt Total Return Fund* Argentinian peso Brazilian real Chilean peso Colombian peso Czech koruna Euro Hungarian forint Indonesian rupiah Korean won Malaysian ringgit Mexican peso Peruvian nuevo sol Polish zloty Russian rouble South African rand Thai baht Turkish lira Uruguayan peso

BNY Mellon Euroland Bond Fund Argentinian peso Australian dollar Canadian dollar Chilean peso Colombian peso Czech koruna Indonesian rupiah Japanese yen

365

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR (9,895,921) 498,423 17,591,627 (6,689,204) 230,704 8,802,161 6,223,116 (8,208,212) 8,812,360 18,556,598 (718,311) (18,049,116) (391,550) 5,122,726 (28,850,525)

EUR – 6,386,922 6,741 – 230,704 4,914,236 – 17,672,023 9,721,253 13 736,130 – 8,306,777 5,122,726 145,294,136

EUR (3,022) – (69,046) – – – – – (335,467) (147,235) – – – – (1,439,172)

EUR – – – – – – – – – – – – – – 25,575,491

EUR (9,892,899) (5,888,499) 17,653,932 (6,689,204) – 3,887,925 6,223,116 (25,880,235) (573,426) 18,703,820 (1,454,441) (18,049,116) (8,698,327) – (198,280,980)

35,254,223

231,496,602

(2,285,127)

25,575,491

(219,532,743)

EUR 179,984 411,148

EUR 2,750,624 3,236,122

EUR (4,644) (54,080)

EUR 2,726,662 2,677,280

EUR (5,292,658) (5,448,174)

591,132

5,986,746

(58,724)

5,403,942

(10,740,832)

USD 6,802,614 5,891,190 1,964,621 103,764,972 4,062,677 77,297,040 (34,348) 3,632,046 11,117 5,817,600 4,009,397 5 17,682,434 7,520,583

USD 16,062,430 4,598,860 – 65,226,171 4,062,677 18,956,767 6,360,144 8,359,347 20,244,596 11,419,169 4,009,397 5 26,719,352 –

USD (14,108) – – (37,752) – (1) – – – – – – – –

USD – – – – – – – – – – – – – –

USD (9,245,708) 1,292,330 1,964,621 38,576,553 – 58,340,274 (6,394,492) (4,727,301) (20,233,479) (5,601,569) – – (9,036,918) 7,520,583

238,421,948

186,018,915

(51,861)

–

52,454,894

USD (515,064) (89,206) (992,988) 497,564 (1,242)

USD 298,802 70 111,261,229 – –

USD (226,356) (89,276) (2,209,198) – (1,242)

USD – – 6,763,999 – –

USD (587,510) – (116,809,018) 497,564 –

BNY Mellon Euroland Bond Fund cont’d. Korean won Mexican peso Norwegian krone Philippine peso Polish zloty Russian rouble Singapore dollar South African rand Sterling Swedish krona Swiss franc Taiwanese dollar Turkish lira Uruguayan peso US dollar

BNY Mellon European Credit Fund Sterling US dollar

BNY Mellon Global Bond Fund Australian dollar Canadian dollar Danish krone Euro Indonesian rupiah Japanese yen Malaysian ringgit Mexican peso New Zealand dollar Norwegian krone Peruvian nuevo sol Polish zloty Sterling Swedish krona

BNY Mellon Global Credit Fund Australian dollar Canadian dollar Euro Indian rupee Japanese yen

366

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 74 (688,968) 386,985 5,934

USD 74 52,616,525 254 5,934

USD – (108,160) – –

USD – – – –

USD – (53,197,333) 386,731 –

(1,396,911)

164,182,888

(2,634,232)

6,763,999

(169,709,566)

USD (24,506) 4,855,980 (163,048) (22,159,963) 2,552,265 7,001,371 (47,029) 6,148,811 (70,605) 10,641,016 6,416,690 (23,178,955) 5,837,741

USD 21,339,251 4,855,980 13,365,424 71,602,945 2,552,265 7,001,371 10,357,000 14,194,374 32,418,265 – 6,416,690 107,656,977 –

USD – – – (2,162) – – – – (1) – – (82,141) –

USD – – – – – – – – – – – – –

USD (21,363,757) – (13,528,472) (93,760,746) – – (10,404,029) (8,045,563) (32,488,869) 10,641,016 – (130,753,791) 5,837,741

(2,190,232)

291,760,542

(84,304)

–

(293,866,470)

USD – 10,774,793 24,003,431 382,191 7,134,883 421 3,042,602 2,931,347 8,036,550 1,535,252 (2) 3,523,007 489,869

USD 35,951 – 145,594 – 3,626 421 – – – – – 24,132 –

USD – – – – – – – – – – (2) – –

USD – 10,689,039 23,857,837 382,191 7,131,257 – 3,042,602 2,907,784 7,973,358 1,535,252 – 3,498,875 489,869

USD (35,951) 85,754 – – – – – 23,563 63,192 – – – –

61,854,344

209,724

(2)

61,508,064

136,558

USD 1,023,353 8,642,986 54,278,953 8,528,136 3,684,940 26,089,605

USD – 21,003 – – 279 –

USD – – (123,255) – – –

USD 1,023,353 8,621,983 54,402,376 8,528,136 3,684,661 26,089,605

USD – – (168) – – –

BNY Mellon Global Credit Fund cont’d. South African rand Sterling Swedish krona Swiss franc

BNY Mellon Global Dynamic Bond Fund Australian dollar Brazilian real Canadian dollar Euro Indian rupee Indonesian rupiah Malaysian ringgit Mexican peso New Zealand dollar Norwegian krone Peruvian nuevo sol Sterling Swedish krona

BNY Mellon Global Emerging Markets Fund Euro Hong Kong dollar Indian rupee Indonesian rupiah Korean won Malaysian ringgit Mexican peso Philippine peso South African rand Sterling Swiss franc Taiwanese dollar Thai baht

BNY Mellon Global Equity Fund Brazilian real Canadian dollar Euro Hong Kong dollar Indian rupee Japanese yen

367

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 3,926,120 2,524,313 35,545,414 12,231,999 1,765,227

USD – – 2 – –

USD – – – – –

USD 3,926,120 2,524,313 35,545,412 12,231,999 1,765,227

USD – – – – –

158,241,046

21,284

(123,255)

158,343,185

(168)

USD 11,064,784 131,147,922 15,234,687 15,414,061 17,087,021 8,577,619 3,735,682 21,219,862 177,757,223 21,521,702 91,085,905 1,685

USD – – – – – – – – 288 – – 1,685

USD – (46,256) – (14,186) – – – – – – – –

USD 11,064,784 126,032,206 15,234,687 15,428,247 17,087,021 8,577,619 3,735,682 21,219,862 178,160,984 21,521,702 91,085,905 –

USD – 5,161,972 – – – – – – (404,049) – – –

513,848,153

1,973

(60,442)

509,148,699

4,757,923

USD (417,609) 2,663

USD 4,975,151 4,208,972

USD – –

USD (5,392,760) (4,206,309)

(414,946)

9,184,123

–

(9,599,069)

USD 2,204,909 1,638,397 11,115,877 2,638,445 5,044,786 2,246,468 5,710,459

USD – – – – – 90,561 –

USD – – – – – – –

USD 2,204,909 1,638,397 11,115,877 2,638,445 5,044,786 2,155,907 5,710,459

USD – – – – – – –

30,599,341

90,561

–

30,508,780

–

USD 2,039,652 (57,128) (1,977,736) (25,539) 703,763

USD 2,999,126 310,418 399,282 891,318 734,568

USD – – (45,383) – –

USD – – – – –

USD (959,474) (367,546) (2,331,635) (916,857) (30,805)

BNY Mellon Global Equity Fund cont’d. Korean won Norwegian krone Sterling Swiss franc Thai baht

BNY Mellon Global Equity Income Fund Australian dollar Euro Hong Kong dollar Israeli shekel Japanese yen Korean won New Zealand dollar Norwegian krone Sterling Swedish krona Swiss franc Taiwanese dollar

BNY Mellon Global High Yield Bond Fund Euro Sterling

BNY Mellon Global Leaders Fund Australian dollar Danish krone Euro Hong Kong dollar Japanese yen Sterling Swiss franc

BNY Mellon Global Opportunistic Bond Fund Argentinian peso Australian dollar Canadian dollar Chilean peso Colombian peso

368

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 1,612,889 (6,379,818) (2,438) 2,344,414 1,951,616 (1,595,900) (63,179) 82,970 3,079,573 (1,185,361) 22,064 731,533 1,138,290 (1,457,511) 1,563,852 3,239,336 (3,194,668) 15,798 418,849

USD – 8,717,117 148,245 – 4,377,753 – 589,900 4,019,905 605 – 22,064 1,260,130 – 3,304,875 1,116,482 2 – 1,553,927 418,849

USD – (41,647) – – (52,501) – – – (6,041) – – – – – (46,296) (27,925) – – –

USD – – – – – – – – – – – – – – – – – – –

USD 1,612,889 (15,055,288) (150,683) 2,344,414 (2,373,636) (1,595,900) (653,079) (3,936,935) 3,085,009 (1,185,361) – (528,597) 1,138,290 (4,762,386) 493,666 3,267,259 (3,194,668) (1,538,129) –

3,005,321

30,864,566

(219,793)

–

(27,639,452)

USD 2,576,407 10,334,957 1,193,511 1,367,723 6,726,217 844,590 1 1,823,102 490,509 5,488,957 2,936,952

USD 7,692 106,716 – – – – 1 – – 1 –

USD – – – (2,072) – – – – – – –

USD 2,581,208 10,277,503 1,198,577 1,376,472 6,760,283 844,590 – 1,831,818 492,902 6,622,450 2,951,260

USD (12,493) (49,262) (5,066) (6,677) (34,066) – – (8,716) (2,393) (1,133,494) (14,308)

33,782,926

114,410

(2,072)

34,937,063

(1,266,475)

EUR 35,183,582 23,779,518 43,347,693 7,355,462 54,191,557 20,962,878 10,858,881 (4,046,854) 78,048,454 36,749,064

EUR 207,643,077 65,810,826 – – 5,463,145 20,962,878 – – 60,566,290 90,688,177

EUR – – – – – – – – – –

EUR 50,152,506 64,327,012 43,347,693 61,347,514 48,728,412 – 72,971,863 65,759,372 17,482,164 –

EUR (222,612,001) (106,358,320) – (53,992,052) – – (62,112,982) (69,806,226) – (53,939,113)

BNY Mellon Global Opportunistic Bond Fund cont’d. Czech koruna Euro Indian rupee Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar Norwegian krone Philippine peso Polish zloty Russian rouble Singapore dollar South African rand Sterling Swedish krona Taiwanese dollar Turkish lira Uruguayan peso

BNY Mellon Global Opportunities Fund Canadian dollar Euro Hong Kong dollar Israeli shekel Japanese yen Korean won Malaysian ringgit Mexican peso Norwegian krone Sterling Swiss franc

BNY Mellon Global Real Return Fund (EUR) Australian dollar Canadian dollar Danish krone Hong Kong dollar Indian rupee Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar

369

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 6,438,504 (49,771,375) 3,774,539 46,171,794

EUR – 75,707,141 – 684,057,809

EUR – (1,871,745) – (9,993,324)

EUR 6,438,504 584,118,182 183,085,959 711,949,551

EUR – (707,724,953) (179,311,420) (1,339,842,242)

313,043,697

1,210,899,343

(11,865,069)

1,909,708,732

(2,795,699,309)

GBP 239,242 18,481 743,544 729,800 156,588 989,233 363,287 136,636 (22,227) 1,386,245 25,186 110,289 3,189,084 1,821,531

GBP 3,678,453 1,143,164 – 222,658 – 142,184 363,287 – – 1,050,014 1,710,822 – – 11,920,707

GBP – – – – – – – – – – – – – (170,892)

GBP 869,543 1,102,842 743,544 7,973,198 1,070,669 847,049 – 1,261,655 1,124,260 304,436 – 110,289 3,189,084 12,407,937

GBP (4,308,754) (2,227,525) – (7,466,056) (914,081) – – (1,125,019) (1,146,487) 31,795 (1,685,636) – – (22,336,221)

9,886,919

20,231,289

(170,892)

31,004,506

(41,177,984)

USD (5,851,674) (9,784,112) 6,335,302 (1,988,828) 8,986,559 8,014,714 3,225,302 1,504,434 258,971 11,406,811 86,021 949,291 (6,794,203) 9,265,087

USD 30,155,271 9,749,208 – 2,389,025 – 873,210 3,225,302 – – 8,851,809 13,545,006 – 12,616,682 –

USD – – – – – – – – – – – – (291,130) –

USD 7,347,937 9,492,648 6,335,302 67,102,778 8,986,559 7,141,504 – 10,663,467 9,934,386 2,555,002 – 949,291 88,094,168 26,757,636

USD (43,354,882) (29,025,968) – (71,480,631) – – – (9,159,033) (9,675,415) – (13,458,985) – (107,213,923) (17,492,549)

25,613,675

81,405,513

(291,130)

245,360,678

(300,861,386)

USD (3,945,352) 259,349 251,705

USD 156,877,873 20 32,548,501

USD (2,629) – –

USD – 1,398,193 –

USD (160,820,596) (1,138,864) (32,296,796)

BNY Mellon Global Real Return Fund (EUR) cont’d. South African rand Sterling Swiss franc US dollar

BNY Mellon Global Real Return Fund (GBP) Australian dollar Canadian dollar Danish krone Euro Hong Kong dollar Indian rupee Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar South African rand Swiss franc US dollar

BNY Mellon Global Real Return Fund (USD) Australian dollar Canadian dollar Danish krone Euro Hong Kong dollar Indian rupee Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar South African rand Sterling Swiss franc

BNY Mellon Global Short-Dated High Yield Bond Fund Euro Norwegian krone Sterling

370

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 163,058 450

USD 1,886 450

USD – –

USD 161,172 –

(3,270,790)

189,428,730

(2,629)

1,398,193

(194,095,084)

USD 223,488 400,568 1,229,179 477,385 2,007,805 166,393 536,657 1,963,334 511,541

USD – – – – – – 203,761 – –

USD – – – – – – – – –

USD 223,488 400,568 1,229,179 477,385 2,007,805 166,393 332,896 1,963,334 511,541

USD – – – – – – – – –

7,516,350

203,761

–

7,312,589

–

JPY 760,124 7,350,343

JPY – –

8,110,467

–

JPY 527,557

JPY –

527,557

–

JPY 3 82,941,807 31,521,766

JPY – – –

114,463,576

–

EUR 25,083,965 13,934,698 25,733,395 104,241,222 107,488,253 67,273,882 13,993,389 87,304,600 684,750,690

EUR 1 – – – – 25,297 – 87 5,784,325

EUR – – – – – – – – –

EUR 25,083,964 13,934,698 25,733,395 104,241,222 107,488,253 67,248,585 13,993,389 87,304,513 679,099,617

EUR – – – – – – – – (133,252)

1,129,804,094

5,809,710

–

1,124,127,636

(133,252)

BNY Mellon Global Short-Dated High Yield Bond Fund cont’d. Swedish krona Swiss franc

BNY Mellon Global Unconstrained Fund* Australian dollar Danish krone Euro Hong Kong dollar Japanese yen Korean won Norwegian krone Sterling Swiss franc

BNY Mellon Japan All Cap Equity Fund Sterling US dollar

BNY Mellon Japan REIT Alpha Fund US dollar

BNY Mellon Japan Small Cap Equity Focus Fund Euro Sterling US dollar

BNY Mellon Long-Term Global Equity Fund Australian dollar Canadian dollar Danish krone Hong Kong dollar Japanese yen Sterling Swedish krona Swiss franc US dollar

371

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 2,000

USD –

2,000

–

EUR 2,786,878 1,814,984 63,099 2,764,669 3,465 2,954,175

EUR 1 5,618 63,099 10,195 3,465 25,772

EUR – – – – – –

EUR 2,786,877 1,809,366 – 2,754,474 – 2,928,403

EUR – – – – – –

10,387,270

108,150

–

10,279,120

–

USD 2,259,726 (45,208) (2,183,105) 9,953 808,574 1,802,061 (7,082,835) (131,934) 2,509,453 2,289,576 (1,794,743) (25,817) 99,969 3,439,110 (1,337,372) 31,659 842,086 1,273,088 (1,652,408) 1,786,839 3,616,950 (3,587,436) 16,607 482,712

USD 3,347,823 330,158 2,752,089 899,648 808,247 – 9,018,514 149,668 – 5,888,813 12,034 725,173 4,360,829 672 – 31,659 1,397,548 – 3,899,397 1,432,620 2 – 1,683,132 482,712

USD – – (56,327) – – – (25,160) – – (33,287) – – – (6,712) – – – – – (51,534) (28,406) – – –

USD – – – – – – – – – – – – – – – – – – – – – – – –

USD (1,088,097) (375,366) (4,878,867) (889,695) 327 1,802,061 (16,076,189) (281,602) 2,509,453 (3,565,950) (1,806,777) (750,990) (4,260,860) 3,445,150 (1,337,372) – (555,462) 1,273,088 (5,551,805) 405,753 3,645,354 (3,587,436) (1,666,525) –

3,427,505

37,220,738

(201,426)

–

(33,591,807)

USD 757 1

USD – –

758

–

BNY Mellon S&P 500® Index Tracker Euro

BNY Mellon Small Cap Euroland Fund Danish krone Norwegian krone Sterling Swedish krona Swiss franc US dollar

BNY Mellon Targeted Return Bond Fund Argentinian peso Australian dollar Canadian dollar Chilean peso Colombian peso Czech koruna Euro Indian rupee Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar Norwegian krone Philippine peso Polish zloty Russian rouble Singapore dollar South African rand Sterling Swedish krona Taiwanese dollar Turkish lira Uruguayan peso

BNY Mellon U.S. Dynamic Value Fund Euro Sterling

372

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2017

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 181,327 2,765,981

USD – –

2,947,308

–

USD 600

USD –

600

–

USD 5,999

USD –

5,999

–

USD 14,797 3,515

USD – –

18,312

–

BNY Mellon U.S. Equity Income Fund* Euro Sterling

BNY Mellon U.S. High Yield Beta Fund* Euro

BNY Mellon U.S. Municipal Infrastructure Debt Fund* Euro

BNY Mellon US Opportunities Fund Euro Sterling

* Please refer to Note 19 of the ﬁnancial statements.

The following tables set out the Company’s material exposures to foreign currency risk as at 31 December 2016:

Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 330,811 199,606 91,869 (4,170,401) (26,595) (510) 4,666 3,261 (3,686,102) (510,742) (660,456) 113,053 18 18,445 209,323 (33) 299,022 555,683

EUR 330,811 289,404 858,317 – 309,753 3,119 815,877 185,701 2,647 – 115,778 283,131 18 18,445 285,607 – 45,816 527,783

EUR – – – – – (510) – – – – – – – – – – – –

EUR – – – – – – – – – – – – – – – – – –

EUR – (89,798) (766,448) (4,170,401) (336,348) (3,119) (811,211) (182,440) (3,688,749) (510,742) (776,234) (170,078) – – (76,284) (33) 253,206 27,900

BNY Mellon Absolute Insight Fund Argentinian peso Australian dollar Brazilian real Chinese yuan Colombian peso Danish krone Hong Kong dollar Indonesian rupiah Japanese yen Korean won Malaysian ringgit Mexican peso Nigerian naira Norwegian krone Peruvian nuevo sol Polish zloty Romanian leu Russian rouble

373

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR (292,097) (1,687,201) 75,604 60,849 (278,369) (138,818) 13,587,476

EUR 549,592 4,441,344 1,155 45,122 – 77 15,100,794

EUR – (314,243) – (43,247) – – (193,362)

EUR – 2,943,823 80,568 156,189 – – 635,380

EUR (841,689) (8,758,125) (6,119) (97,215) (278,369) (138,895) (1,955,336)

4,098,362

24,210,291

(551,362)

3,815,960

(23,376,527)

EUR (327,497) 422,439 (42,847,103) 283,062 (15,597,862) (223,269) 4,652 39,050,844

EUR 1,104,053 5,171,575 4 4,231,833 146,178,879 2,290,623 4,652 661,106,442

EUR – – – – (47,212) – – (625,408)

EUR – – – – 173,142,727 – – –

EUR (1,431,550) (4,749,136) (42,847,107) (3,948,771) (334,872,256) (2,513,892) – (621,430,190)

(19,234,734)

820,088,061

(672,620)

173,142,727

(1,011,792,902)

GBP (47,611) (72,917,246) 9,815,866 10,186,604 75,125,381

GBP 17 31,258,281 49,567 1,105,986 226,414

GBP (47,628) (37,818,692) – (1,624,274) (1,015,041)

GBP – – 9,766,299 31,108,368 75,914,008

GBP – (66,356,835) – (20,403,476) –

22,162,994

32,640,265

(40,505,635)

116,788,675

(86,760,311)

USD 1,853 249,226 348,540

USD 1,853 845,412 348,540

USD – – –

USD – (596,186) –

599,619

1,195,805

–

(596,186)

USD 10,586,988 22,027 13,442,510 14,350,203 1,629,793 5,134,451 2,644,787 840,925

USD – 22,027 7 23,614 – – – –

USD (2) – – – – – – –

USD 10,593,555 – 13,411,718 14,326,589 1,629,793 5,134,451 2,644,787 840,925

USD (6,565) – 30,785 – – – – –

BNY Mellon Absolute Insight Fund cont’d. South African rand Sterling Swedish krona Swiss franc Thai baht Turkish lira US dollar

BNY Mellon Absolute Return Bond Fund Australian dollar Hong Kong dollar Japanese yen Norwegian krone Sterling Swedish krona Swiss franc US dollar

BNY Mellon Absolute Return Equity Fund Danish krone Euro Swedish krona Swiss franc US dollar

BNY Mellon Asian Bond Fund Euro Indonesian rupiah Sri Lankan rupee

BNY Mellon Asian Equity Fund Australian dollar Euro Hong Kong dollar Indian rupee Indonesian rupiah Korean won Malaysian ringgit New Zealand dollar

374

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 8,847,724 4,293,498 1,848,866

USD – 92,507 –

USD – – –

USD 8,847,724 4,200,991 1,848,866

USD – – –

63,641,772

138,155

(2)

63,479,399

24,220

USD 64,722,216 (504,825) (286,202)

USD 856,829 – –

USD – (504,825) (286,202)

USD 63,865,387 – –

USD – – –

63,931,189

856,829

(791,027)

63,865,387

–

USD 653,596 (778,656) (3,221,101) (510,547) 1,111,678 614,222 (2,682,508) 301,173 1,111,252

USD 48,165 – 245,871 41,610 – – 43,976 – 4,793

USD – (5,176) (248,484) – – – (73,148) – –

USD – – – – – – – – –

USD 605,431 (773,480) (3,218,488) (552,157) 1,111,678 614,222 (2,653,336) 301,173 1,106,459

(3,400,891)

384,415

(326,808)

–

(3,458,498)

USD 3,015,049 27,854 384

USD 3,015,049 2,758,833 384

USD – – –

USD – (2,730,979) –

3,043,287

5,774,266

–

(2,730,979)

USD 47,083 4 364

USD – – –

47,451

–

USD 9,307,375 89,744,280 1,006,754 84,493,863 (18,222,926) (16,340,474)

USD 33,101,893 164,494,676 – 81,560,922 263,872 –

USD – – – – – –

USD (23,794,518) (74,750,396) 1,006,754 2,932,941 (18,486,798) (16,340,474)

BNY Mellon Asian Equity Fund cont’d. Philippine peso Taiwanese dollar Thai baht

BNY Mellon Brazil Equity Fund Brazilian real Euro Sterling

BNY Mellon Dynamic Total Return Fund Australian dollar Canadian dollar Euro Japanese yen New Zealand dollar Norwegian krone Sterling Swedish krona Swiss franc

BNY Mellon Emerging Markets Corporate Debt Fund Argentinian peso Euro Sterling

BNY Mellon Emerging Markets Debt Fund Euro Hungarian forint Sterling

BNY Mellon Emerging Markets Debt Local Currency Fund Argentinian peso Brazilian real Chilean peso Colombian peso Euro Hong Kong dollar

375

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 28,655,644 (9,672,280) 101,919,318 (17,004,414) 75,526,820 81,806,359 30,295,078 (14,479,143) 98,248,778 27,622,021 72,895,055 (8,360,481) 60,511,319 66,843 9,500,394 (17,447,520) 50,703,755 79,793,975

USD 35,986,636 – 88,653,826 – 18,295,760 68,577,730 12,576,868 7,277,140 56,881,971 – 63,075,473 – 80,273,338 66,843 2,626,192 – 29,824,101 69,547,822

USD – – – – – – – – – – – – – – – – – –

USD (7,330,992) (9,672,280) 13,265,492 (17,004,414) 57,231,060 13,228,629 17,718,210 (21,756,283) 41,366,807 27,622,021 9,819,582 (8,360,481) (19,762,019) – 6,874,202 (17,447,520) 20,879,654 10,246,153

800,570,393

813,085,063

–

(12,514,670)

USD 874,716 4,156,532 38,535 3,989,141 (1,249,335) (1,155,569) 769,472 (705,349) 4,556,943 (1,295,829) 2,894,431 3,453,386 1,770,422 (1,210,916) 4,618,588 1,090,404 3,370,704 (662,763) 1,904,881 383 (1,323,325) 1,398,118 3,224,198

USD 2,770,511 4,295,032 – 3,207,753 10,530 – 1,685,305 – 4,200,383 – 443,994 3,906,365 662,848 – 2,241,323 – 3,053,314 – 1,964,466 383 – 1,933,394 2,477,274

USD – – – – – – – – – – – – – – – – – – – – – – –

USD (1,895,795) (138,500) 38,535 781,388 (1,259,865) (1,155,569) (915,833) (705,349) 356,560 (1,295,829) 2,450,437 (452,979) 1,107,574 (1,210,916) 2,377,265 1,090,404 317,390 (662,763) (59,585) – (1,323,325) (535,276) 746,924

30,507,768

32,852,875

–

(2,345,107)

BNY Mellon Emerging Markets Debt Local Currency Fund cont’d. Hungarian forint Indian rupee Indonesian rupiah Korean won Malaysian ringgit Mexican peso Peruvian nuevo sol Philippine peso Polish zloty Romanian leu Russian rouble Singapore dollar South African rand Sterling Swiss franc Taiwanese dollar Thai baht Turkish lira

BNY Mellon Emerging Markets Debt Opportunistic Fund Argentinian peso Brazilian real Chilean peso Colombian peso Euro Hong Kong dollar Hungarian forint Indian rupee Indonesian rupiah Korean won Malaysian ringgit Mexican peso Peruvian nuevo sol Philippine peso Polish zloty Romanian leu Russian rouble Singapore dollar South African rand Sterling Taiwanese dollar Thai baht Turkish lira

376

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 6,950,155 (1,145,479) 9,926,208 (14,705,965) 6,983,090 (808,411) 17,565,876 (19,863,371) (16,549,953) 7,438,568 (842,563) 1 7,298,154 (8,778,040) 457 (1,287,145) 27,739,379 (372,805) (21,712,146) 14,547,996 25,487,201

EUR 6,950,155 9,312,995 6,975,019 20,459 6,983,090 2,555 – 903,242 – – – 1 7,298,154 6,557 457 1,584,971 – 1,214,060 – 7,210,475 316,287,696

EUR – (400,598) (660,344) (330,890) – – – – – – – – – – – – – – – – (1,843,222)

EUR – – – – – – – – – – – – – – – – – – – – 33,406,331

EUR – (10,057,876) 3,611,533 (14,395,534) – (810,966) 17,565,876 (20,766,613) (16,549,953) 7,438,568 (842,563) – – (8,784,597) – (2,872,116) 27,739,379 (1,586,865) (21,712,146) 7,337,521 (322,363,604)

37,871,207

364,749,886

(3,235,054)

33,406,331

(357,049,956)

EUR 138,093 362,227

EUR 3,635,962 2,755,265

EUR (26,968) (1,709)

EUR 1,451,026 2,852,842

EUR (4,921,927) (5,244,171)

500,320

6,391,227

(28,677)

4,303,868

(10,166,098)

USD 16,242,382 (1,717,589) 54,811 4,813,617 7,441,200 97,563,273 10,171,131 104,108,952 (9,649,147) (368,805) (407,899) (307,673) 4,697,723 4 34,298,817 9,224,181

USD 17,928,345 4,094,423 3,225,955 – 5,811,756 81,770,560 – 21,567,034 – 8,788,170 19,886,366 9,261,360 4,697,723 4 18,490,626 –

USD – – – – – (71,353) – – – – – – – – – –

USD – – – – – – – – – – – – – – – –

USD (1,685,963) (5,812,012) (3,171,144) 4,813,617 1,629,444 15,864,066 10,171,131 82,541,918 (9,649,147) (9,156,975) (20,294,265) (9,569,033) – – 15,808,191 9,224,181

276,164,978

195,522,322

(71,353)

–

80,714,009

BNY Mellon Euroland Bond Fund Argentinian peso Australian dollar Brazilian real Canadian dollar Colombian peso Hungarian forint Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar Norwegian krone Russian rouble Singapore dollar South African rand Sterling Swedish krona Swiss franc Taiwanese dollar Turkish lira US dollar

BNY Mellon European Credit Fund Sterling US dollar

BNY Mellon Global Bond Fund Australian dollar Canadian dollar Chinese yuan Czech koruna Danish krone Euro Hungarian forint Japanese yen Korean won Mexican peso New Zealand dollar Norwegian krone Peruvian nuevo sol Polish zloty Sterling Swedish krona

377

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD (148,276) (62,771) (2,539,816) (3,962,829) 26 (1,312,976) 17,824

USD 50,701 – 115,389,832 599 26 33,515,154 17,824

USD – (62,771) (780,248) (5,765) – – –

USD – – 8,792,750 – – – –

USD (198,977) – (125,942,150) (3,957,663) – (34,828,130) –

(8,008,818)

148,974,136

(848,784)

8,792,750

(164,926,920)

USD 6,885,916 (5,032,260) 32,108 3,131,242 (22,112,290) 7,538,737 (15,910) (6,877,432) (202,356) (233,705) (69,749) 3,558,904 (631,906) 5,465,367 (99,019)

USD 10,715,471 – 2,753,228 – 51,631,510 – – – 6,284,453 14,830,562 3,668,332 3,558,904 49,113,355 – 1,191,795

USD – – – – (93,028) – – – – – – – – – –

USD – – – – – – – – – – – – – – –

USD (3,829,555) (5,032,260) (2,721,120) 3,131,242 (73,650,772) 7,538,737 (15,910) (6,877,432) (6,486,809) (15,064,267) (3,738,081) – (49,745,261) 5,465,367 (1,290,814)

(8,662,353)

143,747,610

(93,028)

–

(152,316,935)

USD 11 3,708,377 9,031,605 269,038 1,110,183 371,377 1,730,485 2,092,337 3,371,932 590,125 1,897,508

USD 11 – 5,050 – – 380 – – – – 1,879

USD – – – – – – – – – – –

USD – 3,708,377 9,026,555 269,038 1,110,183 370,997 1,730,485 2,092,337 3,371,932 590,125 1,895,629

USD – – – – – – – – – – –

24,172,978

7,320

–

24,165,658

–

USD 793,686 5,647,070 33,782,698

USD – 26,453 156

USD – – –

USD 793,686 5,633,246 33,782,698

USD – (12,629) (156)

BNY Mellon Global Credit Fund Australian dollar Canadian dollar Euro Japanese yen South African rand Sterling Swiss franc

BNY Mellon Global Dynamic Bond Fund Australian dollar Canadian dollar Chinese yuan Danish krone Euro Hungarian forint Japanese yen Korean won Mexican peso New Zealand dollar Norwegian krone Peruvian nuevo sol Sterling Swedish krona Swiss franc

BNY Mellon Global Emerging Markets Fund Euro Hong Kong dollar Indian rupee Indonesian rupiah Korean won Malaysian ringgit Mexican peso Philippine peso South African rand Sterling Taiwanese dollar

BNY Mellon Global Equity Fund Brazilian real Canadian dollar Euro

378

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD 4,458,479 935,613 15,112,080 1 4,662,616 27,111,494 8,231,015

USD – 262 – 1 – 1 –

USD – – – – – – –

USD 4,458,479 935,351 15,986,072 – 4,662,616 27,111,493 8,231,015

USD – – (873,992) – – – –

100,734,752

26,873

–

101,594,656

(886,777)

USD 8,244,327 64,629,296 8,730,874 16,899,634 6,086,204 2,819,881 14,856,642 2 150,398,033 76,654,847 1,556

USD – 6,431 – – – – – 2 133,721 – 1,556

USD – – – – – – – – – – –

USD 8,244,327 65,647,665 8,730,874 16,899,634 6,086,204 2,819,881 14,856,642 – 150,264,312 76,654,847 –

USD – (1,024,800) – – – – – – – – –

349,321,296

141,710

–

350,204,386

(1,024,800)

USD (228,131) 50,001

USD 17,816,750 7,037,291

USD – –

USD (18,044,881) (6,987,290)

(178,130)

24,854,041

–

(25,032,171)

USD 913,144 909,999 913,681 4,656,666 874,992 1,875,961 924,000 2,853,172

USD – – – – – – – –

USD 913,144 909,999 913,681 4,656,666 874,992 1,875,961 924,000 2,853,172

USD – – – – – – – –

13,921,615

–

13,921,615

–

USD 2,624,535 (39,810) 1,908,942

USD 2,624,535 2,598,918 1,406,689

USD – (68,581) –

USD – – –

USD – (2,570,147) 502,253

BNY Mellon Global Equity Fund cont’d. Hong Kong dollar Indian rupee Japanese yen New Zealand dollar Norwegian krone Sterling Swiss franc

BNY Mellon Global Equity Income Fund Australian dollar Euro Hong Kong dollar Japanese yen Korean won New Zealand dollar Norwegian krone South African rand Sterling Swiss franc Taiwanese dollar

BNY Mellon Global High Yield Bond Fund Euro Sterling

BNY Mellon Global Leaders Fund Australian dollar Canadian dollar Danish krone Euro Hong Kong dollar Japanese yen Sterling Swiss franc

BNY Mellon Global Opportunistic Bond Fund Argentinian peso Australian dollar Brazilian real

379

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD (1,287,696) 1,376,827 (7,482,826) (87,375) 2,596,018 (5,185,001) (2,466,946) 681,291 (75,588) 19,422 1,217,326 (1,413,938) 9 (67,127) 5,178,172 (3,965,791) 1,424,994

USD 2,700,379 1,376,827 11,439,616 1,474,498 – 3,896,842 2,433,372 1,684,370 5,221,255 2,138,645 1,217,326 15,010 9 757,804 – – 1,424,994

USD – – (288,405) – – – – – – – – – – – – – –

USD – – – – – – – – – – – – – – – – –

USD (3,988,075) – (18,634,037) (1,561,873) 2,596,018 (9,081,843) (4,900,318) (1,003,079) (5,296,843) (2,119,223) – (1,428,948) – (824,931) 5,178,172 (3,965,791) –

(5,044,562)

42,411,089

(356,986)

–

(47,098,665)

USD 1,372,661 13,438,559 1,343,527 1,358,989 5,503,202 1 2,217,870 3,165,121 10,163,008 1,818,773 871

USD 6,869 126,474 – – – 1 – – 1 – 871

USD – – – – – – – – – – –

USD 1,372,661 13,348,717 1,343,527 1,358,989 5,536,201 – 2,217,870 1,936,867 10,163,007 1,818,773 –

USD (6,869) (36,632) – – (32,999) – – 1,228,254 – – –

40,382,582

134,216

–

39,096,612

1,151,754

EUR 1,337,793 503,321 1,250,259 2,337,632 105,936 354,859 1,043,509 229,931 179,793 12,179,257

EUR 779 516 1,005 – – 148 1,158 – – 144,651

EUR – – – (148) – – – – – –

EUR 1,337,014 502,805 1,249,254 2,337,780 105,936 354,711 1,042,509 229,931 179,793 12,037,090

EUR – – – – – – (158) – – (2,484)

19,522,290

148,257

(148)

19,376,823

(2,642)

BNY Mellon Global Opportunistic Bond Fund cont’d. Canadian dollar Colombian peso Euro Hungarian forint Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar Polish zloty Russian rouble Singapore dollar South African rand Sterling Swedish krona Taiwanese dollar Turkish lira

BNY Mellon Global Opportunities Fund Canadian dollar Euro Hong Kong dollar Israeli shekel Japanese yen Malaysian ringgit Mexican peso Norwegian krone Sterling Swiss franc Taiwanese dollar

BNY Mellon Global Property Securities Fund Australian dollar Canadian dollar Hong Kong dollar Japanese yen Norwegian krone Singapore dollar Sterling Swedish krona Swiss franc US dollar

380

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 5,957,697 1,385,352 35,206,202 8,751,460 108,456,330 1,902,919 19,423,189 (115,761,296) (5,074,449) (89,769,964) 170,996,229 201,061,952

EUR 220,645,816 – – – – – 19,447,896 109,309,207 – 75,458,841 – 999,459,208

EUR (10,128) – – – – – (24,707) (2,629) – (6,315,042) – (4,665,724)

EUR 52,137,081 117,911,659 35,206,202 8,751,460 100,190,740 32,422,814 – 21,970,590 6,368,938 625,449,730 162,436,537 913,405,255

EUR (266,815,072) (116,526,307) – – 8,265,590 (30,519,895) – (247,038,464) (11,443,387) (784,363,493) 8,559,692 (1,707,136,787)

342,535,621

1,424,320,968

(11,018,230)

2,076,251,006

(3,147,018,123)

GBP (235,924) (118,858) 465,679 140,153 141,464 1,559,541 58,923 313,784 (1,739,888) (89,293) 2,670,186 4,948,322

GBP 3,544,446 – – 359,831 – – – 314,171 1,762,395 – – 14,909,170

GBP (151) – – (135,932) – – – (387) – – – (75,743)

GBP 830,019 1,865,634 465,679 6,145,337 141,464 1,585,632 527,444 – 351,231 100,776 2,670,186 14,658,819

GBP (4,610,238) (1,984,492) – (6,229,083) – (26,091) (468,521) – (3,853,514) (190,069) – (24,543,924)

8,114,089

20,890,013

(212,213)

29,342,221

(41,905,932)

USD (22,477,750) (16,135,163) 3,107,480 (14,498,363) 1,445,846 15,508,087 71,549 3,103,308 (31,986,193) (818,483) (17,410,932) 25,597,765

USD 35,013,289 – – 4,790,522 73,027 – – 3,103,308 17,301,499 – 12,193,903 –

USD (1,577) – – (1,307,877) – – – – – – (988,806) –

USD 8,250,399 18,774,580 3,107,480 60,050,549 1,372,819 15,764,926 5,109,328 – 3,462,277 1,014,095 98,692,392 25,597,765

USD (65,739,861) (34,909,743) – (78,031,557) – (256,839) (5,037,779) – (52,749,969) (1,832,578) (127,308,421) –

(54,492,849)

72,475,548

(2,298,260)

241,196,610

(365,866,747)

BNY Mellon Global Real Return Fund (EUR) Australian dollar Canadian dollar Danish krone Indian rupee Japanese yen Korean won Mexican peso New Zealand dollar South African rand Sterling Swiss franc US dollar

BNY Mellon Global Real Return Fund (GBP) Australian dollar Canadian dollar Danish krone Euro Indian rupee Japanese yen Korean won Mexican peso New Zealand dollar South African rand Swiss franc US dollar

BNY Mellon Global Real Return Fund (USD) Australian dollar Canadian dollar Danish krone Euro Indian rupee Japanese yen Korean won Mexican peso New Zealand dollar South African rand Sterling Swiss franc

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

USD (1,212,129) 1,821,346 (845,963) 72 436

USD 65,028,086 66 72,349,648 72 436

USD – – – – –

USD – 2,588,551 – – –

USD (66,240,215) (767,271) (73,195,611) – –

(236,238)

137,378,308

–

2,588,551

(140,203,097)

JPY 910,087 4,882,115

JPY – –

5,792,202

–

JPY 15,928,395 17,318,785

JPY – –

33,247,180

–

EUR 27,814,148 28,752,627 16,803,978 102,544,477 110,274,303 71,250,985 21,535,758 105,574,525 684,373,737

EUR 1 – – – – 52,807 – 95 13,122,678

EUR – – – – – – – – –

EUR 27,814,147 28,752,627 16,803,978 102,544,477 110,274,303 71,198,178 21,535,758 105,574,430 671,368,103

EUR – – – – – – – – (117,044)

1,168,924,538

13,175,581

–

1,155,866,001

(117,044)

EUR 13,067 56,555 858,442 29,361 210,012 75

EUR – – – – – 2,927

EUR – – – – – –

EUR 13,067 56,555 858,442 29,361 210,012 –

EUR – – – – – (2,852)

1,167,512

2,927

–

1,167,437

(2,852)

USD 30,972

USD 5,761

USD –

USD 25,211

30,972

5,761

–

25,211

BNY Mellon Global Short-Dated High Yield Bond Fund Euro Norwegian krone Sterling Swedish krona Swiss franc

BNY Mellon Japan All Cap Equity Fund Sterling US dollar

BNY Mellon Japan Small Cap Equity Focus Fund Sterling US dollar

BNY Mellon Long-Term Global Equity Fund Australian dollar Canadian dollar Danish krone Hong Kong dollar Japanese yen Sterling Swedish krona Swiss franc US dollar

BNY Mellon Pan European Equity Fund Danish krone Norwegian krone Sterling Swedish krona Swiss franc US dollar

BNY Mellon S&P 500® Index Tracker Euro

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. Fund

Currency

Net Exposure 31 December 2016

Monetary assets

Monetary liabilities

Non-monetary assets

Hedging

EUR 18,571 417,549 483,704 1,030,051

EUR 18,571 13,033 3,767 3,320

EUR – – – –

EUR – 404,516 479,937 1,026,731

EUR – – – –

1,949,875

38,691

–

1,911,184

–

USD 1,559,682 736,635 1,225,333 (1,631,883) 826,030 (4,706,548) (527) 1,664,242 (3,161,661) (1,435,549) 388,229 (97,417) (26,406) 783,102 (769,735) 33,469 3,216,936 (2,408,455) 778,913

USD 1,559,682 5,702,037 814,399 1,713,046 826,030 8,655,400 1,026,400 – 3,818,926 – 1,051,801 3,408,307 1,464,102 783,102 8,747 408,997 – – 849,597

USD – (30,592) – – – (175,222) – – – – – – – – – – – – –

USD – – – – – – – – – – – – – – – – – – –

USD – (4,934,810) 410,934 (3,344,929) – (13,186,726) (1,026,927) 1,664,242 (6,980,587) (1,435,549) (663,572) (3,505,724) (1,490,508) – (778,482) (375,528) 3,216,936 (2,408,455) (70,684)

(3,025,610)

32,090,573

(205,814)

–

(34,910,369)

USD 102,507 1

USD – –

102,508

–

USD 2,432 3,209

USD – –

5,641

–

BNY Mellon Small Cap Euroland Fund Sterling Swedish krona Swiss franc US dollar

BNY Mellon Targeted Return Bond Fund Argentinian peso Australian dollar Brazilian real Canadian dollar Colombian peso Euro Hungarian forint Indonesian rupiah Japanese yen Korean won Mexican peso New Zealand dollar Polish zloty Russian rouble Singapore dollar Sterling Swedish krona Taiwanese dollar Turkish lira

BNY Mellon U.S. Dynamic Value Fund Euro Sterling

BNY Mellon US Opportunities Fund Euro Sterling

The following table demonstrates the impact on net assets attributable to redeemable participating shareholders of a movement in local currencies against the Funds’ functional currency by way of illustration. In the interests ofproviding consistent comparisons across the Funds, the table assumes a 5% upward movement in the value of the local currencies (a negative 5% would have similar negative results).

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CURRENCY RISK cont’d. As at 31 December 2017 and 31 December 2016, had the exchange rate between the local currencies held by the Fund and its functional currency increased or decreased by 5% with all other variables held constant, the increase or decrease, respectively, in net assets attributable to redeemable participating shareholders is listed in the table below.

Fund

BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Equity Fund BNY Mellon Asian Income Fund BNY Mellon Brazil Equity Fund BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Total Return Fund* BNY Mellon Global Bond Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon Global Unconstrained Fund* BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund* BNY Mellon U.S. High Yield Beta Fund* BNY Mellon US Opportunities Fund

Functional currency

Increase/(decrease) in net asset value 2017

Increase/(decrease) in net asset value 2016

USD USD GBP USD USD USD USD USD USD USD USD USD USD EUR EUR GBP USD USD USD JPY JPY JPY EUR EUR USD EUR USD USD USD USD

597,805 2,962,195 (82) 2,834,220 160,326 1,346,874 11,921,097 (109,512) 3,092,717 7,912,052 25,692,408 1,529,967 1,689,146 N/A 15,652,185 494,346 1,280,684 (163,540) 375,818 405,523 26,378 5,723,179 56,490,205 N/A 100 519,364 38 147,365 30 916

N/A 3,182,089 – 3,196,559 152,164 N/A 13,808,249 (433,118) 1,208,649 5,036,738 17,466,065 696,081 2,019,129 976,115 17,126,781 405,704 (2,724,642) (11,812) N/A 289,610 – 1,662,359 58,446,227 58,376 1,549 97,494 5,125 N/A N/A 282

* Please refer to Note 19 of the ﬁnancial statements.

For those Funds which use VaR, the currency risk sensitivity analysis has been incorporated into the calculation ofmarket price risk.

CREDIT RISK Credit risk is the risk that one party to a ﬁnancial instrument will cause a ﬁnancial loss for the other party by failing todischarge an obligation. This includes counterparty risk and issuer risk. Financial assets, which potentially expose the Company to credit risk, consist principally of interest bearing securities such as bonds, ﬁnancial derivative instruments and investments in cash balances and deposits with and receivable from brokers. The extent of the Company’s exposure to credit risk in respect of these ﬁnancial assets approximates their carrying values as recorded in the Statement of Financial Position. The Investment Managers manage issuer risk through building diversiﬁed portfolios with a limited concentration ofexposure (10%) to any one issuer in accordance with the Central Bank UCITS Regulations and the investment objectives

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. of the Funds. Additionally, if required the Investment Managers will limit ownership of debt instruments to those instruments carrying a credit rating equal to or in excess of that provided for in the individual investment objectives ofthe Funds. Substantially all of the assets of the Company are held by the Depositary. Bankruptcy or insolvency of the Depositary may cause the Company’s rights with respect to securities and other positions held by the Depositary to be delayed or limited. The Company only transacts with depositaries that are regulated entities subject to prudential supervision, or with high credit ratings assigned by international credit-rating agencies. The Directors monitor the credit quality of the Depositary on a quarterly basis in order to mitigate risk. The Depositary delegates the day-to-day responsibilities to its global sub-custodian, the London branch of The Bank of New York Mellon SA/NV, licensed as a bank in Belgium, whose long-term senior debt and long-term deposit rating by Standard & Poor’s is AA- (31 December 2016: AA-) as at the end ofthe ﬁnancial year. The Company’s securities and other positions are segregated from the assets of either the Depositary or its agents. Thus in the event of insolvency or bankruptcy of the Depositary, the Company’s securities and other positions are segregated from those of the Depositary or its agents. The Company will, however, be exposed to the credit risk of the Depositary, orany custodian used by the Depositary, in relation to the Company’s cash held by the Depositary and the subscription and redemption cash collection accounts held by the Global Sub-Custodian. In the event of insolvency or bankruptcy of the Depositary, the Company will be treated as a general creditor of the Depositary in relation to cash holdings of the Company. Counterparty/issuer risk is monitored in the following manner: –

–

Each Investment Manager maintains an Approved Broker list which is subject to ongoing monitoring. The trading system only permits trading with approved brokers. New brokers are added, subject to a formal review process that includes a review of the broker’s creditworthiness and financial strength. Measurement and monitoring of counterparty or issuer trade exposure is conducted daily and consists of reviewing all outstanding positions held.

