ANNUAL REPORT AND ACCOUNTS

FOR THE YEAR ENDED 31 DECEMBER 2015

BNY MELLON GLOBAL FUNDS, PLC

CONTENTS

BACKGROUND TO THE COMPANY 4

DIRECTORS’ REPORT 8

CUSTODIAN’S REPORT 13

INDEPENDENT AUDITORS’ REPORT 14

INVESTMENT MANAGERS’ REPORTS 15

PORTFOLIO OF INVESTMENTS 40

STATEMENT OF COMPREHENSIVE INCOME 172

STATEMENT OF FINANCIAL POSITION 188

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS 204

NOTES TO THE FINANCIAL STATEMENTS 212

SIGNIFICANT PORTFOLIO MOVEMENTS 387

MANAGER AND OTHER INFORMATION 416

IMPORTANT INFORMATION 417 BNY MELLON GLOBAL FUNDS, PLC

BACKGROUND TO THE COMPANY

The following information is derived from and should be read 17 July 2002 – Mellon Global Emerging Markets Fund was in conjunction with the full text and defi nitions section in the launched. prospectus. 18 September 2002 – Mellon US Large Companies Value STRUCTURE Fund was launched and subsequently changed its name to BNY Mellon Global Funds, plc (the “Company”) was Mellon U.S. Dynamic Value Fund on 24 May 2005. incorporated in the Republic of Ireland as a public limited company on 27 November 2000 with registration 28 April 2003 – Mellon Euroland Bond Fund, Mellon Small number 335837 under the Companies Act 2014. The Company Cap Euroland Fund and Mellon Small Cap Global ex-Euroland changed its name from Mellon Global Funds, plc to Fund were launched. BNY Mellon Global Funds, plc, effective 3 June 2008. 31 May 2003 – Mellon Global Tactical Asset Allocation Fund The Company is an open-ended umbrella type investment was closed (revoked by the Central Bank on 25 June 2004). company with variable capital organised under the laws of Ireland, with segregated liability between sub-funds, 11 June 2003 – Mellon Global High Yield Bond Fund (USD) individually referred to as the “Fund” and collectively was launched. the “Funds”. The Company qualifi es and is authorised in Ireland by the Central Bank of Ireland (the “Central 20 January 2004 – Mellon US Large Companies Growth Fund Bank”) as an undertaking for collective investment was closed (revoked by the Central Bank on 25 May 2005). in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in 11 February 2004 – Mellon Global High Yield Bond Fund Transferable Securities) Regulations, 2011 (as amended) (EUR) was launched. (the “UCITS Regulations”). The Company currently comprises of 37 active Funds at 31 December 2015 15 October 2004 – Mellon Global High Yield Bond Fund (USD) (31 December 2014: 38). was closed (revoked by the Central Bank on 25 May 2005).

The history of the Funds is as follows: 10 May 2005 – Mellon Emerging Markets Debt Fund was launched. 23 March 2001 – Mellon EURO STOXX 50SM Index Tracker, Mellon Euro Government Bond Index Tracker, Mellon 3 October 2005 – Mellon North American Equity Fund S&P 500® Index Tracker and Mellon NIKKEI 225® Index changed its name to Mellon U.S. Equity Fund. Tracker were launched. 21 April 2006 – Mellon Small Cap Global ex-Euroland Fund 29 March 2001 – Global Tactical Asset Allocation Fund was closed (revoked by the Central Bank on 11 June 2007). transferred to Mellon Global Funds, plc from Universal Liquidity Funds, plc*. 28 April 2006 – Mellon Emerging Markets Debt Local Currency Fund was launched. 10 December 2001 – saw the launch of Mellon Asian Equity Fund 22 September 2006 – Mellon Evolution Global Alpha Fund Mellon Continental European Equity Fund was launched. Mellon Global Bond Fund Mellon Global Equity Fund 30 November 2006 – Mellon Japan Equity Value Fund was Mellon Global Innovation Fund launched. Mellon Global Intrepid Fund Mellon Japan Equity Fund 18 December 2006 – Mellon EURO STOXX 50SM Index Tracker Mellon North American Equity Fund and Mellon Global Innovation Fund were closed (revoked by Mellon Pan European Equity Fund the Central Bank on 11 June 2007). Mellon Sterling Bond Fund Mellon Sterling Cash Fund 10 January 2007 – Mellon Evolution Currency Option Fund Mellon UK Equity Fund was launched. Mellon US Dollar Cash Fund 2 July 2007 – Mellon Evolution Currency Alpha Fund was 11 January 2002 – Mellon European Ethical Index Tracker launched. was launched. 6 July 2007 – Mellon Evolution Core Alpha Fund was 31 May 2002 – Mellon US Large Companies Growth Fund was launched. launched.

4 BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY contd.

31 August 2007 – Mellon Brazil Equity Fund was launched. 15 February 2010 – BNY Mellon Global Emerging Markets Fund changed its name to BNY Mellon Global Emerging 17 December 2007 – Mellon Dynamic Europe Equity Fund Markets Equity Value Fund. was launched. 8 March 2010 – BNY Mellon Global Real Return Fund (EUR) 17 December 2007 – Mellon NIKKEI 225® Index Tracker was was launched. closed (revoked by the Central Bank on 13 October 2008). 14 May 2010 – BNY Mellon Global Strategic Bond Fund 31 January 2008 – Mellon Global Extended Alpha Fund was changed its name to BNY Mellon Evolution Global Strategic launched. Bond Fund.

4 April 2008 – Mellon Long-Term Global Equity Fund was 29 July 2010 – BNY Mellon Global Equity Higher Income Fund launched. was launched.

23 April 2008 – Mellon Global Property Securities Fund was 5 August 2010 – BNY Mellon Global Dynamic Bond Fund was launched. launched.

3 June 2008 – Mellon Global Funds, plc changed its name to 31 August 2010 – BNY Mellon Latin America Infrastructure BNY Mellon Global Funds, plc and all registered Funds were Fund was launched. prefi xed with BNY. 29 October 2010 – BNY Mellon Evolution Global Strategic 6 June 2008 – BNY Mellon Sterling Cash Fund merged into Bond Fund was launched. Universal Sterling Fund* (a sub-fund of Universal Liquidity Funds, plc*) and BNY Mellon US Dollar Cash Fund merged 26 November 2010 – The valuation point of BNY Mellon into Universal Liquidity Plus Fund* (a sub-fund of Universal Long-Term Global Equity Fund was changed from 12.00 Liquidity Funds, plc*) (both Funds were revoked by the (Dublin time) to 22.00 (Dublin time). Central Bank on 29 January 2010). 16 December 2010 – BNY Mellon Evolution Long/Short 16 June 2008 – BNY Mellon Vietnam, India and China (VIC) Emerging Currency Fund was closed (revoked by the Central Fund was launched. Bank on 23 September 2011).

9 December 2008 – BNY Mellon Dynamic Europe Equity Fund 22 December 2010 – BNY Mellon Global Intrepid Fund was closed (revoked by the Central Bank on 29 January 2010). changed its name to BNY Mellon Global Opportunities Fund.

18 March 2009 – BNY Mellon Emerging Markets Equity Fund 31 January 2011 – BNY Mellon Absolute Return Equity was was launched. launched.

25 March 2009 – BNY Mellon Evolution Long/Short Emerging 11 March 2011 – BNY Mellon Evolution U.S. Equity Market Currency Fund was launched. Neutral Fund was launched.

8 April 2009 – BNY Mellon Evolution Core Alpha Fund, 20 June 2011 – BNY Mellon Emerging Markets Local Currency BNY Mellon Evolution Currency Alpha Fund and BNY Mellon Investment Grade Debt Fund was launched. Global Extended Alpha Fund were closed (revoked by Central Bank on 7 October 2010). 24 June 2011 – BNY Mellon Japan Equity Fund was closed (revoked by the Central Bank on 3 September 2012). 22 June 2009 – BNY Mellon Euro High Yield Bond Fund was approved by the Central Bank. 18 August 2011 – The valuation point of BNY Mellon U.S. Dynamic Value Fund was changed from 12.00 (Dublin 30 June 2009 – BNY Mellon Global Real Return Fund (USD) time) to 22.00 (Dublin time). was launched. 30 November 2011 – BNY Mellon Evolution U.S. Market 22 July 2009 – BNY Mellon Euro Corporate Bond Fund was Neutral Fund was closed (revoked by the Central Bank on launched. 16 April 2014).

11 December 2009 – BNY Mellon European Ethical 31 January 2012 – BNY Mellon Emerging Markets Corporate Index Tracker was closed (revoked by Central Bank on Debt Fund was launched. 7 October 2010).

5 BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY contd.

9 March 2012 – BNY Mellon Absolute Return Bond Fund was 6 December 2013 – BNY Mellon Euro Government Bond Index launched. Tracker and BNY Mellon Vietnam, India and China (VIC) Fund were closed (revoked by the Central Bank on 28 August 2014). 14 June 2012 – BNY Mellon Global Real Return Fund (GBP) was launched. 10 December 2013 – BNY Mellon Japan All Cap Equity Fund was launched. 4 September 2012 – BNY Mellon Emerging Markets Equity Core Fund was launched. 12 December 2013 – BNY Mellon Japan Small Cap Equity Focus Fund was launched. 13 November 2012 – BNY Mellon Emerging Equity Income Fund was launched. 14 March 2014 – BNY Mellon Evolution Global Alpha Fund and BNY Mellon Latin America Infrastructure Fund were 19 December 2012 – The valuation point of BNY Mellon closed (revoked by the Central Bank on 10 November 2015 Emerging Markets Debt Fund was changed from 12.00 and 2 November 2015 respectively). (Dublin time) to 22.00 (Dublin time). 9 May 2014 – BNY Mellon Asian Income Fund was launched. 12 February 2013 – BNY Mellon European Credit Fund was launched. 16 May 2014 – BNY Mellon U.S. Equity Fund was closed (revoked by the Central Bank on 10 November 2015) 18 February 2013 – The valuation point of BNY Mellon Emerging Markets Debt Local Currency Fund was changed 16 June 2014 – BNY Mellon US Opportunities Fund was from 12.00 (Dublin time) to 22.00 (Dublin time). launched.

21 February 2013 – BNY Mellon Evolution Currency 30 June 2014 – BNY Mellon Absolute Insight Fund was Option Fund was closed (revoked by the Central Bank on launched. 28 August 2014). 25 July 2014 – BNY Mellon Asian Bond Fund was launched. 25 April 2013 – BNY Mellon Continental European Equity Fund, BNY Mellon Sterling Bond Fund and BNY Mellon 20 November 2014 – BNY Mellon Japan Equity Value Fund UK Equity Fund were closed (revoked by the Central Bank on was closed (revoked by the Central Bank on 2 November 28 August 2014). 2015).

8 May 2013 – The valuation point of BNY Mellon U.S. Equity 31 December 2014 – The registered offi ce of the Company Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin changed from 33 Sir John Rogerson’s Quay, Dublin 2, Ireland time). to Guild House, Guild Street, IFSC, Dublin 1, Ireland.

11 July 2013 – BNY Mellon Euro Corporate Bond Fund was 15 May 2015 – BNY Mellon Dynamic Total Return Fund was closed (revoked by the Central Bank on 28 August 2014). launched.

29 July 2013 – The base currency of BNY Mellon Global High 16 June 2015 – BNY Mellon Emerging Markets Local Yield Bond Fund (EUR) changed from EUR to USD and the Currency Investment Grade Debt Fund was closed (pending Fund changed its name to BNY Mellon Global High Yield application to the Central Bank to revoke the Fund’s Bond Fund. registration and hence removal from the prospectus).

27 September 2013 – BNY Mellon Emerging Markets Debt 4 August 2015 – BNY Mellon Emerging Equity Income Fund Opportunistic Fund was launched. changed its name to BNY Mellon Global Emerging Markets Fund and its distribution frequency from quarterly to annual. 1 October 2013 – BNY Mellon Evolution Global Strategic Bond Fund changed its name to BNY Mellon Global Opportunistic 12 August 2015 – BNY Mellon Euro High Yield Bond Fund was Bond Fund. revoked by the Central Bank (never launched after approval).

25 November 2013 – BNY Mellon Crossover Credit Fund was 15 September 2015 - BNY Mellon Alpha Equity Select Fund launched. and BNY Mellon Global Leaders Fund were approved by the Central Bank.

6 BNY MELLON GLOBAL FUNDS, PLC BACKGROUND TO THE COMPANY contd.

2 October 2015 – BNY Mellon Emerging Markets Equity Core As at the date of this report, the Funds within the Fund was closed (pending application to the Central Bank Company are: to revoke the Fund’s registration and hence removal from the prospectus). BNY Mellon Absolute Insight Fund BNY Mellon Absolute Return Bond Fund 16 November 2015 – BNY Mellon Targeted Return Bond Fund BNY Mellon Absolute Return Equity Fund was launched. BNY Mellon Alpha Equity Select Fund# BNY Mellon Asian Bond Fund 30 November 2015 – The valuation point of BNY Mellon Brazil BNY Mellon Asian Equity Fund Equity Fund was changed from 12.00 (Dublin time) to 22.00 BNY Mellon Asian Income Fund (Dublin time). BNY Mellon Global Equity Higher Income Fund BNY Mellon Brazil Equity Fund changed its name to BNY Mellon Global Equity Income Fund. BNY Mellon Crossover Credit Fund BNY Mellon Dynamic Total Return Fund 9 December 2015 – BNY Mellon Emerging Markets Equity BNY Mellon Emerging Markets Corporate Debt Fund Fund was closed (pending application to the Central Bank BNY Mellon Emerging Markets Debt Fund to revoke the Fund’s registration and hence removal from BNY Mellon Emerging Markets Debt Local Currency Fund the prospectus). BNY Mellon Emerging Markets Debt Opportunistic Fund BNY Mellon Emerging Markets Equity Fund* 1 January 2016 – BNY Mellon Global Property Securities BNY Mellon Emerging Markets Equity Core Fund* Fund changed its distribution frequency from annual to BNY Mellon Emerging Markets Local Currency Investment quarterly. Grade Debt Fund* BNY Mellon Euroland Bond Fund 26 February 2016 - BNY Mellon Global Emerging Markets BNY Mellon European Credit Fund Equity Value Fund was closed (pending application to the BNY Mellon Global Bond Fund Central Bank to revoke the Fund’s registration and hence BNY Mellon Global Credit Fund removal from the prospectus). BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Emerging Markets Fund 29 February 2016 - BNY Mellon Global Credit Fund was (previously BNY Mellon Emerging Equity Income Fund)^ launched. BNY Mellon Global Emerging Markets Equity Value Fund* BNY Mellon Global Equity Fund A separate pool of assets (a “Portfolio”) is maintained BNY Mellon Global Equity Income Fund for each Fund, each being invested in accordance with (previously BNY Mellon Global Equity Higher Income Fund)^ the investment objective applicable to the Fund to which BNY Mellon Global High Yield Bond Fund the Portfolio relates. BNY Mellon Global Leaders Fund# BNY Mellon Global Opportunistic Bond Fund The Funds of the Company are listed on the Irish Stock BNY Mellon Global Opportunities Fund Exchange. BNY Mellon Global Property Securities Fund BNY Mellon Global Real Return Fund (EUR) * Effective 1 March 2010, Universal Liquidity Funds, plc changed its BNY Mellon Global Real Return Fund (GBP) name to BNY Mellon Liquidity Funds, plc and the “Universal” prefi x was BNY Mellon Global Real Return Fund (USD) removed from the name of all registered sub-funds and replaced with BNY Mellon Japan All Cap Equity Fund “BNY Mellon”. BNY Mellon Japan Small Cap Equity Focus Fund BNY Mellon Long-Term Global Equity Fund INVESTMENT OBJECTIVE BNY Mellon Pan European Equity Fund The assets of each Fund are invested separately in BNY Mellon S&P 500® Index Tracker accordance with the investment objectives and policies BNY Mellon Small Cap Euroland Fund of the relevant Fund, which are set out in the relevant BNY Mellon Targeted Return Bond Fund supplements to the prospectus. BNY Mellon U.S. Dynamic Value Fund BNY Mellon US Opportunities Fund OTHER RELEVANT INFORMATION Audited annual reports and fi nancial statements # Funds approved by the Central Bank but not yet launched. and unaudited semi-annual reports are available to * Funds pending application to the Central Bank to revoke the Funds’ the public at the registered offi ce of the Company or registration and hence removal from the prospectus on www.bnymellonim.com. They can also be sent to ^ Please refer to Note 20 of the fi nancial statements. shareholders at their registered address.

7 BNY MELLON GLOBAL FUNDS, PLC

DIRECTORS’ REPORT

The Directors submit their annual report together with the are prepared in accordance with FRS 102 and comply audited fi nancial statements for the fi nancial year ended with the Companies Act 2014, the European Communities 31 December 2015. (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS PRINCIPAL ACTIVITIES Regulations”) and the Central Bank (Supervision and The investment objective of each of the Funds is outlined in Enforcement) Act 2013 (Section 48(1)) (Undertakings the prospectus and discussed in the Investment Managers’ for Collective Investment in Transferable Securities) Reports. Regulations 2015 (the “Central Bank UCITS Regulations”).

DIRECTORS’ RESPONSIBILITIES The measures taken by the Directors to secure compliance The Directors are responsible for preparing the Directors’ with the Company’s obligation to keep adequate accounting Report and fi nancial statements in accordance with Irish law records are the use of appropriate systems and procedures and regulations. and employment of competent persons. To this end, BNY Mellon Fund Services (Ireland) Designated Activity Irish company law requires the Directors to prepare fi nancial Company^ (the “Administrator”) has been appointed for statements for each fi nancial year. Under that law, the the purpose of maintaining adequate accounting records. Directors have elected to prepare the fi nancial statements Accordingly, the accounting records are kept at Guild House, in accordance with Financial Reporting Standard (“FRS”) Guild Street, IFSC, Dublin 1, Ireland. The Directors are also 102: “The Financial Reporting Standard applicable in the responsible for safeguarding the assets of the Company and United Kingdom and the Republic of Ireland” (“FRS 102”). hence for taking reasonable steps for the prevention and Under company law, the Directors must not approve the detection of fraud and other irregularities. Under the Central fi nancial statements unless they are satisfi ed that they give Bank UCITS Regulations, the Directors are required to entrust a true and fair view of the assets, liabilities and fi nancial the assets of the Company to the Custodian for safe-keeping. position of BNY Mellon Global Funds, plc (the “Company”) In carrying out this duty, the Company has delegated custody at the fi nancial year end date and of the profi t or loss of of its assets to BNY Mellon Trust Company (Ireland) Limited the Company for the fi nancial year and otherwise comply (the “Custodian”). with the Companies Act 2014. In preparing the fi nancial statements, the Directors are required to: The fi nancial statements of the Company are published on the website of BNY Mellon Investment Management • select suitable accounting policies and then apply them EMEA Limited (www.bnymellonim.com). The Directors consistently; are responsible for the maintenance and integrity of the corporate and fi nancial information of the Company included • make judgements and estimates that are reasonable and on this website. Legislation in the Republic of Ireland prudent; governing the preparation and dissemination of fi nancial statements may differ from legislation in other jurisdictions. • state whether the fi nancial statements have been prepared in accordance with applicable accounting standards, ^ Please refer to Note 21 of the fi nancial statements. identify those standards and note the effect and the reasons for any material departure from those standards; DISTRIBUTIONS and Distributions paid to redeemable participating shareholders are recognised in the Statement of Comprehensive Income • prepare the fi nancial statements on the going concern as fi nance costs when they are declared to the Irish Stock basis unless it is inappropriate to presume that the Exchange (“ISE”), as detailed in the prospectus. Distributions Company will continue in operation. are declared to the extent necessary to enable the Company to pursue a full distribution policy in accordance with the The Directors confi rm that they have complied with the current UK tax legislation. above requirement when preparing the fi nancial statements. Details of the distributions paid to redeemable ACCOUNTING RECORDS participating shareholders are disclosed in the Statement The Directors are responsible for keeping adequate of Comprehensive Income and distributions declared accounting records which disclose with reasonable subsequent to the year end to redeemable participating accuracy at any time the fi nancial position of the Company shareholders are disclosed in Note 21 to the fi nancial and to enable them to ensure that the fi nancial statements statements.

8 BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT contd.

REVIEW OF BUSINESS AND FUTURE DEVELOPMENT Report and the roles and responsibilities of the Company’s The Company is an open-ended investment company with respective delegates subject to the overall supervision of the variable capital which has been authorised by the Central Board. Further, shareholders should refer to the prospectus Bank under the UCITS Regulations. There was no change which identifi es many of the connected party transactions in the nature of the Company’s business during the year. and the general nature of the contractual arrangements with the principal connected parties but it is not exhaustive There is a detailed review in the Investment Managers’ of all connected party transactions. Shareholders should Reports of factors contributing to the Funds’ performance. also refer to the provisions of the prospectus dealing with The Directors do not anticipate any change in the structure confl icts of interest. or investment objectives of the Company. Therefore, having regard to confi rmations from the Manager RISK MANAGEMENT OBJECTIVES AND POLICIES and its relevant delegates, the Board of Directors of the The Company’s investment activities expose it to the various Company is satisfi ed that: types of risk, which are associated with the fi nancial instruments and markets in which it invests. (i) there are arrangements (as evidenced by written procedures documented by the Investment Managers) in Details of the risks inherent in investing in the Company are place to ensure that the obligations described above are disclosed in Note 16 to the fi nancial statements. applied to all transactions with connected parties; and

RESULTS (ii) transactions with connected parties entered into during The results for the year are set out in the Statement of the year complied with these obligations, as attested by Comprehensive Income. the Investment Managers through regular updates to the Directors. EVENTS SINCE THE YEAR END There have been no signifi cant events affecting the Company Note 11 details related party transactions during the year since the year end other than as disclosed in Note 21 to the as required by Section 33 “Related Party Disclosures” of fi nancial statements. FRS 102. However, shareholders should understand that not all “connected parties” are related parties as defi ned by RELATED PARTY TRANSACTIONS AND BALANCES Section 33 of FRS 102. Details of fees paid to related parties Other than as disclosed in Note 11 to the fi nancial and certain connected parties are set out in Notes 3, 5 – 7 statements, the Directors are not aware of any contracts or and 11. arrangements of any signifi cance in relation to the business of the Company in which the Directors had any benefi cial CORPORATE GOVERANCE STATEMENT interest as defi ned in the Companies Act 2014, at any time The Company is subject to corporate governance practices during the year ended 31 December 2015. imposed by:

CONNECTED PARTIES (i) The Memorandum and Articles of Association of the In accordance with the Central Bank UCITS Regulation 41(1), Company; any transaction carried out with the Company by its promoter, manager, custodian, investment adviser and/or associated (ii) The Irish Companies Act 2014 (the “Companies Acts”); or group companies of these entities (“connected parties”) must be carried out as if negotiated at arm’s length. Such (iii) The Central Bank UCITS Regulations; and transactions must be in the best interests of the shareholders. In addition to those transactions, there are also transactions (iv) The ISE Code of Listing Requirements and Procedures. carried out by connected parties on behalf of the Company to which the Directors have no direct access and in respect Copies of all of the above documents are available for of which the Directors must rely upon assurances from its inspection at the Company’s registered offi ce at Guild House, delegates that the connected parties carrying out those Guild Street, IFSC, Dublin 1, Ireland. transactions do carry them out on a similar basis. On 14 December 2011, the Irish Funds Industry Association Shareholders should have regard to the governance structure (“IF”) published a corporate governance code (“IF Code”) of the Company as more particularly described in the that may be adopted on a voluntary basis by Irish authorised Corporate Governance Statement section of this Directors’ collective investment schemes. The IF Code became effective

9 BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT contd.

from 1 January 2012 with a twelve month transitional period 3. The Manager has delegated its responsibility as until 1 January 2013. It should be noted that the IF Code Administrator, Registrar and Transfer Agent to the refl ects the existing corporate governance policies imposed Administrator, which entity has responsibility for on Irish authorised collective investment schemes. the day-to-day administration of the Company and the Funds including the calculation of the net asset The Directors have reviewed the IF Code and adopted this values. The Administrator is regulated by and under the code on 20 December 2012 following assessment of the supervision of the Central Bank; and measures included in the IF Code as being consistent with its existing corporate governance principles and 4. BNY Mellon Investment Management EMEA Limited acts procedures for the fi nancial year. The IF Code can be viewed as a distributor for the Funds of the Company. on the IF website (www.irishfunds.ie). Consistent with the regulatory framework applicable to investment fund The Company also has appointed the Custodian as custodian companies such as the Company (and in contrast to normal of its assets which entity has responsibility for the safekeeping operating companies with a full time executive management of such assets in accordance with the Central Bank UCITS and employees), the Company, consequently, operates under Regulations and for exercising independent oversight over the delegated model whereby it has delegated management how the Company is managed. The Custodian is regulated by (including investment management), administration and and under the supervision of the Central Bank. distribution functions to third parties without abrogating the Directors’ overall responsibility. The Directors have in place The Directors receive reports on a regular (and at least mechanisms for monitoring the exercise of such delegated quarterly) basis from each of its delegate service providers functions, which are always subject to the supervision and and the Custodian which enable it to assess the performance direction of the Directors. These delegations of functions of the delegate service providers and the Custodian (as the and the appointment of regulated third party entities are case may be). detailed in the Company’s prospectus. In summary, they are: FINANCIAL REPORTING PROCESS – DESCRIPTION 1. The Company has appointed BNY Mellon Global OF MAIN FEATURES Management Limited (the “Manager”) as its Manager The Directors are responsible for establishing and maintaining pursuant to the Management Agreement. Under the adequate internal control and risk management systems of terms of the Management Agreement, the Manager has the Company in relation to the fi nancial reporting process. responsibility for the management and administration of Such systems are designed to manage rather than eliminate the Company’s affairs and the distribution of the shares the risk of error or fraud in achieving the Company’s fi nancial of the Funds. The Manager is regulated by and under the reporting objectives and can only provide reasonable and supervision of the Central Bank; not absolute assurance against material misstatement or loss. The Directors have entrusted the administration of the 2. The Manager has delegated the performance of the accounting records to the Administrator. investment management functions in respect of the Company and of its Funds to the respective Investment The Directors, through delegation to the Administrator, have Managers as detailed in the prospectus and listed in the procedures in place to ensure all relevant accounting records directory to these fi nancial statements. are properly maintained and are readily available, including production of annual and semi-annual fi nancial statements. The respective Investment Managers have direct The annual fi nancial statements and semi-annual fi nancial responsibility for the decisions relating to the day-to-day statements of the Company are required to be approved running of the Funds which they manage and they by the Directors of the Company and fi led with the Central are accountable to the Directors for the investment Bank. The annual fi nancial statements are also required to performance of the Funds which they manage. be fi led with the ISE and be audited by independent auditors The respective Investment Managers have internal who report annually to the Board on their fi ndings. controls and risk management processes in place to ensure that all applicable risks pertaining to their The Directors have hired an independent external audit fi rm management of the Funds are identifi ed, monitored to audit the fi nancial statements in accordance with the and managed at all times and appropriate reporting is Companies Act 2014. The Directors evaluate and discuss made to the Directors on a regular basis. The Investment signifi cant accounting and reporting issues as the need Managers are regulated by and under the supervision of arises. the regulator of their operating jurisdiction;

10 BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT contd.

The Administrator has operating responsibility in respect COMPOSTION AND OPERATION OF BOARD of its internal controls in relation to the fi nancial reporting OF DIRECTORS AND COMMITTEES process and the Administrator’s report to the Directors. Unless otherwise determined by an ordinary resolution of The Administrator is authorised and regulated by the Central the Company in general meeting, the number of Directors Bank and complies with the rules imposed by the Central may not be less than two nor more than twelve. Currently Bank. the Board of Directors of the Company is composed of fi ve Directors, being those listed in the directory in these SHAREHOLDER MEETINGS fi nancial statements. The convening and conduct of shareholders’ meetings are governed by the Memorandum and Articles of Association The business of the Company is managed by the Directors, of the Company and the Companies Act 2014. Although the who exercise all such powers of the Company as are not by Directors may convene an extraordinary general meeting the Companies Act 2014 or by the Articles of Association of of the Company at any time, the Directors are required to the Company required to be exercised by the Company in convene an annual general meeting of the Company within general meeting. A Director may, and the company secretary eighteen months of incorporation and fi fteen months of of the Company on the requisition of a Director will, at any the date of the previous annual general meeting thereafter time summon a meeting of the Directors. Questions arising provided that an annual general meeting is held within nine at any meeting of the Directors are determined by a majority months of the end of each accounting period for the Company. of votes. In the case of an equality of votes, the chairman In accordance with the Companies Act 2014, shareholders has a second or casting vote. The quorum necessary for the representing not less than one-tenth of the paid up share transaction of business at a meeting of the Directors may capital of the Company may also request the Directors to be fi xed by the Directors and unless so fi xed is two. The key convene a shareholders’ meeting. Not less than twenty one management functions of the Manager are delegated to the clear days’ notice of every annual general meeting and any designated Directors in accordance with its business plan. meeting convened for the passing of a special resolution must be given to shareholders. DIRECTORS The names of the persons who were Directors at any time Two shareholders present either in person or by proxy during the year ended 31 December 2015 are set out below. constitutes a quorum at a general meeting. Votes may be cast in person or by proxy. On a show of hands, every shareholder David Dillon (Irish)* who is present in person or by proxy shall have one vote and David Turnbull (New Zealand) every management shareholder shall have one vote in respect Enrico Floridi (Italian) (resigned 31 March 2015)^+ of all non-participating shares. On a poll, every shareholder Greg Brisk (British) is entitled to one vote in respect of each participating share Jonathan Lubran (British) held by him and every management shareholder is entitled to Michael Meagher (Irish)^ one vote in respect of all non-participating shares held by him. The chairman of a general meeting of the Company or at least All Directors are non-executive Directors. fi ve shareholders present or a shareholder or shareholders * Chairman of the Board of Directors representing at least one tenth of the shares in issue having ^ Independent Director the right to vote at such meeting may demand a poll. + Please refer to Note 20 of the fi nancial statements

Shareholders may resolve to sanction an ordinary resolution DIRECTORS AND SECRETARY’S INTERESTS or special resolution at a shareholders’ meeting. An ordinary The Directors and Secretary and their families had no resolution of the Company or of the shareholders of interests in the shares of the Company at any time during a particular fund or class requires an absolute majority of the year ended 31 December 2015. Jonathan Lubran held the votes cast by the shareholders voting in person or by 657 shares of the Sterling W (Acc) (Hedged) share class of proxy at the meeting at which the resolution is proposed. BNY Mellon Emerging Markets Corporate Debt Fund as at A special resolution of the Company or of the shareholders 31 December 2014, which were subsequently redeemed of a particular fund or share class requires a majority of not on 9 July 2015. less than 75% of the shareholders present in person or by proxy and voting in general meeting in order to pass a special resolution including a resolution to amend the Memorandum and Articles of Association.

11 BNY MELLON GLOBAL FUNDS, PLC DIRECTORS’ REPORT contd.

David Dillon, David Turnbull, Greg Brisk, Jonathan Lubran and Michael Meagher are also Directors of the Manager. Management fees of USD 134,600,432 (31 December 2014: USD 137,989,317) were incurred during the year.

David Dillon was also a partner in Dillon Eustace solicitors, which provide legal services to the Company, until 31 October 2015 and thereafter acts as a consultant to Dillon Eustace. Legal fees of USD 42,867 (31 December 2014: USD 52,515) were paid during the year.

Enrico Floridi is a consultant to BNY Mellon Investment Management EMEA Limited, the Global Distributor to the Company. With effect from 31 March 2015, Enrico Floridi resigned as a Director of the Company.

David Turnbull and Greg Brisk have waived their right to receive a fee for their services as Directors during the year ended 31 December 2015 and 31 December 2014.

DISCLOSURE OF INFORMATION TO THE AUDITORS So far as each person who was a Director at the date of approving this report is aware, there is no relevant audit information, being information needed by the auditors in connection with preparing their report, which they have not disclosed to the auditors. Each Director has taken all the steps that they are obliged to take as a Director in order to make themselves aware of any relevant audit information and to ensure that it is disclosed to the auditors.

INDEPENDENT AUDITORS Ernst & Young have indicated their willingness to remain in offi ce in accordance with Section 383 (2) of the Companies Act 2014.

On behalf of the board

Director – David Dillon

Director – Greg Brisk

Date: 13 April 2016

12 BNY MELLON GLOBAL FUNDS, PLC

CUSTODIAN’S REPORT

REPORT OF THE CUSTODIAN TO THE SHAREHOLDERS OPINION OF BNY MELLON GLOBAL FUNDS, PLC In our opinion, the Company has been managed during the We have enquired into the conduct of BNY Mellon year, in all material respects: Global Funds, plc (the “Company”) for the year ended 31 December 2015, in our capacity as Custodian to (i) in accordance with the limitations imposed on the the Company. investment and borrowing powers of the Company by the Memorandum and Articles of Association and by the This report, including the opinion, has been prepared Regulations; and for and solely for the shareholders in the Company, in accordance with Regulation 47 of the European (ii) otherwise in accordance with the provisions of the Communities (Undertakings for Collective Investment Memorandum and Articles of Association and the in Transferable Securities) Regulations 2011 (S.I. No 352 Regulations. of 2011) (the “Regulations”) and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other BRIAN MCFADDEN person to whom this report is shown. Brian McFadden RESPONSIBILITIES OF THE CUSTODIAN BNY Mellon Trust Company (Ireland) Limited Our duties and responsibilities are outlined in Regulation 47 Guild House of the Regulations. One of those duties is to enquire into the Guild Street conduct of the Company in each annual accounting period IFSC and report thereon to the shareholders. Dublin 1 Ireland Our report shall state whether, in our opinion, the Company has been managed in that period, in accordance with the Date: 13 April 2016 provisions of the Company’s Memorandum and Articles of Association and the Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not so managed, we as Custodian must state in what respects it has not been so managed and the steps which we have taken in respect thereof.

BASIS OF CUSTODIAN OPINION The Custodian conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties outlined in Regulation 47 of the Regulations and to ensure that, in all material respects, that 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.

13 BNY MELLON GLOBAL FUNDS, PLC

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF BNY MELLON GLOBAL FUNDS, PLC We have audited the fi nancial statements of BNY Mellon with, the knowledge acquired by us in the course of Global Funds plc for the year ended 31 December 2015 which performing the audit. If we become aware of any apparent comprise the Statement of Comprehensive Income, the material misstatements or inconsistencies we consider the Statement of Financial Position, Statement of Changes in Net implications for our report. Assets Attributable to Redeemable Participating Shareholders and the related notes 1 to 22. The fi nancial reporting OPINION ON FINANCIAL STATEMENTS framework that has been applied in their preparation is Irish In our opinion the fi nancial statements: law, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 • give a true and fair view of the state of the assets, (as amended), the Central Bank (Supervision and Enforcement) liabilities and fi nancial position of the company as at Act 2013 (Section 48(1)) (Undertakings for Collective 31 December 2015 and of its profi t for the year then ended; Investment in Transferable Securities) Regulations 2015 and accounting standards issued by the Financial Reporting • have been properly prepared in accordance with Generally Council and promulgated by the Institute of Chartered Accepted Accounting Practice in Ireland including FRS 102 Accountants in Ireland (Generally Accepted Accounting ‘The Financial Reporting Standard applicable in the UK and Practice in Ireland), including FRS 102 ‘The Financial Reporting Republic of Ireland’; and Standard applicable in the UK and Republic of Ireland’. • have been properly prepared in accordance with the This report is made solely to the company’s members, requirements of the Companies Act 2014, the European as a body, in accordance with section 391 of the Companies Communities (Undertakings for Collective Investment in Act 2014. Our audit work has been undertaken so that we Transferable Securities) Regulations, 2011 (as amended) might state to the company’s members those matters we are and the Central Bank (Supervision and Enforcement) required to state to them in an auditor’s report and for no Act 2013 (Section 48(1)) (Undertakings for Collective other purpose. To the fullest extent permitted by law, we do Investment in Transferable Securities) Regulations 2015. not accept or assume responsibility to anyone other than the company and the company’s members as a body, for our audit MATTERS ON WHICH WE ARE REQUIRED work, for this report, or for the opinions we have formed. TO REPORT BY THE COMPANIES ACT 2014 • We have obtained all the information and explanations RESPECTIVE RESPONSIBILITIES OF DIRECTORS which we consider necessary for the purposes of our audit. AND AUDITORS As explained more fully in the Directors’ Responsibilities • In our opinion the accounting records of the company were Statement set out on page 8 the directors are responsible suffi cient to permit the fi nancial statements to be readily for the preparation of the fi nancial statements and for being and properly audited. satisfi ed that they give a true and fair view and otherwise comply with the Companies Act 2014. Our responsibility is • The fi nancial statements are in agreement with the to audit and express an opinion on the fi nancial statements accounting records. in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require • In our opinion the information given in the Directors’ report us to comply with the Auditing Practices Board’s Ethical is consistent with the fi nancial statements. Standards for Auditors. MATTERS ON WHICH WE ARE REQUIRED SCOPE OF THE AUDIT OF THE FINANCIAL STATEMENTS TO REPORT BY EXCEPTION An audit involves obtaining evidence about the amounts We have nothing to report in respect of sections 305 to 312 of and disclosures in the fi nancial statements suffi cient to the Companies Act 2014 which require us to report to you if, give reasonable assurance that the fi nancial statements in our opinion, the disclosures of directors’ remuneration and are free from material misstatement, whether caused by transactions specifi ed by law are not made. fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the company’s circumstances and have been consistently applied and LISA KEALY adequately disclosed; the reasonableness of signifi cant accounting estimates made by the directors; and the overall Lisa Kealy presentation of the fi nancial statements. In addition, we for and on behalf of Ernst & Young read all the fi nancial and non-fi nancial information in the Chartered Accountants and Statutory Audit Firm Directors’ Report, Custodian’s Report and the Directory to Dublin identify material inconsistencies with the audited fi nancial statements and to identify any information that is apparently 20 April 2016 materially incorrect based on, or materially inconsistent

14 INVESTMENT MANAGERS’ REPORTS

ECONOMIC & MARKET OVERVIEW

INTRODUCTION the end of the year but remained well below the Fed’s target The future of the eurozone, the health of the Chinese rate of 2%. There was better news, however, on employment. economy and the direction of US monetary policy: these The US unemployment rate fell to 5% in October, its lowest were some of the concerns that global equity markets faced level since April 2008, and held steady for the rest of the in 2015. Further challenges came from falling commodity year. The improvement in the jobs market was deemed prices and the geopolitical turmoil in the Middle East. suffi cient for the Fed to raise the federal funds rates to 0.5% in December. This was the fi rst increase since 2006 and For much of the fi rst half of 2015, the eurozone crisis was a brought to an end months of speculation as to when the Fed major preoccupation for global investors, as Greece’s newly would raise rates. elected anti-austerity government engaged in a prolonged stand-off with the country’s creditors. This led to fears that In this environment, the FTSE All-World North America Index Greece would be forced to leave the eurozone. After much (which includes Canada) returned 0.54%. drama, including a referendum and a snap election, this phase of the crisis was resolved after the Greek government EUROPE eventually accepted the terms of a bail-out proposal. The European Central Bank (ECB) was the focus of much investor attention in 2015. In January, the ECB announced China’s economy was another major concern for global an extensive asset-purchase programme – amounting to investors. The country’s GDP growth rate dipped further in €60bn a month – to stimulate the eurozone economies. the fi rst quarter of the year but recovered somewhat in the This programme was intended to run to at least September second and remained steady in the third. Despite the growing 2016. In December, however, there was considerable evidence of economic deceleration, the domestic Chinese disappointment among market participants when the ECB stock markets surged in the fi rst half of the year, until a merely extended the bond-buying programme by six months dramatic summer sell-off erased a large portion of the gains. and took its benchmark deposit rate slightly deeper into Pronounced one-day falls in the Shanghai and Shenzhen negative territory. Many investors had hoped for a more indices rippled across global markets, as investors grew substantial increase in stimulus, with larger monthly bond increasingly nervous about slowing Chinese growth and its purchases and a greater reduction in deposit rates, given implications for the rest of the world. the sluggish growth, low infl ation and high unemployment that persisted throughout the year. Markets had rallied in In the latter part of the year, the focus was on whether and expectation of signifi cantly higher stimulus but then fell when the US Federal Reserve (Fed) would raise interest back when this failed to materialise. rates for the fi rst time since 2006. Latterly, stronger US employment data added to growing certainty that the Fed At the start of the year and just prior to the ECB’s would raise rates before the end of the year. This proved the announcement of its stimulatory programme, the Swiss case, with an increase of 25 basis points in December. In National Bank decided to remove the Swiss franc’s peg to contrast, other major central banks kept interest rates low the euro, causing considerable consternation in the markets. and continued to provide further monetary stimulus. In the spring and summer, the Greek debt crisis dominated headlines and markets before a resolution was eventually Emerging markets faced a particularly testing time in achieved. In the late summer and autumn, the sell-off in the latter part of the year, as concerns about the Chinese the Chinese market led to increased turbulence in global slowdown and the US rate rise led to huge outfl ows. Falling markets and European indices were no exception. commodity prices – caused in part by weaker demand – compounded the problems for developing economies with In the UK, the Bank of England left its interest rates and signifi cant exposure to resources, such as those of Russia stimulus programme unchanged throughout the year. The UK and Brazil. In consequence, emerging-market equity indices economy continued to grow steadily, and unemployment fell declined sharply. to 5.2% in the three months to the end of October, down from 5.5% in the fi rst quarter of the year. Over the year, global equity markets made only modest progress in aggregate, with the FTSE All-World Index rising Despite considerable economic uncertainties and signifi cant by 1.93%. volatility, European equities performed relatively strongly, with the FTSE All-World Europe ex UK Index returning 8.60%. NORTH AMERICA The UK stock market underperformed most of its continental After slowing sharply in the fi rst quarter, the US GDP growth peers, with the FTSE All-World UK Index returning -0.84%. rate recovered somewhat in the second and third quarters of The UK market was affected by its heavy exposure to oil and 2015. As in 2014, the fi rst-quarter slowdown was ascribed to mining, as commodity prices continued to fall. severe winter weather. Infl ation picked up slightly towards

15 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

ECONOMIC & MARKET OVERVIEW contd.

ASIA Investment-grade corporate debt underperformed The main concerns for investors in Asian markets were government bonds over the year (investment grade is debt US monetary policy and the health of China’s economy. Over rated BBB and above by the credit rating agency Standard the year, the extreme fl uctuations in China’s equity markets & Poor’s) as did high-yield bonds (those with a rating served to exacerbate these concerns. The Chinese domestic below BBB). stock market surged to remarkable levels in the fi rst few months of the year, before falling dramatically thereafter, CURRENCY AND COMMODITIES with a number of pronounced one-day sell-offs that were After starting the year at record-low levels, oil prices fell in echoed in other markets. This came as evidence mounted of January before recovering and holding steady for more of the a slowdown in the growth rate of the Chinese economy, with fi rst half of the year. Prices began to slide again at the end a deceleration in both factory production and fi xed-asset of June, however, on renewed concerns about excess supply. investment. The People’s Bank of China cut interest rates By the end of the year, growing supply and slowing demand, fi ve times in 2015 and also made successive reductions in especially from Asia, led the price of Brent crude towards its the reserve requirement of the country’s banks. lowest level for 11 years.

Across the region, other central banks also engaged in rate The gold price declined over the year (in US dollar, sterling cutting, with benchmark rates falling in India (where the and yen terms). Slowing demand from China weighed heavily Reserve Bank of India cut rates three times during the year), on the copper price too; China is the largest consumer of as well as in Indonesia, South Korea, Thailand and Australia. both gold and copper. Asia’s rate-cutting trend was in contrast to the direction of monetary policy in the US, where the Fed eventually raised A key feature of the year was the strengthening of the rates in December. The timing of the fi rst US rate rise for US dollar, which rose against most other currencies as the almost a decade was a major concern for investors in Asian prospect of a Fed rate hike became more certain. Sterling markets during the year, with substantial capital outfl ows in gained against the euro, which was volatile, especially as anticipation of the Fed’s decision. concerns about Greece spiked during the summer. The yen fell in the fi rst half of the year, hitting a 13-year low against In Japan, the central bank kept its asset-purchase the dollar in May, but strengthened against other currencies programme at an annual level of ¥80 trillion, with interest thereafter on the perception that it offered a ‘safe haven’. rates left unchanged at 0%. The Japanese economy contracted in the second quarter of the year but revised All performance data is from 1 January 2015 to fi gures showed that a resumption of growth in the third 31 December 2015, total return in local currency terms quarter had allowed the country to avoid a technical unless otherwise indicated, sourced from Lipper Hindsight recession (two successive quarters of contraction). The and Bloomberg. Japanese stock market substantially outperformed its Asian peers, however, helped by strong corporate profi ts, which have in turn been boosted by the yen’s weakness against other currencies in recent years.