The permanent risk function of the Company oversees this process as well as performing independent checks. The long-term senior debt and long-term deposit rating by Standard & Poor’s of the counterparties whom the Funds transacted with as at 31 December 2017 and 31 December 2016 are listed in the table below (rating for 31 December 2016 is the same except where stated): Counterparty

Rating

Counterparty

Rating

Bank of America Merrill Lynch Bank of Montreal Bank of New York Mellon Corporation Barclays Bank Plc BNP Paribas Canadian Imperial Bank Credit Suisse AG Citibank N.A. Commonwealth Bank of Australia Deutsche Bank AG Goldman Sachs & Co. HSBC Bank plc ING Bank NV J.P. Morgan AG

A+ A+ A A (31 December 2016: A-) A A+ (31 December 2016: N/A) A A+ AAA- (31 December 2016: BBB+) BBB+ (31 December 2016: A+) AAA+ (31 December 2016: N/A) A+

Lloyds Bank Plc Morgan Stanley & Co. LLC Nomura Holdings Inc RBC Capital Markets LLC Royal Bank of Canada Royal Bank of Scotland Plc Skandinaviska Enskilda Banken AB Societe Generale Standard Chartered Bank State Street Corp Toronto Dominion Bank UBS AG Westpac Banking Corp

A (31 December 2016: N/A) A+ AAAAABBBA+ A A A AAA+ AA-

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. For Funds using the cash sweep management, cash balances are automatically swept into the short-term investment vehicle daily before the designated dealing time for the Funds. The cash investment auto-sweep is part of the daily cash management procedure. All money market funds available through the cash sweep management are triple-A rated byStandard & Poor’s and Moody’s and maintains a stable net asset value. US dollar, Euro and Sterling prime and treasury funds are available for investments, in addition to a number of funds in additional currencies, depending on the domicile of the investor and the tax implications. The table below details the cash sweep balances as at 31 December 2017 and 31 December 2016: Fund BNY Mellon Asian Equity Fund BNY Mellon Brazil Equity Fund BNY Mellon Global Bond Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Unconstrained Fund* BNY Mellon Pan European Equity Fund* BNY Mellon U.S. Equity Income Fund* BNY Mellon US Opportunities Fund

Base Currency

31 December 2017

31 December 2016

USD USD USD USD USD USD USD USD EUR EUR GBP USD USD EUR USD USD

1,087,527 276,643 9,245,220 24,928,965 1,970,664 13,916,837 26,903,485 923,146 N/A 201,339,197 3,387,768 22,253,973 998,184 N/A 1,540,147 289,572

443,018 512,372 17,656,500 13,142,233 440,262 10,565,030 15,515,515 1,730,533 7,942 247,895,729 3,313,264 10,973,225 N/A 17,561 N/A 146,171

* Please refer to Note 19 of the ﬁnancial statements.

Details of Standard & Poor’s credit rating carried by investments held in interest bearing securities such as bonds and similar ﬁnancial instruments, in certain Funds, as at 31 December 2017 and 31 December 2016 as listed in the table below and further analytics may be sourced from the Company’s Dataﬁle, produced by BNY Mellon Investment Management EMEA Limited. Fund

Rating

BNY Mellon Absolute Insight Fund*

AAA to AA– A+ to BBB+ BBB to BBB– BB+ to BB– B+ to B– CCC+ to D

BNY Mellon Absolute Return Bond Fund

AAA AA A BBB BB B Unrated

BNY Mellon Absolute Return Equity Fund

A1+ A1

31 December 2017 %

31 December 2016 %

N/A N/A N/A N/A N/A N/A

17.70 5.80 15.50 6.60 4.20 0.90

20.39 13.05 23.38 9.60 16.12 7.67 0.83

26.10 10.17 28.82 13.29 10.64 0.71 0.14

– –

13.49 31.13

386

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. Fund

Rating

31 December 2017 %

31 December 2016 %

BNY Mellon Absolute Return Equity Fund cont’d.

A–1+ A–1 Unrated

43.96 56.04 –

23.01 30.25 2.12

BNY Mellon Asian Bond Fund*

AAA AA A BBB BB B C Unrated

N/A N/A N/A N/A N/A N/A N/A N/A

2.20 10.70 33.10 32.60 7.40 12.10 0.60 1.30

BNY Mellon Dynamic Total Return Fund

AA+

70.40

70.60

BNY Mellon Emerging Markets Corporate Debt Fund

AA A BBB BB B CCC & below

5.00 1.00 10.00 42.30 15.10 25.80

– 3.60 52.10 22.00 13.10 –

BNY Mellon Emerging Markets Debt Fund

AAA AA A BBB BB B CCC CC C

4.10 1.50 2.40 37.00 26.70 27.70 – – 0.60

1.60 1.20 2.20 49.70 20.40 20.90 3.00 1.00 –

BNY Mellon Emerging Markets Debt Local Currency Fund

AAA AA– A A– BBB+ BBB BBB– BB B+ B B–

2.94 2.73 17.12 11.05 2.59 8.37 42.64 6.68 3.36 2.52 –

15.00 – 17.40 4.80 8.80 11.90 31.30 8.50 – – 4.10

BNY Mellon Emerging Markets Debt Opportunistic Fund

AAA AA A BBB BB B CCC CC

– 0.93 15.76 43.88 19.80 19.63 – –

4.20 – 13.90 45.20 19.50 16.60 0.80 0.20

387

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. Fund

Rating

31 December 2017 %

31 December 2016 %

BNY Mellon Emerging Markets Debt Total Return Fund*

AAA AA A BBB BB B & below

7.30 1.30 15.20 30.60 16.50 27.90

N/A N/A N/A N/A N/A N/A

BNY Mellon Euroland Bond Fund

AAA AA A BBB BB B C Others

12.60 16.20 14.00 37.70 9.10 7.00 0.20 3.20

12.80 6.00 12.90 53.40 7.20 5.10 0.10 2.50

BNY Mellon European Credit Fund

AA A BBB BB & below Insight EMD Fund Insight Short Dated HY Fund

7.50 40.90 39.60 3.90 2.90 2.90

5.60 48.80 32.70 2.60 1.70 3.30

BNY Mellon Global Bond Fund

AAA AA A BBB

39.90 33.50 10.10 16.50

56.10 23.40 8.60 11.80

BNY Mellon Global Credit Fund

AAA AA A BBB Below BBB Insight EM Bond Opportunities Fund

11.00 15.70 25.10 35.90 9.10 –

14.10 11.70 26.70 35.10 4.70 2.20

BNY Mellon Global Dynamic Bond Fund

AAA AA A BBB BB B CCC Unrated

19.50 31.20 10.40 17.80 12.40 6.10 0.40 2.20

27.80 18.20 14.10 17.90 9.80 7.00 1.30 3.90

BNY Mellon Global High Yield Bond Fund

BBB BB B CCC & below

1.10 35.10 45.40 13.80

2.80 32.90 52.00 8.60

BNY Mellon Global Opportunistic Bond Fund

AAA AA

18.10 9.40

20.30 5.20

388

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. Fund

Rating

31 December 2017 %

31 December 2016 %

BNY Mellon Global Opportunistic Bond Fund cont’d.

A BBB BB B & below

14.00 25.30 15.60 17.60

14.80 25.40 12.90 21.30

BNY Mellon Global Real Return Fund (EUR)

AAA AA A BBB BB B & below

58.77 7.86 6.38 5.40 14.45 7.15

77.73 7.91 2.55 1.03 3.27 7.52

BNY Mellon Global Real Return Fund (GBP)

AAA AA A BBB BB B & below

58.42 8.51 6.76 5.24 13.72 7.36

76.69 8.77 2.79 1.38 3.43 6.95

BNY Mellon Global Real Return Fund (USD)

AAA AA A BBB BB B & below

57.78 8.20 6.94 5.38 14.31 7.40

76.49 8.68 2.47 0.88 3.38 8.09

BNY Mellon Global Short-Dated High Yield Bond Fund

BBB BB B CCC Unrated

1.14 27.33 57.31 6.75 7.47

6.59 30.23 55.05 7.01 1.11

BNY Mellon Targeted Return Bond Fund

AAA AA A BBB BB B C Unrated

20.00 9.40 14.40 27.40 14.00 11.40 1.90 1.50

27.00 5.20 14.70 24.80 10.50 9.80 5.50 2.60

BNY Mellon U.S. High Yield Beta Fund*

BB B CCC

58.06 36.03 5.91

N/A N/A N/A

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

AAA AA A BBB

11.85 32.88 31.59 23.69

N/A N/A N/A N/A

* Please refer to Note 19 of the ﬁnancial statements.

389

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16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. All transactions in listed securities are settled or paid upon delivery using approved brokers. The risk of broker default isconsidered minimal as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. Credit default swaps provide a measure of protection against defaults of debt issuers. The use of credit default swaps does not assure their use will be effective or will have the desired result. The credit events are speciﬁed in the contract and are intended to identify the occurrence of a signiﬁcant deterioration in the creditworthiness of the reference asset. As a seller of protection on credit default swaps, the Funds will generally receive from the buyer of protection a ﬁxed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Funds would effectively add leverage to their portfolios because, in addition to their total net assets, the Funds would be subject toinvestment exposure on the notional amounts of the swaps. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap equals the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap entered into by the Funds for the same referenced entity or entities. The maximum exposure for the Funds as a seller of protection is detailed below:

Fund BNY Mellon Absolute Insight Fund* BNY Mellon Absolute Return Bond Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Credit Fund BNY Mellon U.S. High Yield Beta Fund*

Base Currency

31 December 2017 Maximum Exposure

31 December 2016 Maximum Exposure

EUR EUR EUR EUR USD USD

N/A 433,781,186 47,300,000 2,917,306 36,968,447 1,000,000

2,889,990 335,820,072 92,000,000 2,250,000 9,601,716 N/A

* Please refer to Note 19 of the ﬁnancial statements.

Where possible the Company restricts its exposure to credit losses on the trading derivative instruments it holds by entering into master netting arrangements which is a bilateral agreement between the Funds and the counterparties (approved brokers) with whom the Funds undertake a signiﬁcant volume of over-the-counter derivative transactions (including total return swaps). Derivatives are held with counterparties on an unsegregated basis. Master netting arrangements do not result in an offset of balance sheet assets and liabilities, as transactions are usually settled onagross basis. However, the credit risk associated with favourable contracts is reduced by a master netting arrangement tothe extent that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. The Company’s overall exposure to credit risk on derivative instruments subject to a master netting arrangement can change substantially within a short period, as it is affected by each transaction subject to the arrangement. Certain over-the-counter derivatives are cleared through central clearing houses. Under this arrangement, over-thecounter trades entered with counterparties are given up to clearing houses, which after acceptance effectively replace the counterparty for the risk aspects of the trade. The Company employs a risk management process which will enable it to measure, monitor and manage the risks attached to ﬁnancial derivative positions and details of this process have been provided to the Central Bank. For the purpose of providing margin or collateral in respect of transactions in ﬁnancial derivative instruments, the Funds of the Company may transfer, mortgage, charge or encumber any assets or cash forming part of the Funds. The Funds may also be exposed to a credit risk in relation to the counterparties with whom they transact or place margin or collateral inrespect of transactions in ﬁnancial derivative instruments and may bear the risk of counterparty default.

390

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. CREDIT RISK cont’d. The Funds may receive cash and eligible non-cash collateral in relation to derivative trading to reduce counterparty exposure. Cash collateral received by the Fund is shown as an asset in the Statement of Financial Position, which isoffset by a corresponding liability. As at 31 December 2017, non-cash collateral received in respect of derivative transactions is as follows: Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Euroland Bond Fund

Counterparty

Currency

Fair Value

Goldman Sachs Goldman Sachs

USD EUR

813,594 919,081

As at 31 December 2016, non-cash collateral received in respect of derivative transactions is as follows: Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Euroland Bond Fund BNY Mellon Euroland Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunistic Bond Fund

Counterparty

Currency

Fair Value

HSBC Bank plc Citibank N.A. HSBC Bank plc Citibank N.A. HSBC Bank plc

USD EUR EUR USD USD

330,033 616,838 442,732 872,136 314,272

Those Funds entering into securities lending arrangements are also exposed to counterparty risk. To minimise such risk, collateral is held, exceeding in value the amount of securities on loan. Details of these are provided in Note 14 of the ﬁnancial statements. BNY Mellon Absolute Return Bond Fund, BNY Mellon Euroland Bond Fund, BNY Mellon Global High Yield Bond Fund, BNY Mellon Global Opportunistic Bond Fund and BNY Mellon Global Short-Dated High Yield Bond Fund have investments in leveraged loans which are held on an unsegregated basis with the agent banks. These loans are not held with the Depositary and accordingly the Funds are subject to the credit risk of the borrower. The Funds are also subject to the credit risk of the agent banks.

LIQUIDITY RISK Liquidity risk is the risk that the Company may not be able to generate sufﬁcient cash resources to settle its obligations in full as they fall due or can only do so on terms that are materially disadvantageous. The Company is exposed to the daily settlement of margin calls on derivatives and to daily cash redemptions ofredeemable participating shares. Each Fund therefore invests the majority of its assets in investments that are traded in an active market and can be readily disposed of; it invests only a limited proportion of its assets in investments not actively traded on a listed exchange. Listed securities of each Fund are considered readily realisable, as they are listed on a regulated stock exchange. The Investment Managers utilise derivative instruments and debt securities, if appropriate, such as exchange traded index future contracts to allow exposure to markets whilst maintaining sufﬁcient liquidity. Where any Fund acquires securities on the over-the-counter markets, there is no guarantee that the Fund will be able to realise the fair value of such securities due to their tendency to have limited liquidity and comparatively high price volatility. The Company has the ability to borrow in the short term to ensure settlement. An overdraft facility is in place and has been utilised for settlement liquidity purposes. The Depositary shall be entitled to use available cash in the Fund’s account and to liquidate securities in the account as is necessary to meet the Fund’s obligations in connection with the provision of an overdraft facility to the Fund and/or unpaid amounts.

391

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. The Company’s ﬁnancial assets and liabilities are held for trading and are acquired principally for the purpose of selling in the short term. As these securities are not expected to be held to maturity or termination, the current market value represents the estimated cash ﬂow that may be required to dispose of the securities. Future cash ﬂows of the Funds and realised liabilities may differ from current liabilities based on changes in market conditions. All ﬁnancial liabilities are realisable within three months except those noted in the table below. The table below summarises the ﬁnancial liabilities for the Funds with derivative exposures, into relevant maturity groupings based on the remaining period as at 31 December 2017 to the contractual maturity date. The tables have been prepared based on the undiscounted gross cash outﬂows relating to its ﬁnancial liabilities: Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Options Swaps Forward contracts

EUR – 9,766 – 288,412,955

EUR 20,246,938 85,955 – 49,439,342

EUR – – 281,553 –

EUR – – 17,914,321 –

EUR 20,246,938 95,721 18,195,874 337,852,297

Financial liabilities at fair value through profit or loss

288,422,721

69,772,235

281,553

17,914,321

376,390,830

27,275,624 966,098 39,682,690 1,482,534,034

– – – –

27,275,624 966,098 39,682,690 1,482,534,034

1,838,881,167

69,772,235

281,553

17,914,321

1,926,849,276

Futures Swaps Forward contracts

GBP – 13,729,863 152,237,833

GBP 1,887,761 – 120,351,977

GBP – 24,727,676 –

GBP – – –

GBP 1,887,761 38,457,539 272,589,810

Financial liabilities at fair value through profit or loss

165,967,696

122,239,738

24,727,676

–

312,935,110

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

4,777,859 22 2,036,310 32,909,926 1,803,487,199

– – – – –

4,777,859 22 2,036,310 32,909,926 1,803,487,199

Total financial liabilities

2,009,179,012

122,239,738

24,727,676

–

2,156,146,426

Fund BNY Mellon Absolute Return Bond Fund

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares Total financial liabilities BNY Mellon Absolute Return Equity Fund

392

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Forward contracts

USD 103,428

USD –

USD 103,428

Financial liabilities at fair value through profit or loss

103,428

–

103,428

Liabilities Accrued expenses Other payables Redeemable participating shares

63,881 158,444 13,756,728

– – –

63,881 158,444 13,756,728

Total financial liabilities

14,082,481

–

14,082,481

Forward contracts

USD 49,865

USD –

USD 49,865

Financial liabilities at fair value through profit or loss

49,865

–

49,865

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

2 164,123 560,767 71,394,174

– – – –

2 164,123 560,767 71,394,174

Total financial liabilities

72,168,931

–

72,168,931

Forward contracts

GBP 190,733

GBP –

GBP 190,733

Financial liabilities at fair value through profit or loss

190,733

–

190,733

Liabilities Bank overdraft Accrued expenses Redeemable participating shares

1,647 25,727 21,794,947

– – –

1,647 25,727 21,794,947

Total financial liabilities

22,013,054

–

22,013,054

Forward contracts

USD 11,239

USD –

USD 11,239

Financial liabilities at fair value through profit or loss

11,239

–

11,239

Liabilities Accrued expenses Other payables Redeemable participating shares

147,318 3,270,178 64,120,569

– – –

147,318 3,270,178 64,120,569

Total financial liabilities

67,549,304

–

67,549,304

Fund BNY Mellon Asia Rising Stars Fund*

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

BNY Mellon Brazil Equity Fund

393

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Forward contracts

USD 42,775 –

USD 204,035 9,234,748

USD – –

USD 246,810 9,234,748

Financial liabilities at fair value through profit or loss

42,775

9,438,783

–

9,481,558

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Redeemable participating shares

189,150 469,531 34,402 27,212,618

– – – –

189,150 469,531 34,402 27,212,618

Total financial liabilities

27,948,476

9,438,783

–

37,387,259

Fund BNY Mellon Dynamic Total Return Fund

BNY Mellon Dynamic U.S. Equity Fund* USD

USD

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

131,095 16,681 5 51,316,892

– – – –

131,095 16,681 5 51,316,892

Total financial liabilities

51,464,673

–

51,464,673

Forward contracts

USD 14,380,400

USD 5,410,074

USD –

USD 19,790,474

Financial liabilities at fair value through profit or loss

14,380,400

5,410,074

–

19,790,474

Liabilities Accrued expenses Other payables Redeemable participating shares

298,388 335,547 344,098,646

– – –

298,388 335,547 344,098,646

Total financial liabilities

359,112,981

5,410,074

–

364,523,055

Forward contracts

USD 3,503,246

USD –

USD 3,503,246

Financial liabilities at fair value through profit or loss

3,503,246

–

3,503,246

Liabilities Accrued expenses Other payables Redeemable participating shares

102,970 360,736 75,837,591

– – –

102,970 360,736 75,837,591

Total financial liabilities

79,804,543

–

79,804,543

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

394

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Options Forward contracts

USD – 219,770,514

USD 96,361 26,285,141

USD – –

USD 96,361 246,055,655

Financial liabilities at fair value through profit or loss

219,770,514

26,381,502

–

246,152,016

Liabilities Accrued expenses Other payables Redeemable participating shares

857,393 2,092,711 962,197,064

– – –

857,393 2,092,711 962,197,064

1,184,917,682

26,381,502

–

1,211,299,184

Options Forward contracts

USD – 13,979,273

USD 7,177 1,589,716

USD – –

USD 7,177 15,568,989

Financial liabilities at fair value through profit or loss

13,979,273

1,596,893

–

15,576,166

Liabilities Accrued expenses Other payables Redeemable participating shares

35,292 1,979,860 67,410,420

– – –

35,292 1,979,860 67,410,420

Total financial liabilities

83,404,845

1,596,893

–

85,001,738

Forward contracts

USD 4,035,623

USD 5,351,861

USD –

USD 9,387,484

Financial liabilities at fair value through profit or loss

4,035,623

5,351,861

–

9,387,484

Liabilities Accrued expenses Other payables Redeemable participating shares

26,436 363,840 60,803,574

– – –

26,436 363,840 60,803,574

Total financial liabilities

65,229,473

5,351,861

–

70,581,334

Fund BNY Mellon Emerging Markets Debt Local Currency Fund

Total financial liabilities BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Emerging Markets Debt Total Return Fund*

395

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Options Swaps Forward contracts

EUR – 70,067 – 161,795,266

EUR 1,590,427 115,558 – –

EUR – – – –

EUR – – 1,232,857 –

EUR 1,590,427 185,625 1,232,857 161,795,266

Financial liabilities at fair value through profit or loss

161,865,333

1,705,985

–

1,232,857

164,804,175

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

3,023 2,520,536 811,994 4,468,023 877,641,625

– – – – –

3,023 2,520,536 811,994 4,468,023 877,641,625

1,047,310,534

1,705,985

–

1,232,857

1,050,249,376

Futures Options Swaps Forward contracts

EUR – – – 680,455

EUR 47,993 5,146 – –

EUR – – 4,468 –

EUR – – 128,538 –

EUR 47,993 5,146 133,006 680,455

Financial liabilities at fair value through profit or loss

680,455

53,139

4,468

128,538

866,600

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

558,170 28,755 31,999 92,496,187

– – – –

558,170 28,755 31,999 92,496,187

Total financial liabilities

93,795,566

53,139

4,468

128,538

93,981,711

Forward contracts

USD 352,764

USD 165,919,258

USD –

USD 166,272,022

Financial liabilities at fair value through profit or loss

352,764

165,919,258

–

166,272,022

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

51,859 391,351 233,657 398,916,330

– – – –

51,859 391,351 233,657 398,916,330

Total financial liabilities

399,945,961

165,919,258

–

565,865,219

Fund BNY Mellon Euroland Bond Fund

Total financial liabilities BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

396

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Options Swaps Forward contracts

USD – – – 14,796,235

USD 983,909 14,146 – 164,124,592

USD – 77,272 – –

USD – – 2,637,974 –

USD 983,909 91,418 2,637,974 178,920,827

Financial liabilities at fair value through profit or loss

14,796,235

165,122,647

77,272

2,637,974

182,634,128

Liabilities Margin on derivative contracts Accrued expenses Redeemable participating shares

967,743 147,234 461,622,436

– – –

967,743 147,234 461,622,436

Total financial liabilities

477,533,648

165,122,647

77,272

2,637,974

645,371,541

Futures Forward contracts

USD – 2,468,131

USD 82,142 316,027,574

USD – –

USD 82,142 318,495,705

Financial liabilities at fair value through profit or loss

2,468,131

316,109,716

–

318,577,847

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

2,162 580,778 495,287 706,506,962

– – – –

2,162 580,778 495,287 706,506,962

Total financial liabilities

710,053,320

316,109,716

–

1,026,163,036

Forward contracts

USD 146,470

USD –

USD 146,470

Financial liabilities at fair value through profit or loss

146,470

–

146,470

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

2 104,634 526,052 81,918,661

– – – –

2 104,634 526,052 81,918,661

Total financial liabilities

82,695,819

–

82,695,819

Fund BNY Mellon Global Credit Fund

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

397

06571-1C.indd 397

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Forward contracts

USD 5,383

USD –

USD 5,383

Financial liabilities at fair value through profit or loss

5,383

–

5,383

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

123,255 344,651 1,088 313,212,591

– – – –

123,255 344,651 1,088 313,212,591

Total financial liabilities

313,686,968

–

313,686,968

Forward contracts

USD 255,642,874

USD –

USD 255,642,874

Financial liabilities at fair value through profit or loss

255,642,874

–

255,642,874

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

60,442 1,206,688 5,471,362 1,002,589,361

– – – –

60,442 1,206,688 5,471,362 1,002,589,361

Total financial liabilities

1,264,970,727

–

1,264,970,727

Forward contracts

USD 16,416,248

USD –

USD 16,416,248

Financial liabilities at fair value through profit or loss

16,416,248

–

16,416,248

Liabilities Accrued expenses Other payables Redeemable participating shares

73,823 905,300 105,032,496

– – –

73,823 905,300 105,032,496

Total financial liabilities

122,427,867

–

122,427,867

Fund BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund USD

USD

Liabilities Accrued expenses Redeemable participating shares

69,005 62,931,418

– –

69,005 62,931,418

Total financial liabilities

63,000,423

–

63,000,423

398

06571-1C.indd 398

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Options Swaps Forward contracts

USD – 6,208 – 44,101,934

USD 90,309 19,157 – –

USD – – – –

USD – – 64,144 –

USD 90,309 25,365 64,144 44,101,934

Financial liabilities at fair value through profit or loss

44,108,142

109,466

–

64,144

44,281,752

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

288,059 84,143 57,228 78,574,847

– – – –

288,059 84,143 57,228 78,574,847

123,112,419

109,466

–

64,144

123,286,029

Forward contracts

USD 169,232

USD 1,101,355

USD –

USD 1,270,587

Financial liabilities at fair value through profit or loss

169,232

1,101,355

–

1,270,587

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

2,072 161,407 548,876 74,216,501

– – – –

2,072 161,407 548,876 74,216,501

Total financial liabilities

75,098,088

1,101,355

–

76,199,443

Futures Options Forward contracts

EUR – 29,678 998,167,742

EUR 11,835,391 – 804,741,011

EUR – – –

EUR 11,835,391 29,678 1,802,908,753

Financial liabilities at fair value through profit or loss

998,197,420

816,576,402

–

1,814,773,822

Liabilities Accrued expenses Other payables Redeemable participating shares

4,286,497 70,202,011 3,870,428,901

– – –

4,286,497 70,202,011 3,870,428,901

Total financial liabilities

4,943,114,829

816,576,402

–

5,759,691,231

Fund BNY Mellon Global Opportunistic Bond Fund

Total financial liabilities BNY Mellon Global Opportunities Fund

BNY Mellon Global Real Return Fund (EUR)

399

06571-1C.indd 399

23/04/18 10:47

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

Futures Options Forward contracts

GBP – 488 3,307,982

GBP 203,536 – 14,185,673

GBP – – –

GBP 203,536 488 17,493,655

Financial liabilities at fair value through profit or loss

3,308,470

14,389,209

–

17,697,679

Liabilities Accrued expenses Other payables Redeemable participating shares

58,768 384,718 67,867,140

– – –

58,768 384,718 67,867,140

71,619,096

14,389,209

–

86,008,305

Futures Options Forward contracts

USD – 4,400 213,182,752

USD 1,748,474 – 121,561,220

USD – – –

USD 1,748,474 4,400 334,743,972

Financial liabilities at fair value through profit or loss

213,187,152

123,309,694

–

336,496,846

Liabilities Accrued expenses Other payables Redeemable participating shares

521,463 2,193,097 558,505,365

– – –

521,463 2,193,097 558,505,365

Total financial liabilities

774,407,077

123,309,694

–

897,716,771

Forward contracts

USD 82,933,695

USD 152,577,989

USD –

USD 235,511,684

Financial liabilities at fair value through profit or loss

82,933,695

152,577,989

–

235,511,684

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

2,629 218,933 373,612 553,950 704,796,123

– – – – –

2,629 218,933 373,612 553,950 704,796,123

Total financial liabilities

788,878,942

152,577,989

–

941,456,931

Fund BNY Mellon Global Real Return Fund (GBP)

Total financial liabilities BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund

400

06571-1C.indd 400

23/04/18 10:47

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Fund

Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

BNY Mellon Global Unconstrained Fund* USD

USD

Liabilities Accrued expenses Redeemable participating shares

1,768 20,592,709

– –

1,768 20,592,709

Total financial liabilities

20,594,477

–

20,594,477

Forward contracts

JPY 321,189,408

JPY –

JPY 321,189,408

Financial liabilities at fair value through profit or loss

321,189,408

–

321,189,408

Liabilities Accrued expenses Other payables Redeemable participating shares

6,058,161 34 4,969,556,579

– – –

6,058,161 34 4,969,556,579

Total financial liabilities

5,296,804,182

–

5,296,804,182

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund JPY

JPY

Liabilities Accrued expenses Other payables Redeemable participating shares

2,332,875 25,752,025 1,685,557,340

– – –

2,332,875 25,752,025 1,685,557,340

Total financial liabilities

1,713,642,240

–

1,713,642,240

Forward contracts

JPY 236,166,917

JPY –

JPY 236,166,917

Financial liabilities at fair value through profit or loss

236,166,917

–

236,166,917

Liabilities Accrued expenses Other payables Redeemable participating shares

10,475,244 3,276,898 8,057,512,056

– – –

10,475,244 3,276,898 8,057,512,056

Total financial liabilities

8,307,431,115

–

8,307,431,115

Forward contracts

EUR 792,763

EUR –

EUR 792,763

Financial liabilities at fair value through profit or loss

792,763

–

792,763

Liabilities Accrued expenses Other payables Redeemable participating shares

968,834 430,778 1,280,341,985

– – –

968,834 430,778 1,280,341,985

Total financial liabilities

1,282,534,360

–

1,282,534,360

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

401

06571-1C.indd 401

23/04/18 10:47

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

USD –

USD 1,304

USD –

USD 1,304

–

1,304

–

1,304

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

182 86,442 441,742 82,608,881

– – – –

182 86,442 441,742 82,608,881

Total financial liabilities

83,137,247

1,304

–

83,138,551

EUR –

EUR 33,345

EUR –

EUR 33,345

–

33,345

–

33,345

Liabilities Accrued expenses Other payables Redeemable participating shares

145,764 33,446 106,114,478

– – –

145,764 33,446 106,114,478

Total financial liabilities

106,293,688

33,345

–

106,327,033

Futures Options Swaps Forward contracts

USD – 6,896 – 51,860,970

USD 83,250 20,751 – –

USD – – – –

USD – – 65,303 –

USD 83,250 27,647 65,303 51,860,970

Financial liabilities at fair value through profit or loss

51,867,866

104,001

–

65,303

52,037,170

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

702 278,930 101,410 177,000 89,408,231

– – – – –

702 278,930 101,410 177,000 89,408,231

141,834,139

104,001

–

65,303

142,003,443

Fund BNY Mellon S&P 500® Index Tracker Futures Financial liabilities at fair value through profit or loss

BNY Mellon Small Cap Euroland Fund Futures Financial liabilities at fair value through profit or loss

BNY Mellon Targeted Return Bond Fund

Total financial liabilities

402

06571-1C.indd 402

23/04/18 10:48

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Fund

Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2017

BNY Mellon U.S. Dynamic Value Fund USD

USD

Liabilities Accrued expenses Other payables Redeemable participating shares

129,805 1,469,590 102,203,896

– – –

129,805 1,469,590 102,203,896

Total financial liabilities

103,803,291

–

103,803,291

BNY Mellon U.S. Equity Income Fund* USD

USD

Liabilities Accrued expenses Other payables Redeemable participating shares

187,074 6,042,783 242,605,422

– – –

187,074 6,042,783 242,605,422

Total financial liabilities

248,835,279

–

248,835,279

BNY Mellon U.S. High Yield Beta Fund* USD

USD

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

50,685 15,427 67,124 25,146,424

– – – –

50,685 15,427 67,124 25,146,424

Total financial liabilities

25,279,660

–

25,279,660

Forward contracts

USD 248,582

USD –

USD 248,582

Financial liabilities at fair value through profit or loss

248,582

–

248,582

Liabilities Accrued expenses Redeemable participating shares

96,732 172,933,146

– –

96,732 172,933,146

Total financial liabilities

173,278,460

–

173,278,460

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

BNY Mellon US Opportunities Fund USD

USD

Liabilities Accrued expenses Redeemable participating shares

103,768 92,142,802

– –

103,768 92,142,802

Total financial liabilities

92,246,570

–

92,246,570

* Please refer to Note 19 of the ﬁnancial statements.

403

06571-1C.indd 403

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. The table below summarises the ﬁnancial liabilities for the Funds with derivative exposures, into relevant maturity groupings based on the remaining period as at 31 December 2016 to the contractual maturity date. The tables have been prepared based on the undiscounted gross cash outﬂows relating to its ﬁnancial liabilities: Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Futures Options Swaps Forward contracts

EUR 5,505 117,102 224,488 59,471,367

EUR 88,495 180,862 – 6,496,222

EUR 1,319 62,814 400,316 –

EUR 112 – 92,724 –

EUR 95,431 360,778 717,528 65,967,589

Financial liabilities at fair value through profit or loss

59,818,462

6,765,579

464,449

92,836

67,141,326

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

8 1,228,942 175,441 2,136,562 80,141,041

– – – – –

8 1,228,942 175,441 2,136,562 80,141,041

143,500,456

6,765,579

464,449

92,836

150,823,320

Futures Options Swaps Forward contracts

EUR – 31,353 – 1,704,728,924

EUR 7,820,046 394,850 – –

EUR – – – –

EUR – – 10,625,097 –

EUR 7,820,046 426,203 10,625,097 1,704,728,924

Financial liabilities at fair value through profit or loss

1,704,760,277

8,214,896

–

10,625,097

1,723,600,270

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

10,183,146 1,412,361 10,901,012 2,160,243,520

– – – –

10,183,146 1,412,361 10,901,012 2,160,243,520

Total financial liabilities

3,887,500,316

8,214,896

–

10,625,097

3,906,340,309

Fund BNY Mellon Absolute Insight Fund

Total financial liabilities BNY Mellon Absolute Return Bond Fund

404

06571-1C.indd 404

23/04/18 10:48

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Futures Swaps Forward contracts

GBP 444,147 26,546,135 43,271,533

GBP 2,345,141 – 98,622,025

GBP – 48,303,019 –

GBP – – –

GBP 2,789,288 74,849,154 141,893,558

Financial liabilities at fair value through profit or loss

70,261,815

100,967,166

48,303,019

–

219,532,000

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

525,497 242,451 2,500,024 77,342,324 2,270,552,815

– – – – –

525,497 242,451 2,500,024 77,342,324 2,270,552,815

Total financial liabilities

2,421,424,926

100,967,166

48,303,019

–

2,570,695,111

Futures Forward contracts

USD – 757,439

USD 14,576 –

USD – –

USD 14,576 757,439

Financial liabilities at fair value through profit or loss

757,439

14,576

–

772,015

Liabilities Accrued expenses Redeemable participating shares

42,034 25,628,060

– –

42,034 25,628,060

Total financial liabilities

26,427,533

14,576

–

26,442,109

Forward contracts

USD 37,352

USD –

USD 37,352

Financial liabilities at fair value through profit or loss

37,352

–

37,352

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

10,587 169,217 47,086 72,734,376

– – – –

10,587 169,217 47,086 72,734,376

Total financial liabilities

72,998,618

–

72,998,618

Forward contracts

GBP 821

GBP –

GBP 821

Financial liabilities at fair value through profit or loss

821

–

821

Liabilities Accrued expenses Redeemable participating shares

29,803 17,863,411

– –

29,803 17,863,411

Total financial liabilities

17,894,035

–

17,894,035

Fund BNY Mellon Absolute Return Equity Fund

BNY Mellon Asian Bond Fund

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund

405

06571-1C.indd 405

23/04/18 10:48

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Forward contracts

USD 1,104,874

USD –

USD 1,104,874

Financial liabilities at fair value through profit or loss

1,104,874

–

1,104,874

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

824,516 150,480 4,419,043 80,482,765

– – – –

824,516 150,480 4,419,043 80,482,765

Total financial liabilities

86,981,678

–

86,981,678

Futures Forward contracts

USD – 534,411

USD 148,319 5,319,250

USD – –

USD 148,319 5,853,661

Financial liabilities at fair value through profit or loss

534,411

5,467,569

–

6,001,980

Liabilities Bank overdraft Margin on derivative contracts Accrued expenses Redeemable participating shares

200,767 101,087 28,549 16,846,939

– – – –

200,767 101,087 28,549 16,846,939

Total financial liabilities

17,711,753

5,467,569

–

23,179,322

Forward contracts

USD 4,739,264

USD –

USD 4,739,264

Financial liabilities at fair value through profit or loss

4,739,264

–

4,739,264

Liabilities Accrued expenses Other payables Redeemable participating shares

124,834 56,202 175,436,673

– – –

124,834 56,202 175,436,673

Total financial liabilities

180,356,973

–

180,356,973

Forward contracts

USD 242,985

USD –

USD 242,985

Financial liabilities at fair value through profit or loss

242,985

–

242,985

Liabilities Accrued expenses Redeemable participating shares

127,444 61,675,460

– –

127,444 61,675,460

Total financial liabilities

62,045,889

–

62,045,889

Fund BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund

406

06571-1C.indd 406

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Options Forward contracts

USD 1,190,453 442,551,276

USD 497,353 94,286,763

USD – –

USD 1,687,806 536,838,039

Financial liabilities at fair value through profit or loss

443,741,729

94,784,116

–

538,525,845

Liabilities Accrued expenses Other payables Redeemable participating shares

1,114,612 7,569,060 830,681,213

– – –

1,114,612 7,569,060 830,681,213

1,283,106,614

94,784,116

–

1,377,890,730

Options Forward contracts

USD 85,754 16,603,838

USD 37,741 1,438,894

USD – –

USD 123,495 18,042,732

Financial liabilities at fair value through profit or loss

16,689,592

1,476,635

–

18,166,227

Liabilities Accrued expenses Redeemable participating shares

35,748 66,839,955

– –

35,748 66,839,955

Total financial liabilities

83,565,295

1,476,635

–

85,041,930

Futures Options Swaps Forward contracts

EUR – – 660,344 271,096,196

EUR 1,576,752 354,623 – –

EUR – – – –

EUR – – 1,471,456 –

EUR 1,576,752 354,623 2,131,800 271,096,196

Financial liabilities at fair value through profit or loss

271,756,540

1,931,375

–

1,471,456

275,159,371

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

13,278,624 1,624,904 12,506,663 1,336,311,959

– – – –

13,278,624 1,624,904 12,506,663 1,336,311,959

Total financial liabilities

1,635,478,690

1,931,375

–

1,471,456

1,638,881,521

Fund BNY Mellon Emerging Markets Debt Local Currency Fund

Total financial liabilities BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Euroland Bond Fund

407

06571-1C.indd 407

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Futures Swaps Forward contracts

EUR – – 11,630,009

EUR 48,633 – 5,184,632

EUR – – –

EUR – 70,015 –

EUR 48,633 70,015 16,814,641

Financial liabilities at fair value through profit or loss

11,630,009

5,233,265

–

70,015

16,933,289

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

531,286 26,034 611 87,474,916

– – – –

531,286 26,034 611 87,474,916

Total financial liabilities

99,662,856

5,233,265

–

70,015

104,966,136

Forward contracts

USD 98,582

USD 161,897,418

USD –

USD 161,996,000

Financial liabilities at fair value through profit or loss

98,582

161,897,418

–

161,996,000

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

342,971 481,470 1,076,815 491,284,479

– – – –

342,971 481,470 1,076,815 491,284,479

Total financial liabilities

493,284,317

161,897,418

–

655,181,735

Futures Options Swaps Forward contracts

USD – 2,700 – 447,626,780

USD 375,700 34,167 – –

USD – – – –

USD – – 664,699 –

USD 375,700 36,867 664,699 447,626,780

Financial liabilities at fair value through profit or loss

447,629,480

409,867

–

664,699

448,704,046

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

339,210 116,276 11,680,369 400,480,353

– – – –

339,210 116,276 11,680,369 400,480,353

Total financial liabilities

860,245,688

409,867

–

664,699

861,320,254

Fund BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund

408

06571-1C.indd 408

23/04/18 10:48

BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Forward contracts

USD 4,320,788

USD 32,298,181

USD –

USD 36,618,969

Financial liabilities at fair value through profit or loss

4,320,788

32,298,181

–

36,618,969

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

93,029 326,003 6,000,285 364,965,473

– – – –

93,029 326,003 6,000,285 364,965,473

Total financial liabilities

375,705,578

32,298,181

–

408,003,759

Forward contracts

USD 13,399

USD –

USD 13,399

Financial liabilities at fair value through profit or loss

13,399

–

13,399

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

5,052 96,002 5,323 30,166,865

– – – –

5,052 96,002 5,323 30,166,865

Total financial liabilities

30,286,641

–

30,286,641

Forward contracts

USD 3,074,522

USD –

USD 3,074,522

Financial liabilities at fair value through profit or loss

3,074,522

–

3,074,522

Liabilities Accrued expenses Other payables Redeemable participating shares

319,632 420,066 258,017,204

– – –

319,632 420,066 258,017,204

Total financial liabilities

261,831,424

–

261,831,424

Forward contracts

USD 1,497,417

USD –

USD 1,497,417

Financial liabilities at fair value through profit or loss

1,497,417

–

1,497,417

Liabilities Accrued expenses Other payables Redeemable participating shares

882,523 727,921 692,443,890

– – –

882,523 727,921 692,443,890

Total financial liabilities

695,551,751

–

695,551,751

Fund BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

409

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Forward contracts

USD 26,508,703

USD –

USD 26,508,703

Financial liabilities at fair value through profit or loss

26,508,703

–

26,508,703

Liabilities Accrued expenses Other payables Redeemable participating shares

140,752 496,830 155,792,195

– – –

140,752 496,830 155,792,195

Total financial liabilities

182,938,480

–

182,938,480

Forward contracts

USD 424,714

USD –

USD 424,714

Financial liabilities at fair value through profit or loss

424,714

–

424,714

Liabilities Accrued expenses Redeemable participating shares

21,228 28,345,314

– –

21,228 28,345,314

Total financial liabilities

28,791,256

–

28,791,256

Futures Options Forward contracts

USD – 3,856 97,696,913

USD 357,970 113,349 167,418

USD – – –

USD 357,970 117,205 97,864,331

Financial liabilities at fair value through profit or loss

97,700,769

638,737

–

98,339,506

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

414,012 94,267 1,309,155 130,538,823

– – – –

414,012 94,267 1,309,155 130,538,823

Total financial liabilities

230,057,026

638,737

–

230,695,763

Forward contracts

USD 1,286,094

USD 5,375,457

USD –

USD 6,661,551

Financial liabilities at fair value through profit or loss

1,286,094

5,375,457

–

6,661,551

Liabilities Accrued expenses Other payables Redeemable participating shares

205,266 66,800 106,650,391

– – –

205,266 66,800 106,650,391

Total financial liabilities

108,208,551

5,375,457

–

113,584,008

Fund BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

410

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Forward contracts

EUR 196,541

EUR –

EUR 196,541

Financial liabilities at fair value through profit or loss

196,541

–

196,541

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

7,746 33,569 6,351 21,364,386

– – – –

7,746 33,569 6,351 21,364,386

Total financial liabilities

21,608,593

–

21,608,593

Futures Forward contracts

EUR – 974,518,248

EUR 19,356,582 2,710,690,961

EUR – –

EUR 19,356,582 3,685,209,209

Financial liabilities at fair value through profit or loss

974,518,248

2,730,047,543

–

3,704,565,791

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

37,464 4,543,002 13,222,508 4,115,560,292

– – – –

37,464 4,543,002 13,222,508 4,115,560,292

Total financial liabilities

5,107,881,514

2,730,047,543

–

7,837,929,057

Futures Forward contracts

GBP – 899,901

GBP 314,166 5,732,375

GBP – –

GBP 314,166 6,632,276

Financial liabilities at fair value through profit or loss

899,901

6,046,541

–

6,946,442

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

538 46,140 176,040 66,687,250

– – – –

538 46,140 176,040 66,687,250

Total financial liabilities

67,809,869

6,046,541

–

73,856,410

Fund BNY Mellon Global Property Securities Fund

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

411

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Futures Forward contracts

USD – 49,063,848

USD 2,957,660 11,074,568

USD – –

USD 2,957,660 60,138,416

Financial liabilities at fair value through profit or loss

49,063,848

14,032,228

–

63,096,076

Liabilities Bank overdraft Accrued expenses Other payables Redeemable participating shares

1,577 551,983 2,130,074 645,149,675

– – – –

1,577 551,983 2,130,074 645,149,675

Total financial liabilities

696,897,157

14,032,228

–

710,929,385

Forward contracts

USD 81,876,180

USD –

USD 81,876,180

Financial liabilities at fair value through profit or loss

81,876,180

–

81,876,180

Liabilities Accrued expenses Other payables Redeemable participating shares

31,845 67,976,141 449,324,739

– – –

31,845 67,976,141 449,324,739

Total financial liabilities

599,208,905

–

599,208,905

Forward contracts

JPY 10,079,490

JPY –

JPY 10,079,490

Financial liabilities at fair value through profit or loss

10,079,490

–

10,079,490

Liabilities Accrued expenses Redeemable participating shares

4,548,266 2,280,546,187

– –

4,548,266 2,280,546,187

Total financial liabilities

2,295,173,943

–

2,295,173,943

Fund BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund JPY

JPY

Liabilities Accrued expenses Other payables Redeemable participating shares

917,598 11,304,291 2,161,738,343

– – –

917,598 11,304,291 2,161,738,343

Total financial liabilities

2,173,960,232

–

2,173,960,232

412

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

Forward contracts

JPY 516,337

JPY –

JPY 516,337

Financial liabilities at fair value through profit or loss

516,337

–

516,337

Liabilities Accrued expenses Other payables Redeemable participating shares

4,555,188 29,125 2,724,538,443

– – –

4,555,188 29,125 2,724,538,443

Total financial liabilities

2,729,639,093

–

2,729,639,093

Forward contracts

EUR 124,433

EUR –

EUR 124,433

Financial liabilities at fair value through profit or loss

124,433

–

124,433

Liabilities Accrued expenses Other payables Redeemable participating shares

1,128,234 236,871 1,283,751,148

– – –

1,128,234 236,871 1,283,751,148

Total financial liabilities

1,285,240,686

–

1,285,240,686

Fund BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

BNY Mellon Pan European Equity Fund EUR

EUR

Liabilities Accrued expenses Other payables Redeemable participating shares

14,877 3,805 1,933,821

– – –

14,877 3,805 1,933,821

Total financial liabilities

1,952,503

–

1,952,503

USD –

USD 3,034

USD –

USD 3,034

–

3,034

–

3,034

Liabilities Accrued expenses Other payables Redeemable participating shares

122,625 65,129 86,574,689

– – –

122,625 65,129 86,574,689

Total financial liabilities

86,762,443

3,034

–

86,765,477

BNY Mellon S&P 500® Index Tracker Futures Financial liabilities at fair value through profit or loss

413

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. Fund

Less than 1 month

2-3 months

3 months to 1 year

Greater than 1 year

Total 31 December 2016

BNY Mellon Small Cap Euroland Fund EUR

EUR

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares

3,549 52,357 778,087 35,012,462

– – – –

3,549 52,357 778,087 35,012,462

Total financial liabilities

35,846,455

–

35,846,455

Futures Options Forward contracts

USD – 2,075 133,336,713

USD 229,232 21,088 –

USD – – –

USD 229,232 23,163 133,336,713

Financial liabilities at fair value through profit or loss

133,338,788

250,320

–

133,589,108

145,443 74,446 817,923 78,908,389

– – – –

145,443 74,446 817,923 78,908,389

213,284,989

250,320

–

213,535,309

BNY Mellon Targeted Return Bond Fund

Liabilities Margin on derivative contracts Accrued expenses Other payables Redeemable participating shares Total financial liabilities BNY Mellon U.S. Dynamic Value Fund

USD

Liabilities Accrued expenses Other payables Redeemable participating shares

164,814 1,532,035 139,942,788

– – –

164,814 1,532,035 139,942,788

Total financial liabilities

141,639,637

–

141,639,637

BNY Mellon US Opportunities Fund USD

USD

Liabilities Accrued expenses Other payables Redeemable participating shares

43,809 227,920 31,689,172

– – –

43,809 227,920 31,689,172

Total financial liabilities

31,960,901

–

31,960,901

Redeemable shares are redeemed on demand at the holders’ option. However, the Directors do not envisage that the contractual maturity will be representative of the actual cash outﬂows, as holders of these instruments typically retain them for the medium to long term. In order to manage the Company’s overall liquidity and to facilitate an orderly disposition of securities, the Directors are able to refuse to repurchase any shares in excess of one tenth of the shares in issue in a Fund on any one valuation day by way of the provisions in the prospectus.