Against this backdrop, the FTSE All-World Asia Pacifi c ex Japan Index returned -3.49% over the period. The FTSE All-World Japan Index returned 11.52%.

FIXED INCOME The fi rst part of the year was characterised by weakness but in the third quarter investors became increasingly unwilling to take on risk, prompted by the anxieties about China. But as investors became more certain that the Fed would raise interest rates before the end of 2015, yields on government bonds rose (and prices fell) again in the fi nal three months of the year.

In the US, Treasury bonds fl uctuated as expectations for the rate rise shifted over the course of the year. Throughout the period, government bonds in Japan and the eurozone were supported by central-bank purchases. Over the 12 months as a whole, the JP Morgan Global Government Bond (Unhedged) Index declined by 2.61% in local currency terms.

16 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

ABSOLUTE RETURN

BNY MELLON ABSOLUTE INSIGHT FUND BNY MELLON ABSOLUTE RETURN EQUITY FUND Over the review period, the Fund’s S share class returned Over the review period, the Fund’s R share class returned -0.06%, compared with -0.07% for 1-Month EURIBOR, both 2.82%, compared with 0.51% for LIBOR GBP 1 month, both in euro terms. in sterling terms.

The Fund invests across a range of absolute return Markets were dominated by evolving views on major strategies. The emerging market debt strategy generated macroeconomic concerns – the US growth and interest-rate a negative contribution, the main detractor being currency cycle, Chinese growth, commodity prices and central bank positions during an extremely unsettled period for emerging policies, for example. The effi cacy of European quantitative market currencies. The equity strategy generated a positive easing (a programme of asset-purchasing intended to create contribution, driven by a range of positions: the strategy new money for use in the economy) was in the spotlight. was well hedged for most of the year. (Hedging is aimed at minimising or eliminating risk.) The currency strategy Against a backdrop of performance reversals and pronounced generated a positive performance contribution. A short euro market fl uctuations, the manager generally ran hedges to position versus the US dollar was the largest contributor shield the Fund from background market noise. (‘Market to returns. (With a short position, an investor enters into an noise’ is used to refer to information or activity that confuses agreement to sell a currency for a predetermined price on or misrepresents genuine underlying trends. A hedge is an a specifi ed future date.) The credit strategy was also positive investment to reduce the risk of adverse price movements due to its long bias towards credit overall, and by positive in an asset.) There were positive contributions from a range security selection, particularly in asset-backed securities. of positions. These included positions in companies exposed (This strategy invests across a range of assets including to improving sentiment towards economic recovery in the investment-grade and sub-investment-grade corporate eurozone. The manager also had short positions focused bonds, loans, asset-backed securities, government on stocks reliant on spending in the emerging markets securities, interest-rate instruments and derivatives. or exposed to weakness in commodity prices, and these Investment grade is debt rated BBB and above by the credit generally worked. (Shorting is a trading strategy aimed at rating agency Standard & Poor’s.) The dynamic opportunities taking advantage of an expected fall in prices.) strategy’s contribution was positive, driven by positions focused on generating stable returns and certain derivative Insight Investment Management (Global) Limited strategies. February 2016

Insight Investment Management (Global) Limited February 2016

BNY MELLON ABSOLUTE RETURN BOND FUND Over the review period, the Fund’s S share class returned 1.05%, compared with -0.02% for EURIBOR 3 months, both in euro terms.

It was a diffi cult year for risk assets, with market participants coming to terms with substantial market turmoil related to Greece, China and the emerging markets, and the divergence in monetary policy between Europe and the US. (Risk asset is used to describe any fi nancial security or instrument whose price is subject to signifi cant volatility. A risk-free asset is a high-quality government bond.)

In currency markets, the manager favoured the US dollar. The manager was long 30-year Treasury infl ation-protected securities (“TIPS”) and short 30-year conventional Treasuries on the basis that infl ation expectations would increase.

The manager’s emerging market debt strategy held up well. Elsewhere in credit, the manager’s stock selection in asset-backed securities, loans and bank recovery trades was favourable.

Insight Investment Management (Global) Limited February 2016 17 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

ABSOLUTE RETURN contd.

BNY MELLON GLOBAL DYNAMIC BOND FUND In the fi rst half of 2015, the Fund regularly reduced its Over the review period, the Fund’s C share class returned duration (sensitivity to interest rates). This was achieved -0.86%, compared with a return of 2.22% for LIBOR 1 Month primarily by selling positions in long-dated US Treasuries, + 200bps, both in US dollar terms. notably some US infl ation-linked securities that had outperformed. The Fund also added to its positions in In a challenging year, the Fund generated a negative return. high-yield and emerging-market bonds. As investors became Strong performance in the fi rst few months of 2015 – when more concerned about risk in the second half of the year, the Fund’s preference for high-quality government and specifi cally about China and global growth, the manager corporate bonds was benefi cial – was offset by weaker increased the Fund’s duration again, primarily through the performance in the second quarter, as markets began to purchase of long-dated US Treasuries. But as investors fl uctuate and bond yields rose. During the three months became less concerned about taking on risk and attention to the end of September, the Fund’s defensive positioning refocused on the prospect of US monetary tightening, was better rewarded, as was its low weighting in higher risk the manager reduced the Fund’s duration once more. areas of the fi xed-income markets: specifi cally, high yield The manager also diversifi ed core government exposure into and emerging markets. (High yield is debt rated below BBB US Treasury Infl ation-Protected Securities. by credit rating agency Standard & Poor’s.) Short positions in Asian currencies such as the Singaporean dollar and the Newton Investment Management Limited South Korean won were also benefi cial. (With a short position, February 2016 an investor enters into an agreement to sell a currency for a predetermined price on a specifi ed future date.)

A short position in fi ve-year US Treasury futures was detrimental during the third quarter but boosted performance in the fi nal weeks of the year. In those last few months, however, the onset of US monetary tightening proved detrimental to ‘safe haven’ assets as yields rose, and this led to negative returns from the Fund’s holdings in developed-market government bonds. (‘Safe haven’ assets are favoured by investors in times of crisis because they are judged to be stable and easy to liquidate.) However, with an easing of immediate fears over China’s growth and fi nancial stability, investors became more comfortable again in respect of risk towards the end of 2015 – the Fund’s holdings in corporate bonds and its modest positions in emerging-market sovereign debt contributed positively to performance. A bias away from long-dated and industrial high-grade bonds also proved benefi cial in the latter part of the period, as it helped the Fund to benefi t from spread tightening and the outperformance of investment-grade fi nancials. (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. Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s.)

18 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

ABSOLUTE RETURN contd.

BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND BNY MELLON GLOBAL REAL RETURN FUND (EUR) Over the review period, the Fund’s C share class returned Over the review period, the Fund’s A share class -3.79%, compared with a return of 0.32% for LIBOR USD returned 1.15%, compared with a return of 3.93% for 3-Month, both in US dollar terms. EURIBOR 1 Month + 400bps, both in euro terms.

The main negative factor in the Fund’s performance was The Fund generated a positive return over the period under its allocation to high-yield bonds, which accounted for review. the bulk of its negative return as investors became more markedly risk averse. (High yield is debt rated below BBB There was strong performance from the technology, tobacco by credit rating agency Standard & Poor’s.) The positions and pharmaceutical sectors, with Japan Tobacco, Microsoft, in investment-grade bonds and crossover credit also had a Roche Holding and Reynolds American performing strongly. negative effect on performance. (Investment grade is debt Elsewhere, the performance of Wolters Kluwer and rated BBB and above by the credit rating agency Standard Accenture also stood out. Positions in sovereign bonds & Poor’s. Crossover credit is a bond that straddles the debt issued by governments proved benefi cial, with strong gap between investment grade and speculative.) Other contributions from the Fund’s holdings in Australian and detractors included currency allocations and allocations to US government bonds. The Fund’s exposure to alternative sovereign debt in Australia and the European ‘periphery’. assets, principally through exposure to infrastructure and renewable energy assets, along with convertible bonds, also Positive contributors to performance included the Fund’s provided a positive contribution. allocations to commercial mortgage-backed securities, asset-backed securities and mortgage-backed securities. In contrast, Centrica and Royal Dutch Shell detracted from (Securitised assets are the pooling of assets, such as performance as they were penalised by investors for their mortgages, into securities that are divided up and sold exposure to the plunging oil and gas markets. The exposure to investors). The allocations to interest-rate futures and to businesses responsible for the extraction of precious bond futures were also benefi cial. Following the US Federal metals was detrimental, such as the likes of Barrick Gold Reserve’s decision to raise interest rates in December, and Yamana Gold, which experienced negative returns. the Fund demonstrated its resilience by performing well into the end of 2015. The manager made some select additions to the Fund’s equity holdings. These included Teva Pharmaceutical Industries, AIA, Although turmoil in the markets has been high recently, the Cobham, LEG Immobilien, Dollar General, Procter & Gamble, fundamental credit outlook for the majority of the Fund is Express Scripts and Telefonica Deutschland. The manager positive. The Fund’s overall sensitivity to US rate increases reduced other holdings, including Microsoft and SAP, on the is low because of its allocation to high-yield corporate debt, view that it was prudent to take some of the profi ts made after asset-backed securities and external sovereign debt, and strong performance. In the second half of the review period, its US yield-curve positioning. (The yield curve is the graphic the Fund moved out of 2-year into 1-year US Treasuries. depiction of the relationship between the yield on bonds of the same credit quality but different maturities. It can be Newton Investment Management Limited used as an indicator of future interest rates.) The manager February 2016 reduced some of the Fund’s positions in asset-backed securities to reinvest in short-duration emerging market credit (fi xed-income instruments) and to increase cash and sovereign positions, giving it the fl exibility to take advantage of other opportunities as they arise. The Fund improved its credit profi le, increased its position in Australia and reduced its modestly profi table holdings in structured products, to increase its liquidity and potential to exploit new opportunities.

Standish Mellon Asset Management Company, LLC February 2016

19 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

ABSOLUTE RETURN contd.

BNY MELLON GLOBAL REAL RETURN FUND (GBP) BNY MELLON GLOBAL REAL RETURN FUND (USD) Over the review period, the Fund’s C share class returned Over the review period, the Fund’s A share class returned 0.63%, compared with a return of 4.51% for LIBOR GBP -0.60%, compared with a return of 4.24% for LIBOR 1 Month 1 Month + 400bps, both in sterling terms. + 400bps, both in US dollar terms.

The Fund generated a positive return over the period under The Fund generated a small negative return over the period review. under review.

There was strong performance from the technology, tobacco Centrica and Royal Dutch Shell detracted from performance and pharmaceutical sectors, with Japan Tobacco, Microsoft, as they were penalised by investors for their exposure Roche Holding and Reynolds American performing strongly. to the plunging oil and gas markets. The exposure to Elsewhere, the performance of Wolters Kluwer and Accenture businesses responsible for the extraction of precious also stood out. Positions in US Treasuries Notes debt metals was detrimental, such as the likes of Barrick issued by the US government proved benefi cial. The Fund’s Gold and Yamana Gold, which experienced negative returns. exposure to alternative assets, principally through exposure Denmark’s telecommunications company TDC made a negative to infrastructure and renewable energy assets, along with contribution. TDC suffered as attempts at market consolidation convertible bonds, also provided a positive contribution. in Denmark were halted by European politicians.

In contrast, Centrica and Royal Dutch Shell detracted from In contrast, there was strong performance from the performance as they were penalised by investors for their technology, tobacco and pharmaceutical sectors, with exposure to the plunging oil and gas markets. The exposure Japan Tobacco, Microsoft, Roche Holding and Reynolds to businesses responsible for the extraction of precious American performing strongly. Elsewhere, the performance metals was detrimental, such as the likes of Barrick Gold of Wolters Kluwer and Accenture also stood out. Positions and Yamana Gold, which experienced negative returns. in US Treasuries Notes debt issued by the US government proved benefi cial. The manager made some select additions to the Fund’s equity holdings. These included Teva Pharmaceutical Industries, The manager made some select additions to the Fund’s equity AIA, Cobham, LEG Immobilien, Dollar General, Procter holdings. These included Teva Pharmaceutical Industries, & Gamble, Express Scripts and Telefonica Deutschland. AIA, Cobham, LEG Immobilien, Dollar General, Procter The manager reduced other holdings, including Microsoft & Gamble, Express Scripts and Telefonica Deutschland. and SAP, on the view that it was prudent to take some of the The manager reduced other holdings, including Microsoft profi ts made after strong performance. In the second half of and SAP, on the view that it was prudent to take some of the the review period, the Fund moved out of 2-year into 1-year profi ts made after strong performance. In the second half of US Treasuries. the review period, the Fund moved out of 2-year into 1-year US Treasuries, on a duration-neutral basis. Newton Investment Management Limited February 2016 Newton Investment Management Limited February 2016

BNY MELLON TARGETED RETURN BOND FUND The Fund was launched on 16 November 2015.

The investment manager invests in a globally diversifi ed array of fi xed-income instruments (e.g. bonds issued by governments, other public entities and companies), currencies and fi nancial derivatives (i.e. fi nancial contracts whose value is linked to the expected price movements of an underlying investment). The fund manager can invest on a global basis and there is no geographical, industry or sector focus. Up to 40% of the Fund’s net assets can be invested in emerging market countries.

The investment process combines macroeconomic research together with sector and security selection.

Standish Mellon Asset Management Company, LLC February 2016

20 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

GLOBAL EQUITY

BNY MELLON DYNAMIC TOTAL RETURN FUND BNY MELLON EMERGING MARKETS EQUITY FUND The Fund was launched on 15 May 2015. The Fund was closed on 9 December 2015.

Over the review period since its inception, the Fund returned Over the review period, the Fund’s C share class returned -6.66%. -6.86%, compared with a return of -14.73% for the MSCI EM (Emerging Markets) Index TR and -14.05% for the Lipper The Fund’s allocation to growth assets had a negative Global Equity Emerging Markets Global sector, all in effect on its performance in the period from its launch to US dollar terms. December 2015. This came as global equities fell amid signs of an economic slowdown in China and uncertainty over For emerging-market equities, 2015 was another US monetary policy. Positions in the US, Japan and Germany disappointing year, with all three major regions producing were the main detractors from the Fund’s returns. negative returns over the 12 months. Asia was the most resilient region, declining by the least amount, while The modest allocation to emerging markets also detracted Europe, the Middle East and Africa region was affected by from performance. This was due to tumbling oil prices, weak currencies in Turkey and South Africa. Latin America concerns about global growth and expectations of higher had a poor year, with Brazil facing a collapsing currency, US interest rates. A position in high-yield bonds also weighed a prolonged recession and political corruption. on the Fund’s returns, as the sector struggled late in 2015 with defaults in the energy sector. (High yield is debt rated The Fund benefi ted from strong stock selection in China, below BBB by credit rating agency Standard & Poor’s.) With specifi cally Shanghai Electric and Nexteer Automotive. commodity prices tumbling, exposure to real assets was also The underweight in Greece was also positive for performance. detrimental. (Real assets are physical or tangible and include The main negatives came from stock selection in Brazil, precious metals, commodities, real estate, agricultural land South Africa and South Korea. and oil.) The Fund sold its modest commodity position at the end of the third quarter. Defensive assets had a slightly Blackfriars Asset Management Limited negative effect; positions in international sovereigns were February 2016 positive while a US Treasury position declined.

Diversifying assets had a positive effect due to short positions in the euro, Norwegian krone and Canadian dollar, and a long position in the yen. (With a short position, an investor enters into an agreement to sell a currency for a predetermined price on a specifi ed future date.) Most G10 currencies fell against the US dollar during the period. This was due to expectations that US interest rates would rise. Its perceived safe-haven status allowed the yen to rise against the US dollar. (‘Safe haven’ assets are favoured by investors in times of crisis because they are judged to be stable and easy to liquidate.)

Mellon Capital Management Corporation February 2016

21 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

GLOBAL EQUITY contd.

BNY MELLON EMERGING MARKETS BNY MELLON GLOBAL EMERGING MARKETS FUND* EQUITY CORE FUND Over the period since the Fund’s re-styling, the Fund’s C share The Fund was closed on 2 October 2015. class returned -12.32%, compared with a return of -14.92% for the MSCI Emerging Markets Index NR and -14.52% for Over the review period, the Fund’s S share class returned the Lipper Global Equity Emerging Markets Global sector, -18.06%, compared with a return of -13.93% for the MSCI EM all in US dollar terms. (Emerging Markets) Index and -14.05% for the Lipper Global Equity Emerging Markets Global sector, all in US dollar terms. As at 4 August 2015, the BNY Mellon Emerging Equity Income Fund was re-styled into the BNY Mellon Global Emerging Global equities produced mixed results in 2015 as investors Markets Fund. digested the political and economic turmoil caused by factors such as Greece’s debt-crisis reforms, China’s The healthcare sector, which the manager strongly favours, economic slowdown, a precipitous drop in commodity prices was a key positive contributor, with China Biologic Products, and uncertainty about US monetary policy. China’s 3SBio, India’s Apollo Hospitals and Malaysian hospital operator IHH Healthcare among the strong performers. By sector, the positions in fi nancials, consumer staples and British American Tobacco was also strong as the company’s industrials detracted. In contrast, the Fund’s positioning investment in innovation and growth drove strong sales. in energy, materials and utilities bolstered its relative In South Africa, the large weighting in Naspers, a diversifi ed performance. On a country basis, Taiwan led the portfolio’s online-investment and pay-TV company, worked well. relative returns, with additional support from Mexico and Malaysia, while Brazil, India and South Korea weighed on On an individual stocks basis, leisure groups Wynn Macau relative performance. and Sands China made signifi cant negative contributions. In Taiwan, MediaTek, which sells microchips to Chinese Emerging markets faced many challenges in 2015 and smartphone companies, lagged due to an increase in yet numerous countries, including India, Indonesia and competition and a slowdown in demand. Tata Motors, which now China, are still implementing prudent structural makes signifi cant profi ts in China through its Jaguar Land reforms. Emerging-market stock valuations remain largely Rover business, also suffered on concern of slowing Chinese inexpensive, particularly in the more cyclical segments. growth. (Cyclical refers to companies whose share price is subject to the ups and downs of the overall economy.) Much of During the review period as a whole, the Fund took new the bad news is already priced in. The Fund’s managers positions in Catcher Technology, Lenovo, PVR Cinemas and believe that the US Federal Reserve’s raising of interest Arca Continental. Disposals included the holdings in Rocket rates in December 2015 demonstrates its confi dence in the Internet, Eurasia Drilling, Al Noor and Lafarge Malaysia. strength of the US economy, which is an important positive for emerging markets. Together with continued recovery in Newton Investment Management Limited the economies of Japan and Europe, ongoing US economic February 2016 strength would provide a favourable backdrop for growth in emerging markets, which should eventually enable * Please refer to Note 20 of the fi nancial statements. currencies to stabilise and provide a platform for rising corporate earnings.

The Boston Company Asset Management, LLC February 2016

22 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

GLOBAL EQUITY contd.

BNY MELLON GLOBAL EMERGING MARKETS EQUITY BNY MELLON GLOBAL EQUITY FUND VALUE FUND Over the review period, the Fund’s A share class returned Over the review period, the Fund’s A share class returned 2.05%, compared with a return of -2.36% for the -19.15%, compared with a return of -14.60% for the MSCI EM MSCI All-Country World Index NR and -3.61% for the Lipper (Emerging Markets) Index TR and -14.49% for the Lipper Global Equity sector, all in US dollar terms. Global Equity Emerging Markets Global sector, all in US dollar terms. The Fund outperformed its comparative index over the period. Global equities produced mixed results in 2015 as investors digested the political and economic turmoil caused by Within information technology, the Fund benefi ted from factors such as Greece’s debt-crisis reforms, China’s strong performance from Alphabet (the corporate name economic slowdown, a precipitous drop in commodity prices under which Google trades after a signifi cant corporate and uncertainty about US monetary policy. restructure) and Microsoft. The news of the Google’s restructure was greeted with approval as it is likely to Positions in fi nancials and information technology were the increase the depth of information investors receive about main detractors. The Fund’s relative returns were bolstered Google search and raises the prospect of the core search by its positioning in the utilities and energy sectors. engine business being run more ostensibly for profi t. It also By country, positioning in Thailand made the largest positive gives Google the capacity to raise its own debt. Microsoft contribution to relative performance, followed by Hungary is making good progress in shifting its business towards and South Korea. Conversely, Brazil, India and China were cloud-based services and reported good results. Altria was the main detractors. also one of the top performing stocks. The company reported impressive results, raised its earnings growth guidance and Emerging markets faced many challenges in 2015 and increased its dividend. Japan Tobacco also performed well yet numerous countries, including India, Indonesia and following a new ¥100 billion share buyback programme and now China, are still implementing prudent structural a positive market reaction to the company’s intention to reforms. Emerging market stock valuations remain largely cease the production of drinks and sell its vending machine inexpensive, particularly in the more cyclical segments. assets. It also benefi ted from announcing price increases (Cyclical refers to companies whose share price is subject in Japan where tobacco products remain cheap by global to the ups and downs of the overall economy.) Much of standards. the bad news is already priced in. The Fund’s managers believe that the US Federal Reserve’s raising of interest Among the detractors from performance was the holding rates in December 2015 demonstrates its confi dence in the in Centrica which was penalised by investors for its strength of the US economy, which is an important positive exposure to the plunging oil and gas markets. Discovery for emerging markets. Together with continued recovery in Communications fell amid concerns about structural the economies of Japan and Europe, ongoing US economic changes to television viewing habits. Another detractor was strength would provide a favourable backdrop for growth Suncor Energy. The company released production guidance in emerging markets, which should eventually enable fi gures for 2016 that were below market expectations owing currencies to stabilise and provide a platform for rising to maintenance on its oil sands operations that was taking corporate earnings. longer than expected.

The Fund’s year-end positioning in the iShares MSCI New holdings included software company CA Technologies, Emerging Markets Exchange-Traded Fund enabled which appears to be poised for a revival in its mainframe the maintenance of exposure to the asset class, while enterprise business, which has been in decline for some accommodating a signifi cant redemption of assets that time, and is on a valuation that assumes that the declines occurred near the end of the review period. will continue into the future. Another new position was US pharmaceutical fi rm Merck, which is making progress The Boston Company Asset Management, LLC with an anti-cancer drug and is seeing improvements in February 2016 its oral diabetes franchise. The Fund also established new positions in Wolseley, TripAdvisor and Cerner. Meanwhile, positions were closed in Royal Dutch Shell, Marathon Oil, Mattel, Pfi zer, TeliaSonera, Kraft Heinz, Eastman Chemical Company and Willis.

Newton Investment Management Limited February 2016

23 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

GLOBAL EQUITY contd.

BNY MELLON GLOBAL EQUITY INCOME FUND* BNY MELLON GLOBAL OPPORTUNITIES FUND Over the review period, the Fund’s C share class returned Over the review period, the Fund’s A share class returned 3.75%, compared with a return of -1.37% for the FTSE 4.94%, compared with a return of -2.36% for the MSCI World Index TR and -2.72% for the Lipper Global Equity All-Country World Index NR and -3.61% for the Lipper Global Global Income sector, all in US dollar terms. Equity Global sector, all in US dollar terms.

The Fund strongly outperformed its comparative index, The top stock-level contributors included Japan Tobacco, with relative returns boosted by robust stock selection in Google (internet search) and software companies Microsoft the US (from a geographical perspective) and in consumer and SAP in addition to consumer credit reporting agency goods, consumer services and technology (from a sector Equifax and management consulting services company perspective). The underweighting of the oil & gas, basic Accenture. Japan Tobacco’s share price recovered from the materials and industrials sectors was also benefi cial. reaction to an expensive acquisition it made at the end of the third quarter of 2015. Google demonstrated strong growth At the stock level, the largest positive contributor was and (more unusually) improved cost control. Microsoft tobacco company Reynolds American, which announced and SAP both released results that led investors to increase the sale of the rights to its Natural American Spirit brand to their expectations for future earnings. Japan Tobacco. In the manager’s view, this should allow it to pay down a signifi cant amount of debt and recommence The largest detractors were Discovery Communications buybacks. Fellow tobacco fi rm Philip Morris was also viewed (media and entertainment), utility Centrica, Amazon (online favourably by investors on account of its stability and retail), Trimble Navigation (global positioning systems) and predictability of returns. Meanwhile, software heavyweight United Technologies (aerospace technology). Discovery Microsoft announced impressive results and an increase Communications fell amid concerns about general changes in its dividend. to the structure of television viewing. The effects of a lower oil price continued to be felt in the share prices of companies Among the biggest detractors was Danish with direct exposure, such as Centrica. Telecommunications fi rm TDC, as the proposed merger between two domestic competitors, Telenor and New purchases over the period included Norwegian bank TeliaSonera, collapsed. This was judged likely to increase DNB, the valuation of which already allows for a material competitive pressures and result in continued instability deterioration in credit quality should one occur, and in terms of market share. The low oil price, in addition to US discount retailer Dollar General, which had become reduced demand in the UK, dragged down the share price attractively valued in sympathy with struggling peers of UK utilities company Centrica. In addition, not being able (the concerns about Dollar General were overdone in the to hold technology stocks Alphabet (formerly Google) and manager’s view). The Fund also bought positions in Chinese Amazon was detrimental to relative performance. These internet-search fi rm Baidu, which looked oversold, and companies performed strongly, but cannot be held by Japanese food and drink group Suntory Beverage & Food, the Fund as they do not meet its yield criteria. which offers a relatively reliable revenue stream and is well placed to gain market share. Other purchases included New purchases included McDonald’s, Western Union, confectionery business Hershey, diversifi ed industrial fi rm Spark New Zealand, Diageo, Royal Mail Group, Johnson & Emerson Electric, pharmaceutical business Merck and toy Johnson, Principal Financial, Emerson Electric and CMS manufacturer Mattel, all in the US, and UK pollution-control Energy. On the sales side, the Fund disposed of Statoil, fi rm Johnson Matthey. Deutsche Post, SES, Suez Environnement, Total, Singapore Technologies, Deutsche Telekom, CRH, Balfour Beatty, Pfi zer, The largest acquisitions (in terms of value of purchase) Tesco and Statoil. were Vivendi, TripAdvisor, Wolseley, The Hershey Company and Merck. The largest sales were AGCO, the designer, Newton Investment Management Limited manufacturer and distributor of agricultural equipment, February 2016 Kraft Heinz, Belgian drinks company Anheuser-Busch Inbev, Vodafone Group and Continental. * Please refer to Note 20 of the fi nancial statements. Newton Investment Management Limited February 2016

24 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

GLOBAL EQUITY contd.

BNY MELLON LONG-TERM GLOBAL EQUITY FUND For completeness, it should be noted that currency Over the review period, the Fund’s A share class returned movements added around nine percentage points to the 9.66%, compared with a return of 10.42% for the MSCI World Fund’s returns and around 8.5 percentage points to index Index NR and 7.38% for the Lipper Global Equity Global returns, as the euro weakened signifi cantly – most notably sector, all in euro terms. against the US dollar, the Swiss franc, the Japanese yen and the Hong Kong dollar. The investment approach followed in managing the Fund is long-term in nature and is focused on the individual New holdings included Cognizant Technology Solutions, company investments, without reference to benchmarks. Compass Group, Starbucks and The Walt Disney Company. The focus of the investment team is the identifi cation of The holdings in BG Group, China Shenhua, HSBC Holdings, world-leading companies capable of meaningful wealth Precision Castparts, QUALCOMM, Standard Chartered Bank, generation over time. History shows that such success is Walmart and Woodside Petroleum were sold. In addition, refl ected in share-price returns over the long term. During a number of holding weights changed as a result of cash 2015, and indeed the preceding years, the rising tide of fl ows. equity markets that has lifted all, differentiated between none and masked mediocrity. Over the long term, however, Walter Scott & Partners Limited the investment manager continues to believe that selectivity February 2016 will reign and that market-leading, fi nancially robust, growth companies will be rewarded.

Although the manager’s investment decisions do not rest on geographical or sector views, all of the Fund’s regional absolute returns were positive, with the exception of the sole Canadian stock. Europe ex-UK holdings were the standout performers, with Novo Nordisk particularly strong. Japanese companies also performed well; technology stock Keyence was a particularly strong absolute contributor. In relative terms, Europe ex-UK equities led their regional index and were the largest contributors. Limited exposure to the weak Canadian market was an advantage, while UK holdings also contributed to relative returns, partly because of the Fund’s limited exposure to the country. In aggregate, US holdings underperformed and were the main detractors from relative returns.

From a sector perspective, technology stocks rose markedly and contributed the most to absolute returns; Alphabet was the Fund’s strongest performer. Healthcare and consumer-discretionary (non-essential goods and services) stocks were also notably strong, with Nike and the aforementioned Novo Nordisk strongest. Energy equities were the weakest in absolute terms, followed by fi nancials. From a relative viewpoint, technology holdings were the largest relative contributors; greater exposure to the sector also helped. The Fund’s consumer discretionary companies outperformed and were notable relative contributors. Industrials and consumer staples lagged their respective sector indices and were the biggest relative detractors.

25 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

REGIONAL EQUITY

BNY MELLON ASIAN EQUITY FUND BNY MELLON ASIAN INCOME FUND Over the review period, the Fund’s A share class returned Over the review period, the Fund’s W share class returned -11.27%, compared with a return of -9.12% for the MSCI -7.90%, compared with a return of -3.48% for the FTSE AW All-Country Asia Pacifi c ex Japan Index TR and -8.16% (All-World) Asia Pacifi c ex Japan Index TR and -2.84% for the for the Lipper Global Equity Asia ex Japan sector, all in Lipper Global Equity Asia Pacifi c ex Japan sector average, US dollar terms. all in sterling terms.

The Fund generated a negative return, underperforming its The Fund generated a negative return, underperforming its comparative index. Stock selection in Australia and Hong comparative index over the period. This was disappointing, Kong provided a negative contribution, while, regionally, India because the majority of the weakness in performance and Malaysia boosted relative returns. The underweight occurred in the fourth quarter and was from one-off stock position to China helped relative performance as the Fund specifi c events. For example, the Fund’s holdings in the avoided the worst of the market sell-off. Thai telecommunications industry, Intouch Holdings and Advanced Info Service, were heavily penalised by market Asset allocation was benefi cial to performance, especially participants in the recent round of mobile spectrum in the healthcare sector. On an individual stocks basis, bidding, when a new entrant with uncertain credentials Apollo Hospitals, GT Capital and Fortis Healthcare India was able to secure entry, albeit at an extremely high price. provided the largest positive contribution to returns over Spotless Group, a services and facilities-management the review period. Conversely, Mesoblast, Noble Group company in Australia, was another detractor. Its share price and Spotless Group were the biggest detractors. The fall corrected sharply after a trading update, in which the new in the share price of Spotless came at the end of 2015 and management downgraded its guidance. A rebound in the was largely responsible for dragging the Fund’s relative Australian banking sector was a further detractor from performance into negative territory for the year as a whole. performance; the Fund avoids holding Australian banks, This was particularly frustrating because it was caused by given the increased earnings risk and regulatory pressures. a one-off downgrade to guidance which the manager could not have anticipated. The manager reduced the position size The exposure to Australian infrastructure was rewarded, to refl ect the risks against the potential rewards. with core Australian holdings Sydney Airport and Transurban among the top performers. The Fund benefi ted from utility The Fund looks to hold businesses with strong cash return companies Meridian Energy and AGL in New Zealand profi les and sustainable, scalable business models which and Australia, respectively. Not holding Australian miner can maintain a competitive position into the medium to BHP Billiton was benefi cial, as falling commodity prices long term. This regard, the manager established positions continued to weigh on the share price. in the leading Chinese internet search engine Baidu, Indian private-sector bank Axis Bank, MYOB, an Australian The Fund initiated new positions in MGM China and accounting software business, China Mobile, Security Bank Pegatron. The manager focused on tightening up the in the Philippines, Domino’s Pizza Enterprises, Man Wah portfolio in the second half of the year to concentrate the – a furniture manufacturer in China with a global sales holdings in companies where the conviction was highest. footprint, Ctrip, a leading Chinese online travel agency, and Disposals included Telekom Indonesia Suntec REIT, Catcher Technology. Australia & New Zealand Bank (ANZ), Sunway Real Estate, BTS Rail Mass Transit Growth Infrastructure Fund, Belle Outright sales included Australian credit reference agency International and Wesfarmers. The manager also reduced Veda, 21 Vianet, Bangkok Bank, Advanced Info Service, the commodity exposure of the Fund and hence sold out of Amcor, BHP Billiton, PetroChina, Hero MotoCorp, Belle Keppel Corporation, BHP Billiton and Noble Group. International, Noble Group, and Australia and New Zealand Banking Group. Newton Investment Management Limited February 2016 Newton Investment Management Limited February 2016

26 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

REGIONAL EQUITY contd.

BNY MELLON BRAZIL EQUITY FUND BNY MELLON JAPAN ALL CAP EQUITY FUND Over the review period, the Fund’s C share class returned Over the review period, the Fund’s C share class returned -36.77%, compared with a return of -40.05% for the MSCI 15.90%, compared with a return of 12.06% for the Tokyo Brazil 10/40 Index NR and -41.11% for the Lipper Global Stock Price Index (Topix) TR and 9.81% for the Lipper Global Equity Brazil sector, all in US dollar terms. Equity Japan sector, all in Japanese yen terms.

In a very weak year for the Brazilian stock market, the Fund Stock selection made the main contribution to the Fund’s produced a negative return but outperformed both its performance, with sector positioning detracting. The biggest comparative index and its peer group. At the industry level, individual stock contributors included Sohgo Security pulp and paper and consumer discretionary (non-essential Services (home and offi ce security) and SCSK (systems goods and services) were the main positive contributors integration). Among the detractors were Hitachi (industrial to the Fund’s relative performance. The main source of electronics) and Omron (sensing and controlling equipment). negative relative performance was exposure to steel and New purchases included Sankyu (logistic services), Mitsubishi commercial banks. Heavy Industries (heavy machinery) and Mazda (automobiles).

At the stock level, the Fund benefi ted from its holdings in The manager believes the mid to longer term prospects for pulp producers Suzano and Fibria as the depreciation of Japan’s equity market remain attractive, as the economy the Brazilian currency improved the companies’ cash fl ows is in a rare transitional phase, moving from contraction to from exports and more than compensated for the decline in expansion. Although Japan may be affected by any global pulp prices during the period. Furthermore, both companies slowdown, the country has a large domestic base and can announced expansion projects. The holding in retail chain weather such turbulence much better than most economies. Lojas Americanas was also positive for performance as the Despite Japan’s image as an export-dependent country, company’s cash fl ow proved resilient during the economic exports account for only about 15% of GDP, much less than downturn. most countries in Asia or Europe. (GDP is the total value of an economy’s domestic output of goods and services.) Steel producer Gerdau and its holding company Metalúrgica Gerdau were the main negative contributors. This was In the manager’s view, Prime Minister Shinzo Abe and the because of several factors that included the local recession, Bank of Japan are committed to ensuring that economic a decrease in steel prices resulting from the oversupply in recovery continues, and to achieving their goals of ending China and a stock overhang at Metalúrgica Gerdau (A stock defl ation and guiding Japan back to a growth path. (Defl ation overhang is the existence of a block of shares, that were they is a sustained fall in the prices of goods and services. It can to be sold, would exert substantial pressure on the price of have a negative impact on economic activity, discouraging that stock.). Shares in Bradesco underperformed after the consumption, reducing revenue and wage levels, as well as bank announced the purchase of HSBC Holdings’ Brazilian pushing up bad debts and increasing the rate of bankruptcy.) operations. Market participants reacted negatively to the Although real quarter-on-quarter GDP has looked mixed implication that Bradesco had paid a high transaction price. at times, nominal year-on-year GDP has been positive for Shares in both Bradesco and its banking peer Itaú also 10 consecutive quarters. (Nominal GDP will often appear suffered from higher delinquency rates in their loan books. higher than real GDP as real values are adjusted for infl ation (Delinquency is the failure to make a payment on a debt by whereas nominal values are not.) the due date.) The second stage of ‘Abenomics’, announced in September, ARX Investimentos Ltda targets a 20% increase in nominal GDP, to be achieved early February 2016 next decade. (‘Abenomics’ is the name given to the suite of measures introduced by Prime Minister Abe to revive the sluggish economy.)

The stock-market recovery still lags the recovery in corporate profi ts since the fi nancial crisis and international investors continue to be underweight. Although the manager’s sector decisions are derived from bottom-up stock selection, the manager expects to remain overweight in companies that benefi t from the longer term recovery of the domestic part of the economy.

BNY Mellon Asset Management Japan Limited February 2016

27 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

REGIONAL EQUITY contd.

BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND BNY MELLON PAN EUROPEAN EQUITY FUND Over the review period, the Fund’s C share class returned Over the review period, the Fund’s A share class returned 19.19%, compared with a return of 16.08% for the Russell/ 10.92%, compared with a return of 8.46% for the Nomura Small Cap Index and 17.65% for the Lipper Global FTSEurofi rst 300 TR and 10.94% for the Lipper Global Equity Japan sector, all in Japanese yen terms. Equity Europe sector, all in euro terms.

Sector selection was the main contributor to the Fund’s The largest individual contribution came from Infi neon performance but stock selection was also positive. Technologies, the German semiconductor company, which The biggest individual stock contributors included Financial increased its dividend and released strong results with Products Group (tax-saving fi nancial products) and Anicom margins and earnings ahead of guidance. (The margin is (pet insurance). Among the detractors were Leopalace21 the difference between the product’s selling price and the (apartment construction and management) and Nikkiso cost of production.) Other positive contributors included (industrial pumps and medical products). New purchases French utility Veolia Environnement, which is effecting included Vector (PR), Anicom and Nichias (thermal insulation). a profound turnaround by cutting costs and refocusing on its core businesses, and Italian fashion company Yoox, which The manager believes the mid to longer term prospects for performed well after announcing a merger with Richemont’s Japan’s equity market remain attractive, as the economy Net-a-Porter online luxury retail business. Pharmaceuticals is in a rare transitional phase, moving from contraction to fi rm Novo Nordisk performed well too, as investors came to expansion. Although Japan may be affected by any global appreciate its strong pipeline in innovative diabetes drugs. slowdown, the country has a large domestic base and can Tyre-maker Pirelli rose strongly as a result of an agreed weather such turbulence much better than most economies. offer for the whole company by ChemChina. Among the Despite Japan’s image as an export-dependent country, other positive contributors were LEG Immobilien, Svenska exports account for only about 15% of GDP, much less than Cellulosa and Atlantia. The decision to hold neither Banco most countries in Asia or Europe. (GDP is the total value of Santander nor Glencore was also positive for performance. an economy’s domestic output of goods and services.) Among the detractors from performance was Nokia, which In the manager’s view, Prime Minister Shinzo Abe and the had performed very well in 2014 but suffered as the company Bank of Japan are committed to ensuring that economic announced the takeover of French rival Alcatel. Norwegian recovery continues, and to achieving their goals of ending property company Entra also lagged the market after strong defl ation and guiding Japan back to a growth path. (Defl ation performance in 2014. Other detractors included Vallourec, is a sustained fall in the prices of goods and services. It can Commerzbank, TDC, Barclays, Zurich Insurance Group and have a negative impact on economic activity, discouraging Centrica. Over the period, the manager sold the Fund’s consumption, reducing revenue and wage levels, as well as positions in Nokia, Vallourec, Entra and TDC. pushing up bad debts and increasing the rate of bankruptcy.) Although real quarter-on-quarter GDP has looked mixed Newton Investment Management Limited at times, nominal year-on-year GDP has been positive for February 2016 10 consecutive quarters. (Nominal GDP will often appear higher than real GDP as real values are adjusted for infl ation whereas nominal values are not.)

The second stage of ‘Abenomics’, announced in September, targets a 20% increase in nominal GDP, to be achieved early next decade. (‘Abenomics’ is the name given to the suite of measures introduced by Prime Minister Abe to revive the sluggish economy.)

The stock-market recovery still lags the recovery in corporate profi ts since the fi nancial crisis, and international investors continue to be underweight. Although the manager’s sector decisions are derived from bottom-up stock selection, the manager expects to remain overweight in companies that benefi t from the longer term recovery of the domestic part of the economy.

BNY Mellon Asset Management Japan Limited February 2016

28 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

REGIONAL EQUITY contd.

BNY MELLON U.S. DYNAMIC VALUE FUND BNY MELLON US OPPORTUNITIES FUND Over the review period, the Fund’s A share class returned Over the review period, the Fund’s C share class returned -4.12%, compared with a return of -3.83% for the Russell 1.41%, compared with a return of 1.38% for the Standard & 1000 Value TR Index and a return of -2.10% for the Lipper Poor’s 500 Index TR and -2.10% for the Lipper Global Equity Global Equity US sector, all in US dollar terms. US average, all in US dollar terms.

Global equities produced mixed results in 2015 as investors Global equities produced mixed results in 2015 as investors digested the political and economic turmoil caused by digested the political and economic turbulence caused factors such as Greece’s debt-crisis reforms, China’s by factors such as Greece’s debt-crisis reforms, China’s economic slowdown, a precipitous drop in commodity prices economic slowdown, a precipitous drop in commodity prices and uncertainty about US monetary policy. and uncertainty about US monetary policy.

For the Fund, returns were weakest in the fi nancials and For the Fund, returns were strongest in the fi nancials and information-technology sectors. Positioning in consumer energy sectors. Positioning in information-technology and staples and energy produced the strongest returns. healthcare produced the weakest returns. (Consumer staples are regarded as essential products, such as food, beverage and household items, that are in demand As 2016 progresses, the unwinding of market distortions no matter how well the economy is doing.) is likely to have a localised effect on related industries but it should not be broad enough to derail the strength The Fund’s managers continue to believe that the equity of the US business cycle. The Fund’s managers still see market can generate returns that range from high single a surprisingly long list of attractive investment opportunities digits to low double digits over the long term. This estimate – the ideas are dispersed throughout many industries in the is based on a 2.2% dividend yield and growth in earnings marketplace. in the mid-to-high single digits. US equity markets appear modestly attractive with a price-to-earnings The managers believe that their team, with its investigative, ratio (P/E ratio) for the S&P 500 Index of roughly 15x 2016 fundamental and macroeconomic research capabilities, earnings. (The P/E ratio is a company’s share price divided remains well equipped to identify companies priced at by its earnings per share. With a low P/E ratio investors are a large discount to their fair value with unrecognised strong getting more earnings for their money.) An expansion of the fundamental prospects in the evolving market environment. market multiple, which is not unusual in a low-interest-rate/ The Fund’s capital-allocation discipline is designed to keep low-infl ation environment, could lead to returns at the investors’ assets actively positioned in the most attractive higher end of this estimate, the market multiple (The market companies and industries. multiple is an investment analysis factor to determine if a stock is appropriately priced for its fi nancial situation.) The Boston Company Asset Management, LLC February 2016 The Boston Company Asset Management, LLC February 2016

29 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

SPECIALIST EQUITY

BNY MELLON GLOBAL PROPERTY SECURITIES FUND BNY MELLON SMALL CAP EUROLAND FUND Over the review period, the Fund’s C share class returned Over the review period, the Fund’s A share class returned 9.60%, compared with a return of 11.45% for the FTSE 25.11%, compared with a return of 20.30% for the S&P EPRA/NAREIT Developed Index TR and 8.96% for the Lipper EuroZone SmallCap Index TR and 22.96% for the Lipper Global Equity Sector Real Estate Global, all in euro terms. Global Equity EuroZone Small & Mid Cap sector, all in euro terms. In an environment of continued low interest rates, positive economic growth and low supply of real estate, the Fund Global equities produced mixed results in 2015 as investors generated a positive absolute return. Performance was digested the political and economic turmoil caused by driven by strong stock selection, especially in the US factors such as Greece’s debt-crisis reforms, China’s and the UK. In the US, stock picks within the diversifi ed, economic slowdown, a precipitous drop in commodity prices speciality, regional mall and hotel sectors outperformed and uncertainty about US monetary policy. signifi cantly. In the UK, the overweighting of small-cap specialists in student housing and self-storage provided At the sector level, the Fund benefi ted from particularly the most signifi cant contribution. The main detractor from strong stock selection in industrials. Elsewhere, positioning performance was positioning in Europe. Although regional was positive in all sectors but energy. By country, relative allocation was generally positive, the sharp appreciation performance was boosted by positioning in the Netherlands of the Swiss franc and the Fund’s underweight to Swiss and Italy. Positioning in Austria and Belgium detracted companies hurt relative performance early in 2015. Stock modestly from returns. selection was negative in the Nordic countries. Positioning in Japan also detracted marginally from performance. As the review period ended, concerns intensifi ed about falling commodity prices, economic growth – particularly As Asian economies are slowing and the normalisation of in China and Europe – and the decision by the US Federal US monetary policy is occurring at a time when global growth Reserve (Fed) to raise interest rates. Despite this, the Fund’s appears to be decelerating, markets have been increasingly managers remain positive about the long-term outlook for prone to fl uctuate. Related to this is the continued falls in equities. The managers are encouraged by the Fed’s decision commodity markets, which has had a knock-on effect in debt to raise interest rates, which they believe demonstrates its markets, compounding the uncertainty over global growth. confi dence in the strength of the US economy. Additionally, Therefore, the manager expects a moderation in global investors should be heartened by the willingness of global property markets in 2016. That said, the discounted value central banks, especially in Europe and Japan, to launch for real-estate stocks implies that this outcome is already more aggressive monetary action in an effort to revive priced in. With lower long-term bond yields likely to persist, stagnant economies and boost infl ation rates, which gives the prospects for listed property companies are positive. rise to a better outlook for global growth.