414

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. LIQUIDITY RISK cont’d. The number of investors that held more than 10% of the net assets at trading valuation of the Fund at the end of the ﬁnancial year are as follows: Fund BNY Mellon Absolute Insight Fund* BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Bond Fund* BNY Mellon Asian Equity Fund BNY Mellon Asian Income Fund BNY Mellon Brazil Equity Fund BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund* BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Emerging Markets Debt Total Return Fund* BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Bond Fund BNY Mellon Global Credit Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Leaders Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Property Securities Fund* BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon Global Unscontrained Fund* BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon Pan European Equity Fund* BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund* BNY Mellon U.S. High Yield Beta Fund* BNY Mellon U.S. Municipal Infrastructure Debt Fund* BNY Mellon US Opportunities Fund

31 December 2017

31 December 2016

N/A 1 1 3 N/A 2 2 1 3 2 1 2 3 2 2 1 2 1 2 2 4 1 1 2 3 3 – N/A 1 2 2 2 1 2 1 2 1 N/A 3 3 1 2 2 1 3 1

2 1 1 N/A 3 2 2 2 2 N/A 2 2 2 2 N/A 1 2 2 2 3 3 1 2 2 2 4 1 1 1 1 2 3 N/A 3 1 3 1 2 3 3 1 1 N/A N/A N/A 1

* Please refer to Note 19 of the ﬁnancial statements.

415

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. NUMBER OF SHAREHOLDERS The Company did not have less than 10 redeemable participating shareholders at the end of the ﬁnancial year.

CAPITAL RISK MANAGEMENT The capital of the Funds is represented by the net assets at the end of the ﬁnancial year. The amount of net assets can change signiﬁcantly on a daily basis as the Funds are subject to daily subscriptions and redemptions at the discretion of shareholders. The Funds’ objective when managing capital is to safeguard the Funds’ ability to continue as a going concern in order to provide returns for shareholders and beneﬁts for other stakeholders and to maintain a strong capital base to support the development of the investment activities of the Funds. In order to maintain or adjust the capital structure, it is part of the Company’s policy to perform the following: -

The level of daily subscriptions and redemptions relative to the assets it expects to be able to liquidate is monitored and the amount of distributions payable to redeemable participating shareholders is adjusted accordingly. Redeemable participating shares are issued and redeemed in accordance with the prospectus and supplements of the Funds, which include the ability to restrict redemptions and requirement for certain minimum holdings and subscriptions.

FAIR VALUE ESTIMATION The Company has adopted the Amendments to FRS 102, “Fair Value Hierarchy Disclosures”, which are effective for accounting periods beginning on or after 1 January 2017. These amendments require the Company to categorise its fair value measurements into the following levels consistent with the fair value hierarchy set out in the International Financial Reporting Standards as adopted for use in the European Union. These amendments did not have any impact onthe Funds’ ﬁnancial position or performance. Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2: Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices). Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs). Instruments whose values are based on quoted market prices in active markets, and therefore classiﬁed within level1, include active listed equities, exchange traded funds and derivatives, highly liquid government bonds (G7 countries), certiﬁcate of deposit and other quoted securities. The Company does not adjust the quoted price for these instruments. Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classiﬁed within level 2. These include investment-grade government (non-G7 countries) and corporate bonds, over-the-counter derivatives, collective investment schemes, money market instruments, P-Notes and certain listed equities. As level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reﬂect illiquidity and/or non-transferability, which are generally based on available market information. Investments classiﬁed within level 3 have signiﬁcant unobservable inputs, as they trade infrequently. Level 3 instruments include leveraged loans and corporate debt securities. Unobservable inputs shall be used to measure fair value tothe extent that relevant observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. However, the fair value measurement objective remains the same, i.e. an exit price from the perspective of a market participant that holds the asset or owes the liability. Therefore, unobservable inputs shall reﬂect the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. The sensitivity of unobservable inputs used in the fair valuation of these level 3 securities is not readily determinable.

416

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. The following table provides an analysis of ﬁnancial instruments, as at 31 December 2017 that are measured at fair value in accordance with FRS 102. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Leveraged loans Options

EUR 295,483,950 – – – 13,138,306 – –

EUR 772,703,626 150,338,444 13,840,492 14,076,928 – 88,066,536 357,103

EUR 6,978,887 – – – – 47,902,105 –

EUR 1,075,166,463 150,338,444 13,840,492 14,076,928 13,138,306 135,968,641 357,103

Financial assets

308,622,256

1,039,383,129

54,880,992

1,402,886,377

Credit default swaps Forward contracts Futures Options

– – (20,246,938) –

(18,195,874) (4,073,622) – (95,721)

– – – –

(18,195,874) (4,073,622) (20,246,938) (95,721)

(20,246,938)

(22,365,217)

–

(42,612,155)

Bonds Certiﬁcate of deposits Collective investment schemes Commercial paper Equities Equity index swaps Equity swaps Floating rate notes Forward contracts Futures

GBP 49,979,000 680,311,043 – – 202,820,679 – – – – 2,596,737

GBP – – 214,447,435 185,370,772 – 7,091,928 56,601,812 424,869,979 5,503,179 –

GBP – – – – – – – – – –

GBP 49,979,000 680,311,043 214,447,435 185,370,772 202,820,679 7,091,928 56,601,812 424,869,979 5,503,179 2,596,737

Financial assets

935,707,459

893,885,105

–

1,829,592,564

Equity index swaps Equity swaps Forward contracts Futures

– – – (1,887,761)

(6,269,368) (32,188,171) (1,418,089) –

– – – –

(6,269,368) (32,188,171) (1,418,089) (1,887,761)

Financial liabilities

(1,887,761)

(39,875,628)

–

(41,763,389)

Equities Forward contracts P-Notes

USD 11,827,528 – –

USD 271,879 7,021 1,056,490

USD – – –

USD 12,099,407 7,021 1,056,490

Financial assets

11,827,528

1,335,390

–

13,162,918

Forward contracts

–

(669)

–

(669)

Financial liabilities

–

(669)

–

(669)

BNY Mellon Absolute Return Bond Fund

Financial liabilities BNY Mellon Absolute Return Equity Fund

BNY Mellon Asia Rising Stars Fund*

417

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities Forward contracts

USD 68,926,622 –

USD – 1

USD – –

USD 68,926,622 1

Financial assets

68,926,622

–

68,926,623

Forward contracts

–

(178)

–

(178)

Financial liabilities

–

(178)

–

(178)

GBP – –

GBP 21,726,827 4,338

GBP – –

GBP 21,726,827 4,338

Financial assets

–

21,731,165

–

21,731,165

Forward contracts

–

(280)

–

(280)

Financial liabilities

–

(280)

–

(280)

Equities Forward contracts Warrants

USD 37,785,102 – –

USD 27,484,285 39,717 24,964

USD – – –

USD 65,269,387 39,717 24,964

Financial assets

37,785,102

27,548,966

–

65,334,068

Forward contracts

–

(116)

–

(116)

Financial liabilities

–

(116)

–

(116)

Bonds Collective investment schemes Forward contracts Futures Options

USD 19,157,136 2,595,408 – 252,815 1,553,763

USD – – 62,924 – –

USD – – – – –

USD 19,157,136 2,595,408 62,924 252,815 1,553,763

Financial assets

23,559,122

62,924

–

23,622,046

Forward contracts Futures

– (246,810)

(155,537) –

– –

(155,537) (246,810)

Financial liabilities

(246,810)

(155,537)

–

(402,347)

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund Collective investment schemes Forward contracts

BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

418

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Equities Futures Options

USD 8,546,194 35,777,650 92,356 2,750,432

USD – – – –

USD 8,546,194 35,777,650 92,356 2,750,432

Financial assets

47,166,632

–

47,166,632

USD – – –

USD 319,577,003 16,853,107 1,133,121

USD – – –

USD 319,577,003 16,853,107 1,133,121

Financial assets

–

337,563,231

–

337,563,231

Forward contracts

–

(213,543)

–

(213,543)

–

(213,543)

–

(213,543)

USD – –

USD 71,664,662 120,930

USD – –

USD 71,664,662 120,930

Financial assets

–

71,785,592

–

71,785,592

Forward contracts

–

(36,523)

–

(36,523)

–

(36,523)

–

(36,523)

Bonds Forward contracts Options

USD 9,325,917 – –

USD 920,339,862 13,205,664 509,757

USD – – –

USD 929,665,779 13,205,664 509,757

Financial assets

9,325,917

934,055,283

–

943,381,200

Forward contracts Options

– –

(14,359,202) (96,361)

– –

(14,359,202) (96,361)

Financial liabilities

–

(14,455,563)

–

(14,455,563)

BNY Mellon Dynamic U.S. Equity Fund*

BNY Mellon Emerging Markets Corporate Debt Fund Bonds Collective investment schemes Forward contracts

Financial liabilities BNY Mellon Emerging Markets Debt Fund Bonds Forward contracts

Financial liabilities BNY Mellon Emerging Markets Debt Local Currency Fund

419

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Forward contracts Options

USD 299,387 – –

USD 67,216,214 536,178 37,961

USD – – –

USD 67,515,601 536,178 37,961

Financial assets

299,387

67,790,353

–

68,089,740

– –

(629,899) (7,177)

– –

(629,899) (7,177)

–

(637,076)

–

(637,076)

USD – – –

USD 54,823,997 4,415,000 170,965

USD – – –

USD 54,823,997 4,415,000 170,965

Financial assets

–

59,409,962

–

59,409,962

Forward contracts

–

(177,487)

–

(177,487)

Financial liabilities BNY Mellon Euroland Bond Fund

–

(177,487)

–

(177,487)

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Interest rate swaps Leveraged loans Options

EUR 222,610,582 – – – 1,748,240 – – 129,899

EUR 604,726,002 25,575,491 1,331,474 5,177,165 – 51,704 1,731,328 1,608,424

EUR – – – – – – – –

EUR 827,336,584 25,575,491 1,331,474 5,177,165 1,748,240 51,704 1,731,328 1,738,323

Financial assets

224,488,721

640,201,588

–

864,690,309

Credit default swaps Forward contracts Futures Interest rate swaps Options

– – (1,590,427) – –

(930,831) (4,361,685) – (302,026) (185,625)

– – – – –

(930,831) (4,361,685) (1,590,427) (302,026) (185,625)

Financial liabilities

(1,590,427)

(5,780,167)

–

(7,370,594)

BNY Mellon Emerging Markets Debt Opportunistic Fund

Forward contracts Options Financial liabilities BNY Mellon Emerging Markets Debt Total Return Fund* Bonds Collective investment schemes Forward contracts

420

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Options

EUR – – – – 33,532 –

EUR 85,648,782 5,673,415 34,793 107,911 – 18,007

EUR – – – – – –

EUR 85,648,782 5,673,415 34,793 107,911 33,532 18,007

Financial assets

33,532

91,482,908

–

91,516,440

Credit default swaps Forward contracts Futures Options

– – (47,993) –

(133,006) (2,545) – (5,146)

– – – –

(133,006) (2,545) (47,993) (5,146)

(47,993)

(140,697)

–

(188,690)

Bonds Forward contracts Options

USD 180,462,260 – 595,500

USD 208,141,582 2,438,335 –

USD – – –

USD 388,603,842 2,438,335 595,500

Financial assets

181,057,760

210,579,917

–

391,637,677

Forward contracts

–

(2,030,891)

–

(2,030,891)

Financial liabilities BNY Mellon Global Credit Fund

–

(2,030,891)

–

(2,030,891)

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Options

USD 16,538,300 – – – 328,860 –

USD 410,810,657 19,956,526 1,056,874 9,517,751 – 176,500

USD – – – – – –

USD 427,348,957 19,956,526 1,056,874 9,517,751 328,860 176,500

Financial assets

16,867,160

441,518,308

–

458,385,468

Credit default swaps Forward contracts Futures Options

– – (983,909) –

(2,637,974) (1,663,239) – (91,418)

– – – –

(2,637,974) (1,663,239) (983,909) (91,418)

Financial liabilities

(983,909)

(4,392,631)

–

(5,376,540)

BNY Mellon European Credit Fund

Financial liabilities BNY Mellon Global Bond Fund

421

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Forward contracts Futures Options

USD 136,806,695 – 128,285 972,000

USD 532,005,237 4,817,662 – –

USD – – – –

USD 668,811,932 4,817,662 128,285 972,000

Financial assets

137,906,980

536,822,899

–

674,729,879

– (82,142)

(4,451,456) –

– –

(4,451,456) (82,142)

(82,142)

(4,451,456)

–

(4,533,598)

Equities Forward contracts

USD 79,246,492 –

USD 489,869 14,715

USD – –

USD 79,736,361 14,715

Financial assets

79,246,492

504,584

–

79,751,076

Forward contracts

–

(137)

–

(137)

Financial liabilities BNY Mellon Global Equity Fund

–

(137)

–

(137)

Equities Forward contracts

USD 297,283,976 –

USD 1,765,227 9,409

USD – –

USD 299,049,203 9,409

Financial assets

297,283,976

1,774,636

–

299,058,612

–

(60)

–

(60)

–

(60)

–

(60)

Equities Forward contracts

USD 977,195,090 –

USD – 4,202,204

USD – –

USD 977,195,090 4,202,204

Financial assets

977,195,090

4,202,204

–

981,397,294

Forward contracts

–

(4,105,146)

–

(4,105,146)

Financial liabilities

–

(4,105,146)

–

(4,105,146)

BNY Mellon Global Dynamic Bond Fund

Forward contracts Futures Financial liabilities BNY Mellon Global Emerging Markets Fund

Forward contracts Financial liabilities BNY Mellon Global Equity Income Fund

422

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Forward contracts Leveraged loans

USD – 1,067,426 – –

USD 96,339,734 – 607,631 1,253,223

USD – – – –

USD 96,339,734 1,067,426 607,631 1,253,223

Financial assets

1,067,426

98,200,588

–

99,268,014

Forward contracts

–

(296,085)

–

(296,085)

Financial liabilities BNY Mellon Global Leaders Fund

–

(296,085)

–

(296,085)

Equities Forward contracts

USD 61,257,807 –

USD – 8,676

USD – –

USD 61,257,807 8,676

Financial assets

61,257,807

8,676

–

61,266,483

Bonds Forward contracts Futures Leveraged loans Options

USD 12,525,711 – 243,919 – 13,406

USD 60,639,554 703,606 – 2,260,184 239,322

USD 448,936 – – – –

USD 73,614,201 703,606 243,919 2,260,184 252,728

Financial assets

12,783,036

63,842,666

448,936

77,074,638

– (90,309) – –

(1,444,900) – (64,144) (25,365)

– – – –

(1,444,900) (90,309) (64,144) (25,365)

(90,309)

(1,534,409)

–

(1,624,718)

Bonds Equities Forward contracts Options

USD 4,971,525 68,235,678 – 106,475

USD – – 122,588 –

USD – – – –

USD 4,971,525 68,235,678 122,588 106,475

Financial assets

73,313,678

122,588

–

73,436,266

Forward contracts

–

(16,373)

–

(16,373)

Financial liabilities

–

(16,373)

–

(16,373)

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Opportunistic Bond Fund

Forward contracts Futures Interest rate swaps Options Financial liabilities BNY Mellon Global Opportunities Fund

423

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

EUR 444,559,862 83,055,265 2,147,587,727 – 3,648,986 2,650,904

EUR 773,142,691 139,327,398 – 60,488,744 – –

EUR – – – – – –

EUR 1,217,702,553 222,382,663 2,147,587,727 60,488,744 3,648,986 2,650,904

2,681,502,744

972,958,833

–

3,654,461,577

– (11,835,391) (29,678)

(19,792,431) – –

– – –

(19,792,431) (11,835,391) (29,678)

(11,865,069)

(19,792,431)

–

(31,657,500)

Bonds Collective investment schemes Equities Forward contracts Futures Options

GBP 7,711,253 1,452,553 37,300,369 – 63,631 44,708

GBP 13,652,300 2,407,696 – 915,514 – –

GBP – – – – – –

GBP 21,363,553 3,860,249 37,300,369 915,514 63,631 44,708

Financial assets

46,572,514

16,975,510

–

63,548,024

– (203,536) (488)

(265,496) – –

– – –

(265,496) (203,536) (488)

(204,024)

(265,496)

–

(469,520)

Bonds Collective investment schemes Equities Forward contracts Futures Options

USD 64,667,992 12,244,200 314,853,201 – 551,965 391,622

USD 115,725,771 22,436,943 – 865,934 – –

USD – – – – – –

USD 180,393,763 34,681,143 314,853,201 865,934 551,965 391,622

Financial assets

392,708,980

139,028,648

–

531,737,628

Forward contracts Futures Options

– (1,748,474) (4,400)

(7,423,623) – –

– – –

(7,423,623) (1,748,474) (4,400)

Financial liabilities

(1,752,874)

(7,423,623)

–

(9,176,497)

BNY Mellon Global Real Return Fund (EUR) Bonds Collective investment schemes Equities Forward contracts Futures Options Financial assets Forward contracts Futures Options Financial liabilities BNY Mellon Global Real Return Fund (GBP)

Forward contracts Futures Options Financial liabilities BNY Mellon Global Real Return Fund (USD)

424

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Equities Forward contracts Futures Leveraged loans

USD – – 1,398,193 – 61,432 –

USD 619,780,815 41,287,535 – 3,900,683 – 14,657,306

USD – – – – – 7,061,711

USD 619,780,815 41,287,535 1,398,193 3,900,683 61,432 21,719,017

Financial assets

1,459,625

679,626,339

7,061,711

688,147,675

–

(3,183,581)

–

(3,183,581)

–

(3,183,581)

–

(3,183,581)

Bonds Collective investment schemes Equities Forward contracts

USD 5,485,721 975,072 11,862,670 –

USD 203,761 – – 483,976

USD – – – –

USD 5,689,482 975,072 11,862,670 483,976

Financial assets

18,323,463

687,737

–

19,011,200

Equities Forward contracts

JPY 4,913,298,400 –

JPY – 234,920

JPY – –

JPY 4,913,298,400 234,920

Financial assets

4,913,298,400

234,920

–

4,913,533,320

Forward contracts

–

(1,894,253)

–

(1,894,253)

Financial liabilities

–

(1,894,253)

–

(1,894,253)

Real estate investment trust

JPY 1,650,710,350

JPY –

JPY 1,650,710,350

Financial assets

1,650,710,350

–

1,650,710,350

Equities Forward contracts

JPY 7,784,648,150 –

JPY – 24,672,227

JPY – –

JPY 7,784,648,150 24,672,227

Financial assets

7,784,648,150

24,672,227

–

7,809,320,377

Forward contracts

–

(1,276,013)

–

(1,276,013)

Financial liabilities

–

(1,276,013)

–

(1,276,013)

BNY Mellon Global Short-Dated High Yield Bond Fund

Forward contracts Financial liabilities BNY Mellon Global Unconstrained Fund*

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund

425

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities

EUR 1,256,704,979

EUR –

EUR 1,256,704,979

Financial assets

1,256,704,979

–

1,256,704,979

–

(5,751)

–

(5,751)

–

(5,751)

–

(5,751)

Bonds Equities

USD 35,916 82,217,821

USD – –

USD 35,916 82,217,821

Financial assets

82,253,737

–

82,253,737

(1,304)

–

(1,304)

–

(1,304)

Equities

EUR 102,300,541

EUR 1,193,318

EUR –

EUR 103,493,859

Financial assets

102,300,541

1,193,318

–

103,493,859

(33,345)

–

(33,345)

–

(33,345)

Bonds Forward contracts Futures Options

USD 15,812,934 – 254,105 15,125

USD 70,230,031 1,440,342 – 266,739

USD 523,678 – – –

USD 86,566,643 1,440,342 254,105 281,864

Financial assets

16,082,164

71,937,112

523,678

88,542,954

– (83,250) – –

(1,672,967) – (65,303) (27,647)

– – – –

(1,672,967) (83,250) (65,303) (27,647)

(83,250)

(1,765,917)

–

(1,849,167)

Collective investment schemes Equities

USD 613,917 101,621,766

USD – –

USD 613,917 101,621,766

Financial assets

102,235,683

–

102,235,683

BNY Mellon Long-Term Global Equity Fund

Forward contracts Financial liabilities BNY Mellon S&P 500® Index Tracker

Futures Financial liabilities BNY Mellon Small Cap Euroland Fund

Futures Financial liabilities BNY Mellon Targeted Return Bond Fund

Forward contracts Futures Interest rate swaps Options Financial liabilities BNY Mellon U.S. Dynamic Value Fund

426

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities Forward contracts

USD 233,957,086 –

USD 3,749,018 12,049

USD – –

USD 237,706,104 12,049

Financial assets

233,957,086

3,761,067

–

237,718,153

USD – – –

USD 24,360,360 82,822 7,266

USD – – –

USD 24,360,360 82,822 7,266

–

24,450,448

–

24,450,448

USD – –

USD 163,347,790 499,752

USD – –

USD 163,347,790 499,752

Financial assets

–

163,847,542

–

163,847,542

Forward contracts

–

(3,055)

–

(3,055)

Financial liabilities

–

(3,055)

–

(3,055)

Collective investment schemes Equities

USD 550,317 91,357,013

USD – –

USD 550,317 91,357,013

Financial assets

91,907,330

–

91,907,330

BNY Mellon U.S. Equity Income Fund*

BNY Mellon U.S. High Yield Beta Fund* Bonds Credit default swaps Forward contracts Financial assets BNY Mellon U.S. Municipal Infrastructure Debt Fund* Bonds Forward contracts

BNY Mellon US Opportunities Fund

* Please refer to Note 19 of the ﬁnancial statements.

427

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. The following table provides an analysis of ﬁnancial instruments, as at 31 December 2016 that were measured at fair value in accordance with FRS 102. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Certiﬁcate of deposits Collective investment schemes Commercial paper Credit default swaps Equities Equity index swaps Equity swaps Floating rate notes Forward contracts Futures Leveraged loans Options

EUR 21,458,709 2,000,482 – – – 1,833,518 – – – – 119,077 – 234,344

EUR 22,435,137 – 7,029,409 1,500,435 253,034 170,246 1,100 633,739 7,336,914 475,785 – 735,288 211,708

EUR 802,520 – – – – – – – 520,685 – – 197,393 –

EUR 44,696,366 2,000,482 7,029,409 1,500,435 253,034 2,003,764 1,100 633,739 7,857,599 475,785 119,077 932,681 446,052

Financial assets

25,646,130

40,782,795

1,520,598

67,949,523

Credit default swaps Equity index swaps Equity swaps Forward contracts Futures Options

– – – – (95,431) (235,381)

(92,724) (175,842) (448,962) (1,268,639) – (125,397)

– – – – – –

(92,724) (175,842) (448,962) (1,268,639) (95,431) (360,778)

Financial liabilities

(330,812)

(2,111,564)

–

(2,442,376)

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Leveraged loans Options

EUR 544,069,191 – – – 8,760,528 – –

EUR 1,151,278,361 178,516,529 5,791,911 3,381,848 – 14,387,276 1,021,171

EUR 19,370,125 – – – – 58,475,647 –

EUR 1,714,717,677 178,516,529 5,791,911 3,381,848 8,760,528 72,862,923 1,021,171

Financial assets

552,829,719

1,354,377,096

77,845,772

1,985,052,587

Credit default swaps Forward contracts Futures Options

– – (7,820,046) –

(10,625,097) (47,943,411) – (426,203)

– – – –

(10,625,097) (47,943,411) (7,820,046) (426,203)

Financial liabilities

(7,820,046)

(58,994,711)

–

(66,814,757)

BNY Mellon Absolute Insight Fund

BNY Mellon Absolute Return Bond Fund

428

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Certiﬁcate of deposits Collective investment schemes Commercial paper Equities Equity index swaps Equity swaps Floating rate notes Forward contracts

GBP 1,023,363,190 – – 231,120,316 – – – –

GBP – 226,979,296 252,064,172 – 193,529 70,691,865 448,541,017 43,852,740

GBP – – – – – – – –

GBP 1,023,363,190 226,979,296 252,064,172 231,120,316 193,529 70,691,865 448,541,017 43,852,740

Financial assets

1,254,483,506

1,042,322,619

–

2,296,806,125

Equity index swaps Equity swaps Forward contracts Futures

– – – (2,789,288)

(21,640,183) (53,208,971) (1,085,753) –

– – – –

(21,640,183) (53,208,971) (1,085,753) (2,789,288)

Financial liabilities

(2,789,288)

(75,934,907)

–

(78,724,195)

Bonds Forward contracts Futures

USD 64,884 – 7,844

USD 25,091,179 35,124 –

USD – – –

USD 25,156,063 35,124 7,844

Financial assets

72,728

25,126,303

–

25,199,031

Forward contracts Futures

– (14,576)

(2,855) –

– –

(2,855) (14,576)

Financial liabilities

(14,576)

(2,855)

–

(17,431)

Equities

USD 70,481,225

USD 1,848,866

USD –

USD 72,330,091

Financial assets

70,481,225

1,848,866

–

72,330,091

Forward contracts

–

(11)

–

(11)

Financial liabilities

–

(11)

–

(11)

GBP – –

GBP 17,847,250 1,627

GBP – –

GBP 17,847,250 1,627

Financial assets

–

17,848,877

–

17,848,877

Forward contracts

–

(10)

–

(10)

Financial liabilities

–

(10)

–

(10)

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asian Bond Fund

BNY Mellon Asian Equity Fund

BNY Mellon Asian Income Fund Collective investment schemes Forward contracts

429

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities Forward contracts

USD 37,292,285 –

USD 41,885,514 2,239

USD – –

USD 79,177,799 2,239

Financial assets

37,292,285

41,887,753

–

79,180,038

Forward contracts

–

(6,295)

–

(6,295)

Financial liabilities

–

(6,295)

–

(6,295)

Bonds Collective investment schemes Forward contracts Futures Options

USD 11,893,885 1,569,644 – 207,249 1,535,730

USD – – 143,580 – –

USD – – – – –

USD 11,893,885 1,569,644 143,580 207,249 1,535,730

Financial assets

15,206,508

143,580

–

15,350,088

Forward contracts Futures

– (148,319)

(92,633) –

– –

(92,633) (148,319)

Financial liabilities

(148,319)

(92,633)

–

(240,952)

Bonds Collective investment schemes Forward contracts Futures

USD – – – 6,530

USD 157,109,596 13,406,035 70,565 –

USD – – – –

USD 157,109,596 13,406,035 70,565 6,530

Financial assets

6,530

170,586,196

–

170,592,726

Forward contracts

–

(41,868)

–

(41,868)

Financial liabilities

–

(41,868)

–

(41,868)

USD – –

USD 59,856,214 612

USD – –

USD 59,856,214 612

Financial assets

–

59,856,826

–

59,856,826

Forward contracts

–

(1,019)

–

(1,019)

Financial liabilities

–

(1,019)

–

(1,019)

BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund

BNY Mellon Emerging Markets Corporate Debt Fund

BNY Mellon Emerging Markets Debt Fund Bonds Forward contracts

430

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Forward contracts Options

USD 16,766,415 – –

USD 801,973,324 5,330,637 2,241

USD – – –

USD 818,739,739 5,330,637 2,241

Financial assets

16,766,415

807,306,202

–

824,072,617

Forward contracts Options

– –

(18,731,022) (1,687,806)

– –

(18,731,022) (1,687,806)

Financial liabilities

–

(20,418,828)

–

(20,418,828)

Bonds Forward contracts Options

USD 254,566 – –

USD 64,932,447 428,046 154

USD – – –

USD 65,187,013 428,046 154

Financial assets

254,566

65,360,647

–

65,615,213

Forward contracts Options

– –

(598,370) (123,495)

– –

(598,370) (123,495)

Financial liabilities

–

(721,865)

–

(721,865)

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Options

EUR 334,986,829 – – – 5,872,058 –

EUR 959,277,187 33,406,331 1,408,407 8,853,761 – 257

EUR – – – – – –

EUR 1,294,264,016 33,406,331 1,408,407 8,853,761 5,872,058 257

Financial assets

340,858,887

1,002,945,943

–

1,343,804,830

Credit default swaps Forward contracts Futures Interest rate swaps Options

– – (1,576,752) – –

(1,471,456) (7,509,478) – (660,344) (354,623)

– – – – –

(1,471,456) (7,509,478) (1,576,752) (660,344) (354,623)

Financial liabilities

(1,576,752)

(9,995,901)

–

(11,572,653)

BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund

BNY Mellon Euroland Bond Fund

431

06571-1C.indd 431

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Credit default swaps Forward contracts Futures

EUR – – – – 71,968

EUR 78,038,088 4,303,868 54,725 25,260 –

EUR 805,932 – – – –

EUR 78,844,020 4,303,868 54,725 25,260 71,968

Financial assets

71,968

82,421,941

805,932

83,299,841

Credit default swaps Forward contracts Futures

– – (48,633)

(70,015) (414,872) –

– – –

(70,015) (414,872) (48,633)

Financial liabilities

(48,633)

(484,887)

–

(533,520)

Bonds Forward contracts Options

USD 257,702,604 – 226,359

USD 215,443,327 2,103,316 –

USD – – –

USD 473,145,931 2,103,316 226,359

Financial assets

257,928,963

217,546,643

–

475,475,606

Forward contracts

–

(3,856,815)

–

(3,856,815)

Financial liabilities

–

(3,856,815)

–

(3,856,815)

Bonds Collective investment schemes Credit default swaps Forward contracts Futures Options

USD 23,333,447 – – – 423,470 –

USD 348,008,468 29,113,649 381,209 6,423,009 – 87,727

USD 1,944,968 – – – – –

USD 373,286,883 29,113,649 381,209 6,423,009 423,470 87,727

Financial assets

23,756,917

384,014,062

1,944,968

409,715,947

Credit default swaps Forward contracts Futures Options

– – (375,700) –

(664,699) (7,591,825) – (36,867)

– – – –

(664,699) (7,591,825) (375,700) (36,867)

Financial liabilities

(375,700)

(8,293,391)

–

(8,669,091)

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund

432

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Forward contracts Options

USD 61,507,934 12,314,905 – 201,148

USD 273,878,777 – 4,405,739 –

USD – – – –

USD 335,386,711 12,314,905 4,405,739 201,148

Financial assets

74,023,987

278,284,516

–

352,308,503

Forward contracts

–

(503,022)

–

(503,022)

Financial liabilities

–

(503,022)

–

(503,022)

Equities Forward contracts

USD 29,750,393 –

USD – 186

USD – –

USD 29,750,393 186

Financial assets

29,750,393

186

–

29,750,579

Forward contracts

–

(166)

–

(166)

Financial liabilities

–

(166)

–

(166)

Equities Forward contracts

USD 246,410,689 –

USD – 288,439

USD – –

USD 246,410,689 288,439

Financial assets

246,410,689

288,439

–

246,699,128

Forward contracts

–

(303,083)

–

(303,083)

Financial liabilities

–

(303,083)

–

(303,083)

Equities Forward contracts

USD 671,649,083 –

USD – 326,694

USD – –

USD 671,649,083 326,694

Financial assets

671,649,083

326,694

–

671,975,777

Forward contracts

–

(13,160)

–

(13,160)

Financial liabilities

–

(13,160)

–

(13,160)

BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund

BNY Mellon Global Equity Income Fund

433

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

USD – – –

USD 143,293,603 26,716 3,709,426

USD – – –

USD 143,293,603 26,716 3,709,426

Financial assets

–

147,029,745

–

147,029,745

Forward contracts

–

(338,282)

–

(338,282)

Financial liabilities

–

(338,282)

–

(338,282)

Equities

USD 27,564,304

USD –

USD 27,564,304

Financial assets

27,564,304

–

27,564,304

Forward contracts

–

(1,773)

–

(1,773)

Financial liabilities

–

(1,773)

–

(1,773)

Bonds Forward contracts Futures Interest rate swaps Leveraged loans Options

USD 17,696,166 – 469,500 – – –

USD 105,813,812 1,155,073 – 127,290 4,198,957 59

USD – – – – – –

USD 123,509,978 1,155,073 469,500 127,290 4,198,957 59

Financial assets

18,165,666

111,295,191

–

129,460,857

Forward contracts Futures Options

– (357,970) –

(1,918,251) – (117,205)

– – –

(1,918,251) (357,970) (117,205)

Financial liabilities

(357,970)

(2,035,456)

–

(2,393,426)

Bonds Equities Forward contracts

USD 8,201,332 96,413,335 –

USD – – 570,053

USD – – –

USD 8,201,332 96,413,335 570,053

Financial assets

104,614,667

570,053

–

105,184,720

Forward contracts

–

(384,937)

–

(384,937)

Financial liabilities

–

(384,937)

–

(384,937)

BNY Mellon Global High Yield Bond Fund Bonds Forward contracts Leveraged loans

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund

BNY Mellon Global Opportunities Fund

434

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities Forward contracts

EUR 21,164,576 –

EUR – 18

EUR – –

EUR 21,164,576 18

Financial assets

21,164,576

–

21,164,594

Forward contracts

–

(4,690)

–

(4,690)

Financial liabilities

–

(4,690)

–

(4,690)

Bonds Collective investment schemes Equities Forward contracts Options

EUR 907,970,917 248,385,151 2,053,619,020 – 3,284,016

EUR 541,031,886 155,185,553 – 23,324,103 –

EUR – – – – –

EUR 1,449,002,803 403,570,704 2,053,619,020 23,324,103 3,284,016

Financial assets

3,213,259,104

719,541,542

–

3,932,800,646

Forward contracts Futures

– (19,356,582)

(137,485,437) –

– –

(137,485,437) (19,356,582)

Financial liabilities

(19,356,582)

(137,485,437)

–

(156,842,019)

Bonds Collective investment schemes Equities Forward contracts Options

GBP 13,595,560 3,951,113 33,123,611 – 52,304

GBP 8,709,600 2,354,471 – 453,502 –

GBP – – – – –

GBP 22,305,160 6,305,584 33,123,611 453,502 52,304

Financial assets

50,722,588

11,517,573

–

62,240,161

Forward contracts Futures

– (314,166)

(90,570) –

– –

(90,570) (314,166)

Financial liabilities

(314,166)

(90,570)

–

(404,736)

Bonds Collective investment schemes Equities Forward contracts Options

USD 135,871,268 38,985,034 322,104,173 – 516,828

USD 87,071,184 23,914,895 – 15,464,311 –

USD – – – – –

USD 222,942,452 62,899,929 322,104,173 15,464,311 516,828

Financial assets

497,477,303

126,450,390

–

623,927,693

Forward contracts Futures

– (2,957,660)

(566,229) –

– –

(566,229) (2,957,660)

Financial liabilities

(2,957,660)

(566,229)

–

(3,523,889)

BNY Mellon Global Property Securities Fund

BNY Mellon Global Real Return Fund (EUR)

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

435

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Bonds Collective investment schemes Equities Forward contracts Leveraged loans

USD – – 2,588,551 – –

USD 415,837,232 1,945,000 – 2,178,023 21,296,275

USD – – – – –

USD 415,837,232 1,945,000 2,588,551 2,178,023 21,296,275

Financial assets

2,588,551

441,256,530

–

443,845,081

Forward contracts

–

(1,773,904)

–

(1,773,904)

Financial liabilities

–

(1,773,904)

–

(1,773,904)

Equities Forward contracts

JPY 2,258,689,330 –

JPY – 14,172,892

JPY – –

JPY 2,258,689,330 14,172,892

Financial assets

2,258,689,330

14,172,892

–

2,272,862,222

Forward contracts

–

(72,660)

–

(72,660)

Financial liabilities

–

(72,660)

–

(72,660)

Real estate investment trust

JPY 2,133,619,950

JPY –

JPY 2,133,619,950

Financial assets

2,133,619,950

–

2,133,619,950

Equities Forward contracts

JPY 2,660,423,400 –

JPY – 12,061,781

JPY – –

JPY 2,660,423,400 12,061,781

Financial assets

2,660,423,400

12,061,781

–

2,672,485,181

Forward contracts

–

(4,029)

–

(4,029)

Financial liabilities

–

(4,029)

–

(4,029)

Equities Forward contracts

EUR 1,262,788,522 –

EUR – 2,102

EUR – –

EUR 1,262,788,522 2,102

Financial assets

1,262,788,522

2,102

–

1,262,790,624

Forward contracts

–

(500)

–

(500)

Financial liabilities

–

(500)

–

(500)

BNY Mellon Global Short-Dated High Yield Bond Fund

BNY Mellon Japan All Cap Equity Fund

BNY Mellon Japan REIT Alpha Fund

BNY Mellon Japan Small Cap Equity Focus Fund

BNY Mellon Long-Term Global Equity Fund

436

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES cont’d. FAIR VALUE ESTIMATION cont’d. Fund Classification

Level 1

Level 2

Level 3

Total

Equities Forward contracts

EUR 1,871,059 –

EUR 54,795 23

EUR – –

EUR 1,925,854 23

Financial assets

1,871,059

54,818

–

1,925,877

Bonds Equities Forward contracts

USD 39,960 85,929,892 –

USD – – 225

USD – – –

USD 39,960 85,929,892 225

Financial assets

85,969,852

225

–

85,970,077

Futures

(3,034)

–

(3,034)

Financial liabilities

(3,034)

–

(3,034)

Equities Futures

EUR 34,052,231 1,006

EUR 487,545 –

EUR – –

EUR 34,539,776 1,006

Financial assets

34,053,237

487,545

–

34,540,782

Bonds Forward contracts Futures Interest rate swaps Options

USD 15,068,551 – 225,023 – –

USD 63,684,777 487,091 – 83,090 11

USD – – – – –

USD 78,753,328 487,091 225,023 83,090 11

Financial assets

15,293,574

64,254,969

–

79,548,543

Forward contracts Futures Options

– (229,232) –

(2,708,149) – (23,163)

– – –

(2,708,149) (229,232) (23,163)

Financial liabilities

(229,232)

(2,731,312)

–

(2,960,544)

Collective investment schemes Equities

USD 1,261,174 138,190,537

USD – –

USD 1,261,174 138,190,537

Financial assets

139,451,711

–

139,451,711

Collective investment schemes Equities

USD 31,675 31,490,008

USD – –

USD 31,675 31,490,008

Financial assets

31,521,683

–

31,521,683

BNY Mellon Pan European Equity Fund

BNY Mellon S&P 500® Index Tracker

BNY Mellon Small Cap Euroland Fund

BNY Mellon Targeted Return Bond Fund

BNY Mellon U.S. Dynamic Value Fund

BNY Mellon US Opportunites Fund

437

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

17. COMMITMENTS AND CONTINGENCIES There are no commitments or contingencies as at 31 December 2017 or 31 December 2016.

18. SEGREGATED LIABILITY The Company avails of the segregated liability provisions of Section 1405 (1) of the Companies Act 2014. As such, under Irish Law the Company generally will not be liable as a whole to third parties and there generally will not be the potential for cross liability between the Funds.

19. SIGNIFICANT EVENTS BNY Mellon Asia Rising Stars Fund launched on 10 January 2017. BNY Mellon U.S. Equity Income Fund launched on 17 January 2017. BNY Mellon Pan European Equity Fund closed on 9 March 2017. BNY Mellon U.S. Municipal Infrastructure Debt Fund launched on 19 April 2017. BNY Mellon Asian Bond Fund closed on 31 May 2017. With effect from 2 June 2017, BNY Mellon Global High Yield Bond Fund changed its benchmark from Bank of America Merrill Lynch Global High Yield Constrained Index to Bank of America Merrill Lynch Developed Markets High Yield Constrained Index; BNY Mellon Targeted Return Bond Fund reduced its expected range of minimum level of leverage from 500% to 1,000% to 100% to 1,000%; and BNY Mellon Global Opportunistic Bond Fund increased its expected minimum and maximum range of leverage from 0% to 200% to 100% to 1,000%. BNY Mellon Global Multi-Asset Income Fund was approved by the Central Bank on 2 August 2017. BNY Mellon Global Property Securities Fund was closed on 30 August 2017. The registered address of the Company, the Administrator and Depositary changed to One Dockland Central, Guild Street, IFSC, Dublin 1, D01E4X0 with effect from 1 September 2017. BNY Mellon U.S. High Yield Beta Fund was launched on 26 September 2017. BNY Mellon Dynamic U.S. Equity Fund was launched on 3 November 2017. With effect from 17 November 2017, BNY Mellon US Opportunities Fund reduced its stated holdings range from 40-60 to 30-60; BNY Mellon Asian Equity Fund may now enter into cross currency transactions for efﬁcient portfolio management purposes; all references to Centersquare Investment Management, Inc. were removed from the Prospectus following theclosure of BNY Mellon Global Property Securities Fund; and the maximum dilution adjustment for all Funds reduced from 3% to 2%. BNY Mellon Absolute Insight Fund was closed on 1 December 2017. BNY Mellon Global Unconstrained Fund was launched on 6 December 2017 BNY Mellon Emerging Markets Debt Total Return Fund was launched on 11 December 2017 Other than as disclosed above, there were no other signiﬁcant events affecting the Company during the ﬁnancial year.

438

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS BNY Mellon Multi-Asset High Income Fund was launched on 10 January 2018. From 31 January 2018, there will be changes resulting from the combining of three of the investment management boutiques appointed to manage Funds of the Company – The Boston Company Asset Management, LLC (“TBCAM”), Standish Mellon Asset Management Company, LLC (“Standish”) and Mellon Capital Management Corporation (“MCM”). BNY Mellon Asset Management North America Corporation will become the legal entity appointed as the investment manager for TBCAM and Standish managed Funds. In the case of the MCM managed Funds, the appointed investment manager will remain the same. However the name of the investment manager will also change to BNY Mellon Asset Management North America Corporation. The core investment team, philosophies and processes will remain substantially the same and there will be no change to the Funds’ investment objective or policy. The Company declared the following distributions on 2 January 2018 and 3 April 2018: Fund BNY Mellon Absolute Return Bond Fund

BNY Mellon Absolute Return Equity Fund

BNY Mellon Asia Rising Stars Fund* BNY Mellon Asian Equity Fund BNY Mellon Brazil Equity Fund

BNY Mellon Dynamic Total Return Fund BNY Mellon Dynamic U.S. Equity Fund*

BNY Mellon Emerging Markets Corporate Debt Fund

Share Class

Currency

2 January 2018

3 April 2018

Class C (Inc) Class D (Acc) Class R (Inc) Class S (Inc) Class T (Hedged) Sterling T (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged) Sterling X (Acc) (Hedged) Class Z (Acc) Class D (Acc) (Hedged) Class R (Inc) (Hedged) Sterling R (Acc) Sterling S (Acc) Class T (Hedged) Class U (Hedged) Class U (Inc) (Hedged) Sterling U (Acc) Sterling X (Acc) Class W (Acc) Class W (Acc) (Hedged) Sterling C (Inc) Sterling B (Acc) Sterling C (Inc) Sterling W (Acc) Class X (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class E (Acc) Sterling E (Acc) Class U (Acc) Class W (Acc) Sterling W (Acc) Class X (Acc) Class X (Inc) Class G (Acc) Class G (Inc)^ Class G (Acc) (Hedged) Class W (Acc) (Hedged)

EUR EUR EUR EUR CHF GBP EUR USD USD GBP GBP GBP EUR EUR EUR GBP GBP EUR USD EUR GBP GBP USD SGD GBP GBP GBP GBP USD USD USD USD USD GBP USD USD GBP USD USD USD USD EUR EUR

0.3041 0.2081 0.1306 0.3486 0.3600 0.3780 0.2713 0.2826 0.3587 0.2789 0.2715 0.5355 0.2925 0.0084 0.0335 0.0377 0.0441 0.0437 0.0415 0.0071 0.0455 0.0650 0.0078 0.0075 0.0042 0.0008 0.0061 0.0089 0.0065 0.0005 0.0006 0.0006 0.0012 0.0011 0.0003 0.0009 0.0009 0.0016 0.0016 0.6934 0.6819 0.1720

0.3479 0.3720 0.2347 0.3882 0.3767 0.4146 0.3165 0.3329 0.3981 0.3212 0.3181 0.6025 0.3381 1.0510 0.9562 1.0372 1.0893

439

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS cont’d. Fund BNY Mellon Emerging Markets Corporate Debt Fund cont’d.

BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund

BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Emerging Markets Debt Total Return Fund*

BNY Mellon Euroland Bond Fund

BNY Mellon European Credit Fund

BNY Mellon Global Bond Fund

BNY Mellon Global Credit Fund

Share Class

Currency

2 January 2018

3 April 2018

Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Class X Class C (Inc) Class H (Acc) (Hedged) Class A (Inc) Class A (Inc) Sterling A (Acc) Sterling B (Acc) Class C (Inc) Class C (Inc) Sterling C (Acc) Sterling C (Inc) Class G (Acc) Class G (Acc) (Hedged) Class I (Inc) (Hedged) Sterling J (Inc) (Hedged) Class W (Hedged) Class W (Inc) Class W (Inc) Sterling W (Inc) Sterling W (Inc) (Hedged) Class X (Inc) Class W (Acc) Class X (Inc) Class A (Acc) Class A (Inc) Class E (Inc)^ Sterling E (Acc) (Hedged)^ Class H (Acc) (Hedged) Class H (Inc) (Hedged)^ Class G (Inc) (Hedged)^ Class W (Acc) Class W (Acc) (Hedged) Sterling W (Acc) (Hedged)^ Class X (Acc) Class A (Inc) Class B (Inc) Class C (Inc) Class G (Acc) Class H (Acc) (Hedged) Class W (Acc) Class W (Acc) Class X Class X (Inc) Class C (Inc) Sterling C (Inc) Class W (Acc) Class W (Acc) Class B (Acc) Class C (Acc) Class H (Acc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Sterling W (Acc) (Hedged) Class X (Acc) Class X (Acc) (Hedged)

CHF EUR GBP USD USD EUR USD EUR GBP GBP USD EUR GBP GBP USD EUR EUR GBP EUR USD EUR GBP GBP CHF USD USD USD USD USD GBP EUR EUR EUR USD EUR GBP USD EUR EUR EUR EUR USD EUR EUR EUR EUR USD GBP EUR USD USD USD EUR USD EUR GBP USD CAD

1.1048 1.0540 1.4290 1.9450 0.0091 0.0106 0.0091 0.0123 0.0151 0.0162 0.0106 0.0126 0.0246 0.0155 0.0093 0.0113 0.0098 0.0088 0.0141 0.0109 0.0117 0.0126 0.0110 0.0123 0.0103 0.0175 0.0018 0.0018 0.0018 0.0018 0.0018 0.0018 0.0056 0.0064 0.0077 0.0041 0.0057 0.0061 0.2330 0.4296 0.3912 0.0037 0.0094 0.0071 0.0026 0.0183 0.0225 0.0151 0.0234 0.0211 0.0217 0.0283 0.0271

1.1559 1.0939 1.4984 2.0085 0.0096 0.0113 0.0094 0.0124 0.0153 0.0164 0.0110 0.0127 0.0249 0.0155 0.0162 0.0159 0.0102 0.0091 0.0148 0.0112 0.0118 0.0128 0.0113 0.0125 0.0175 0.0188 0.0141 0.0140 0.0002 0.0043 0.0138 0.0077 0.0077 0.0141 0.0138 0.0111 0.0141 0.0045 0.0053 0.0066 0.0050 0.0042 0.0054 0.2931 0.4997 0.0034 -

440

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS cont’d. Fund BNY Mellon Global Dynamic Bond Fund

BNY Mellon Global Emerging Markets Fund

BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund

BNY Mellon Global High Yield Bond Fund

BNY Mellon Global Leaders Fund

BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Real Return Fund (EUR)

Share Class

Currency

2 January 2018

3 April 2018

Class A (Inc) Class G (Acc) Class G (Acc) (Hedged) Class H (Inc) (Hedged) Class I (Hedged) Class I (Inc) (Hedged) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Class C (Acc) Class E (Acc) Class E (Acc) Class G (Acc) (Hedged) Class W (Acc) Class W (Inc) Class W (Inc) Class W (Acc) Class W (Acc) Class A Class A (Inc) Class A (Inc) Sterling A (Acc) Class B Class B Class B (Inc) Class B (Inc) Sterling B (Inc) Class C (Inc) Class C (Inc) Sterling C (Inc) Class H (Inc) (Hedged) Class I (Inc) (Hedged) Class W (Inc) Class W (Inc) Sterling W (Acc) Sterling W (Inc) Class Z (Acc) Class Z (Acc) Class Z (Inc) Class Z (Inc) Sterling Z (Inc) Class C (Inc) Class W (Acc) Class X (Inc) Class X (Inc) (Hedged) Class C (Acc) Class E (Acc) Sterling E (Acc) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) Sterling I (Acc) (Hedged) Class W (Acc) Class W (Acc) Class X Class A Class A (Inc)

USD USD EUR EUR EUR EUR CHF EUR GBP USD CHF USD EUR USD USD EUR EUR USD EUR USD EUR GBP EUR USD USD EUR GBP USD EUR GBP EUR EUR EUR USD GBP GBP USD EUR USD EUR GBP USD USD USD EUR USD USD GBP USD EUR EUR GBP GBP USD USD EUR EUR EUR

0.0029 0.0031 0.0030 0.0028 0.0045 0.0042 0.0051 0.0028 0.0052 0.0012 0.0057 0.0069 0.0001 0.0051 0.0034 0.0035 0.0088 0.0094 0.0566 0.0082 0.0069 0.0090 0.0123 0.0552 0.0098 0.0106 0.0113 0.0101 0.0104 0.0117 0.0072 0.0075 0.0093 0.0085 0.0119 0.0102 0.0084 0.0087 0.0077 0.0070 0.0090 0.0153 0.0097 0.0154 0.0147 0.0032 0.0028 0.0085 0.0060 0.0053 0.0053 0.0057 0.0101 0.0067 0.0018 0.0415 0.0094 0.0077

0.0030 0.0041 0.0040 0.0027 0.0042 0.0038 0.0047 0.0046 0.0049 0.0106 0.0069 0.0058 0.0075 0.0103 0.0105 0.0083 0.0088 0.0093 0.0086 0.0087 0.0096 0.0062 0.0064 0.0078 0.0073 0.0099 0.0084 0.0072 0.0073 0.0065 0.0058 0.0074 0.0150 0.0152 0.0151 0.0145 0.0098 0.0099 -

441

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS cont’d. Fund BNY Mellon Global Real Return Fund (EUR) cont’d.

BNY Mellon Global Real Return Fund (GBP)

BNY Mellon Global Real Return Fund (USD)

BNY Mellon Global Short-Dated High Yield Bond Fund

BNY Mellon Global Unconstrained Fund* BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund

BNY Mellon Multi-Asset High Income Fund**

Share Class

Currency

2 January 2018

3 April 2018

Class C Class C (Inc) Class G (Acc) Class G (Inc) Class W Class W (Acc) (Hedged) Class W (Inc) Class Z (Acc) Sterling B (Acc) Sterling B (Inc) Sterling C (Inc) Sterling W (Acc) Sterling W (Inc) Sterling X (Acc) Class A Class C Class C (Inc) Class W (Inc) Class A (Acc) Class A (Inc) Class C (Acc) Class G (Acc) Class G (Inc)^ Class G (Acc) (Hedged) Class G (Inc) (Hedged)^ Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class I (Acc) (Hedged) Class I (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Acc) (Hedged) Class W (Inc) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged)^ Class X (Acc) Class Y (Acc) Sterling Y (Acc) (Hedged) Class X (Acc) (Hedged) Sterling W (Acc) Class X (Inc) Class C (Acc) Class W (Inc) Class E (Acc) (Hedged) Sterling W (Acc) Sterling B (Inc) Sterling W (Acc) Class W (Inc) Sterling W (Inc) Sterling X Class A (Acc)^ Class A (Inc)^ Class A (Acc)^ Class A (Inc)^ Class H (Inc) (Hedged)^ Class W (Acc)^

EUR EUR EUR EUR EUR CHF EUR EUR GBP GBP GBP GBP GBP GBP USD USD USD USD USD USD USD USD USD EUR EUR EUR EUR EUR EUR USD EUR CHF USD EUR GBP GBP USD USD GBP CAD GBP JPY JPY JPY CHF GBP GBP GBP USD GBP GBP SGD SGD USD USD SGD USD

0.0162 0.0137 0.0022 0.0009 0.0177 0.0155 0.0010 0.0158 0.0070 0.0066 0.0115 0.0157 0.0147 0.0244 0.0116 0.0190 0.0157 0.0172 0.0106 0.0100 0.0120 0.0075 0.0073 0.0101 0.0098 0.0114 0.0109 0.0127 0.0119 0.0120 0.0120 0.0116 0.0121 0.0142 0.0142 0.0136 0.0005 0.0050 1.6800 0.6482 0.6908 0.0004 0.0099 0.0018 0.0156 0.0128 0.0151 0.0258 -

0.0109 0.0101 0.0123 0.0115 0.0069 0.0113 0.0069 0.0104 0.0099 0.0118 0.0112 0.0130 0.0122 0.0123 0.0121 0.0118 0.0125 0.0016 0.0145 0.0145 0.0139 0.5452 0.5900 0.0140 0.0140 0.0142 0.0142 0.0141 0.0142

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS cont’d. Fund BNY Mellon Multi-Asset High Income Fund** cont’d. BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund*

BNY Mellon U.S. High Yield Beta Fund*

BNY Mellon U.S. Municipal Infrastructure Debt Fund*

BNY Mellon US Opportunities Fund

Share Class

Currency

2 January 2018

3 April 2018

Class W (Inc)^ Class X (Inc)^ Class W (Acc) Sterling W (Acc) Class A (Acc) Sterling W (Acc) (Hedged) Class W (Acc) Class A (Acc) Class A (Inc) Class C (Acc) Class C (Inc) Class C (Inc) Class E (Inc) Class E (Inc) Sterling E (Acc) Sterling E (Inc) Sterling E (Inc) (Hedged) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class I (Inc) (Hedged) Class W (Acc) Class W (Inc) Sterling W (Inc) Class A (Inc) Class A (Inc) Class C (Acc) Class C (Acc) Class E (Acc) (Hedged) Class I (Acc) (Hedged) Class I (Inc) (Hedged) Class W (Acc) Class W (Inc) (Hedged) Class X (Acc) Class C (Acc) Class C (Inc) Class E (Acc) Class E (Acc) (Hedged) Class E (Acc) (Hedged) Class E (Inc) (Hedged) Sterling E (Acc) (Hedged) Sterling E (Inc) (Hedged) Class H (Acc) (Hedged) Class H (Inc) (Hedged) Class I (Acc) (Hedged) Class I (Inc) (Hedged) Sterling I (Acc) (Hedged) Sterling I (Inc) (Hedged) Class W (Acc) Class W (Acc) (Hedged) Class W (Inc) (Hedged) Sterling W (Acc) (Hedged) Sterling W (Inc) (Hedged) Class X (Acc) Class W (Acc)

USD USD EUR GBP USD GBP USD EUR EUR USD EUR USD EUR USD GBP GBP GBP EUR EUR EUR USD USD GBP EUR USD EUR USD EUR EUR EUR USD EUR USD USD EUR USD CHF EUR EUR GBP GBP EUR EUR EUR EUR GBP GBP USD EUR EUR GBP GBP USD USD

0.0001 0.0215 0.0056 0.0074 0.0010 0.0050 0.0049 0.0058 0.0050 0.0057 0.0051 0.0057 0.0053 0.0052 0.0055 0.0055 0.0054 0.0054 0.0058 0.0057 0.0052 0.0123 0.0126 0.0142 0.0144 0.0141 0.0141 0.0141 0.0145 0.0141 0.0132 0.0173 0.0153 0.0045 0.0046 0.0167 0.0165 0.0166 0.0165 0.0166 0.0165 0.0166 0.0165 0.0166 0.0165 0.0174 0.0167 0.0165 0.0166 0.0165 0.0105 0.0001

0.0142 0.0142 0.0058 0.0078 0.0051 0.0050 0.0059 0.0050 0.0058 0.0052 0.0058 0.0053 0.0052 0.0056 0.0056 0.0055 0.0056 0.0060 0.0059 0.0052 0.0139 0.0144 0.0141 0.0146 0.0143 0.0143 0.0141 0.0146 0.0141 0.0146 -

* Please refer to Note 19 of the ﬁnancial statements. ** Please refer to Note 20 of the ﬁnancial statements. ^ This share class was launched in the ﬁrst quarter of 2018.

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BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SUBSEQUENT EVENTS cont’d. The Company declared the following distributions on 3 January 2018 and 4 April 2018: Fund BNY Mellon Asian Income Fund

Share Class

Currency

3 January 2018

4 April 2018

Class A (Acc) Class A (Acc) Class A (Inc) Class B (Acc) Class C (Acc) Sterling C (Acc) Class H (Inc) (Hedged) Class W (Inc) Class W (Inc) Sterling W (Inc)

EUR USD EUR USD USD GBP EUR EUR USD GBP

0.0094 0.0084 0.0086 0.0084 0.0089 0.0104 0.0075 0.0091 0.0080 0.0099

0.0111 0.0101 0.0101 0.0108 0.0121 0.0087 0.0107 0.0096 0.0114

BNY Mellon Crossover Credit Fund, BNY Mellon Emerging Markets Equity Core Fund, BNY Mellon Emerging Markets Equity Fund and BNY Mellon Emerging Markets Equity Local Currency Investment Grade Debt Fund were revoked by the Central Bank on 28 February 2018. Jonathan Lubran became an independent Director of the Company, effective 29 March 2018. Other than as disclosed above, there were no other signiﬁcant events affecting the Company since the ﬁnancial year end.

21. APPROVAL OF FINANCIAL STATEMENTS The ﬁnancial statements were approved by the Directors on 18 April 2018.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS BNY Mellon Absolute Insight Fund* for the financial year ended 31 December 2017 Major Purchases Insight Liquidity Funds Plc - EUR Cash Fund Netherlands Government Bond 144A 4.500% 15-Jul-2017 France Treasury Bill BTF 0.000% 11-May-2017 France Treasury Bill BTF 0.000% 15-Nov-2017 Finland Government Bond 144A 3.875% 15-Sep-2017 French Republic Government Bond OAT 0.000% 25-Feb-2018 France Treasury Bill BTF 0.000% 17-Aug-2017 France Treasury Bill BTF 0.000% 23-Aug-2017 France Treasury Bill BTF 0.000% 06-Dec-2017 France Treasury Bill BTF 0.000% 20-Sep-2017 France Treasury Bill BTF 0.000% 09-Aug-2017 France Treasury Bill BTF 0.000% 01-Mar-2017 French Republic Government Bond OAT 4.250% 25-Oct-2017 France Treasury Bill BTF 0.000% 22-Nov-2017 Bundesschatzanweisungen 0.000% 15-Dec-2017 Bundesobligation 0.750% 24-Feb-2017 France Treasury Bill BTF 0.000% 13-Sep-2017 France Treasury Bill BTF 0.000% 18-Oct-2017 France Treasury Bill BTF 0.000% 27-Sep-2017 Republic of Austria Government Bond 4.650% 15-Jan-2018 Dutch Treasury Certificate 0.000% 30-Nov-2017 France Treasury Bill BTF 0.000% 04-Oct-2017 Republic of Austria Government Bond 4.300% 15-Sep-2017 French Treasury Note BTAN 1.000% 25-Jul-2017 France Treasury Bill BTF 0.000% 30-Aug-2017 French Treasury Note BTAN 1.750% 25-Feb-2017

Nominal

Cost EUR

12,347,847 7,100,000 6,250,000 6,090,000 5,550,000 5,600,000 5,500,000 5,450,000 5,380,000 5,290,000 5,250,000 5,100,000 4,040,000 4,100,000 4,050,000 3,800,000 3,030,000 3,000,000 3,000,000 2,850,000 2,750,000 2,700,000 2,580,000 2,500,000 2,500,000 2,180,000

12,290,500 7,241,148 6,257,271 6,095,167 5,656,061 5,615,469 5,502,891 5,451,293 5,383,207 5,293,262 5,257,321 5,106,827 4,140,639 4,101,902 4,050,939 3,805,624 3,031,110 3,001,148 3,000,685 2,900,901 2,750,915 2,701,726 2,587,869 2,516,725 2,501,398 2,184,538

Nominal

Proceeds EUR

17,581,338 8,480,000 7,100,000 6,250,000 6,090,000 5,650,000 5,600,000 5,550,000 5,500,000 5,450,000 5,380,000 5,290,000 5,250,000 5,100,000 5,000,000 4,500,000 4,100,000 4,040,000 4,050,000 3,800,000 3,700,000 3,030,000 3,000,000 3,000,000 2,850,000 2,750,000 2,700,000 2,580,000

17,490,454 8,480,000 7,100,920 6,250,954 6,090,604 5,656,827 5,612,037 5,550,000 5,500,250 5,450,000 5,381,122 5,290,000 5,250,000 5,100,000 5,000,000 4,525,056 4,100,495 4,077,156 4,050,608 3,800,000 3,700,000 3,030,000 3,000,000 3,000,000 2,874,173 2,750,093 2,700,000 2,580,000

Major Sales and Maturities

Nominal

Proceeds EUR

Insight Liquidity Funds Plc - EUR Cash Fund Class 2 French Republic Government Bond OAT 1.250% 25-May-2036 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 French Republic Government Bond OAT 0.500% 25-May-2026 United States Treasury Inflation Indexed Bonds 1.375% 15-Feb-2044 Insight Global Funds II plc - Insight Emerging Markets Debt Fund Bundesrepublik Deutschland Bundesanleihe 2.500% 15-Aug-2046 Insight Liquidity Funds Plc - EUR Cash Fund Class 6 United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 French Republic Government Bond OAT 1.750% 25-May-2066 United Kingdom Gilt 2.500% 22-Jul-2065 Nationwide Building Society 02-Nov-2018 FRN JPMorgan Chase Bank NA 0.000% 14-Jun-2018 FRN Lloyds Bank Plc 21-Aug-2017 FRN ABN AMRO Bank NV 03-Jul-2017 FRN Societe Generale SA 22-Jul-2018 FRN Credit Suisse AG/London 0.011% 30-Mar-2017 FRN Morgan Stanley 0.171% 03-Dec-2019 FRN Goldman Sachs Group Inc/The 0.371% 18-Dec-2017 FRN Bank of America Corp 0.471% 19-Jun-2019 FRN

354,817,141 352,861,492 224,767,000 213,635,318 244,936,565 203,331,990 112,139,000 107,492,157 95,359,934 96,772,120 5,926,740 92,440,254 61,825,000 86,153,756 84,802,535 84,328,900 92,858,802 79,310,764 82,537,000 73,809,993 40,044,000 60,259,657 59,577,000 59,911,075 53,455,000 53,609,929 51,500,000 51,533,165 47,300,000 47,361,490 39,900,000 40,070,044 39,200,000 39,200,000 38,117,000 38,250,862 37,400,000 37,483,834 34,310,000 34,733,823

Major Sales and Maturities Insight Liquidity Funds Plc - EUR Cash Fund French Treasury Note BTAN 1.750% 25-Feb-2017 Netherlands Government Bond 144A 4.500% 15-Jul-2017 France Treasury Bill BTF 0.000% 11-May-2017 France Treasury Bill BTF 0.000% 15-Nov-2017 Finland Government Bond 1.875% 15-Apr-2017 French Republic Government Bond OAT 0.000% 25-Feb-2018 Finland Government Bond 144A 3.875% 15-Sep-2017 France Treasury Bill BTF 0.000% 17-Aug-2017 France Treasury Bill BTF 0.000% 23-Aug-2017 France Treasury Bill BTF 0.000% 06-Dec-2017 France Treasury Bill BTF 0.000% 20-Sep-2017 France Treasury Bill BTF 0.000% 09-Aug-2017 France Treasury Bill BTF 0.000% 01-Mar-2017 Bundesrepublik Deutschland 3.750% 04-Jan-2017 French Republic Government Bond 3.750% 25-Apr-2017 France Treasury Bill BTF 0.000% 22-Nov-2017 French Republic Government Bond OAT 4.250% 25-Oct-2017 Bundesschatzanweisungen 0.000% 15-Dec-2017 Bundesobligation 0.750% 24-Feb-2017 Netherlands Government Bond 2.500% 15-Jan-2017 France Treasury Bill BTF 0.000% 13-Sep-2017 France Treasury Bill BTF 0.000% 27-Sep-2017 France Treasury Bill BTF 0.000% 18-Oct-2017 Republic of Austria Government Bond 4.650% 15-Jan-2018 Dutch Treasury Certificate 0.000% 30-Nov-2017 France Treasury Bill BTF 0.000% 04-Oct-2017 Republic of Austria Government Bond 4.300% 15-Sep-2017

* Please refer to Note 19 of the financial statements.

BNY Mellon Absolute Return Bond Fund for the financial year ended 31 December 2017 Cost EUR

Major Purchases

Nominal

Insight Liquidity Funds Plc - EUR Cash Fund Class 2 French Republic Government Bond OAT 1.250% 25-May-2036 United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 Insight Liquidity Funds Plc - EUR Cash Fund Class 6 Bundesrepublik Deutschland Bundesanleihe 2.500% 15-Aug-2046 French Republic Government Bond OAT 1.750% 25-May-2066 Insight Global Funds II plc - Insight Emerging Markets Debt Fund United Kingdom Gilt 2.500% 22-Jul-2065 Australia & New Zealand Banking Group Ltd 144A 1.936% 19-Aug-2020 FRN Sumitomo Mitsui Trust Bank Ltd 144A 06-Mar-2019 FRN Westpac Banking Corp 06-Mar-2020 FRN Bank of America Corp 26-Jul-2019 FRN Bank of America Corp 0.484% 19-Jun-2019 FRN UBS AG/London 144A 2.103% 08-Jun-2020 FRN Canadian Imperial Bank of Commerce 1.653% 05-Oct-2020 FRN Morgan Stanley 03-Dec-2019 FRN Goldman Sachs Group Inc/The 0.131% 31-Dec-2018 FRN Banque Federative du Credit Mutuel SA 1.853% 20-Jul-2020 FRN Santander UK Plc 22-May-2019 FRN

357,642,415 355,630,522 224,767,000 210,119,968 189,865,214 166,256,830 110,691,461 90,285,885 84,802,535 84,376,430 61,825,000 82,567,288 82,537,000 73,020,872 3,994,979 64,855,338 40,044,000 60,953,828 45,460,000 41,440,268 41,991,000 39,707,481 41,960,000 39,382,524 37,446,000 37,665,431 34,310,000 34,734,467 36,026,000 32,085,836 36,700,000 31,154,483 29,696,000 29,801,604 28,900,000 28,956,355 29,428,000 25,823,070 25,312,000 25,537,731

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Absolute Return Equity Fund for the financial year ended 31 December 2017 Cost GBP

Major Purchases

Nominal

Insight Liquidity Funds Plc - GBP Liquidity Fund United Kingdom Gilt 1.000% 07-Sep-2017 UBS AG 0.530% 04-May-2018 CD BNP Paribas London Branch 0.450% 03-Oct-2017 CD BNP Paribas London Branch 0.450% 04-Jan-2018 CD BNP Paribas SA 0.230% 03-Nov-2017 CD BNP Paribas SA 0.420% 04-Dec-2017 CD Sumitomo Mitsui Trust Bank Ltd 0.500% 09-Jan-2018 CD The Bank of Tokyo-Mitsubishi Ltd 0.410% 01-Dec-2017 CD The Bank of Tokyo-Mitsubishi UFJ 0.510% 16-Apr-2018 CD Toronto-Dominion Bank 0.230% 13-Dec-2017 CD Mitsubishi UFJ Trust and Banking Corp 0.000% 01-Nov-2017 CD United Kingdom Treasury Bill 0.000% 26-Feb-2018 Sumitomo Mitsui Banking Corp 0.000% 06-Feb-2018 CD Mitsubishi UFJ Trust and Banking Corp 0.000% 01-Aug-2017 CD Agence Centrale des Organismes de Securite Sociale 0.000% 07-Nov-2017 CP Sumitomo Mitsui Banking Corp 0.000% 06-Nov-2017 CD Erste Abwicklungsanstalt 0.000% 25-Aug-2017 CP Regie Autonome Des Transports Parisiens 0.000% 18-Apr-2017 CP Svenska Handelsbanken 0.000% 12-Feb-2018 CD

823,117,230 822,935,587 115,000,000 115,164,750 50,000,000 50,002,786 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 49,964,737 50,000,000 49,953,195 50,000,000 49,930,781 50,000,000 49,871,400 45,000,000 44,998,170 45,000,000 44,989,745 42,000,000 41,964,129 42,000,000 41,963,383 41,000,000 41,000,000

Proceeds GBP

Major Sales and Maturities

Nominal

Insight Liquidity Funds Plc - GBP Liquidity Fund United Kingdom Gilt 1.000% 07-Sep-2017 BNP Paribas London Branch 0.300% 03-Jan-2017 CD BNP Paribas London Branch 0.330% 03-Apr-2017 CD Mitsubishi UFJ Trust and Banking Corp 0.400% 01-Feb-2017 CD FMS Wertmanagement AoeR 0.000% 21-Mar-2017 CP Sumitomo Mitsui Banking Corp 0.000% 07-Mar-2017 CD ABN AMRO Bank NV 0.500% 08-May-2017 CD Banque Federative du Credit Mutuel SA 0.410% 01-Feb-2017 CD BNP Paribas London Branch 0.450% 03-Oct-2017 CD BNP Paribas SA 0.230% 03-Nov-2017 CD BNP Paribas SA 0.420% 04-Dec-2017 CD Danske Bank A/S 0.520% 09-May-2017 CD ING Bank NV 0.420% 08-Mar-2017 CD Mitsubishi UFJ Trust and Banking Corp 0.000% 01-Aug-2017 CD Mitsubishi UFJ Trust and Banking Corp 0.000% 01-Nov-2017 CD Norinchukin Bank 0.000% 28-Feb-2017 CD The Bank of Tokyo-Mitsubishi Ltd 0.410% 01-Dec-2017 CD Toronto-Dominion Bank 0.230% 13-Dec-2017 CD Societe Generale 0.380% 31-Jan-2017 CD

792,835,474 792,835,474 115,000,000 115,000,000 54,100,000 54,100,000 54,100,000 54,100,000 53,000,000 53,000,000 51,000,000 51,000,000 51,000,000 51,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 47,500,000 47,500,000

BNY Mellon Asia Rising Stars Fund* for the financial year ended 31 December 2017 Major Purchases Resorttrust Inc Vector Inc TechMatrix Corp Sanken Electric Co Ltd Anritsu Corp Sakata INX Corp Wacom Co Ltd Nichias Corp Dowa Holdings Co Ltd Osaki Electric Co Ltd Anicom Holdings Inc BayCurrent Consulting Inc Nifco Inc/Japan Nippon Gas Co Ltd Open Door Inc Star Micronics Co Ltd RS Technologies Co Ltd Itokuro Inc eGuarantee Inc Sanyo Chemical Industries Ltd HIS Co Ltd Persol Holdings Co Ltd Leopalace21 Corp CyberAgent Inc Atrae Inc Penta-Ocean Construction Co Ltd Zenkoku Hosho Co Ltd PAL GROUP Holdings Co Ltd Tomy Co Ltd Ain Holdings Inc SK Telecom Co Ltd South Indian Bank Ltd/The P-Note 21-Jan-2019 Yonex Co Ltd

Nominal

Cost USD

14,900 24,700 14,200 53,000 29,500 16,500 72,600 22,000 26,000 20,000 10,300 7,700 3,800 6,900 7,400 14,000 3,700 6,700 7,900 4,100 6,800 10,700 29,600 6,700 2,900 33,100 4,800 6,100 14,800 2,200 789 509,992 16,100

284,162 272,393 248,893 247,238 229,321 221,051 219,772 216,733 212,008 210,871 208,949 204,310 203,285 202,678 199,110 194,744 191,565 189,079 184,431 182,827 182,097 178,037 172,567 169,416 168,949 165,512 165,402 161,845 160,341 154,837 150,659 147,984 144,047

Major Sales CyberAgent Inc Persol Holdings Co Ltd Open Door Inc Leopalace21 Corp Yageo Corp SJM Holdings Ltd Rizal Commercial Banking Corp PAL GROUP Holdings Co Ltd Cogent Holdings Ltd/Singapore TechMatrix Corp Wacom Co Ltd BGF Co Ltd Emperador Inc NetEase Inc ADR Robinsons Retail Holdings Inc Padini Holdings Bhd Sobha Ltd P-Note 25-Aug-2021 Century Plyboards India Ltd P-Note 01-Jun-2021 LG Household & Health Care Ltd Sanyo Chemical Industries Ltd QAF Ltd BreadTalk Group Ltd HSIL Ltd P-Note 12-Oct-2021 KPIT Technologies Ltd P-Note 14-Jan-2019 Supreme Industries Ltd P-Note 13-Jan-2022 Rallis India Ltd P-Note 16-Jan-2019 South Indian Bank Ltd/The P-Note 21-Jan-2019 Tata Consultancy Services Ltd P-Note 26-Sep-2018 Vector Inc Cycle & Carriage Bintang Bhd Lii Hen Industries BHD Hyundai Mobis Co Ltd TAKE Solutions Limited P Note 27-Feb-2019 Nichias Corp Advancecon Holdings Bhd Monsanto India Ltd P-Note 04-Feb-2019 SK Telecom Co Ltd

Nominal

Proceeds USD

6,700 10,700 3,300 29,600 42,200 155,000 124,610 6,100 191,800 8,800 26,000 1,070 793,100 360 52,580 111,700 12,970 25,000 111 1,800 78,400 71,600 13,500 37,949 4,293 19,649 160,000 1,742 4,300 90,300 70,000 225 25,000 5,000 195,000 1,206 180

238,760 203,496 158,613 157,381 147,993 147,955 144,421 144,252 140,694 133,986 131,332 114,735 114,302 106,608 106,309 105,909 96,249 92,141 90,990 85,506 82,897 79,946 79,083 76,594 76,132 74,758 69,440 65,655 62,710 56,599 50,829 50,796 50,538 49,244 46,698 46,442 45,948

* Please refer to Note 19 of the financial statements. 446

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BNY Mellon Asian Bond Fund* for the financial year ended 31 December 2017 Major Purchases United States Treasury Note/Bond 1.250% 31-Mar-2019 United States Treasury Note/Bond 1.875% 31-Mar-2022 United States Treasury Note/Bond 2.250% 15-Feb-2027 United States Treasury Note/Bond 3.000% 15-Feb-2047 United States Treasury Bill 0.000% 03-Aug-2017 ICBCIL Finance Co Ltd 3.375% 05-Apr-2022 CK Hutchison International (17) Ltd 3.500% 05-Apr-2027 Indonesia Government International Bond 5.250% 08-Jan-2047 Pakistan Government International Bond 8.250% 15-Apr-2024 BPRL International Singapore Pte Ltd 4.375% 18-Jan-2027 Sri Lanka Government Bonds 11.000% 01-Aug-2024 Perusahaan Penerbit SBSN Indonesia III 4.150% 29-Mar-2027 Malaysia Government Bond 3.900% 30-Nov-2026 Sinopec Group Overseas Development 2017 Ltd 3.625% 12-Apr-2027 Tencent Holdings Ltd 3.800% 11-Feb-2025 CIFI Holdings Group Co Ltd 5.500% 23-Jan-2022 GOHL Capital Limited 4.250% 24-Jan-2027 Reliance Industries Ltd 4.125% 28-Jan-2025 HPCL-Mittal Energy Limited 5.250% 28-Apr-2027 Vedanta Resources Plc 6.375% 30-Jul-2022

Nominal

Cost USD

9,800,000 7,080,000 7,040,000 1,180,000 600,000 500,000 500,000 440,000 400,000 400,000 50,000,000 300,000 1,250,000 280,000 250,000 250,000 250,000 250,000 250,000 250,000

9,798,469 7,090,447 7,001,991 1,184,962 598,620 499,805 497,820 459,314 445,700 404,284 305,078 300,000 278,895 278,188 257,563 254,850 254,425 253,248 250,000 250,000

Nominal

Proceeds USD

United States Treasury Note/Bond 1.250% 31-Mar-2019 9,800,000 United States Treasury Note/Bond 1.875% 31-Mar-2022 7,080,000 United States Treasury Note/Bond 2.250% 15-Feb-2027 7,040,000 United States Treasury Note/Bond 3.000% 15-Feb-2047 1,180,000 CNPC General Capital Ltd 2.700% 25-Nov-2019 750,000 CNOOC Nexen Finance 2014 ULC 4.250% 30-Apr-2024 710,000 Tencent Holdings Ltd 3.800% 11-Feb-2025 650,000 Reliance Industries Ltd 4.125% 28-Jan-2025 650,000 United States Treasury Bill 0.000% 03-Aug-2017 600,000 Sinopec Group Overseas Development 2016 Ltd 2.000% 29-Sep-2021 600,000 Indonesia Treasury Bond 8.375% 15-Sep-2026 6,840,000,000 Philippine Government International Bond 4.200% 21-Jan-2024 510,000 Indonesia Government International Bond 4.750% 08-Jan-2026 500,000 King Power Capital Ltd 3.875% 03-Nov-2019 500,000 China Cinda Finance 2014 Ltd 4.000% 14-May-2019 500,000 Azure Orbit II International Finance Ltd 3.375% 25-Apr-2019 500,000 Huarong Finance II Co Ltd 3.750% 19-Nov-2020 500,000 MCE Finance Ltd 5.000% 15-Feb-2021 500,000 CK Hutchison International (17) Ltd 3.500% 05-Apr-2027 500,000 Beijing State-Owned Assets Management Hong Kong 3.000% 26-May-2020 500,000

9,793,603 7,091,734 7,005,163 1,188,696 757,110 741,514 670,134 660,534 598,692 579,966 559,310 557,768 532,910 512,855 512,100 510,198 507,650 505,800 500,465 500,400

Major Sales

* Please refer to Note 19 of the financial statements.

BNY Mellon Asian Equity Fund for the financial year ended 31 December 2017 Major Purchases Vakrangee Ltd Samsung SDI Co Ltd China Biologic Products Holdings Inc Amcor Ltd/Australia JD.com Inc ADR Indiabulls Housing Finance Ltd China Harmony New Energy Auto Holding Ltd LIC Housing Finance Ltd Samsung Electronics Co Ltd Hollysys Automation Technologies Ltd Tencent Holdings Ltd Silergy Corp ITC Ltd 3SBio Inc 144A China Biologic Products Inc Sands China Ltd Reliance Nippon Life Asset Management Ltd 144A SK Hynix Inc Applied Materials Inc Taiwan Semiconductor Manufacturing Co Ltd AIA Group Ltd Dexus Alibaba Group Holding Ltd ADR CSL Ltd Fisher & Paykel Healthcare Corp Ltd Tarena International Inc ADR Apollo Hospitals Enterprise Ltd Welspun India Ltd Kidman Resources Ltd Cipla Ltd/India Hindustan Unilever Ltd

Nominal

Cost USD

636,179 23,455 19,185 154,029 41,487 96,659 2,499,500 141,646 653 68,053 30,645 46,000 193,368 602,500 7,593 173,600 175,155 14,370 13,636 108,000 82,200 84,473 3,948 5,036 57,490 26,616 23,194 349,356 379,402 42,267 21,775

3,737,803 3,224,899 2,011,065 1,771,985 1,674,175 1,661,716 1,418,363 1,335,325 1,292,899 1,157,777 945,240 896,131 831,708 826,775 802,627 774,939 762,771 755,834 752,121 728,708 594,918 570,929 540,477 513,327 464,993 451,820 437,178 427,508 413,082 371,913 366,733

Major Sales Tencent Holdings Ltd Alibaba Group Holding Ltd ADR Vakrangee Ltd IHH Healthcare Bhd Taiwan Semiconductor Manufacturing Co Ltd Universal Robina Corp China Biologic Products Holdings Inc Samsung Electronics Co Ltd Sands China Ltd AIA Group Ltd Apollo Hospitals Enterprise Ltd ITC Ltd Baidu Inc ADR Orora Ltd Bangkok Dusit Medical Services PCL Indofood CBP Sukses Makmur Tbk PT Man Wah Holdings Ltd Energy Development Corp Maruti Suzuki India Ltd CSL Ltd Oil Search Ltd Indiabulls Housing Finance Ltd Samsung SDI Co Ltd GT Capital Holdings Inc China Mobile Ltd LIC Housing Finance Ltd Spark New Zealand Ltd Insurance Australia Group Ltd 3SBio Inc 144A Fortis Healthcare Ltd Domino's Pizza Enterprises Ltd MYOB Group Ltd Amcor Ltd/Australia Samsung Biologics Co Ltd

Nominal

Proceeds USD

115,590 26,091 341,892 1,877,900 351,000 854,100 24,627 1,037 466,800 291,000 110,212 430,800 8,741 770,776 2,930,500 2,733,500 1,941,200 12,742,800 13,648 12,694 237,273 67,011 6,941 47,960 102,500 106,518 394,000 202,085 571,500 320,448 19,899 259,543 56,985 2,700

4,926,252 3,937,912 2,890,250 2,620,439 2,584,527 2,574,300 2,472,226 2,342,756 2,184,645 2,148,447 1,994,654 1,884,542 1,837,632 1,742,340 1,725,999 1,707,385 1,701,750 1,698,635 1,502,707 1,298,028 1,287,178 1,283,171 1,182,575 1,134,530 1,103,207 1,078,129 1,012,986 988,552 902,480 806,678 775,834 705,349 701,626 671,613

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Asian Income Fund for the financial year ended 31 December 2017 Major Purchases BNY Mellon Investments Funds - Newton Asian Income Fund

Nominal

Cost GBP

1,460,057

3,320,000

Major Sales BNY Mellon Investments Funds - Newton Asian Income Fund

Nominal

Proceeds GBP

353,536

814,000

As detailed in the Prospectus, the Fund is established as a feeder fund which invests in Newton Asian Income Fund (the “Master Fund”), a sub-fund of BNY Mellon Investments Funds, on a permanent basis. Hence, the above constitutes the full purchases and sales detail for the Fund during the financial year.

BNY Mellon Brazil Equity Fund for the financial year ended 31 December 2017 Major Purchases Petroleo Brasileiro SA ADR Atacadao Distribuicao Comercio e Industria Ltda Itau Unibanco Holding SA Pfd ADR Gerdau SA ADR Banco Bradesco SA ADR Vale SA ADR B2W Cia Digital Usinas Siderurgicas de Minas Gerais SA Pfd Petrobras Distribuidora SA Embraer SA ADR Cia Energetica de Sao Paulo Pfd Cia Brasileira de Distribuicao Pfd Ambev SA ADR Cia Paranaense de Energia ADR Banco do Brasil SA Telefonica Brasil SA ADR Metalurgica Gerdau SA Pfd B3 SA - Brasil Bolsa Balcao EDP - Energias do Brasil SA Marfrig Global Foods SA Itausa - Investimentos Itau SA Pfd Vale SA Pfd ADR Ultrapar Participacoes SA ADR Iochpe Maxion SA Engie Brasil Energia SA AES Tiete Energia SA Eletropaulo Metropolitana Eletricidade de Sao Paulo SA Pfd Lojas Americanas SA Santos Brasil Participacoes SA B2W Cia Digital Cosan SA Industria e Comercio

Nominal

Cost USD

553,050 990,924 239,800 662,100 202,500 166,800 335,176 938,331 358,101 61,700 285,900 57,900 205,800 134,800 119,000 75,500 639,600 161,500 217,200 402,700 250,200 74,600 30,100 133,696 51,800 140,592 129,700 118,973 602,000 131,208 38,500

4,997,083 4,770,011 2,899,256 2,498,371 2,112,389 1,750,737 1,667,835 1,656,850 1,607,324 1,335,686 1,332,197 1,258,933 1,254,058 1,244,191 1,182,413 1,145,564 1,087,061 1,083,058 993,910 852,945 848,449 701,543 680,503 621,347 586,670 582,298 565,699 532,144 518,545 463,744 462,387

Major Sales Petroleo Brasileiro SA ADR Itau Unibanco Holding SA Pfd ADR Metalurgica Gerdau SA Pfd Itausa - Investimentos Itau SA Pfd Banco Bradesco SA ADR Usinas Siderurgicas de Minas Gerais SA Pfd Ambev SA ADR Cia Paranaense de Energia ADR Cia Brasileira de Distribuicao Pfd B2W Cia Digital Banco Bradesco SA Pfd Banco do Brasil SA Gerdau SA ADR Telefonica Brasil SA ADR Ultrapar Participacoes SA ADR B3 SA - Brasil Bolsa Balcao Vale SA ADR Atacadao Distribuicao Comercio e Industria Ltda CETIP SA - Mercados Organizados Embraer SA ADR EDP - Energias do Brasil SA Klabin SA Vale SA Pfd Marfrig Global Foods SA Cia Energetica de Sao Paulo Pfd Petroleo Brasileiro SA Pfd Itau Unibanco Holding SA Pfd Engie Brasil Energia SA CPFL Energia SA Iochpe Maxion SA Eletropaulo Metropolitana Eletricidade de Sao Paulo SA Pfd Gerdau SA Pfd Lojas Americanas SA Lojas Americanas SA Pfd Santos Brasil Participacoes SA Vale SA Marcopolo SA Pfd Cosan SA Industria e Comercio

Nominal

Proceeds USD

679,520 372,800 2,776,100 1,049,700 282,346 1,656,571 365,700 244,400 91,500 375,200 215,421 196,000 563,400 130,100 83,489 276,700 166,800 368,000 112,108 82,500 371,000 330,640 190,100 689,000 292,200 270,800 105,400 115,394 152,399 224,726 255,732 322,600 221,800 191,100 1,034,300 77,600 877,453 66,000

6,046,755 4,570,797 4,332,696 3,239,313 2,852,342 2,588,056 2,194,549 2,068,676 2,052,130 2,049,973 2,037,103 2,004,907 2,000,318 1,929,761 1,882,831 1,824,893 1,783,268 1,757,456 1,754,729 1,696,414 1,604,499 1,486,069 1,477,510 1,441,362 1,369,104 1,305,950 1,291,678 1,272,054 1,265,129 1,244,807 1,196,070 980,199 948,844 944,284 872,926 806,917 745,930 743,020

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Dynamic Total Return Fund for the financial year ended 31 December 2017 Major Purchases United States Treasury Bill 0.000% 21-Dec-2017 United States Treasury Bill 0.000% 19-Apr-2018 United States Treasury Bill 0.000% 15-Jun-2017 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 05-Oct-2017 United States Treasury Bill 0.000% 01-Feb-2018 United States Treasury Bill 0.000% 10-Aug-2017 United States Treasury Bill 0.000% 29-Jun-2017 United States Treasury Bill 0.000% 14-Dec-2017 United States Treasury Bill 0.000% 12-Apr-2018 United States Treasury Bill 0.000% 03-Aug-2017 United States Treasury Bill 0.000% 30-Nov-2017 United States Treasury Bill 0.000% 29-Mar-2018 United States Treasury Bill 0.000% 24-Aug-2017 United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 20-Jul-2017 United States Treasury Bill 0.000% 25-May-2017 United States Treasury Bill 0.000% 16-Nov-2017 United States Treasury Bill 0.000% 15-Mar-2018 United States Treasury Bill 0.000% 22-Jun-2017 United States Treasury Bill 0.000% 19-Oct-2017 United States Treasury Bill 0.000% 15-Feb-2018 United States Treasury Bill 0.000% 17-Aug-2017 United States Treasury Bill 0.000% 12-Oct-2017 United States Treasury Bill 0.000% 08-Feb-2018 United States Treasury Bill 0.000% 06-Jul-2017 United States Treasury Bill 0.000% 02-Nov-2017 United States Treasury Bill 0.000% 07-Dec-2017 United States Treasury Bill 0.000% 08-Mar-2018 United States Treasury Bill 0.000% 08-Jun-2017 United States Treasury Bill 0.000% 27-Apr-2017 United States Treasury Bill 0.000% 20-Apr-2017

Nominal

Cost USD

2,556,000 2,556,000 2,534,000 2,161,000 2,089,000 2,089,000 2,022,000 2,022,000 2,022,000 2,022,000 1,987,000 1,987,000 1,987,000 1,979,000 1,979,000 1,869,000 1,869,000 1,869,000 1,869,000 1,769,000 1,769,000 1,769,000 1,591,000 1,539,000 1,539,000 1,370,000 1,370,000 1,240,000 1,230,000 1,124,000 990,000 737,000

2,547,237 2,544,471 2,529,498 2,152,898 2,084,088 2,081,718 2,019,990 2,017,777 2,014,989 2,013,281 1,982,656 1,980,205 1,978,662 1,973,803 1,971,692 1,866,690 1,865,973 1,862,485 1,861,219 1,766,054 1,762,921 1,762,600 1,586,901 1,533,773 1,533,483 1,366,667 1,365,293 1,234,059 1,226,020 1,122,096 988,921 736,270

Major Sales and Maturities United States Treasury Bill 0.000% 21-Dec-2017 United States Treasury Bill 0.000% 15-Jun-2017 United States Treasury Bill 0.000% 05-Oct-2017 United States Treasury Bill 0.000% 29-Jun-2017 United States Treasury Bill 0.000% 10-Aug-2017 United States Treasury Bill 0.000% 14-Dec-2017 United States Treasury Bill 0.000% 03-Aug-2017 United States Treasury Bill 0.000% 30-Nov-2017 United States Treasury Bill 0.000% 27-Apr-2017 United States Treasury Bill 0.000% 24-Aug-2017 United States Treasury Bill 0.000% 26-Jan-2017 United States Treasury Bill 0.000% 25-May-2017 United States Treasury Bill 0.000% 20-Jul-2017 United States Treasury Bill 0.000% 16-Nov-2017 United States Treasury Bill 0.000% 22-Jun-2017 United States Treasury Bill 0.000% 19-Oct-2017 United States Treasury Bill 0.000% 20-Apr-2017 United States Treasury Bill 0.000% 17-Aug-2017 United States Treasury Bill 0.000% 12-Oct-2017 United States Treasury Bill 0.000% 02-Mar-2017 United States Treasury Bill 0.000% 09-Mar-2017 United States Treasury Bill 0.000% 06-Jul-2017 United States Treasury Bill 0.000% 02-Nov-2017 United States Treasury Bill 0.000% 06-Apr-2017 United States Treasury Bill 0.000% 07-Dec-2017 United States Treasury Bill 0.000% 23-Feb-2017 United States Treasury Bill 0.000% 09-Feb-2017 United States Treasury Bill 0.000% 16-Feb-2017 United States Treasury Bill 0.000% 08-Jun-2017 United States Treasury Bill 0.000% 16-Mar-2017

Nominal

Proceeds USD

2,556,000 2,534,000 2,089,000 2,022,000 2,022,000 2,022,000 1,987,000 1,987,000 1,979,000 1,979,000 1,869,000 1,869,000 1,869,000 1,869,000 1,769,000 1,769,000 1,591,000 1,591,000 1,539,000 1,370,000 1,370,000 1,370,000 1,370,000 1,308,000 1,240,000 1,141,000 1,124,000 1,124,000 1,124,000 1,090,000

Nominal

Proceeds USD

2,700,000 2,650,000 2,650,000 2,650,000 1,700,000 1,700,000 1,700,000 1,700,000 1,700,000 1,700,000 76 10,000 74 79 33 26 14 76 8 6

2,690,254 2,650,000 2,649,957 2,649,629 1,698,839 1,697,153 1,696,746 1,696,302 1,695,399 1,693,552 25,191 10,000 5,533 4,436 3,503 2,893 2,436 2,207 2,057 1,934

BNY Mellon Dynamic U.S. Equity Fund* for the financial year ended 31 December 2017 Major Purchases United States Treasury Bill 0.000% 15-Mar-2018 United States Treasury Bill 0.000% 30-Nov-2017 United States Treasury Bill 0.000% 14-Dec-2017 United States Treasury Bill 0.000% 21-Dec-2017 United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 01-Feb-2018 United States Treasury Bill 0.000% 08-Feb-2018 United States Treasury Bill 0.000% 15-Feb-2018 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 29-Mar-2018 Apple Inc Microsoft Corp United States Treasury Bill 0.000% 12-Apr-2018 United States Treasury Bill 0.000% 19-Apr-2018 Amazon.com Inc Facebook Inc Johnson & Johnson Berkshire Hathaway Inc JPMorgan Chase & Co Exxon Mobil Corp

Nominal

Cost USD

3,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 8,078 12,089 950,000 950,000 627 3,734 4,200 3,011 5,507 6,631

3,635,183 2,648,780 2,647,733 2,647,118 2,645,812 2,643,019 2,642,440 2,641,668 2,640,241 2,638,880 1,384,188 1,018,044 945,904 945,715 720,522 666,494 589,856 569,788 561,758 540,364

Major Sales and Maturities United States Treasury Bill 0.000% 15-Mar-2018 United States Treasury Bill 0.000% 30-Nov-2017 United States Treasury Bill 0.000% 14-Dec-2017 United States Treasury Bill 0.000% 21-Dec-2017 United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 01-Feb-2018 United States Treasury Bill 0.000% 08-Feb-2018 United States Treasury Bill 0.000% 15-Feb-2018 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 29-Mar-2018 C.R. Bard Inc United States Treasury Bill 0.000% 07-Dec-2017 Citigroup Inc Delphi Technologies Plc JPMorgan Chase & Co Walt Disney Co/The Apple Inc Bank of America Corp Goldman Sachs Group Inc/The Charter Communications Inc

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Emerging Markets Corporate Debt Fund for the financial year ended 31 December 2017 Major Purchases Insight Liquidity Funds Plc - USD Liquidity Fund Ecopetrol SA 5.875% 28-May-2045 Petroleos del Peru SA 5.625% 19-Jun-2047 Petrobras Global Finance BV 7.375% 17-Jan-2027 Braskem Netherlands Finance BV 4.500% 10-Jan-2028 Rumo Luxembourg Sarl 7.375% 09-Feb-2024 Petrobras Global Finance BV 7.250% 17-Mar-2044 Nexa Resources SA 5.375% 04-May-2027 Postal Savings Bank of China Co Ltd 4.500% Perpetual VAR Finansbank AS/Turkey 4.875% 19-May-2022 Petropavlovsk 2016 Ltd 8.125% 14-Nov-2022 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 Equate Petrochemical BV 4.250% 03-Nov-2026 Medco Straits Services Pte Ltd 8.500% 17-Aug-2022 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 Banco do Brasil SA/Cayman 6.250% 24-Dec-2049 Oil India International Pte Ltd 4.000% 21-Apr-2027 Yapi ve Kredi Bankasi AS 5.850% 21-Jun-2024 Vedanta Resources Plc 6.125% 09-Aug-2024 Enjoy SA 10.500% 16-May-2022

Nominal

Cost USD

365,912,316 365,912,316 20,000,000 18,741,500 17,010,000 17,582,900 14,838,000 15,722,690 12,500,000 12,389,525 9,856,000 10,152,580 9,671,000 9,804,599 9,581,000 9,706,389 9,500,000 9,500,000 9,200,000 9,135,047 9,100,000 9,100,000 27,000,000,000 8,929,826 8,900,000 8,927,575 9,000,000 8,910,450 8,739,000 8,808,375 10,400,000 8,706,125 8,500,000 8,539,965 8,500,000 8,524,000 8,500,000 8,500,000 8,000,000 8,000,000

Proceeds USD

Major Sales

Nominal

Insight Liquidity Funds Plc - USD Liquidity Fund Ecopetrol SA 5.875% 28-May-2045 Petrobras Global Finance BV 7.375% 17-Jan-2027 Petroleos del Peru SA 5.625% 19-Jun-2047 Braskem Netherlands Finance BV 4.500% 10-Jan-2028 Vale Overseas Ltd 6.250% 10-Aug-2026 Rumo Luxembourg Sarl 7.375% 09-Feb-2024 Petrobras Global Finance BV 7.250% 17-Mar-2044 Banco do Brasil SA/Cayman 6.250% 24-Dec-2049 MTN Mauritius Investment Ltd 6.500% 13-Oct-2026 Petroleos Mexicanos 6.500% 13-Mar-2027 Bharti Airtel International Netherlands BV 5.125% 11-Mar-2023 PTT Exploration & Production PCL 4.875% 29-Dec-2049 VAR Petroleos Mexicanos 6.750% 21-Sep-2047 Sinopec Group Overseas Development 2017 Ltd 3.625% 12-Apr-2027 Banco do Brasil SA/Cayman 4.625% 15-Jan-2025 Banco de Bogota SA 6.250% 12-May-2026 PTT Global Chemical PCL 4.250% 19-Sep-2022 Latam Finance Ltd 6.875% 11-Apr-2024 JSL Europe SA 7.750% 26-Jul-2024

362,465,244 362,465,244 17,500,000 16,429,400 14,838,000 15,903,300 13,910,000 14,477,300 12,500,000 12,314,950 9,700,000 10,618,500 9,856,000 10,299,675 9,671,000 9,928,243 10,400,000 9,042,375 8,200,000 8,498,875 7,100,000 7,733,950 7,100,000 7,606,979 7,200,000 7,346,886 6,882,000 7,111,260 6,900,000 7,040,060 7,000,000 6,888,590 6,400,000 6,792,800 6,300,000 6,574,665 6,244,000 6,318,913 6,070,000 6,310,592

BNY Mellon Emerging Markets Debt Fund for the financial year ended 31 December 2017 Nominal

Cost USD

Sri Lanka Government International Bond 6.200% 11-May-2027 3,320,000 Argentine Republic Government International Bond 6.875% 26-Jan-2027 2,645,000 Croatia Government International Bond 6.000% 26-Jan-2024 2,390,000 Bahrain Government International Bond 7.000% 12-Oct-2028 2,240,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033 2,285,000 Kenya Government International Bond 6.875% 24-Jun-2024 2,230,000 Mongolia Government International Bond 5.125% 05-Dec-2022 2,240,000 Turkey Government International Bond 6.000% 25-Mar-2027 2,080,000 Hungary Government International Bond 5.375% 25-Mar-2024 1,850,000 Argentine Republic Government International Bond 6.875% 26-Jan-2027 2,045,000 TC Ziraat Bankasi AS 4.750% 29-Apr-2021 1,950,000 Republic of South Africa Government International Bond 4.665% 17-Jan-2024 1,855,000 Mexico Government International Bond 4.750% 08-Mar-2044 1,854,000 Lebanon Government International Bond 6.850% 23-Mar-2027 1,740,000 Ukraine Government International Bond 7.375% 25-Sep-2032 1,600,000 Romanian Government International Bond 4.375% 22-Aug-2023 1,520,000 Colombia Government International Bond 3.875% 25-Apr-2027 1,530,000 Egypt Government International Bond 6.125% 31-Jan-2022 1,430,000 JD.com Inc 3.875% 29-Apr-2026 1,470,000 Argentine Republic Government International Bond 7.500% 22-Apr-2026 1,370,000

3,402,063 2,682,199 2,675,948 2,284,914 2,259,536 2,225,353 2,160,188 2,150,713 2,124,363 2,037,610 1,930,895 1,891,345 1,761,260 1,705,314 1,598,222 1,591,776 1,521,875 1,474,791 1,464,639 1,441,232

Major Purchases

Major Sales

Nominal

Sri Lanka Government International Bond 6.200% 11-May-2027 Hungary Government International Bond 5.375% 25-Mar-2024 Kenya Government International Bond 6.875% 24-Jun-2024 Mexico Government International Bond 4.750% 08-Mar-2044 Argentine Republic Government International Bond 6.875% 26-Jan-2027 Iraq International Bond 5.800% 15-Jan-2028 Croatia Government International Bond 6.000% 26-Jan-2024 Tengizchevroil Finance Co International Ltd 4.000% 15-Aug-2026 Republic of South Africa Government International Bond 4.665% 17-Jan-2024 Senegal Government International Bond 6.250% 30-Jul-2024 Mongolia Government International Bond 5.125% 05-Dec-2022 Romanian Government International Bond 4.375% 22-Aug-2023 Sri Lanka Government International Bond 6.825% 18-Jul-2026 Gazprom Neft OAO Via GPN Capital SA 6.000% 27-Nov-2023 Serbia International Bond 4.875% 25-Feb-2020 Argentine Republic Government International Bond 7.500% 22-Apr-2026 Bahrain Government International Bond 7.000% 26-Jan-2026 Ukraine Government International Bond 7.750% 01-Sep-2020 Bahrain Government International Bond 7.000% 12-Oct-2028 Paraguay Government International Bond 6.100% 11-Aug-2044 Pakistan Government International Bond 8.250% 15-Apr-2024 Banco Nacional de Desenvolvimento Economico e Social 5.750% 26-Sep-2023 Argentine Republic Government International Bond 6.875% 26-Jan-2027 Argentine Republic Government International Bond 7.500% 22-Apr-2026 Union Andina de Cementos SAA 5.875% 30-Oct-2021 Turkey Government International Bond 5.625% 30-Mar-2021 Ukraine Government International Bond 7.750% 01-Sep-2022 Egypt Government International Bond 6.125% 31-Jan-2022

2,620,000 2,224,000 2,460,000 2,204,000 2,045,000 2,070,000 1,630,000 1,800,000 1,680,000 1,610,000 1,715,000 1,520,000 1,480,000 1,370,000 1,440,000 1,370,000 1,325,000 1,332,000 1,340,000 1,250,000 1,235,000 1,295,000 1,270,000 1,215,000 1,240,000 1,225,000 1,225,000 1,230,000

Proceeds USD 2,730,900 2,560,109 2,484,602 2,179,509 2,037,793 1,911,120 1,836,592 1,742,235 1,711,260 1,710,588 1,662,475 1,617,382 1,538,806 1,511,201 1,493,860 1,441,232 1,414,649 1,409,410 1,395,701 1,389,392 1,378,151 1,361,369 1,337,107 1,317,101 1,296,992 1,296,890 1,268,328 1,267,706

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Emerging Markets Debt Local Currency Fund for the financial year ended 31 December 2017 Nominal

Cost USD

Mexican Bonos 5.750% 05-Mar-2026 1,356,410,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 402,230,000 Mexican Bonos 8.500% 13-Dec-2018 451,400,000 Republic of South Africa Government Bond 8.000% 21-Dec-2018 284,000,000 Republic of Poland Government Bond 3.250% 25-Jul-2025 78,080,000 Republic of South Africa Government Bond 7.000% 28-Feb-2031 304,185,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 39,416,300 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2026 11,375,000,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 237,600,000 City of Buenos Aires Argentina 26.661% 29-Mar-2024 FRN 266,755,000 Turkey Government Bond 10.600% 11-Feb-2026 58,025,000 Malaysia Government Bond 3.900% 30-Nov-2026 69,040,000 Republic of Poland Government Bond 2.500% 25-Jul-2026 58,100,000 Indonesia Treasury Bond 7.000% 15-May-2027 182,500,000,000 Thailand Government Bond 4.875% 22-Jun-2029 361,990,000 Russian Federal Bond - OFZ 7.000% 16-Aug-2023 717,335,000 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN 190,690,000 Romania Government Bond 5.850% 26-Apr-2023 39,320,000 Peru Government Bond 144A 6.150% 12-Aug-2032 35,080,000 Uruguay Government International Bond 8.500% 15-Mar-2028 298,965,000 Romania Government Bond 3.250% 17-Jan-2018 41,000,000 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 29,740,000,000 Turkey Government Bond 11.000% 24-Feb-2027 33,435,000 Bonos de la Tesoreria de la Republica en pesos 5.000% 01-Mar-2035 6,030,000,000 United States Treasury Bill 0.000% 01-Mar-2018 9,345,000 Peru Government Bond 6.350% 12-Aug-2028 29,170,000 Hungary Government Bond 5.500% 20-Dec-2018 2,200,000,000 Republic of Poland Government Bond 2.500% 25-Jul-2018 34,000,000 Mexican Bonos 10.000% 05-Dec-2024 136,500,000 Romania Government Bond 4.750% 24-Feb-2025 26,120,000 United States Treasury Bill 0.000% 28-Sep-2017 6,215,000 Turkey Government Bond 8.800% 27-Sep-2023 23,500,000 Peru Government Bond 6.950% 12-Aug-2031 19,100,000 Colombian TES 10.000% 24-Jul-2024 14,000,000,000

64,128,144 33,924,219 21,277,316 20,947,243 19,705,732 18,644,171 18,270,408 17,820,184 16,841,037 16,093,752 15,761,303 15,728,478 14,930,874 13,550,930 12,884,415 11,847,125 11,707,616 10,973,478 10,803,488 10,336,585 9,849,847 9,776,204 9,727,802 9,557,779 9,313,434 8,970,307 8,295,611 8,291,380 8,161,323 6,682,729 6,195,504 6,106,891 5,978,572 5,793,280

Major Purchases

Major Sales and Maturities Brazil Notas do Tesouro Nacional Serie F 9.761% 01-Jan-2017 Hungary Government Bond 5.500% 24-Jun-2025 Mexican Bonos 8.500% 13-Dec-2018 United States Treasury Bill 0.000% 27-Apr-2017 Mexican Udibonos 4.500% 04-Dec-2025 Indonesia Treasury Bond 7.000% 15-May-2027 Republic of South Africa Government Bond 10.500% 21-Dec-2026 Republic of Poland Government Bond 5.750% 23-Sep-2022 Romania Government Bond 3.250% 17-Jan-2018 Empresas Publicas de Medellin ESP 8.375% 01-Feb-2021 Hungary Government Bond 3.000% 26-Jun-2024 Turkey Government Bond 10.600% 11-Feb-2026 Malaysia Government Bond 3.955% 15-Sep-2025 Republic of Poland Government Bond 2.500% 25-Jul-2018 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 Hungary Government Bond 5.500% 20-Dec-2018 Argentina Treasury Bond BONCER 2.500% 22-Jul-2021 Mexican Bonos 10.000% 05-Dec-2024 Argentine Bonos del Tesoro 16.000% 17-Oct-2023 Peruvian Government International Bond 6.350% 12-Aug-2028 Indonesia Treasury Bond 10.000% 15-Sep-2024 Peru Government Bond 6.350% 12-Aug-2028 Thailand Government Bond 1.200% 14-Jul-2021 Thailand Government Bond 1.250% 12-Mar-2028 Russian Federal Bond - OFZ 7.000% 16-Aug-2023 Republic of South Africa Government Bond 8.000% 21-Dec-2018 Romania Government Bond 4.750% 24-Feb-2025 Republic of Poland Government Bond 4.000% 25-Oct-2023 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 United States Treasury Bill 0.000% 28-Sep-2017 Argentine Bonos del Tesoro 15.500% 17-Oct-2026 Malaysia Government Bond 3.900% 30-Nov-2026 Turkey Government Bond 10.500% 15-Jan-2020 Republic of Poland Government Bond 2.500% 25-Jul-2026 Colombian TES 7.750% 18-Sep-2030 Petroleos Mexicanos 7.190% 12-Sep-2024

Nominal

Proceeds USD

301,150,000 5,933,600,000 451,400,000 21,380,000 369,218,155 263,674,000,000 201,470,000 37,930,000 41,000,000 30,180,000,000 2,580,840,000 38,485,000 41,360,000 34,000,000 29,600,000 2,200,000,000 114,000,000 136,500,000 124,000,000 26,290,000 91,212,000,000 23,910,000 264,512,467 269,509,245 438,000,000 96,400,000 26,120,000 25,300,000 21,000,000 6,215,000 83,200,000 25,500,000 21,380,000 21,600,000 15,000,000,000 132,000,000

92,527,729 25,573,656 24,127,681 21,365,617 20,798,556 19,477,197 17,076,967 11,653,294 10,433,362 10,337,669 10,251,752 10,019,847 9,695,174 9,436,548 9,048,554 8,926,832 8,820,682 8,172,079 8,084,199 8,065,762 7,894,703 7,867,088 7,557,618 7,488,739 7,381,835 6,922,256 6,777,784 6,660,001 6,550,154 6,202,358 5,986,689 5,932,121 5,660,386 5,593,344 5,417,752 5,414,853

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Emerging Markets Debt Opportunistic Fund for the financial year ended 31 December 2017 Major Purchases Republic of South Africa Government Bond 10.500% 21-Dec-2026 Mexican Bonos 5.750% 05-Mar-2026 Sri Lanka Government International Bond 6.200% 11-May-2027 Malaysia Government Bond 3.900% 30-Nov-2026 Republic of South Africa Government Bond 7.000% 28-Feb-2031 Vedanta Resources Plc 6.375% 30-Jul-2022 Ivory Coast Government International Bond 6.125% 15-Jun-2033 Lebanon Government International Bond 6.850% 23-Mar-2027 City of Buenos Aires Argentina 26.661% 29-Mar-2024 FRN Republic of Poland Government Bond 3.250% 25-Jul-2025 Provincia de Buenos Aires/Argentina 25.361% 31-May-2022 FRN Turkey Government International Bond 5.750% 22-Mar-2024 Peru Government Bond 6.350% 12-Aug-2028 Mexican Bonos 10.000% 20-Nov-2036 Indonesia Treasury Bond 8.375% 15-Sep-2026 Colombian TES 6.000% 28-Apr-2028 Lebanon Government International Bond 6.100% 04-Oct-2022 Saudi Government International Bond 3.625% 04-Mar-2028 Melco Resorts Finance Ltd 4.875% 06-Jun-2025 Uruguay Government International Bond 8.500% 15-Mar-2028 Jordan Government International Bond 5.750% 31-Jan-2027 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 Ukraine Government International Bond 7.375% 25-Sep-2032 Argentine Republic Government International Bond 7.125% 28-Jun-2117 Sinopec Group Overseas Development 2017 Ltd 3.625% 12-Apr-2027 Iraq International Bond 6.752% 09-Mar-2023 Turkey Government International Bond 6.000% 25-Mar-2027 Egypt Government International Bond 6.125% 31-Jan-2022 Turkey Government Bond 11.000% 24-Feb-2027

Nominal

Cost USD

25,120,000 39,765,000 1,750,000 5,840,000 20,655,000 1,150,000 1,155,000 1,090,000 15,390,000 3,535,000 13,899,000 790,000 2,495,000 11,500,000 8,900,000,000 2,200,000,000 730,000 735,000 725,000 20,865,000 710,000 2,150,000,000 705,000 770,000 690,000 680,000 650,000 650,000 2,260,000

2,108,281 1,896,432 1,789,740 1,329,037 1,253,837 1,153,185 1,138,135 1,100,116 945,220 907,079 857,723 822,588 775,371 747,187 729,848 728,590 728,175 726,408 725,000 721,398 707,515 706,753 705,000 693,000 685,536 680,000 672,345 667,804 657,540

Major Sales and Maturities Brazil Notas do Tesouro Nacional Serie F 9.761% 01-Jan-2017 Hungary Government Bond 5.500% 24-Jun-2025 Sri Lanka Government International Bond 6.200% 11-May-2027 Mexican Udibonos 4.500% 04-Dec-2025 Bahrain Government International Bond 7.000% 26-Jan-2026 Georgian Railway JSC 7.750% 11-Jul-2022 Lebanon Government International Bond 6.850% 23-Mar-2027 Iraq International Bond 5.800% 15-Jan-2028 Thailand Government Bond 1.200% 14-Jul-2021 Republic of Poland Government Bond 5.750% 23-Sep-2022 Sri Lanka Government International Bond 6.850% 03-Nov-2025 Tengizchevroil Finance Co International Ltd 4.000% 15-Aug-2026 Turkey Government International Bond 5.750% 22-Mar-2024 Peru Government Bond 6.350% 12-Aug-2028 Turk Telekomunikasyon AS 4.875% 19-Jun-2024 Ivory Coast Government International Bond 5.375% 23-Jul-2024 Perusahaan Gas Negara Persero Tbk 5.125% 16-May-2024 KazMunayGas National Co JSC 6.375% 09-Apr-2021 Argentine Bonos del Tesoro 18.200% 03-Oct-2021 Russian Federal Bond - OFZ 7.000% 16-Aug-2023 Ivory Coast Government International Bond 5.750% 31-Dec-2032 Argentina Treasury Bond BONCER 2.500% 22-Jul-2021 Vnesheconombank Via VEB Finance Plc 6.025% 05-Jul-2022 Indonesia Treasury Bond 9.500% 15-Jul-2023 Vedanta Resources Plc 8.250% 07-Jun-2021 Ukraine Government International Bond 7.750% 01-Sep-2019 Egypt Government International Bond 6.125% 31-Jan-2022 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 Empresas Publicas de Medellin ESP 8.375% 01-Feb-2021

Nominal

Proceeds USD

5,500,000 390,260,000 1,550,000 22,156,293 1,115,000 1,070,000 1,090,000 1,150,000 37,197,837 3,535,000 860,000 860,000 790,000 2,495,000 835,000 815,000 750,000 700,000 10,695,000 45,300,000 772,200 9,500,000 670,000 8,350,000,000 620,000 640,000 650,000 2,300,000 1,870,000,000

1,689,864 1,684,334 1,629,644 1,242,557 1,187,475 1,167,202 1,104,152 1,071,063 1,066,141 1,017,005 894,400 845,016 842,258 828,100 802,644 790,875 789,750 767,150 751,712 744,192 741,700 735,682 729,496 694,259 692,850 670,160 668,200 649,969 646,587

BNY Mellon Emerging Markets Debt Total Return Fund* for the financial year ended 31 December 2017 Nominal

Cost USD

Insight Liquidity Funds Plc - USD Liquidity Fund 6,035,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 31,600,000 Republic of Poland Government Bond 3.250% 25-Jul-2025 7,500,000 Malaysia Government Investment Issue 3.872% 30-Aug-2018 7,500,000 Banque Centrale de Tunisie International Bond 5.625% 17-Feb-2024 1,400,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 5,000,000 Indonesia Treasury Bond 7.000% 15-May-2027 20,000,000,000 Ivory Coast Government International Bond 5.125% 15-Jun-2025 1,200,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 90,000,000 Petroleos Mexicanos 144A 6.750% 21-Sep-2047 1,250,000 Russian Foreign Bond - Eurobond 5.250% 23-Jun-2047 1,200,000 Indonesia Treasury Bond 8.250% 15-May-2036 15,000,000,000 Argentine Republic Government International Bond 5.000% 15-Jan-2027 1,000,000 Digicel Group Ltd 8.250% 30-Sep-2020 1,250,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2027 4,000,000 Colombian TES 10.000% 24-Jul-2024 3,000,000,000 Russian Federal Bond - OFZ 7.000% 25-Jan-2023 70,000,000 Egypt Government International Bond 8.500% 31-Jan-2047 1,000,000 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN 19,000,000 Ecuador Government International Bond 8.875% 23-Oct-2027 1,000,000 Dominican Republic International Bond 7.450% 30-Apr-2044 800,000 Banco Macro SA 6.750% 04-Nov-2026 VAR 900,000 Alibaba Group Holding Ltd 3.400% 06-Dec-2027 900,000 Colombian TES 7.000% 30-Jun-2032 2,500,000,000 Czech Republic Government Bond 0.450% 25-Oct-2023 17,340,000 Thailand Government Bond 2.125% 17-Dec-2026 24,000,000 BBVA Bancomer SA/Texas 6.750% 30-Sep-2022 600,000 Ecuador Government International Bond 8.750% 02-Jun-2023 600,000 Banco Mercantil del Norte SA/Grand Cayman 7.625% Perpetual VAR 600,000 MHP SE 7.750% 10-May-2024 600,000 HTA Group Ltd/Mauritius 9.125% 08-Mar-2022 600,000 Petroleos del Peru SA 5.625% 19-Jun-2047 600,000 Nexa Resources SA 5.375% 04-May-2027 600,000 Turkey Government International Bond 6.000% 25-Mar-2027 600,000

6,035,000 2,577,280 2,135,445 1,849,381 1,738,926 1,531,640 1,530,389 1,520,002 1,484,284 1,308,750 1,244,340 1,221,632 1,218,991 1,212,500 1,202,180 1,198,517 1,176,416 1,151,250 1,146,709 1,090,000 954,000 936,000 900,651 829,111 780,337 719,994 681,900 661,500 659,100 652,200 646,200 644,250 639,600 638,040

Major Purchases

Major Sales

Nominal

Proceeds USD

1,620,000 700,000 600,000 2,000,000 4,900,000 1,000,000 1,000,000 4,600,000 400,000

1,620,000 772,750 607,500 588,224 428,087 343,112 301,462 270,055 163,000

Insight Liquidity Funds Plc - USD Liquidity Fund Ecuador Government International Bond 8.875% 23-Oct-2027 WTT Investment Ltd/Hong Kong 5.500% 21-Nov-2022 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2027 Republic of South Africa Government Bond 10.500% 21-Dec-2026 Peruvian Government International Bond 6.950% 12-Aug-2031 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 Argentina POM Politica Monetaria 28.750% 21-Jun-2020 FRN Telemar Norte Leste SA 0.000% 23-Oct-2020 The above constitutes the full sales detail for the Fund during the financial year.

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Euroland Bond Fund for the financial year ended 31 December 2017 Major Purchases French Republic Government Bond OAT 0.000% 25-Feb-2020 Bundesobligation 0.000% 08-Oct-2021 French Republic Government Bond OAT 0.250% 25-Nov-2026 Spain Government Bond 144A 1.500% 30-Apr-2027 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 Italy Buoni Poliennali Del Tesoro 144A 3.250% 01-Sep-2046 Spain Government Bond 144A 2.900% 31-Oct-2046 Bundesrepublik Deutschland Bundesanleihe 2.500% 15-Aug-2046 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027 Slovenia Government Bond 1.250% 22-Mar-2027 French Republic Government Bond OAT 0.500% 25-May-2026 United States Treasury Bill 0.000% 01-Mar-2018 French Republic Government Bond OAT 144A 2.000% 25-May-2048 Republic of South Africa Government Bond 8.750% 28-Feb-2048 United States Treasury Bill 0.000% 28-Sep-2017 Kingdom of Belgium Government Bond 144A 1.900% 22-Jun-2038 BNY Mellon U.S. Municipal Infrastructure Debt Fund Republic of Poland Government Bond 2.500% 25-Jul-2027 Korea Treasury Bond 2.250% 10-Dec-2025 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045 Italy Buoni Poliennali Del Tesoro 1.250% 01-Dec-2026 Mexican Bonos 7.750% 13-Nov-2042 United Kingdom Gilt 1.500% 22-Jul-2047 Argentine Bonos del Tesoro 21.200% 19-Sep-2018

Nominal

Cost EUR

81,750,000 78,000,000 70,975,000 47,600,000 25,300,000 23,000,000 21,000,000 15,300,000 2,519,100,445 17,975,000 18,100,000 20,975,000 14,850,000 289,300,000 16,540,000 13,125,000 15,000,000 58,325,000 15,300,000,000 10,125,000 11,600,000 213,000,000 8,975,000 175,800,000

82,547,880 79,657,122 68,432,037 46,430,728 25,314,694 23,258,060 22,005,770 20,255,655 20,049,644 18,354,344 17,901,550 17,844,686 16,147,742 15,438,764 15,294,902 14,112,131 12,479,715 12,346,533 12,331,526 11,260,908 11,226,364 10,192,774 9,386,344 9,296,030

Major Sales and Maturities

Nominal

Proceeds EUR

Bundesobligation 0.000% 08-Oct-2021 Spain Government Bond 2.750% 30-Apr-2019 Spain Government Bond 0.500% 31-Oct-2017 French Republic Government Bond OAT 0.000% 25-Feb-2020 Italy Buoni Poliennali Del Tesoro 2.350% 15-Sep-2024 French Republic Government Bond OAT 0.500% 25-May-2026 Italy Buoni Poliennali Del Tesoro 1.050% 01-Dec-2019 Spain Government Bond 144A 1.500% 30-Apr-2027 French Republic Government Bond OAT 0.250% 25-Nov-2026 Italy Buoni Poliennali Del Tesoro 4.750% 01-Sep-2044 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 United States Treasury Bill 0.000% 27-Apr-2017 Italy Buoni Poliennali Del Tesoro 2.600% 15-Sep-2023 Ireland Government Bond 1.000% 15-May-2026 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027 United States Treasury Inflation Indexed Bonds 0.625% 15-Jan-2026 Intesa Sanpaolo SpA 5.000% 28-Feb-2017 Kingdom of Belgium Government Bond 4.250% 28-Mar-2041 Royal Bank of Scotland Group Plc 3.875% 12-Sep-2023 Portugal Obrigacoes do Tesouro OT 2.875% 21-Jul-2026 United States Treasury Bill 0.000% 28-Sep-2017

78,000,000 74,980,000 71,785,000 50,125,000 44,720,275 49,700,000 41,125,000 39,700,000 32,325,000 23,305,000 25,300,000 29,455,000 23,131,394 21,330,000 2,519,100,445 16,539,749 15,200,000 9,810,000 16,550,000 14,350,000 16,540,000

79,682,218 79,610,455 72,154,665 50,732,958 50,365,550 49,292,021 41,854,770 40,120,072 31,769,286 29,580,215 29,210,084 27,530,764 27,037,345 21,679,133 19,936,068 15,511,161 15,200,000 15,161,026 14,655,695 14,228,461 14,029,492

Nominal

Proceeds EUR

1,540,000 800,000 800,000 800,000 710,000 740,000 750,000 600,000 520,000 600,000 662,000 600,000 570,000 664,000 600,000 600,000 531,000 500,000 550,000 544,000

1,469,622 826,075 808,022 804,896 770,817 767,831 749,895 691,965 687,040 680,917 646,786 641,718 640,719 621,969 616,134 565,771 564,970 554,935 554,351 547,792

BNY Mellon European Credit Fund for the financial year ended 31 December 2017 Major Purchases French Republic Government Bond OAT 0.250% 25-Nov-2026 Insight Global Funds II plc - Insight Emerging Markets Debt Fund HSBC Holdings Plc 0.371% 27-Sep-2022 FRN CaixaBank SA 1.125% 17-May-2024 Bank of America Corp 1.379% 07-Feb-2025 VAR Bankinter SA 2.500% 06-Apr-2027 VAR Johnson Controls International plc 1.000% 15-Sep-2023 BASF Finance Europe NV 0.000% 10-Nov-2020 GlaxoSmithKline Capital Plc 0.000% 12-Sep-2020 BNP Paribas SA 2.875% 01-Oct-2026 ALD SA 0.875% 18-Jul-2022 Electricite de France SA 5.625% 21-Feb-2033 French Republic Government Bond OAT 3.250% 25-May-2045 Santander UK Plc 0.000% 16-Nov-2022 FRN XLIT Ltd 3.250% 29-Jun-2047 VAR Credit Suisse Group AG 1.250% 17-Jul-2025 VAR Mediobanca SpA 0.471% 18-May-2022 FRN UBS AG/London 1.959% 01-Dec-2020 FRN Insight Liquidity Funds Plc - EUR Cash Fund Continental AG 3.125% 09-Sep-2020

Nominal

Cost EUR

1,540,000 80,693 926,000 900,000 800,000 800,000 773,000 750,000 726,000 710,000 700,000 501,000 520,000 600,000 674,000 673,000 646,000 771,000 633,441 570,000

1,455,146 1,294,035 926,000 900,296 802,224 800,288 766,128 746,535 725,695 721,595 700,628 693,427 680,108 679,165 678,738 670,947 646,000 645,864 630,000 628,596

Major Sales French Republic Government Bond OAT 0.250% 25-Nov-2026 Bankinter SA 2.500% 06-Apr-2027 VAR Bank of America Corp 1.375% 26-Mar-2025 Banque Federative du Credit Mutuel SA 0.250% 14-Jun-2019 BNP Paribas SA 2.875% 01-Oct-2026 Glencore Finance Europe Ltd 1.625% 18-Jan-2022 BASF Finance Europe NV 0.000% 10-Nov-2020 HSBC Holdings Plc 6.375% 18-Oct-2022 VAR French Republic Government Bond OAT 3.250% 25-May-2045 Santander UK Plc 0.755% 16-Nov-2022 FRN Andeavor 5.125% 15-Dec-2026 Volkswagen International Finance NV 2.000% 26-Mar-2021 Intesa Sanpaolo SpA 3.500% 17-Jan-2022 ING Groep NV 6.875% 29-Dec-2049 VAR Credit Agricole SA/London 1.875% 20-Dec-2026 Statoil ASA 1.625% 09-Nov-2036 Mylan NV 3.125% 22-Nov-2028 Cooperatieve Rabobank UA 5.875% 20-May-2019 Credit Suisse AG/London 0.375% 11-Apr-2019 RCI Banque SA 1.375% 08-Mar-2024

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BNY Mellon Global Bond Fund for the financial year ended 31 December 2017 Major Purchases

Nominal

Cost USD

United States Treasury Note/Bond 1.500% 15-Aug-2026 United States Treasury Note/Bond 0.750% 31-Jan-2018 United States Treasury Note/Bond 1.625% 15-Aug-2022 United States Treasury Note/Bond 3.000% 15-Nov-2045 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 United States Treasury Note/Bond 2.125% 30-Jun-2021 United States Treasury Note/Bond 1.875% 28-Feb-2022 United Kingdom Gilt 4.250% 07-Dec-2027 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 French Republic Government Bond OAT 3.500% 25-Apr-2026 Norway Government Bond 144A 1.500% 19-Feb-2026 Mexican Bonos 5.750% 05-Mar-2026 New South Wales Treasury Corp 3.000% 20-May-2027 United States Treasury Note/Bond 2.875% 15-May-2043 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2021 United Kingdom Gilt Inflation Linked 1.875% 22-Nov-2022 Italy Buoni Poliennali Del Tesoro 5.000% 01-Aug-2034 Spain Government Bond 144A 5.900% 30-Jul-2026 Ireland Government Bond 5.400% 13-Mar-2025 Canada Housing Trust No 1 2.000% 15-Dec-2019 United Kingdom Gilt 4.250% 07-Dec-2055 Malaysia Government Bond 4.059% 30-Sep-2024 Republic of Poland Government Bond 5.750% 25-Oct-2021 Kuwait International Government Bond 2.750% 20-Mar-2022 Spain Government Inflation Linked Bond 1.800% 30-Nov-2024 Indonesia Government International Bond 4.750% 08-Jan-2026 French Republic Government Bond OAT 3.250% 25-May-2045 Republic of Poland Government Bond 2.000% 25-Apr-2021 Canada Housing Trust No 1 144A 2.650% 15-Mar-2022

76,270,000 67,730,000 50,390,000 42,203,300 34,850,000 24,855,649 23,770,000 18,725,000 10,470,000 13,627,586 9,965,000 103,805,000 228,230,000 14,345,000 11,000,000 10,754,847 6,688,537 6,945,000 6,505,000 6,200,000 11,100,000 4,325,000 36,420,000 30,580,000 8,765,000 6,888,788 7,420,000 5,080,000 30,190,000 8,545,000

70,839,646 67,580,193 49,732,859 42,844,315 35,045,905 28,256,245 24,230,998 18,801,938 17,286,007 17,247,164 13,473,598 12,452,376 11,984,867 10,979,749 10,965,466 10,793,677 10,571,366 10,447,586 9,770,320 9,533,997 9,172,266 9,026,382 8,814,550 8,778,610 8,771,037 8,083,684 7,972,892 7,596,905 7,176,680 7,048,702

Major Sales and Maturities

Nominal

Proceeds USD

United States Treasury Note/Bond 0.750% 31-Jan-2018 United States Treasury Note/Bond 1.625% 15-Aug-2022 United States Treasury Note/Bond 1.500% 15-Aug-2026 United States Treasury Note/Bond 3.000% 15-Nov-2045 United States Treasury Note/Bond 2.000% 15-Feb-2025 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 French Republic Government Bond OAT 3.500% 25-Apr-2026 United States Treasury Note/Bond 2.125% 30-Jun-2021 Spain Government Bond 144A 5.900% 30-Jul-2026 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.250% 30-Nov-2018 United States Treasury Note/Bond 0.875% 28-Feb-2017 Italy Buoni Poliennali Del Tesoro 6.500% 01-Nov-2027 United States Treasury Note/Bond 2.875% 15-May-2043 United States Treasury Note/Bond 1.875% 28-Feb-2022 United States Treasury Note/Bond 3.500% 15-May-2020 Mexican Bonos 6.500% 10-Jun-2021 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2021 Netherlands Government Bond 1.000% 24-Feb-2017 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 United Kingdom Gilt 4.250% 07-Dec-2027 United Kingdom Gilt 1.750% 07-Sep-2022 Ireland Government Bond 5.400% 13-Mar-2025 Republic of Poland Government Bond 5.750% 25-Oct-2021 Canada Housing Trust No 1 2.000% 15-Dec-2019 Denmark Government Bond 1.750% 15-Nov-2025 Spain Government Inflation Linked Bond 1.800% 30-Nov-2024

67,730,000 65,150,000 54,490,000 43,493,300 30,650,000 25,410,892 27,213,828 17,345,000 23,770,000 12,685,000 18,180,000 17,290,000 17,290,000 9,460,000 13,190,000 12,515,000 11,160,000 205,400,000 10,754,847 10,820,000 8,175,664 5,970,000 7,020,000 6,200,000 30,580,000 11,100,000 49,850,000 6,888,788

67,618,893 64,274,286 50,808,040 45,060,494 29,805,766 29,133,832 27,422,623 24,999,114 24,154,360 19,806,786 18,117,087 17,307,001 17,290,000 14,659,565 13,241,582 12,515,088 11,830,145 11,494,192 10,838,144 10,820,000 10,239,915 10,059,787 9,595,857 9,592,471 9,591,197 8,856,720 8,686,824 8,590,864

Major Sales and Maturities

Nominal

Proceeds USD

Insight Liquidity Funds Plc - USD Liquidity Fund Insight Emerging Market Bond Opportunities Fund United Parcel Service Inc 2.500% 01-Apr-2023 State of Hesse 0.375% 04-Jul-2022 Lloyds Bank Plc 0.209% 21-Aug-2017 FRN Al Ahli Bank of Kuwait KSCP 3.500% 05-Apr-2022 Credit Suisse AG/London 0.132% 10-Nov-2017 FRN Exelon Corp 3.400% 15-Apr-2026 Reckitt Benckiser Treasury Services Plc 2.375% 24-Jun-2022 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 Danone SA 2.947% 02-Nov-2026 FirstEnergy Corp 4.250% 15-Mar-2023 Royal Bank of Scotland Group Plc 2.000% 08-Mar-2023 VAR ABN AMRO Bank NV 4.400% 27-Mar-2028 VAR Banque Federative du Credit Mutuel SA 0.000% 23-Mar-2017 FRN Morgan Stanley 0.109% 17-Jan-2017 FRN HSBC Holdings Plc 3.900% 25-May-2026 OP Corporate Bank plc 0.037% 03-Mar-2017 FRN JPMorgan Chase & Co 0.088% 21-Feb-2017 FRN Imperial Brands Finance Plc 144A 3.750% 21-Jul-2022

148,670,000 148,670,000 13,597,996 15,647,736 9,220,000 9,150,307 7,574,000 8,365,895 6,800,000 8,030,805 7,710,000 7,756,760 6,200,000 6,676,832 6,418,000 6,472,360 6,370,000 6,335,475 6,518,449 6,282,310 6,180,000 5,901,962 5,562,000 5,900,281 4,660,000 5,618,679 5,400,000 5,536,854 4,900,000 5,284,164 4,900,000 5,245,697 5,246,000 5,234,826 4,877,000 5,177,670 4,878,000 5,143,611 4,838,000 5,038,443

BNY Mellon Global Credit Fund for the financial year ended 31 December 2017 Cost USD

Major Purchases

Nominal

Insight Liquidity Funds Plc - USD Liquidity Fund Insight Emerging Market Bond Opportunities Fund Oracle Corp 2.950% 15-Nov-2024 United Parcel Service Inc 2.500% 01-Apr-2023 Santander UK Plc 0.296% 22-May-2019 FRN United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 Metropolitan Life Global Funding I 144A 3.000% 19-Sep-2027 Sumitomo Mitsui Trust Bank Ltd 144A 2.018% 06-Mar-2019 FRN Al Ahli Bank of Kuwait KSCP 3.500% 05-Apr-2022 Goldman Sachs Group Inc/The 7.125% 07-Aug-2025 Credit Suisse AG/New York NY 4.375% 05-Aug-2020 Philip Morris International Inc 2.500% 02-Nov-2022 BPCE SA 2.650% 03-Feb-2021 ING Bank NV 144A 5.000% 09-Jun-2021 Reckitt Benckiser Treasury Services Plc 2.375% 24-Jun-2022 ALD SA 0.875% 18-Jul-2022 Citigroup Inc 3.520% 27-Oct-2028 VAR Andeavor Logistics LP / Tesoro Logistics Finance Corp 5.250% 15-Jan-2025 Zimmer Biomet Holdings Inc 2.425% 13-Dec-2026 ABN AMRO Bank NV 4.400% 27-Mar-2028 VAR

141,541,629 141,522,568 10,790,506 12,587,983 9,230,000 9,215,417 9,220,000 9,191,602 7,520,000 9,009,213 8,535,351 7,792,070 7,793,000 7,777,648 7,721,000 7,721,000 7,710,000 7,676,770 4,130,000 7,297,635 6,600,000 7,022,598 6,900,000 6,870,399 6,670,000 6,773,518 6,110,000 6,710,491 6,370,000 6,364,012 5,500,000 6,346,108 5,480,000 5,469,424 5,090,000 5,430,631 4,710,000 5,401,251 5,400,000 5,399,136

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BNY Mellon Global Dynamic Bond Fund for the financial year ended 31 December 2017 Major Purchases

Nominal

Cost USD

United States Treasury Note/Bond 0.750% 31-Jan-2018 United States Treasury Note/Bond 1.500% 15-Aug-2026 United States Treasury Note/Bond 1.625% 15-Aug-2022 United States Treasury Note/Bond 3.500% 15-May-2020 United States Treasury Note/Bond 3.000% 15-Nov-2045 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 SPDR Bloomberg Barclays Emerging Markets Local Bond UCITS ETF United States Treasury Note/Bond 1.000% 15-Sep-2017 United States Treasury Note/Bond 2.125% 31-Jul-2024 Queensland Treasury Corp 144A 2.750% 20-Aug-2027 Canada Housing Trust No 1 144A 2.000% 15-Dec-2019 iShares USD High Yield Corp Bond UCITS ETF iShares J.P. Morgan USD EM Bond UCITS ETF Mexican Bonos 5.750% 05-Mar-2026 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 New Zealand Local Government Funding Agency Bond 3.000% 15-Apr-2020 Kreditanstalt fuer Wiederaufbau 1.000% 07-Sep-2018 United States Treasury Note/Bond 0.750% 31-Mar-2018 Malaysia Government Bond 4.059% 30-Sep-2024 Bank Nederlandse Gemeenten NV 144A 1.250% 25-Jun-2018 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020

67,890,000 68,630,000 61,920,000 32,950,000 31,460,300 28,032,377 301,274 22,300,000 19,075,000 25,160,000 22,480,000 162,436 126,090 252,420,000 10,151,276 17,740,000 10,500,000 10,440,000 43,020,000 10,300,000 9,680,850

67,750,851 63,826,123 61,057,098 34,701,359 32,051,903 31,780,876 22,349,127 22,304,355 19,096,284 18,574,147 18,264,638 17,292,660 14,260,933 12,949,611 12,849,382 12,506,532 10,446,450 10,420,017 10,370,857 10,279,811 9,662,765

Nominal

Proceeds USD

United States Treasury Note/Bond 0.750% 31-Jan-2018 58,430,000 United States Treasury Note/Bond 1.500% 15-Aug-2026 46,590,000 United States Treasury Note/Bond 3.000% 15-Nov-2045 34,105,300 United States Treasury Note/Bond 1.625% 15-Aug-2022 34,520,000 iShares USD High Yield Corp Bond UCITS ETF 280,934 United States Treasury Note/Bond 3.500% 15-May-2020 21,670,000 United States Treasury Note/Bond 1.000% 15-Sep-2017 22,300,000 SPDR Bloomberg Barclays Emerging Markets Local Bond UCITS ETF 301,274 United States Treasury Note/Bond 2.125% 31-Jul-2024 19,075,000 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 15,139,618 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 16,162,752 iShares J.P. Morgan USD EM Bond UCITS ETF 126,090 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 10,151,276 New Zealand Local Government Funding Agency Bond 5.000% 15-Mar-2019 15,165,000 United States Treasury Note/Bond 2.625% 15-Nov-2020 7,650,000 Mexican Bonos 6.500% 10-Jun-2021 133,610,000 Republic of Poland Government Bond 5.750% 25-Oct-2021 23,580,000 Spain Government Inflation Linked Bond 1.800% 30-Nov-2024 5,522,977 Queensland Treasury Corp 5.500% 21-Jun-2021 7,600,000 Republic of Poland Government Bond 2.000% 25-Apr-2021 24,560,000

58,330,725 43,453,730 35,218,925 34,095,499 29,710,096 22,884,904 22,299,898 22,205,195 19,001,628 17,422,782 16,285,622 14,563,629 12,881,430 11,187,284 7,900,119 7,476,821 7,395,697 6,939,730 6,589,500 6,083,102

Major Sales and Maturities

BNY Mellon Global Emerging Markets Fund for the financial year ended 31 December 2017 Major Purchases China Biologic Products Holdings Inc Vakrangee Ltd Samsung SDI Co Ltd Sociedad Quimica y Minera de Chile SA ADR China Biologic Products Inc Baidu Inc ADR British American Tobacco Plc Indiabulls Housing Finance Ltd ITC Ltd AIA Group Ltd Naspers Ltd Taiwan Semiconductor Manufacturing Co Ltd China Harmony New Energy Auto Holding Ltd Maruti Suzuki India Ltd Alibaba Group Holding Ltd ADR Gentera SAB de CV LIC Housing Finance Ltd Tencent Holdings Ltd Samsung Electronics Co Ltd 3SBio Inc 144A Edelweiss Financial Services Ltd Applied Materials Inc Ctrip.com International Ltd ADR Hollysys Automation Technologies Ltd Grupo Aeroportuario del Centro Norte SAB de CV PVR Ltd Fomento Economico Mexicano SAB de CV Godrej Consumer Products Ltd Tata Motors Ltd Unilever Plc LG Household & Health Care Ltd Metropolitan Bank & Trust Co

Nominal

Cost USD

39,547 606,524 24,116 84,082 24,863 14,743 40,662 149,789 568,939 330,200 11,520 332,000 3,216,500 18,063 15,168 1,327,100 196,369 54,183 843 1,228,000 354,245 24,067 28,458 74,285 209,800 49,141 122,466 50,662 147,558 16,148 985 465,690

4,118,642 3,837,543 3,496,928 3,241,661 2,900,821 2,859,790 2,663,628 2,481,022 2,352,937 2,327,039 2,305,169 2,254,884 1,952,621 1,933,345 1,932,427 1,920,162 1,905,625 1,822,153 1,797,197 1,724,917 1,467,366 1,365,996 1,347,099 1,343,082 1,113,721 1,078,741 1,073,147 1,012,735 1,012,568 816,638 815,439 796,060

Major Sales China Biologic Products Holdings Inc Vakrangee Ltd Tata Motors Ltd Baidu Inc ADR Tencent Holdings Ltd Alibaba Group Holding Ltd ADR China Biologic Products Inc Naspers Ltd ITC Ltd Sociedad Quimica y Minera de Chile SA ADR Samsung SDI Co Ltd LIC Housing Finance Ltd Maruti Suzuki India Ltd British American Tobacco Plc Taiwan Semiconductor Manufacturing Co Ltd AIA Group Ltd Sands China Ltd Indiabulls Housing Finance Ltd Metropolitan Bank & Trust Co Ctrip.com International Ltd ADR Fomento Economico Mexicano SAB de CV Grupo Aeroportuario del Centro Norte SAB de CV 3SBio Inc 144A LG Household & Health Care Ltd Apollo Hospitals Enterprise Ltd Catcher Technology Co Ltd Wal-Mart de Mexico SAB de CV Amara Raja Batteries Ltd TAL Education Group ADR Godrej Consumer Products Ltd Glenmark Pharmaceuticals Ltd Universal Robina Corp Banco Santander Chile ADR GT Capital Holdings Inc 51job Inc ADR

Nominal

Proceeds USD

30,882 259,085 314,442 9,323 44,037 10,786 13,019 7,022 317,657 32,020 7,622 136,111 11,210 17,590 152,000 149,600 242,800 60,756 552,370 20,357 97,161 164,200 472,000 810 36,902 58,000 282,379 52,796 15,014 32,086 51,047 177,490 20,890 21,340 10,602