The Fund’s portfolio remains focused on fundamentals. The Boston Company Asset Management, LLC The manager has increased its defensive bias on a global February 2016 basis through exposure to high-quality portfolios and strong balance sheets.

CenterSquare Investment Management, Inc. February 2016

30 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

PASSIVE EQUITY CORPORATE AND SOVEREIGN BONDS

BNY MELLON S&P 500® INDEX TRACKER BNY MELLON ASIAN BOND FUND Over the review period, the Fund’s A share class returned Over the review period, the Fund’s C share class returned -0.58%, compared with a return of 0.75% for the S&P 500 2.22%, compared with a return of 2.80% for the JP Morgan Index NR and -2.10% for the Lipper Global Equity US sector, Asia Credit Index and -0.20% for the Lipper Global Bond Asia all in US dollar terms. Pacifi c HC, all in US dollar terms.

As at 31 December 2015, the one-year annualised tracking The Asian US dollar-denominated bond market fl uctuated error for the Fund was 0.06%. The tracking error is related during the year, with a sharp sell-off in January swiftly offset to withholding tax and the cost associated with managing by a rally into mid-year. The market weakened again in the the daily activity. The anticipated tracking error of the Fund third quarter, however, as it absorbed continued concerns is 0.04%. Meanwhile, the difference in performance between over Greece, a surprise currency depreciation from China the Fund and the S&P 500 Index related to the market impact and ongoing worries about the pace and timing of the of fees and the cost associated with managing daily activity US Federal Reserve’s increase in interest rates. on the former. The tracking difference with respect to the Class A share class was -1.33%. Asian US dollar-denominated bonds continue to benefi t from an attractive carry trade, which more than offset the The annualised tracking error provided was calculated using modest credit spread and widening Treasury yield during gross monthly returns for the period in question. The tracking the year. (A carry trade is a strategy – common in the foreign error is the standard deviation of the relative returns, which exchange market – in which an investor borrows money at have been annualised (multiplied by the square root of 12). a low interest rate to invest in an asset that is likely to provide a higher return. The spread on bonds is usually expressed For further commentary, please refer to the market review as the yield difference between bonds of the same maturity at the beginning of this document. but different credit quality.)

Mellon Capital Management Corporation Market participants grappled with a number of global February 2016 macroeconomic events, which affected most asset classes. A stark fall in oil prices, continued policy adjustments and slowing growth in China, expectations of US rate rises, and quantitative easing (a programme of asset-purchasing intended to create new money for use in the economy) in Europe: these were just some of the drivers of global asset valuations.

Within the Asian region, China was the standout performer despite slowing growth and a depreciating currency. The Philippines and Thailand have broadly stable economies with strong technical support for US dollar-denominated bonds.

The manager expects the Asian region to be broadly stable in 2016 and thinks that the orderly transition in China towards a consumption-led economy is likely to continue. This should help to anchor regional economic performance, with Asia likely to be a signifi cant driver of global growth. However, broad uncertainties remain, and heightened fl uctuations are likely. Oil prices, the pace of rises in US interest rates and weakening regional currencies are all likely to pose challenges to Asian managers.

The Fund maintained a defensive positioning during the period.

Standish Mellon Asset Management Company, LLC February 2016

31 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON CROSSOVER CREDIT FUND BNY MELLON EMERGING MARKETS CORPORATE Over the review period, the Fund’s C share class returned DEBT FUND -1.92%, compared with a return of -1.48% for the 70% Over the review period, the Fund’s C share class returned iBoxx Euro Corporate Non-Financial BBB Index/30% Bank 0.33% net of fees, compared with a return of 1.30% for the of America Merrill Lynch Euro High Yield Non-Financial BB JP Morgan CEMBI-BD (USD) and -2.72% for the Lipper Global Constrained Index and -0.82% for the Lipper Global Bond Bond Emerging Markets Global HC sector, all in US dollar EUR Corporates sector, all in euro terms. terms.

The market benefi ted from the supportive monetary policy of The Fund made a small positive return during a turbulent the European Central Bank (ECB) and the subsequent sharp period for emerging market debt assets. The asset class decline in interest rates over the fi rst three months of 2015. was affected by sharp falls in commodity prices, fears over However, the second quarter was dominated by increasing Chinese growth, anticipation of a cycle of rising interest fl uctuations in interest rates and the debate about the Greek rates in the US and the worsening situation in Brazil. In the debt crisis. German 10-year yields rose from an all-time fi rst half of the year, the Fund performed positively, helped low of 0.07% in mid-April back to 0.76% by the end of June. by holdings in the oil and gas, telecoms and metals and The second half of the year started with a strong July, thanks to mining sectors. By region, holdings in Central and Eastern the agreement reached between Greece and its creditors, and Europe performed strongly, particularly Russian assets, some solid economic data. However, concerns about growth along with Latin American holdings. In the second half of the in emerging markets (especially China) and rapidly falling year, performance weakened, with Latin American holdings commodity prices, which intensifi ed the pressure on emerging detracting the most from returns as the situation in Brazil markets, led to negative returns over the second half of 2015. deteriorated. The manager reduced risk in the Fund and increased its cash balance. The Crossover Credit Fund’s security selection had a positive effect in the telecommunications sector, owing to the Insight Investment Management (Global) Limited underweight position in Oi Brasil, and in the oil and gas sector, February 2016 owing to a more defensive selection of fi nancial instruments. Asset allocation had a negative effect on performance. This was due to the Fund’s overweight positions in oil and gas and basic resources. Idiosyncratic events, such as the Volkswagen scandal also had a detrimental effect on performance. The Fund’s active duration management and positioning on the yield curve were slightly negative over the course of the year. (Duration is a measure of the sensitivity of the price of a fi xed-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 different maturities. It can be used as an indicator of future interest rates.)

Given the ongoing macroeconomic improvement and low default rates, the Fund remains overweight in BB issuers. It also remains underweight emerging-market bonds and overweight corporate hybrids, albeit at a reduced level. (Corporate hybrids can combine two or more fi nancial instruments such as debt and equity.)

Weaker Chinese economic data and falling commodity prices have resulted in recent market turmoil. However, the market continues to appear attractively priced after the recent spread widening. (The spread on bonds is usually expressed as the yield difference between bonds of the same maturity but different credit quality.) In light of an ongoing moderate economic recovery in the eurozone, resilient company results and a very supportive ECB, the manager expects market spreads to tighten during the course of 2016.

Oddo Meriten Asset Management GmbH February 2016 32 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON EMERGING MARKETS DEBT FUND respective sovereigns without a correspondingly higher Over the review period, the Fund’s C share class returned credit risk, given their strategic importance. -2.54%, compared with a return of 1.23% for the JP Morgan EMBI Global and -5.75% for the Lipper Global Bond Emerging In contrast, the quasi-sovereign bond holdings in Mexico Markets Global HC sector, all in US dollar terms. hurt performance. The Fund held state-owned oil company Pemex, which was hurt by falling oil prices. Corporate-bond Amid extreme fl uctuations in emerging-market debt – given holdings in Colombia and India also hurt performance lower growth expectations for most countries in the asset because of their exposure to commodities prices. class, the Fund underperformed its comparative index. Both In Argentina, the Fund’s performance was adversely affected country allocation and security selection detracted from by the fact that it held corporate and provincial bonds, which performance. underperformed the country’s sovereign bonds, even though these were in default. The Fund’s shift to an overweight position in Argentina later in the year made a positive contribution to returns. Argentinian The Fund took some profi ts in its quasi-sovereign holdings bonds rallied strongly in the fi nal three months of 2015 as in Russia, Kazakhstan and Turkey and reduced its exposure a new president took offi ce and began to implement key to Pemex and to Colombian and Indian corporate bonds. reforms. Earlier in the year, the overweight position in the The Fund continues to avoid the defaulted Argentine Eurasian Development Bank, a supranational agency, also sovereign bonds, given their speculative nature. made a notable positive contribution as the Russia-linked bank’s bonds rebounded strongly from their late-2015 Although local yield curves look attractively valued in several sell-off. The Fund increased its overweight position in countries, the manager is cautious on emerging-market Argentina towards the end of the year but took profi ts in its local duration in the face of continued market volatility and Eurasian Development Bank holdings. so has reduced the Fund’s exposure to a small underweight position. (The yield curve is the graphic depiction of the The main detractor from performance was the Fund’s relationship between the yield on bonds of the same credit underweight position in Venezuela. The country’s bonds quality but with different maturities. It can be used as an rallied as investors were attracted by the high yields on indicator of future interest rates. Duration is a measure of offer. Meanwhile, an overwhelming opposition victory in the the sensitivity of the price of a fi xed-income investment to congressional elections raised hopes of improved economic a change in interest rates.) policy. Venezuela nonetheless remains highly vulnerable to weakness in the oil price, and President Maduro has Standish Mellon Asset Management Company, LLC made it clear that he plans to continue his unorthodox February 2016 economic policies.

The underweight in Ukraine was also a major detractor from returns. After the country reached an agreement on restructuring its debt that was much more creditor friendly than expected, Ukrainian bonds rallied strongly. The overweight in Brazil also proved unhelpful over the period. Brazilian bonds were attractively valued but underperformed as the country’s political and economic outlook deteriorated and it lost two of its three investment-grade ratings. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s.) The Fund remains underweight in Ukraine and Venezuela, and has reduced its Brazilian position to be in line with the comparative index.

In security selection, the Fund’s overweight position in Russian quasi-sovereign (government agency) bonds was a large positive contributor to performance, since these bonds outperformed pure sovereign bonds when the Russian market recovered from its earlier sell-off. Quasi-sovereign bond holdings in Kazakhstan and Turkey also contributed positively. In general, the manager fi nds quasi-sovereign bonds attractive as they often offer a higher yield than their

33 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON EMERGING MARKETS DEBT LOCAL On the currency side, the Fund continues to hold a long CURRENCY FUND US dollar position as there are not yet any defi nitive signs Over the review period, the Fund’s C share class returned of an economic turnaround in emerging-market countries. -16.24%, compared with a return of -14.92% for the (A long position is made by an investor in expectation that a JP Morgan GBI-EM Global Diversifi ed TR and -15.69% for the currency will later rise in value.) The manager will continue to Lipper Global Equity Emerging Markets Global sector, all in look for opportunities to reduce the long US dollar position. US dollar terms. Although local yield curves appear attractively valued In a very diffi cult year for emerging-market debt, the Fund in several countries, the manager is cautious on underperformed its comparative index but outperformed its emerging-market local duration (investments sensitive peer group. The negative performance of the asset class was to interest rates) in the face of continued market volatility largely driven by weakness in emerging-market currencies, and so has reduced the exposure to a small underweight. most of which sold off heavily in response to a stronger (The yield curve is the graphic depiction of the relationship US dollar and lower growth expectations for most developing between the yield on bonds of the same credit quality but world economies. Most emerging-market bond indices with different maturities. It can be used as an indicator of actually delivered positive returns in local currency terms. future interest rates.)

Over the year, the Fund benefi ted from its currency Standish Mellon Asset Management Company, LLC positions and especially from its overweight in the US dollar February 2016 and consequent underweight in most emerging-market currencies. The underweight in the rand made a particularly large contribution, as South Africa’s growth outlook and even its governance were called into question. Underweight positions in the Thai baht, the Malaysian ringgit, the Peruvian sol and the Colombian peso also made positive contributions. The baht suffered from a number of factors including a weak outlook for growth, while the other currencies were hurt by their exposure to commodities. In contrast, the overweights in the Mexican peso and the Brazilian real detracted from the Fund’s returns. Mexico’s highly liquid peso was sold off heavily by investors looking to decrease emerging-market exposure as preferences switched quickly to less riskier investments, despite the country’s sound fundamentals. The real was hurt by Brazil’s growing economic and political problems and the loss of two of its investment-grade ratings.

The Fund’s positions in local rates detracted from returns. This was largely due to three positions: underweights in Russia and Thailand and an overweight in Brazil. Russia bounced back strongly from the sell-off it experienced in late 2014 but the Fund had eliminated its exposure ahead of the country’s removal from the benchmark. Local rates in Thailand did not appear to be attractively valued but several months of unexpectedly strong defl ation led to a rally in the local bond market. Although Brazilian rates appeared attractively valued, the market sold off heavily as the country’s outlook deteriorated and it was downgraded by the ratings agencies. The underweight in Peruvian local rates made a signifi cant positive contribution, however.

34 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON EMERGING MARKETS DEBT In US dollar positions, the Fund’s overweight in Russian OPPORTUNISTIC FUND quasi-sovereign bonds paid off when they rebound sharply Over the review period, the Fund’s C share class returned from their late 2014 sell-off. The underweight in troubled -9.29%, compared with a return of -7.13% for BNYM Emerging South Africa also contributed to performance. The biggest Market Opportunistic Comparative Index (50/25/25) and detractors were the overweight in Brazil and the corporate -5.75% for the Lipper Global Bond Emerging Markets Global bond holdings in India. Brazilian external bonds sold off HC sector, all in US dollar terms. along with Brazil’s other fi nancial markets as the country’s outlook continued to deteriorate. Company-specifi c Amid fl uctuations in emerging-market debt, the negative concerns affected the Fund’s position in Indian corporate performance of the asset class was largely driven by bond Rolta, and the holding in bonds issued by metals currency weakness. Most emerging-market currencies sold and energy conglomerate Vedanta suffered from weak off heavily in reaction to a stronger US dollar and lower commodities prices. The commodities exposure of growth expectations for most developing countries. the Fund’s corporate bond holdings in Colombia and Nigeria and its quasi-sovereign bond holdings in Mexico also The Fund underperformed its comparative index. hurt performance, as did the underweight in Venezuela, The overweight positions in the Brazilian real, the Mexican which rallied on buying by investors seeking yield, despite peso and the Chilean peso detracted from the Fund’s returns. the country’s dependence on oil exports. The overweights in local duration in Brazil and Colombia also detracted, as did the underweights in Malaysia and Standish Mellon Asset Management Company, LLC Thailand. (Duration is a measure of the sensitivity of the February 2016 price of a fi xed-income investment to a change in interest rates.) Mexico’s highly liquid peso was sold off heavily by investors looking to decrease emerging-market exposure quickly as the appetite for risk on the part of investors diminished despite the country’s sound fundamentals. The real was hurt by Brazil’s growing economic and political problems and the loss of two of its investment-grade ratings. (Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s.) Meanwhile, the Chilean peso suffered from weak copper prices. In this volatile environment, Malaysian and Thai local-currency bonds, which are not widely held, proved relatively stable.

In contrast, positive contributions came from the Fund’s overweight position in the US dollar and consequent underweight in most emerging-market currencies. The underweight in the South African rand made a particularly large contribution; as concerns over South African’s growth outlook and even its governance increased, investors sold the rand heavily. Underweight positions in the euro-linked Hungarian forint and Romanian leu and the politically sensitive Thai baht and Turkish lira also contributed positively.

35 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON EMERGING MARKETS LOCAL CURRENCY BNY MELLON EUROLAND BOND FUND INVESTMENTS GRADE DEBT FUND Over the review period, the Fund’s C share class returned The Fund was closed on 16 June 2015. -0.73%, compared with a return of 1.00% for the Barclays Euro Aggregate Bond Index TR and 0.21% for the Lipper The C share class of the Fund returned -5.91% over the Global Bond EUR sector average, all in euro terms. period from 1 January 2015 to its closure on 16 June 2015, compared with -5.55% from the JP Morgan GBI-EM Global The largest detractors from the Fund’s performance came Diversifi ed 15% Index. from local market allocations to US investment grade and high yield debt, and, in country selection, the overweight In a very diffi cult period for emerging market local currency position in Brazil. (Investment grade is debt rated BBB and debt, the Fund underperformed its comparative index. above by the credit rating agency Standard & Poor’s. High The negative performance of the asset class was largely yield is debt rated below BBB by the same credit rating driven by weakness in emerging market currencies, most agency.) Elsewhere, strong security selection, management of which sold off heavily in response to a stronger US dollar of the yield curve and asset allocation were offset by and lower growth expectations for most developing world negative currency management. Specifi cally, a yield-curve economies. Most emerging market bond indices actually ‘fl attening’ bias, exposure to European infl ation-linked bond delivered positive returns in local currency terms. and an overweight position in eurozone ‘peripheral’ countries all aided performance. (The yield curve is the graphic The Fund’s currency positions performed in line with the depiction of the relationship between the yield on bonds of comparative index, although its positions in local rates the same credit quality but with different maturities. It can detracted slightly from performance. Overall, the Fund had be used as an indicator of future interest rates. A yield curve an overweight position in the US dollar and, consequently, is said to be fl at when there is little difference between an underweight in most emerging market currencies. short-term and long-term interest rates.) Meanwhile, active The underweight positions in the commodities-linked currency positioning (in Australian and New Zealand dollars) Colombian peso and Peruvian sol and the euro-linked detracted the most. Romanian leu and Hungarian forint made the biggest positive contribution to performance among the Fund’s The Fund’s largest country underweight positions are the US, currency positions. The key detractor was the overweight the UK, Japan and semi-core Europe. Underweight positions in the Brazilian real. The real was hurt by Brazil’s growing remain in the front/intermediate portion of the US and economic and political problems. Japanese yield curves and in the intermediate portion of the UK yield curve. In December, the long US dollar position was In local rates, the Fund had a slight overweight to duration eliminated and the portfolio ended 2015 with a short position overall, with its largest overweights in Mexico, Colombia in the US dollar. (A long position is the buying of a currency and Poland. (Duration is a measure of the sensitivity of the with the expectation that it will rise in value. A short position price of a fi xed-income investment to a change in interest is the reverse.) rates.) The biggest contributors to performance were the underweight in the Peruvian local bond market, which After the European Central Bank disappointed market underperformed as weakening metals prices reduced participants by making only limited extensions to its investors’ interest in this mining-dependent economy, asset-purchase scheme and negative interest-rate policy, and the overweight in South African local duration, which the Fund covered its short position in the euro and removed performed well as growth and infl ation expectations the long position in the Japanese yen. The managers in the country continued to fall. In contrast, the Fund’s maintained the Fund’s commodity-currency trade, with long overweights in Polish and Russian duration both detracted positions in the Mexican peso and Indian rupee and short from performance. Polish local bonds did not do as well as positions in the Australian and New Zealand dollars. expected as they were already widely owned. The Russian bond market bounced back strongly from its late 2014 The Fund remains slightly overweight investment-grade sell-off. instruments compared with the comparative index. The managers reduced the position in high yield to end Standish Mellon Asset Management Company, LLC a little over 4% at year-end. They will look to reduce energy February 2016 exposure further, as liquidity allows, while selectively adding to other fi xed-income instruments to maintain exposure.

36 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

The majority of the Fund’s emerging-markets exposure BNY MELLON EUROPEAN CREDIT FUND is in hard-currency debt, with exposure to Morocco, Peru, Over the review period, the Fund’s Euro C share class Poland, Vietnam, South Korea and Brazil (A hard currency is returned 0.39%, -0.66% for the Markit iBoxx Euro Corporates generated by a stable economy and that economic stability TR and -0.82% for the Lipper Global Bond EUR Corporates generates confi dences in the currency.) The Fund also has sector, all in euro terms. infl ation exposure (infl ation-linked bonds) in the US, Italy and Japan. It was a diffi cult year for European credit assets, with market participants coming to terms with substantial market Standish Mellon Asset Management Company, LLC turmoil related to Greece, China and the emerging markets, February 2016 and the divergence in monetary policy between Europe and the US. In the eurozone, the introduction of quantitative easing (a programme of asset-purchasing intended to create new money for use in the economy) also led to uncertainty.

The manager generally favoured credit denominated in US dollars over euro-denominated investment-grade credit, largely on valuation grounds. (This credit strategy invests across a range of assets including investment-grade and sub-investment-grade corporate bonds, loans, asset-back securities, government securities, interest-rate instruments and derivatives. Investment grade is debt rated BBB and above by the credit rating agency Standard & Poor’s.) The manager also had a preference for the debt of companies in the fi nancial services sector. As market turmoil intensifi ed, the manager had an underweight position in utilities, energy and basic materials.

The positions in Insight’s Short-Dated High Yield and Emerging Market Debt Funds held up well despite the tough market conditions.

At the end of the 2015, the manager remained tactically cautious, keenly aware of market risks. Looking ahead, the manager retains the fl exibility to take advantage of attractive supply of credits in 2016. (The credit market enables companies to raise funds through debt issuance.)

Insight Investment Management (Global) Limited February 2016

37 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON GLOBAL BOND FUND In early 2015, the manager reduced the Fund’s long-term Over the review period, the Fund’s A share class returned zero duration in Japan by purchasing 2044 JGBs, and -4.79%, compared with a return of -2.61% for the JP Morgan reduced the underweight exposure to European currencies Global Government Bond Index (Unhedged) TR and -3.31% via a holding in the Danish krone. Interest-rate risk in Sweden for the Lipper Global Bond Global (Filtered USD) sector, all in was added in order to benefi t from the slow growth affecting US dollar terms. the Swedish economy. The manager also further increased the euro duration overweight by buying Italian (2022 and In the fi rst half of the period, the Fund’s underweight duration 2028) and fi ve-year Spanish and Irish sovereign issuance, stance in Gilts affected performance as the UK government to benefi t from spread tightening as the situation in Greece bond market performed well. However, a long euro duration stabilised. (The spread on bonds is usually expressed as the position and bias towards ‘peripheral’ European government yield difference between bonds of the same maturity but bonds aided relative returns in the fi rst three months of different credit quality.) 2015. (Duration is a measure of the sensitivity of the price of a fi xed-income investment to a change in interest rates.) Meanwhile, in the fi nal three months of 2015, the manager The overweight US duration position also proved benefi cial, reduced peripheral European exposure by selling Spain although the long dollar/short sterling position was 2020 and 2028 issuance ahead of the Spanish general unhelpful as sterling rallied. (A long position is the buying election. The Fund also diversifi ed US interest-rate risk into of a currency with the expectation that it will rise in value. US Treasury Infl ation-Protected Securities, and moderated With a short position, an investor enters into an agreement Australasian duration by selling Treasury Corporation of to sell a currency for a predetermined price on a specifi ed Victoria 2026 holdings. Currency exposure remained biased future date.) In the spring months, a rise in core bond yields towards the US dollar, while a Norwegian krone position caused a reversal of the fi rst quarter’s trends – the Fund’s was added. Lastly, expectations of renewed fl uctuations in overweight US and European duration positions proved the renminbi prompted the manager to increase the Fund’s negative for performance, while being underweight duration short Asian currency positioning, via the Singapore dollar in UK Gilts was helpful. and the South Korean won.

In the three months to the end of September, overweight euro Newton Investment Management Limited and Australasian duration contributed positively, while an February 2016 initially underweight US dollar duration position and a bias away from the fi ve-year portion of the curve were a drag on returns. Underweight duration positions in the UK and Japan were further negative contributors to relative performance. Short-dated (and fully hedged) holdings of Brazilian local currency debt were also detrimental.

Elsewhere, short positions in Australasian and Asian currencies in favour of the US dollar enabled the Fund to benefi t. In the fi nal three months of 2015, the onset of monetary tightening affected ‘safe-haven’ markets as yields rose, with long US and euro duration exposure dragging on relative performance. (‘Safe haven’ assets are favoured by investors in times of crisis because they are judged to be stable and easy to liquidate.) Nil-duration exposure to Japan detracted as Japanese government bonds (JGBs) bucked the broader ‘core’ market trend to produce positive performance. Selective emerging-market sovereign exposure (particularly local-currency-denominated Mexico 2018 holdings) made a positive contribution.

38 BNY MELLON GLOBAL FUNDS, PLC INVESTMENT MANAGERS’ REPORTS contd.

CORPORATE AND SOVEREIGN BONDS contd.

BNY MELLON GLOBAL HIGH YIELD BOND FUND Over the review period, the Fund’s C share class returned -3.18%, compared with a return of -2.03% for the Bank of America Merrill Lynch Global High Yield Constrained Index TR and -6.31% for the Lipper Global Bond Global High Yield sector, all in US dollar terms.

The Fund’s performance was negatively affected by the stronger relative returns from emerging markets during the fi nal three months of 2015. The Fund has an underweight position in emerging markets and is overweight in the US, as the managers avoid participating in bond issues from certain countries with clear sovereign risks and limited fi nancial transparency. (Sovereign or country risk is the risk that a government could default on its debt.)

By sector, the managers maintained the Fund’s underweight exposure to the commodity-linked sectors (metals and mining and energy) and overweight exposure to the paper and packaging and healthcare sectors. This positioning made a positive contribution to the Fund’s overall performance. The underweight position in the fi nance sector offset some of these gains. This underweight position is explained by the Fund’s avoidance of debt issued by companies in certain emerging markets.

Security selection made a positive contribution in the fi nance, technology, paper and packaging and healthcare sectors, although it had a negative effect in transportation and telecommunications. Among the Fund’s most notable positions are bonds issued by BWay Holding, Royal Bank of Scotland Group, Sprint, Bank of Ireland, Scientifi c Games, Viridian Group and Lloyds Banking Group.

Over the review period, the best performers were bonds issued by Diamondback Energy and Viridian Group. The main negatives were Intelsat (Luxembourg), Chesapeake Energy, Murray Energy and Navios Maritime Holdings.

The Fund’s yield-curve positioning also made a small positive contribution. The average rating of the Fund remained largely unchanged from the previous period. A number of holdings changed modestly in size as a result of cash fl ows. (The yield curve is the graphic depiction of the relationship between the yield on bonds of the same credit quality but different maturities. It can be used as an indicator of future interest rates.)

Alcentra NY, LLC February 2016

All data sourced from Lipper as at 31 December 2015 Total Return, no initial charge, but includes annual charges, income reinvested gross of tax. The impact of the initial charge can be material on the performance of your investment. Performance fi gures 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.

39 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Collective investment schemes Floating rate notes contd. Cayman Islands - 173,770 Ireland - 3,453,838 (31 December 2014: –) 173,770 0.08 (31 December 2014: 3,108,150) 3,453,838 1.54 60,000 Marwyn Value Investors Ltd 173,770 0.08 350,000 AVOCA CLO XII Ltd 3.601% 15-Oct-2027 FRN 337,907 0.15 200,000 AVOCA CLO XIV Ltd 5.811% 12-Jul-2028 FRN 171,580 0.08 Guernsey - 1,338,006 1,000,000 Carlyle Global Market Strategies Euro CLO (31 December 2014: 1,054,905) 1,338,006 0.60 2015-3 DAC 5.550% 15-Jan-2029 FRN 942,500 0.42 361,001 HICL Infrastructure Co Ltd 738,720 0.33 300,305 Celtic Residential Irish Mortgage Securitisation 72,900 International Public Partnerships Ltd 137,952 0.06 No 11 Plc 0.135% 14-Dec-2048 FRN 288,589 0.13 290,672 John Laing Infrastructure Fund Ltd 461,334 0.21 350,711 Epic Drummond Ltd 0.137% 25-Jan-2022 FRN 319,680 0.14 1,210,000 GE Capital European Funding Luxembourg - 205,093 0.058% 22-Feb-2016 FRN 1,210,139 0.54 (31 December 2014: 300,987) 205,093 0.09 235,176 Lansdowne Mortgage Securities No 2 Plc 116,412 BBGI SICAV SA 205,093 0.09 0.211% 16-Sep-2048 FRN 183,443 0.08

Supranational - 17,446,636 Italy - 904,952 (31 December 2014: 12,202,456) 17,446,636 7.77 (31 December 2014: –) 904,952 0.40 14,504,220 Insight Liquidity Funds Plc - EUR Cash Fund 14,499,289 6.46 400,000 Intesa Sanpaolo SpA 0.922% 15-Jun-2020 FRN 401,892 0.18 2,947,347 Insight Liquidity Funds Plc - GBP Liquidity 500,000 UniCredit SpA 0.902% 10-Apr-2017 FRN 503,060 0.22 Plus Fund 2,947,347 1.31 Luxembourg - 99,500 United Kingdom - 1,609,285 (31 December 2014: –) 99,500 0.04 (31 December 2014: 1,172,945) 1,609,285 0.72 100,000 Cabot Financial Luxembourg II SA 186,964 3i Infrastructure Plc 436,608 0.20 5.875% 15-Nov-2021 FRN 99,500 0.04 13,081 Electra Private Equity Plc 659,480 0.29 214,536 GCP Infrastructure Investments Ltd 350,827 0.16 Netherlands - 2,415,747 10,000 GLI Finance Ltd 5,053 0.00 (31 December 2014: 3,793,768) 2,415,747 1.08 107,505 Greencoat UK Wind Plc 157,317 0.07 150,000 Bite Finance International BV 7.419% 15-Feb-2018 FRN 150,000 0.07 Total investments in collective investment schemes 20,772,790 9.26 2,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 0.201% 15-Jan-2016 FRN 2,000,170 0.89 Floating rate notes 300,000 Jubilee CLO 2014-XIV BV Australia - 5,997,412 5.951% 15-Jan-2028 FRN 265,577 0.12 (31 December 2014: 358,747) 5,997,412 2.67 6,006,000 National Australia Bank Ltd New Zealand - 4,006,860 0.231% 16-Jan-2018 FRN 5,997,412 2.67 (31 December 2014: 3,998,032) 4,006,860 1.78 4,000,000 ASB Finance Ltd 0.357% 03-Jul-2017 FRN 4,006,860 1.78 Canada - 4,007,635 (31 December 2014: –) 4,007,635 1.79 Spain - 2,329,585 1,000,000 Canadian Imperial Bank of Commerce (31 December 2014: 2,667,467) 2,329,585 1.04 0.137% 08-Sep-2017 FRN 1,000,360 0.45 257,455 Bancaja 7 Fondo de Titulizacion de Activos 3,000,000 Royal Bank of Canada 0.377% 22-Oct-2018 FRN 3,007,275 1.34 2.401% 25-Nov-2036 FRN 220,715 0.10 300,000 Bancaja 9 Fondo de Titulizacion de Activos Cayman Islands - 1,774,969 0.149% 25-Sep-2043 FRN 222,578 0.10 (31 December 2014: 1,046,974) 1,774,969 0.79 200,000 BBVA Leasing 1 FTA 0.696% 26-May-2031 FRN 38,552 0.02 800,000 Craft CLO Ltd 8.971% 15-Jan-2023 FRN 734,539 0.33 300,000 Fondo de Titulizacion de Activos Santander 700,000 OCP CLO 2015-8 Ltd 144A Financiacion 1 0.499% 20-Jul-2035 FRN 289,813 0.13 3.939% 17-Apr-2027 FRN 575,743 0.25 245,394 Fondo de Titulizacion de Activos UCI 14 600,000 OCP CLO 2015-9 Ltd 144A 0.017% 20-Jun-2043 FRN 204,452 0.09 5.733% 15-Jul-2027 FRN 464,687 0.21 469,658 Fondo de Titulizacion de Activos UCI 17 0.028% 17-Dec-2049 FRN 371,831 0.17 France - 10,679,342 337,383 Fondo de Titulizacion Hipotecaria UCI 10 (31 December 2014: 9,000,756) 10,679,342 4.76 0.369% 22-Jun-2036 FRN 278,427 0.12 500,000 Banque Federative du Credit Mutuel SA 224,347 Madrid RMBS I Fondo de Titulizacion de Activos 0.419% 22-Mar-2016 FRN 500,210 0.23 0.068% 22-Jun-2049 FRN 207,687 0.09 1,500,000 BPCE SA 0.431% 13-Jan-2016 FRN 1,500,173 0.67 500,000 Santander International Debt SAU 3,500,000 BPCE SA 0.648% 18-Jan-2016 FRN 3,500,892 1.56 0.482% 04-Mar-2020 FRN 495,530 0.22 275,641 Cars Alliance Auto Loans France V 2012-1 0.339% 25-Feb-2024 FRN 275,617 0.12 Switzerland - 3,002,325 700,000 HSBC France SA 0.189% 27-Jan-2016 FRN 700,287 0.31 (31 December 2014: –) 3,002,325 1.34 4,200,000 Societe Generale SA 0.219% 29-Mar-2016 FRN 4,202,163 1.87 3,000,000 Credit Suisse AG/London 0.247% 22-Jul-2016 FRN 3,002,325 1.34

40 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Floating rate notes contd. Certifi cate of deposit contd. United Kingdom - 8,705,005 Japan - 12,002,023 (31 December 2014: 1,278,257) 8,705,005 3.88 (31 December 2014: 3,499,982) 12,002,023 5.35 289,556 Auburn Securities 9 Plc 3,000,000 Mitsubishi UFJ Trust and Banking Corp 1.574% 18-Aug-2047 FRN 390,638 0.17 0.000% 18-Jan-2016 CD 3,000,333 1.34 185,970 Brass No 1 Plc 2.032% 16-Dec-2048 FRN 253,201 0.11 5,000,000 Norinchukin Bank 0.000% 12-Jan-2016 CD 5,000,383 2.23 250,000 Eurosail 2006-3nc Plc 0.334% 10-Sep-2044 FRN 207,962 0.09 4,000,000 Sumitomo Trust and Banking Co Ltd 500,000 Eurosail-UK 2007-1nc Plc 0.000% 15-Apr-2016 CD 4,001,307 1.78 0.315% 13-Mar-2045 FRN 369,389 0.17 500,000 Eurosail-UK 2007-2np Plc United Kingdom - 3,000,966 0.675% 13-Mar-2045 FRN 366,699 0.16 (31 December 2014: 3,000,067) 3,000,966 1.34 500,000 Fosse Master Issuer Plc 3,000,000 Lloyds Bank Plc 0.000% 05-Apr-2016 CD 3,000,966 1.34 0.615% 18-Oct-2054 FRN 459,477 0.21 Total investments in certifi cate of deposit 19,004,220 8.47 200,000 Fosse Master Issuer Plc 0.979% 18-Oct-2054 FRN 271,621 0.12 500,000 Great Hall Mortgages Plc Commercial paper 1.366% 18-Mar-2039 FRN 474,240 0.21 Belgium - 2,000,471 386,180 Kensington Mortgage Securities Plc (31 December 2014: –) 2,000,471 0.89 0.375% 14-Jun-2040 FRN 323,682 0.14 2,000,000 LVMH Finance 0.000% 18-Feb-2016 CP 2,000,471 0.89 386,130 Kensington Mortgage Securities Plc 1.435% 14-Jun-2040 FRN 439,430 0.20 France - 13,003,956 386,130 Kensington Mortgage Securities Plc (31 December 2014: 1,998,853) 13,003,956 5.79 4.335% 14-Jun-2040 FRN 506,600 0.23 2,000,000 Dexia Credit Local De France 155,070 Landmark Mortgage Securities No 2 Plc 0.000% 18-May-2016 CP 2,000,608 0.89 1.185% 17-Jun-2039 FRN 179,422 0.08 4,000,000 Engie SA 0.000% 22-Apr-2016 CP 4,001,308 1.78 275,000 Landmark Mortgage Securities No 3 Plc 1,000,000 GDF Suez 0.000% 03-Mar-2016 CP 1,000,271 0.45 2.679% 17-Apr-2044 FRN 333,642 0.15 6,000,000 Unibail-Rodamco SE 0.000% 14-Mar-2016 CP 6,001,769 2.67 350,000 Landmark Mortgage Securities No 3 Plc 4.579% 17-Apr-2044 FRN 466,220 0.21 Germany - 6,501,051 300,000 Newday Partnership Funding 2015-1 Plc (31 December 2014: 4,999,865) 6,501,051 2.90 4.002% 15-Apr-2025 FRN 405,736 0.18 3,500,000 Dekabank Deutsche Girozentrale 249,138 Residential Mortgage Securities 21 Plc 0.000% 18-Jan-2016 CP 3,500,389 1.56 4.825% 12-Nov-2038 FRN 337,969 0.15 1,000,000 Dekabank Deutsche Girozentrale 396,253 ResLoC UK Plc 0.803% 15-Dec-2043 FRN 461,623 0.21 0.000% 16-Aug-2016 CP 1,000,080 0.45 169,224 RMAC Securities No 1 Plc 2,000,000 Landesbank Hessen T 0.000% 25-May-2016 CP 2,000,582 0.89 0.725% 12-Jun-2044 FRN 145,588 0.07 United Kingdom - 2,000,504 162,640 RMAC Securities No 1 Plc (31 December 2014: –) 2,000,504 0.89 0.755% 12-Jun-2044 FRN 138,598 0.06 2,000,000 Standard Chartered Bank 1,300,000 Silverstone Master Issuer Plc 0.000% 24-Feb-2016 CP 2,000,504 0.89 0.951% 21-Jan-2070 FRN 1,760,577 0.78 300,000 Silverstone Master Issuer Plc United States of America - 8,502,393 2.181% 21-Jan-2055 FRN 412,691 0.18 (31 December 2014: 2,499,732) 8,502,393 3.79 4,000,000 Collateralized Commercial Paper Co LLC United States of America - 722,434 0.000% 07-Mar-2016 CP 4,001,123 1.78 (31 December 2014: 282,458) 722,434 0.32 1,500,000 Procter & Gamble Co/The 350,000 Fortress Credit Opportunities V CLO Ltd 144A 0.000% 26-Feb-2016 CP 1,500,385 0.67 5.221% 15-Oct-2026 FRN 306,954 0.14 3,000,000 Procter & Gamble Co/The 500,000 NXT Capital CLO 2015-1 LLC 144A 0.000% 14-Mar-2016 CP 3,000,885 1.34 4.467% 21-Apr-2027 FRN 415,480 0.18 Total investments in commercial paper 32,008,375 14.26 Total investments in fl oating rate notes 48,099,604 21.43

Equities Certifi cate of deposit France - 317,746 France - 4,001,231 (31 December 2014: –) 317,746 0.14 (31 December 2014: 9,000,016) 4,001,231 1.78 11,885 Ubisoft Entertainment 317,746 0.14 3,000,000 Banque Federative du Credit Mutuel SA 0.000% 01-Apr-2016 CD 3,000,955 1.34 Germany - 132,860 1,000,000 Banque Federative du Credit Mutuel SA (31 December 2014: –) 132,860 0.06 0.000% 01-Jun-2016 CD 1,000,276 0.44 1,750 HeidelbergCement AG 132,860 0.06

41 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities contd. Bonds contd. Guernsey - 1,392,762 Colombia - 1,172,393 (31 December 2014: 234,789) 1,392,762 0.62 (31 December 2014: –) 1,172,393 0.52 113,981 Amedeo Air Four Plus Ltd 157,903 0.07 650,000,000 Colombian TES 5.000% 21-Nov-2018 178,849 0.08 112,317 Doric Nimrod Air Two Ltd Pfd 347,762 0.15 1,200,000,000 Colombian TES 7.750% 18-Sep-2030 313,596 0.14 73,000 Market Tech Holdings Ltd 209,688 0.09 900,000,000 Colombian TES 10.000% 24-Jul-2024 288,369 0.13 121,000 Renewables Infrastructure Group Ltd/The 168,407 0.08 1,200,000,000 Colombian TES 11.000% 24-Jul-2020 391,579 0.17 341,115 Sherborne Investors Guernsey B Ltd 509,002 0.23 Cote d’Ivoire - 420,961 Isle of Man - 158,008 (31 December 2014: 157,225) 420,961 0.19 (31 December 2014: –) 158,008 0.07 500,000 Cote d’Ivoire Government International Bond 14,000 Playtech Plc 158,008 0.07 6.375% 03-Mar-2028 420,961 0.19

Spain - 1,161,090 Croatia - 768,670 (31 December 2014: 217,442) 1,161,090 0.52 (31 December 2014: –) 768,670 0.34 38,969 Grifols SA ADR 1,161,090 0.52 800,000 Croatia Government International Bond 6.000% 26-Jan-2024 768,670 0.34 Switzerland - 388,795 (31 December 2014: –) 388,795 0.17 Denmark - 2,431,054 6,140 Adecco SA 388,795 0.17 (31 December 2014: –) 2,431,054 1.08 2,098,000 Danske Bank A/S 3.875% 18-May-2016 2,128,505 0.95 United Kingdom - 2,084,764 305,000 ISS Global A/S 1.125% 07-Jan-2021 302,549 0.13 (31 December 2014: –) 2,084,764 0.93 6,197 Applied Graphene Materials 15,342 0.01 Egypt - 160,193 413 Applied Graphene Materials Rights 08-Jan-2016 42 0.00 (31 December 2014: –) 160,193 0.07 58,500 B&M European Value Retail SA 226,087 0.10 200,000 Egypt Government International Bond 9,000 Dixons Carphone Plc 61,025 0.03 5.875% 11-Jun-2025 160,193 0.07 175,342 Ibstock Plc 144A 532,557 0.24 8,197 Ladbrokes Plc 13,304 0.01 France - 7,056,238 144,000 Royal Bank of Scotland Group Plc 590,314 0.26 (31 December 2014: 15,927,556) 7,056,238 3.14 2,447 Savills Plc 29,418 0.01 280,000 AXA SA 3.875% Perpetual VAR 276,588 0.12 15,763 Softcat Plc 72,728 0.03 300,000 BNP Paribas Cardif SA 4.032% Perpetual VAR 287,348 0.13 33,265 SVG Capital Plc 222,059 0.10 5,500,000 BNP Paribas SA 2.625% 16-Sep-2016 5,600,567 2.50 2,600 Wolseley Plc 130,268 0.06 200,000 Credit Agricole Assurances SA 45,990 Worldpay Group Plc 144A 191,620 0.08 4.250% Perpetual VAR 190,350 0.08 400,000 Credit Agricole SA 8.125% 19-Sep-2033 VAR 407,109 0.18 Total investments in equities 5,636,025 2.51 300,000 Electricite de France SA 5.000% Perpetual VAR 294,276 0.13 Bonds Germany - 2,009,069 Argentina - 1,103,576 (31 December 2014: 6,821,662) 2,009,069 0.90 (31 December 2014: –) 1,103,576 0.49 200,000 Bertelsmann SE & Co KGaA 500,000 Argentina Bonar Bonds 8.750% 07-May-2024 486,024 0.22 3.500% 23-Apr-2075 VAR 176,793 0.08 650,000 Provincia de Buenos Aires 300,000 Commerzbank AG 7.750% 16-Mar-2021 365,320 0.16 9.950% 09-Jun-2021 617,552 0.27 450,000 Deutsche Bank AG 2.750% 17-Feb-2025 419,318 0.19 800,000 HT1 Funding GmbH 6.352% Perpetual VAR 812,200 0.36 Australia - 592,782 100,000 ProGroup AG 5.125% 01-May-2022 105,500 0.05 (31 December 2014: 580,248) 592,782 0.26 150,000 Unitymedia GmbH 3.750% 15-Jan-2027 129,938 0.06 400,000 QBE Capital Funding IV Ltd 7.500% 24-May-2041 VAR 592,782 0.26 Greece - 553,449 (31 December 2014: 158,375) 553,449 0.25 Austria - 547,964 600,000 Hellenic Republic Government Bond 144A (31 December 2014: 628,998) 547,964 0.24 4.750% 17-Apr-2019 553,449 0.25 600,000 Erste Group Bank AG 5.500% 26-May-2025 VAR 547,964 0.24 Hungary - 781,533 Belgium - 593,910 (31 December 2014: 297,727) 781,533 0.35 (31 December 2014: 370,232) 593,910 0.27 210,100,000 Hungary Government Bond 5.500% 24-Jun-2025 781,533 0.35 390,000 KBC Groep NV 5.625% Perpetual VAR 391,463 0.18 200,000 Solvay SA 2.750% 02-Dec-2027 202,447 0.09 Indonesia - 1,918,815 (31 December 2014: 1,057,145) 1,918,815 0.86 Bermuda - 189,156 500,000 Indonesia Government International Bond (31 December 2014: –) 189,156 0.08 5.125% 15-Jan-2045 417,067 0.19 138,000 Hiscox Ltd 6.125% 24-Nov-2045 VAR 189,156 0.08

42 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Indonesia contd. Mexico contd. 600,000 Indonesia Government International Bond 8,270,000 Mexican Bonos 10.000% 05-Dec-2024 556,943 0.25 5.950% 08-Jan-2046 546,583 0.24 5,400,000 Mexican Bonos 10.000% 20-Nov-2036 386,372 0.17 8,804,000,000 Indonesia Treasury Bond 8.375% 15-Mar-2024 573,592 0.26 180,000 Petroleos Mexicanos 4.250% 15-Jan-2025 145,341 0.06 5,800,000,000 Indonesia Treasury Bond 8.750% 15-May-2031 381,573 0.17 Morocco - 1,075,642 Ireland - 5,674,200 (31 December 2014: 350,828) 1,075,642 0.48 (31 December 2014: –) 5,674,200 2.53 400,000 OCP SA 4.500% 22-Oct-2025 344,169 0.15 400,000 Alfa Bank AO Via Alfa Bond Issuance Plc 200,000 OCP SA 5.625% 25-Apr-2024 187,468 0.09 5.000% 27-Nov-2018 365,353 0.16 600,000 OCP SA 6.875% 25-Apr-2044 544,005 0.24 570,000 Allied Irish Banks Plc 4.125% 26-Nov-2025 VAR 575,552 0.26 300,000 Carlyle Global Market Strategies CLO 2015-2 Netherlands - 11,030,011 3.657% 21-Sep-2029 291,000 0.13 (31 December 2014: 153,713) 11,030,011 4.92 3,427,000 GE Capital European Funding 2,000,000 ABN AMRO Bank NV 4.250% 11-Apr-2016 2,022,350 0.90 4.125% 27-Oct-2016 3,539,937 1.58 500,000 ABN AMRO Bank NV 5.750% Perpetual VAR 500,260 0.23 3,800,000 Magnolia Finance 0.000% 29-Oct-2017 451,179 0.20 2,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 3,800,000 Magnolia Finance Mortgage 0.000% 29-Oct-2017 451,179 0.20 3.375% 18-Jan-2016 2,002,290 0.89 290,000 EDP Finance BV 4.900% 01-Oct-2019 275,278 0.12 Israel - 1,138,969 5,025,000 ING Bank NV 4.000% 23-Dec-2016 5,214,442 2.33 (31 December 2014: 315,956) 1,138,969 0.51 290,000 LeasePlan Corp NV 1.375% 24-Sep-2018 293,252 0.13 650,000 Israel Government Bond 5.500% 31-Jan-2022 191,012 0.09 700,000 Oi Brasil Holdings Cooperatief UA 2,870,000 Israel Government Bond 6.250% 30-Oct-2026 947,957 0.42 5.625% 22-Jun-2021 318,903 0.14 405,000 SNS Bank NV 3.750% 05-Nov-2025 VAR 403,236 0.18 Italy - 1,625,780 (31 December 2014: 601,400) 1,625,780 0.73 Norway - 104,500 329,000 Assicurazioni Generali SpA (31 December 2014: –) 104,500 0.05 5.500% 27-Oct-2047 VAR 348,635 0.16 100,000 Lock AS 7.000% 15-Aug-2021 104,500 0.05 400,000 Intesa Sanpaolo SpA 144A 7.700% Perpetual VAR 375,608 0.17 Peru - 183,725 443,000 Italy Buoni Poliennali Del Tesoro 144A (31 December 2014: 361,263) 183,725 0.08 3.250% 01-Sep-2046 495,709 0.22 280,000 Peruvian Government International Bond 375,000 UniCredit SpA 5.750% 28-Oct-2025 VAR 405,828 0.18 5.700% 12-Aug-2024 69,647 0.03 400,000 Peruvian Government International Bond Jersey - 173,592 7.840% 12-Aug-2020 114,078 0.05 (31 December 2014: –) 173,592 0.08 125,000 CPUK Finance Ltd 7.000% 28-Aug-2020 173,592 0.08 Poland - 1,525,096 (31 December 2014: 611,836) 1,525,096 0.68 Kenya - 161,951 128,000 Play Topco SA 7.750% 28-Feb-2020 131,200 0.06 (31 December 2014: 173,133) 161,951 0.07 900,000 Poland Government Bond 2.500% 25-Jul-2026 199,112 0.09 200,000 Kenya Government International Bond 800,000 Poland Government Bond 3.250% 25-Jul-2019 195,589 0.09 6.875% 24-Jun-2024 161,951 0.07 2,000,000 Poland Government Bond 3.250% 25-Jul-2025 482,886 0.21 800,000 Poland Government Bond 4.750% 25-Apr-2017 195,461 0.09 Luxembourg - 1,417,501 500,000 Poland Government Bond 5.750% 25-Oct-2021 138,308 0.06 (31 December 2014: 401,460) 1,417,501 0.63 200,000 Poland Government International Bond 498,775 Deco 2015-Charlemagne SA 4.250% 27-Apr-2025 502,227 0.22 3.000% 17-Mar-2023 182,540 0.08 100,000 Gazprom OAO Via Gaz Capital SA 3.755% 15-Mar-2017 100,179 0.04 Romania - 1,421,376 100,000 INEOS Group Holdings SA 5.750% 15-Feb-2019 100,500 0.05 (31 December 2014: 765,024) 1,421,376 0.63 100,000 Matterhorn Telecom Holding SA 1,900,000 Romania Government Bond 5.850% 26-Apr-2023 486,844 0.22 4.875% 01-May-2023 84,650 0.04 2,100,000 Romania Government Bond 5.900% 26-Jul-2017 500,157 0.22 500,000 Sberbank of Russia Via SB Capital SA 900,000 Romania Government Bond 5.950% 11-Jun-2021 231,176 0.10 5.500% 26-Feb-2024 VAR 406,027 0.18 200,000 Romanian Government International Bond 110,000 Trinseo Materials Operating SCA / Trinseo 3.875% 29-Oct-2035 203,199 0.09 Materials Finance Inc 6.375% 01-May-2022 109,514 0.05 115,000 Wind Acquisition Finance SA 7.000% 23-Apr-2021 114,404 0.05 Russia - 858,130 (31 December 2014: 280,664) 858,130 0.38 Mexico - 2,424,631 33,000,000 Russian Federal Bond - OFZ 7.000% 25-Jan-2023 364,234 0.16 (31 December 2014: 1,165,698) 2,424,631 1.08 30,200,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 318,948 0.14 10,910,000 Mexican Bonos 6.500% 09-Jun-2022 600,837 0.27 200,000 Russian Foreign Bond - Eurobond 12,500,000 Mexican Bonos 8.000% 11-Jun-2020 735,138 0.33 5.625% 04-Apr-2042 174,948 0.08

43 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. South Africa - 499,096 United States of America contd. (31 December 2014: 651,215) 499,096 0.22 2,200,000 United States Treasury Bill 0.000% 04-Feb-2016 2,024,225 0.90 2,900,000 South Africa Government Bond 2,100,000 United States Treasury Bill 0.000% 11-Feb-2016 1,932,109 0.86 7.250% 15-Jan-2020 161,781 0.07 2,100,000 United States Treasury Bill 0.000% 18-Feb-2016 1,932,110 0.86 5,800,000 South Africa Government Bond 1,950,000 United States Treasury Bill 0.000% 10-Mar-2016 1,793,971 0.80 8.000% 21-Dec-2018 337,315 0.15 2,000,000 United States Treasury Bill 0.000% 31-Mar-2016 1,839,603 0.82 300,000 Williams Partners LP / ACMP Finance Corp Spain - 298,571 4.875% 15-May-2023 224,115 0.10 (31 December 2014: 292,500) 298,571 0.13 300,000 Williams Partners LP / ACMP Finance Corp 300,000 Bankia SA 4.000% 22-May-2024 VAR 298,571 0.13 4.875% 15-Mar-2024 221,539 0.10

Sweden - 3,071,061 Total investments in bonds 72,054,811 32.11 (31 December 2014: 103,095) 3,071,061 1.37 2,950,000 Swedbank AB 2.375% 04-Apr-2016 2,967,022 1.32 Leveraged loans 100,000 Verisure Holding AB 6.000% 01-Nov-2022 104,039 0.05 France - 272,429 Switzerland - 950,461 (31 December 2014: –) 272,429 0.12 (31 December 2014: 774,569) 950,461 0.42 300,000 Linxens France SA 0.000% 31-Jul-2023 272,429 0.12 500,000 UBS AG 4.750% 12-Feb-2026 VAR 533,940 0.24 United Kingdom - 710,795 459,000 UBS Group AG 6.875% Perpetual VAR 416,521 0.18 (31 December 2014: 2,082,568) 710,795 0.32 Thailand - 1,244,354 198,345 Mint Mezzanine 2014 Ltd - EUR Class (31 December 2014: 584,044) 1,244,354 0.56 6.000% 26-Feb-2018 194,378 0.09 19,800,000 Thailand Government Bond 3.625% 16-Jun-2023 548,311 0.25 388,462 Mint Mezzanine 2014 Ltd - GBP Class 21,800,000 Thailand Government Bond 3.650% 17-Dec-2021 601,064 0.27 6.567% 26-Feb-2018 516,417 0.23 3,000,000 Thailand Government Bond 4.875% 22-Jun-2029 94,979 0.04 United States of America - 362,555 Turkey - 772,883 (31 December 2014: –) 362,555 0.16 (31 December 2014: 741,761) 772,883 0.34 198,985 Oxea 1st Lien S.a.r.l. - EUR Class 2,850,000 Turkey Government Bond 8.000% 12-Mar-2025 772,883 0.34 0.000% 06-Dec-2019 194,508 0.09 200,000 Oxea 2nd Lien S.a.r.l.- USD Class United Kingdom - 3,364,102 0.000% 06-Jun-2020 168,047 0.07 (31 December 2014: 3,783,976) 3,364,102 1.50 500,000 Aviva Plc 3.875% 03-Jul-2044 VAR 506,185 0.23 Total investments in leveraged loans 1,345,779 0.60 231,000 Barclays Plc 2.625% 11-Nov-2025 VAR 230,796 0.10 100,000 Brighthouse Group Plc 7.875% 15-May-2018 130,904 0.06 Equity index swaps 200,000 Ephios Bondco Plc 6.250% 01-Jul-2022 206,980 0.09 Europe - 11,695 500,000 HBOS Plc 4.500% 18-Mar-2030 VAR 569,649 0.26 (31 December 2014: 521) 11,695 0.00 200,000 Lloyds Banking Group Plc 7.875% Perpetual VAR 287,583 0.13 (140) Euro STOXX Personal & Household Goods 17-Oct-2016 5,488 0.00 100,000 Moy Park BondCo Plc 6.250% 29-May-2021 138,635 0.06 (1,211) Euro STOXX Personal & Household Goods 11-Jan-2017 3,076 0.00 165,864 Punch Taverns Finance B Ltd 582 STOXX 600- Index 11-Jan-2017 3,131 0.00 7.369% 30-Sep-2021 229,175 0.10 107,100 Punch Taverns Finance Plc 7.274% 15-Oct-2026 156,794 0.07 United Kingdom - 19,442 431,086 Punch Taverns Finance Plc 7.320% 15-Oct-2025 627,851 0.28 (31 December 2014: –) 19,442 0.01 100,000 TA MFG. Ltd 3.625% 15-Apr-2023 97,500 0.04 (151) FTSE 350 General Retail Index 17-Oct-2016 19,442 0.01 155,000 Unique Pub Finance Co Plc 6.464% 30-Mar-2032 182,050 0.08 United States of America - 1,021 United States of America - 12,739,416 (31 December 2014: –) 1,021 0.00 (31 December 2014: 3,550,987) 12,739,416 5.68 (393) S&P 500 Pharmaceuticals Index 04-Nov-2016 1,021 0.00 100,000 Ball Corp 4.375% 15-Dec-2023 103,011 0.05 130,000 Columbia Pipeline Group Inc Total investments in equity index swaps 32,158 0.01 4.500% 01-Jun-2025 111,143 0.05 243,000 Continental Rubber of America Corp Equity swaps 0.500% 19-Feb-2019 242,267 0.11 Austria - 61,852 165,000 Kraft Heinz Foods Co 144A 4.875% 15-Feb-2025 161,540 0.07 (31 December 2014: 16,450) 61,852 0.03 200,000 Solvay Finance America LLC 144A 15,492 Zumtobel Group AG 17-Oct-2016 61,852 0.03 4.450% 03-Dec-2025 181,928 0.08 100,000 Targa Resources Partners LP / Targa Resources Finland - 20,319 Partners Finance Corp 144A 5.000% 15-Jan-2018 85,576 0.04 (31 December 2014: 7,738) 20,319 0.01 2,050,000 United States Treasury Bill 0.000% 21-Jan-2016 1,886,279 0.84 (41,256) Stora Enso OYJ 04-Nov-2016 20,319 0.01

44 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equity swaps contd. Equity swaps contd. France - 119,572 United Kingdom contd. (31 December 2014: 94,539) 119,572 0.05 16,396 BTG Plc 04-Nov-2016 32,862 0.02 9,961 Elior 11-Jan-2017 11,704 0.01 3,500 Carnival Plc 04-Nov-2016 19,089 0.02 (3,973) Essilor International SA 17-Oct-2016 27,811 0.01 32,682 Cineworld Group Plc 11-Jan-2017 8,978 0.01 2,020 Euler Hermes Group 17-Oct-2016 7,898 0.00 2,204 Close Brothers Group Plc 11-Jan-2017 389 0.00 (8,133) Klepierre 04-Nov-2016 9,691 0.01 (51,519) Cobham Plc 04-Nov-2016 7,771 0.00 (3,178) L’Oreal SA 17-Oct-2016 40,917 0.02 11,214 Compass Group Plc 11-Jan-2017 4,335 0.00 6,083 Nexity SA 17-Oct-2016 2,761 0.00 (27,702) Countrywide Plc 04-Nov-2016 3,948 0.00 12,951 Spie SA 04-Nov-2016 646 0.00 46,000 Crest Nicholson Holdings Plc 11-Jan-2017 14,508 0.01 3,709 Thales SA 04-Nov-2016 8,269 0.00 34,582 Dixons Carphone Plc 04-Nov-2016 17,756 0.01 400 Unibail-Rodamco SE 04-Nov-2016 2,692 0.00 (6,428) esure Group Plc 17-Oct-2016 451 0.00 10,236 Vivendi SA 17-Oct-2016 6,904 0.00 (35,096) G4S Plc 04-Nov-2016 12,688 0.01 5,583 Wendel SA 17-Oct-2016 279 0.00 63,839 GKN Plc 04-Nov-2016 14,116 0.01 14,000 Greene King Plc 17-Oct-2016 14,702 0.01 Germany - 72,833 (24,117) Hammerson Plc 11-Jan-2017 604 0.00 (31 December 2014: 79,463) 72,833 0.03 109,000 Hays Plc 04-Nov-2016 7,023 0.00 1,490 Continental AG 17-Oct-2016 4,731 0.00 61,273 HSBC Holdings Plc 17-Oct-2016 1,039 0.00 2,784 Deutsche Boerse AG 11-Jan-2017 16,801 0.01 (6,046) IMI Plc 17-Oct-2016 1,376 0.00 (1,984) Hannover Rueck SE 17-Oct-2016 5,406 0.00 (13,492) IMI Plc 04-Nov-2016 2,347 0.00 5,150 HeidelbergCement AG 04-Nov-2016 39,501 0.02 12,705 Imperial Tobacco Group Plc 04-Nov-2016 13,841 0.00 7,033 Takkt AG 11-Jan-2017 3,095 0.00 (25,958) Intu Properties Plc 04-Nov-2016 6,472 0.00 37,418 TUI AG 11-Jan-2017 3,299 0.00 (21,600) Investec Plc 04-Nov-2016 18,222 0.01 (19,204) J D Wetherspoon Plc 11-Jan-2017 1,889 0.00 Italy - 25,841 25,000 J Sainsbury Plc 04-Nov-2016 1,504 0.00 (31 December 2014: 18,070) 25,841 0.02 27,048 Kier Group Plc 04-Nov-2016 21,026 0.00 32,903 Cerved Information Solutions SpA 04-Nov-2016 25,841 0.02 5,962 London Stock Exchange Group 11-Jan-2017 8,168 0.00 57,055 Melrose Industries Plc 11-Jan-2017 4,721 0.00 Luxembourg - 16,179 15,500 Micro Focus International 11-Jan-2017 13,772 0.01 (31 December 2014: 41,297) 16,179 0.01 (28,989) National Grid Plc 17-Oct-2016 2,425 0.00 2,199 Eurofi ns Scientifi c SE 17-Oct-2016 16,179 0.01 6,445 Persimmon Plc 04-Nov-2016 13,392 0.00 37,565 Polypipe Group plc 04-Nov-2016 20,256 0.01 Netherlands - 12,644 1,500 Provident Financial Plc 17-Oct-2016 2,319 0.00 (31 December 2014: 50,665) 12,644 0.01 1,601 Randgold Resources Ltd 04-Nov-2016 2,065 0.00 (7,571) Koninklijke DSM NV 04-Nov-2016 12,644 0.01 (63,000) Rotork 04-Nov-2016 9,702 0.00 Spain - 67,156 80,000 Saga 17-Oct-2016 1,096 0.00 (31 December 2014: 42,530) 67,156 0.02 9,347 Savills Plc 04-Nov-2016 1,442 0.00 (16,733) Enagas SA 17-Oct-2016 30,705 0.01 10,158 Schroders Plc 11-Jan-2017 9,439 0.01 (27,732) Grifols SA 04-Nov-2016 10,907 0.00 12,748 Smith & Nephew Plc 17-Oct-2016 15,450 0.01 (32,919) Mediaset Espana Comunicacion SA 17-Oct-2016 18,928 0.01 (30,500) Smiths Group Plc 04-Nov-2016 32,168 0.02 10,475 Repsol SA 16-Jan-2016 4,846 0.00 (1,357) SSE Plc 17-Oct-2016 367 0.00 10,475 Repsol SA 24-Jun-2016 1,770 0.00 55,032 SSP Group Ltd 04-Nov-2016 17,170 0.01 12,063 St James’s Place Plc 11-Jan-2017 5,809 0.00 Sweden - 13,436 30,000 Synthomer Plc 11-Jan-2017 1,587 0.00 (31 December 2014: 9,624) 13,436 0.00 (108,000) Tesco Plc 04-Nov-2016 31,730 0.00 (5,293) Atlas Copco AB 04-Nov-2016 11,339 0.00 (4,587) Travis Perkins Plc 04-Nov-2016 2,547 0.00 6,932 Skanska AB 04-Nov-2016 2,097 0.00 339,500 Vodafone Group Plc 04-Nov-2016 17,500 0.01 (110,000) Wm Morrison Supermarkets Plc 04-Nov-2016 43,571 0.02 Switzerland - 81,287 22,000 Worldpay Group Plc 17-Oct-2016 4,337 0.00 (31 December 2014: 23,667) 81,287 0.04 8,273 WPP Plc 17-Oct-2016 6,453 0.00 4,615 Credit Suisse Group AG 17-Oct-2016 2,768 0.00 (10,426) LafargeHolcim Ltd 04-Nov-2016 67,288 0.03 Total investments in equity swaps 1,005,549 0.44 1,500 Zurich Insurance Group AG 24-Jun-2016 11,231 0.01 Credit default swaps - 761,384 United Kingdom - 514,430 (31 December 2014: 307,998) (31 December 2014: 994,914) 514,430 0.22 1,000,000 CDS ICE CDX EM Index Series 24 Version 1-5Y 1,224 Applied Graphene Materials Plc 31-Dec-2049 125 0.00 1.000% 20-Dec-2020 102,486 0.05 7,400 AstraZeneca Plc 17-Oct-2016 13,075 0.01 2,450,000 CDS ICE CDX EM Index Series 24 Version 1-5Y 4,327 Babcock International Group Plc 11-Jan-2017 1,849 0.00 1.000% 20-Dec-2020 251,091 0.11 28,000 Barratt Developments Plc 11-Jan-2017 4,748 0.00 125,000 CDS LafargeHolcim Ltd 1.000% 20-Dec-2020 1,685 0.00 (8,084) Bodycote Plc 17-Oct-2016 211 0.00 525,000 CDS LafargeHolcim Ltd 1.000% 20-Dec-2020 7,075 0.00

45 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Credit default swaps contd. Future options contd. 400,000 CDS Mack-Cali Realty 1.000% 20-Dec-2019 2,862 0.00 6 OSE Nikkei 225 Index Future Call 500,000 CDS People’s Republic of China 09-Dec-2016 20,000.000 42,489 0.02 1.000% 20-Dec-2020 2,048 0.00 12 OSE Nikkei 225 Index Future Call 800,000 CDS Russia Government International 11-Mar-2016 19,500.000 36,747 0.02 1.000% 20-Dec-2020 67,771 0.03 15 U.S. Treasury Bond Future Call 800,000 CDS Russia Government International 19-Feb-2016 158.000 11,215 0.00 1.000% 20-Dec-2020 67,771 0.03 500,000 CDS Standard Chartered Bank Total future options 216,750 0.10 1.000% 20-Dec-2020 35,990 0.02 Index options - 276,616 1,500,000 CDS Turkey Government International (31 December 2014: 271,310) 1.000% 20-Dec-2020 104,568 0.05 32 DAX Index Call 15-Jan-2016 11,100.000 8,592 0.01 900,000 CDS Turkey Government International 25 Euro STOXX 50 Index Call 16-Dec-2016 3,600.000 25,200 0.01 1.000% 20-Dec-2020 62,741 0.03 20 FTSE 100 Index Put 17-Jun-2016 6,000.000 62,264 0.03 (400,000) CDS Wind Acquisition Finance 21 FTSE 100 Index Put 18-Mar-2016 6,000.000 34,469 0.02 5.000% 20-Sep-2019 25,202 0.01 23 S&P 500 Index Call 31-Dec-2015 2,075.000 106 0.00 (600,000) CDS Wind Acquisition Finance 5 S&P 500 Index Put 16-Dec-2016 1,900.000 45,323 0.02 5.000% 20-Sep-2020 30,094 0.01 9 S&P 500 Index Put 17-Jun-2016 2,000.000 68,157 0.03 Total credit default swaps 761,384 0.34 11 S&P 500 Index Put 18-Mar-2016 1,700.000 7,844 0.00 10 S&P 500 Index Put 18-Mar-2016 1,900.000 24,661 0.01 Currency options - 220,306 (31 December 2014: 492,518) Total index options 276,616 0.13 2,600,000 Euro/US dollar Call 07-Mar-2016 1.120 14,471 0.01 Interest rate swaps - 35,403 1,700,000 Euro/US dollar Call 20-Jan-2016 1.150 123 0.00 (31 December 2014: 5,439) 1,700,000 Euro/US dollar Put 20-Jan-2016 1.070 5,662 0.00 12,000,000 IRS Pay Fixed 7.690% South African rand 1,700,000 Euro/US dollar Put 20-Jan-2016 1.090 18,064 0.01 29-Oct-2020 35,403 0.02 1,000,000 Sterling/US dollar Call 18-Feb-2016 1.550 757 0.00 1,000,000 Sterling/US dollar Call 18-Feb-2016 1.620 37 0.00 Total interest rate swaps 35,403 0.02 900,000 Sterling/US dollar Call 24-Feb-2016 1.550 922 0.00 900,000 Sterling/US dollar Call 24-Feb-2016 1.620 53 0.00 1,000,000 Sterling/US dollar Put 18-Feb-2016 1.480 19,418 0.01 Underlying Fair Total 1,000,000 Sterling/US dollar Put 18-Feb-2016 1.550 71,697 0.03 exposure value net assets 900,000 Sterling/US dollar Put 24-Feb-2016 1.480 18,546 0.01 Holdings Description EUR EUR % 900,000 Sterling/US dollar Put 24-Feb-2016 1.550 64,765 0.03 1,400,000 US dollar/Japanese yen Call 04-Feb-2016 127.000 249 0.00 Open futures contracts - 222,269 1,400,000 US dollar/Japanese yen Put 04-Feb-2016 114.000 874 0.00 (31 December 2014: 72,737) 1,400,000 US dollar/Japanese yen Put 04-Feb-2016 118.000 4,598 0.00 (14) E-mini S&P 500 Index 2,000,000 US dollar/Mexican peso Put 21-Jan-2016 16.000 70 0.00 Short Futures Contracts Exp Mar-2016 (1,311,045) 998 0.00 Total currency options 220,306 0.10 (53) Euro-Bobl Short Futures Contracts Equity options - 18,987 Exp Mar-2016 (6,925,510) 40,430 0.02 (31 December 2014: 109,892) (4) Euro-BTP 57 Ensco Plc Put 20-Jan-2017 15.000 18,987 0.01 Short Futures Contracts Exp Mar-2016 (551,680) 5,880 0.00 Total equity options 18,987 0.01 (26) Euro-Bund Short Futures Contracts Future options - 216,750 Exp Mar-2016 (4,105,920) 41,549 0.02 (31 December 2014: 216,621) 51 Nikkei 225 Dividend Index 102 Euro STOXX 50 Index Dividend Future Call Long Futures Contracts 16-Dec-2016 110.000 59,262 0.03 Exp Dec-2015 1,274,394 119,134 0.05 287 Euro STOXX 50 Index Dividend Future Call 16 Nikkei 225 Dividend Index 16-Dec-2016 115.000 56,826 0.03 Long Futures Contracts 8 HKFE H-Shares Index Future Call Exp Dec-2016 450,154 1,225 0.00 30-Mar-2016 11,000.000 3,467 0.00 (3) U.S. 10 Year Treasury Note 8 HKFE H-Shares Index Future Put Short Futures Contracts 30-Mar-2016 8,000.000 3,230 0.00 Exp Mar-2016 (347,567) 1,531 0.00 201 iShares MSCI Brazil Index Capped Future Call (46) U.S. 5 Year Treasury Note 15-Jan-2016 25.000 370 0.00 Short Futures Contracts 201 iShares MSCI Brazil Index Capped Future Put Exp Mar-2016 (5,008,263) 11,251 0.01 15-Jan-2016 19.000 3,144 0.00

46 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Underlying Fair Total Fair Total exposure value net assets value net assets Holdings Description EUR EUR % Holdings Description EUR %

Open futures contracts contd. Equity swaps contd. (1) UK Long Gilt Isle of Man - (3,090) Short Futures Contracts (31 December 2014: –) (3,090) (0.00) Exp Mar-2016 (158,401) 271 0.00 5,995 Playtech Plc 04-Nov-2016 (3,090) (0.00)

Total open futures contracts 222,269 0.10 Italy - (6,572) (31 December 2014: (9,806)) (6,572) (0.00) Unrealised gain on forward foreign currency contracts - 1,894,510 (see below) (13,809) Eni SpA 11-Jan-2017 (621) (0.00) (31 December 2014: 1,681,470) 1,894,510 0.84 145,146 Snam SpA 04-Nov-2016 (5,951) (0.00)

Total fi nancial assets Luxembourg - (5,415) at fair value through profi t or loss 203,605,536 90.73 (31 December 2014: (5,852)) (5,415) (0.00) (9,584) Fiat Chrysler Automobiles NV 11-Jan-2017 (5,415) (0.00) Equity index swaps Netherlands - (25,678) Europe - (42,349) (31 December 2014: (8,335)) (25,678) (0.01) (31 December 2014: (19,711)) (42,349) (0.02) 6,942 ASML Holding NV 17-Oct-2016 (19,681) (0.01) (965) STOXX 600- Auto & Parts Index 11-Jan-2017 (14,986) (0.01) (3,538) Randstad Holding NV 24-Jun-2016 (5,997) (0.00) 821 STOXX 600- Index 17-Oct-2016 (11,954) (0.01) (2,345) STOXX 600- Industrial Goods & Service 11-Jan-2017 (8,372) (0.00) Portugal - (9,984) (1,494) STOXX 600- Insurance 11-Jan-2017 (7,037) (0.00) (31 December 2014: (53,379)) (9,984) (0.00) (14,575) Galp Energia 24-Jun-2016 (9,984) (0.00) United Kingdom - (159,356) (31 December 2014: (335,585)) (159,356) (0.08) Spain - (64,305) (106) FTSE 250 Index 04-Nov-2016 (35,562) (0.02) (31 December 2014: (75,137)) (64,305) (0.03) (138) FTSE 250 Index 11-Jan-2017 (66,246) (0.03) 30,263 Atresmedia Corp de Medios de Comunicacion SA (44) FTSE 350 General Retail Index 17-Oct-2016 (1,519) (0.00) 17-Oct-2016 (40,855) (0.02) (24) FTSE 350 Travel & Leisure Index 17-Oct-2016 (20,414) (0.01) (800) Grifols SA 04-Nov-2016 (615) (0.00) (433) Russell UK Mid 150 11-Jan-2017 (35,615) (0.02) 5,450 Red Electrica Corp SA 17-Oct-2016 (22,835) (0.01)

Total investments in equity index swaps (201,705) (0.10) Sweden - (5,050) (31 December 2014: (1,835)) (5,050) (0.00) Equity swaps (3,960) Atlas Copco AB 04-Nov-2016 (1,831) (0.00) Finland - (5,565) 5,258 Skanska AB 04-Nov-2016 (3,219) (0.00) (31 December 2014: (18,318)) (5,565) (0.00) (6,288) Orion OYJ 11-Jan-2017 (5,565) (0.00) Switzerland - (8,425) (31 December 2014: (48,824)) (8,425) (0.00) France - (123,583) (355) SGS SA 17-Oct-2016 (2,446) (0.00) (31 December 2014: (53,836)) (123,583) (0.06) (2,294) Swiss Re AG 17-Oct-2016 (3,530) (0.00) 8,419 Cie Generale des Etablissements Michelin 18,382 UBS Group AG 17-Oct-2016 (2,449) (0.00) 17-Oct-2016 (49,588) (0.02) (3,200) Klepierre 04-Nov-2016 (805) (0.00) United Kingdom - (320,808) (926) LVMH Moet Hennessy Louis Vuitton SE 24-Jun-2016 (2,199) (0.00) (31 December 2014: (591,118)) (320,807) (0.14) 21,793 Rexel SA 17-Oct-2016 (15,037) (0.01) 18,369 Applied Graphene Materials Plc 04-Nov-2016 (19,934) (0.01) 15,071 Societe Television Francaise 1 11-Jan-2017 (3,504) (0.00) 29,590 Ashtead Group Plc 11-Jan-2017 (1,003) (0.00) 1,270 Thales SA 04-Nov-2016 (1,319) (0.00) 14,193 B&M European Value Retail SA 04-Nov-2016 (8,818) (0.00) 3,045 Unibail-Rodamco SE 17-Oct-2016 (44,685) (0.03) 15,728 BG Group Plc 17-Oct-2016 (6,392) (0.00) 24,937 Vivendi SA 17-Oct-2016 (6,446) (0.00) (4,809) Bodycote Plc 17-Oct-2016 (146) (0.00) 33,823 Booker Group Plc 04-Nov-2016 (1,331) (0.00) Germany - (167,561) (20,008) Bunzl Plc 11-Jan-2017 (10,178) (0.01) (31 December 2014: (18,904)) (167,561) (0.08) (101,071) Electrocomponents Plc 11-Jan-2017 (16,658) (0.01) 13,128 Aixtron SE 17-Oct-2016 (39,167) (0.03) (7,500) Galliford Try Plc 04-Nov-2016 (7,376) (0.00) 1,960 Bayer AG 17-Oct-2016 (17,983) (0.01) 98,541 GLI Finance Ltd 04-Nov-2016 (17,545) (0.01) 5,549 Beiersdorf AG 17-Oct-2016 (25,997) (0.01) 8,376 GLI Finance Ltd 31-Dec-2049 (0) (0.00) 10,416 Lanxess AG 04-Nov-2016 (76,948) (0.03) (24,223) Halma Plc 04-Nov-2016 (28,094) (0.01) (9,451) RWE AG 17-Oct-2016 (7,466) (0.00) (883) Hammerson Plc 11-Jan-2017 (26) (0.00) (39,226) Hargreaves Lansdown Plc 04-Nov-2016 (25,807) (0.01) Ireland - (37,018) 20,000 HSBC Holdings Plc 17-Oct-2016 (886) (0.00) (31 December 2014: (5,095)) (37,018) (0.02) (3,712) IMI Plc 04-Nov-2016 (856) (0.00) 483,855 Bank of Ireland 17-Oct-2016 (6,048) (0.01) 3,020 Imperial Tobacco Group Plc 04-Nov-2016 (1,011) (0.00) 7,930 Shire Plc 04-Nov-2016 (1,022) (0.00) (722) Intu Properties Plc 04-Nov-2016 (3,108) (0.00) 14,295 Smurfi t Kappa Group Plc 04-Nov-2016 (29,948) (0.01) 35,304 Land Securities Group Plc 17-Oct-2016 (22,538) (0.01)

47 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equity swaps contd. Currency options contd. United Kingdom contd. (900,000) Sterling/US dollar Call 24-Feb-2016 1.620 (53) (0.00) 240,000 Lloyds Banking Group Plc 04-Nov-2016 (2,409) (0.00) (1,000,000) Sterling/US dollar Put 18-Feb-2016 1.480 (19,418) (0.01) (2,053) National Grid Plc 17-Oct-2016 (131) (0.00) (1,000,000) Sterling/US dollar Put 18-Feb-2016 1.550 (71,697) (0.03) (121,962) Old Mutual Plc 11-Jan-2017 (22,914) (0.01) (900,000) Sterling/US dollar Put 24-Feb-2016 1.480 (18,546) (0.01) 25,044 Paragon Group of Cos Plc 04-Nov-2016 (22,167) (0.01) (900,000) Sterling/US dollar Put 24-Feb-2016 1.550 (64,765) (0.03) 5,326 Provident Financial Plc 17-Oct-2016 (19,326) (0.01) (1,400,000) US dollar/Japanese yen Call 04-Feb-2016 127.000 (249) (0.00) 3,719 Randgold Resources Ltd 04-Nov-2016 (7,174) (0.00) (1,400,000) US dollar/Japanese yen Put 04-Feb-2016 114.000 (874) (0.00) 10,603 Rathbone Brothers Plc 04-Nov-2016 (13,017) (0.01) (1,400,000) US dollar/Japanese yen Put 04-Feb-2016 118.000 (4,598) (0.00) (3,699) Rightmove Plc 04-Nov-2016 (13,774) (0.01) (2,000,000) US dollar/Mexican peso Call 21-Jan-2016 17.500 (8,844) (0.00) (1,668,600) Rolls-Royce Holdings Plc 31-Dec-2049 (2,263) (0.00) (2,000,000) US dollar/Mexican peso Put 21-Jan-2016 15.500 (6) (0.00) (22,500) Rotork 04-Nov-2016 (689) (0.00) 20,388 Royal Bank of Scotland Group Plc 04-Nov-2016 (6,389) (0.00) Total currency options (240,095) (0.10) 13,943 Savills Plc 04-Nov-2016 (1,879) (0.00) (4,001) Schroders Plc 11-Jan-2017 (6,947) (0.00) Future options - (151,775) (17,000) Spectris Plc 04-Nov-2016 (17,499) (0.01) (31 December 2014: (199,739)) (3,334) Travis Perkins Plc 04-Nov-2016 (206) (0.00) (389) Euro STOXX 50 Index Dividend Future Call 7,177 Wolseley Plc 04-Nov-2016 (12,316) (0.01) 16-Dec-2016 120.000 (9,725) (0.01) (389) Euro STOXX 50 Index Dividend Future Put Total investments in equity swaps (783,053) (0.34) 16-Dec-2016 100.000 (389) (0.00) (102) Euro STOXX 50 Index Dividend Future Put Credit default swaps - (621,314) 16-Dec-2016 95.000 (102) (0.00) (31 December 2014: (420,863)) (8) HKFE H-Shares Index Future Put 450,000 CDS BMW Finance 1.000% 20-Dec-2020 (6,383) (0.00) 30-Mar-2016 9,000.000 (9,783) (0.00) 400,000 CDS British Airways Plc 5.000% 20-Dec-2019 (58,696) (0.03) (201) iShares MSCI Brazil Index Capped Future Call 850,000 CDS Carlsberg Breweries A/S 1.000% 20-Dec-2020 (5,246) (0.00) 15-Jan-2016 22.000 (3,514) (0.00) 750,000 CDS Daimler AG 1.000% 20-Dec-2020 (13,981) (0.01) (201) iShares MSCI Brazil Index Capped Future Put (800,000) CDS Gas Natural SDG SA 1.000% 20-Dec-2020 (2,558) (0.00) 15-Jan-2016 22.000 (27,743) (0.01) 400,000 CDS General Mills Inc 1.000% 20-Dec-2020 (12,812) (0.01) (6) OSE Nikkei 225 Index Future Call 250,000 CDS General Mills Inc 1.000% 20-Dec-2020 (8,008) (0.00) 09-Dec-2016 21,000.000 (28,020) (0.01) 222,750 CDS ICE CDX North American High Yield Index (12) OSE Nikkei 225 Index Future Call Series 24 Version 1-5Y 5.000% 20-Jun-2020 (7,648) (0.00) 11-Mar-2016 20,000.000 (21,130) (0.01) 865,000 CDS International Business Machines Corp (6) OSE Nikkei 225 Index Future Put 1.000% 20-Dec-2020 (21,485) (0.01) 09-Dec-2016 15,000.000 (16,077) (0.01) 8,100,000 CDS iTraxx Europe Crossover Series 24 Version 1-5Y (12) OSE Nikkei 225 Index Future Put 1.000% 20-Dec-2020 (90,199) (0.04) 11-Mar-2016 17,000.000 (12,862) (0.01) 400,000 CDS Melia Hotels International (15) U.S. Treasury Bond Future Call 5.000% 20-Dec-2019 (62,079) (0.03) 19-Feb-2016 160.000 (6,686) (0.00) 650,000 CDS Nestle SA 1.000% 20-Dec-2019 (19,443) (0.01) (15) U.S. Treasury Bond Future Put 19-Feb-2016 151.000 (15,744) (0.01) 1,300,000 CDS Nestle SA 1.000% 20-Dec-2019 (38,885) (0.02) 650,000 CDS Nestle SA 1.000% 20-Dec-2019 (19,443) (0.01) Total future options (151,775) (0.07) 750,000 CDS People’s Republic of China 1.000% 20-Dec-2019 (3,348) (0.00) (400,000) CDS Portugal Telecom International Finance BV Index options - (378,248) 5.000% 20-Sep-2016 (98,393) (0.04) (31 December 2014: (211,061)) (400,000) CDS Tesco Plc 1.000% 20-Jun-2020 (28,749) (0.01) (32) DAX Index Call 15-Jan-2016 11,400.000 (2,016) (0.00) (600,000) CDS UBS AG 1.000% 20-Dec-2020 (10,892) (0.01) (32) DAX Index Put 15-Jan-2016 9,800.000 (2,368) (0.00) 600,000 CDS UBS AG 1.000% 20-Dec-2020 (15,083) (0.01) (25) Euro STOXX 50 Index Call 16-Dec-2016 3,800.000 (13,725) (0.01) 650,000 CDS Veolia Environnement SA 1.000% 20-Sep-2020 (10,903) (0.00) (25) Euro STOXX 50 Index Pull 16-Dec-2016 2,600.000 (22,625) (0.01) 450,000 CDS Wendel SA 5.000% 20-Dec-2020 (87,080) (0.04) (40) FTSE 100 Index Put 17-Jun-2016 5,500.000 (59,687) (0.03) (42) FTSE 100 Index Put 18-Mar-2016 5,500.000 (22,790) (0.01) Total credit default swaps (621,314) (0.28) (16) FTSE MIB Index Call 15-Jan-2016 22,000.000 (4,520) (0.00) (16) FTSE MIB Index Put 15-Jan-2016 22,000.000 (27,800) (0.01) Currency options - (240,095) (13) Russell 2000 Index Future Call (31 December 2014: (250,662)) 18-Mar-2016 1,150.000 (41,928) (0.02) (2,600,000) Euro/US dollar Call 07-Mar-2016 1.140 (6,483) (0.00) (13) Russell 2000 Index Future Put (1,700,000) Euro/US dollar Call 20-Jan-2016 1.150 (123) (0.00) 18-Mar-2016 1,150.000 (52,885) (0.02) (2,600,000) Euro/US dollar Put 07-Mar-2016 1.060 (18,997) (0.01) (5) S&P 500 Index Call 16-Dec-2016 2,300.000 (10,168) (0.01) (1,700,000) Euro/US dollar Put 20-Jan-2016 1.070 (5,662) (0.00) (5) S&P 500 Index Put 16-Dec-2016 1,800.000 (32,896) (0.02) (1,700,000) Euro/US dollar Put 20-Jan-2016 1.090 (18,064) (0.01) (18) S&P 500 Index Put 17-Jun-2016 1,850.000 (64,596) (0.03) (1,000,000) Sterling/US dollar Call 18-Feb-2016 1.550 (757) (0.00) (20) S&P 500 Index Put 18-Mar-2016 1,750.000 (20,244) (0.01) (1,000,000) Sterling/US dollar Call 18-Feb-2016 1.620 (37) (0.00) (900,000) Sterling/US dollar Call 24-Feb-2016 1.550 (922) (0.00) Total index options (378,248) (0.18)

48 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Interest rate swaps - (221) Unrealised loss on forward foreign currency contracts - (1,282,769) (see below) (31 December 2014: (3,598)) (31 December 2014: (1,439,623)) (1,282,769) (0.57) 7,000,000 IRS Pay Fixed 3.960% Mexican peso 03-Nov-2016 (221) (0.00) Total fi nancial liabilities Total interest rate swaps (221) (0.00) at fair value through profi t or loss (3,899,487) (1.74)

Net current assets 24,711,392 11.01 Underlying Fair Total exposure value net assets Total net assets 224,417,441 100.00 Holdings Description EUR EUR % The counterparties for credit default swaps are Barclays Bank, BNP Paribas, Citigroup, Credit Suisse, Goldman Open futures contracts - (198,024) Sachs, HSBC, JPMorgan Chase, Societe Generale, Bank of America Merrill Lynch and Morgan Stanley. The counterparties for currency options are Barclays Bank, Citigroup, HSBC, JPMorgan Chase, Bank of America (31 December 2014: (169,445)) Merrill Lynch and Toronto Dominion Bank. (18) CAC 40 10 Euro Index The counterparty for equity options is Goldman Sachs. Short Futures Contracts The counterparties for equity swaps are Barclays Bank, JPMorgan Chase, Bank of America Merrill Lynch and Exp Jan-2016 (834,930) (12,330) (0.01) Morgan Stanley. (1) DAX Index The counterparties for equity index swaps are Barclays Bank, JPMorgan Chase and Bank of America Merrill Lynch. Short Futures Contracts The counterparty for futures contracts is Goldman Sachs. Exp Mar-2016 (269,300) (10,762) (0.01) The counterparty for future options is Goldman Sachs. 98 Euro STOXX 50 Index Dividend The counterparty for index options is Goldman Sachs. The counterparties for interest rate swaps are Citigroup and Bank of America Merrill Lynch. Long Futures Contracts The counterparties for swaptions are Citigroup and JPMorgan Chase. Exp Dec-2017 1,074,080 (53,918) (0.02) (31) Euro STOXX 50 Index Analysis of portfolio % of Total assets Short Futures Contracts Exp Mar-2016 (1,017,420) (26,815) (0.01) Transferable securities and money market instruments admitted 65 FTSE 100 Dividend Index to offi cial stock exchange listing or traded on a regulated market 63.72 Long Futures Contracts Transferable securities and money market instruments other than those Exp Dec-2016 205,269 (2,157) (0.00) admitted to offi cial stock exchange listing or traded on a regulated market 22.76 (20) FTSE 100 Index Financial derivative instruments dealt in on a regulated market 0.32 Short Futures Contracts OTC fi nancial derivative instruments 1.72 Exp Mar-2016 (1,681,543) (53,090) (0.02) Other current assets 11.48 (3) FTSE MIB Index Short Futures Contracts Total assets 100.00 Exp Mar-2016 (321,630) (7,155) (0.00) (3) MDAX Index Short Futures Contracts Exp Mar16 (312,090) (7,948) (0.00) 16 NASDAQ 100 E-Mini Long Futures Contracts Exp Mar-2016 1,350,889 (3,101) (0.00) 37 U.S. 10 Year Treasury Note Long Futures Contracts Exp Mar-2016 4,286,659 (20,747) (0.01)