3,314,029 2,144,198 2,051,593 1,905,924 1,816,456 1,615,898 1,593,957 1,495,999 1,328,300 1,321,356 1,275,266 1,255,070 1,253,732 1,136,196 1,118,828 1,102,324 1,084,493 1,063,899 946,187 922,314 891,768 861,996 806,326 720,603 656,903 631,585 623,582 600,519 573,503 552,557 552,105 493,948 491,957 487,291 478,904

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BNY Mellon Global Equity Fund for the financial year ended 31 December 2017 Major Purchases Informa Plc Sony Corp Wolters Kluwer NV Amazon.com Inc Costco Wholesale Corp Deutsche Post AG Seven & i Holdings Co Ltd Samsung SDI Co Ltd Allied Irish Banks plc Newell Brands Inc Abbott Laboratories Roche Holding AG Citigroup Inc Ferguson Plc Indiabulls Housing Finance Ltd Royal Bank of Scotland Group Plc AIA Group Ltd Japan Tobacco Inc Dollar General Corp Ebara Corp Altria Group Inc Blue Buffalo Pet Products Inc Gilead Sciences Inc Bangkok Bank PCL RELX NV Infineon Technologies AG Walgreens Boots Alliance Inc Associated British Foods Plc Alphabet Inc - Class A Suncor Energy Inc Intact Financial Corp Suntory Beverage & Food Ltd Apple Inc

Nominal

Cost USD

582,537 138,300 88,067 3,891 24,542 94,334 89,200 20,528 611,799 54,673 50,261 9,227 32,599 33,325 149,736 538,461 249,400 46,100 21,907 48,000 25,013 63,458 20,096 270,800 66,755 72,128 16,549 34,134 1,248 35,606 14,232 23,200 6,587

5,219,391 4,963,796 4,092,623 3,955,444 3,935,399 3,834,242 3,779,232 3,241,771 3,150,153 2,973,491 2,434,493 2,327,841 2,131,271 2,126,628 1,892,793 1,836,162 1,799,413 1,671,558 1,664,569 1,617,999 1,588,876 1,542,957 1,506,750 1,464,795 1,389,073 1,363,426 1,184,757 1,184,576 1,171,570 1,113,227 1,053,206 1,031,390 967,923

Major Sales Apple Inc Walt Disney Co/The eBay Inc Express Scripts Holding Co Anheuser-Busch InBev SA/NV Nielsen Holdings Plc TJX Cos Inc/The DNB ASA Discovery Communications Inc Align Technology Inc Toyota Motor Corp Air Liquide SA Yum! Brands Inc Teva Pharmaceutical Industries Ltd ADR Alphabet Inc - Class A Centrica Plc Gilead Sciences Inc British American Tobacco Plc Associated British Foods Plc Dun & Bradstreet Corp/The Newell Brands Inc Microsoft Corp TripAdvisor Inc United Technologies Corp Bayer AG Bridgestone Corp Dollar General Corp Principal Financial Group Inc Diageo Plc Altria Group Inc Trimble Inc Vodafone Group Plc

Nominal

Proceeds USD

37,480 48,339 136,786 71,691 36,368 97,795 47,186 202,462 156,448 18,014 49,500 22,009 34,755 153,212 2,652 1,326,113 28,167 32,282 42,870 16,139 54,673 25,043 51,886 12,878 11,759 35,600 18,030 19,777 42,248 15,190 28,924 384,786

5,460,596 4,879,356 4,763,646 4,531,685 4,203,490 3,944,024 3,421,599 3,318,169 3,063,383 2,975,291 2,751,754 2,715,722 2,620,750 2,522,486 2,486,389 2,439,141 2,027,313 1,939,067 1,718,416 1,700,153 1,685,602 1,676,050 1,620,659 1,491,950 1,484,425 1,418,639 1,368,931 1,268,238 1,258,745 1,089,254 1,070,121 1,005,409

Nominal

Proceeds USD

293,471 751,662 193,377 77,323 176,995 549,161 511,533 190,718 98,187 384,530 217,800 93,727 1,108,225 101,608 62,208 41,072 50,804 74,554 2,654,818 13,947

22,164,189 13,674,406 12,632,804 11,987,165 10,880,078 10,129,329 8,922,826 8,846,106 8,744,177 7,546,011 7,326,681 6,496,605 6,262,392 6,063,699 5,570,212 4,791,714 4,693,633 4,662,893 4,504,935 2,131,793

BNY Mellon Global Equity Income Fund for the financial year ended 31 December 2017 Major Purchases Ralph Lauren Corp Hennes & Mauritz AB Gilead Sciences Inc Coty Inc TOTAL SA Cisco Systems Inc CA Inc Bank Hapoalim BM Centrica Plc UBM Plc Maxim Integrated Products Inc Unilever Plc Nestle SA Royal Dutch Shell Plc Informa Plc Microsoft Corp Mattel Inc Japan Tobacco Inc Diageo Plc Western Union Co/The Novartis AG RELX NV Philip Morris International Inc McDonald's Corp Sanofi Infosys Ltd ADR Roche Holding AG Zurich Insurance Group AG GlaxoSmithKline Plc Merck & Co Inc Procter & Gamble Co/The Orkla ASA British American Tobacco Plc

Nominal

Cost USD

405,276 1,059,370 362,944 1,161,418 355,497 550,121 473,736 2,126,655 3,967,479 1,032,167 204,200 185,658 114,468 321,974 1,005,361 109,200 424,238 233,300 203,626 332,700 73,523 288,490 47,015 33,783 51,401 317,671 18,870 16,025 229,321 72,459 50,858 433,280 61,141

29,585,022 27,428,136 26,233,683 21,450,199 18,438,504 18,399,061 15,357,587 14,491,488 10,485,042 9,505,055 9,416,111 9,357,022 8,922,270 8,726,045 8,619,966 7,818,410 7,724,732 7,718,408 6,552,963 6,474,425 6,159,973 6,011,085 5,444,928 5,235,135 5,004,925 4,838,746 4,813,463 4,808,287 4,671,856 4,632,819 4,623,205 4,393,246 3,976,977

Major Sales Microsoft Corp SSE Plc Reynolds American Inc Kuehne + Nagel International AG Las Vegas Sands Corp GlaxoSmithKline Plc Mattel Inc Imperial Brands Plc Procter & Gamble Co/The Western Union Co/The Japan Tobacco Inc Adecco Group AG Royal Mail Plc Emerson Electric Co Ralph Lauren Corp Philip Morris International Inc Kraft Heinz Co/The Merck & Co Inc Cobham Plc McDonald's Corp

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BNY Mellon Global High Yield Bond Fund for the financial year ended 31 December 2017 Major Purchases

Nominal

iShares USD High Yield Corp Bond UCITS ETF BWAY Holding Co 144A 7.250% 15-Apr-2025 Park Aerospace Holdings Ltd 144A 5.500% 15-Feb-2024 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 144A 5.250% 15-Mar-2022 Amigo Luxembourg SA 7.625% 15-Jan-2024 AK Steel Corp 7.000% 15-Mar-2027 USIS Merger Sub Inc 144A 6.875% 01-May-2025 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 6.000% 15-Feb-2025 Cequel Communications Holdings I LLC / Cequel Capital Corp 5.125% 15-Dec-2021 CCO Holdings LLC / CCO Holdings Capital Corp 144A 5.500% 01-May-2026 JPMorgan Chase & Co 6.100% Perpetual VAR Radiate Holdco LLC / Radiate Finance Inc 144A 6.625% 15-Feb-2025 ARD Finance SA 7.125% 15-Sep-2023 Horizon Parent Holdings Sarl 8.250% 15-Feb-2022 Constellium NV 144A 6.625% 01-Mar-2025 Telecom Italia SpA/Milano 144A 5.303% 30-May-2024 Serta Simmons Bedding LLC 0.000% 08-Nov-2023 CyrusOne LP / CyrusOne Finance Corp 5.000% 15-Mar-2024 Kraton Polymers LLC / Kraton Polymers Capital Corp 144A 7.000% 15-Apr-2025 EnPro Industries Inc 5.875% 15-Sep-2022

Cost USD

52,282 1,690,000 1,425,000

5,508,350 1,690,000 1,437,950

1,225,000 935,000 1,120,000 1,025,000 920,000

1,225,000 1,182,710 1,120,000 1,025,000 933,800

900,000 875,000 879,000 900,000 885,000 830,000 870,000 830,000 820,875 775,000 770,000 720,000

918,000 914,906 912,724 899,413 894,424 889,552 870,313 848,675 822,839 786,375 770,000 727,200

Major Sales

Nominal

iShares USD High Yield Corp Bond UCITS ETF BWAY Holding Co 9.125% 15-Aug-2021 ARD Finance SA 6.625% 15-Sep-2023 MPG Holdco I Inc 7.375% 15-Oct-2022 SFR Group SA 5.625% 15-May-2024 Park Aerospace Holdings Ltd 144A 5.500% 15-Feb-2024 West Corp 5.375% 15-Jul-2022 Synlab Unsecured Bondco Plc 8.250% 01-Jul-2023 Gates Global LLC / Gates Global Co 6.000% 15-Jul-2022 Virgin Media Finance Plc 6.375% 15-Oct-2024 Extraction Oil & Gas Inc / Extraction Finance Corp 7.875% 15-Jul-2021 Mercer International Inc 7.750% 01-Dec-2022 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 6.000% 15-Feb-2025 Cemex SAB de CV 7.750% 16-Apr-2026 Tronox Finance LLC 6.375% 15-Aug-2020 Tenet Healthcare Corp 6.750% 15-Jun-2023 Virtu KCG Holdings LLC 6.875% 15-Mar-2020 INEOS Group Holdings SA 5.375% 01-Aug-2024 Cequel Communications Holdings I LLC / Cequel Capital Corp 5.125% 15-Dec-2021 Genesis Energy LP / Genesis Energy Finance Corp 5.750% 15-Feb-2021

Proceeds USD

42,000 1,450,000 1,055,000 1,055,000 975,000 1,080,000 1,070,000 850,000 1,025,000 710,000 935,000 915,000 920,000 830,000 930,000 975,000 895,000 825,000

4,384,324 1,590,650 1,149,222 1,144,675 1,126,460 1,103,600 1,082,371 1,057,191 1,042,000 994,479 981,895 978,268 956,256 947,850 943,144 933,250 931,919 919,793

900,000 905,000

918,000 915,166

Nominal

Proceeds USD

13,200 38,400 10,500 800 1,300

1,834,306 1,291,738 1,089,985 197,849 130,073

BNY Mellon Global Leaders Fund for the financial year ended 31 December 2017 Major Purchases EOG Resources Inc Schlumberger Ltd Industria de Diseno Textil SA NIKE Inc Starbucks Corp TJX Cos Inc/The Roche Holding AG Alphabet Inc Ecolab Inc AIA Group Ltd Novartis AG Reckitt Benckiser Group Plc FANUC Corp Colgate-Palmolive Co 3M Co SAP SE L'Oreal SA Johnson & Johnson Mastercard Inc Cognizant Technology Solutions Corp Taiwan Semiconductor Manufacturing Co Ltd ADR CSL Ltd Keyence Corp LVMH Moet Hennessy Louis Vuitton SE Air Liquide SA Celgene Corp Suncor Energy Inc

Nominal

Cost USD

18,000 22,400 40,950 27,700 24,900 18,100 5,200 1,300 8,900 154,400 13,000 12,180 5,100 14,600 4,700 9,100 4,700 7,300 6,700 13,200 24,900 8,700 1,700 3,450 7,420 5,500 10,600

1,719,557 1,571,184 1,476,142 1,458,094 1,370,040 1,324,194 1,294,483 1,257,269 1,168,091 1,147,586 1,111,341 1,098,668 1,065,626 1,059,193 1,004,122 1,002,173 1,000,782 960,674 937,474 936,401 930,581 914,667 908,297 901,696 900,838 754,724 341,218

Major Sales Celgene Corp Suncor Energy Inc Automatic Data Processing Inc LVMH Moet Hennessy Louis Vuitton SE CSL Ltd

The above constitutes the full sales detail for the Fund during the financial year.

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BNY Mellon Global Opportunistic Bond Fund for the financial year ended 31 December 2017 Nominal

Cost USD

Australia Government Bond 4.500% 15-Apr-2020 11,900,000 United States Treasury Note/Bond 1.875% 31-Jan-2022 9,025,000 Canadian Government Bond 2.250% 01-Jun-2025 7,675,000 United States Treasury Note/Bond 1.875% 31-Mar-2022 4,925,000 United States Treasury Note/Bond 1.625% 31-Aug-2022 4,725,000 United States Treasury Note/Bond 2.000% 31-Oct-2022 4,525,000 Spain Government Bond 1.500% 30-Apr-2027 3,450,000 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 3,175,000 Korea Treasury Bond 2.250% 10-Dec-2025 3,392,270,000 Mexican Bonos 8.000% 07-Nov-2047 51,535,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 38,975,000 New Zealand Government Bond 2.000% 20-Sep-2025 3,260,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 29,000,000 Portugal Obrigacoes do Tesouro OT 2.200% 17-Oct-2022 2,150,000 Republic of Poland Government Bond 2.500% 25-Jul-2027 9,025,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 3,850,000 Japanese Government CPI Linked Bond 0.100% 10-Mar-2026 188,426,602 United States Treasury Bill 0.000% 01-Mar-2018 1,660,000 United States Treasury Note/Bond 2.250% 15-Feb-2027 1,650,000 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027 173,768,701 United States Treasury Inflation Indexed Bonds 0.375% 15-Jan-2027 1,583,744 United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 1,482,741 Italy Buoni Poliennali Del Tesoro 1.250% 01-Dec-2026 1,475,000 United States Treasury Bill 0.000% 28-Sep-2017 1,405,000 United States Treasury Inflation Indexed Bonds 0.625% 15-Jan-2026 1,458,754 Spain Government Bond 144A 2.900% 31-Oct-2046 1,125,000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045 1,025,000

9,895,639 9,016,345 6,037,358 4,932,639 4,668,747 4,505,557 3,613,117 3,484,867 3,006,136 2,731,559 2,581,735 2,439,499 2,317,916 2,289,993 2,115,319 1,795,178 1,751,404 1,653,366 1,642,975 1,628,122 1,557,428 1,468,681 1,452,111 1,400,008 1,348,590 1,335,343 1,326,837

Major Purchases

Major Sales and Maturities United States Treasury Inflation Indexed Bonds 0.625% 15-Jan-2026 Australia Government Bond 4.500% 15-Apr-2020 United States Treasury Note/Bond 1.875% 31-Jan-2022 Canadian Government Bond 2.250% 01-Jun-2025 United States Treasury Note/Bond 1.875% 31-Mar-2022 United States Treasury Note/Bond 1.625% 31-Aug-2022 Korea Treasury Bond 2.250% 10-Dec-2025 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 Spain Government Bond 1.500% 30-Apr-2027 United States Treasury Note/Bond 2.000% 31-Oct-2022 Japanese Government CPI Linked Bond 0.100% 10-Mar-2025 United States Treasury Bill 0.000% 27-Apr-2017 Australia Government Bond 2.750% 21-Oct-2019 New Zealand Government Bond 2.000% 20-Sep-2025 Portugal Obrigacoes do Tesouro OT 2.200% 17-Oct-2022 Republic of Poland Government Bond 3.250% 25-Jul-2025 Mexican Bonos 8.000% 07-Nov-2047 Portugal Obrigacoes do Tesouro OT 3.850% 15-Apr-2021 Republic of Poland Government Bond 2.500% 25-Jul-2027 COMM 2006-C8 Mortgage Trust 5.377% 10-Dec-2046

Nominal

Proceeds USD

10,065,760 11,900,000 9,025,000 9,350,000 4,925,000 4,725,000 4,725,270,000 3,175,000 3,450,000 3,525,000 320,923,458 2,935,000 3,475,000 3,475,000 2,150,000 9,600,000 40,525,000 1,950,000 9,025,000 1,960,001

10,202,918 9,902,851 9,047,105 7,376,316 4,939,166 4,626,606 4,179,422 4,031,962 3,832,680 3,512,882 2,970,021 2,933,877 2,634,096 2,608,749 2,459,900 2,425,937 2,305,890 2,263,735 2,237,599 1,964,739

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BNY Mellon Global Opportunities Fund for the financial year ended 31 December 2017 Major Purchases United States Treasury Bill 0.000% 27-Jul-2017 United States Treasury Bill 0.000% 04-Jan-2018 United States Treasury Bill 0.000% 01-Mar-2018 United States Treasury Bill 0.000% 19-Oct-2017 United States Treasury Bill 0.000% 29-Jun-2017 Altria Group Inc Newell Brands Inc Intact Financial Corp Roche Holding AG TJX Cos Inc/The Informa Plc Suzuki Motor Corp Ebara Corp Ralph Lauren Corp ConocoPhillips Allied Irish Banks Plc Blue Buffalo Pet Products Inc CH Robinson Worldwide Inc Yokogawa Electric Corp Alphabet Inc - Class A Samsung SDI Co Ltd Johnson Matthey Plc Medtronic Plc Gilead Sciences Inc Walgreens Boots Alliance Inc Wolters Kluwer NV Gentera SAB de CV Japan Tobacco Inc Vivendi SA Ferguson Plc Wal-Mart de Mexico SAB de CV Unilever NV

Nominal

Cost USD

4,260,100 3,980,000 3,290,700 3,058,800 2,940,400 38,474 45,071 25,965 9,089 27,012 165,233 28,100 46,300 18,103 25,239 222,211 46,171 15,142 56,400 914 4,416 20,572 10,081 11,156 11,041 17,038 485,673 22,000 35,768 11,273 349,400 12,937

4,248,139 3,960,777 3,277,184 3,049,386 2,934,465 2,408,438 2,327,197 2,140,916 2,109,832 1,920,881 1,534,547 1,469,038 1,359,361 1,260,759 1,206,337 1,144,168 1,102,723 1,055,103 1,023,073 858,871 837,443 830,892 811,031 790,773 788,848 752,631 742,134 735,723 714,065 702,543 700,373 693,198

Major Sales and Maturities United States Treasury Bill 0.000% 16-Mar-2017 United States Treasury Bill 0.000% 27-Jul-2017 Apple Inc United States Treasury Note/Bond 0.875% 28-Feb-2017 Vivendi SA United States Treasury Bill 0.000% 19-Oct-2017 United States Treasury Bill 0.000% 29-Jun-2017 Microsoft Corp CH Robinson Worldwide Inc Walt Disney Co/The Alphabet Inc - Class A RELX NV Discovery Communications Inc - Class A Emerson Electric Co Unilever NV Dollar General Corp SAP SE Gilead Sciences Inc Diageo Plc DNB ASA Wal-Mart de Mexico SAB de CV Centrica Plc Associated British Foods Plc Teva Pharmaceutical Industries Ltd ADR Accenture Plc Suntory Beverage & Food Ltd Japan Tobacco Inc Ralph Lauren Corp Ferguson Plc Medtronic Plc United States Treasury Bill 0.000% 04-Jan-2018 Express Scripts Holding Co Citigroup Inc Trimble Inc Cisco Systems Inc Costco Wholesale Corp Blue Buffalo Pet Products Inc Western Union Co/The TripAdvisor Inc Novartis AG Walgreens Boots Alliance Inc CA Inc ConocoPhillips

Nominal

Proceeds USD

5,257,200 4,260,100 24,986 3,239,900 145,437 3,058,800 2,940,400 40,524 36,525 26,976 2,962 135,861 117,584 42,984 47,880 30,787 22,400 31,033 72,021 117,807 971,000 890,231 51,700 82,248 14,001 40,400 50,200 18,103 24,881 20,123 1,599,500 24,822 24,321 44,794 46,411 8,942 54,387 69,955 30,828 16,635 16,905 38,211 22,008

5,256,708 4,259,319 3,697,397 3,240,037 3,119,672 3,058,800 2,940,029 2,864,425 2,815,137 2,806,066 2,745,067 2,680,366 2,629,004 2,624,164 2,392,595 2,348,435 2,264,148 2,244,364 2,188,658 2,133,892 2,076,739 1,977,397 1,968,840 1,932,810 1,799,844 1,745,426 1,666,717 1,629,979 1,608,313 1,605,776 1,597,130 1,584,872 1,559,600 1,553,527 1,539,712 1,522,204 1,480,615 1,372,448 1,353,404 1,326,428 1,305,131 1,222,943 1,067,410

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Global Property Securities Fund* for the financial year ended 31 December 2017 Major Purchases Prologis Inc HCP Inc Simon Property Group Inc Hilton Worldwide Holdings Inc Colony Starwood Homes Douglas Emmett Inc Apartment Investment & Management Co Mirvac Group CubeSmart Invitation Homes Inc Essex Property Trust Inc Duke Realty Corp Vornado Realty Trust STORE Capital Corp Deutsche Wohnen AG GGP Inc Alexandria Real Estate Equities Inc Mitsubishi Estate Co Ltd Equinix Inc Gecina SA Equity Residential AvalonBay Communities Inc Healthcare Trust of America Inc Highwoods Properties Inc Merlin Properties Socimi SA Boston Properties Inc Dexus Scentre Group Great Portland Estates Plc Sun Communities Inc Medical Properties Trust Inc Cheung Kong Property Holdings Ltd VEREIT Inc Land Securities Group Plc

Nominal

Cost EUR

6,080 9,801 1,550 4,293 7,210 5,390 4,180 120,130 7,070 9,220 760 6,820 1,710 7,260 5,190 6,870 1,430 8,000 416 940 2,150 730 4,360 2,460 10,630 900 16,300 29,250 12,070 1,090 7,360 13,000 9,910 6,807

298,799 277,306 251,663 234,225 217,264 190,876 177,641 175,196 172,321 171,249 167,701 165,035 164,101 161,948 160,258 155,903 152,193 148,151 146,603 126,100 125,351 121,425 116,544 111,806 110,510 108,249 104,789 90,689 89,885 88,511 86,001 82,483 82,175 81,705

Major Sales Simon Property Group Inc AvalonBay Communities Inc Prologis Inc HCP Inc Boston Properties Inc Mitsui Fudosan Co Ltd Welltower Inc Vornado Realty Trust Deutsche Wohnen AG CubeSmart Duke Realty Corp CyrusOne Inc Scentre Group Mitsubishi Estate Co Ltd Cheung Kong Property Holdings Ltd Douglas Emmett Inc Public Storage STORE Capital Corp Unibail-Rodamco SE Essex Property Trust Inc UDR Inc Land Securities Group Plc Host Hotels & Resorts Inc Equity Residential Sun Hung Kai Properties Ltd Equinix Inc Regency Centers Corp Link REIT GGP Inc Macerich Co/The Hilton Worldwide Holdings Inc Kimco Realty Corp Highwoods Properties Inc Healthcare Trust of America Inc

Nominal

Proceeds EUR

6,990 4,570 13,490 22,910 5,330 28,100 9,220 6,550 15,380 22,190 20,020 9,960 156,900 27,300 66,700 12,750 2,190 20,290 1,960 1,880 12,300 34,267 23,990 6,830 28,500 966 5,670 49,900 15,800 5,510 5,849 15,420 6,710 10,840

1,083,916 765,385 674,908 631,567 617,630 585,117 579,347 538,117 518,366 501,566 490,245 476,288 465,238 460,506 451,172 443,644 441,016 433,328 424,145 413,771 413,029 404,701 402,386 399,342 386,216 360,596 347,277 334,407 329,942 322,785 317,976 314,124 307,315 293,868

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Global Real Return Fund (EUR) for the financial year ended 31 December 2017 Major Purchases Italy Buoni Poliennali Del Tesoro 3.500% 01-Nov-2017 United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.500% 31-Oct-2019 United States Treasury Note/Bond 1.625% 31-Aug-2022 United States Treasury Note/Bond 2.125% 30-Sep-2024 United States Treasury Note/Bond 1.375% 15-Jan-2020 United States Treasury Note/Bond 2.250% 15-Nov-2027 Canada Housing Trust No 1 1.750% 15-Jun-2022 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027 Mexican Bonos 10.000% 05-Dec-2024 Cisco Systems Inc Royal Dutch Shell Plc Reynolds American Inc Australia Government Bond 3.000% 21-Mar-2047 Taiwan Semiconductor Manufacturing Co Ltd ADR Brazilian Government International Bond 4.875% 22-Jan-2021 Albemarle Corp AIA Group Ltd Royal Dutch Shell Plc United States Treasury Note/Bond 2.750% 15-Nov-2047 TOTAL SA United States Treasury Note/Bond 1.000% 31-Dec-2017 United States Treasury Note/Bond 2.125% 30-Nov-2024 Deutsche Wohnen SE Newell Brands Inc CA Inc iShares Physical Gold ETC AT&T Inc 3.400% 14-Aug-2024 Informa Plc

Nominal

Cost EUR

253,135,000 255,784,405 288,846,700 251,286,181 249,510,300 211,701,377 211,759,200 177,553,965 150,559,800 126,461,155 143,067,300 121,315,143 126,309,100 117,300,075 118,119,400 99,814,182 119,110,000 80,007,373 118,730,000 79,021,312 1,353,686,100 75,566,930 2,118,939 61,646,405 2,402,142 61,351,329 959,339 56,136,966 89,824,000 53,791,806 1,606,441 50,730,808 50,702,000 47,369,162 471,851 46,710,601 7,133,800 46,173,646 1,878,558 45,017,505 51,790,400 42,800,355 966,227 42,773,652 43,597,400 41,292,271 47,088,500 39,503,806 1,130,739 38,956,315 811,297 37,842,219 1,362,021 37,807,701 1,618,926 35,884,096 41,595,000 35,385,482 4,574,723 35,261,503

Major Sales and Maturities

Nominal

Proceeds EUR

Italy Buoni Poliennali Del Tesoro 3.500% 01-Nov-2017 United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 3.000% 15-May-2045 United States Treasury Note/Bond 1.750% 31-Dec-2020 United States Treasury Note/Bond 1.500% 31-Aug-2018 United States Treasury Note/Bond 3.000% 15-Nov-2045 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.625% 31-Aug-2022 United States Treasury Note/Bond 2.000% 15-Feb-2025 iShares Physical Gold ETC United States Treasury Note/Bond 1.375% 15-Jan-2020 Source Physical Gold P-ETC United States Treasury Note/Bond 1.000% 31-Dec-2017 Canada Housing Trust No 1 1.750% 15-Jun-2022 GlaxoSmithKline Plc Australia Government Bond 3.750% 21-Apr-2037 United States Treasury Note/Bond 1.500% 31-Oct-2019 Vivendi SA United Utilities Group Plc Reynolds American Inc Japan Tobacco Inc United States Treasury Note/Bond 0.875% 15-Apr-2019 Dollar General Corp Royal Dutch Shell Plc Wolters Kluwer NV HICL Infrastructure Co Ltd/Fund United States Treasury Note/Bond 2.125% 30-Nov-2024

253,135,000 288,846,700 208,912,200 210,078,800 161,513,300 155,744,000 151,841,200 150,559,800 135,965,200 5,599,513 126,309,100 976,953 108,304,100 119,110,000 4,228,512 98,625,000 70,783,500 2,969,060 5,238,714 901,253 1,684,800 57,101,800 725,802 1,878,558 1,094,259 22,653,668 47,088,500

253,986,159 245,208,045 186,608,686 180,747,120 151,356,463 139,170,591 126,668,239 125,233,777 119,297,622 117,886,270 110,772,542 106,768,490 100,971,928 79,274,071 74,113,024 71,699,675 59,238,619 58,908,025 52,512,120 50,849,183 48,423,266 48,131,428 46,804,967 45,445,294 43,727,444 40,556,367 38,995,489

BNY Mellon Global Real Return Fund (GBP) for the financial year ended 31 December 2017 Major Purchases United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 1.500% 31-Oct-2019 United States Treasury Note/Bond 2.125% 31-Jul-2024 United Kingdom Treasury Bill 0.000% 16-Oct-2017 United States Treasury Note/Bond 2.125% 30-Sep-2024 United States Treasury Note/Bond 1.625% 31-Aug-2022 United Kingdom Treasury Bill 0.000% 12-Mar-2018 United Kingdom Gilt 1.000% 07-Sep-2017 Source Physical Gold P-ETC Reynolds American Inc United States Treasury Note/Bond 2.250% 15-Nov-2027 United States Treasury Note/Bond 1.375% 15-Jan-2020 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027 Canada Housing Trust No 1 1.750% 15-Jun-2022 Mexican Bonos 10.000% 05-Dec-2024 Royal Dutch Shell Plc AT&T Inc 3.400% 14-Aug-2024 Cisco Systems Inc Australia Government Bond 3.000% 21-Mar-2047 Taiwan Semiconductor Manufacturing Co Ltd ADR AIA Group Ltd Albemarle Corp Brazilian Government International Bond 4.875% 22-Jan-2021 TOTAL SA United States Treasury Note/Bond 2.750% 15-Nov-2047

Nominal

Cost GBP

6,558,800 5,132,900 4,970,800 2,897,296 3,418,900 3,019,300 2,159,000 2,140,000 19,991 36,972 2,257,900 1,816,500 2,335,000 2,275,000 26,779,300 52,442 1,506,000 40,848 1,954,000 32,268 149,200 9,180 994,000 19,312 1,017,300

5,048,168 3,836,443 3,780,030 2,896,784 2,588,007 2,219,344 2,156,967 2,142,344 1,908,159 1,801,435 1,699,243 1,454,866 1,387,129 1,374,865 1,352,806 1,150,182 1,141,996 1,067,901 1,037,324 915,546 859,968 823,818 806,983 759,117 746,408

Major Sales and Maturities United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 1.750% 31-Dec-2020 United States Treasury Note/Bond 3.000% 15-May-2045 United Kingdom Treasury Bill 0.000% 16-Oct-2017 Source Physical Gold P-ETC United States Treasury Note/Bond 1.500% 31-Aug-2018 United States Treasury Note/Bond 3.000% 15-Nov-2045 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.625% 31-Aug-2022 iShares Physical Gold ETC United Kingdom Treasury Bill 0.000% 12-Mar-2018 United Kingdom Gilt 1.000% 07-Sep-2017 United States Treasury Note/Bond 2.000% 15-Feb-2025 United States Treasury Note/Bond 1.500% 31-Oct-2019 Reynolds American Inc United States Treasury Note/Bond 1.375% 15-Jan-2020 Canada Housing Trust No 1 1.750% 15-Jun-2022 Australia Government Bond 3.750% 21-Apr-2037 GlaxoSmithKline Plc Vivendi SA United Utilities Group Plc Japan Tobacco Inc United States Treasury Note/Bond 0.875% 15-Apr-2019 Wolters Kluwer NV Dollar General Corp

Nominal

Proceeds GBP

6,558,800 4,372,000 4,163,700 2,897,296 29,312 3,016,100 2,973,100 3,047,500 3,019,300 116,794 2,159,000 2,140,000 2,684,700 2,402,700 35,821 1,816,500 2,275,000 2,131,000 81,924 58,045 101,238 32,600 1,082,900 23,202 13,247

4,960,254 3,330,656 3,300,960 2,896,356 2,777,443 2,437,810 2,340,863 2,282,661 2,246,021 2,191,191 2,155,395 2,140,000 2,061,528 1,786,633 1,748,895 1,397,892 1,351,852 1,349,219 1,271,585 1,012,695 897,560 833,609 824,696 812,496 774,590

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BNY Mellon Global Real Return Fund (USD) for the financial year ended 31 December 2017 Major Purchases

Nominal

Cost USD

United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.500% 31-Oct-2019 United States Treasury Note/Bond 1.625% 31-Aug-2022 United States Treasury Note/Bond 2.125% 30-Sep-2024 United States Treasury Note/Bond 2.250% 15-Nov-2027 iShares Physical Gold ETC United States Treasury Note/Bond 1.375% 15-Jan-2020 Canada Housing Trust No 1 1.750% 15-Jun-2022 Canada Housing Trust No 1 144A 2.350% 15-Jun-2027 Mexican Bonos 10.000% 05-Dec-2024 Royal Dutch Shell Plc Cisco Systems Inc Reynolds American Inc Taiwan Semiconductor Manufacturing Co Ltd ADR AIA Group Ltd Albemarle Corp Australia Government Bond 3.000% 21-Mar-2047 Brazilian Government International Bond 4.875% 22-Jan-2021 United States Treasury Note/Bond 2.750% 15-Nov-2047 TOTAL SA United States Treasury Note/Bond 2.125% 30-Nov-2024 Deutsche Wohnen SE Newell Brands Inc AT&T Inc 3.400% 14-Aug-2024 Informa Plc CA Inc Thales SA Zurich Insurance Group AG

35,652,900 30,270,100 28,881,900 18,039,600 17,327,500 14,439,300 566,553 13,169,600 14,760,000 14,315,000 163,211,900 334,719 255,097 124,117 190,031 900,800 57,301 9,351,000 6,093,000 6,318,800 120,535 5,847,100 142,067 99,630 5,051,000 603,406 150,144 42,434 14,787

35,686,325 30,395,006 28,741,691 17,798,513 17,255,631 14,325,731 13,999,869 13,138,373 11,741,204 11,223,511 10,787,415 9,440,946 8,753,508 7,661,356 7,184,511 6,780,303 6,638,554 6,585,948 6,406,712 6,196,630 6,100,973 5,793,882 5,634,987 5,204,775 5,058,018 4,967,688 4,790,689 4,429,254 4,386,355

Major Sales United States Treasury Note/Bond 1.750% 30-Nov-2021 United States Treasury Note/Bond 1.750% 31-Dec-2020 United States Treasury Note/Bond 3.000% 15-May-2045 United States Treasury Note/Bond 1.500% 31-Aug-2018 Source Physical Gold P-ETC United States Treasury Note/Bond 3.000% 15-Nov-2045 iShares Physical Gold ETC United States Treasury Note/Bond 2.000% 15-Feb-2025 United States Treasury Note/Bond 2.125% 31-Jul-2024 United States Treasury Note/Bond 1.625% 31-Aug-2022 Australia Government Bond 3.750% 21-Apr-2037 United States Treasury Note/Bond 1.375% 15-Jan-2020 United States Treasury Note/Bond 1.500% 31-Oct-2019 GlaxoSmithKline Plc Canada Housing Trust No 1 1.750% 15-Jun-2022 Vivendi SA United Utilities Group Plc Reynolds American Inc Japan Tobacco Inc Wolters Kluwer NV United States Treasury Note/Bond 0.875% 15-Apr-2019 Dollar General Corp HICL Infrastructure Co Ltd/Fund Microsoft Corp

Nominal

Proceeds USD

35,652,900 32,285,400 30,898,900 24,272,000 188,343 22,141,100 898,152 20,078,500 18,448,000 18,039,600 16,424,000 13,169,600 11,970,800 583,248 14,760,000 465,808 783,152 136,552 248,800 187,110 7,780,400 94,948 3,377,235 94,297

35,463,091 32,385,234 31,738,593 24,434,509 23,047,452 22,484,036 21,679,010 19,842,584 18,372,114 17,699,882 13,345,152 13,150,432 11,888,557 11,648,364 11,577,372 10,332,146 9,088,315 8,883,763 8,332,416 8,265,087 7,719,957 7,206,119 7,102,151 6,726,020

BNY Mellon Global Short-Dated High Yield Bond Fund for the financial year ended 31 December 2017 Cost USD

Major Purchases

Nominal

Insight Liquidity Funds Plc - USD Liquidity Fund Impera Holdings SA 5.375% 15-Sep-2022 Corral Petroleum Holdings AB 11.750% 15-May-2021 Rite Aid Corp 144A 6.125% 01-Apr-2023 Ovako AB 5.000% 05-Oct-2022 Rice Energy Inc 7.250% 01-May-2023 Antero Resources Corp 5.375% 01-Nov-2021 AK Steel Corp 7.625% 01-Oct-2021 McDermott International Inc 144A 8.000% 01-May-2021 Vedanta Resources Plc 8.250% 07-Jun-2021 Keystone Financing Plc 9.500% 15-Oct-2019 Jerrold Finco Plc 6.250% 15-Sep-2021 PDC Energy Inc 7.750% 15-Oct-2022 Tullow Oil Plc 6.000% 01-Nov-2020 CeramTec Group GmbH 8.250% 15-Aug-2021 Sunoco LP / Sunoco Finance Corp 6.250% 15-Apr-2021 Citgo Holding Inc 144A 10.750% 15-Feb-2020 Nyrstar Netherlands Holdings BV 8.500% 15-Sep-2019 Twin Set-Simona Barbieri SpA 5.546% 15-Jul-2019 FRN Digicel Group Ltd 8.250% 30-Sep-2020

565,881,476 565,881,476 15,629,000 16,980,456 12,550,000 16,616,868 16,250,000 15,754,688 13,000,000 15,596,763 13,000,000 13,985,000 13,493,000 13,895,118 13,000,000 13,567,500 13,000,000 13,461,900 12,000,000 13,418,400 10,000,000 13,133,477 9,470,000 13,025,792 12,268,000 12,854,920 13,250,000 12,853,600 9,945,000 12,396,510 11,375,000 11,949,825 11,000,000 11,847,500 10,000,000 11,812,421 10,000,000 11,780,980 11,950,000 11,425,216

Proceeds USD

Major Sales and Maturities

Nominal

Insight Liquidity Funds Plc - USD Liquidity Fund Annington Finance No 5 Plc 13.000% 15-Jan-2023 Impera Holdings SA 5.375% 15-Sep-2022 Energy Future Intermediate Holding Co LLC 4.295 30-Jun-2017 CPUK Finance Ltd 7.000% 28-Aug-2020 Rice Energy Inc 7.250% 01-May-2023 FMG Resources August 2006 Pty Ltd 9.750% 01-Mar-2022 Wind Acquisition Finance SA 7.375% 23-Apr-2021 Dynegy Inc 6.750% 01-Nov-2019 PDC Energy Inc 7.750% 15-Oct-2022 Trionista TopCo GmbH 6.875% 30-Apr-2021 FTE Verwaltungs GmbH 9.000% 15-Jul-2020 Ovako AB 6.500% 01-Jun-2019 Jerrold Finco Plc 6.250% 15-Sep-2021 Mattamy Group Corp 6.500% 15-Nov-2020 Rite Aid Corp 9.250% 15-Mar-2020 Nature's Bounty Co/The 7.625% 15-May-2021 Sprint Communications Inc 9.000% 15-Nov-2018 WMG Acquisition Corp 6.750% 15-Apr-2022 Vedanta Resources Plc 6.000% 31-Jan-2019

526,538,941 526,538,941 13,649,649 20,244,695 15,629,000 19,237,695 18,064,516 18,069,101 12,670,000 16,940,671 13,000,000 14,136,330 12,000,000 13,635,000 12,780,000 13,291,200 12,500,000 12,951,303 12,268,000 12,777,122 10,011,000 12,436,029 9,844,000 11,911,004 9,396,000 11,317,893 8,145,000 11,272,380 10,895,000 11,099,281 10,607,000 10,931,460 10,000,000 10,756,405 10,000,000 10,715,625 10,000,000 10,543,750 10,000,000 10,537,500

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Global Unconstrained Fund* for the financial year ended 31 December 2017 Major Purchases iShares Physical Gold ETC United States Treasury Note/Bond 1.625% 15-Aug-2022 United States Treasury Note/Bond 2.875% 15-May-2043 United States Treasury Note/Bond 3.000% 15-May-2045 United States Treasury Inflation Indexed Bonds 3.375% 15-Apr-2032 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2019 United States Treasury Note/Bond 2.000% 15-Feb-2025 Microsoft Corp Citigroup Inc AIA Group Ltd Applied Materials Inc SAP SE Eversource Energy SoftBank Group Corp Royal Dutch Shell Plc Wolters Kluwer NV Orsted A/S 144A Apple Inc Accenture Plc Infineon Technologies AG Suzuki Motor Corp Albemarle Corp Alphabet Inc - Class A DNB ASA Intuit Inc Ferguson Plc Walgreens Boots Alliance Inc Merck & Co Inc Roche Holding AG Sony Corp Ebara Corp Don Quijote Holdings Co Ltd Medtronic Plc CRH Plc Insurance Australia Group Ltd Sugi Holdings Co Ltd Recruit Holdings Co Ltd Novartis AG Johnson Matthey Plc Cobham Plc Norway Government Bond 144A 1.500% 19-Feb-2026 Prudential Plc Royal Bank of Scotland Group Plc

Nominal

Cost USD

38,225 875,100 803,500 786,000 599,510 827,881 724,659 625,900 6,300 6,410 56,000 8,730 3,870 6,420 5,000 12,690 7,880 7,340 2,300 2,540 13,830 6,000 2,610 320 17,880 2,040 4,350 4,390 5,560 1,210 6,400 7,000 5,300 3,180 6,950 39,501 4,000 9,000 2,430 5,030 120,000 1,670,000 8,220 49,833

946,123 857,803 833,474 833,037 828,471 825,073 722,281 615,387 519,981 486,179 439,563 434,363 431,376 418,071 412,734 409,180 406,298 405,089 388,887 375,784 367,678 334,406 331,802 329,632 321,635 317,797 314,787 311,383 310,756 301,746 288,361 263,300 258,652 258,387 240,836 212,086 208,981 208,317 202,741 202,008 200,130 199,383 199,025 183,967

Major Sales

Nominal

Proceeds USD

The Fund had no sales during the financial year.

* Please refer to Note 19 of the financial statements.