Total open futures contracts (198,023) (0.08)

Swaptions - (42,284) (31 December 2014: –) (1,400,000) CDS iTraxx Europe Crossover Series 24 Version 1 Call 16-Mar-2016 325.000 (18,025) (0.01) (1,400,000) CDS iTraxx Europe Crossover Series 24 Version 1 Put 16-Mar-2016 325.000 (21,317) (0.01) (1,200,000) CDS iTraxx Europe Crossover Series 24 Version 1 Put 20-Jan-2016 350.000 (2,942) (0.00)

Total swaptions (42,284) (0.02)

49 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Insight Fund BNY Mellon Absolute Insight Fund contd. US dollar Euro 40,000 36,622 04-Jan-16 Royal Bank Euro Sterling 10,671,506 7,757,000 28-Jan-16 UBS 154,578 of Canada 185 Euro Japanese yen 111,052 14,500,000 02-Mar-16 HSBC Bank Plc 73 Chilean peso US dollar 635,000,000 893,408 14-Jan-16 HSBC Bank Plc 1,549 Euro Sterling 3,534,048 2,500,000 02-Mar-16 Royal Bank Chilean peso US dollar 267,840,575 376,752 14-Jan-16 Goldman Sachs 730 of Canada 147,400 Colombian peso US dollar 500,000,000 150,648 14-Jan-16 HSBC Bank Plc 6,156 Euro Sterling 164,088 120,000 09-Mar-16 Bank of America Euro Hungarian forint 1,070,452 335,677,602 14-Jan-16 Citigroup 6,587 Merrill Lynch 1,559 Euro Polish zloty 136,403 581,235 14-Jan-16 JPMorgan Chase 125 Euro Sterling 172,562 125,000 09-Mar-16 UBS 3,260 Euro Romanian leu 1,198,421 5,331,893 14-Jan-16 JPMorgan Chase 18,788 Euro Sterling 4,193,404 3,040,000 09-Mar-16 UBS 75,984 Euro US dollar 10,279,203 11,000,000 14-Jan-16 HSBC Bank Plc 159,852 Euro Swiss franc 20,341 22,000 09-Mar-16 Royal Bank Euro US dollar 10,277,126 11,000,000 14-Jan-16 JPMorgan Chase 157,775 of Canada 106 Euro US dollar 11,212,145 12,000,000 14-Jan-16 Royal Bank Euro Swiss franc 41,761 45,000 09-Mar-16 Goldman Sachs 372 of Canada 172,853 Sterling Euro 250,000 337,819 09-Mar-16 HSBC Bank Plc 784 Mexican peso US dollar 4,870,000 279,505 14-Jan-16 HSBC Bank Plc 2,629 Turkish lira US dollar 1,950,000 661,645 14-Jan-16 Goldman Sachs 4,609 EUR 1,798,933 Turkish lira US dollar 591,000 200,975 14-Jan-16 Royal Bank of Canada 987 Turkish lira US dollar 2,400,000 811,382 14-Jan-16 Citigroup 8,386 US dollar Thai baht 2,030 73,325 04-Jan-16 The Bank of US dollar Brazilian real 648,340 2,500,000 14-Jan-16 HSBC Bank Plc 17,223 New York Mellon (7) US dollar Brazilian real 2,417,334 9,416,000 14-Jan-16 Barclays Bank plc 42,263 Brazilian real US dollar 12,000,000 3,171,943 14-Jan-16 HSBC Bank Plc (137,786) US dollar Brazilian real 1,283,977 5,000,000 14-Jan-16 HSBC Bank Plc 22,760 Brazilian real US dollar 4,800,000 1,257,674 14-Jan-16 HSBC Bank Plc (44,900) US dollar Chilean peso 1,704,434 1,208,870,000 14-Jan-16 Bank of America Euro Hungarian forint 789,742 250,200,000 14-Jan-16 Citigroup (3,219) Merrill Lynch 386 Hungarian forint Euro 86,426,615 277,315 14-Jan-16 HSBC Bank Plc (3,403) US dollar Colombian peso 1,547,283 4,790,000,000 14-Jan-16 HSBC Bank Plc 36,766 Korean won US dollar 1,241,000,000 1,071,416 14-Jan-16 JPMorgan Chase (13,016) US dollar Israeli shekel 543,304 2,100,000 14-Jan-16 Barclays Bank plc 3,230 Malaysian ringgit US dollar 5,500,000 1,303,080 14-Jan-16 HSBC Bank Plc (22,354) US dollar Korean won 213,592 250,650,000 14-Jan-16 UBS 47 Mexican peso US dollar 17,200,000 1,013,058 14-Jan-16 JPMorgan Chase (14,537) US dollar Mexican peso 1,243,938 20,903,130 14-Jan-16 JPMorgan Chase 29,415 Mexican peso US dollar 17,900,000 1,074,888 14-Jan-16 JPMorgan Chase (34,080) US dollar Mexican peso 624,622 10,400,000 14-Jan-16 Citigroup 19,899 Russian rouble US dollar 27,300,000 390,712 14-Jan-16 JPMorgan Chase (16,366) US dollar Mexican peso 633,685 10,800,000 14-Jan-16 Citigroup 6,901 South African rand US dollar 15,400,000 1,091,517 14-Jan-16 JPMorgan Chase (89,771) US dollar Mexican peso 399,782 6,700,000 14-Jan-16 Citigroup 10,410 South African rand US dollar 4,550,000 301,660 14-Jan-16 Toronto Dominion US dollar Mexican peso 996,365 17,069,231 14-Jan-16 HSBC Bank Plc 6,156 Bank (7,358) US dollar Russian rouble 1,257,202 84,660,000 14-Jan-16 HSBC Bank Plc 92,670 South African rand US dollar 1,890,000 124,390 14-Jan-16 UBS (2,215) US dollar South African rand 311,788 4,600,000 14-Jan-16 Toronto Dominion South African rand US dollar 12,500,000 829,534 14-Jan-16 HSBC Bank Plc (20,947) Bank 13,706 South African rand US dollar 12,500,000 820,209 14-Jan-16 Goldman Sachs (12,369) US dollar South African rand 455,120 7,000,000 14-Jan-16 JPMorgan Chase 3,065 Turkish lira US dollar 3,150,000 1,084,323 14-Jan-16 Citigroup (6,825) US dollar South African rand 976,948 13,850,000 14-Jan-16 Goldman Sachs 76,404 Turkish lira US dollar 3,080,494 1,066,909 14-Jan-16 The Bank of US dollar South African rand 624,270 9,500,000 14-Jan-16 Citigroup 10,238 New York Mellon (12,665) US dollar South African rand 325,895 4,600,000 14-Jan-16 Goldman Sachs 26,683 US dollar Chilean peso 431,605 310,000,000 14-Jan-16 HSBC Bank Plc (4,939) US dollar South African rand 1,698,288 24,398,618 14-Jan-16 Bank of America US dollar Euro 318,055 300,000 14-Jan-16 Royal Bank Merrill Lynch 113,680 of Canada (7,409) US dollar South African rand 618,468 9,000,000 14-Jan-16 JPMorgan Chase 34,588 US dollar Indonesian rupiah 305,593 4,289,000,000 14-Jan-16 HSBC Bank Plc (3,786) US dollar Turkish lira 408,995 1,180,000 14-Jan-16 HSBC Bank Plc 5,136 US dollar Indonesian rupiah 528,098 7,456,100,000 14-Jan-16 JPMorgan Chase (9,482) US dollar Turkish lira 2,793,724 8,132,532 14-Jan-16 Citigroup 12,348 US dollar Israeli shekel 2,222,583 8,667,407 14-Jan-16 JPMorgan Chase (4,896) US dollar Korean won 944,538 1,100,000,000 15-Jan-16 UBS 6,895 US dollar Korean won 2,124,216 2,494,000,000 14-Jan-16 HSBC Bank Plc (498) Australian dollar US dollar 1,315,789 950,000 21-Jan-16 Bank of America US dollar Korean won 432,821 513,300,000 14-Jan-16 JPMorgan Chase (4,125) Merrill Lynch 7,349 US dollar Korean won 470,996 557,000,000 14-Jan-16 JPMorgan Chase (3,256) Australian dollar US dollar 2,616,864 1,900,000 21-Jan-16 UBS 4,844 US dollar Malaysian ringgit 1,252,700 5,510,000 14-Jan-16 HSBC Bank Plc (26,131) Canadian dollar Sterling 1,244,382 600,000 21-Jan-16 Royal Bank US dollar Thai baht 937,901 33,898,538 14-Jan-16 Bank of America of Canada 13,595 Merrill Lynch (3,552) Canadian dollar Sterling 1,246,490 600,000 21-Jan-16 Bank of America US dollar Thai baht 416,412 15,000,000 14-Jan-16 JPMorgan Chase (289) Merrill Lynch 14,996 US dollar Thai baht 884,520 32,000,000 14-Jan-16 JPMorgan Chase (4,136) Euro US dollar 6,720,545 7,179,000 21-Jan-16 Royal Bank US dollar Turkish lira 645,207 1,900,000 14-Jan-16 JPMorgan Chase (4,005) of Canada 117,459 US dollar Turkish lira 624,384 1,850,000 14-Jan-16 JPMorgan Chase (7,436) Euro US dollar 472,796 505,000 21-Jan-16 Royal Bank US dollar Turkish lira 225,079 660,000 14-Jan-16 HSBC Bank Plc (513) of Canada 8,308 Euro US dollar 1,661,538 1,834,574 21-Jan-16 UBS (25,863) Euro US dollar 188,446 200,000 21-Jan-16 Citigroup 4,490 South African rand US dollar 14,243,825 950,000 21-Jan-16 UBS (29,335) Euro US dollar 61,158 65,000 21-Jan-16 Citigroup 1,372 South African rand US dollar 14,335,025 950,000 21-Jan-16 UBS (23,928) Korean won US dollar 1,110,000,000 939,086 21-Jan-16 HSBC Bank Plc 5,409 Sterling US dollar 1,006,817 1,526,593 21-Jan-16 Bank of America New Zealand dollar US dollar 1,397,264 950,000 21-Jan-16 Goldman Sachs 4,161 Merrill Lynch (38,874) US dollar Brazilian real 929,928 3,550,000 21-Jan-16 Citigroup 35,090 US dollar Australian dollar 2,055,869 2,841,148 21-Jan-16 UBS (11,675) US dollar Canadian dollar 1,903,827 2,605,073 21-Jan-16 Royal Bank US dollar Australian dollar 1,900,000 2,649,117 21-Jan-16 HSBC Bank Plc (26,443) of Canada 19,381 US dollar Euro 124,000 116,884 21-Jan-16 HSBC Bank Plc (2,832) US dollar Euro 82,000 74,991 21-Jan-16 Royal Bank of Canada 431 US dollar Euro 250,000 235,580 21-Jan-16 Royal Bank of Canada (5,635) US dollar Euro 240,000 217,800 21-Jan-16 HSBC Bank Plc 2,947 US dollar Euro 454,000 427,804 21-Jan-16 UBS (10,225) US dollar Euro 71,108 65,000 21-Jan-16 UBS 403 US dollar Japanese yen 246,338 29,768,940 21-Jan-16 HSBC Bank Plc (1,310) US dollar South African rand 1,044,532 15,759,902 21-Jan-16 Goldman Sachs 26,402 US dollar Korean won 1,879,365 2,220,000,000 21-Jan-16 HSBC Bank Plc (9,722) US dollar South African rand 950,000 14,467,075 21-Jan-16 Toronto Dominion Bank 16,100 US dollar New Zealand dollar 949,431 1,400,491 21-Jan-16 Royal Bank of Canada (6,713)

50 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Insight Fund contd. BNY Mellon Absolute Insight Fund Sterling Euro 494,000 672,125 28-Jan-16 HSBC Bank Plc (2,361) Sterling E (Acc) (Hedged) Share Class contd. Sterling Euro 91,000 125,384 28-Jan-16 UBS (2,006) Sterling Euro 5,900,355 8,127,435 15-Jan-16 The Bank of Euro Hong Kong dollar 894,220 7,623,000 03-Feb-16 Royal Bank New York Mellon (125,436) of Canada (10,419) Australian dollar Euro 330,000 226,449 02-Mar-16 Royal Bank EUR (125,436) of Canada (6,154) Sterling Euro 125,000 169,315 09-Mar-16 HSBC Bank Plc (13) GBP (92,469)

EUR (739,779) Net EUR (124,768) Net EUR 1,059,154 Net GBP (91,977)

BNY Mellon Absolute Insight Fund BNY Mellon Absolute Insight Fund CHF E (Acc) (Hedged) Share Class Swiss franc Euro 1,873,741 1,728,974 15-Jan-16 The Bank of Sterling U (Acc) (Hedged) Share Class New York Mellon (7,217) Euro Sterling 303 221 15-Jan-16 The Bank of New York Mellon 4 Euro Sterling 44,771 32,624 15-Jan-16 The Bank of EUR (7,217) New York Mellon 527 Euro Sterling 75,099 55,366 15-Jan-16 The Bank of CHF (7,856) New York Mellon 13 Euro Sterling 217 157 15-Jan-16 The Bank of New York Mellon 4 BNY Mellon Absolute Insight Fund Euro Sterling 1,218 885 15-Jan-16 The Bank of CHF U (Acc) (Hedged) Share Class New York Mellon 18 Euro Swiss franc 124,466 134,505 15-Jan-16 The Bank of Euro Sterling 187 136 15-Jan-16 The Bank of New York Mellon 871 New York Mellon 3 Euro Sterling 250,733 181,197 15-Jan-16 The Bank of New York Mellon 4,996 EUR 871 Sterling Euro 54,800 74,135 15-Jan-16 The Bank of New York Mellon 184 CHF 948 EUR 5,749 Swiss franc Euro 582,719 537,698 15-Jan-16 The Bank of New York Mellon (2,244) GBP 4,238

EUR (2,244) Sterling Euro 370 508 15-Jan-16 The Bank of New York Mellon (6) CHF (2,443) Sterling Euro 4,064 5,596 15-Jan-16 The Bank of New York Mellon (84) Net EUR (1,373) Sterling Euro 142,706 194,433 15-Jan-16 The Bank of New York Mellon (897) Net CHF (1,495) Sterling Euro 96 131 15-Jan-16 The Bank of New York Mellon (1) Sterling Euro 76 105 15-Jan-16 The Bank of New York Mellon (1) BNY Mellon Absolute Insight Fund Sterling Euro 319 439 15-Jan-16 The Bank of Sterling E (Acc) (Hedged) Share Class New York Mellon (6) Euro Sterling 76,461 56,119 15-Jan-16 The Bank of Sterling Euro 19,133,621 26,355,576 15-Jan-16 The Bank of New York Mellon 353 New York Mellon (406,761) Euro Sterling 48,051 35,425 15-Jan-16 The Bank of Sterling Euro 200 275 15-Jan-16 The Bank of New York Mellon 8 New York Mellon (4) Euro Sterling 10,541 7,620 15-Jan-16 The Bank of Sterling Euro 8,942 12,374 15-Jan-16 The Bank of New York Mellon 208 New York Mellon (247) Euro Sterling 20,442 15,000 15-Jan-16 The Bank of New York Mellon 99 EUR (408,007)

EUR 668 GBP (300,775) GBP 492 Net EUR (402,258)

Net GBP (296,537)

51 BNY MELLON ABSOLUTE INSIGHT FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Insight Fund BNY Mellon Absolute Insight Fund USD E (Acc) (Hedged) Share Class USD U (Acc) (Hedged) Share Class US dollar Euro 4,157,422 3,781,616 15-Jan-16 The Bank of US dollar Euro 25,162 23,035 15-Jan-16 The Bank of New York Mellon 42,870 New York Mellon 113 US dollar Euro 7,397 6,770 15-Jan-16 The Bank of EUR 42,870 New York Mellon 35 US dollar Euro 41,623 38,076 15-Jan-16 The Bank of USD 46,589 New York Mellon 213 US dollar Euro 18,276 16,657 15-Jan-16 The Bank of New York Mellon 155 US dollar Euro 10,393 9,456 15-Jan-16 The Bank of BNY Mellon Absolute Insight Fund New York Mellon 105 USD R (Acc) (Hedged) Share Class US dollar Euro 23,904 21,672 15-Jan-16 The Bank of US dollar Euro 150,000 137,266 15-Jan-16 The Bank of New York Mellon 318 New York Mellon 722 US dollar Euro 1,692,478 1,539,489 15-Jan-16 The Bank of US dollar Euro 64,500 59,027 15-Jan-16 The Bank of New York Mellon 17,452 New York Mellon 308 US dollar Euro 7,289 6,622 15-Jan-16 The Bank of US dollar Euro 927,781 843,916 15-Jan-16 The Bank of New York Mellon 83 New York Mellon 9,567 US dollar Euro 36,788 33,581 15-Jan-16 The Bank of New York Mellon 261 EUR 10,597 EUR 18,735 USD 11,516 USD 20,360 Euro US dollar 16,450 17,975 15-Jan-16 The Bank of New York Mellon (86)

EUR (86)

USD (93)

Net EUR 10,511

Net USD 11,423

BNY Mellon Absolute Insight Fund USD T (Acc) (Hedged) Share Class US dollar Euro 1,560,079 1,419,057 15-Jan-16 The Bank of New York Mellon 16,087

EUR 16,087

USD 17,483

52 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Collective investment schemes Bonds contd. Supranational - 198,421,606 France contd. (31 December 2014: 112,714,331) 198,421,606 9.20 3,900,000 Banque Federative du Credit Mutuel SA 9,696,620 Insight Global Funds II plc - Insight Emerging 0.102% 10-Feb-2016 FRN 3,900,624 0.18 Markets Debt Fund 182,294,501 8.45 10,000,000 Banque Federative du Credit Mutuel SA 16,132,428 Insight Liquidity Funds Plc - EUR Cash Fund 16,127,105 0.75 0.419% 22-Mar-2016 FRN 10,004,200 0.46 17,800,000 BPCE SA 0.084% 10-Mar-2017 FRN 17,795,105 0.83 Total investments in collective investment schemes 198,421,606 9.20 38,000,000 BPCE SA 0.431% 13-Jan-2016 FRN 38,004,370 1.76 12,400,000 BPCE SA 0.648% 18-Jan-2016 FRN 12,403,286 0.58 Bonds 6,500,000 BPCE SA 2.750% 30-Nov-2027 VAR 6,518,298 0.30 Australia - 62,515,178 2,133,000 Credit Agricole SA 4.375% 17-Mar-2025 1,895,531 0.09 (31 December 2014: 76,213,130) 62,515,178 2.90 5,267,000 Credit Agricole SA 8.125% 19-Sep-2033 VAR 5,345,274 0.25 2,200,000 Australia & New Zealand Banking Group Ltd 12,500,000 Credit Agricole SA/London 0.286% 04-Oct-2016 FRN 2,203,146 0.10 0.306% 28-Jan-2016 FRN 12,503,187 0.58 3,158,000 BHP Billiton Finance Ltd 4.750% 22-Apr-2076 VAR 3,106,114 0.15 21,100,000 Societe Generale SA 0.219% 29-Mar-2016 FRN 21,110,866 0.98 1,725,000 BHP Billiton Finance USA Ltd 144A 24,600,000 Societe Generale SA 0.221% 16-Jan-2017 FRN 24,621,648 1.14 6.250% 19-Oct-2075 VAR 1,553,964 0.07 22,800,000 Societe Generale SA 0.648% 18-Jan-2016 FRN 22,806,270 1.06 8,000,000 Commonwealth Bank of Australia Germany - 13,853,659 0.101% 14-Jan-2016 FRN 8,000,520 0.37 (31 December 2014: 46,714,158) 13,853,659 0.64 17,300,000 Commonwealth Bank of Australia 1,000,000 Commerzbank AG 7.750% 16-Mar-2021 1,219,690 0.06 0.276% 21-Oct-2016 FRN 17,326,901 0.80 10,894,000 Commerzbank AG 8.125% 19-Sep-2023 11,516,181 0.53 1,021,611 Interstar Millennium Series 2006-1 Trust 1,250,000 Craft CLO Ltd 2014-2 8.971% 15-Jul-2021 FRN 1,117,788 0.05 2.490% 27-Mar-2038 FRN 645,522 0.03 1,049,635 Interstar Millennium Series 2006-4H Trust Ireland - 60,829,013 2.570% 07-Nov-2039 FRN 676,546 0.03 (31 December 2014: 33,999,672) 60,829,013 2.82 29,000,000 Westpac Banking Corp 0.096% 21-Jan-2016 FRN 29,002,465 1.35 16,120,000 Allied Irish Banks Plc 4.125% 26-Nov-2025 VAR 16,275,880 0.75 2,472,000 ALME Loan Funding 3.446% 15-Aug-2027 FRN 2,367,962 0.11 Austria - 4,009,179 1,000,000 Aurium Clo I Ltd 3.104% 26-Apr-2029 FRN 996,068 0.05 (31 December 2014: –) 4,009,179 0.19 1,000,000 Aurium Clo I Ltd 3.754% 26-Apr-2029 FRN 963,166 0.04 4,400,000 Erste Group Bank AG 5.500% 26-May-2025 VAR 4,009,179 0.19 2,500,000 Avoca CLO XII Ltd 3.601% 15-Oct-2027 FRN 2,413,622 0.11 Belgium - 6,271,936 2,500,000 Avoca CLO XV Ltd 3.685% 15-Jan-2029 2,445,753 0.11 (31 December 2014: 4,314,194) 6,271,936 0.29 12,016,597 Bluestep Mortgage Securities No. 3 Ltd 3,257,000 Solvay Finance America LLC 144A 1.142% 10-May-2063 FRN 1,309,726 0.06 4.450% 03-Dec-2025 2,950,684 0.14 4,951,278 Bluestep Mortgage Securities No2 Ltd 2,100,000 Solvay SA 1.625% 02-Dec-2022 2,105,838 0.10 1.642% 10-Nov-2055 FRN 539,561 0.02 1,200,000 Solvay SA 2.750% 02-Dec-2027 1,215,414 0.05 700,000 Carlyle Global Market Strategies Euro CLO 2015-1 Ltd 3.000% 16-Apr-2029 FRN 698,912 0.03 Canada - 9,249,375 800,000 Carlyle Global Market Strategies Euro CLO 2015-1 Ltd (31 December 2014: 1,491,785) 9,249,375 0.43 3.900% 16-Apr-2029 FRN 778,906 0.04 9,246,000 Canadian Imperial Bank of Commerce 1,500,000 Castle Park CLO Ltd 3.601% 15-Jan-2028 FRN 1,460,238 0.07 0.137% 08-Sep-2017 FRN 9,249,375 0.43 750,000 CVC Cordatus Loan Fund III Ltd 3.449% 08-Jul-2027 FRN 722,071 0.03 Cayman Islands - 9,253,186 2,367,636 Deco 15-Pan Europe 6 Ltd (31 December 2014: 5,022,826) 9,253,186 0.43 0.239% 27-Apr-2018 FRN 2,359,640 0.11 3,250,000 Craft CLO Ltd 8.971% 15-Jan-2023 FRN 2,977,217 0.14 1,445,125 Deco 2014-BONN Ltd 2.350% 07-Nov-2024 FRN 1,441,513 0.07 1,500,000 OCP CLO 2014-6 Ltd 144A 3.415% 17-Jul-2026 FRN 1,352,641 0.06 770,734 Deco 2014-BONN Ltd 3.450% 07-Nov-2024 FRN 769,963 0.04 1,500,000 OCP CLO 2014-6 Ltd 144A 3.965% 17-Jul-2026 FRN 1,207,870 0.06 996,432 DECO 2015 - HARP Ltd 2.400% 27-Apr-2027 FRN 975,258 0.05 1,500,000 OCP CLO 2015-9 Ltd 144A 3.183% 15-Jul-2027 FRN 1,326,955 0.06 4,630,737 German Residential Funding 2013-2 Ltd 3,000,000 OCP CLO 2015-9 Ltd 144A 3.983% 15-Jul-2027 FRN 2,388,503 0.11 3.396% 27-Aug-2024 FRN 4,767,251 0.22 1,605,212 Lusitano Mortgages No 3 Plc Finland - 16,030,240 0.411% 16-Oct-2047 FRN 1,324,246 0.06 (31 December 2014: –) 16,030,240 0.74 3,180,000 Magellan Mortgages No2 Plc 16,000,000 Pohjola Bank Oyj 0.234% 03-Mar-2017 FRN 16,030,240 0.74 1.048% 18-Jul-2036 FRN 2,963,601 0.14 12,000,000 Magnolia Finance 0.000% 29-Oct-2017 1,421,342 0.07 France - 233,093,265 30,000,000 Magnolia Finance Mortgage 0.000% 29-Oct-2017 3,553,355 0.16 (31 December 2014: 100,870,879) 233,093,265 10.81 1,955,943 Monnet Finance 1 5.659% 19-Nov-2021 FRN 1,983,404 0.09 51,400,000 Banque Federative du Credit Mutuel SA 1,500,000 Sorrento Park CLO Ltd 3.319% 16-Nov-2027 FRN 1,435,216 0.07 0.040% 23-Mar-2017 FRN 51,393,318 2.38 600,000 Taurus 2015-2 DEU Ltd 2.132% 01-Feb-2026 FRN 588,900 0.03 4,800,000 Banque Federative du Credit Mutuel SA 2,000,000 Taurus 2015-3 EU Designated Activity Co 0.041% 29-May-2017 FRN 4,791,288 0.22 3.000% 22-Apr-2028 FRN 1,993,500 0.09

53 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Ireland contd. Spain - 43,580,358 3,050,000 Taurus CMBS Plc 3.500% 20-Apr-2022 FRN 3,065,768 0.14 (31 December 2014: 27,182,351) 43,580,358 2.02 885,817 Taurus CMBS UK 2014-1 Ltd 3,869,046 Bancaja 11 Fondo de Titulizacion de Activos 3.079% 01-May-2022 FRN 1,214,191 0.06 0.109% 27-Apr-2050 FRN 3,533,430 0.16 471,805 Bancaja 6 Fondo de Titulizacion de Activos Italy - 95,276,397 1.208% 20-Feb-2036 FRN 420,942 0.02 (31 December 2014: 107,602,924) 95,276,397 4.42 416,624 Bancaja 7 Fondo de Titulizacion de Activos 9,412,000 Assicurazioni Generali SpA 0.291% 25-Nov-2036 FRN 361,175 0.02 5.500% 27-Oct-2047 VAR 9,982,650 0.46 3,400,000 Bankia SA 4.000% 22-May-2024 VAR 3,388,406 0.16 2,300,000 Berica ABS 3 Srl 2.118% 30-Jun-2061 FRN 2,324,097 0.11 519,966 Bankinter 9 Fondo de Titulizacion de Activos 1,000,000 Deco 2014-GONDOLA Srl 2.858% 22-Feb-2026 FRN 992,500 0.05 0.451% 16-Jul-2042 FRN 457,130 0.02 4,552,000 Intesa Sanpaolo SpA 144A 7.700% Perpetual VAR 4,264,615 0.20 518,765 Fondo de Titulizacion de Activos Santander 67,839,000 Italy Buoni Poliennali Del Tesoro 144A Empresas 2 0.228% 23-Jun-2050 FRN 513,606 0.02 3.250% 01-Sep-2046 75,910,654 3.52 1,500,000 Fondo de Titulizacion de Activos Santander 1,836,780 Taurus 2015-1 IT Srl 2.414% 18-Feb-2027 FRN 1,801,881 0.08 Financiacion 1 0.499% 20-Jul-2035 FRN 1,448,880 0.07 1 Fondo de Titulizacion de Activos UCI 16 Japan - 8,811,013 0.021% 16-Jun-2049 FRN 1 0.00 (31 December 2014: –) 8,811,013 0.41 2,500,000 IM Grupo Banco Popular Empresas FTA 4,700,000 SoftBank Group Corp 5.375% 30-Jul-2022 4,358,043 0.20 0.417% 21-Mar-2033 FRN 2,390,967 0.11 4,700,000 SoftBank Group Corp 6.000% 30-Jul-2025 4,452,970 0.21 16,828,000 Spain Government Bond 144A 5.150% 31-Oct-2044 23,885,874 1.11 Luxembourg - 1,506,621 1,300,000 TDA 14-Mixto Fondo de Titulizacion de Activos (31 December 2014: 9,409,658) 1,506,621 0.07 0.597% 27-Dec-2030 FRN 1,187,647 0.05 1,496,326 Deco 2015-Charlemagne SA 4.250% 27-Apr-2025 1,506,621 0.07 1,000,000 TDA 15-Mixto Fondo de Titulizacion de Activos Netherlands - 174,017,392 0.519% 27-Jun-2042 FRN 877,978 0.04 (31 December 2014: 110,553,035) 174,017,392 8.07 4,400,000 TDA 15-Mixto Fondo de Titulizacion de Activos 0.519% 27-Jun-2042 FRN 4,005,738 0.19 31,400,000 ABN AMRO Bank NV 0.301% 15-Apr-2016 FRN 31,421,195 1.46 600,000 TDA 17-Mixto Fondo de Titulizacion de Activos 34,800,000 ABN AMRO Bank NV 0.512% 01-Aug-2016 FRN 34,889,088 1.62 0.519% 22-Sep-2035 FRN 517,501 0.02 3,000,000 ABN AMRO Bank NV 0.576% 05-Dec-2017 FRN 3,023,010 0.14 700,000 TDA 18-Mixto Fondo de Titulizacion de Activos 3,000,000 ARES EUROPEAN CLO VII BV 0.619% 22-Jun-2045 FRN 591,083 0.03 3.251% 16-Jul-2028 FRN 2,859,797 0.13 2,000,000 Babson Euro CLO 2014-2 BV Supranational - 1,049,747 3.201% 25-Nov-2027 FRN 1,911,892 0.09 (31 December 2014: 7,641,608) 1,049,747 0.05 1,136,432 Chapel 2003-1BV 0.577% 17-Nov-2064 FRN 1,067,703 0.05 1,100,000 Harvest CLO VIII Limited 3.183% 30-Apr-2026 1,049,747 0.05 5,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 0.141% 13-Jan-2017 FRN 5,001,850 0.23 Sweden - 8,969,791 37,200,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (31 December 2014: 5,332,002) 8,969,791 0.42 0.201% 15-Jan-2016 FRN 37,203,162 1.72 5,000,000 Nordea Bank AB 0.201% 25-Nov-2016 FRN 5,007,425 0.23 20,600,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 38,000,000 Scandinavian Consumer Loans No. 4 Ltd 0.264% 18-Nov-2016 FRN 20,639,140 0.96 3.950% 15-Jan-2037 FRN 3,962,366 0.19 6,100,000 Dryden 32 Euro CLO 2014 B.V. 3.642% 23-Aug-2026 FRN 5,968,759 0.28 Switzerland - 158,592,784 1,000,000 Dryden 35 Euro CLO 2014 BV (31 December 2014: 74,406,015) 158,592,784 7.36 2.950% 17-May-2027 FRN 995,688 0.05 950,000 Credit Suisse AG 144A 6.500% 08-Aug-2023 941,692 0.04 1,500,000 Eurosail-NL 2007-2 BV 2.148% 17-Oct-2040 FRN 1,266,006 0.06 15,300,000 Credit Suisse AG 6.500% 08-Aug-2023 15,166,202 0.70 8,000,000 ING Bank NV 0.176% 26-May-2016 FRN 8,006,240 0.37 7,000,000 Credit Suisse AG/London 0.140% 23-Sep-2016 FRN 7,003,255 0.33 19,000,000 ING Bank NV 0.337% 09-Sep-2016 FRN 19,047,405 0.88 26,300,000 Credit Suisse AG/London 750,000 St Pauls CLO 3.347% 25-Apr-2028 FRN 716,457 0.03 0.199% 30-Mar-2017 FRN 26,317,752 1.22 21,400,000 Credit Suisse AG/London Norway - 1,124,810 0.259% 19-Feb-2016 FRN 21,408,774 0.99 (31 December 2014: 3,064,009) 1,124,810 0.05 10,000,000 Credit Suisse AG/London 1,200,000 Navigator Holdings Ltd 144A 0.322% 15-Dec-2017 FRN 10,018,650 0.47 9.000% 18-Dec-2017 1,124,810 0.05 2,303,000 Credit Suisse USA Inc 7.125% 15-Jul-2032 2,748,745 0.13 700,000 UBS AG 4.750% 22-May-2023 VAR 653,211 0.03 Portugal - 1 2,800,000 UBS AG 4.750% 12-Feb-2026 VAR 2,992,808 0.14 (31 December 2014: 3,556,995) 1 0.00 15,300,000 UBS AG 5.125% 15-May-2024 14,221,936 0.66 1 GAMMA Sociedade de Titularizacao de Creditos SA/ 53,000,000 UBS AG/London 0.126% 05-Sep-2016 FRN 53,037,895 2.46 Atlantes Mortgage Plc 3,895,000 UBS AG/Stamford CT 7.625% 17-Aug-2022 4,081,864 0.19 0.108% 20-Aug-2061 FRN 1 0.00

54 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. United Kingdom - 205,477,313 United Kingdom contd. (31 December 2014: 119,364,767) 205,477,313 9.53 1,000,000 Residential Mortgage Securities 25 Plc Class B1 3,000,000 AA Bond Co Ltd 5.500% 31-Jul-2022 3,892,289 0.18 0.082% 16-Dec-2050 FRN 1,256,293 0.06 930,000 Annington Finance No 4 Plc 1,200,000 Residential Mortgage Securities 25 Plc Class M2 1.746% 10-Jan-2023 VAR 1,264,151 0.06 0.082% 16-Dec-2050 FRN 1,473,037 0.07 32,050,000 Barclays Bank Plc 0.206% 02-Jun-2016 FRN 32,071,153 1.49 500,000 Residential Mortgage Securities 26 Plc Class B1 15,600,000 Barclays Bank Plc 7.625% 21-Nov-2022 16,335,775 0.76 0.000% 14-Feb-2041 586,904 0.03 750,000 Cabot Financial Luxembourg SA 1,000,000 Residential Mortgage Securities 26 Plc Class M2 10.375% 01-Oct-2019 1,089,195 0.05 0.000% 14-Feb-2041 1,218,422 0.06 15,850,000 Channel Link Enterprises Finance Plc 700,000 RESIMAC UK RMBS No.1 Plc 2.479% 24-Oct-2045 FRN 927,530 0.04 3.209% 30-Jun-2050 FRN 15,909,437 0.74 913,000 Santander UK Group Holdings Plc 3,415,000 Dukinfi eld Plc 2.373% 15-Aug-2045 4,315,853 0.20 7.375% Perpetual VAR 1,264,220 0.06 950,000 Eurohome UK Mortgages 2007-1 Plc 700,000 Slate No.1 Plc 2.879% 24-Jan-2051 FRN 933,037 0.04 0.883% 15-Jun-2044 FRN 990,481 0.05 1,200,000 Slate No.2 Plc 2.479% 24-Oct-2044 FRN 1,591,669 0.07 1,500,000 Eurohome UK Mortgages 2007-2 Plc 480,225 Taurus 2013 GMF1 Plc 3.408% 21-May-2024 FRN 488,029 0.02 0.933% 15-Sep-2044 FRN 1,582,832 0.07 2,474,223 THRONES 2015-1 Plc 1.829% 18-Mar-2050 FRN 3,308,074 0.15 2,000,000 Eurosail 2006-2bl Plc 144A 0.752% 15-Dec-2044 FRN 1,689,800 0.08 2,500,000 THRONES 2015-1 Plc 2.029% 18-Mar-2050 FRN 3,232,305 0.15 3,414,638 Eurosail-UK 2007-5np Plc 1.355% 13-Sep-2045 FRN 4,206,535 0.19 2,500,000 Trinity Square 2015-1 Plc 2.336% 15-Jul-2051 FRN 3,245,121 0.15 1,134,675 First Flexible No 5 Plc 0.962% 01-Jun-2034 FRN 1,460,562 0.07 2,500,000 Trinity Square 2015-1 Plc 2.786% 15-Jul-2051 FRN 3,240,816 0.15 1,000,000 Gemgarto 2.823% 14-May-2045 FRN 1,357,391 0.06 1,750,000 Gemgarto 2015-1 Plc 2.673% 16-Feb-2047 FRN 2,346,703 0.11 United States of America - 493,156,462 2,000,000 Gemgarto 2015-2 Plc 4.061% 16-Feb-2054 FRN 2,715,527 0.13 (31 December 2014: 188,076,150) 493,156,462 22.87 2,500,000 Great Hall Mortgages Plc 9,300,000 Altria Group Inc 5.375% 31-Jan-2044 9,118,474 0.42 0.886% 18-Jun-2039 FRN 2,705,143 0.13 9,910,000 AT&T Inc 4.750% 15-May-2046 8,339,613 0.39 2,200,000 Landmark Mortgage Securities No 3 Plc 56,600,000 Bank of America Corp 0.114% 18-May-2016 FRN 56,611,886 2.62 1.379% 17-Apr-2044 FRN 2,454,218 0.11 6,680,000 CVS Health Corp 5.125% 20-Jul-2045 6,467,758 0.30 51,500,000 Lloyds Bank Plc 0.448% 21-Aug-2017 FRN 51,770,117 2.40 2,370,000 Danaher Corp 4.375% 15-Sep-2045 2,246,872 0.10 1,518,000 Lloyds Banking Group Plc 144A 5,145,000 ERAC USA Finance LLC 144A 3.800% 01-Nov-2025 4,675,727 0.22 5.300% 01-Dec-2045 1,415,230 0.07 4,410,000 ERAC USA Finance LLC 144A 4.500% 15-Feb-2045 3,765,750 0.17 2,200,000 Lloyds Banking Group Plc 7.500% Perpetual VAR 2,163,644 0.10 42,000,000 Goldman Sachs Group Inc/The 1,000,000 Lloyds Banking Group Plc 7.625% Perpetual VAR 1,431,228 0.07 0.258% 23-May-2016 FRN 42,029,610 1.95 2,500,000 NewDay Funding 3.002% 15-Jul-2023 FRN 3,390,497 0.16 10,000,000 Goldman Sachs Group Inc/The 750,000 Newday Partnership Funding Plc 0.283% 30-Jan-2017 FRN 10,002,750 0.46 2.752% 15-Dec-2022 FRN 1,022,631 0.05 1,000,000 Goldman Sachs Group Inc/The 2,000,000 Newgate Funding 2006-3 0.152% 01-Dec-2050 FRN 1,676,848 0.08 0.476% 05-Sep-2016 FRN 1,002,685 0.05 4,000,000 Paragon Mortgages No 15 Plc 15,349,000 Goldman Sachs Group Inc/The 0.972% 15-Dec-2039 FRN 3,383,349 0.16 0.489% 27-Jul-2017 FRN 15,389,521 0.71 2,500,000 Paragon Mortgages No 24 Plc 19,200,000 JPMorgan Chase & Co 0.158% 20-Nov-2016 FRN 19,211,904 0.89 3.872% 15-Jul-2043 FRN 3,444,646 0.16 34,000,000 JPMorgan Chase & Co 0.282% 03-May-2016 FRN 34,035,360 1.58 1,804,515 Paragon Personal & Auto Finance No 3 Plc 15,000,000 JPMorgan Chase & Co 0.308% 19-Feb-2017 FRN 15,036,975 0.70 2.479% 15-Apr-2036 FRN 2,436,662 0.11 4,170,000 Kraft Heinz Foods Co 144A 4.875% 15-Feb-2025 4,058,074 0.19 1,750,000 Precise Mortgage Funding 2014-1 Plc 4,500,000 Kraft Heinz Foods Co 144A 5.000% 15-Jul-2035 4,234,945 0.20 1.985% 12-Sep-2047 FRN 2,352,014 0.11 4,430,000 Kraft Heinz Foods Co 144A 5.200% 15-Jul-2045 4,226,946 0.20 625,000 Precise Mortgage Funding 2014-1 Plc 1,355,000 McDonald’s Corp 3.700% 30-Jan-2026 1,241,300 0.06 2.485% 12-Sep-2047 FRN 840,825 0.04 1,465,000 McDonald’s Corp 4.875% 09-Dec-2045 1,348,693 0.06 500,000 Precise Mortgage Funding 2014-2 Plc 54,650,000 Morgan Stanley 0.351% 13-Apr-2016 FRN 54,683,063 2.54 2.485% 12-Dec-2047 FRN 678,450 0.03 15,800,000 Morgan Stanley 0.371% 16-Jan-2017 FRN 15,830,257 0.73 700,000 Precise Mortgage Funding 2014-2 Plc 6,250,000 RAIT 2015-FL5 Trust 144A 2.460% 15-Jan-2031 FRN 5,737,891 0.27 2.985% 12-Dec-2047 FRN 950,255 0.04 3,750,000 RAIT 2015-FL5 Trust 144A 4.260% 15-Jan-2031 FRN 3,442,734 0.16 1,500,000 Precise Mortgage Funding 2015-2B Plc 17,229,431 United States Treasury Infl ation Indexed Bonds 3.335% 12-Jun-2048 FRN 2,039,455 0.09 0.625% 15-Feb-2043 13,319,092 0.62 250,000 Precise Mortgage Funding No 1 Plc 69,474,226 United States Treasury Infl ation Indexed Bonds 3.835% 12-Mar-2047 FRN 336,588 0.02 0.750% 15-Feb-2045 55,305,287 2.56 663,458 Punch Taverns Finance B Ltd 7.369% 30-Sep-2021 924,386 0.04 41,475,566 United States Treasury Infl ation Indexed Bonds 564,060 Punch Taverns Finance Plc 7.274% 15-Oct-2026 834,989 0.04 1.375% 15-Feb-2044 38,565,520 1.79 1,241,993 Punch Taverns Finance Plc 7.320% 15-Oct-2025 1,835,378 0.08 7,021,000 Verizon Communications Inc 4.672% 15-Mar-2055 5,570,846 0.26 1,799,700 Residential Mortgage Securities 20 Plc 5,310,000 Verizon Communications Inc 4.862% 21-Aug-2046 4,618,321 0.21 2.036% 10-Aug-2038 FRN 2,267,809 0.10 50,000,000 Wells Fargo & Co 0.070% 23-Mar-2016 FRN 50,011,000 2.32 830,460 Residential Mortgage Securities 21 Plc 3,270,000 Wells Fargo & Co 4.900% 17-Nov-2045 3,027,608 0.14 4.825% 12-Nov-2038 FRN 1,129,810 0.05 Total investments in bonds 1,606,667,720 74.52

55 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Leveraged loans Credit default swaps contd. Belgium - 1,569,808 (3,750,000) CDS Pearson Plc 1.000% 20-Dec-2020 15,092 0.00 (31 December 2014: 4,585,565) 1,569,808 0.07 (1,900,000) CDS Pearson Plc 1.000% 20-Dec-2020 7,646 0.00 1,600,000 Telenet Euro Term Loan V 3.500% 30-Jun-2023 1,569,808 0.07 (3,900,000) CDS Pearson Plc 1.000% 20-Dec-2020 15,695 0.00 (100,000) CDS Pearson Plc 1.000% 20-Dec-2020 402 0.00 Ireland - 2,136,852 (1,950,000) CDS Pearson Plc 1.000% 20-Dec-2020 7,848 0.00 (31 December 2014: 2,526,061) 2,136,852 0.10 4,250,000 CDS Rio Tinto Ltd 1.000% 20-Dec-2020 168,451 0.01 595,034 Mint Mezzanine 2014 Ltd 6.000% 26-Feb-2018 583,133 0.03 (2,100,000) CDS Royal Dutch Shell Plc 1.000% 20-Dec-2020 7,444 0.00 1,165,386 Mint Mezzanine 2014 Ltd 6.567% 26-Feb-2018 1,553,719 0.07 (4,000,000) CDS Royal Dutch Shell Plc 1.000% 20-Dec-2020 14,179 0.00 (2,000,000) CDS Sky Plc 1.000% 20-Dec-2020 25,652 0.00 Luxembourg - 4,925,000 (4,100,000) CDS Sky Plc 1.000% 20-Dec-2020 52,587 0.00 (31 December 2014: 4,750,000) 4,925,000 0.23 2,500,000 CDS Volkswagen AG 1.000% 20-Dec-2020 60,165 0.01 5,000,000 Eircom Finco Sarl 4.000% 30-Sep-2019 4,925,000 0.23 1,750,000 CDS Volkswagen AG 1.000% 20-Dec-2020 42,116 0.00 1,100,000 CDS Volkswagen AG 1.000% 20-Dec-2020 26,473 0.00 Netherlands - 16,074,185 (31 December 2014: 4,600,000) 16,074,185 0.74 Total credit default swaps 905,190 0.04 3,482,500 LGP Holdings B.V. 5.507% 10-Feb-2020 3,482,500 0.16 3,239,500 Manhattan Cre Senior T Loan 0.000% 20-Oct-2019 3,239,500 0.15 Currency options - – 5,876,971 Mbay Netherlands B.V. (Project Windmill) (31 December 2014: 259,276) 3.000% 19-Oct-2018 5,876,971 0.27 16,000,000 US dollar/Japanese yen Call 04-Jan-2016 124.500 0 0.00 3,475,214 Triangle Secured Finance Loan 0.000% 05-Aug-2019 3,475,214 0.16 Total currency options 0 0.00