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BNY Mellon Japan All Cap Equity Fund for the financial year ended 31 December 2017 Major Purchases Mitsubishi UFJ Financial Group Inc SoftBank Group Corp Hoya Corp Sumitomo Mitsui Financial Group Inc Asahi Group Holdings Ltd Toyota Motor Corp Nidec Corp Tokyo Ohka Kogyo Co Ltd SMC Corp/Japan Arata Corp Anritsu Corp Daikin Industries Ltd Siix Corp Sekisui Chemical Co Ltd Iriso Electronics Co Ltd Yamaha Corp NTT DOCOMO Inc Nifco Inc/Japan SCSK Corp Subaru Corp Yokogawa Electric Corp Tomy Co Ltd Penta-Ocean Construction Co Ltd Shimizu Corp Matsuoka Corp Dai-ichi Life Holdings Inc Kura Corp Santen Pharmaceutical Co Ltd Nichias Corp Aruhi Corp Park24 Co Ltd Nitto Denko Corp Totetsu Kogyo Co Ltd Hitachi Ltd Pola Orbis Holdings Inc Persol Holdings Co Ltd Rinnai Corp Mazda Motor Corp Mitsubishi Electric Corp Disco Corp Tsuruha Holdings Inc Ryohin Keikaku Co Ltd Astellas Pharma Inc Daicel Corp Bandai Namco Holdings Inc

Nominal

Cost JPY

168,700 124,445,341 11,400 101,487,784 16,900 91,803,748 20,900 90,944,543 20,000 85,659,258 13,600 84,666,708 7,400 82,066,804 17,700 78,765,682 2,500 77,516,978 14,000 72,663,083 76,400 71,333,253 6,200 70,560,544 15,700 69,331,547 34,300 66,177,475 6,900 65,820,388 17,500 64,926,982 24,400 64,363,965 10,700 62,961,062 12,600 58,914,283 14,100 58,513,910 31,800 57,280,414 41,500 55,980,901 93,700 55,953,600 47,000 52,675,389 14,600 52,074,482 25,200 51,642,796 9,500 51,173,118 34,100 51,055,700 42,000 51,049,338 38,300 49,977,055 16,400 48,809,567 5,200 47,252,257 13,800 46,583,508 70,000 46,553,345 10,400 46,238,387 22,500 45,655,558 4,300 43,187,792 26,700 43,097,843 25,800 42,944,033 2,600 41,966,704 3,700 41,703,691 1,700 41,470,676 27,100 39,846,903 29,800 39,672,461 11,200 38,166,993

Major Sales Ryohin Keikaku Co Ltd Astellas Pharma Inc Daicel Corp Japan Tobacco Inc Mitsubishi Pencil Co Ltd Sankyu Inc UACJ Corp Nihon Kohden Corp Mizuho Financial Group Inc Nikkiso Co Ltd Nidec Corp SoftBank Group Corp Tsuruha Holdings Inc Persol Holdings Co Ltd Kubota Corp Bandai Namco Holdings Inc Disco Corp Nichias Corp Mitsubishi UFJ Financial Group Inc Mitsubishi Heavy Industries Ltd Hitachi Ltd Hikari Tsushin Inc Toyota Motor Corp Denso Corp Otsuka Corp SCSK Corp Penta-Ocean Construction Co Ltd HIS Co Ltd Sekisui Chemical Co Ltd Pola Orbis Holdings Inc Nissan Motor Co Ltd IDOM Inc Sumitomo Mitsui Financial Group Inc Yokogawa Electric Corp Daikin Industries Ltd Nifco Inc/Japan Nippon Telegraph & Telephone Corp

Nominal

Proceeds JPY

3,200 56,300 54,300 18,300 16,000 78,000 42,400 20,200 245,700 45,000 3,600 5,100 3,000 16,900 19,200 11,300 2,000 32,000 49,200 64,000 50,000 2,800 4,800 6,500 4,400 6,100 40,700 9,200 13,100 6,000 22,900 40,600 5,300 12,300 1,900 3,300 4,100

86,797,238 80,490,961 75,531,945 67,293,592 62,513,183 57,828,715 54,754,911 49,667,108 48,307,454 46,473,379 44,464,620 44,018,212 39,831,632 39,747,273 39,516,386 38,386,981 38,241,312 37,403,098 37,199,856 33,635,530 32,142,047 31,944,534 31,310,189 30,833,933 29,753,408 28,380,608 27,861,810 26,459,514 25,815,202 25,072,772 24,741,139 24,346,784 23,905,484 22,469,513 21,918,273 20,811,324 20,447,959

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BNY Mellon Japan REIT Alpha Fund for the financial year ended 31 December 2017 Major Purchases Japan Retail Fund Investment Corp Nippon Prologis REIT Inc United Urban Investment Corp Japan Real Estate Investment Corp Mori Trust Sogo Reit Inc Kenedix Office Investment Corp Invincible Investment Corp Daiwa Office Investment Corp Kenedix Residential Investment Corp Nippon Building Fund Inc Advance Residence Investment Corp Hankyu Reit Inc Daiwa House REIT Investment Corp Japan Hotel REIT Investment Corp Frontier Real Estate Investment Corp NIPPON REIT Investment Corp Comforia Residential REIT Inc Japan Prime Realty Investment Corp GLP J-Reit Sekisui House Residential Investment Corp Global One Real Estate Investment Corp Mitsui Fudosan Logistics Park Inc Nippon Accommodations Fund Inc Sekisui House Reit Inc Industrial & Infrastructure Fund Investment Corp Activia Properties Inc Tokyu REIT Inc Mirai Corp Mori Hills REIT Investment Corp Fukuoka REIT Corp Health Care & Medical Investment Corp Mori Trust Hotel Reit Inc Japan Logistics Fund Inc

Nominal

Cost JPY

435 374 374 103 303 84 1,000 83 147 69 129 239 123 450 70 104 124 64 232 193 55 59 40 122 36 36 120 97 116 86 137 90 56

95,839,937 88,216,175 62,276,406 58,490,426 55,403,363 52,681,095 47,713,140 46,784,459 46,360,203 41,431,600 36,912,199 35,403,665 35,224,087 35,075,123 34,114,222 30,875,249 30,403,381 27,777,249 27,483,632 23,761,236 22,060,538 19,641,620 18,900,387 18,474,454 17,971,751 17,346,456 16,762,344 16,455,336 15,472,256 14,817,840 14,491,976 13,649,935 12,637,615

Major Sales Japan Real Estate Investment Corp Nippon Prologis REIT Inc Nippon Building Fund Inc Japan Retail Fund Investment Corp GLP J-Reit Mori Trust Sogo Reit Inc Daiwa House REIT Investment Corp Orix JREIT Inc Frontier Real Estate Investment Corp Activia Properties Inc Advance Residence Investment Corp Mori Hills REIT Investment Corp Sekisui House Reit Inc Kenedix Retail REIT Corp United Urban Investment Corp Hulic Reit Inc LaSalle Logiport REIT Japan Prime Realty Investment Corp Japan Logistics Fund Inc Comforia Residential REIT Inc Japan Hotel REIT Investment Corp Kenedix Office Investment Corp AEON REIT Investment Corp Invincible Investment Corp MCUBS MidCity Investment Corp Daiwa Office Investment Corp Premier Investment Corp Hankyu Reit Inc Global One Real Estate Investment Corp Japan Rental Housing Investments Inc Industrial & Infrastructure Fund Investment Corp Japan Excellent Inc Sekisui House Residential Investment Corp Kenedix Residential Investment Corp Nippon Accommodations Fund Inc Tokyu REIT Inc

Nominal

Proceeds JPY

244 411 157 374 591 340 219 297 107 100 176 322 287 160 220 203 297 79 135 122 383 44 225 537 75 42 180 147 52 245 39 141 162 67 39 125

143,120,707 98,414,362 93,881,110 83,869,926 74,073,285 58,309,920 57,924,269 50,941,325 50,748,725 50,087,826 48,740,550 47,241,462 41,341,074 39,084,577 36,238,823 35,205,756 32,615,819 31,585,874 31,193,040 30,280,958 29,416,916 28,147,824 28,034,738 25,309,726 25,016,279 23,557,375 21,845,332 21,098,557 20,146,334 20,007,074 19,882,598 19,290,884 18,870,910 18,359,767 18,321,266 16,597,563

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BNY Mellon Japan Small Cap Equity Focus Fund for the financial year ended 31 December 2017 Major Purchases Anritsu Corp Wacom Co Ltd Resorttrust Inc eGuarantee Inc Vector Inc Itokuro Inc Sanken Electric Co Ltd Sakata INX Corp Anicom Holdings Inc TechMatrix Corp Atrae Inc RS Technologies Co Ltd Nifco Inc/Japan Tomy Co Ltd Open Door Inc Zenkoku Hosho Co Ltd BayCurrent Consulting Inc Nichias Corp Dowa Holdings Co Ltd Star Micronics Co Ltd Penta-Ocean Construction Co Ltd HIS Co Ltd Yonex Co Ltd Nippon Gas Co Ltd Totetsu Kogyo Co Ltd Ain Holdings Inc Osaki Electric Co Ltd V-Cube Inc Sanyo Chemical Industries Ltd 77 Bank Ltd/The CyberAgent Inc

Nominal

Cost JPY

353,300 786,200 130,100 93,800 173,100 50,000 408,000 127,400 82,200 127,800 30,700 42,400 31,100 142,600 56,100 41,600 59,400 134,000 161,800 92,500 248,600 48,100 171,300 42,300 38,700 16,500 144,300 152,000 16,400 149,100 22,000

328,711,539 315,079,094 279,758,561 267,225,801 259,203,353 245,873,142 232,752,126 230,293,950 225,085,689 220,875,636 216,649,870 204,634,863 198,815,673 197,973,453 194,409,467 183,179,905 175,976,486 175,091,558 170,040,952 168,063,869 165,929,868 164,597,925 158,972,190 154,522,865 133,783,393 129,776,091 126,975,821 91,872,801 89,153,095 85,916,454 71,329,569

Major Sales

Nominal

Proceeds JPY

54,200 42,700 315,900 62,700 81,000 177,400 65,000 36,300 31,600 147,000 15,400 18,000 66,000 51,400 39,000 19,000 12,000 53,200 30,100 50,000 23,600 47,900 70,700 9,800 14,200 6,700 43,500 4,600 10,500 12,900 49,700 45,000

212,584,383 202,455,050 167,943,264 133,883,607 129,386,616 105,914,582 102,674,200 96,253,347 85,902,356 82,913,816 81,375,039 80,568,475 80,254,688 73,417,113 72,199,430 63,462,726 57,945,143 55,340,277 52,470,900 48,906,281 48,797,480 47,616,042 44,035,260 43,907,148 43,378,373 41,537,063 40,779,645 36,649,027 35,510,739 34,883,542 28,790,773 26,604,950

Nominal

Proceeds EUR

924,625 416,343 120,595 131,000 252,400 47,500 77,500 22,800 103,600 221,840 107,500 16,647 88,600 108,900 59,700 4,237,000 146,700 34,600 14,100 14,003 305,200 784,200 3,745,000 60,200 65,700 30,400 53,300 102,900 46,500 29,100 98,800 25,300 47,000

26,513,945 26,419,867 25,953,795 11,831,522 11,065,416 11,043,436 10,032,892 9,687,768 9,420,094 9,174,066 8,811,821 6,937,842 6,834,280 6,811,850 6,795,568 6,679,850 6,419,776 6,383,616 6,029,208 5,987,032 5,772,542 5,190,661 4,438,485 4,070,598 3,933,363 3,831,479 3,617,333 3,598,825 3,350,090 3,320,275 3,246,979 3,025,901 2,857,088

CyberAgent Inc Open Door Inc Wacom Co Ltd Persol Holdings Co Ltd TechMatrix Corp Leopalace21 Corp Vector Inc PAL GROUP Holdings Co Ltd Anicom Holdings Inc Sanken Electric Co Ltd Sanyo Chemical Industries Ltd Itokuro Inc Nichias Corp Tomy Co Ltd Star Micronics Co Ltd Nippon Gas Co Ltd SHO-BOND Holdings Co Ltd Financial Products Group Co Ltd Sakata INX Corp Anritsu Corp Resorttrust Inc Dowa Holdings Co Ltd Penta-Ocean Construction Co Ltd Zenkoku Hosho Co Ltd HIS Co Ltd Nifco Inc/Japan Osaki Electric Co Ltd Ain Holdings Inc Totetsu Kogyo Co Ltd eGuarantee Inc 77 Bank Ltd/The V-Cube Inc

BNY Mellon Long-Term Global Equity Fund for the financial year ended 31 December 2017 Major Purchases Schlumberger Ltd Edwards Lifesciences Corp Cerner Corp Kone OYJ SAP SE Alimentation Couche-Tard Inc Novo Nordisk A/S Industria de Diseno Textil SA AIA Group Ltd Cognizant Technology Solutions Corp Colgate-Palmolive Co China Mobile Ltd TJX Cos Inc/The Fastenal Co Taiwan Semiconductor Manufacturing Co Ltd ADR Compass Group Plc

Nominal

Cost EUR

488,343 281,300 283,800 320,500 136,400 320,300 303,000 292,200 1,428,400 78,000 61,200 339,000 46,300 68,000 94,100 146,862

30,203,607 27,587,209 15,835,475 14,196,216 13,220,031 13,100,347 10,684,690 9,503,797 8,126,422 4,193,151 3,776,124 3,091,946 2,789,768 2,784,825 2,672,827 2,507,496

The above constitutes the full purchases detail for the Fund during the financial year.

Major Sales Suncor Energy Inc Schlumberger Ltd WW Grainger Inc CSL Ltd Denso Corp LVMH Moet Hennessy Louis Vuitton SE Adobe Systems Inc Intuitive Surgical Inc Automatic Data Processing Inc Novo Nordisk A/S Shin-Etsu Chemical Co Ltd Syngenta AG Nestle SA Microsoft Corp Mastercard Inc Hong Kong & China Gas Co Ltd Oracle Corp L'Oreal SA Keyence Corp Syngenta AG Compass Group Plc AIA Group Ltd CNOOC Ltd Amphenol Corp Cerner Corp Stryker Corp Colgate-Palmolive Co Industria de Diseno Textil SA Novartis AG Johnson & Johnson Taiwan Semiconductor Manufacturing Co Ltd ADR Praxair Inc Cognizant Technology Solutions Corp

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BNY Mellon Pan European Equity Fund* for the financial year ended 31 December 2017 Major Purchases

Nominal

Cost EUR

2,464 406 5,214 428 704 1,482 100 1,604 103

39,502 19,455 14,555 11,446 10,160 9,935 6,706 4,657 4,009

Anglo American Plc TOTAL SA Barclays Plc Royal Dutch Shell Plc Credit Suisse Group AG Grafton Group Plc Vinci SA Royal Bank of Scotland Group Plc Hella KGaA Hueck & Co The above constitutes the full purchases detail for the Fund during the financial year.

Major Sales Royal Bank of Scotland Group Plc Barclays Plc Infineon Technologies AG CRH Plc Wolters Kluwer NV Roche Holding AG Unilever Plc Credit Suisse Group AG Novartis AG Royal Dutch Shell Plc Vodafone Group Plc DNB ASA RELX Plc Volkswagen AG Pfd Total SA SAP SE LEG Immobilien AG Wolseley Plc British American Tobacco Plc Vivendi SA Associated British Foods Plc Hays Plc GlaxoSmithKline Plc Hella KGaA Hueck & Co Diageo Plc L'Oreal SA Vinci SA Anglo American Plc Telefonica Deutschland Holding AG MTU Aero Engines AG Essilor International Cie Generale d'Optique SA Svenska Cellulosa AB SCA Bayer AG Centrica Plc Industria de Diseno Textil SA Intertrust NV

Nominal

Proceeds EUR

38,935 39,236 5,746 2,820 2,115 313 1,667 5,116 1,013 2,677 27,358 4,019 3,472 413 1,238 653 720 905 814 2,727 1,442 22,871 2,133 1,051 1,495 219 525 2,464 8,085 270 282 1,097 291 9,933 817 1,333

106,654 102,950 96,714 92,771 79,708 73,739 73,151 73,141 71,170 69,368 64,108 61,803 60,886 59,360 58,853 57,377 53,290 52,147 47,211 45,464 43,131 41,918 40,869 39,787 38,637 38,195 36,272 35,546 32,900 31,753 31,689 30,939 30,746 25,903 25,098 22,617

* Please refer to Note 19 of the financial statements.

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BNY Mellon S&P 500® Index Tracker for the financial year ended 31 December 2017 Major Purchases

Nominal

Cost USD

Apple Inc Microsoft Corp Exxon Mobil Corp Amazon.com Inc Facebook Inc Berkshire Hathaway Inc Johnson & Johnson TechnipFMC Plc Alphabet Inc - Class C JPMorgan Chase & Co Alphabet Inc - Class A AT&T Inc General Electric Co Incyte Corp Wells Fargo & Co Procter & Gamble Co/The Chevron Corp Bank of America Corp Walt Disney Co/The UnitedHealth Group Inc

2,266 3,518 2,425 212 1,303 1,039 1,231 3,927 163 1,586 155 3,164 4,066 824 1,969 1,242 947 4,570 890 552

296,656 229,683 200,623 182,343 181,321 174,433 142,132 138,994 138,010 137,679 132,806 130,690 117,942 112,687 110,367 109,443 106,203 106,104 94,281 93,463

Major Sales Apple Inc Microsoft Corp Amazon.com Inc Facebook Inc Johnson & Johnson Exxon Mobil Corp JPMorgan Chase & Co Berkshire Hathaway Inc Alphabet Inc - Class A Bank of America Corp Alphabet Inc - Class C Procter & Gamble Co/The General Electric Co Wells Fargo & Co AT&T Inc Pfizer Inc Citigroup Inc Chevron Corp Home Depot Inc/The Verizon Communications Inc

Nominal

Proceeds USD

7,536 10,363 528 3,125 3,681 5,617 5,025 2,559 398 14,620 395 3,965 12,372 6,145 8,291 8,321 4,362 2,500 1,730 5,307

1,107,699 727,731 498,544 474,959 474,119 461,850 460,007 441,719 365,824 357,088 355,592 355,070 340,609 340,473 322,856 285,168 282,312 274,825 262,579 253,403

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BNY Mellon Small Cap Euroland Fund for the financial year ended 31 December 2017 Major Purchases Elior Group SA 144A Fonciere Des Regions LANXESS AG Evry AS 144A Atos SE Draegerwerk AG & Co KGaA Pfd Cie Plastic Omnium SA Siltronic AG Unipol Gruppo SpA TomTom NV Euskaltel SA 144A ASR Nederland NV Anima Holding SpA 144A Royal Unibrew A/S Uniper SE Industria Macchine Automatiche SpA Moncler SpA Enagas SA Ipsen SA Talanx AG Stabilus SA Maire Tecnimont SpA Oriflame Holding AG Eiffage SA Sopra Steria Group Lenzing AG Metropole Television SA Euronext NV 144A Pfeiffer Vacuum Technology AG Arkema SA Koninklijke BAM Groep NV Galapagos NV Hella GmbH & Co KGaA Amundi SA Teleperformance Italgas SpA Maisons du Monde SA 144A Valmet OYJ K+S AG APERAM SA Philips Lighting NV 144A Jenoptik AG Wirecard AG Cramo OYJ

Nominal

Cost EUR

125,136 33,105 40,416 735,129 20,026 22,061 65,380 16,461 571,053 234,352 219,490 63,263 329,487 46,819 120,893 27,572 84,192 78,994 23,307 56,289 28,096 383,575 55,696 24,706 13,829 13,125 86,947 38,162 12,667 17,066 337,848 22,029 31,792 27,576 14,394 298,598 51,142 98,824 66,884 31,104 42,483 63,157 25,026 62,657

2,803,547 2,720,752 2,645,185 2,321,904 2,295,571 2,251,744 2,222,445 2,144,407 2,134,856 2,114,269 2,053,643 2,007,477 1,981,566 1,943,050 1,902,715 1,878,100 1,877,961 1,869,900 1,868,251 1,862,334 1,860,761 1,855,487 1,845,276 1,809,528 1,782,556 1,759,216 1,755,825 1,703,585 1,654,816 1,647,207 1,632,822 1,599,520 1,578,691 1,574,068 1,559,594 1,556,339 1,551,884 1,546,334 1,521,733 1,449,804 1,422,029 1,418,019 1,363,371 1,335,295

Major Sales Atos SE Ipsen SA Autogrill SpA Moncler SpA Zalando SE 1&1 Drillisch AG Amundi SA Uniper SE Aareal Bank AG Koninklijke BAM Groep NV Prysmian SpA Carl Zeiss Meditec AG Merlin Properties Socimi SA TechnipFMC Plc Symrise AG Gerresheimer AG Teleperformance Grupo Catalana Occidente SA Siemens Gamesa Renewable Energy SA Atresmedia Corp de Medios de Comunicacion SA Alten SA Jenoptik AG A2A SpA Ontex Group NV Bechtle AG Societa Iniziative Autostradali e Servizi SpA Refresco Group NV Lenzing AG Sopra Steria Group Almirall SA SCOR SE Fonciere Des Regions Nyrstar NV Galapagos NV Grammer AG

Nominal

Proceeds EUR

30,002 23,307 229,999 84,192 49,510 33,288 27,576 84,014 52,391 446,808 61,822 36,971 127,214 54,962 20,638 17,608 10,328 32,796 89,210 118,887 16,365 44,588 760,679 35,081 9,352 82,495 57,125 6,041 6,735 107,342 27,750 10,238 149,988 11,294 17,594

3,760,568 2,470,715 2,398,184 2,055,923 2,020,901 1,979,374 1,960,898 1,942,769 1,919,589 1,721,071 1,688,443 1,659,550 1,446,852 1,424,664 1,326,401 1,309,671 1,251,792 1,234,064 1,150,860 1,129,289 1,121,556 1,118,207 1,103,175 1,080,012 1,078,466 1,074,532 1,003,022 932,587 925,047 890,298 878,124 870,959 824,052 808,576 797,065

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BNY Mellon Targeted Return Bond Fund for the financial year ended 31 December 2017 Nominal

Cost USD

Australia Government Bond 4.500% 15-Apr-2020 18,225,000 United States Treasury Note/Bond 1.625% 31-Aug-2022 7,075,000 United States Treasury Inflation Indexed Bonds 0.375% 15-Jan-2027 5,530,020 United States Treasury Note/Bond 2.000% 31-Oct-2022 4,025,000 Canadian Government Bond 2.250% 01-Jun-2025 4,250,000 Spain Government Bond 1.500% 30-Apr-2027 2,000,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 30,800,000 United States Treasury Note/Bond 1.750% 28-Feb-2022 2,025,000 Canadian Government Bond 0.750% 01-May-2019 2,500,000 Japanese Government CPI Linked Bond 0.100% 10-Mar-2027 192,639,053 United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 1,636,128 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 3,300,000 Spain Government Bond 144A 2.900% 31-Oct-2046 1,225,000 United States Treasury Bill 0.000% 01-Mar-2018 1,440,000 United States Treasury Bill 0.000% 28-Sep-2017 1,330,000 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 1,250,000 Portugal Obrigacoes do Tesouro OT 144A 4.100% 15-Feb-2045 1,000,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 16,000,000 Portugal Obrigacoes do Tesouro OT 2.200% 17-Oct-2022 1,200,000 Mexican Bonos 8.000% 07-Nov-2047 23,000,000 Republic of Poland Government Bond 2.500% 25-Jul-2027 4,900,000 Korea Treasury Bond 2.250% 10-Dec-2025 1,175,000,000

14,880,053 7,000,673 5,419,560 4,007,705 3,421,749 2,093,633 1,996,895 1,995,126 1,963,984 1,804,927 1,620,614 1,519,966 1,454,837 1,433,629 1,326,044 1,318,010 1,294,477 1,278,850 1,278,135 1,188,356 1,141,059 1,040,311

Major Purchases

Major Sales and Maturities

Nominal

Proceeds USD

Australia Government Bond 4.500% 15-Apr-2020 United States Treasury Note/Bond 1.625% 31-Aug-2022 Australia Government Bond 3.250% 21-Oct-2018 United States Treasury Inflation Indexed Bonds 0.625% 15-Jan-2026 Canadian Government Bond 2.250% 01-Jun-2025 United States Treasury Note/Bond 2.000% 31-Oct-2022 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2021 United States Treasury Inflation Indexed Bonds 0.375% 15-Jan-2027 Spain Government Bond 1.500% 30-Apr-2027 Canadian Government Bond 0.750% 01-May-2019 Portugal Obrigacoes do Tesouro OT 4.125% 14-Apr-2027 French Republic Government Bond OAT 0.500% 25-May-2026 United States Treasury Bill 0.000% 27-Apr-2017 Republic of Poland Government Bond 3.250% 25-Jul-2025 Portugal Obrigacoes do Tesouro OT 2.200% 17-Oct-2022 United States Treasury Bill 0.000% 28-Sep-2017 Portugal Obrigacoes do Tesouro OT 3.850% 15-Apr-2021 Republic of Poland Government Bond 2.500% 25-Jul-2027 Portugal Obrigacoes do Tesouro OT 2.875% 21-Jul-2026 Mexican Udibonos 4.500% 04-Dec-2025 Korea Treasury Bond 2.250% 10-Dec-2025

18,225,000 7,075,000 6,495,000 4,585,031 5,250,000 4,025,000 3,391,201 2,517,510 2,000,000 2,500,000 1,250,000 1,600,000 1,675,000 6,000,000 1,200,000 1,330,000 1,075,000 4,900,000 975,000 18,712,655 1,175,000,000

15,208,158 6,946,681 5,019,492 4,659,211 4,150,287 4,008,012 3,431,946 2,484,708 2,264,957 1,955,861 1,706,323 1,682,043 1,674,439 1,520,878 1,409,632 1,330,000 1,249,984 1,239,779 1,201,831 1,114,034 1,031,671

Nominal

Proceeds USD

91,301 307,250 33,633 58,815 21,367 70,543 26,874 76,255 44,256 86,941 34,480 31,797 45,256 30,318 14,603 65,463 78,857 33,112 24,652 15,995 44,033 21,411 67,254 31,829 10,219 76,390 26,991 25,780 13,240 82,789 43,119 56,668 11,510 16,076 37,590

10,622,400 7,240,116 5,692,825 5,320,130 4,971,916 4,276,897 4,179,778 3,579,004 3,213,234 3,177,453 3,089,681 3,078,107 3,059,639 3,052,259 2,857,195 2,706,956 2,699,693 2,692,772 2,560,329 2,476,339 2,460,809 2,298,708 2,279,706 2,256,083 2,248,694 2,201,792 2,201,179 2,189,491 2,179,662 2,112,501 2,090,253 2,010,436 2,000,737 1,985,194 1,883,579

BNY Mellon U.S. Dynamic Value Fund for the financial year ended 31 December 2017 Major Purchases iShares Russell 1000 Value ETF Bank of America Corp Johnson & Johnson Citigroup Inc Berkshire Hathaway Inc Cisco Systems Inc Pfizer Inc Occidental Petroleum Corp Hess Corp JPMorgan Chase & Co Capital One Financial Corp AT&T Inc Pioneer Natural Resources Co Verizon Communications Inc Newmont Mining Corp Wells Fargo & Co Goldman Sachs Group Inc/The EOG Resources Inc American Express Co Phillips 66 L3 Technologies Inc Aetna Inc Kraft Heinz Co/The Allstate Corp/The Ameriprise Financial Inc FirstEnergy Corp Merck & Co Inc Oracle Corp United Technologies Corp Omnicom Group Inc Raytheon Co Schlumberger Ltd American International Group Inc

Nominal

Cost USD

84,976 236,092 33,550 66,024 20,116 101,843 81,330 43,148 54,026 26,601 25,927 59,217 13,454 44,977 61,378 33,572 8,443 19,812 24,366 20,715 10,455 13,240 18,625 19,426 12,188 50,747 24,394 32,825 12,622 18,212 8,196 21,672 22,227

9,933,978 5,979,509 4,545,715 4,200,918 3,520,893 3,482,052 2,947,069 2,872,057 2,558,056 2,447,073 2,425,947 2,319,476 2,317,733 2,222,102 2,185,421 2,064,481 1,978,375 1,940,045 1,935,241 1,849,137 1,793,842 1,698,912 1,658,254 1,617,647 1,609,675 1,588,650 1,533,433 1,516,491 1,458,080 1,455,521 1,411,227 1,376,419 1,374,870

Major Sales iShares Russell 1000 Value ETF Bank of America Corp Berkshire Hathaway Inc JPMorgan Chase & Co Goldman Sachs Group Inc/The Merck & Co Inc Raytheon Co Halliburton Co Citigroup Inc AT&T Inc Molson Coors Brewing Co Time Warner Inc Occidental Petroleum Corp EOG Resources Inc General Dynamics Corp Voya Financial Inc Synchrony Financial Omnicom Group Inc Packaging Corp of America Pioneer Natural Resources Co Anadarko Petroleum Corp Prudential Financial Inc Cisco Systems Inc Kellogg Co Martin Marietta Materials Inc Corning Inc Texas Instruments Inc Phillips 66 Aetna Inc Boston Scientific Corp Delta Air Lines Inc E*TRADE Financial Corp UnitedHealth Group Inc Vulcan Materials Co Athene Holding Ltd

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon U.S. Equity Income Fund* for the financial year ended 31 December 2017 Major Purchases JPMorgan Chase & Co Bank of America Corp Occidental Petroleum Corp AT&T Inc Cisco Systems Inc US Bancorp Johnson & Johnson Apple Inc Pfizer Inc BB&T Corp SunTrust Banks Inc Coca-Cola Co/The Omnicom Group Inc Citigroup Inc FirstEnergy Corp Lamar Advertising Co Phillips 66 Kellogg Co Prudential Financial Inc Merck & Co Inc Raytheon Co Valero Energy Corp Vodafone Group Plc ADR United Technologies Corp Texas Instruments Inc NextEra Energy Partners LP Verizon Communications Inc Schlumberger Ltd Uniti Group Inc Dow Chemical Co/The PNC Financial Services Group Inc/The Wells Fargo & Co Ameriprise Financial Inc Conagra Brands Inc Packaging Corp of America Hess Corp Pfd Honeywell International Inc Chubb Ltd Corning Inc Las Vegas Sands Corp American International Group Inc NRG Yield Inc Kraft Heinz Co/The Outfront Media Inc Goldman Sachs Group Inc/The Delta Air Lines Inc

Nominal

Cost USD

117,638 387,543 150,037 244,915 277,174 173,500 61,944 55,165 230,034 161,135 120,823 148,395 81,108 92,113 192,467 80,781 68,871 81,056 52,105 88,443 33,379 65,964 181,557 42,597 58,499 135,841 91,196 66,496 186,278 70,322 34,836 69,334 31,085 113,822 37,964 64,577 26,498 24,439 117,667 51,028 50,845 179,308 34,664 126,627 12,962 55,974

10,500,801 9,770,500 9,532,001 9,520,665 9,202,681 9,103,082 8,383,358 8,247,967 8,206,871 7,551,980 7,062,835 6,513,586 6,407,118 6,132,031 5,970,959 5,874,395 5,842,391 5,737,518 5,642,664 5,605,836 5,555,706 5,142,823 5,029,772 5,009,201 4,782,394 4,657,732 4,605,984 4,582,749 4,496,069 4,445,119 4,370,225 4,264,454 4,145,350 4,111,121 3,791,795 3,761,638 3,556,775 3,394,103 3,347,193 3,265,284 3,196,908 3,149,537 3,020,038 2,998,099 2,993,237 2,958,063

Major Sales Merck & Co Inc Packaging Corp of America Citigroup Inc Chubb Ltd Corning Inc NRG Yield Inc AT&T Inc Vodafone Group Plc ADR US Bancorp Ameriprise Financial Inc Microchip Technology Inc Molson Coors Brewing Co Eli Lilly & Co Nordstrom Inc Coca-Cola Co/The Valero Energy Corp Staples Inc NextEra Energy Partners LP FirstEnergy Corp JPMorgan Chase & Co AmerisourceBergen Corp PNC Financial Services Group Inc/The Time Warner Inc Omnicom Group Inc Pfizer Inc Prudential Financial Inc Kellogg Co Texas Instruments Inc Bank of America Corp Lamar Advertising Co Goldman Sachs Group Inc/The Uniti Group Inc

Nominal

Proceeds USD

88,443 37,964 51,382 24,439 117,667 179,308 89,799 102,537 53,853 16,826 30,344 28,210 27,443 43,929 42,388 27,791 168,931 41,725 49,804 15,838 18,865 9,808 14,206 16,874 40,152 9,969 16,159 11,923 43,131 13,249 3,717 51,610

5,310,538 4,430,245 3,850,511 3,575,578 3,536,333 3,340,834 3,034,105 2,958,114 2,907,775 2,638,322 2,612,872 2,405,592 2,241,026 1,963,575 1,942,371 1,844,319 1,691,578 1,663,326 1,648,283 1,567,175 1,546,049 1,413,008 1,411,023 1,379,096 1,304,237 1,086,643 1,085,893 1,070,298 981,602 915,594 882,330 863,885

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon U.S. High Yield Beta Fund* for the financial year ended 31 December 2017 Major Purchases CSC Holdings LLC 144A 10.875% 15-Oct-2025 Western Digital Corp 10.500% 01-Apr-2024 DISH DBS Corp 7.750% 01-Jul-2026 CSC Holdings LLC 144A 10.125% 15-Jan-2023 Energy Transfer Equity LP 7.500% 15-Oct-2020 Ally Financial Inc 8.000% 15-Mar-2020 KB Home 7.000% 15-Dec-2021 Sprint Capital Corp 6.875% 15-Nov-2028 Toll Brothers Finance Corp 5.875% 15-Feb-2022 Dell International LLC / EMC Corp 144A 7.125% 15-Jun-2024 Scientific Games International Inc 10.000% 01-Dec-2022 T-Mobile USA Inc 6.500% 15-Jan-2026 Sprint Corp 7.250% 15-Sep-2021 Prime Security Services Borrower LLC / Prime Finance Inc 144A 9.250% 15-May-2023 International Game Technology Plc 144A 6.250% 15-Feb-2022 Navient Corp 8.000% 25-Mar-2020 Ardagh Packaging Finance Plc / Ardagh Holdings USA Inc 144A 7.250% 15-May-2024 Sprint Communications Inc 7.000% 15-Aug-2020 HCA Inc 5.875% 01-May-2023 Telecom Italia SpA/Milano 144A 5.303% 30-May-2024

Nominal

Cost USD

100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000 100,000

123,643 117,734 115,624 115,529 112,990 112,901 112,430 112,030 111,235 111,070 111,030 110,742 110,724

100,000 100,000 100,000

110,630 110,597 110,564

100,000 100,000 100,000 100,000

109,945 109,613 109,080 109,067

Major Sales

Nominal

Sirius XM Radio Inc 6.000% 15-Jul-2024 Weatherford International Ltd 9.875% 15-Feb-2024 Post Holdings Inc 6.000% 15-Dec-2022 NewStar Financial Inc 7.250% 01-May-2020 Atwood Oceanics Inc 6.500% 01-Feb-2020 Talen Energy Supply LLC 4.600% 15-Dec-2021 ArcelorMittal 7.250% 01-Mar-2041 CCO Holdings LLC / CCO Holdings Capital Corp 5.750% 15-Jan-2024 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 144A 5.125% 15-Jul-2023 Laredo Petroleum Inc 5.625% 15-Jan-2022 ZF North America Capital Inc 144A 4.750% 29-Apr-2025 Andeavor Logistics LP / Tesoro Logistics Finance Corp 6.250% 15-Oct-2022 Valeant Pharmaceuticals International Inc 144A 5.375% 15-Mar-2020 Alta Mesa Holdings LP / Alta Mesa Finance Services Corp 7.875% 15-Dec-2024 ZF North America Capital Inc 4.500% 29-Apr-2022 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 CNH Industrial Capital LLC 4.875% 01-Apr-2021 TerraForm Power Operating LLC 6.375% 01-Feb-2023 Andeavor Logistics LP / Tesoro Logistics Finance Corp 5.250% 15-Jan-2025 Rice Energy Inc 6.250% 01-May-2022 Andeavor Logistics LP / Tesoro Logistics Finance Corp 5.500% 15-Oct-2019 PDC Energy Inc 7.750% 15-Oct-2022 Lundin Mining Corp 7.500% 01-Nov-2020 NRG Energy Inc 6.625% 15-Mar-2023 Bombardier Inc 4.750% 15-Apr-2019 Platform Specialty Products Corp 6.500% 01-Feb-2022 Altice Financing SA 6.500% 15-Jan-2022 Andeavor Logistics LP / Tesoro Logistics Finance Corp 6.125% 15-Oct-2021 Churchill Downs Inc 5.375% 15-Dec-2021 Freeport-McMoRan Inc 6.500% 15-Nov-2020 West Corp 5.375% 15-Jul-2022 Range Resources Corp 5.000% 15-Aug-2022 Range Resources Corp 5.000% 15-Mar-2023 Consolidated Communications Inc 6.500% 01-Oct-2022 Titan International Inc 6.875% 01-Oct-2020 Halcon Resources Corp 144A 6.750% 15-Feb-2025 Cascades Inc 144A 5.500% 15-Jul-2022

Proceeds USD

100,000 100,000 100,000 100,000 100,000 100,000 50,000 50,000

106,347 105,531 104,888 103,625 101,625 81,066 59,500 51,900

50,000 50,000 45,000 41,000 29,000 25,000 25,000 26,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 25,000 20,000 19,000 18,000

51,760 50,625 48,319 43,578 29,000 26,951 26,688 26,488 26,426 26,335 26,277 26,172 26,171 25,969 25,938 25,906 25,873 25,873 25,813 25,766 25,672 25,469 25,433 25,075 25,013 22,430 20,688 19,570 18,653

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon U.S. Municipal Infrastructure Debt Fund* for the financial year ended 31 December 2017 Major Purchases

Nominal

Southern California Public Power Authority 0.120% 01-Jul-2036 Susquehanna Area Regional Airport Authority 5.000% 01-Jan-2038 Massachusetts Health & Educational Facilities Authority 0.360% 01-Nov-2049 New Jersey Educational Facilities Authority 3.736% 01-Sep-2030 Texas Water Development Board 4.000% 15-Oct-2045 Pennsylvania Economic Development Financing Authority 4.000% 15-Nov-2047 City of Chicago IL 7.045% 01-Jan-2029 Triborough Bridge & Tunnel Authority 1.610% 01-Jan-2032 Tampa-Hillsborough County Expressway Authority 4.000% 01-Jul-2042 Texas A&M University 4.113% 15-May-2045 San Jose Redevelopment Agency Successor Agency 3.250% 01-Aug-2029 Irvine Unified School District 1.600% 01-Sep-2054 Santa Clara Valley Water District 4.354% 01-Jun-2046 Virginia Small Business Financing Authority 5.000% 31-Dec-2052 Health & Educational Facilities Authority of the State of Missouri 4.000% 15-May-2042 Illinois Finance Authority 4.000% 01-Dec-2036 Wisconsin Health & Educational Facilities Authority 4.000% 15-Aug-2036 Florida Higher Educational Facilities Financial Authority 5.000% 01-Mar-2037 Puerto Rico Public Buildings Authority 6.000% 01-Jul-2023 Delaware County Authority 5.000% 01-Jul-2042 New York Transportation Development Corp 5.000% 01-Jul-2046 St Louis County Industrial Development Authority 5.000% 01-Sep-2048 Clackamas County School District No 12 North Clackamas 0.000% 15-Jun-2039 Virginia Commonwealth Transportation Board 4.000% 15-May-2036 Montgomery County Economic Development Authority 3.945% 01-Jun-2039 LaGrange-Troup County Hospital Authority 4.000% 01-Apr-2042 State of Ohio 5.000% 31-Dec-2039 Fulton County Development Authority 5.000% 01-Apr-2047 Louisiana Public Facilities Authority 5.000% 01-Jul-2042 New Hampshire Health and Education Facilities Authority Act 5.000% 01-Jul-2044 Monroe County Hospital Authority/PA 5.000% 01-Jul-2041 Colorado High Performance Transportation Enterprise 5.000% 31-Dec-2047 Illinois Finance Authority 4.125% 15-Nov-2037 California Housing Finance Agency 3.656% 01-Feb-2029 Illinois Finance Authority 4.125% 15-Aug-2037

Cost USD

8,500,000 5,600,000 6,200,000 5,500,000 5,000,000 5,000,000 4,620,000 5,000,000 4,000,000 3,605,000 3,750,000 3,400,000 3,200,000 3,000,000

8,500,000 6,221,165 6,200,000 5,500,000 5,276,250 5,183,950 5,049,670 5,000,000 4,324,960 3,734,492 3,683,588 3,400,000 3,346,112 3,262,920

3,000,000 3,000,000 3,000,000 2,500,000 2,500,000 2,500,000 2,500,000 2,500,000 6,500,000 2,500,000 2,500,000 2,500,000 2,290,000 2,270,000 2,075,000

3,136,350 3,107,700 3,092,160 2,802,600 2,799,300 2,776,675 2,754,400 2,732,250 2,681,380 2,668,775 2,587,250 2,566,025 2,558,617 2,544,829 2,345,696

2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 1,965,000

2,250,020 2,248,220 2,193,280 2,063,520 2,031,770 2,015,265

Major Sales

Nominal

Southern California Public Power Authority 0.120% 01-Jul-2036 Massachusetts Health & Educational Facilities Authority 0.360% 01-Nov-2049 Virginia Commonwealth Transportation Board 4.000% 15-May-2036 Puerto Rico Public Buildings Authority 6.000% 01-Jul-2023 LaGrange-Troup County Hospital Authority 4.000% 01-Apr-2042 Triborough Bridge & Tunnel Authority 1.610% 01-Jan-2032 County of Miami-Dade FL Aviation Revenue 3.982% 01-Oct-2041 Chicago Transit Authority 6.899% 01-Dec-2040 California Educational Facilities Authority 5.000% 01-Apr-2035 South Carolina Public Service Authority 5.000% 01-Dec-2025 TSASC Inc/NY 5.000% 01-Jun-2034 San Francisco City & County Airport Comm-San Francisco International Airport 5.000% 01-May-2044 Washington Health Care Facilities Authority 5.000% 15-Aug-2044 University of Massachusetts Building Authority 6.573% 01-May-2039 Louisiana Public Facilities Authority 4.000% 15-May-2042 City of Chicago IL 5.000% 01-Jan-2020

Proceeds USD

8,500,000 6,200,000 2,500,000 2,500,000 2,500,000 2,000,000 1,500,000 1,000,000 1,075,000 1,075,000 1,000,000

8,500,000 6,200,000 2,731,025 2,710,275 2,539,500 2,000,000 1,510,980 1,305,000 1,247,688 1,195,723 1,135,450

1,000,000 1,000,000 1,000,000 1,010,000 1,000,000

1,125,700 1,112,280 1,077,610 1,021,231 1,020,660

The above constitutes the full sales detail for the Fund during the financial year.

* Please refer to Note 19 of the financial statements.

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BNY MELLON GLOBAL FUNDS, PLC SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon US Opportunities Fund for the financial year ended 31 December 2017 Major Purchases JPMorgan Chase & Co Knight-Swift Transportation Holdings Inc Vanguard S&P 500 ETF SPDR S&P 500 ETF Trust Morgan Stanley Raymond James Financial Inc Abbott Laboratories Synchrony Financial Franklin Resources Inc Southwest Airlines Co Humana Inc Square Inc Ally Financial Inc LyondellBasell Industries NV Toyota Motor Corp ADR Visteon Corp First Data Corp E*TRADE Financial Corp Andeavor Twilio Inc Bank of America Corp MGIC Investment Corp Alphabet Inc Xilinx Inc Celgene Corp HubSpot Inc Valero Energy Corp Citigroup Inc Oracle Corp Nexstar Media Group Inc Newell Brands Inc Continental Resources Inc/OK salesforce.com Inc Alexion Pharmaceuticals Inc Power Integrations Inc Fortinet Inc KeyCorp DowDuPont Inc Splunk Inc Huntington Bancshares Inc/OH

Nominal

Cost USD

34,778 85,915 15,690 14,261 66,854 34,987 52,091 82,519 55,964 37,226 10,574 99,979 86,664 23,040 17,585 18,614 127,665 49,224 19,281 66,670 76,117 153,183 1,928 27,513 15,811 23,331 24,702 26,108 35,485 27,021 32,485 36,206 13,545 10,360 16,557 31,951 65,419 15,387 15,376 69,310

3,712,760 3,508,298 3,488,621 3,393,448 3,127,606 2,736,563 2,638,653 2,632,632 2,485,636 2,443,190 2,416,420 2,303,749 2,290,048 2,226,123 2,225,892 2,177,625 2,119,133 2,019,593 1,998,629 1,965,092 1,937,920 1,896,887 1,874,661 1,808,303 1,799,720 1,757,931 1,754,112 1,742,350 1,705,240 1,679,669 1,457,410 1,441,659 1,324,664 1,291,387 1,261,091 1,227,270 1,174,765 1,093,862 1,072,636 984,947

Major Sales Vanguard S&P 500 ETF Raymond James Financial Inc SPDR S&P 500 ETF Trust Franklin Resources Inc KeyCorp Visteon Corp Union Pacific Corp Steel Dynamics Inc Pioneer Natural Resources Co Citigroup Inc Microchip Technology Inc Square Inc Capital One Financial Corp SLM Corp Wells Fargo & Co Huntington Bancshares Inc/OH Honeywell International Inc American Water Works Co Inc Snap-on Inc Superior Energy Services Inc Lithia Motors Inc MGIC Investment Corp Broadcom Ltd Coca-Cola Co/The Amphenol Corp Molson Coors Brewing Co Conagra Brands Inc Sinclair Broadcast Group Inc Bank of America Corp Synchrony Financial

Nominal

Proceeds USD

15,767 34,987 12,270 55,964 118,869 13,580 14,626 42,026 10,213 19,511 14,788 38,663 12,579 78,208 17,440 69,310 8,075 11,598 5,830 103,922 9,487 66,608 4,148 15,664 8,408 5,522 11,480 13,671 17,299 11,415

3,531,358 3,034,558 2,961,076 2,448,395 2,338,821 1,696,574 1,689,115 1,407,186 1,335,224 1,242,091 1,199,910 1,192,299 1,051,993 997,990 960,785 951,701 949,415 891,724 889,733 861,173 861,119 779,616 733,910 637,079 571,030 542,915 472,334 452,429 439,043 408,824

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APPENDIX 1 UCITS V REMUNERATION POLICY (unaudited) In accordance with the UCITS V Directive, the Irish implementing Regulations and the ESMA UCITS Remuneration Guidelines (the “UCITS Remuneration Code”), the Company is required to disclose details of the remuneration paid by the Manager to its staff for the ﬁnancial year. In line with the requirements of Directive 2009/65/EC, as amended by Directive 2014/91/EU (the “UCITS Directive”), the Manager issubject to the rules on remuneration set out in Article 14(b) of the UCITS Directive. These rules require managers ofUCITS tohave remuneration policies, procedures and practices that: •

are consistent with and promote sound and effective risk management;

•

do not encourage excessive risk-taking inconsistent with the risk proﬁles or governing documentation of the UCITS; and

•

do not impair compliance with the Manager’s duty to act in the best interests of the UCITS.

The Manager applies its remuneration policy and practices in a manner that is proportionate to its size and that of the UCITS it manages, its internal organisation and the nature, scope and complexity of its activities. The Manager also applies this principle of proportionality to the appointment of any third-party that makes investment decisions on behalf of the UCITS under a formal delegation arrangement and which may affect the risk proﬁle of the relevant sub-funds. In broad terms, the Manager’s business model is designed such that it does not promote excessive risk-taking. In accordance with the requirements under the UCITS Directive, the Manager takes appropriate steps to identify individuals providing services to the Manager whose professional activities may have a material impact on the risk proﬁle of the Manager and the UCITS that it manages, known as “Identiﬁed Staff”, including: –

statutory directors;

–

senior management and others within the same remuneration bracket of senior management;

–

the heads of the control functions; and

–

other risk takers including all staff members whose professional activities – either individually or collectively, as members of a group – can have a material inﬂuence on the risk proﬁles of the Manager or of a UCITS it manages.

The executive directors do not receive any compensation directly from the Manager. The independent non-executive directors receive remuneration for their services from the Manager which comprises a ﬁxed fee and no variable compensation component. The operations and activities of the Manager and the UCITS for which it acts as manager are largely performed by employees of other companies within the BNY Mellon Group and the compensation of these individuals is determined by senior management of the relevant business line in accordance with the BNY Mellon policies, principles and practices at global and regional level. In such cases where services arrangements or formal delegation of portfolio management are in place, the Manager seeks toensure that remuneration arrangements in respect of Identiﬁed Staff are considered to be equally effective as those towhich the Manager is directly subject, including the principles of proportionality. Furthermore, the risk framework operated by the Manager in respect of delegated portfolio management arrangements is designed to ensure that individuals performing activities within such third-parties do not have capacity to have a material impact on the risk proﬁle of the UCITS. The BNY Mellon compensation philosophy and principles are based on offering an overall remuneration that supports its core values of: Client Focus, Integrity, Teamwork and Excellence. Performance is rewarded both at the individual and corporate level and determined on the basis of ﬁnancial and non-ﬁnancial factors. This is intended to align the interests of employees and shareholders and/or clients by incentivising actions that contribute to superior ﬁnancial performance and long-term value and by ensuring that incentive compensation arrangements do not encourage employees to take unnecessary and

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APPENDIX 1 UCITS V REMUNERATION POLICY (unaudited) cont’d.

excessive risks. BNY Mellon’s overall compensation structure is balanced between short-term and long-term incentives and a combination of cash and equity compensation. This is intended to discourage employees from taking excessive risks that may adversely affect the long-term performance of companies within the BNY Mellon Group and impact a substantial proportion of their own compensation. BNY Mellon operates remuneration committees at a global, regional and enterprise level with responsibilities relating to the oversight of employee compensation and beneﬁt policies and programmes. The Manager does not operate an individual remuneration committee. Remuneration for identiﬁed staff in respect of the year ended 31 December 2017: USD Total remuneration for the ﬁnancial year (excludes VAT) Of which ﬁxed remuneration Of which variable remuneration

928,276 378,620 549,656

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) SECURITIES LENDING TRANSACTIONS The Company has entered into a securities lending agreement (as amended, assigned, novated and assumed) with The Bank of New York Mellon, London Branch (the “Agent Lender”) effective 27 November 2015. The following table details the aggregate value of securities on loan by Fund as a proportion of total lendable assets and each Fund’s net asset value as at 31 December 2017:

Fund

Currency

BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Equity Fund BNY Mellon Asia Rising Stars Fund BNY Mellon Asian Equity Fund BNY Mellon Emerging Markets Corporate Debt Fund BNY Mellon Emerging Markets Debt Fund BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Euroland Bond Fund BNY Mellon European Credit Fund BNY Mellon Global Bond Fund BNY Mellon Global Credit Fund BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund BNY Mellon Global Equity Fund BNY Mellon Global Equity Income Fund BNY Mellon Global High Yield Bond Fund BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunities Fund BNY Mellon Global Real Return Fund (EUR) BNY Mellon Global Real Return Fund (GBP) BNY Mellon Global Real Return Fund (USD) BNY Mellon Global Short-Dated High Yield Bond Fund BNY Mellon Japan All Cap Equity Fund BNY Mellon Japan REIT Alpha Fund BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund BNY Mellon S&P 500® Index Tracker BNY Mellon Small Cap Euroland Fund BNY Mellon Targeted Return Bond Fund BNY Mellon U.S. Dynamic Value Fund BNY Mellon U.S. Equity Income Fund BNY Mellon US Opportunities Fund

EUR GBP USD USD USD USD USD USD EUR EUR USD USD USD USD USD USD USD USD USD EUR GBP USD USD JPY JPY JPY EUR USD EUR USD USD USD USD

Aggregate value ofsecurities on loan

% of Total lendable assets

% of Net asset value

207,801,842 6,547,494 1,748,705 6,361,922 18,744,059 8,002,010 9,197,229 1,905,195 130,809,923 2,130,766 53,097,232 20,070,540 98,728,234 4,031,364 5,607,266 102,002,039 5,112,703 7,484,054 3,796,421 471,632,997 773,220 34,793,561 26,712,805 672,347,500 252,851,376 962,106,473 89,225,708 3,959,812 13,542,777 170,428 5,904,276 14,595,229 12,848,993

20.40 0.99 16.95 20.33 6.14 11.95 1.92 3.97 16.55 2.53 22.18 4.95 26.66 11.78 2.86 14.76 5.19 12.56 7.53 26.66 2.52 13.41 4.23 13.91 15.51 12.38 7.09 4.79 13.20 0.24 5.82 6.23 13.88

14.02 0.36 12.71 8.91 5.45 10.55 0.96 2.83 14.90 2.30 13.31 4.35 13.97 4.92 1.79 10.17 4.87 9.52 5.12 12.19 1.14 6.23 3.79 13.53 15.00 11.94 6.97 4.79 12.76 0.19 5.78 6.02 13.94

The collaterals are held in the name of the Agent Lender to the order of its clients; the actual segregation to underlying client level is done with the Agent Lender’s books and records. The collaterals are held on account at the tri-party agent, who acts as a settlement and collection service for securities and collateral between the lender and the borrower. The tri-party agents used are Euroclear, Global Collateral Management – The Bank of New York Mellon Institutional Bank and JPMorgan Chase Bank, N.A. (where JPMorgan are the borrower). For bilateral transactions, the collaterals are held on account at the AgentLender.