Spain - 5,702,250 (31 December 2014: –) 5,702,250 0.26 Underlying Fair Total exposure value net assets 2,750,000 Gran Via Centrum Holdings S.A.U. Holdings Description EUR EUR % 3.800% 25-Jul-2019 2,747,250 0.12 2,955,000 Heref Habaneras Socimi S.A.U. Open futures contracts - 3,888,724 0.000% 14-Mar-2020 2,955,000 0.14 (31 December 2014: –) 2,938 Australian 10 Year Bond United Kingdom - 13,468,375 Long Futures Contracts (31 December 2014: 32,769,675) 13,468,375 0.63 Exp Mar-2016 250,262,483 428,746 0.02 576,923 Harry Cred (Holborn) 4.569% 16-Dec-2016 796,794 0.04 (121) Euro-Bobl 3,061,444 Ivory Cre Loan 3.322% 22-Aug-2019 4,164,884 0.19 Short Futures Contracts 848,778 Project Panther 4.069% 29-Aug-2018 1,154,704 0.05 Exp Mar-2016 (15,814,095) 19,797 0.00 663,259 Promontoria (Chestnut) Ltd 3.321% 28-Nov-2017 901,416 0.04 (1,858) Euro-BTP 948,910 Q Park Securities Ltd Senior Term Loan Short Futures Contracts 3.763% 15-Oct-2018 1,284,472 0.06 Exp Mar-2016 (255,874,470) 85,571 0.00 96,438 Rhino Cre Loan (Devonshire Sq) 4.672% 16-Jul-2017 132,510 0.01 (295) Euro-Bund 1,000,000 Sloane Avenue Cre Senior Term Loan Short Futures Contracts 3.569% 17-Dec-2017 1,360,431 0.06 Exp Mar-2016 (46,612,950) 151,583 0.01 2,700,000 Wellington Cre Loan 3.567% 21-Aug-2017 3,673,164 0.17 (957) U.S. 10 Year Treasury Note Short Futures Contracts United States of America - 16,151,573 Exp Mar-2016 (110,358,615) 737,240 0.04 (31 December 2014: 31,126,196) 16,151,573 0.75 (14) U.S. 5 Year Treasury Note 3,112,920 Convatec Term Loan 4.250% 22-Dec-2016 3,111,177 0.14 Short Futures Contracts 3,140,456 Dupont (Axalta Coating) 3.750% 01-Feb-2020 2,859,709 0.13 Exp Mar-2016 (1,518,949) 5,211 0.00 4,516,129 Energy Future Holdings (TXU) Dip Loan (71) U.S. Treasury Bond 4.250% 05-May-2016 4,138,833 0.19 Short Futures Contracts 3,000,000 UPC USD Term Loan 3.250% 30-Jun-2021 2,707,283 0.13 Exp Mar-2016 (9,989,209) 49,741 0.00 3,703,267 Virgin Media Term Loan 3.500% 08-Jun-2020 3,334,571 0.16 (1,465) U.S. Ultra Bond Short Futures Contracts Total investments in leveraged loans 60,028,043 2.78 Exp Mar-2016 (212,083,626) 853,653 0.04 (1,663) UK Long Gilt Credit default swaps - 905,190 Short Futures Contracts (31 December 2014: 3,745,217) Exp Mar-2016 (264,395,033) 1,557,182 0.07 (1,800,000) CDS Airbus Group SE 1.000% 20-Jun-2018 19,531 0.00 Total open futures contracts 3,888,724 0.18 (1,800,000) CDS Airbus Group SE 1.000% 20-Jun-2018 19,531 0.00 (2,800,000) CDS Imperial Tobacco Group Plc 1.000% 20-Dec-2020 24,988 0.00 Swaptions - 307,515 (1,750,000) CDS Imperial Tobacco Group Plc 1.000% 20-Dec-2020 15,618 0.00 (31 December 2014: –) (950,000) CDS Imperial Tobacco Group Plc 1.000% 20-Dec-2020 8,478 0.00 19,800,000 CDX Option Call 17-Feb-2016 337.500 288,758 0.02 (3,750,000) CDS Imperial Tobacco Group Plc 1.000% 20-Dec-2020 33,466 0.00 3,000,000 CDX Option Put 16-Mar-2016 400.000 18,757 0.00 (2,950,000) CDS Jaguar Land Rover Automotive Plc 5.000% 20-Jun-2020 339,828 0.02 Total swaptions 307,515 0.02 56 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Warrants - – Credit default swaps contd. (31 December 2014: –) 6,700,000 CDS Societe Generale SA 1.000% 20-Dec-2020 (100,309) (0.01) 13,475 Iona Energy Inc Warrants 27-Sep-2018* – 0.00 2,350,000 CDS Valeo SA 1.000% 20-Dec-2020 (29,368) (0.00) 3,400,000 CDS Valeo SA 1.000% 20-Dec-2020 (42,489) (0.00) Total investments in warrants – 0.00 2,200,000 CDS Valero Energy Corp 1.000% 20-Sep-2020 (1,106) (0.00) 950,000 CDS Valero Energy Corp 1.000% 20-Sep-2020 (477) (0.00) Unrealised gain on forward foreign currency contracts - 7,963,854 (see below) 1,800,000 CDS Valero Energy Corp 1.000% 20-Sep-2020 (904) (0.00) (31 December 2014: 8,021,598) 7,963,854 0.37 3,800,000 CDS Valero Energy Corp 1.000% 20-Sep-2020 (1,910) (0.00) 4,000,000 CDS Veolia Environnement SA 1.000% 20-Dec-2020 (62,854) (0.00) Total fi nancial assets 4,100,000 CDS Veolia Environnement SA 1.000% 20-Dec-2020 (64,426) (0.00) at fair value through profi t or loss 1,878,182,652 87.11 2,100,000 CDS Veolia Environnement SA 1.000% 20-Dec-2020 (32,998) (0.00) 2,000,000 CDS Veolia Environnement SA 1.000% 20-Dec-2020 (31,427) (0.00) Credit default swaps - (6,855,343) (5,600,000) CDS Viacom Inc 1.000% 20-Sep-2020 (140,745) (0.01) (31 December 2014: (1,412,092)) (7,800,000) CDS Viacom Inc 1.000% 20-Sep-2020 (196,038) (0.01) 2,300,000 CDS Banca Monte Dei Paschi Di Siena SpA (1,000,000) CDS Viacom Inc 1.000% 20-Sep-2020 (25,133) (0.00) 5.000% 20-Jun-2020 (215,393) (0.01) (6,700,000) CDS Volkswagen AG 1.000% 20-Jun-2018 (60,612) (0.00) 2,250,000 CDS Commerzbank Aktiengesellschaft (7,900,000) CDS Volkswagen AG 1.000% 20-Jun-2018 (71,468) (0.00) 1.000% 20-Dec-2020 (10,525) (0.00) (6,800,000) CDS Volkswagen AG 1.000% 20-Jun-2018 (61,517) (0.00) (1,000,000) CDS Commerzbank Aktiengesellschaft 4,200,000 CDS Wendel SA 5.000% 20-Sep-2020 (784,549) (0.04) 1.000% 20-Dec-2020 (42,790) (0.00) 700,000 CDS Wendel SA 5.000% 20-Sep-2020 (130,758) (0.01) (5,600,000) CDS Commerzbank Aktiengesellschaft 1,800,000 CDS Wendel SA 5.000% 20-Sep-2020 (336,235) (0.02) 1.000% 20-Dec-2020 (239,622) (0.01) 12,050,000 CDS Commerzbank Aktiengesellschaft Total credit default swaps (6,855,343) (0.32) 1.000% 20-Dec-2020 (56,368) (0.00) 6,800,000 CDS Commerzbank Aktiengesellschaft Swaptions - (57,292) 1.000% 20-Dec-2020 (31,809) (0.00) (31 December 2014: –) (3,000,000) CDS Commerzbank Aktiengesellschaft (3,000,000) CDX Option Put 16-Mar-2016 500.000 (5,233) (0.00) 1.000% 20-Dec-2020 (128,369) (0.01) (19,800,000) CDX Option Put 17-Feb-2016 412.500 (52,059) (0.00) 5,250,000 CDS Credit Suisse Group AG 1.000% 20-Dec-2020 (34,761) (0.00) 2,050,000 CDS E.ON SE 1.000% 20-Dec-2020 (1,315) (0.00) Total swaptions (57,292) (0.00) 2,000,000 CDS E.ON SE 1.000% 20-Dec-2020 (1,283) (0.00) (2,100,000) CDS Gas Natural SDG, S.A. 1.000% 20-Dec-2020 (6,734) (0.00) Unrealised loss on forward foreign currency contracts - (5,496,743) (see below) (2,050,000) CDS Gas Natural SDG, S.A. 1.000% 20-Dec-2020 (6,574) (0.00) (31 December 2014: (6,780,915)) (5,496,743) (0.26) (2,000,000) CDS Gas Natural SDG, S.A. 1.000% 20-Dec-2020 (6,413) (0.00) (2,100,000) CDS Gas Natural SDG, S.A. 1.000% 20-Dec-2020 (6,734) (0.00) Total fi nancial liabilities 4,000,000 CDS International Business Machines Corp at fair value through profi t or loss (12,409,378) (0.58) 1.000% 20-Sep-2020 (98,656) (0.01) 700,000 CDS International Business Machines Corp Net current assets 290,386,050 13.47 1.000% 20-Sep-2020 (17,265) (0.00) Total net assets 2,156,159,324 100.00 3,800,000 CDS International Business Machines Corp 1.000% 20-Sep-2020 (93,723) (0.00) The counterparty for futures contracts is Goldman Sachs. 10,700,000 CDS Itraxx Europe Crossover Series 24 Version 1 The counterparties for swaptions are Barclays Bank and BNP Paribas. 5.000% 20-Dec-2020 (874,985) (0.04) The counterparties for credit default swaps are Barclays Bank, BNP Paribas, Citigroup, Credit Suisse, JPMorgan 7,900,000 CDS Itraxx Europe Crossover Series 24 Version 1 Chase, HSBC, Bank of America Merrill Lynch and Morgan Stanley. The counterparty for currency options is Toronto Dominion Bank. 5.000% 20-Dec-2020 (646,017) (0.03) * Subject to fair value by the Investment Manager, given the Company is subject to trading suspension on the 11,850,000 CDS Itraxx Europe Crossover Series 24 Version 1 Toronto Stock Exchange. 5.000% 20-Dec-2020 (969,025) (0.05) 9,100,000 CDS Itraxx Europe Crossover Series 24 Version 1 5.000% 20-Dec-2020 (744,146) (0.04) Analysis of portfolio % of Total assets (4,000,000) CDS Kohl’s Corporation 1.000% 20-Dec-2020 (96,000) (0.01) (1,400,000) CDS Kohl’s Corporation 1.000% 20-Dec-2020 (33,600) (0.00) Transferable securities and money market instruments admitted 1,000,000 CDS Renault SA 1.000% 20-Dec-2020 (632) (0.00) to offi cial stock exchange listing or traded on a regulated market 82.49 1,200,000 CDS Renault SA 1.000% 20-Dec-2020 (758) (0.00) Transferable securities and money market instruments other than those 1,200,000 CDS Renault SA 1.000% 20-Dec-2020 (758) (0.00) admitted to offi cial stock exchange listing or traded on a regulated market 2.74 1,050,000 CDS Renault SA 1.000% 20-Dec-2020 (664) (0.00) Financial derivative instruments dealt in on a regulated market 0.18 1,050,000 CDS Renault SA 1.000% 20-Dec-2020 (664) (0.00) OTC fi nancial derivative instruments 0.42 1,100,000 CDS Renault SA 1.000% 20-Dec-2020 (695) (0.00) Other current assets 14.17 4,100,000 CDS Reynolds American Inc 1.000% 20-Dec-2020 (104,266) (0.01) Total assets 100.00 3,100,000 CDS Reynolds American Inc 1.000% 20-Dec-2020 (78,835) (0.00) 1,050,000 CDS Reynolds American Inc 1.000% 20-Dec-2020 (26,702) (0.00) 1,850,000 CDS Reynolds American Inc 1.000% 20-Dec-2020 (47,047) (0.00) 3,800,000 CDS Societe Generale SA 1.000% 20-Dec-2020 (56,892) (0.00)

57 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Bond Fund Australian dollar US dollar 12,120,210 8,800,000 21-Jan-16 UBS 50,220 Sterling T (Acc) (Hedged) Share Class Australian dollar US dollar 5,540,166 4,000,000 21-Jan-16 Bank of America Sterling Euro 202 274 04-Jan-16 The Bank of Merrill Lynch 43,597 New York Mellon 1 Canadian dollar Sterling 5,401,458 2,600,000 21-Jan-16 Bank of America Euro Sterling 1,481 1,079 15-Jan-16 The Bank of Merrill Lynch 32,947 New York Mellon 14 Canadian dollar Sterling 5,392,322 2,600,000 21-Jan-16 Royal Bank Euro Sterling 726 531 15-Jan-16 The Bank of of Canada 26,910 New York Mellon 4 Japanese yen US dollar 723,591,992 5,986,754 21-Jan-16 Royal Bank Euro Sterling 696 506 15-Jan-16 The Bank of of Canada 24,050 New York Mellon 8 Korean won US dollar 4,850,000,000 4,103,215 21-Jan-16 HSBC Bank Plc 21,213 Euro Sterling 9,606 6,941 15-Jan-16 The Bank of New Zealand dollar US dollar 5,883,218 4,000,000 21-Jan-16 Goldman Sachs 19,644 New York Mellon 167 Euro Sterling 422 306 15-Jan-16 The Bank of US dollar Brazilian real 3,876,883 14,800,000 21-Jan-16 Citigroup 145,953 New York Mellon 7 US dollar Canadian dollar 7,163,195 9,801,650 21-Jan-16 Royal Bank Euro Sterling 6 4 15-Jan-16 The Bank of of Canada 97,534 New York Mellon – US dollar Euro 7,056,087 6,450,000 21-Jan-16 UBS 25,140 Sterling Euro 2,941 3,968 15-Jan-16 The Bank of US dollar South African rand 4,000,000 60,914,000 21-Jan-16 Toronto Dominion New York Mellon 33 Bank 96,931 Sterling Euro 558 756 15-Jan-16 The Bank of US dollar South African rand 4,281,614 64,600,990 21-Jan-16 Goldman Sachs 139,049 New York Mellon 3 US dollar Sterling 1,652,353 1,100,000 21-Jan-16 UBS 20,409 Euro US dollar 2,389,131 2,536,000 27-Jan-16 Citigroup 62,280 EUR 237 Euro US dollar 8,084,885 8,582,000 27-Jan-16 Citigroup 210,662 Euro Norwegian krone 3,928,739 37,211,000 03-Feb-16 UBS 57,840 GBP 174 Euro Sterling 6,278,710 4,573,000 03-Feb-16 HSBC Bank Plc 61,660 Euro Sterling 272,815,424 197,621,000 03-Feb-16 JPMorgan Chase 4,147,218 Euro Sterling 756 558 04-Jan-16 The Bank of Euro US dollar 681,275 738,000 03-Feb-16 Citigroup 4,259 New York Mellon (3) Euro US dollar 9,124,454 9,929,000 03-Feb-16 HSBC Bank Plc 15,937 Euro Sterling 274 202 15-Jan-16 The Bank of Sterling Euro 1,107,000 1,497,653 03-Feb-16 JPMorgan Chase 7,327 New York Mellon (1) Sterling Euro 5,054 6,948 15-Jan-16 The Bank of New York Mellon (73) EUR 5,310,780 Sterling Euro 1,165 1,603 15-Jan-16 The Bank of New York Mellon (19) Sterling Euro 1,868 2,548 15-Jan-16 The Bank of Euro US dollar 1,404,821 1,551,122 21-Jan-16 UBS (18,593) New York Mellon (8) South African rand US dollar 59,974,000 4,000,000 21-Jan-16 UBS (152,080) Sterling Euro 2,100 2,865 15-Jan-16 The Bank of South African rand US dollar 60,358,000 4,000,000 21-Jan-16 UBS (129,551) New York Mellon (8) Sterling US dollar 3,304,544 5,010,537 21-Jan-16 Bank of America Sterling Euro 3,328 4,569 15-Jan-16 The Bank of Merrill Lynch (104,123) New York Mellon (44) US dollar Australian dollar 8,800,000 12,269,597 21-Jan-16 HSBC Bank Plc (150,372) Sterling Euro 6,009 8,262 15-Jan-16 The Bank of US dollar Australian dollar 8,275,440 11,436,405 21-Jan-16 UBS (73,152) New York Mellon (88) US dollar Korean won 8,211,640 9,700,000,000 21-Jan-16 HSBC Bank Plc (37,644) Sterling Euro 5,944,752 8,195,814 15-Jan-16 The Bank of US dollar New Zealand dollar 3,982,740 5,874,881 21-Jan-16 Royal Bank New York Mellon (110,419) of Canada (30,253) Sterling Euro 58 79 15-Jan-16 The Bank of New York Mellon (1) Euro Hong Kong dollar 4,803,844 40,827,000 03-Feb-16 HSBC Bank Plc (29,643) Sterling Euro 5,000 6,920 15-Jan-16 The Bank of Euro Swedish krona 1,780,439 16,508,000 03-Feb-16 UBS (17,714) New York Mellon (121) Euro US dollar 280,618,006 307,785,000 03-Feb-16 Citigroup (1,733,180) Euro US dollar 767,149 839,000 03-Feb-16 HSBC Bank Plc (2,520) EUR (110,785)

EUR (2,478,825) GBP (81,434)

Net EUR 2,831,955 Net EUR (110,548)

Net GBP (81,260) BNY Mellon Absolute Return Bond Fund Sterling I (Acc) (Hedged) Share Class Sterling Euro 102,259,621 140,981,637 15-Jan-16 The Bank of BNY Mellon Absolute Return Bond Fund New York Mellon (1,899,396) Sterling W (Acc) (Hedged) Share Class Sterling Euro 49,387,765 68,089,124 15-Jan-16 The Bank of EUR (1,899,396) New York Mellon (917,341) GBP (1,396,172) EUR (917,341)

GBP (674,302)

58 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Bond Fund BNY Mellon Absolute Return Bond Fund Sterling W (Inc) (Hedged) Share Class USD R (Hedged) Share Class contd. Sterling Euro 2,524,888 3,480,972 15-Jan-16 The Bank of Euro US dollar 47,709 52,388 15-Jan-16 The Bank of New York Mellon (46,898) New York Mellon (373) Euro US dollar 753 821 15-Jan-16 The Bank of EUR (46,898) New York Mellon (1) Euro US dollar 419,217 459,692 15-Jan-16 The Bank of GBP (34,473) New York Mellon (2,692) Euro US dollar 7,636 8,433 15-Jan-16 The Bank of New York Mellon (105) Euro US dollar 6,671 7,282 15-Jan-16 The Bank of BNY Mellon Absolute Return Bond Fund New York Mellon (13) Sterling X (Acc) (Hedged) Share Class Euro US dollar 14,949 16,511 15-Jan-16 The Bank of Sterling Euro 814,512 1,122,938 15-Jan-16 The Bank of New York Mellon (206) New York Mellon (15,129) US dollar Euro 42,159 38,956 15-Jan-16 The Bank of New York Mellon (262) EUR (15,129) US dollar Euro 126,569 116,765 15-Jan-16 The Bank of New York Mellon (600) GBP (11,121) EUR (4,326)

BNY Mellon Absolute Return Bond Fund USD (4,712) USD I (Hedged) Share Class Euro US dollar 8,316,217 9,000,000 15-Jan-16 The Bank of Net EUR 258,666 New York Mellon 55,972 US dollar Euro 179,566,113 163,172,944 15-Jan-16 The Bank of Net USD 281,752 New York Mellon 1,634,481

EUR 1,690,453 BNY Mellon Absolute Return Bond Fund USD T (Hedged) Share Class USD 1,841,327 US dollar Euro 35,522 32,551 04-Jan-16 The Bank of New York Mellon 62 US dollar Euro 3,854 3,534 05-Jan-16 The Bank of BNY Mellon Absolute Return Bond Fund New York Mellon 5 USD R (Hedged) Share Class Euro US dollar 91,807 99,843 15-Jan-16 The Bank of US dollar Euro 552 506 04-Jan-16 The Bank of New York Mellon 171 New York Mellon 1 Euro US dollar 180 195 15-Jan-16 The Bank of US dollar Euro 821 753 05-Jan-16 The Bank of New York Mellon 1 New York Mellon 1 Euro US dollar 98,663 106,775 15-Jan-16 The Bank of Euro US dollar 8,276 9,000 15-Jan-16 The Bank of New York Mellon 664 New York Mellon 16 US dollar Euro 46,628 42,716 15-Jan-16 The Bank of Euro US dollar 39,871 43,149 15-Jan-16 The Bank of New York Mellon 80 New York Mellon 268 US dollar Euro 7,697 7,054 15-Jan-16 The Bank of Euro US dollar 183,123 198,497 15-Jan-16 The Bank of New York Mellon 10 New York Mellon 941 US dollar Euro 1,707 1,565 15-Jan-16 The Bank of US dollar Euro 24,940 22,862 15-Jan-16 The Bank of New York Mellon 2 New York Mellon 28 US dollar Euro 3,319 3,041 15-Jan-16 The Bank of US dollar Euro 986,550 902,244 15-Jan-16 The Bank of New York Mellon 6 New York Mellon 3,220 US dollar Euro 63,785 58,334 15-Jan-16 The Bank of US dollar Euro 28,444 26,068 15-Jan-16 The Bank of New York Mellon 208 New York Mellon 39 US dollar Euro 10,032 9,149 15-Jan-16 The Bank of US dollar Euro 28,367,791 25,778,004 15-Jan-16 The Bank of New York Mellon 59 New York Mellon 258,214 US dollar Euro 95,225 86,220 15-Jan-16 The Bank of US dollar Euro 151,165 138,476 15-Jan-16 The Bank of New York Mellon 1,178 New York Mellon 264 US dollar Euro 76,059,980 69,116,219 15-Jan-16 The Bank of New York Mellon 692,324 EUR 262,992 US dollar Euro 372,212 336,996 15-Jan-16 The Bank of New York Mellon 4,622 USD 286,464 EUR 699,392

Euro US dollar 22,868 24,940 05-Jan-16 The Bank of USD 761,816 New York Mellon (28) Euro US dollar 506 552 15-Jan-16 The Bank of New York Mellon (1) Euro US dollar 30,758 33,562 15-Jan-16 The Bank of New York Mellon (45)

59 BNY MELLON ABSOLUTE RETURN BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Bond Fund USD T (Hedged) Share Class contd. Euro US dollar 42,727 46,628 04-Jan-16 The Bank of New York Mellon (80) Euro US dollar 1,566 1,707 05-Jan-16 The Bank of New York Mellon (2) Euro US dollar 32,542 35,522 15-Jan-16 The Bank of New York Mellon (61) Euro US dollar 1,183,276 1,303,764 15-Jan-16 The Bank of New York Mellon (13,330) Euro US dollar 3,533 3,854 15-Jan-16 The Bank of New York Mellon (5) Euro US dollar 36,289 39,848 15-Jan-16 The Bank of New York Mellon (284) Euro US dollar 90,163 98,381 15-Jan-16 The Bank of New York Mellon (132) Euro US dollar 692,507 764,873 15-Jan-16 The Bank of New York Mellon (9,501) Euro US dollar 90,336 99,058 15-Jan-16 The Bank of New York Mellon (580) Euro US dollar 4,670 5,098 15-Jan-16 The Bank of New York Mellon (9) Euro US dollar 3,783 4,178 15-Jan-16 The Bank of New York Mellon (51) US dollar Euro 1,317 1,215 15-Jan-16 The Bank of New York Mellon (6) US dollar Euro 2,415 2,220 15-Jan-16 The Bank of New York Mellon (2)

EUR (24,043)

USD (26,191)

Net EUR 675,349

Net USD 735,625

60 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Collective investment schemes Floating rate notes contd. Cayman Islands - 6,426,350 New Zealand - 47,000,175 (31 December 2014: –) 6,426,350 0.34 (31 December 2014: 10,008,600) 47,000,175 2.50 3,010,000 Marwyn Value Investors Ltd 6,426,350 0.34 10,000,000 ASB Finance Ltd 1.165% 13-Mar-2017 FRN 10,019,850 0.53 15,000,000 Westpac Securities NZ Ltd United Kingdom - 203,262,433 0.887% 23-Dec-2016 FRN 14,999,025 0.80 (31 December 2014: 139,678,194) 203,262,433 10.82 8,000,000 Westpac Securities NZ Ltd 745,818 Electra Private Equity Plc 27,621,370 1.47 0.987% 23-Jun-2017 FRN 7,986,480 0.43 4,762,388 GLI Finance Ltd 1,773,989 0.09 14,000,000 Westpac Securities NZ Ltd 173,874,558 Insight Liquidity Funds Plc - GBP Liquidity Fund 173,867,074 9.26 1.044% 02-Oct-2017 FRN 13,994,820 0.74

Total investments in collective investment schemes 209,688,783 11.16 Supranational - 17,024,435 (31 December 2014: 22,055,660) 17,024,435 0.91 Floating rate notes 5,000,000 European Investment Bank Australia - 41,559,185 0.654% 05-Jan-2016 FRN 5,005,475 0.27 (31 December 2014: 17,574,445) 41,559,185 2.21 12,000,000 European Investment Bank 14,000,000 Commonwealth Bank of Australia 0.772% 22-Feb-2017 FRN 12,018,960 0.64 1.279% 26-Oct-2018 FRN 14,015,260 0.75 Sweden - 15,003,206 17,500,000 National Australia Bank Ltd (31 December 2014: 13,544,795) 15,003,206 0.80 1.055% 12-Nov-2016 FRN 17,544,625 0.93 3,990,000 Nordea Bank AB 1.023% 15-Feb-2016 FRN 3,991,656 0.21 10,000,000 Westpac Banking Corp 11,000,000 Svenska Handelsbanken AB 0.785% 14-Dec-2016 FRN 9,999,300 0.53 0.976% 10-May-2016 FRN 11,011,550 0.59 Canada - 52,598,822 (31 December 2014: 3,002,160) 52,598,822 2.80 Switzerland - 20,496,238 (31 December 2014: 20,509,860) 20,496,238 1.09 9,000,000 Bank of Montreal 0.771% 30-Nov-2016 FRN 8,996,445 0.48 10,000,000 Credit Suisse AG 0.979% 15-Jul-2016 FRN 9,996,500 0.53 12,000,000 Canadian Imperial Bank of Commerce 10,500,000 Credit Suisse AG 0.985% 14-Mar-2016 FRN 10,499,738 0.56 0.803% 15-Dec-2016 FRN 11,998,620 0.64 3,000,000 Royal Bank of Canada 0.769% 22-Jan-2016 FRN 3,000,270 0.16 United Kingdom - 25,008,750 17,000,000 Royal Bank of Canada 0.835% 19-Dec-2016 FRN 16,998,895 0.91 (31 December 2014: 15,019,200) 25,008,750 1.33 10,000,000 Royal Bank of Canada 1.274% 09-Oct-2018 FRN 10,008,000 0.53 5,000,000 HSBC Bank Plc 0.973% 16-May-2016 FRN 5,005,450 0.27 1,600,000 Toronto-Dominion Bank 0.959% 19-Jan-2018 FRN 1,596,592 0.08 20,000,000 Lloyds Bank Plc 0.967% 23-Sep-2016 FRN 20,003,300 1.06 France - 25,055,250 Total investments in fl oating rate notes 343,780,623 18.31 (31 December 2014: –) 25,055,250 1.34 25,000,000 Dexia Credit Local SA 0.779% 13-Oct-2016 FRN 25,055,250 1.34 Certifi cate of deposit Germany - 20,752,469 Australia - 44,949,063 (31 December 2014: 5,782,074) 20,752,469 1.11 (31 December 2014: 54,988,516) 44,949,063 2.39 15,000,000 DekaBank Deutsche Girozentrale 20,000,000 Australia & New Zealand Banking Group Ltd 0.963% 24-Jun-2016 FRN 15,004,950 0.80 0.530% 12-Jan-2016 CD 20,000,296 1.06 5,740,000 NRW Bank 1.255% 21-Mar-2016 FRN 5,747,519 0.31 25,000,000 National Australia Bank Ltd 0.600% 27-Apr-2016 CD 24,948,767 1.33 Ireland - 17,446,336 (31 December 2014: –) 17,446,336 0.93 Canada - 29,994,440 17,450,000 GE Capital UK Funding 1.008% 16-Jan-2018 FRN 17,446,336 0.93 (31 December 2014: –) 29,994,440 1.60 30,000,000 Toronto-Dominion Bank 0.720% 01-Jul-2016 CD 29,994,440 1.60 Netherlands - 61,835,757 (31 December 2014: 41,864,860) 61,835,757 3.29 Denmark - 40,013,696 8,800,000 Bank Nederlandse Gemeenten (31 December 2014: –) 40,013,696 2.13 0.761% 03-Apr-2018 FRN 8,810,542 0.47 40,000,000 Danske Bank A/S 0.760% 09-May-2016 CD 40,013,696 2.13 20,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA France - 174,862,140 0.738% 15-Jan-2016 FRN 20,005,760 1.06 (31 December 2014: 175,005,014) 174,862,140 9.31 15,000,000 ING Bank NV 0.876% 12-Jan-2016 FRN 15,000,000 0.80 30,000,000 BNP Paribas 0.750% 01-Jul-2016 CD 29,998,948 1.60 15,000,000 Nederlandse Waterschapsbank NV 10,000,000 BPCE 0.650% 04-Jan-2016 CD 10,000,144 0.53 0.763% 09-Apr-2018 FRN 15,018,450 0.80 25,000,000 BPCE 0.790% 14-Jun-2016 CD 24,918,135 1.33 3,000,000 Nederlandse Waterschapsbank NV 25,000,000 Credit Agricole 0.600% 24-Mar-2016 CD 25,001,035 1.33 1.129% 25-Jan-2016 FRN 3,001,005 0.16 20,000,000 Dexia Credit Local De France 0.000% 06-Jun-2016 CD 19,938,901 1.06

61 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Certifi cate of deposit contd. Commercial paper contd. France contd. France contd. 40,000,000 La Banque Postale S.A. 0.000% 04-Jan-2016 CD 39,998,442 2.13 25,000,000 Caisse Des Depots Et Consignations 25,000,000 Societe Generale 0.800% 03-Feb-2016 CD 25,006,535 1.33 0.000% 17-Mar-2016 CP 24,970,284 1.33 14,000,000 Dexia Credit Local De France Germany - 45,004,963 0.000% 18-Jan-2016 CP 13,996,819 0.74 (31 December 2014: 35,001,064) 45,004,963 2.40 25,000,000 DZ Bank AG 0.650% 06-Apr-2016 CD 25,003,050 1.33 Germany - 44,961,628 20,000,000 DZ Bank AG 0.650% 13-Apr-2016 CD 20,001,913 1.07 (31 December 2014: 19,986,674) 44,961,628 2.39 20,000,000 Bayerische Motoren Werke AG Japan - 159,986,107 0.000% 30-Mar-2016 CP 19,971,250 1.06 (31 December 2014: 40,001,549) 159,986,107 8.52 25,000,000 Dekabank Deutsche Girozentrale 20,000,000 Mitsubishi UFJ Trust and Banking Corp 0.000% 29-Jan-2016 CP 24,990,378 1.33 0.630% 08-Apr-2016 CD 19,967,483 1.06 25,000,000 Mitsubishi UFJ Trust and Banking Corp Netherlands - 24,988,880 0.640% 01-Feb-2016 CD 25,002,824 1.33 (31 December 2014: –) 24,988,880 1.33 50,000,000 Sumitomo Mitsui Banking Corp 25,000,000 Nederlandse Waterschapsbank NV 0.600% 05-Feb-2016 CD 50,004,198 2.66 0.000% 02-Feb-2016 CP 24,988,880 1.33 20,000,000 Sumitomo Mitsui Trust Bank Ltd 0.600% 07-Jan-2016 CD 20,000,412 1.07 Singapore - 29,949,289 20,000,000 Sumitomo Mitsui Trust Bank Ltd (31 December 2014: 4,999,265) 29,949,289 1.60 0.600% 17-Feb-2016 CD 20,001,807 1.07 30,000,000 Oversea-Chinese Banking Corp Ltd 25,000,000 Sumitomo Trust and Banking Co Ltd 0.000% 11-Apr-2016 CP 29,949,289 1.60 0.750% 21-Mar-2016 CD 25,009,383 1.33 Total investments in commercial paper 168,858,392 8.99 Norway - 35,008,620 (31 December 2014: –) 35,008,620 1.86 Equities 20,000,000 Dnb NOR Bank ASA 0.680% 09-Mar-2016 CD 20,004,425 1.06 France - 12,228,735 15,000,000 Dnb NOR Bank ASA 0.720% 01-Mar-2016 CD 15,004,195 0.80 (31 December 2014: 10,624,031) 12,228,735 0.65 625,368 Ubisoft Entertainment 12,228,735 0.65 Sweden - 99,939,369 (31 December 2014: 44,996,604) 99,939,369 5.32 Germany - 3,627,379 20,000,000 Nordea Bank AB 0.600% 03-Mar-2016 CD 20,001,636 1.07 (31 December 2014: –) 3,627,379 0.19 20,000,000 Nordea Bank AB 0.600% 07-Mar-2016 CD 20,001,531 1.06 65,000 HeidelbergCement AG 3,627,379 0.19 20,000,000 Skandinaviska Enskilda Banken AB 0.660% 08-Jun-2016 CD 19,937,814 1.06 Guernsey - 21,600,799 30,000,000 Svenska Handelsbanken 0.550% 22-Mar-2016 CD 29,998,081 1.60 (31 December 2014: 5,102,994) 21,600,799 1.15 10,000,000 Svenska Handelsbanken 0.570% 14-Jan-2016 CD 10,000,307 0.53 3,200,000 Market Tech Holdings Ltd 6,776,000 0.36 13,477,090 Sherborne Investors Guernsey B Ltd 14,824,799 0.79 United Kingdom - 180,003,084 (31 December 2014: 91,967,854) 180,003,084 9.59 Isle of Man - 4,799,198 50,000,000 Abbey National Treasury Services Plc (31 December 2014: –) 4,799,198 0.26 0.740% 06-May-2016 CD 50,014,204 2.66 577,000 Playtech Plc 4,799,198 0.26 20,000,000 Lloyds Bank Plc 1.050% 12-Aug-2016 CD 20,026,541 1.07 30,000,000 Mizuho Bank Ltd London Branch Spain - 47,072,336 0.000% 31-Mar-2016 CD 29,956,259 1.60 (31 December 2014: 8,740,052) 47,072,336 2.51 30,000,000 Nationwide Building Society 2,122,445 Grifols SA ADR 47,072,336 2.51 0.620% 13-Jan-2016 CD 30,001,358 1.60 10,000,000 Nationwide Building Society Switzerland - 15,795,574 0.620% 20-Jan-2016 CD 10,000,671 0.53 (31 December 2014: 13,106,480) 15,795,574 0.84 40,000,000 Standard Chartered Bank 337,338 Adecco SA 15,795,574 0.84 0.750% 15-Jan-2016 CD 40,004,051 2.13 United Kingdom - 94,987,371 Total investments in certifi cate of deposit 809,761,482 43.12 (31 December 2014: 54,371,214) 94,987,371 5.06 1,037,003 Applied Graphene Materials 1,856,235 0.10 Commercial paper 69,133 Applied Graphene Materials Rights 08-Jan-2016 1,728 0.00 2,522,000 B&M European Value Retail SA 7,158,697 0.38 France - 68,958,595 713,490 Crest Nicholson Holdings Plc 3,984,842 0.21 (31 December 2014: 74,910,081) 68,958,595 3.67 2,182,490 Dixons Carphone Plc 10,872,074 0.58 30,000,000 Agence centrale des organismes 9,364,372 Ibstock Plc 144A 21,041,744 1.12 de Securite sociale 0.000% 22-Jan-2016 CP 29,991,492 1.60 393,442 Ladbrokes Plc 475,868 0.02

62 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Equities contd. Equity swaps contd. United Kingdom contd. Germany - 2,917,949 1,235,031 Polypipe Group plc 4,297,908 0.23 (31 December 2014: 3,330,242) 2,917,949 0.15 15,000 Rathbone Brothers Plc 328,200 0.02 79,787 Continental AG 17-Oct-2016 186,208 0.01 6,296,000 Royal Bank of Scotland Group Plc 19,152,432 1.02 161,442 Deutsche Boerse AG 11-Jan-2017 687,532 0.03 164,000 Savills Plc 1,452,630 0.08 (96,000) Hannover Rueck SE 17-Oct-2016 192,292 0.01 833,367 Softcat Plc 2,834,489 0.15 296,000 HeidelbergCement AG 04-Nov-2016 1,668,824 0.09 1,883,474 SVG Capital Plc 9,253,508 0.49 315,768 Takkt AG 11-Jan-2017 102,128 0.01 125,000 Wolseley Plc 4,635,000 0.25 2,024,115 TUI AG 11-Jan-2017 80,965 0.00 2,468,750 Worldpay Group Plc 144A 7,642,016 0.41 Italy - 993,281 Total investments in equities 200,111,392 10.65 (31 December 2014: 1,028,332) 993,281 0.05 1,688,595 Cerved Information Solutions SpA 04-Nov-2016 990,222 0.05 Bonds 32,111 Snam SpA 04-Nov-2016 3,059 0.00 United Kingdom - 79,991,725 Luxembourg - 854,380 (31 December 2014: –) 79,991,725 4.26 (31 December 2014: –) 854,380 0.04 15,000,000 United Kingdom Gilt 2.000% 22-Jan-2016 15,012,750 0.80 109,708 Eurofi ns Scientifi c 17-Oct-2016 854,380 0.04 25,000,000 United Kingdom Treasury Bill 0.000% 11-Jan-2016 24,997,000 1.33 Netherlands - 488,542 15,000,000 United Kingdom Treasury Bill (31 December 2014: 2,399,157) 488,542 0.03 0.000% 25-Jan-2016 14,995,425 0.80 (406,500) Koninklijke DSM NV 04-Nov-2016 488,542 0.03 20,000,000 United Kingdom Treasury Bill 0.000% 08-Feb-2016 19,990,300 1.06 Spain - 2,348,354 5,000,000 United Kingdom Treasury Bill (31 December 2014: 1,780,879) 2,348,354 0.13 0.000% 29-Feb-2016 4,996,250 0.27 (698,406) Enagas SA 17-Oct-2016 951,020 0.06 (1,446,487) Grifols SA 04-Nov-2016 452,367 0.01 Total investments in bonds 79,991,725 4.26 (1,574,456) Mediaset Espana Comunicacion SA 17-Oct-2016 665,460 0.05 584,999 Repsol SA 16-Jan-2016 198,235 0.01 Equity index swaps 584,999 Repsol SA 24-Jun-2016 81,272 0.00 Europe - 169,333 (31 December 2014: –) 169,333 0.01 Sweden - 547,175 (6,101) Euro STOXX Personal & Household Goods 17-Oct-2016 162,477 0.01 (31 December 2014: 429,219) 547,175 0.03 1,490 STOXX 600- Index 11-Jan-2017 6,856 0.00 (295,758) Atlas Copco AB 04-Nov-2016 465,273 0.03 371,309 Skanska AB 04-Nov-2016 81,902 0.00 United Kingdom - 725,132 (31 December 2014: –) 725,132 0.04 Switzerland - 3,054,171 (8,077) FTSE 350 General Retail Index 17-Oct-2016 725,132 0.04 (31 December 2014: 277,763) 3,054,171 0.16 230,769 Credit Suisse Group AG 17-Oct-2016 102,372 0.00 Total investments in equity index swaps 894,465 0.05 (531,500) LafargeHolcim Ltd 04-Nov-2016 2,536,547 0.14 75,000 Zurich Insurance Group AG 24-Jun-2016 415,252 0.02 Equity swaps United Kingdom - 18,863,513 Austria - 2,329,251 (31 December 2014: 38,475,802) 18,863,513 1.00 (31 December 2014: 711,832) 2,329,251 0.12 430,000 AstraZeneca Plc 17-Oct-2016 518,150 0.03 810,588 Zumtobel Group AG 17-Oct-2016 2,329,251 0.12 273,930 Babcock International Group Plc 11-Jan-2017 104,093 0.01 1,680,000 Barratt Developments Plc 11-Jan-2017 243,600 0.01 Finland - 827,210 (704,800) Bodycote Plc 17-Oct-2016 25,231 0.00 (31 December 2014: 279,057) 827,210 0.04 860,000 BTG Plc 04-Nov-2016 1,274,950 0.07 (2,285,000) Stora Enso OYJ 04-Nov-2016 827,210 0.04 202,000 Carnival Plc 04-Nov-2016 831,609 0.04 France - 4,252,036 1,500,000 Cineworld Group Plc 11-Jan-2017 311,250 0.02 (31 December 2014: 3,846,000) 4,252,036 0.22 118,575 Close Brothers Group Plc 11-Jan-2017 16,008 0.00 (2,734,535) Cobham Plc 04-Nov-2016 314,405 0.02 585,000 Elior 11-Jan-2017 512,788 0.03 600,000 Compass Group Plc 11-Jan-2017 198,000 0.01 (178,537) Essilor International SA 17-Oct-2016 875,998 0.05 (1,514,311) Countrywide Plc 04-Nov-2016 160,243 0.01 93,282 Euler Hermes Group 17-Oct-2016 253,359 0.01 1,838,739 Crest Nicholson Holdings Plc 11-Jan-2017 468,878 0.02 (434,036) Klepierre 04-Nov-2016 397,525 0.02 (340,500) esure Group Plc 17-Oct-2016 22,193 0.00 (141,629) L’Oreal SA 17-Oct-2016 1,293,517 0.07 (1,791,300) G4S Plc 04-Nov-2016 474,694 0.03 277,936 Nexity SA 17-Oct-2016 100,575 0.00 3,153,464 GKN Plc 04-Nov-2016 480,903 0.03 72,000 Spie SA 04-Nov-2016 52,655 0.00 754,000 Greene King Plc 17-Oct-2016 581,061 0.03 218,621 Thales SA 04-Nov-2016 372,279 0.02 6,310,200 Hays Plc 04-Nov-2016 312,355 0.02 22,500 Unibail-Rodamco SE 04-Nov-2016 130,747 0.01 (318,200) IMI Plc 17-Oct-2016 56,569 0.00 515,980 Vivendi SA 17-Oct-2016 230,054 0.01 (724,414) IMI Plc 04-Nov-2016 99,796 0.00 252,958 Wendel SA 17-Oct-2016 32,539 0.00

63 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Equity swaps contd. Equity index swaps contd. United Kingdom contd. United States of America - (58,330) 718,209 Imperial Tobacco Group Plc 04-Nov-2016 581,415 0.03 (31 December 2014: –) (58,330) (0.00) (1,683,393) Intu Properties Plc 04-Nov-2016 274,340 0.01 (20,850) S&P 500 Pharmaceuticals Index 04-Nov-2016 (58,330) (0.00) (1,300,000) Investec Plc 04-Nov-2016 807,084 0.05 (915,218) J D Wetherspoon Plc 11-Jan-2017 80,082 0.00 Total investments in equity index swaps (8,014,071) (0.42) 1,400,000 J Sainsbury Plc 04-Nov-2016 33,386 0.00 1,522,381 Kier Group Plc 04-Nov-2016 855,739 0.05 Equity swaps 5,000,000 Lloyds Banking Group Plc 04-Nov-2016 2,695 0.00 Finland - (175,805) 316,967 London Stock Exchange Group 11-Jan-2017 320,137 0.02 (31 December 2014: (810,098)) (175,805) (0.01) 3,008,080 Melrose Industries Plc 11-Jan-2017 215,078 0.01 (270,249) Orion OYJ 11-Jan-2017 (175,805) (0.01) 909,000 Micro Focus International 11-Jan-2017 577,215 0.03 (1,860,000) National Grid Plc 17-Oct-2016 195,276 0.00 France - (4,468,014) 365,041 Persimmon Plc 04-Nov-2016 573,018 0.03 (31 December 2014: (2,059,582)) (4,468,014) (0.24) 817,000 Polypipe Group plc 04-Nov-2016 339,055 0.02 434,000 Cie Generale des Etablissements Michelin 85,000 Provident Financial Plc 17-Oct-2016 87,961 0.00 17-Oct-2016 (1,759,376) (0.09) 90,000 Randgold Resources Ltd 04-Nov-2016 63,982 0.00 (185,000) Klepierre 04-Nov-2016 (25,883) (0.00) (3,600,000) Rotork 04-Nov-2016 400,673 0.02 (46,652) LVMH Moet Hennessy Louis Vuitton SE 4,800,000 Saga 17-Oct-2016 14,880 0.00 24-Jun-2016 (107,163) (0.01) 468,000 Savills Plc 04-Nov-2016 51,751 0.00 1,115,770 Rexel SA 17-Oct-2016 (559,759) (0.03) 472,251 Schroders Plc 11-Jan-2017 285,712 0.02 746,691 Societe Television Francaise 1 11-Jan-2017 (134,472) (0.01) 740,000 Smith & Nephew Plc 17-Oct-2016 650,112 0.04 692,000 Spie SA 04-Nov-2016 (9,809) (0.00) (1,460,000) Smiths Group Plc 04-Nov-2016 1,032,950 0.06 54,863 Thales SA 04-Nov-2016 (41,946) (0.00) (85,681) SSE Plc 17-Oct-2016 20,063 0.00 150,939 Unibail-Rodamco SE 17-Oct-2016 (1,497,817) (0.08) 2,701,000 SSP Group Ltd 04-Nov-2016 468,623 0.03 1,372,573 Vivendi SA 17-Oct-2016 (328,465) (0.02) 629,000 St James’s Place Plc 11-Jan-2017 226,440 0.01 10,000 Wendel SA 17-Oct-2016 (3,324) (0.00) 1,600,000 Synthomer Plc 11-Jan-2017 53,600 0.00 (5,800,000) Tesco Plc 04-Nov-2016 1,231,038 0.07 Germany - (6,103,280) (251,023) Travis Perkins Plc 04-Nov-2016 79,709 0.00 (31 December 2014: (711,719)) (6,103,280) (0.32) 17,750,500 Vodafone Group Plc 04-Nov-2016 661,206 0.04 691,421 Aixtron SE 17-Oct-2016 (1,516,324) (0.08) (5,900,000) Wm Morrison Supermarkets Plc 04-Nov-2016 1,713,950 0.09 84,000 Bayer AG 17-Oct-2016 (566,512) (0.03) 1,260,000 Worldpay Group Plc 17-Oct-2016 213,345 0.01 244,848 Beiersdorf AG 17-Oct-2016 (843,198) (0.04) 439,000 WPP Plc 17-Oct-2016 259,010 0.01 541,675 Lanxess AG 04-Nov-2016 (2,941,438) (0.16) (406,076) RWE AG 17-Oct-2016 (235,808) (0.01) Total investments in equity swaps 37,475,862 1.99 Ireland - (1,490,084) Unrealised gain on forward foreign currency contracts - 18,822,216 (see below) (31 December 2014: (199,647)) (1,490,084) (0.07) (31 December 2014: 1,164,427) 18,822,216 1.00 25,150,000 Bank of Ireland 17-Oct-2016 (207,976) (0.01) 430,000 Shire Plc 04-Nov-2016 (73,100) (0.00) Total fi nancial assets 796,500 Smurfi t Kappa Group Plc 04-Nov-2016 (1,209,008) (0.06) at fair value through profi t or loss 1,869,384,940 99.49 Isle of Man - (179,284) Equity index swaps (31 December 2014: –) (179,284) (0.01) 468,715 Playtech Plc 04-Nov-2016 (179,284) (0.01) Europe - (1,853,265) (31 December 2014: (882,393)) (1,853,265) (0.10) Italy - (229,309) (46,008) Euro STOXX Personal & Household Goods (31 December 2014: (248,147)) (229,309) (0.01) 11-Jan-2017 (14,542) (0.00) (625,528) Eni SpA 11-Jan-2017 (20,691) (0.00) (48,940) STOXX 600- Auto & Parts Index 11-Jan-2017 (570,186) (0.03) 6,922,217 Snam SpA 04-Nov-2016 (208,618) (0.01) 58,514 STOXX 600- Index 17-Oct-2016 (588,395) (0.03) (116,625) STOXX 600- Industrial Goods & Service Luxembourg - (174,943) 11-Jan-2017 (395,199) (0.02) (31 December 2014: (273,106)) (174,943) (0.01) (73,003) STOXX 600- Insurance 11-Jan-2017 (284,943) (0.02) (421,236) Fiat Chrysler Automobiles NV 11-Jan-2017 (174,943) (0.01)

United Kingdom - (6,102,476) Netherlands - (841,810) (31 December 2014: (12,066,079)) (6,102,476) (0.32) (31 December 2014: (379,347)) (841,810) (0.04) (3,669) FTSE 250 Index 17-Oct-2016 (1,175,548) (0.06) 357,251 ASML Holding NV 17-Oct-2016 (586,914) (0.03) (4,333) FTSE 250 Index 04-Nov-2016 (1,060,762) (0.06) (194,814) Randstad Holding NV 24-Jun-2016 (254,896) (0.01) (4,729) FTSE 250 Index 11-Jan-2017 (1,661,629) (0.09) (2,395) FTSE 350 General Retail Index 17-Oct-2016 (58,127) (0.00) Portugal - (462,022) (1,235) FTSE 350 Travel & Leisure Index 17-Oct-2016 (785,645) (0.04) (31 December 2014: (1,902,018)) (462,022) (0.03) (21,690) Russell UK Mid 150 11-Jan-2017 (1,360,765) (0.07) (827,039) Galp Energia 24-Jun-2016 (462,022) (0.03)

64 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description GBP % Holdings Description GBP GBP %

Equity swaps contd. Open futures contracts - (4,545,226) Spain - (2,164,366) (31 December 2014: (2,552,612)) (31 December 2014: (3,380,932)) (2,164,366) (0.12) (802) CAC 40 10 Euro 1,440,744 Atresmedia Corporacion de Medios Short Futures Contracts de Comunicacion SA 17-Oct-2016 (1,403,221) (0.08) Exp Jan-2016 (27,436,213) (495,844) (0.03) (68,000) Grifols SA 04-Nov-2016 (38,181) (0.00) (61) DAX Index 226,362 Red Electrica Corp SA 17-Oct-2016 (722,964) (0.04) Short Futures Contracts Exp Mar-2016 (12,014,536) (393,670) (0.02) Sweden - (195,612) (1,119) FTSE 100 Index (31 December 2014: (60,981)) (195,612) (0.00) Short Futures Contracts (197,999) Atlas Copco AB 04-Nov-2016 (67,233) (0.00) Exp Mar-2016 (69,366,810) (2,457,786) (0.13) 285,747 Skanska AB 04-Nov-2016 (128,379) (0.00) (118) FTSE MIB Index Short Futures Contracts Switzerland - (291,650) Exp Mar-2016 (9,303,650) (211,574) (0.01) (31 December 2014: (1,790,806)) (291,650) (0.03) (115) MDAX Index (16,607) SGS SA 17-Oct-2016 (84,615) (0.01) Short Futures Contracts (107,300) Swiss Re AG 17-Oct-2016 (122,098) (0.01) Exp Mar-2016 (8,760,687) (190,788) (0.01) 862,250 UBS Group AG 17-Oct-2016 (84,937) (0.01) (1,432) Stoxx 50 Index Short Futures Contracts United Kingdom - (12,054,165) Exp Mar-2016 (34,430,790) (795,564) (0.04) (31 December 2014: (20,976,447)) (12,054,165) (0.64) 1,508,672 Ashtead Group Plc 11-Jan-2017 (37,717) (0.00) Total open futures contracts (4,545,226) (0.24) 1,544,004 B&M European Value Retail SA 04-Nov-2016 (738,027) (0.04) 903,658 BG Group Plc 17-Oct-2016 (236,891) (0.01) Unrealised loss on forward foreign currency contracts - (1,208,367) (see below) (37,900) Bodycote Plc 17-Oct-2016 (52) (0.00) (31 December 2014: (15,524,205)) (1,208,367) (0.06) 1,795,000 Booker Group Plc 04-Nov-2016 (48,465) (0.00) (1,043,479) Bunzl Plc 11-Jan-2017 (417,392) (0.02) Total fi nancial liabilities (4,798,051) Electrocomponents Plc 11-Jan-2017 (606,953) (0.03) at fair value through profi t or loss (42,598,008) (2.26) (400,000) Galliford Try Plc 04-Nov-2016 (272,000) (0.02) (1,300,000) Halma Plc 04-Nov-2016 (1,108,250) (0.06) Net current assets 51,180,162 2.73 (1,200,000) Hammerson Plc 11-Jan-2017 (24,521) (0.00) Total net assets 1,877,967,094 100.00 (2,200,578) Hargreaves Lansdown Plc 04-Nov-2016 (1,109,243) (0.06) 4,000,000 HSBC Holdings Plc 17-Oct-2016 (40,578) (0.00) The counterparties for equity index swaps are Barclays Bank, JPMorgan Chase and Bank of America Merrill Lynch. (217,386) IMI Plc 04-Nov-2016 (35,603) (0.00) The counterparties for equity swaps are Barclays Bank, JPMorgan Chase, Bank of America Merrill Lynch and 188,791 Imperial Tobacco Group Plc 04-Nov-2016 (46,602) (0.00) Morgan Stanley. (32,798) Intu Properties Plc 04-Nov-2016 (104,642) (0.01) The counterparty for futures contracts is Goldman Sachs. 1,780,867 Land Securities Group Plc 17-Oct-2016 (697,284) (0.04) 3,938,000 Lloyds Banking Group Plc 04-Nov-2016 (30,126) (0.00) Analysis of portfolio % of Total assets (6,925,275) Old Mutual Plc 11-Jan-2017 (927,987) (0.05) 1,352,336 Paragon Group of Cos Plc 04-Nov-2016 (875,638) (0.05) Transferable securities and money market instruments admitted 288,000 Provident Financial Plc 17-Oct-2016 (800,640) (0.04) to offi cial stock exchange listing or traded on a regulated market 43.05 200,287 Randgold Resources Ltd 04-Nov-2016 (316,770) (0.02) Transferable securities and money market instruments other than those 873,176 Rathbone Brothers Plc 04-Nov-2016 (864,444) (0.05) admitted to offi cial stock exchange listing or traded on a regulated market 50.54 (203,939) Rightmove Plc 04-Nov-2016 (548,596) (0.03) OTC fi nancial derivative instruments 2.95 (78,795,000) Rolls-Royce Holdings Plc 31-Dec-2049 (78,795) (0.00) Other current assets 3.46 (1,000,000) Rotork 04-Nov-2016 (20,569) (0.00) 2,210,000 Royal Bank of Scotland Group Plc 04-Nov-2016 (466,310) (0.03) Total assets 100.00 744,727 Savills Plc 04-Nov-2016 (57,980) (0.00) (181,385) Schroders Plc 11-Jan-2017 (252,125) (0.01) (970,000) Spectris Plc 04-Nov-2016 (808,217) (0.05) (178,142) Travis Perkins Plc 04-Nov-2016 (23,873) (0.00) 1,000,000 Vodafone Group Plc 04-Nov-2016 (25,555) (0.00) 386,000 Wolseley Plc 04-Nov-2016 (432,320) (0.02)

Total investments in equity swaps (28,830,344) (1.54)

65 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Equity Fund BNY Mellon Absolute Return Equity Fund Euro Sterling 8,400,000 6,083,438 09-Mar-16 Goldman Sachs 100,768 EUR R (Hedged) Share Class Sterling Euro 886,758 1,200,000 09-Mar-16 Royal Bank Sterling Euro 1,648,716 2,235,243 04-Jan-16 The Bank of of Canada 3,300 New York Mellon 5,675 Sterling Swiss franc 1,571,950 2,300,000 09-Mar-16 Royal Bank Sterling Euro 975,126 1,324,075 05-Jan-16 The Bank of of Canada 5,204 New York Mellon 1,829 Euro Sterling 1,650,162 1,209,578 15-Jan-16 The Bank of GBP 109,272 New York Mellon 3,691 Euro Sterling 2,642,658 1,914,011 15-Jan-16 The Bank of New York Mellon 28,978 US dollar Sterling 1,325,000 895,077 04-Jan-16 Royal Bank Euro Sterling 2,938,220 2,137,580 15-Jan-16 The Bank of of Canada (924) New York Mellon 22,721 Sterling Euro 51,895,465 71,600,000 09-Mar-16 UBS (817,532) Euro Sterling 827,274,108 601,031,185 15-Jan-16 The Bank of Sterling Euro 3,211,794 4,400,000 09-Mar-16 Goldman Sachs (27,552) New York Mellon 7,214,705 Sterling Euro 730,251 1,000,000 09-Mar-16 Royal Bank Euro Sterling 1,942,261 1,420,845 15-Jan-16 The Bank of of Canada (5,964) New York Mellon 7,187 Sterling Euro 1,058,980 1,450,000 09-Mar-16 Royal Bank Euro Sterling 1,713,003 1,255,662 15-Jan-16 The Bank of of Canada (8,532) New York Mellon 3,811 Euro Sterling 2,254,066 1,645,292 15-Jan-16 The Bank of Sterling Euro 4,058,246 5,600,000 09-Mar-16 Goldman Sachs (64,558) New York Mellon 11,991 Sterling Swiss franc 710,043 1,060,000 09-Mar-16 Royal Bank Euro Sterling 1,286,199 935,612 15-Jan-16 The Bank of of Canada (12,022) New York Mellon 10,055 Sterling Swiss franc 1,075,575 1,600,000 09-Mar-16 Royal Bank Euro Sterling 1,154,400 834,060 15-Jan-16 The Bank of of Canada (14,335) New York Mellon 14,701 Euro Sterling 2,433,566 1,765,289 15-Jan-16 The Bank of GBP (951,419) New York Mellon 23,968 Euro Sterling 2,101,578 1,530,613 15-Jan-16 The Bank of Net GBP (842,147) New York Mellon 14,555 Euro Sterling 1,563,501 1,135,997 15-Jan-16 The Bank of New York Mellon 13,554 BNY Mellon Absolute Return Equity Fund Sterling Euro 565,653 766,690 15-Jan-16 The Bank of CHF R (Hedged) Share Class New York Mellon 1,949 Swiss franc Sterling 34,643 23,383 15-Jan-16 The Bank of Sterling Euro 55,649 75,545 15-Jan-16 The Bank of New York Mellon 162 New York Mellon 105 Swiss franc Sterling 69,021 46,790 15-Jan-16 The Bank of Sterling Euro 1,670,133 2,249,644 15-Jan-16 The Bank of New York Mellon 120 New York Mellon 16,094 Swiss franc Sterling 6,540,882 4,388,625 15-Jan-16 The Bank of New York Mellon 56,836 GBP 7,395,569 Swiss franc Sterling 15,852 10,573 15-Jan-16 The Bank of New York Mellon 200 EUR 10,061,163

GBP 57,318 Euro Sterling 766,690 565,511 04-Jan-16 The Bank of New York Mellon (1,946) CHF 84,372 Euro Sterling 75,545 55,636 05-Jan-16 The Bank of New York Mellon (104) Sterling Swiss franc 19,394 28,609 15-Jan-16 The Bank of Euro Sterling 1,324,075 975,358 15-Jan-16 The Bank of New York Mellon (50) New York Mellon (1,840) Sterling Swiss franc 14,562 21,832 15-Jan-16 The Bank of Euro Sterling 2,795,988 2,075,738 15-Jan-16 The Bank of New York Mellon (276) New York Mellon (20,001) Euro Sterling 2,235,243 1,649,133 15-Jan-16 The Bank of New York Mellon (5,683) GBP (326) Sterling Euro 4,468,671 6,142,431 15-Jan-16 The Bank of New York Mellon (47,498) CHF (480) Sterling Euro 187,260 257,731 15-Jan-16 The Bank of New York Mellon (2,235) Net GBP 56,992 Sterling Euro 353,975 482,908 15-Jan-16 The Bank of New York Mellon (1,081) Net CHF 83,892 Sterling Euro 369,824 505,541 15-Jan-16 The Bank of New York Mellon (1,871) Sterling Euro 2,799,410 3,819,020 15-Jan-16 The Bank of New York Mellon (8,497) Sterling Euro 734,853 1,008,976 15-Jan-16 The Bank of New York Mellon (6,987) Sterling Euro 787,956 1,087,924 15-Jan-16 The Bank of New York Mellon (11,929) Sterling Euro 99,341 137,496 15-Jan-16 The Bank of New York Mellon (1,751) Sterling Euro 175,704 240,716 15-Jan-16 The Bank of New York Mellon (1,280)

66 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Equity Fund BNY Mellon Absolute Return Equity Fund EUR R (Hedged) Share Class contd. EUR T (Hedged) Share Class Sterling Euro 214,765 296,067 15-Jan-16 The Bank of Sterling Euro 3,679,476 4,988,443 04-Jan-16 The Bank of New York Mellon (2,916) New York Mellon 12,666 Sterling Euro 55,249 75,951 15-Jan-16 The Bank of Sterling Euro 238,965 324,479 05-Jan-16 The Bank of New York Mellon (595) New York Mellon 448 Euro Sterling 5,986,263 4,387,966 15-Jan-16 The Bank of GBP (116,214) New York Mellon 13,390 Euro Sterling 551,652 399,548 15-Jan-16 The Bank of EUR (158,101) New York Mellon 6,049 Euro Sterling 1,970,881 1,433,832 15-Jan-16 The Bank of New York Mellon 15,241 Net GBP 7,279,355 Euro Sterling 817,591,166 593,996,334 15-Jan-16 The Bank of New York Mellon 7,130,260 Net EUR 9,903,062 Euro Sterling 26,018,046 19,033,283 15-Jan-16 The Bank of New York Mellon 96,285 Euro Sterling 27,221,572 19,953,899 15-Jan-16 The Bank of BNY Mellon Absolute Return Equity Fund New York Mellon 60,562 EUR R (Inc) (Hedged) Share Class Euro Sterling 7,194,726 5,251,589 15-Jan-16 The Bank of New York Mellon 38,275 Sterling Euro 14,752 20,000 04-Jan-16 The Bank of Euro Sterling 678,498 493,556 15-Jan-16 The Bank of New York Mellon 51 New York Mellon 5,304 Euro Sterling 30,000 21,990 15-Jan-16 The Bank of Euro Sterling 302,858 218,816 15-Jan-16 The Bank of New York Mellon 67 New York Mellon 3,857 Euro Sterling 29,965 21,920 15-Jan-16 The Bank of Euro Sterling 960,471 696,718 15-Jan-16 The Bank of New York Mellon 111 New York Mellon 9,460 Euro Sterling 25,000 18,325 15-Jan-16 The Bank of Euro Sterling 15,950,854 11,617,259 15-Jan-16 The Bank of New York Mellon 56 New York Mellon 110,470 Euro Sterling 28,736 20,878 15-Jan-16 The Bank of Euro Sterling 4,200,362 3,051,866 15-Jan-16 The Bank of New York Mellon 249 New York Mellon 36,413 Euro Sterling 12,732,497 9,250,414 15-Jan-16 The Bank of Sterling Euro 259,235 351,369 15-Jan-16 The Bank of New York Mellon 111,041 New York Mellon 893 Euro Sterling 1,000 727 15-Jan-16 The Bank of Sterling Euro 195,039 264,771 15-Jan-16 The Bank of New York Mellon 8 New York Mellon 368 Euro Sterling 20,175 14,612 15-Jan-16 The Bank of Sterling Euro 1,443,355 1,944,178 15-Jan-16 The Bank of New York Mellon 221 New York Mellon 13,907 Sterling Euro 32,419 43,941 15-Jan-16 The Bank of New York Mellon 111 GBP 7,553,848

GBP 111,915 EUR 10,276,491 EUR 152,253 Euro Sterling 351,369 259,169 04-Jan-16 The Bank of New York Mellon (892) Euro Sterling 43,941 32,411 04-Jan-16 The Bank of Euro Sterling 264,771 194,993 05-Jan-16 The Bank of New York Mellon (112) New York Mellon (366) Euro Sterling 49,960 37,090 15-Jan-16 The Bank of Euro Sterling 324,479 239,022 15-Jan-16 The Bank of New York Mellon (357) New York Mellon (451) Euro Sterling 20,000 14,756 15-Jan-16 The Bank of Euro Sterling 4,829,701 3,585,563 15-Jan-16 The Bank of New York Mellon (51) New York Mellon (34,549) Euro Sterling 4,988,443 3,680,406 15-Jan-16 The Bank of GBP (520) New York Mellon (12,684) Sterling Euro 320,893 441,084 15-Jan-16 The Bank of EUR (707) New York Mellon (3,411) Sterling Euro 834,932 1,149,138 15-Jan-16 The Bank of Net GBP 111,395 New York Mellon (9,962) Sterling Euro 758,638 1,034,952 15-Jan-16 The Bank of New York Mellon (2,303) Net EUR 151,546 Sterling Euro 316,606 431,928 15-Jan-16 The Bank of New York Mellon (966) Sterling Euro 2,165,495 2,960,181 15-Jan-16 The Bank of New York Mellon (10,955) Sterling Euro 1,210,166 1,661,595 15-Jan-16 The Bank of New York Mellon (11,507) Sterling Euro 597,334 824,733 15-Jan-16 The Bank of New York Mellon (9,043) Sterling Euro 170,156 235,509 15-Jan-16 The Bank of New York Mellon (2,999) Sterling Euro 2,775,380 3,802,297 15-Jan-16 The Bank of New York Mellon (20,228)

67 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Equity Fund BNY Mellon Absolute Return Equity Fund EUR T (Hedged) Share Class contd. EUR U (Hedged) Share Class contd. Sterling Euro 929,199 1,280,962 15-Jan-16 The Bank of Sterling Euro 4,970 6,780 15-Jan-16 The Bank of New York Mellon (12,616) New York Mellon (15) Sterling Euro 77,921 107,119 15-Jan-16 The Bank of Sterling Euro 12,523 17,119 15-Jan-16 The Bank of New York Mellon (838) New York Mellon (63) Sterling Euro 4,442 6,134 15-Jan-16 The Bank of GBP (133,770) New York Mellon (67) Sterling Euro 4,356 6,029 15-Jan-16 The Bank of EUR (181,985) New York Mellon (76) Sterling Euro 5,946 8,146 15-Jan-16 The Bank of New York Mellon (43) Net GBP 7,420,078 Sterling Euro 14,829 20,410 15-Jan-16 The Bank of New York Mellon (177) Net EUR 10,094,506 Sterling Euro 12,849 17,714 15-Jan-16 The Bank of New York Mellon (175)

BNY Mellon Absolute Return Equity Fund GBP (2,335) EUR U (Hedged) Share Class Sterling Euro 7,259 9,841 04-Jan-16 The Bank of EUR (3,177) New York Mellon 25 Sterling Euro 49,165 66,759 05-Jan-16 The Bank of Net GBP 1,999,368 New York Mellon 92 Euro Sterling 183 134 15-Jan-16 The Bank of Net EUR 2,720,002 New York Mellon – Euro Sterling 36,659 26,551 15-Jan-16 The Bank of New York Mellon 402 Euro Sterling 747,689 548,070 15-Jan-16 The Bank of BNY Mellon Absolute Return Equity Fund New York Mellon 1,663 USD R (Hedged) Share Class Euro Sterling 48,714 35,440 15-Jan-16 The Bank of Sterling US dollar 108,248 160,063 04-Jan-16 The Bank of New York Mellon 376 New York Mellon 233 Euro Sterling 252,925 185,025 15-Jan-16 The Bank of Sterling US dollar 11,836 17,502 15-Jan-16 The Bank of New York Mellon 937 New York Mellon 26 Euro Sterling 40,672 29,551 15-Jan-16 The Bank of Sterling US dollar 8 12 15-Jan-16 The Bank of New York Mellon 353 New York Mellon – Euro Sterling 228,897,929 166,298,923 15-Jan-16 The Bank of Sterling US dollar 40,079 59,327 15-Jan-16 The Bank of New York Mellon 1,996,232 New York Mellon 44 Euro Sterling 13,975 10,201 15-Jan-16 The Bank of US dollar Sterling 977,219 656,875 15-Jan-16 The Bank of New York Mellon 74 New York Mellon 2,564 Euro Sterling 61,662 44,551 15-Jan-16 The Bank of US dollar Sterling 900,000 604,420 15-Jan-16 The Bank of New York Mellon 785 New York Mellon 2,910 Euro Sterling 60,793 44,276 15-Jan-16 The Bank of US dollar Sterling 950,000 639,412 15-Jan-16 The Bank of New York Mellon 421 New York Mellon 1,659 Euro Sterling 22,292 16,170 15-Jan-16 The Bank of US dollar Sterling 145,127 97,916 15-Jan-16 The Bank of New York Mellon 220 New York Mellon 17 Sterling Euro 9,852 13,270 15-Jan-16 The Bank of US dollar Sterling 71,505 47,871 15-Jan-16 The Bank of New York Mellon 95 New York Mellon 381 Sterling Euro 15,030 20,404 15-Jan-16 The Bank of US dollar Sterling 900,000 598,418 15-Jan-16 The Bank of New York Mellon 29 New York Mellon 8,912 US dollar Sterling 982,444 645,423 15-Jan-16 The Bank of GBP 2,001,704 New York Mellon 17,542 US dollar Sterling 900,000 592,408 15-Jan-16 The Bank of EUR 2,723,179 New York Mellon 14,923 US dollar Sterling 952,500 629,097 15-Jan-16 The Bank of New York Mellon 13,661 Euro Sterling 20,404 15,027 05-Jan-16 The Bank of US dollar Sterling 936,479 629,070 15-Jan-16 The Bank of New York Mellon (28) New York Mellon 2,876 Euro Sterling 66,759 49,177 15-Jan-16 The Bank of US dollar Sterling 36,779,169 24,262,554 15-Jan-16 The Bank of New York Mellon (93) New York Mellon 556,453 Euro Sterling 192,485 142,901 15-Jan-16 The Bank of New York Mellon (1,377) GBP 622,201 Euro Sterling 9,841 7,261 15-Jan-16 The Bank of New York Mellon (25) USD 922,008 Sterling Euro 9,569 13,153 15-Jan-16 The Bank of New York Mellon (101) Sterling Euro 5,849 8,030 15-Jan-16 The Bank of New York Mellon (56) Sterling Euro 12,771 17,422 15-Jan-16 The Bank of New York Mellon (39)

68 BNY MELLON ABSOLUTE RETURN EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Absolute Return Equity Fund USD R (Hedged) Share Class contd. US dollar Sterling 17,502 11,836 04-Jan-16 The Bank of New York Mellon (26) Sterling US dollar 97,919 145,127 05-Jan-16 The Bank of New York Mellon (17) Sterling US dollar 734,220 1,092,284 15-Jan-16 The Bank of New York Mellon (2,865) US dollar Sterling 160,063 108,246 15-Jan-16 The Bank of New York Mellon (234) US dollar Sterling 800,000 540,446 15-Jan-16 The Bank of New York Mellon (597)

GBP (3,739)

USD (5,540)

Net GBP 618,462

Net USD 916,468

BNY Mellon Absolute Return Equity Fund USD T (Hedged) Share Class US dollar Sterling 34,365 23,100 15-Jan-16 The Bank of New York Mellon 90 US dollar Sterling 1,052,425 709,881 15-Jan-16 The Bank of New York Mellon 309 US dollar Sterling 732,422 491,997 15-Jan-16 The Bank of New York Mellon 2,250 US dollar Sterling 31,405,749 20,717,806 15-Jan-16 The Bank of New York Mellon 475,157 US dollar Sterling 127,128 83,518 15-Jan-16 The Bank of New York Mellon 2,269

GBP 480,075

USD 711,398

Sterling US dollar 10,565 15,718 15-Jan-16 The Bank of New York Mellon (44)

GBP (44)

USD (61)

Net GBP 480,030

Net USD 711,337

BNY Mellon Absolute Return Equity Fund USD U (Hedged) Share Class US dollar Sterling 32,407,479 21,378,629 15-Jan-16 The Bank of New York Mellon 490,314

GBP 490,314

USD 726,570

69 BNY MELLON ASIAN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. China - 13,761,317 Hong Kong contd. (31 December 2014: 79,674) 13,761,317 33.60 400,000 Hutchison Whampoa International 12 Ltd 300,000 Agile Property Holdings Ltd 9.875% 20-Mar-2017 315,000 0.77 6.000% Perpetual VAR 419,162 1.02 500,000 Alibaba Group Holding Ltd 3.600% 28-Nov-2024 479,421 1.17 500,000 Hutchison Whampoa International 14 Ltd 550,000 Azure Orbit II International Finance Ltd 3.625% 31-Oct-2024 497,041 1.21 3.375% 25-Apr-2019 558,126 1.36 700,000 King Power Capital Ltd 3.875% 03-Nov-2019 710,469 1.73 500,000 Baidu Inc 3.000% 30-Jun-2020 494,908 1.21 300,000 SmarTone Finance Ltd 3.875% 08-Apr-2023 285,178 0.70 500,000 Beijing State-Owned Assets Management Hong Kong 700,000 Swire Properties MTN Financing Ltd 3.000% 26-May-2020 489,789 1.20 4.375% 18-Jun-2022 745,554 1.82 300,000 BOC Aviation Pte Ltd 3.000% 30-Mar-2020 296,058 0.72 300,000 Wharf Finance Ltd 3.500% 23-Jan-2019 305,385 0.75 300,000 CCBL Cayman Corp Ltd 3.250% 28-Jul-2020 297,506 0.73 750,000 China Construction Bank Corp India - 2,472,404 3.875% 13-May-2025 VAR 741,758 1.81 (31 December 2014: 1,573,840) 2,472,404 6.03 700,000 China Overseas Finance Cayman V Ltd 500,000 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 421,750 1.03 3.950% 15-Nov-2022 695,983 1.70 250,000 Bharat Petroleum Corp Ltd 4.000% 08-May-2025 243,457 0.59 500,000 China Resources Gas Group Ltd 500,000 Bharti Airtel International Netherlands BV 4.500% 05-Apr-2022 518,300 1.27 5.125% 11-Mar-2023 518,154 1.26 200,000 China Resources Land Ltd 6.000% 27-Feb-2024 223,262 0.54 400,000 Export-Import Bank of India 2.750% 12-Aug-2020 394,153 0.96 200,000 CIFI Holdings Group Co Ltd 8.875% 27-Jan-2019 212,500 0.52 200,000 Oil India Ltd 3.875% 17-Apr-2019 204,920 0.50 400,000 CITIC Ltd 6.375% 10-Apr-2020 445,748 1.09 400,000 Reliance Industries Ltd 4.125% 28-Jan-2025 391,990 0.96 1,300,000 CNOOC Nexen Finance 2014 ULC 400,000 Vedanta Resources Plc 9.500% 18-Jul-2018 297,980 0.73 4.250% 30-Apr-2024 1,314,546 3.21 500,000 CNPC General Capital Ltd 2.700% 25-Nov-2019 499,026 1.22 Indonesia - 3,994,448 500,000 Country Garden Holdings Co Ltd (31 December 2014: 1,958,000) 3,994,448 9.75 7.500% 09-Mar-2020 532,960 1.30 200,000 Indo Energy Finance II BV 6.375% 24-Jan-2023 83,000 0.20 200,000 CRCC Yupeng Ltd 3.950% Perpetual VAR 203,182 0.50 900,000 Indonesia Government International Bond 200,000 Dianjian Haixing Ltd 4.050% Perpetual VAR 202,682 0.49 4.125% 15-Jan-2025 864,890 2.11 250,000 Huarong Finance Co Ltd 4.000% 17-Jul-2019 254,502 0.62 200,000 Indonesia Government International Bond 500,000 Huarong Finance II Co Ltd 3.750% 19-Nov-2020 496,131 1.21 4.750% 08-Jan-2026 197,902 0.48 750,000 ICBCIL Finance Co Ltd 2.625% 19-Mar-2018 747,762 1.82 300,000 Indonesia Government International Bond 300,000 Longfor Properties Co Ltd 6.750% 29-Jan-2023 309,673 0.75 5.950% 08-Jan-2046 297,375 0.73 300,000 Shimao Property Holdings Ltd 550,000 Indonesia Government International Bond 8.375% 10-Feb-2022 322,745 0.79 8.500% 12-Oct-2035 686,288 1.67 400,000 Sinochem Overseas Capital Co Ltd 700,000 Majapahit Holding BV 7.750% 20-Jan-2020 784,910 1.92 4.500% 12-Nov-2020 419,502 1.02 300,000 Pelabuhan Indonesia II PT 5.375% 05-May-2045 240,375 0.59 200,000 Sino-Ocean Land Treasure Finance II Ltd 300,000 Pertamina Persero PT 6.450% 30-May-2044 262,116 0.64 4.450% 04-Feb-2020 201,832 0.49 200,000 Perusahaan Gas Negara Persero Tbk 200,000 Sinopec Group Overseas Development 2012 Ltd 5.125% 16-May-2024 192,299 0.47 4.875% 17-May-2042 205,777 0.50 200,000 TBG Global Pte Ltd 5.250% 10-Feb-2022 186,354 0.45 500,000 Sinopec Group Overseas Development 2015 Ltd 200,000 Theta Capital Pte Ltd 7.000% 16-May-2019 198,939 0.49 4.100% 28-Apr-2045 452,890 1.11 Macau - 182,760 300,000 State Grid Overseas Investment 2014 Ltd (31 December 2014: –) 182,760 0.45 4.850% 07-May-2044 322,242 0.79 200,000 MCE Finance Ltd 5.000% 15-Feb-2021 182,760 0.45 200,000 Talent Yield Investments Ltd 4.500% 25-Apr-2022 207,656 0.51 Malaysia - 1,854,099 700,000 Tencent Holdings Ltd 3.800% 11-Feb-2025 687,416 1.68 (31 December 2014: 1,864,299) 1,854,099 4.53 300,000 Yuzhou Properties Co Ltd 8.750% 04-Oct-2018 314,681 0.77 300,000 Axiata SPV2 Bhd 3.466% 19-Nov-2020 299,523 0.73 300,000 Zhejiang Energy Group Hong Kong Ltd 300,000 Malayan Banking Bhd 3.250% 20-Sep-2022 VAR 299,875 0.73 2.300% 30-Sep-2017 297,753 0.73 200,000 Petronas Capital Ltd 3.500% 18-Mar-2025 192,621 0.47 850,000 Petronas Capital Ltd 7.875% 22-May-2022 1,062,080 2.60 Hong Kong - 4,897,523 (31 December 2014: 1,767,310) 4,897,523 11.95 Philippines - 2,801,341 300,000 AIA Group Ltd 1.750% 13-Mar-2018 297,097 0.72 (31 December 2014: 1,655,375) 2,801,341 6.84 400,000 Bank of China Hong Kong Ltd 5.550% 11-Feb-2020 435,184 1.06 200,000 Development Bank of the Philippines 500,000 China Cinda Finance 2014 Ltd 5.500% 25-Mar-2021 221,918 0.54 4.000% 14-May-2019 507,833 1.24 300,000 Philippine Government International Bond 400,000 CLP Power Hong Kong Financing Ltd 4.000% 15-Jan-2021 325,384 0.79 3.375% 26-Oct-2027 383,035 0.94 750,000 Philippine Government International Bond 300,000 FWD Ltd 5.000% 24-Sep-2024 311,585 0.76 4.200% 21-Jan-2024 814,265 1.99

70 BNY MELLON ASIAN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description USD % Holdings Description USD USD %

Bonds contd. Open futures contracts - 10,154 Philippines contd. (31 December 2014: 6,937) 700,000 Philippine Government International Bond (12) U.S. 10 Year Treasury Note 7.750% 14-Jan-2031 986,104 2.41 Short Futures Contracts 350,000 Power Sector Assets & Liabilities Management Corp Exp Mar-2016 (1,507,312) 9,632 0.02 7.390% 02-Dec-2024 453,670 1.11 (1) U.S. 5 Year Treasury Note Short Futures Contracts Republic of Korea - 4,094,755 Exp Mar-2016 (118,180) 522 0.00 (31 December 2014: 3,628,579) 4,094,755 10.00 400,000 Export-Import Bank of Korea 4.000% 14-Jan-2024 423,560 1.03 Total open futures contracts 10,154 0.02 300,000 GS Caltex Corp 3.000% 18-Jun-2019 298,782 0.73 Total fi nancial assets 300,000 KEB Hana Bank 4.250% 14-Oct-2024 305,209 0.75 at fair value through profi t or loss 38,698,210 94.47 500,000 Korea Gas Corp 3.500% 21-Jul-2025 512,877 1.25 450,000 Korea Hydro & Nuclear Power Co Ltd Unrealised loss on forward foreign currency contracts - (8,390) (see below) 2.875% 02-Oct-2018 456,439 1.11 (31 December 2014: (11,358)) (8,390) (0.02) 250,000 Korea Water Resources Corp 2.000% 16-Apr-2018 248,348 0.61 300,000 Korean Reinsurance Co 4.500% 21-Oct-2044 VAR 305,625 0.75 Total fi nancial liabilities 750,000 Minera y Metalurgica del Boleo SA de CV at fair value through profi t or loss (8,390) (0.02) 2.875% 07-May-2019 756,853 1.85 500,000 Shinhan Bank 2.250% 15-Apr-2020 492,352 1.20 Net current assets 2,271,050 5.55 300,000 Shinsegae Co Ltd 2.625% 08-May-2045 VAR 294,710 0.72 Total net assets 40,960,870 100 Singapore - 1,715,567 (31 December 2014: 2,129,143) 1,715,567 4.19 * Part of the holding is held as collateral by JPMorgan Chase in respect of futures contracts held by the Fund. 900,000 Oversea-Chinese Banking Corp Ltd The counterparty for future contracts is JPMorgan Chase. 3.150% 11-Mar-2023 VAR 905,098 2.21 800,000 United Overseas Bank Ltd Analysis of portfolio % of Total assets 3.750% 19-Sep-2024 VAR 810,469 1.98 Transferable securities and money market instruments admitted Sri Lanka - 533,466 to offi cial stock exchange listing or traded on a regulated market 94.27 (31 December 2014: 313,875) 533,466 1.30 Financial derivative instruments dealt in on a regulated market 0.02 302,000 Sri Lanka Government International Bond Other current assets 5.71 6.000% 14-Jan-2019 297,034 0.72 250,000 Sri Lanka Government International Bond Total assets 100.00 6.850% 03-Nov-2025 236,432 0.58

Thailand - 1,072,398 Forward foreign currency contracts (31 December 2014: 451,485) 1,072,398 2.62 Settle 500,000 Bangkok Bank PCL/Hong Kong Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) 3.300% 03-Oct-2018 510,073 1.25 550,000 Krung Thai Bank PCL/Cayman Islands 5.200% 26-Dec-2024 VAR 562,325 1.37 BNY Mellon Asian Bond Fund EUR H (Acc) (Hedged) Share Class United States of America - 894,464 Euro US dollar 384,209 422,809 15-Jan-16 The Bank of (31 December 2014: 2,196,320) 894,464 2.18 New York Mellon (4,192) 100,000 United States Treasury Bill 0.000% 14-Jan-2016* 99,999 0.24 700,000 United States Treasury Note/Bond USD (4,192) 1.625% 30-Nov-2020 694,942 1.70 EUR (3,849) 100,000 United States Treasury Note/Bond 2.250% 15-Nov-2025 99,523 0.24 BNY Mellon Asian Bond Fund Vietnam - 413,514 EUR H (Inc) (Hedged) Share Class (31 December 2014: 543,059) 413,514 1.01 Euro US dollar 76,302 83,967 15-Jan-16 The Bank of 200,000 Vietnam Government International Bond New York Mellon (833) 4.800% 19-Nov-2024 193,326 0.47 200,000 Vietnam Government International Bond USD (833) 6.750% 29-Jan-2020 220,188 0.54 EUR (765) Total investments in bonds 38,688,056 94.45

71 BNY MELLON ASIAN BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Asian Bond Fund EUR I (Acc) (Hedged) Share Class Euro US dollar 77,122 84,870 15-Jan-16 The Bank of New York Mellon (841)

USD (841)

EUR (772)

BNY Mellon Asian Bond Fund EUR I (Inc) (Hedged) Share Class Euro US dollar 76,755 84,466 15-Jan-16 The Bank of New York Mellon (837)

USD (837)

EUR (768)

BNY Mellon Asian Bond Fund EUR W (Acc) (Hedged) Share Class Euro US dollar 77,493 85,279 15-Jan-16 The Bank of New York Mellon (846)

USD (846)

EUR (777)

BNY Mellon Asian Bond Fund EUR W (Inc) (Hedged) Share Class Euro US dollar 77,074 84,817 15-Jan-16 The Bank of New York Mellon (841)

USD (841)

EUR (772)

72 BNY MELLON ASIAN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities Equities contd. Australia - 14,630,841 South Korea - 3,591,395 (31 December 2014: 25,115,373) 14,630,841 15.82 (31 December 2014: 4,147,979) 3,591,395 3.88 49,000 Domino’s Pizza Enterprises Ltd 2,071,801 2.24 2,540 Samsung Electronics Co Ltd 2,730,519 2.95 880,000 Incitec Pivot Ltd 2,554,521 2.76 32,800 SK Hynix Inc 860,876 0.93 247,000 Insurance Australia Group Ltd 1,003,269 1.08 1,090,000 Mesoblast Ltd 1,478,450 1.60 Taiwan - 5,495,296 407,000 MYOB Group Ltd 973,147 1.05 (31 December 2014: 8,802,882) 5,495,296 5.94 574,000 Oil Search Ltd 2,809,951 3.04 69,000 Catcher Technology Co Ltd 580,304 0.63 1,052,000 Orora Ltd 1,738,443 1.88 1,127,000 Taiwan Semiconductor Manufacturing Co Ltd 4,914,992 5.31 287,300 Santos Ltd 772,022 0.84 1,553,000 Spotless Group Holdings Ltd 1,229,237 1.33 Thailand - 3,705,155 (31 December 2014: 11,705,389) 3,705,155 4.00 China - 15,002,998 2,900,000 Bangkok Dusit Medical Services PCL 1,793,108 1.94 (31 December 2014: 6,458,898) 15,002,998 16.21 1,320,000 Intouch Holdings PCL 1,912,047 2.06 683,500 3SBio Inc 144A 960,310 1.04 35,000 Alibaba Group Holding Ltd ADR 2,859,675 3.09 United States of America - 1,513,002 20,100 Baidu Inc ADR 3,861,914 4.17 (31 December 2014: 1,318,680) 1,513,002 1.64 10,000,000 Boshiwa International Holding Ltd* - - 20,500 Yum! Brands Inc 1,513,002 1.64 7,830 China Biologic Products Inc 1,103,717 1.19 Total investments in equities 90,602,594 97.94 162,500 China Mobile Ltd 1,833,929 1.98 13,700 Ctrip.com International Ltd ADR 645,202 0.70 Total fi nancial assets 190,000 Tencent Holdings Ltd 3,738,251 4.04 at fair value through profi t or loss 90,602,594 97.94