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. The following table provides an analysis of the amounts held at each collateral agent as non-cash collateral received in respect of securities lending transactions as at 31 December 2017:

Fund

Collateral agent

BNY Mellon Absolute Return Bond Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank Euroclear Triparty

Aggregate value of collateral held EUR 225,643,429 448,958 2,087,771 228,180,158

Fund

Collateral agent

BNY Mellon Euroland Bond Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank Euroclear Triparty JPMorgan Chase Bank, N.A.

Aggregate value of collateral held EUR 28,242,825 447,380 95,452,894 12,935,693 137,078,792

BNY Mellon Absolute Return Equity Fund The Bank of New York Mellon, London Branch Euroclear Triparty

GBP 6,077,674 1,048,952 7,126,626

BNY Mellon European Credit Fund The Bank of New York Mellon, London Branch Euroclear Triparty

EUR 595,089 1,653,497 2,248,586

BNY Mellon Asia Rising Stars Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank JPMorgan Chase Bank, N.A.

USD 1,110,465 57,999 759,620

BNY Mellon Global Bond Fund The Bank of New York Mellon, London Branch Euroclear Triparty

1,928,084 BNY Mellon Asian Equity Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank JPMorgan Chase Bank, N.A.

USD 5,437,841 1,502,535 41,795

USD 48,273,487 9,280,387 57,553,874

BNY Mellon Global Credit Fund The Bank of New York Mellon, London Branch Euroclear Triparty

USD 11,993,982 9,715,823 21,709,805

6,982,171 BNY Mellon Emerging Markets Corporate Debt Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank Euroclear Triparty JPMorgan Chase Bank, N.A.

USD 6,726,376 8,331,364 4,413,231 2,122,655 21,593,626

BNY Mellon Emerging Markets Debt Fund The Bank of New York Mellon, London Branch Euroclear Triparty JPMorgan Chase Bank, N.A.

USD 1,964,503 5,680,374 975,824 8,620,701

BNY Mellon Emerging Markets Debt Local Currency Fund Euroclear Triparty

USD 10,608,282 10,608,282

BNY Mellon Emerging Markets Debt Opportunistic Fund The Bank of New York Mellon, London Branch Euroclear Triparty

USD 421,369 1,612,056

BNY Mellon Global Dynamic Bond Fund The Bank of New York Mellon, London Branch Euroclear Triparty

USD 96,569,733 14,248,647 110,818,380

BNY Mellon Global Emerging Markets Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 1,021,631 3,176,764 4,198,395

BNY Mellon Global Equity Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 6,185,463 48,475 6,233,938

BNY Mellon Global Equity Income Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 95,058,408 14,978,396 110,036,804

2,033,425

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Fund

Collateral agent

BNY Mellon Global High Yield Bond Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank Euroclear Triparty

Aggregate value of collateral held USD 132,726 4,420,447 682,238

Fund

Collateral agent

BNY Mellon Japan REIT Alpha Fund The Bank of New York Mellon, London Branch JPMorgan Chase Bank, N.A.

Aggregate value of collateral held JPY 39,307,801 240,028,172 279,335,973

5,235,411 BNY Mellon Global Opportunistic Bond Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank Euroclear Triparty JPMorgan Chase Bank, N.A.

USD 1,897,632 313,164 4,235,067 1,486,715 7,932,578

BNY Mellon Global Opportunities Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 2,884,897 1,236,656 4,121,553

BNY Mellon Global Real Return Fund (EUR) The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

EUR 510,991,739 7,135,130 518,126,869

BNY Mellon Global Real Return Fund (GBP) The Bank of New York Mellon, London Branch

GBP 852,366 852,366

BNY Mellon Global Real Return Fund (USD) The Bank of New York Mellon, London Branch

USD 38,258,989 38,258,989

BNY Mellon Global Short-Dated High Yield Bond Fund The Bank of New York Mellon Institutional Bank Euroclear Triparty

USD 2,648,029 25,833,156 28,481,185

BNY Mellon Japan All Cap Equity Fund The Bank of New York Mellon, London Branch JPMorgan Chase Bank, N.A.

JPY 623,499,845 111,867,233 735,367,078

BNY Mellon Japan Small Cap Equity Focus Fund The Bank of New York Mellon, London Branch JPMorgan Chase Bank, N.A.

JPY 817,236,958 226,015,571 1,043,252,529

BNY Mellon Long-Term Global Equity Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

EUR 89,535,834 8,173,770 97,709,604

BNY Mellon S&P 500® Index Tracker The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 3,116,643 1,193,285 4,309,928

BNY Mellon Small Cap Euroland Fund The Bank of New York Mellon, London Branch

EUR 14,793,002 14,793,002

BNY Mellon Targeted Return Bond Fund The Bank of New York Mellon Institutional Bank

USD 174,402 174,402

BNY Mellon U.S. Dynamic Value Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 5,125,676 1,405,385 6,531,061

BNY Mellon U.S. Equity Income Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 7,427,796 8,447,557 15,875,353

BNY Mellon US Opportunities Fund The Bank of New York Mellon, London Branch The Bank of New York Mellon Institutional Bank

USD 9,451,212 4,372,204 13,823,416

The type and quality of collateral obtained in respect of securities lending transactions are as follows: (1) debt obligations and securities issued or guaranteed by the following governments, agencies and instrumentalities where rated either (i) AA or better by Standard & Poor’s or (ii) AA or better by Fitch or (iii) Aa2 or better by Moody’s Rating Agencies, respectively: Australia; Austria; Belgium; Canada; Denmark; Finland; France; Germany; Ireland; Italy; Japan; Luxembourg; Netherlands; New Zealand; Norway; Portugal; Spain; Sweden; Switzerland; United Kingdom; United States of America; 479

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SECURITIES LENDING TRANSACTIONS cont’d. (2) debt obligations where rated either (i) AAA or better by Standard & Poor’s or (ii) AAA or better by Fitch or (iii) Aaa2 or better by Moody’s Rating Agencies, respectively for the following Supranational issuers: European Bank for Reconstruction and Development; European Investment Bank; European Union; Inter-American Development Bank; International Bank for Reconstruction and Development; International Finance Corporation; (3) equity securities from the following indices: AEX 25 (Netherlands), CAC 40 (France), DAX 30 (Germany), Euro 50 (Eurozone), FTSE 100 (United Kingdom), Nikkei 225 (Japan), SMI 20 (Switzerland), S&P 500 (United States of America); (4) FTSE100 DBV (Class F10) as deﬁned in the Crest Reference Manual); and (5) unstripped British Government Stock (Class UBG) as deﬁned in the CREST Reference Manual. The following table provides an analysis of the type and quality of non-cash collateral received in respect of securities lending transactions as at 31 December 2017:

Fund

Type of collateral

Quality of collateral

BNY Mellon Absolute Return Bond Fund Fixed income securities Investment grade Equities Recognised equity indices

Aggregate value of collateral held EUR 6,759,452 221,420,706

Quality of collateral

Aggregate value of collateral held

BNY Mellon Emerging Markets Debt Opportunistic Fund Fixed income securities Investment grade

USD 2,033,425

Fund

Type of collateral

2,033,425

228,180,158 BNY Mellon Absolute Return Equity Fund Fixed income securities Investment grade Equities Recognised equity indices

GBP 3,181,189 3,945,437

BNY Mellon Euroland Bond Fund Fixed income securities Equities

Investment grade Recognised equity indices

EUR 108,835,966 28,242,826 137,078,792

7,126,626 BNY Mellon Asia Rising Stars Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 527,135 1,400,949 1,928,084

BNY Mellon Asian Equity Fund Fixed income securities Equities

Investment grade Recognised equity indices

USD 3,175,902 3,806,269 6,982,171

BNY Mellon Emerging Markets Corporate Debt Fund Fixed income securities Investment grade

USD 21,593,626

BNY Mellon European Credit Fund Fixed income securities Investment grade

EUR 2,248,586 2,248,586

BNY Mellon Global Bond Fund Fixed income securities Equities

Investment grade Recognised equity indices

USD 17,505,023 40,048,851 57,553,874

BNY Mellon Global Credit Fund Fixed income securities Equities

Investment grade Recognised equity indices

USD 9,715,822 11,993,983 21,709,805

21,593,626 BNY Mellon Emerging Markets Debt Fund Fixed income securities Investment grade

USD 8,620,701

BNY Mellon Global Dynamic Bond Fund Fixed income securities Investment grade Equities Recognised equity indices

110,818,380

8,620,701 BNY Mellon Emerging Markets Debt Local Currency Fund Fixed income securities Investment grade

USD 10,608,282 10,608,282

USD 14,770,762 96,047,618

BNY Mellon Global Emerging Markets Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 3,523,476 674,919 4,198,395

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Fund

Type of collateral

BNY Mellon Global Equity Fund Fixed income securities Equities

Quality of collateral

Investment grade Recognised equity indices

Aggregate value of collateral held USD 48,475 6,185,463

Fund

Type of collateral

Quality of collateral

BNY Mellon Japan REIT Alpha Fund Equities Recognised equity indices

Aggregate value of collateral held JPY 279,335,973 279,335,973

6,233,938 BNY Mellon Global Equity Income Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 39,776,643 70,260,161

BNY Mellon Japan Small Cap Equity Focus Fund Fixed income securities Investment grade Equities Recognised equity indices

JPY 591,343,864 451,908,665 1,043,252,529

110,036,804 BNY Mellon Global High Yield Bond Fund Fixed income securities Investment grade

USD 5,235,411

BNY Mellon Long-Term Global Equity Fund Fixed income securities Investment grade Equities Recognised equity indices

5,235,411 BNY Mellon Global Opportunistic Bond Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 6,248,283 1,684,295

97,709,604 BNY Mellon S&P 500® Index Tracker Fixed income securities Investment grade Equities Recognised equity indices

7,932,578 BNY Mellon Global Opportunities Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 1,518,388 2,603,165

EUR 48,156,836 469,970,033

USD 1,924,445 2,385,483 4,309,928

BNY Mellon Small Cap Euroland Fund Fixed income securities Investment grade Equities Recognised equity indices

4,121,553 BNY Mellon Global Real Return Fund (EUR) Fixed income securities Investment grade Equities Recognised equity indices

EUR 24,943,937 72,765,667

EUR 7,158,116 7,634,886 14,793,002

BNY Mellon Targeted Return Bond Fund Fixed income securities Investment grade

USD 174,402 174,402

518,126,869 BNY Mellon Global Real Return Fund (GBP) Fixed income securities Investment grade Equities Recognised equity indices

GBP 162,412 689,954

BNY Mellon U.S. Dynamic Value Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 2,912,907 3,618,154 6,531,061

852,366 BNY Mellon Global Real Return Fund (USD) Fixed income securities Investment grade Equities Recognised equity indices

USD 2,298,748 35,960,241

BNY Mellon U.S. Equity Income Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 11,325,745 4,549,608 15,875,353

38,258,989 BNY Mellon Global Short-Dated High Yield Bond Fund Fixed income securities Investment grade

USD 28,481,185 28,481,185

BNY Mellon Japan All Cap Equity Fund Fixed income securities Investment grade Equities Recognised equity indices

BNY Mellon US Opportunities Fund Fixed income securities Investment grade Equities Recognised equity indices

USD 6,616,869 7,206,547 13,823,416

JPY 248,270,574 487,096,504 735,367,078

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. The following table lists the ten largest collateral issuers based on the value of non-cash collateral received in respect ofsecurities lending transactions as at 31 December 2017: Collateral issuer BNY Mellon Absolute Return Bond Fund Glencore PLC MGM Resorts International Royal Dutch Shell PLC Worldpay Group PLC Koninklijke Ahold Delhaize NV Quest Diagnostics Inc Shire PLC McDonald's Corp Northrop Grumman Corp Time Warner Inc BNY Mellon Absolute Return Equity Fund United Kingdom French Republic United States of America Republic of Austria Visa Inc Amazon.com Inc Pﬁzer Inc Microsoft Corp Alphabet Inc Applied Materials Inc BNY Mellon Asia Rising Stars Fund United Kingdom Siemens AG TOTAL SA United States of America Credit Suisse Group AG Government of Canada Danone SA Roche Holding AG German Federal Republic Lowe's Cos Inc BNY Mellon Asian Equity Fund United States of America United Kingdom Societe Generale SA Siemens AG TOTAL SA Daimler AG Credit Agricole SA E.ON SE National Grid PLC Government of Canada

Aggregate value of collateral held EUR 13,804,166 10,439,966 7,265,804 6,719,646 5,998,899 5,726,433 5,673,055 5,423,516 5,282,209 5,101,590 GBP 1,149,116 1,125,138 428,393 319,515 181,904 169,879 148,821 145,701 141,646 132,565 USD 309,317 76,026 68,965 58,055 53,072 52,476 52,209 46,228 41,019 38,567 USD 1,568,626 1,227,641 163,986 132,347 131,961 130,274 129,145 128,167 128,167 125,169

Collateral issuer

Aggregate value of collateral held

BNY Mellon Emerging Markets Corporate Debt Fund United States of America United Kingdom French Republic German Federal Republic Republic of Austria European Investment Bank Republic of Finland Kingdom of the Netherlands International Bank for Reconstruction & Development Inter-American Development Bank

USD 8,331,364 5,832,018 2,433,308 2,396,638 989,168 777,095 318,837 279,354 107,731 43,739

BNY Mellon Emerging Markets Debt Fund French Republic German Federal Republic European Investment Bank Republic of Austria United Kingdom United States of America Kingdom of the Netherlands Republic of Finland Norwegian Government The Grand Duchy of Luxembourg

USD 2,241,025 2,219,051 1,000,958 839,774 641,433 549,859 449,246 255,541 161,475 137,848

BNY Mellon Emerging Markets Debt Local Currency Fund* European Investment Bank Norwegian Government The Grand Duchy of Luxembourg German Federal Republic French Republic Republic of Austria Kingdom of the Netherlands International Bank for Reconstruction & Development Republic of Finland

USD 5,072,080 1,357,751 1,157,574 1,012,566 762,620 595,342 461,215 130,344 58,790

BNY Mellon Emerging Markets Debt Opportunistic Fund European Investment Bank French Republic United Kingdom Republic of Austria German Federal Republic Republic of Finland Kingdom of the Netherlands International Bank for Reconstruction & Development Norwegian Government Inter-American Development Bank

USD 499,296 488,544 278,999 251,275 174,650 100,086 66,717 53,510 31,575 27,246

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Collateral issuer BNY Mellon Euroland Bond Fund French Republic German Federal Republic Republic of Austria Kingdom of the Netherlands European Investment Bank United States of America United Kingdom Volkswagen AG JXTG Holdings Inc International Bank for Reconstruction & Development BNY Mellon European Credit Fund European Investment Bank French Republic Republic of Austria German Federal Republic Norwegian Government The Grand Duchy of Luxembourg Republic of Finland United Kingdom Kingdom of the Netherlands Commonwealth of Australia

Aggregate value of collateral held EUR 41,838,860 29,236,157 14,103,852 8,314,947 4,317,822 3,058,730 2,880,714 2,465,587 2,297,173 2,012,997 EUR 663,576 589,056 321,793 260,087 118,918 101,461 59,325 50,835 40,579 22,241

Collateral issuer BNY Mellon Global Dynamic Bond Fund United Kingdom Daimler AG TOTAL SA Royal Dutch Shell PLC Time Warner Inc Vodafone Group PLC BP PLC Exxon Mobil Corp LVMH Moet Hennessy Louis Vuitton SE Monsanto Co BNY Mellon Global Emerging Markets Fund United States of America United Kingdom Visa Inc Amazon.com Inc Pﬁzer Inc Microsoft Corp Alphabet Inc Applied Materials Inc Express Scripts Holding Co Lowe's Cos Inc

BNY Mellon Global Bond Fund German Federal Republic Daimler AG TOTAL SA Royal Dutch Shell PLC Kingdom of the Netherlands French Republic Vodafone Group PLC BP PLC LVMH Moet Hennessy Louis Vuitton SE Citigroup Inc

USD 7,407,399 3,971,559 3,695,397 3,396,274 3,197,337 3,065,994 2,737,096 2,445,718 2,156,707 1,784,033

BNY Mellon Global Equity Fund Visa Inc Amazon.com Inc Pﬁzer Inc Microsoft Corp Alphabet Inc Applied Materials Inc Express Scripts Holding Co Lowe's Cos Inc QUALCOMM Inc CR Bard Inc

BNY Mellon Global Credit Fund European Investment Bank French Republic Republic of Austria Glencore PLC Republic of Finland MGM Resorts International German Federal Republic United Kingdom Koninklijke Ahold Delhaize NV Worldpay Group PLC

USD 2,513,816 2,263,531 1,223,962 1,199,397 1,065,358 935,569 695,259 610,114 537,587 529,588

BNY Mellon Global Equity Income Fund United Kingdom United States of America Lowe's Cos Inc Apple Inc Rockwell Collins Inc CR Bard Inc eBay Inc Time Warner Inc Philip Morris International Inc Colgate-Palmolive Co

Aggregate value of collateral held USD 10,588,400 4,207,193 4,055,827 3,863,219 3,182,267 2,899,488 2,590,823 2,315,592 2,284,664 1,992,144 USD 3,176,764 346,711 46,491 41,235 37,339 37,238 36,202 33,881 30,309 27,963 USD 367,447 325,909 295,117 294,316 286,126 267,782 239,549 221,008 199,420 180,040 USD 22,428,104 15,360,544 4,632,428 4,468,518 3,896,605 3,420,427 3,191,843 2,574,303 2,234,562 2,192,483

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Collateral issuer

Aggregate value of collateral held

BNY Mellon Global High Yield Bond Fund* United States of America European Investment Bank German Federal Republic United Kingdom Commonwealth of Australia French Republic Republic of Austria Kingdom of the Netherlands

USD 4,420,446 373,965 242,503 132,726 46,292 14,695 4,771 13

BNY Mellon Global Opportunistic Bond Fund German Federal Republic French Republic United States of America United Kingdom Republic of Austria European Investment Bank Kingdom of the Netherlands Daimler AG TOTAL SA Republic of Finland

USD 2,247,834 1,756,733 613,289 449,607 380,191 316,154 222,586 167,028 155,414 152,976

BNY Mellon Global Opportunities Fund United States of America United Kingdom Wells Fargo & Co General Electric Co Societe Generale SA Visa Inc Amazon.com Inc Pﬁzer Inc Microsoft Corp Alphabet Inc

USD 1,258,529 127,998 88,234 83,612 76,776 73,619 67,833 59,127 58,967 57,326

BNY Mellon Global Real Return Fund (EUR) United Kingdom Royal Dutch Shell PLC Toyota Motor Corp Fast Retailing Co Ltd Sumitomo Mitsui Financial Group Inc National Grid PLC Time Warner Inc Daimler AG United States of America Shin-Etsu Chemical Co Ltd

EUR 35,378,742 22,689,718 15,429,963 15,363,363 15,363,357 10,106,448 9,429,363 8,524,747 8,300,487 7,923,436

Collateral issuer

Aggregate value of collateral held

BNY Mellon Global Real Return Fund (GBP) United States of America Wells Fargo & Co General Electric Co Align Technology Inc Societe Generale SA Carnival Corp NVIDIA Corp Royal Caribbean Cruises Ltd State Street Corp German Federal Republic

GBP 146,170 58,084 44,422 35,149 25,108 19,639 18,305 18,059 17,537 16,241

BNY Mellon Global Real Return Fund (USD) Glencore PLC Royal Dutch Shell PLC United States of America MGM Resorts International Toyota Motor Corp Fast Retailing Co Ltd Sumitomo Mitsui Financial Group Inc Koninklijke Ahold Delhaize NV Worldpay Group PLC Quest Diagnostics Inc

USD 1,905,500 1,552,444 1,502,172 1,405,586 1,294,696 1,294,695 1,294,695 802,267 790,331 765,829

BNY Mellon Global Short-Dated High Yield Bond Fund European Investment Bank German Federal Republic United States of America French Republic Commonwealth of Australia United Kingdom Republic of Austria Republic of Finland Norwegian Government The Grand Duchy of Luxembourg BNY Mellon Japan All Cap Equity Fund United States of America Wells Fargo & Co General Electric Co United Kingdom Align Technology Inc Apple Inc Siemens AG TOTAL SA Societe Generale SA Lowe's Cos Inc

USD 12,507,756 7,744,926 2,648,029 1,871,685 1,448,721 836,622 698,209 302,657 157,370 134,576 JPY 203,926,146 22,568,852 17,028,065 15,989,148 13,541,284 11,737,131 11,204,188 10,156,232 9,673,845 8,839,714

484

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Collateral issuer BNY Mellon Japan REIT Alpha Fund Siemens AG TOTAL SA Credit Suisse Group AG Danone SA Roche Holding AG Vinci SA JXTG Holdings Inc Nippon Steel & Sumitomo Metal Corp Legrand SA Toyota Motor Corp BNY Mellon Japan Small Cap Equity Focus Fund United States of America United Kingdom French Republic Siemens AG German Federal Republic TOTAL SA Government of Canada Kingdom of the Netherlands Credit Suisse Group AG Danone SA BNY Mellon Long-Term Global Equity Fund United Kingdom United States of America Sky PLC Apple Inc Lowe's Cos Inc Rockwell Collins Inc HSBC Holdings PLC TechnipFMC PLC CR Bard Inc eBay Inc BNY Mellon S&P 500® Index Tracker United States of America United Kingdom Government of Canada Novartis AG Nestle SA German Federal Republic Vinci SA UBS Group AG T&D Holdings Inc Kingdom of the Netherlands

Aggregate value of collateral held JPY 24,005,917 21,791,726 16,769,869 16,493,264 14,607,332 9,978,972 9,034,875 7,988,987 6,407,600 6,302,569 JPY 397,882,887 84,414,491 52,873,068 22,603,064 20,564,649 20,519,553 17,270,336 16,291,848 15,790,866 15,530,068 EUR 13,529,946 8,951,939 2,810,373 2,138,569 2,032,712 1,808,327 1,672,499 1,571,190 1,481,683 1,481,262 USD 1,293,432 345,525 92,508 84,241 76,846 73,410 73,229 63,699 62,353 61,894

Collateral issuer BNY Mellon Small Cap Euroland Fund United Kingdom United States of America French Republic Wells Fargo & Co German Federal Republic General Electric Co Government of Canada Kingdom of the Netherlands Align Technology Inc Lowe's Cos Inc BNY Mellon Targeted Return Bond Fund* United States of America

Aggregate value of collateral held EUR 3,116,998 1,688,790 1,617,618 298,102 250,333 243,495 239,999 215,951 176,210 169,811 USD 174,402

BNY Mellon U.S. Dynamic Value Fund United States of America United Kingdom E.ON SE Siemens AG National Grid PLC Societe Generale SA TOTAL SA Daimler AG Credit Agricole SA Government of Canada

USD 1,409,783 686,741 293,941 293,941 293,941 293,940 293,938 289,032 270,260 268,600

BNY Mellon U.S. Equity Income Fund United States of America United Kingdom Government of Canada German Federal Republic Kingdom of the Netherlands French Republic Amazon.com Inc Visa Inc Pﬁzer Inc Microsoft Corp

USD 8,447,557 1,316,485 514,908 400,618 342,459 242,739 229,071 223,765 179,718 179,230

BNY Mellon US Opportunities Fund United States of America French Republic German Federal Republic Visa Inc Amazon.com Inc Pﬁzer Inc Microsoft Corp Alphabet Inc Applied Materials Inc Kingdom of the Netherlands

USD 4,700,685 1,039,438 491,715 334,563 298,511 268,706 267,977 260,520 243,817 234,519

* Where there are less than 10 collateral issuers as at 31 December 2017, all issuers have been included.

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. The following table provides a currency analysis of the non-cash collateral received by Fund in respect of securities lending transactions as at 31 December 2017:

Fund

Currency

BNY Mellon Absolute Return Bond Fund Euro Japanese yen Sterling Swiss franc US dollar

Aggregate value of collateral held EUR 42,945,021 38,090,813 59,197,649 3,278,321 84,668,354 228,180,158

Fund

Currency

BNY Mellon Emerging Markets Debt Fund Australian dollar Euro Norwegian krone Sterling Swedish krona US dollar

Aggregate value of collateral held USD 20,830 6,379,977 291,693 870,486 208,976 848,739 8,620,701

BNY Mellon Absolute Return Equity Fund Euro Japanese yen Sterling Swiss franc US dollar

GBP 1,717,179 314,797 1,190,564 16,607 3,887,479 7,126,626

BNY Mellon Emerging Markets Debt Local Currency Fund Euro Norwegian krone Sterling Swedish krona US dollar

USD 4,394,482 2,399,449 942,134 1,757,159 1,115,058 10,608,282

BNY Mellon Asia Rising Stars Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 52,476 416,419 219,839 408,687 120,964 709,699 1,928,084

BNY Mellon Emerging Markets Debt Opportunistic Fund Australian dollar Euro Norwegian krone Sterling Swedish krona US dollar

USD 11,019 1,123,396 59,470 368,635 40,863 430,042 2,033,425

BNY Mellon Asian Equity Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 125,169 1,698,443 248,003 1,754,919 134,700 3,020,937 6,982,171

BNY Mellon Emerging Markets Corporate Debt Fund Australian dollar Danish krone Euro Norwegian krone Sterling Swedish krona US dollar

USD 25,095 880 6,482,043 63,358 6,003,775 47,370 8,971,105 21,593,626

BNY Mellon Euroland Bond Fund Australian dollar Euro Japanese yen Norwegian krone Sterling Swedish krona Swiss franc US dollar

EUR 380,760 106,059,591 19,324,433 471,691 5,522,878 345,360 1,311,513 3,662,566 137,078,792

BNY Mellon European Credit Fund Australian dollar Euro Norwegian krone Sterling Swedish krona US dollar

EUR 22,241 1,580,088 212,782 181,912 153,901 97,662 2,248,586

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SECURITIES LENDING TRANSACTIONS cont’d. Fund

Currency

BNY Mellon Global Bond Fund Canadian dollar Euro Japanese yen Sterling US dollar

Aggregate value of collateral held USD 24,900 40,738,774 86,009 14,617,170 2,087,021

Fund

Currency

BNY Mellon Global Equity Income Fund Euro Japanese yen Sterling Swiss franc US dollar

57,553,874 BNY Mellon Global Credit Fund Australian dollar Danish krone Euro Japanese yen Norwegian krone Sterling Swedish krona Swiss franc US dollar

USD 46,773 3,396 9,589,167 107,934 865,527 5,359,837 643,349 290,784 4,803,038 21,709,805

BNY Mellon Global Dynamic Bond Fund Australian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 343,855 34,114,931 1,566,688 32,731,091 482,455 41,579,360 110,818,380

BNY Mellon Global Emerging Markets Fund Euro Japanese yen Sterling Swiss franc US dollar

USD 1 19,808 346,711 3,857 3,828,018 4,198,395

BNY Mellon Global Equity Fund Euro Japanese yen Sterling Swiss franc US dollar

USD 595,757 260,462 143,581 30,482 5,203,656

Aggregate value of collateral held USD 5,231,989 12,660,409 24,168,179 44,290 67,931,937 110,036,804

BNY Mellon Global High Yield Bond Fund Australian dollar Euro Sterling US dollar

USD 46,292 635,767 132,905 4,420,447 5,235,411

BNY Mellon Global Opportunistic Bond Fund Australian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 19,812 5,999,682 3,617 1,047,393 68,578 793,496 7,932,578

BNY Mellon Global Opportunities Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 42,675 508,593 273,257 277,176 24,046 2,995,806 4,121,553

BNY Mellon Global Real Return Fund (EUR) Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

EUR 1,400,467 65,878,713 137,442,077 113,657,274 1,338,097 198,410,241 518,126,869

6,233,938

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Fund

Currency

BNY Mellon Global Real Return Fund (GBP) Euro Japanese yen Sterling Swiss franc US dollar

Aggregate value of collateral held GBP 78,021 128,720 25,842 1,191 618,592 852,366

Fund

Currency

BNY Mellon Japan Small Cap Equity Focus Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

Aggregate value of collateral held JPY 17,270,373 192,225,240 81,256,365 121,037,851 36,758,078 594,704,622 1,043,252,529

BNY Mellon Global Real Return Fund (USD) Euro Japanese yen Sterling Swiss franc US dollar

USD 5,416,691 10,948,638 9,867,451 442,028 11,584,181 38,258,989

BNY Mellon Global Short-Dated High Yield Bond Fund Australian dollar Euro Norwegian krone Sterling Swedish krona US dollar

USD 1,448,721 22,542,958 292,453 1,216,120 203,664 2,777,269 28,481,185

BNY Mellon Japan All Cap Equity Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

JPY 6,162,759 94,007,231 86,863,186 39,398,391 17,518,033 491,417,478 735,367,078

BNY Mellon Japan REIT Alpha Fund Euro Japanese yen Sterling Swiss franc US dollar

JPY 92,093,334 56,411,189 18,213,350 31,665,506 80,952,594 279,335,973

BNY Mellon Long-Term Global Equity Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

EUR 252,661 13,517,856 16,100,754 25,303,557 1,356,755 41,178,021 97,709,604

BNY Mellon S&P 500® Index Tracker Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 92,508 856,250 154,705 497,580 467,228 2,241,657 4,309,928

BNY Mellon Small Cap Euroland Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

EUR 239,999 2,882,512 958,813 3,754,274 149,841 6,807,563 14,793,002

BNY Mellon Targeted Return Bond Fund US dollar

USD 174,402 174,402

BNY Mellon U.S. Dynamic Value Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 268,600 2,998,591 2,438 1,358,794 103,998 1,798,640 6,531,061

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Fund

Currency

BNY Mellon U.S. Equity Income Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

Aggregate value of collateral held USD 514,908 1,053,613 100,011 1,723,371 217,927 12,265,523

Fund

Aggregate value of collateral held

Currency

BNY Mellon US Opportunities Fund Canadian dollar Euro Japanese yen Sterling Swiss franc US dollar

USD 29,746 2,579,040 333,450 142,762 1,276,477 9,461,941

15,875,353

13,823,416

The following table provides an analysis of the maturity tenor of securities lending transactions and the associated collateral received as at 31 December 2017: The below maturity tenor analysis has been based on the contractual maturity date of the securities on loan and, in case ofnon-cash collateral, the contractual maturity date of the security received as collateral. Less than 1day

1 day to 1 week

BNY Mellon Absolute Return Bond Fund Securities on loan Non-cash collateral received

EUR – –

EUR – 10,133

EUR – 32,836

BNY Mellon Absolute Return Equity Fund Securities on loan Non-cash collateral received

GBP – –

GBP – 5,091

GBP – 81,422

GBP – 84,315

GBP 996,552 3,010,361

GBP 5,550,942 3,945,437

GBP 6,547,494 7,126,626

BNY Mellon Asia Rising Stars Fund Securities on loan Non-cash collateral received

USD – –

USD – 56

USD – 13,559

USD – 3,020

USD – 510,500

USD 1,748,705 1,400,949

USD 1,748,705 1,928,084

BNY Mellon Asian Equity Fund Securities on loan Non-cash collateral received

USD – –

USD – 4,924

USD – 231,240

USD – 105,280

USD – 2,834,458

USD 6,361,922 3,806,269

USD 6,361,922 6,982,171

BNY Mellon Emerging Markets Corporate Debt Fund Securities on loan Non-cash collateral received

USD – –

USD – 54

USD – 485,705

USD – 52,437

USD – 1,805,286

USD 18,744,059 19,250,144

USD – –

USD 18,744,059 21,593,626

BNY Mellon Emerging Markets Debt Fund Securities on loan Non-cash collateral received

USD – –

USD – 3,492

USD – 79,268

USD – 309,643

USD – 480,852

USD 8,002,010 7,747,446

USD – –

USD 8,002,010 8,620,701

BNY Mellon Emerging Markets Debt Local Currency Fund Securities on loan Non-cash collateral received

USD – –

USD – 457

USD – –

USD – 903,010

USD – 32,390

USD 9,197,229 9,672,425

USD – –

USD 9,197,229 10,608,282

BNY Mellon Emerging Markets Debt Opportunistic Fund Securities on loan Non-cash collateral received

USD – –

USD – 11

USD – 5,237

USD – 22,291

USD – 130,721

USD 1,905,195 1,875,165

USD – –

USD 1,905,195 2,033,425

Fund

1 week 1 month to 1month to 3 months

3 months to 1 year

Above 1 year

Open maturity

Total

EUR EUR EUR EUR – 207,801,842 – 207,801,842 222,504 6,493,979 221,420,706 228,180,158

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Less than 1day

1 day to 1 week

BNY Mellon Euroland Bond Fund Securities on loan Non-cash collateral received

EUR – –

EUR – 141,856

EUR – 1,834,892

EUR – 2,075,136

BNY Mellon European Credit Fund Securities on loan Non-cash collateral received

EUR – –

EUR – 40

EUR – 3,498

EUR – 86,914

EUR – 78,805

EUR 2,130,766 2,079,329

EUR – –

EUR 2,130,766 2,248,586

BNY Mellon Global Bond Fund Securities on loan Non-cash collateral received

USD – –

USD – 928,040

USD – –

USD – 1,190,000

USD 53,097,232 15,386,983

USD – 40,048,851

USD 53,097,232 57,553,874

BNY Mellon Global Credit Fund Securities on loan Non-cash collateral received

USD – –

USD – 160

USD – 31,402

USD – 334,047

USD – 212,650

USD 20,070,540 9,137,563

USD – 11,993,983

USD 20,070,540 21,709,805

BNY Mellon Global Dynamic Bond Fund Securities on loan Non-cash collateral received

USD – –

USD 7,080,428 1,002

USD 10,380,092 49,157

USD – 80,660

USD 81,267,714 14,639,943

USD USD – 98,728,234 96,047,618 110,818,380

BNY Mellon Global Emerging Markets Fund Securities on loan Non-cash collateral received

USD – –

USD – 11,024

USD – 1,705

USD – 233,724

USD – 3,277,023

USD 4,031,364 674,919

USD 4,031,364 4,198,395

BNY Mellon Global Equity Fund Securities on loan Non-cash collateral received

USD – –

USD – 223

USD – 292

USD – 4,156

USD – 43,804

USD 5,607,266 6,185,463

USD 5,607,266 6,233,938

BNY Mellon Global Equity Income Fund Securities on loan Non-cash collateral received

USD – –

USD – 6,696

USD – –

USD – 316,508

USD – 379,107

BNY Mellon Global High Yield Bond Fund Securities on loan Non-cash collateral received

USD – –

USD – 5,644

USD – 117,016

USD – 350,143

USD 5,112,703 4,762,608

USD – –

USD 5,112,703 5,235,411

BNY Mellon Global Opportunistic Bond Fund Securities on loan Non-cash collateral received

USD – –

USD – 123,545

USD – 227,947

USD 1,616,429 444,293

USD 5,867,625 5,452,498

USD – 1,684,295

USD 7,484,054 7,932,578

BNY Mellon Global Opportunities Fund Securities on loan Non-cash collateral received

USD – –

USD – 1,666

USD – 188,422

USD – 69,129

USD – 1,259,171

USD 3,796,421 2,603,165

USD 3,796,421 4,121,553

BNY Mellon Global Real Return Fund (EUR) Securities on loan Non-cash collateral received

EUR – –

EUR – 9,475

EUR – –

BNY Mellon Global Real Return Fund (GBP) Securities on loan Non-cash collateral received

GBP – –

Fund

1 week 1 month to 1month to 3 months

3 months to 1 year

Above 1 year

EUR EUR 11,818,438 118,991,485 7,843,258 96,940,824

Open maturity

Total

EUR EUR – 130,809,923 28,242,826 137,078,792

USD USD USD – 102,002,039 102,002,039 39,074,332 70,260,161 110,036,804

EUR EUR EUR EUR – 350,214,772 121,418,225 471,632,997 199,085 47,948,276 469,970,033 518,126,869 GBP – 16,241

GBP – 146,171

GBP 773,220 689,954

GBP 773,220 852,366

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

SECURITIES LENDING TRANSACTIONS cont’d. Less than 1day

1 day to 1 week

3 months to 1 year

Above 1 year

Open maturity

Total

BNY Mellon Global Real Return Fund (USD) Securities on loan Non-cash collateral received

USD – –

USD – 166,907

USD 28,041,840 2,131,841

USD 6,751,721 35,960,241

USD 34,793,561 38,258,989

BNY Mellon Global Short-Dated High Yield Bond Fund Securities on loan Non-cash collateral received

USD – –

USD – 53

USD – 184,175

USD – 638,368

USD – 541,797

USD 26,712,805 27,116,792

USD – –

USD 26,712,805 28,481,185

BNY Mellon Japan All Cap Equity Fund Securities on loan Non-cash collateral received

JPY – –

JPY – 32,549

JPY – –

JPY – 681,376

BNY Mellon Japan REIT Alpha Fund Securities on loan Non-cash collateral received

JPY – –

BNY Mellon Japan Small Cap Equity Focus Fund Securities on loan Non-cash collateral received

JPY – –

JPY – 87,552

JPY – –

JPY – 1,832,776

BNY Mellon Long-Term Global Equity Fund Securities on loan Non-cash collateral received

EUR – –

EUR – 2,298

EUR – 105,662

EUR – 255,841

EUR – 24,580,136

EUR 89,225,708 72,765,667

EUR 89,225,708 97,709,604

BNY Mellon S&P 500® Index Tracker Securities on loan Non-cash collateral received

USD – –

USD – 10

USD – 23,258

USD – 114,075

USD – 62,677

USD – 1,724,425

USD 3,959,812 2,385,483

USD 3,959,812 4,309,928

BNY Mellon Small Cap Euroland Fund Securities on loan Non-cash collateral received

EUR – –

EUR – 230

EUR – –

EUR – 91,890

EUR – 195,625

EUR – 6,870,371

EUR 13,542,777 7,634,886

EUR 13,542,777 14,793,002

BNY Mellon Targeted Return Bond Fund Securities on loan Non-cash collateral received

USD – –

USD – 656

USD – 101

USD – 13,810

USD 170,428 159,835

USD – –

USD 170,428 174,402

BNY Mellon U.S. Dynamic Value Fund Securities on loan Non-cash collateral received

USD – –

USD – 8,288

USD – 71,875

USD – 117,632

USD – 2,715,112

USD 5,904,276 3,618,154

USD 5,904,276 6,531,061

BNY Mellon U.S. Equity Income Fund Securities on loan Non-cash collateral received

USD – –

USD – 260,963

USD – 93,757

USD – 1,013,105

USD – 9,957,920

USD 14,595,229 4,549,608

USD 14,595,229 15,875,353

BNY Mellon US Opportunities Fund Securities on loan Non-cash collateral received

USD – –

USD – 5,756

USD – 25,521

USD – 213,986

USD – 567,044

USD – 5,804,562

USD 12,848,993 7,206,547

USD 12,848,993 13,823,416

Fund

1 week 1 month to 1month to 3 months

JPY JPY JPY JPY – – 672,347,500 672,347,500 1,342,499 246,214,150 487,096,504 735,367,078 JPY – –

JPY JPY JPY – 252,851,376 252,851,376 – 279,335,973 279,335,973

JPY JPY JPY JPY – – 962,106,473 962,106,473 9,535,084 579,888,452 451,908,665 1,043,252,529

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APPENDIX 2 SECURITIES FINANCING TRANSACTIONS REGULATION DISCLOSURES (“SFTR”) (unaudited) cont’d.

EQUITY SWAPS AND EQUITY INDEX SWAPS TRANSACTIONS The following table details the gross aggregate notional value for equity swaps and equity index swaps as well as the absolute fair value as a proportion of each Fund’s net asset value, analysed by counterparty, as at 31 December 2017: Fund

Counterparty

BNY Mellon Absolute Return Equity Fund Bank of America Merrill Lynch Barclays Bank PLC JPMorgan Chase Bank Morgan Stanley

Country of incorporation

Gross aggregate notional value

Absolute fair value

% of net asset value

GBP 656,742,342 658,437,024 469,088,096 408,798,017

GBP 29,386,986 25,478,467 20,568,315 26,717,511

1.64 1.41 1.14 1.49

2,193,065,479

102,151,279

5.68

United Kingdom United Kingdom United States of America United Kingdom

Total

The following table provides a currency analysis of the cash received/provided by Fund in respect of open derivative transactions as at 31 December 2017: Fund

Currency

Cash collateral received

Cash collateral provided

GBP 26,865,000

GBP 2,770,000

26,865,000

2,770,000

BNY Mellon Absolute Return Equity Fund Sterling

The following table provides an analysis of the maturity tenor of equity swaps and equity index swaps (net exposure) and the associated collateral received/provided as at 31 December 2017: The below maturity tenor analysis has been based on the contractual maturity date of the open derivatives.

Fund BNY Mellon Absolute Return Equity Fund Equity index swaps Equity swaps Cash collateral received/(provided)

Less than 1 day

1 day to 1 week

GBP – – 24,095,000

GBP – – –

1 week 1 month to 1 month to 3 months GBP (1,719,219) (262,040) –

GBP – – –

3 months to 1 year

Above 1 year

Open maturity

Total

GBP 2,541,779 24,675,681 –

GBP – – –

GBP 822,560 24,413,641 24,095,000

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MANAGER AND OTHER INFORMATION

REGISTERED OFFICE† One Dockland Central, Guild Street IFSC, Dublin 1, D01E4X0 Ireland THE DIRECTORS The Directors of the Company are as follows: David Dillon (Irish)1*^ David Turnbull (New Zealand) Greg Brisk (British) Jonathan Lubran (British)**^# Michael Meagher (Irish)1^ All of the Directors listed are non-executive Directors 1 Audit Committee Member * Chairman of the Board of Directors ** Chairman of the Audit Committee ^ Independent Director # Please refer to Note 20 of the ﬁnancial statements.

Center Square Investment Management, Inc. 630 W. Germanstown Pike Suite 300 Plymouth Meeting PA 19462 United States of America Oddo Meriten Asset Management Gmbh Herzogstraße 15 40217 Duesseldorf Germany Insight Investment Management (Global) Limited BNY Mellon Centre 160 Queen Victoria Street London EC4V 4LA United Kingdom Alcentra NY, LLC 200 Park Avenue New York NY 10166 United States of America

MANAGER BNY Mellon Global Management Limited 33 Sir John Rogerson’s Quay Dublin 2, Ireland INVESTMENT MANAGERS, SUB-INVESTMENT MANAGERS AND DELEGATED INVESTMENT MANAGERS Mellon Capital Management Corporation 50 Fremont Street Suite 3900 San Francisco CA 94105 United States of America

EACM Advisors LLC 200 Connecticut Avenue, Suite 700 Norwalk CT 06854-1958 United States of America Maybank Asset Management Singapore Pte. LTD. 9 Temasek Boulevard 13-01 Suntec Tower Two Singapore 038989 Singapore ADMINISTRATOR, REGISTRAR & TRANSFER AGENT

The Boston Company Asset Management, LLC One Boston Place 14th Floor, Suite 024-0141 Boston MA 02108-4408 United States of America

BNY Mellon Fund Services (Ireland) Designated Activity Company† One Dockland Central, Guild Street IFSC, Dublin 1, D01E4X0 Ireland

Newton Investment Management Limited BNY Mellon Centre 160 Queen Victoria Street London EC4V 4LA United Kingdom

SECRETARY

Standish Mellon Asset Management Company, LLC BNY Mellon Centre 201 Washington Street, Suite 2900 Boston MA 02108-4408 United States of America

LEGAL ADVISERS TO THE COMPANY

Walter Scott & Partners Limited One Charlotte Square Edinburgh EH2 4DR Scotland United Kingdom

INDEPENDENT AUDITORS

ARX Investimentos Ltda Avenida Borges de Medeiros, 633, 4th ﬂoor, Leblon Rio de Janeiro, R.J. 22430-041 Brazil BNY Mellon Asset Management Japan Limited Maranouchi Trust Tower Main 1-8-3 Maranouchi Chiyoda – ku Tokyo 100-0005 Japan Blackfriars Asset Management Limited 9 Cloak Lane London EC4R 2RU United Kingdom

Tudor Trust Limited 33 Sir John Rogerson’s Quay Dublin 2, Ireland

Dillon Eustace 33 Sir John Rogerson’s Quay Dublin 2, Ireland

Ernst & Young Chartered Accountants & Registered Auditors Harcourt Centre Harcourt Street Dublin 2, Ireland DEPOSITARY BNY Mellon Trust Company (Ireland) Limited† One Dockland Central, Guild Street IFSC, Dublin 1, D01E4X0 Ireland GLOBAL DISTRIBUTOR AND PROMOTER BNY Mellon Investment Management EMEA Limited BNY Mellon Centre 160 Queen Victoria Street London EC4V 4LA United Kingdom †

Please refer to Note 19 of the ﬁnancial statements.

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IMPORTANT INFORMATION

MELLON EURO STOXX 50SM INDEX TRACKER The Dow Jones EURO STOXX 50SM is proprietary and copyrighted material. The Dow Jones EURO STOXX 50SM and the related trademarks have been licensed for certain purposes by BNY Mellon Global Funds, plc.

BNY MELLON NIKKEI 225® INDEX TRACKER Copyright and all other rights to the Index (“Nikkei 225”), and intellectual property rights and all other rights to the expressions “Nikkei” and “Nikkei 225” are vested in the Licensor. The Licensor shall reserve the right to change the contents of the “Nikkei 225”, and shall also reserve the right to cease publication of the “Nikkei 225”. Any and all copyrights, other intellectual property rights, and any other rights in connection with the content and designations tothe “Nikkei 225” shall be vested in and owned by Nihon Keizai Shimbun Inc. (“NIKKEI”). The BNY Mellon Nikkei 225® Index Tracker is not sponsored, endorsed, sold or promoted by Nihon Keizai Shimbun, Inc. (“NIKKEI”) and NIKKEI does not make any representations or warranty, express orimplied, to any purchaser or any prospective purchaser ofthe product. Nihon Keizai Shimbun, Inc (‘NIKKEI’) has the right to change the content of the “Nikkei 225” and to cease compilation and publication of the “Nikkei 225”.

BNY MELLON S&P 500® INDEX TRACKER S&P 500® is a trademark of The McGraw-Hill Companies, Inc and has been licensed for use by BNY Mellon Global Funds, plc. The BNY Mellon S&P 500® Index Tracker is not sponsored, endorsed, sold or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the BNY Mellon S&P 500® Index Tracker. Please note: When a Fund of the Company invests in the shares of other collective investment schemes that are managed, directly or by delegation, by the Company’s management company, BNY Mellon Global Management (“BNY MGM”), or by any other company with which BNY MGM is linked by common management or control, orbyadirect or indirect holding of more than 10% ofthe share capital or of the votes, BNY MGM or that other company shall not charge management, subscription, conversion or redemption fees on account of the Fund’s investment in the shares of such other collective investment scheme.

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www.bnymellonim.com

T6490

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