Hong Kong - 12,314,945 Unrealised loss on forward foreign currency contracts - (28) (see below) (31 December 2014: 29,095,457) 12,314,945 13.32 (31 December 2014: (9)) (28) (0.00) 780,000 AIA Group Ltd 4,697,037 5.08 275,000 Hengan International Group Co Ltd 2,597,988 2.81 Total fi nancial liabilities 1,065,600 Man Wah Holdings Ltd 1,254,504 1.36 at fair value through profi t or loss (28) (0.00) 964,000 Sands China Ltd 3,292,745 3.56 404,600 Wynn Macau Ltd 472,671 0.51 Net current assets 1,907,084 2.06

India - 13,967,628 Total net assets 92,509,650 100.00 (31 December 2014: 20,374,208) 13,967,628 15.10 249,000 Apollo Hospitals Enterprise Ltd 5,510,134 5.96 * The Company is subject to trading suspension on the Hong Kong Stock Exchange. 196,000 Axis Bank Ltd 1,332,096 1.44 900,000 Fortis Healthcare Ltd 2,452,149 2.65 Analysis of portfolio % of Total assets 645,000 ITC Ltd 3,205,927 3.46 21,000 Maruti Suzuki India Ltd 1,467,322 1.59 Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 97.69 Indonesia - 2,505,670 Other current assets 2.31 (31 December 2014: 5,347,734) 2,505,670 2.71 1,680,000 Indofood CBP Sukses Makmur Tbk PT 1,640,696 1.77 Total assets 100.00 677,000 Matahari Department Store Tbk PT 864,974 0.94

Malaysia - 3,356,236 (31 December 2014: 4,845,984) 3,356,236 3.63 Forward foreign currency contracts 2,200,000 IHH Healthcare Bhd 3,356,236 3.63 Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) New Zealand - 1,295,604 (31 December 2014: 3,971,906) 1,295,604 1.40 BNY Mellon Asian Equity Fund 575,000 Spark New Zealand Ltd 1,295,604 1.40 Euro US dollar 8,709 9,515 04-Jan-16 Barclays Bank plc (28)

Philippines - 13,223,824 USD (28) (31 December 2014: 20,770,175) 13,223,824 14.29 16,200,000 Energy Development Corp 2,132,802 2.30 3,910,000 First Gen Corp 1,875,853 2.03 137,000 GT Capital Holdings Inc 3,863,543 4.18 645,000 Robinsons Retail Holdings Inc 866,305 0.94 176,000 Security Bank Corp 530,375 0.57 1,000,000 Universal Robina Corp 3,954,946 4.27

73 BNY MELLON ASIAN INCOME FUND

Portfolio of investments – as at 31 December 2015

Fair Total value net assets Holdings Description GBP %

Collective investment schemes United Kingdom - 20,866,698 (31 December 2014: 19,859,164) 20,866,698 99.35 12,056,797 BNY Mellon Investments Funds - Newton Asian Income Fund 20,866,698 99.35

Total investments in collective investment schemes 20,866,698 99.35

Total fi nancial assets at fair value through profi t or loss 20,866,698 99.35

Net current assets 135,561 0.65

Total net assets 21,002,259 100.00

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 99.17 Other current assets 0.83

Total assets 100.00

74 BNY MELLON BRAZIL EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities Equities contd. Basic Materials - 11,164,741 Utilities contd. (31 December 2014: 20,601,758) 11,164,741 19.63 854,207 EDP - Energias do Brasil SA 2,612,551 4.59 195,849 Fibria Celulose SA 2,563,054 4.51 204,370 Tractebel Energia SA 1,746,024 3.07 82,000 Fibria Celulose SA ADR 1,040,170 1.83 250 Gerdau SA ADR 299 0.00 Total investments in equities 52,594,983 92.46 574,186 Gerdau SA Pfd 679,952 1.19 3,424,594 Metalurgica Gerdau SA Pfd 1,432,595 2.52 Unrealised gain on forward foreign currency contracts - 33 (see below) 1,154,596 Suzano Papel e Celulose SA Pfd 5,448,671 9.58 (31 December 2014: 17) 33 0.00

Communications - 2,138,066 Total fi nancial assets (31 December 2014: 5,293,913) 2,138,066 3.76 at fair value through profi t or loss 52,595,016 92.46 203,640 Telefonica Brasil SA ADR 1,837,851 3.23 33,185 Telefonica Brasil SA Pfd 300,206 0.53 Unrealised loss on forward foreign currency contracts - (324) (see below) 1 Tim Participacoes SA ADR 9 0.00 (31 December 2014: (218)) (324) (0.00)

Consumer, Cyclical - 2,235,686 Total fi nancial liabilities (31 December 2014: 6,231,484) 2,235,686 3.93 at fair value through profi t or loss (324) (0.00) 291,632 Lojas Americanas SA 911,477 1.60 270,395 Lojas Americanas SA Pfd 1,324,209 2.33 Net current assets 4,293,451 7.54

Consumer, Non-cyclical - 3,638,825 Total net assets 56,888,143 100.00 (31 December 2014: 13,916,196) 3,638,825 6.40 422,374 Aliansce Shopping Centers SA 1,169,569 2.06 1,537,214 Marfrig Global Foods SA 2,469,256 4.34 Analysis of portfolio % of Total assets

Energy - 3,613,163 Transferable securities and money market instruments admitted (31 December 2014: 11,391,877) 3,613,163 6.35 to offi cial stock exchange listing or traded on a regulated market 91.39 103,464 Cosan SA Industria e Comercio 653,278 1.15 OTC fi nancial derivative instruments 0.00 215,670 Petroleo Brasileiro SA ADR 732,199 1.29 Other current assets 8.61 268,985 Petroleo Brasileiro SA Pfd 455,872 0.80 22,413 Ultrapar Participacoes SA 342,519 0.60 Total assets 100.00 93,755 Ultrapar Participacoes SA ADR 1,429,295 2.51

Financials - 15,461,186 Forward foreign currency contracts (31 December 2014: 30,044,992) 15,461,186 27.18 Settle Unrealised 390,588 Banco Bradesco SA ADR 1,876,775 3.30 Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) 420,573 Banco Bradesco SA Pfd 2,052,768 3.61 14,045 Banco Bradesco SA Rights 06-Feb-2016 7,455 0.01 BNY Mellon Brazil Equity Fund 238,398 Banco do Brasil SA 888,513 1.56 EUR H (Hedged) Share Class 604,550 Banco do Estado do Rio Grande do Sul SA Pfd 890,876 1.57 US dollar Euro 443 406 15-Jan-16 The Bank of 784,178 BM&FBovespa SA - Bolsa de Valores New York Mellon 2 Mercadorias e Futuros 2,165,471 3.81 US dollar Euro 580 529 15-Jan-16 The Bank of 180,956 CETIP SA - Mercados Organizados 1,706,075 3.00 New York Mellon 5 295,012 Itau Unibanco Holding SA Pfd 1,964,510 3.45 US dollar Euro 585 535 15-Jan-16 The Bank of New York Mellon 3 2,246,037 Itausa - Investimentos Itau SA Pfd 3,908,743 6.87 US dollar Euro 1,238 1,136 15-Jan-16 The Bank of New York Mellon 3 Industrials - 3,823,258 US dollar Euro 1,207 1,107 15-Jan-16 The Bank of (31 December 2014: 3,309,377) 3,823,258 6.72 New York Mellon 4 86,000 Embraer SA ADR 2,540,440 4.46 US dollar Euro 1,117 1,020 15-Jan-16 The Bank of 9,569 Embraer SA 72,912 0.13 New York Mellon 11 388,215 Santos Brasil Participacoes SA 1,209,906 2.13 US dollar Euro 1,079 988 15-Jan-16 The Bank of New York Mellon 5 Utilities - 10,520,058 (31 December 2014: 19,411,999) 10,520,058 18.49 USD 33 438,922 AES Tiete SA 1,604,249 2.82 EUR 30 47,773 Cia de Gas de Sao Paulo Pfd 477,881 0.84 296,400 Cia Paranaense de Energia ADR 1,738,386 3.06 273,173 Cia Paranaense de Energia Pfd 1,645,425 2.89 182,355 CPFL Energia SA 695,542 1.22

75 BNY MELLON BRAZIL EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Brazil Equity Fund EUR H (Hedged) Share Class contd. Euro US dollar 535 585 04-Jan-16 The Bank of New York Mellon (3) Euro US dollar 3,000 3,309 15-Jan-16 The Bank of New York Mellon (48) Euro US dollar 1,700 1,849 15-Jan-16 The Bank of New York Mellon (1) Euro US dollar 500 546 15-Jan-16 The Bank of New York Mellon (2) Euro US dollar 17,572 19,289 15-Jan-16 The Bank of New York Mellon (188) Euro US dollar 1,600 1,747 15-Jan-16 The Bank of New York Mellon (8) Euro US dollar 1,500 1,651 15-Jan-16 The Bank of New York Mellon (21) US dollar Euro 2,269 2,097 15-Jan-16 The Bank of New York Mellon (10)

USD (281)

EUR (259)

Net USD (248)

Net EUR (229)

BNY Mellon Brazil Equity Fund EUR I (Hedged) Share Class US dollar Euro 245 224 15-Jan-16 The Bank of New York Mellon –

USD –

EUR –

Euro US dollar 3,976 4,365 15-Jan-16 The Bank of New York Mellon (43)

USD (43)

EUR (39)

Net USD (43)

Net EUR (39)

76 BNY MELLON CROSSOVER CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds Bonds contd. Australia - 7,627,112 France contd. (31 December 2014: 4,165,469) 7,627,112 3.27 1,000,000 Casino Guichard Perrachon SA 440,000 BHP Billiton Finance Ltd 4.750% 22-Apr-2076 VAR 434,190 0.19 3.248% 07-Mar-2024 955,428 0.41 1,900,000 Origin Energy Finance Ltd 2.500% 23-Oct-2020 1,798,824 0.77 600,000 Casino Guichard Perrachon SA 700,000 Origin Energy Finance Ltd 7.875% 16-Jun-2071 VAR 679,035 0.29 4.726% 26-May-2021 653,528 0.28 3,600,000 Santos Finance Ltd 8.250% 22-Sep-2070 VAR 3,619,125 1.55 600,000 Cegedim SA 6.750% 01-Apr-2020 638,223 0.27 360,000 Transurban Finance Co Pty Ltd 1.875% 16-Sep-2024 353,318 0.15 2,400,000 Electricite de France SA 4.125% Perpetual VAR 2,350,300 1.01 760,000 Transurban Finance Co Pty Ltd 2.000% 28-Aug-2025 742,620 0.32 570,000 Elis SA 3.000% 30-Apr-2022 564,129 0.24 300,000 Engie SA 3.000% Perpetual VAR 300,227 0.13 Austria - 1,826,962 1,300,000 Engie SA 3.875% Perpetual VAR 1,283,815 0.55 (31 December 2014: 334,979) 1,826,962 0.78 520,000 GIE PSA Tresorerie 6.000% 19-Sep-2033 580,054 0.25 700,000 Telekom Austria AG 5.625% Perpetual VAR 730,676 0.31 1,100,000 Holding Medi-Partenaires SAS 1,000,000 Telekom Finanzmanagement GmbH 7.000% 15-May-2020 1,168,865 0.50 3.125% 03-Dec-2021 1,096,286 0.47 900,000 Kering 0.875% 28-Mar-2022 871,797 0.37 1,700,000 Lafarge SA 4.750% 30-Sep-2020 1,978,700 0.86 Belgium - 6,538,460 1,100,000 Nexans SA 5.750% 02-May-2017 1,155,286 0.49 (31 December 2014: 2,662,862) 6,538,460 2.80 400,000 Orange SA 3.125% 09-Jan-2024 447,805 0.19 1,530,000 Barry Callebaut Services NV 1,070,000 Orange SA 4.000% Perpetual VAR 1,059,789 0.45 5.625% 15-Jun-2021 1,796,483 0.77 300,000 Orange SA 4.250% Perpetual VAR 304,823 0.13 100,000 Ontex Group NV 4.750% 15-Nov-2021 106,538 0.05 700,000 Pernod Ricard SA 1.875% 28-Sep-2023 707,706 0.30 1,000,000 Solvay Finance SA 5.425% Perpetual VAR 983,687 0.42 500,000 Pernod Ricard SA 2.125% 27-Sep-2024 508,169 0.22 720,000 Solvay Finance SA 5.869% Perpetual VAR 719,662 0.31 400,000 Peugeot SA 7.375% 06-Mar-2018 450,571 0.19 1,900,000 Solvay Finance SA 6.375% 02-Jun-2104 VAR 1,919,855 0.82 695,000 RCI Banque SA 1.375% 17-Nov-2020 699,660 0.30 1,000,000 Solvay SA 2.750% 02-Dec-2027 1,012,235 0.43 300,000 RCI Banque SA 2.250% 29-Mar-2021 312,789 0.13 520,000 Rexel SA 5.125% 15-Jun-2020 544,100 0.23 Brazil - 953,983 1,000,000 Schneider Electric SE 1.500% 08-Sep-2023 1,012,949 0.43 (31 December 2014: 1,571,637) 953,983 0.41 400,000 Societe Des Autoroutes Paris-Rhin-Rhone 500,000 Petrobras Global Finance BV 2.750% 15-Jan-2018 411,125 0.18 1.500% 15-Jan-2024 400,540 0.17 500,000 Petrobras Global Finance BV 3.750% 14-Jan-2021 336,307 0.14 600,000 Societe Des Autoroutes Paris-Rhin-Rhone 290,000 Petrobras Global Finance BV 5.875% 07-Mar-2022 206,551 0.09 1.875% 15-Jan-2025 609,819 0.26 Czech Republic - 5,475,963 1,470,000 SPCM SA 2.875% 15-Jun-2023 1,414,798 0.61 (31 December 2014: 2,680,989) 5,475,963 2.34 1,400,000 Total SA 2.250% Perpetual VAR 1,295,303 0.56 500,000 Veolia Environnement SA 1.590% 10-Jan-2028 473,364 0.20 2,200,000 EP Energy AS 4.375% 01-May-2018 2,304,775 0.99 500,000 Veolia Environnement SA 4.450% Perpetual VAR 519,856 0.22 1,350,000 EP Energy AS 5.875% 01-Nov-2019 1,498,902 0.64 700,000 Wendel SA 2.500% 09-Feb-2027 663,318 0.28 1,600,000 RPG Byty Sro 6.750% 01-May-2020 1,672,286 0.71 500,000 Wendel SA 2.750% 02-Oct-2024 506,713 0.22 Denmark - 4,588,182 900,000 Wendel SA 3.750% 21-Jan-2021 983,106 0.42 (31 December 2014: 2,611,172) 4,588,182 1.96 400,000 Wendel SA 5.875% 17-Sep-2019 466,862 0.20 1,060,000 Carlsberg Breweries A/S 2.500% 28-May-2024 1,093,507 0.47 800,000 DONG Energy A/S 3.000% 06-Nov-3015 VAR 772,507 0.33 Germany - 31,322,000 700,000 DONG Energy A/S 6.250% 26-Jun-3013 VAR 756,875 0.32 (31 December 2014: 15,151,174) 31,322,000 13.41 1,100,000 Bayer AG 2.375% 02-Apr-2075 VAR 1,034,917 0.44 1,310,000 ISS Global A/S 1.125% 07-Jan-2021 1,299,474 0.56 600,000 Bertelsmann SE & Co KGaA 600,000 TDC A/S 3.750% 02-Mar-2022 665,819 0.28 1.750% 14-Oct-2024 607,298 0.26 Finland - 781,246 1,000,000 Deutsche Boerse AG 2.750% 05-Feb-2041 VAR 1,023,063 0.44 (31 December 2014: 711,899) 781,246 0.33 700,000 Deutsche Telekom International Finance BV 750,000 Fortum OYJ 2.250% 06-Sep-2022 781,246 0.33 4.250% 13-Jul-2022 840,612 0.36 1,800,000 EnBW Energie Baden-Wuerttemberg AG France - 31,011,978 3.625% 02-Apr-2076 VAR 1,673,577 0.72 (31 December 2014: 34,933,629) 31,011,978 13.27 1,020,000 Evonik Industries AG 1.000% 23-Jan-2023 1,001,809 0.43 700,000 Accor SA 4.125% Perpetual VAR 690,484 0.30 500,000 FMC Finance VII SA 5.250% 15-Feb-2021 580,472 0.25 350,000 Alstom SA 4.500% 18-Mar-2020 396,966 0.17 400,000 Fresenius Finance BV 4.000% 01-Feb-2024 453,520 0.19 700,000 Areva SA 3.125% 20-Mar-2023 639,887 0.27 1,900,000 HeidelbergCement Finance Luxembourg SA 300,000 Areva SA 3.500% 22-Mar-2021 294,000 0.13 3.250% 21-Oct-2020 2,021,125 0.87 300,000 Autoroutes du Sud de la France SA 600,000 HeidelbergCement Finance Luxembourg SA 2.875% 18-Jan-2023 331,731 0.14 3.250% 21-Oct-2021 637,431 0.27 1,400,000 Bouygues SA 4.500% 09-Feb-2022 1,665,326 0.71 700,000 KION Finance SA 6.750% 15-Feb-2020 729,750 0.31 600,000 Carrefour SA 1.250% 03-Jun-2025 582,929 0.25 400,000 Phoenix PIB Dutch Finance BV 510,000 Carrefour SA 1.750% 15-Jul-2022 528,263 0.23 3.125% 27-May-2020 418,820 0.18

77 BNY MELLON CROSSOVER CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Germany contd. Italy - 28,995,753 470,000 Phoenix PIB Dutch Finance BV (31 December 2014: 24,252,520) 28,995,753 12.42 3.625% 30-Jul-2021 497,612 0.21 850,000 A2A SpA 3.625% 13-Jan-2022 961,821 0.41 1,000,000 RWE AG 2.750% 21-Apr-2075 VAR 861,371 0.37 290,000 A2A SpA 4.375% 10-Jan-2021 335,077 0.14 1,180,000 RWE Finance BV 3.000% 17-Jan-2024 1,251,692 0.53 700,000 A2A SpA 4.500% 28-Nov-2019 798,110 0.34 700,000 Schaeffl er Finance BV 2.750% 15-May-2019 709,466 0.30 600,000 ACEA SpA 2.625% 15-Jul-2024 630,591 0.27 1,070,000 Schaeffl er Finance BV 3.250% 15-May-2025 1,044,588 0.45 800,000 Atlantia SpA 2.875% 26-Feb-2021 876,220 0.37 430,000 Schaeffl er Finance BV 4.250% 15-May-2018 439,339 0.19 670,000 Autostrade per l’Italia SpA 1.125% 04-Nov-2021 673,404 0.29 900,000 ThyssenKrupp AG 2.500% 25-Feb-2025 849,772 0.36 1,070,000 Autostrade per l’Italia SpA 270,000 ThyssenKrupp AG 4.000% 27-Aug-2018 283,986 0.12 1.750% 26-Jun-2026 1,067,449 0.46 1,080,000 Unitymedia Hessen GmbH & Co KG / 620,000 Buzzi Unicem SpA 6.250% 28-Sep-2018 691,286 0.30 Unitymedia NRW GmbH 5.125% 21-Jan-2023 1,135,350 0.49 1,472,000 CNH Industrial Finance Europe SA 1,980,000 Unitymedia Hessen GmbH & Co KG / 6.250% 09-Mar-2018 1,578,066 0.68 Unitymedia NRW GmbH 5.500% 15-Sep-2022 2,098,800 0.90 2,000,000 Enel Finance International NV 400,000 Unitymedia Hessen GmbH & Co KG / 1.966% 27-Jan-2025 2,051,669 0.88 Unitymedia NRW GmbH 6.250% 15-Jan-2029 440,000 0.19 500,000 Enel Finance International NV 800,000 Volkswagen International Finance NV 5.000% 14-Sep-2022 624,018 0.27 2.500% Perpetual VAR 693,269 0.30 500,000 Enel SpA 5.000% 15-Jan-2075 VAR 524,307 0.22 1,200,000 Volkswagen International Finance NV 1,000,000 Enel SpA 6.500% 10-Jan-2074 VAR 1,085,191 0.46 3.750% Perpetual VAR 1,118,919 0.48 1,260,000 EXOR SpA 2.125% 02-Dec-2022 1,251,747 0.54 2,000,000 Volkswagen International Finance NV 330,000 FCA Capital Ireland Plc 2.000% 23-Oct-2019 335,937 0.14 3.875% Perpetual VAR 1,947,643 0.83 740,000 FCA Capital Ireland Plc 4.000% 17-Oct-2018 794,090 0.34 1,200,000 Volkswagen Leasing GmbH 2,550,000 Finmeccanica Finance SA 4.500% 19-Jan-2021 2,792,682 1.20 0.750% 11-Aug-2020 1,156,875 0.49 400,000 Finmeccanica Finance SA 5.250% 21-Jan-2022 456,413 0.20 1,400,000 Vonovia Finance BV 0.822% 15-Dec-2017 FRN 1,405,880 0.60 210,000 Finmeccanica Finance SA 5.750% 12-Dec-2018 235,588 0.10 700,000 Vonovia Finance BV 1.625% 15-Dec-2020 699,087 0.30 1,000,000 Hera SpA 2.375% 04-Jul-2024 1,070,233 0.46 900,000 Vonovia Finance BV 4.000% Perpetual VAR 877,132 0.38 390,000 Hera SpA 3.250% 04-Oct-2021 435,919 0.19 500,000 Vonovia Finance BV 4.625% 08-Apr-2074 VAR 508,264 0.22 200,000 Hera SpA 5.200% 29-Jan-2028 258,994 0.11 1,700,000 ZF North America Capital Inc 1,000,000 Italcementi Finance SA 6.125% 21-Feb-2018 1,084,861 0.46 2.250% 26-Apr-2019 1,705,644 0.73 710,000 Italcementi Finance SA 6.625% 19-Mar-2020 827,195 0.35 600,000 ZF North America Capital Inc 270,000 IVS F. SpA 7.125% 01-Apr-2020 285,082 0.12 2.750% 27-Apr-2023 574,917 0.25 410,000 Snam SpA 1.500% 21-Apr-2023 415,408 0.18 1,300,000 Snam SpA 3.375% 29-Jan-2021 1,453,851 0.62 Hong Kong - 2,337,630 900,000 Telecom Italia Finance SA 7.750% 24-Jan-2033 1,183,459 0.51 (31 December 2014: 2,154,954) 2,337,630 1.00 1,260,000 Telecom Italia SpA 3.250% 16-Jan-2023 1,284,028 0.55 1,800,000 Hutchison Whampoa Europe Finance 13 Ltd 800,000 Terna Rete Elettrica Nazionale SpA 3.750% Perpetual VAR 1,807,995 0.77 0.875% 02-Feb-2022 787,056 0.34 530,000 Hutchison Whampoa Finance 14 Ltd 2,150,000 Wind Acquisition Finance SA 1.375% 31-Oct-2021 529,635 0.23 4.000% 15-Jul-2020 2,146,001 0.92

Hungary - 2,502,912 Japan - 4,823,173 (31 December 2014: 1,627,382) 2,502,912 1.07 (31 December 2014: 1,182,150) 4,823,173 2.07 2,360,000 MOL Hungarian Oil & Gas Plc 1,150,000 SoftBank Group Corp 4.000% 30-Jul-2022 1,166,531 0.50 5.875% 20-Apr-2017 2,502,912 1.07 2,710,000 SoftBank Group Corp 4.625% 15-Apr-2020 2,879,375 1.24 800,000 SoftBank Group Corp 5.250% 30-Jul-2027 777,267 0.33 India - 682,776 (31 December 2014: 980,000) 682,776 0.29 Luxembourg - 2,302,081 700,000 Samvardhana Motherson Automotive Systems (31 December 2014: 2,672,464) 2,302,081 0.99 Group BV 4.125% 15-Jul-2021 682,776 0.29 150,000 ArcelorMittal 3.125% 14-Jan-2022 115,781 0.05 1,270,000 ArcelorMittal 5.875% 17-Nov-2017 1,228,702 0.53 Ireland - 5,439,246 500,000 Gestamp Funding Luxembourg SA (31 December 2014: 4,293,435) 5,439,246 2.33 5.875% 31-May-2020 517,793 0.22 1,000,000 CRH Finance BV 5.000% 25-Jan-2019 1,132,662 0.48 400,000 Telenet Finance V Luxembourg SCA 370,000 CRH Finance Germany GmbH 1.750% 16-Jul-2021 379,481 0.16 6.750% 15-Aug-2024 439,805 0.19 220,000 CRH Finance Ltd 3.125% 03-Apr-2023 242,472 0.10 1,100,000 CRH Finland Services OYJ 2.750% 15-Oct-2020 1,181,355 0.51 Mexico - 2,286,431 340,000 CRH Funding BV 1.875% 09-Jan-2024 343,114 0.15 (31 December 2014: 5,158,177) 2,286,431 0.98 350,000 Smurfi t Kappa Acquisitions 3.250% 01-Jun-2021 367,512 0.16 1,100,000 America Movil SAB de CV 200,000 Smurfi t Kappa Acquisitions 4.125% 30-Jan-2020 217,467 0.09 5.125% 06-Sep-2073 VAR 1,150,435 0.49 1,450,000 Smurfi t Kappa Acquisitions 5.125% 15-Sep-2018 1,575,183 0.68 1,100,000 Petroleos Mexicanos 5.500% 09-Jan-2017 1,135,996 0.49

78 BNY MELLON CROSSOVER CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Netherlands - 8,526,512 Spain contd. (31 December 2014: 6,905,426) 8,526,512 3.65 400,000 Gas Natural Fenosa Finance BV 700,000 Alliander NV 3.250% Perpetual VAR 730,187 0.31 3.875% 11-Apr-2022 458,392 0.20 400,000 Heineken NV 1.250% 10-Sep-2021 403,927 0.17 500,000 Gas Natural Fenosa Finance BV 400,000 Koninklijke KPN NV 3.250% 01-Feb-2021 440,302 0.19 3.875% 17-Jan-2023 576,841 0.25 450,000 Koninklijke KPN NV 3.750% 21-Sep-2020 505,585 0.22 700,000 Gas Natural Fenosa Finance BV 1,000,000 Koninklijke KPN NV 4.500% 04-Oct-2021 1,175,342 0.50 4.125% Perpetual VAR 668,134 0.29 2,020,000 Koninklijke KPN NV 6.125% Perpetual VAR 2,148,501 0.92 800,000 Iberdrola International BV 1.750% 17-Sep-2023 816,675 0.35 600,000 LGE HoldCo VI BV 7.125% 15-May-2024 651,000 0.28 1,500,000 Iberdrola International BV 360,000 OI European Group BV 4.875% 31-Mar-2021 393,531 0.17 2.500% 24-Oct-2022 1,615,673 0.69 900,000 OI European Group BV 6.750% 15-Sep-2020 1,047,773 0.45 600,000 Red Electrica Financiaciones SA Unipersonal 600,000 UPCB Finance IV Ltd 4.000% 15-Jan-2027 567,671 0.24 1.125% 24-Apr-2025 576,092 0.25 500,000 Ziggo Secured Finance BV 3.750% 15-Jan-2025 462,693 0.20 500,000 Repsol International Finance BV 2.625% 28-May-2020 510,207 0.22 Norway - 590,948 500,000 Repsol International Finance BV (31 December 2014: –) 590,948 0.25 3.625% 07-Oct-2021 531,337 0.23 590,000 Statkraft AS 1.500% 21-Sep-2023 590,948 0.25 800,000 Repsol International Finance BV 3.875% Perpetual VAR 692,515 0.30 Portugal - 9,811,136 1,800,000 Telefonica Emisiones SAU 2.242% 27-May-2022 1,857,103 0.80 (31 December 2014: 8,655,782) 9,811,136 4.20 900,000 Telefonica Emisiones SAU 3.961% 26-Mar-2021 1,015,305 0.43 700,000 Brisa Concessao Rodoviaria SA 1,500,000 Telefonica Emisiones SAU 3.987% 23-Jan-2023 1,702,455 0.73 3.875% 01-Apr-2021 772,832 0.33 700,000 Telefonica Europe BV 5.875% Perpetual VAR 704,102 0.30 1,600,000 Brisa Concessao Rodoviaria SA 700,000 Telefonica Europe BV 7.625% Perpetual VAR 772,144 0.33 6.875% 02-Apr-2018 1,827,296 0.78 800,000 EDP - Energias de Portugal SA Sweden - 1,734,075 5.375% 16-Sep-2075 VAR 788,328 0.34 (31 December 2014: 1,482,565) 1,734,075 0.74 2,950,000 EDP Finance BV 2.625% 15-Apr-2019 3,059,071 1.31 500,000 Alfa Laval Treasury International AB 2,300,000 EDP Finance BV 4.125% 20-Jan-2021 2,493,775 1.07 1.375% 12-Sep-2022 497,865 0.21 300,000 EDP Finance BV 4.875% 14-Sep-2020 337,275 0.14 390,000 Vattenfall AB 3.000% 19-Mar-2077 VAR 313,228 0.13 540,000 REN Finance BV 2.500% 12-Feb-2025 532,559 0.23 940,000 Volvo Treasury AB 4.200% 10-Jun-2075 VAR 922,982 0.40

Russia - 3,073,564 Switzerland - 8,884,081 (31 December 2014: 1,922,934) 3,073,564 1.32 (31 December 2014: 4,932,586) 8,884,081 3.80 980,000 Gazprom OAO Via Gaz Capital SA 1,170,000 Dufry Finance SCA 4.500% 01-Aug-2023 1,219,051 0.52 3.389% 20-Mar-2020 941,460 0.41 1,000,000 Glencore Finance Dubai Ltd 1,200,000 Gazprom OAO Via Gaz Capital SA 2.625% 19-Nov-2018 870,292 0.37 3.755% 15-Mar-2017 1,202,152 0.51 1,130,000 Glencore Finance Europe SA 300,000 Gazprom OAO Via Gaz Capital SA 1.250% 17-Mar-2021 825,409 0.36 6.605% 13-Feb-2018 316,060 0.14 300,000 Glencore Finance Europe SA 1.625% 18-Jan-2022 210,945 0.09 650,000 Russian Railways Via RZD Capital Plc 1,330,000 Glencore Finance Europe SA 3.374% 20-May-2021 613,892 0.26 3.375% 30-Sep-2020 1,099,757 0.47 2,300,000 Glencore Finance Europe SA South Africa - 646,550 4.625% 03-Apr-2018 2,164,300 0.93 (31 December 2014: –) 646,550 0.28 2,100,000 Glencore Finance Europe SA 670,000 Sappi Papier Holding GmbH 3.375% 01-Apr-2022 646,550 0.28 5.250% 22-Mar-2017 2,065,306 0.88 400,000 Holcim US Finance Sarl & Cie SCS Spain - 19,571,569 2.625% 07-Sep-2020 429,021 0.18 (31 December 2014: 14,966,925) 19,571,569 8.39 900,000 Abertis Infraestructuras SA 3.750% 20-Jun-2023 1,029,559 0.44 United Kingdom - 14,674,675 1,300,000 Abertis Infraestructuras SA (31 December 2014: 11,642,609) 14,674,675 6.28 4.750% 25-Oct-2019 1,491,979 0.64 1,200,000 Anglo American Capital Plc 620,000 Campofrio Food Group SA 3.375% 15-Mar-2022 626,973 0.27 1.500% 01-Apr-2020 858,150 0.37 450,000 Empark Funding SA 6.750% 15-Dec-2019 483,834 0.21 300,000 Anglo American Capital Plc 2.875% 20-Nov-2020 219,300 0.09 900,000 Enagas Financiaciones SAU 1.250% 06-Feb-2025 869,251 0.37 380,000 BAT International Finance Plc 750,000 Ence Energia y Celulosa SA 5.375% 01-Nov-2022 775,313 0.33 2.000% 13-Mar-2045 307,797 0.13 1,300,000 Gas Natural Fenosa Finance BV 1,000,000 BG Energy Capital Plc 6.500% 30-Nov-2072 VAR 1,081,875 0.46 1.375% 21-Jan-2025 1,247,419 0.53 1,080,000 FCE Bank Plc 1.528% 09-Nov-2020 1,089,971 0.47 300,000 Gas Natural Fenosa Finance BV 220,000 FCE Bank Plc 1.750% 21-May-2018 225,852 0.10 2.875% 11-Mar-2024 326,171 0.14 500,000 FCE Bank Plc 1.875% 18-Apr-2019 515,726 0.22 200,000 Gas Natural Fenosa Finance BV 1,000,000 Fiat Chrysler Finance Europe 3.500% 15-Apr-2021 224,095 0.09 7.000% 23-Mar-2017 1,059,948 0.45

79 BNY MELLON CROSSOVER CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description EUR % Holdings Description EUR EUR %

Bonds contd. Open futures contracts - (18,000) United Kingdom contd. (31 December 2014: –) 670,000 Imperial Tobacco Finance Plc 90 Euro-Schatz 2.250% 26-Feb-2021 705,051 0.30 Long Futures Contracts 400,000 Imperial Tobacco Finance Plc Exp Mar-2016 10,035,900 (18,000) (0.01) 3.375% 26-Feb-2026 444,142 0.19 Total open futures contracts (18,000) (0.01) 850,000 Merlin Entertainments Plc 2.750% 15-Mar-2022 828,750 0.35 350,000 Mondi Finance Plc 3.375% 28-Sep-2020 385,490 0.16 Total fi nancial liabilities 600,000 Rexam Plc 6.750% 29-Jun-2067 VAR 605,742 0.26 at fair value through profi t or loss (23,613) (0.01) 200,000 Sky Plc 1.500% 15-Sep-2021 200,905 0.09 1,040,000 Sky Plc 1.875% 24-Nov-2023 1,043,451 0.45 Net current assets 7,249,430 3.10 880,000 Sky Plc 2.250% 17-Nov-2025 879,455 0.38 1,300,000 Tesco Corporate Treasury Services Plc Total net assets 233,567,042 100.00 1.375% 01-Jul-2019 1,251,047 0.54 The counterparty for credit default swaps is Barclays Bank. 500,000 Tesco Corporate Treasury Services Plc The counterparty for futures contracts is JPMorgan Chase. 2.125% 12-Nov-2020 483,320 0.21 500,000 Tesco Plc 5.125% 10-Apr-2047 415,830 0.18 760,000 Vodafone Group Plc 0.875% 17-Nov-2020 758,920 0.32 Analysis of portfolio % of Total assets 850,000 Vodafone Group Plc 4.650% 20-Jan-2022 1,016,122 0.43 270,000 WPP Finance 2013 3.000% 20-Nov-2023 297,831 0.13 Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 96.73 United States of America - 19,080,197 OTC fi nancial derivative instruments 0.11 (31 December 2014: 4,657,842) 19,080,197 8.17 Other current assets 3.16 900,000 AT&T Inc 2.450% 15-Mar-2035 796,033 0.34 2,500,000 AT&T Inc 2.600% 17-Dec-2029 2,446,179 1.05 Total assets 100.00 3,300,000 AT&T Inc 2.650% 17-Dec-2021 3,549,032 1.52 230,000 Ball Corp 3.500% 15-Dec-2020 236,925 0.10 570,000 Ball Corp 4.375% 15-Dec-2023 587,163 0.25 Forward foreign currency contracts 930,000 Crown European Holdings SA 3.375% 15-May-2025 874,510 0.37 Settle Unrealised 1,530,000 Crown European Holdings SA Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) 4.000% 15-Jul-2022 1,587,375 0.69 1,080,000 Darling Global Finance BV 4.750% 30-May-2022 1,050,638 0.45 BNY Mellon Crossover Credit Fund 710,000 International Game Technology Plc USD I (Acc) (Hedged) Share Class 4.125% 15-Feb-2020 711,096 0.30 US dollar Euro 24,441,381 22,232,028 15-Jan-16 The Bank of 710,000 International Game Technology Plc New York Mellon 252,030 4.750% 15-Feb-2023 666,441 0.29 900,000 Kinder Morgan Inc/DE 1.500% 16-Mar-2022 734,304 0.31 EUR 252,030 1,210,000 Mondelez International Inc 1.625% 08-Mar-2027 1,110,558 0.48 USD 273,894 1,350,000 TA Manufacturing Ltd 3.625% 15-Apr-2023 1,316,250 0.56 900,000 Verizon Communications Inc 1.625% 01-Mar-2024 898,513 0.38 1,700,000 Verizon Communications Inc 2.375% 17-Feb-2022 1,814,773 0.78 700,000 Verizon Communications Inc 2.625% 01-Dec-2031 700,407 0.30

Total investments in bonds 226,089,195 96.80

Unrealised gain on forward foreign currency contracts - 252,030 (see below) (31 December 2014: –) 252,030 0.11

Total fi nancial assets at fair value through profi t or loss 226,341,225 96.91

Credit default swaps - (5,613) (31 December 2014: –) (3,500,000) CDS Volkswagen AG 1.000% 20-Dec-2016 (5,613) (0.00)

Total credit default swaps (5,613) (0.00)

80 BNY MELLON DYNAMIC TOTAL RETURN FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description USD %Holdings Description USD USD %

Collective investment schemes Open futures contracts contd. Ireland - 541,086 541,086 4.70 9 SGX 10 Year Mini Japanese 2,841 iShares $ TIPS UCITS ETF 541,086 4.70 Government Bond Long Futures Contracts United States of America - 495,014 495,014 4.30 Exp Mar-2016 1,116,136 2,123 0.02 19,265 SPDR Barclays Short Term High Yield Bond ETF 495,014 4.30 3 SPI 200 Index Long Futures Contracts Total investments in collective investment schemes 1,036,100 9.00 Exp Mar-2016 287,308 20,050 0.17

Bonds Total open futures contracts 80,738 0.70 United States of America - 9,906,592 9,906,592 86.00 925,000 United States Treasury Bill 0.000% 04-Feb-2016 924,928 8.03 Unrealised gain on forward foreign currency contracts - 78,267 1,625,000 United States Treasury Bill 0.000% 11-Feb-2016 1,624,785 14.10 (see below) 78,267 0.68 400,000 United States Treasury Bill 0.000% 25-Feb-2016* 399,961 3.47 Total fi nancial assets 688,000 United States Treasury Bill 0.000% 03-Mar-2016 687,891 5.97 at fair value through profi t or loss 11,172,142 96.99 1,850,000 United States Treasury Bill 0.000% 10-Mar-2016 1,849,620 16.06 2,040,000 United States Treasury Bill 0.000% 17-Mar-2016* 2,039,620 17.71 Open futures contracts - (98,006) 925,000 United States Treasury Bill 0.000% 24-Mar-2016 924,648 8.03 8 CAC 40 10 Euro Index 1,276,000 United States Treasury Bill 0.000% 07-Apr-2016 1,275,523 11.07 Long Futures Contracts 90,000 United States Treasury Bill 0.000% 16-Jun-2016* 89,813 0.78 Exp Jan-2016 403,272 (796) (0.01) 90,000 United States Treasury Bill 0.000% 23-Jun-2016* 89,803 0.78 (21) Canadian 10 Year Treasury Bond Short Futures Contracts Total investments in bonds 9,906,592 86.00 Exp Mar-2016 (2,139,763) (21,005) (0.18) Index options - 70,445 (8) FTSE 100 Index 22 E-mini S&P 500 Index Put 19-Feb-2016 1,960.000 28,930 0.25 Short Futures Contracts 23 E-mini S&P 500 Index Put 19-Feb-2016 2,000.000 41,515 0.36 Exp Mar-2016 (730,967) (18,787) (0.16) (1) FTSE MIB Index Total index options 70,445 0.61 Short Futures Contracts Exp Mar-2016 (116,511) (2,351) (0.02) 3 Hang Seng Index Underlying Fair Total Long Futures Contracts exposure value net assets Exp Jan-2016 424,062 (3,391) (0.03) Holdings Description USD USD % 5 IBEX 35 Index Long Futures Contracts Open futures contracts - 80,738 Exp Jan-2016 517,636 (4,768) (0.04) 5 AEX Index 12 TOPIX Index Long Futures Contracts Long Futures Contracts Exp Jan-2016 480,181 10,296 0.09 Exp Mar-2016 1,544,989 (23,141) (0.20) 4 DAX Index 60 U.S. 10 Year Treasury Note Long Futures Contracts Long Futures Contracts Exp Mar-2016 1,170,648 13,739 0.12 Exp Mar-2016 7,554,375 (18,953) (0.17) 36 E-mini S&P 500 Index 6 UK Long Gilt Long Futures Contracts Long Futures Contracts Exp Mar-2016 3,663,720 4,734 0.04 Exp Mar-2016 1,032,854 (4,814) (0.04) 4 Eurex SMI Index Long Futures Contracts Total open futures contracts (98,006) (0.85) Exp Mar-2016 349,281 7,816 0.07 (12) Euro-Bund Short Futures Contracts Exp Mar-2016 (2,059,436) 14,688 0.13 3 S&P TSX 60 Index Long Futures Contracts Exp Mar-2016 329,942 5,166 0.04 7 SFE 10 Year Australian Treasury Bond Long Futures Contracts Exp Mar-2016 647,265 2,126 0.02

81 BNY MELLON DYNAMIC TOTAL RETURN FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts contd. Fair Total value net assets Settle value netUnrealised assets Holdings Description USD %Buy Holdings Description Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)%

Unrealised loss on forward foreign currency contracts - (23,379) BNY Mellon Dynamic Total Return Fund contd. (see below) (23,379) (0.20) US dollar Norwegian krone 17,838 157,000 16-Mar-16 Goldman Sachs 114 US dollar Norwegian krone 53,515 471,000 16-Mar-16 Goldman Sachs 342 Total fi nancial liabilities US dollar Norwegian krone 60,009 528,330 16-Mar-16 Morgan Stanley 364 at fair value through profi t or loss (121,385) (1.05) US dollar Norwegian krone 61,641 544,340 16-Mar-16 Barclays Bank plc 189 US dollar Sterling 199,932 133,650 16-Mar-16 Morgan Stanley 2,879 Net current assets 468,301 4.06 US dollar Sterling 10,450 6,900 16-Mar-16 Credit Suisse First Boston 276 Total net assets 11,519,058 100.00 US dollar Sterling 199,874 133,650 16-Mar-16 Goldman Sachs 2,821 US dollar Sterling 20,910 13,800 16-Mar-16 Goldman Sachs * Part of the holding is held as collateral by JPMorgan Chase in respect of futures contracts and index options 563 held by the Fund. US dollar Sterling 512,252 338,194 16-Mar-16 Credit Suisse First Boston 13,622 The counterparty for index options is JPMorgan Chase. US dollar Sterling 563,357 373,792 16-Mar-16 Goldman Sachs The counterparty for futures contracts is JPMorgan Chase. 12,241 US dollar Sterling 38,310 25,300 16-Mar-16 Citigroup 1,008 US dollar Sterling 205,740 137,700 16-Mar-16 Barclays Bank plc 2,717 Analysis of portfolio % of Total assets US dollar Swiss franc 131,455 129,208 16-Mar-16 RBC Capital Markets 2,048 Transferable securities and money market instruments admitted US dollar Swiss franc 80,503 79,192 16-Mar-16 Bank of Montreal 1,189 to offi cial stock exchange listing or traded on a regulated market 89.02 US dollar Swiss franc 43,289 42,900 16-Mar-16 Goldman Sachs 323 Financial derivative instruments dealt in on a regulated market 1.23 US dollar Swiss franc 44,576 44,200 16-Mar-16 Barclays Bank plc 308 OTC fi nancial derivative instruments 0.64 US dollar Swiss franc 43,290 42,900 16-Mar-16 Morgan Stanley 324 Other current assets 9.11 USD 78,267 Total assets 100.00

Canadian dollar US dollar 93,720 67,879 16-Mar-16 Morgan Stanley (134) Canadian dollar US dollar 96,560 69,943 16-Mar-16 Barclays Bank plc (146) Forward foreign currency contracts Canadian dollar US dollar 239,301 176,723 16-Mar-16 Citigroup (3,747) Settle Unrealised Canadian dollar US dollar 93,720 67,899 16-Mar-16 Goldman Sachs (154) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Canadian dollar US dollar 392,099 290,004 16-Mar-16 The Bank of New York Mellon (6,579) Swedish krona US dollar 389,000 46,384 16-Mar-16 Citigroup (204) BNY Mellon Dynamic Total Return Fund Swiss franc US dollar 99,000 100,528 16-Mar-16 Citigroup (1,376) Australian dollar US dollar 130,620 94,063 16-Mar-16 Goldman Sachs 776 Swiss franc US dollar 27,000 27,432 16-Mar-16 Credit Suisse Australian dollar US dollar 167,640 119,819 16-Mar-16 Goldman Sachs 1,899 First Boston (391) Australian dollar US dollar 167,640 119,863 16-Mar-16 Morgan Stanley 1,855 Swiss franc US dollar 54,000 54,851 16-Mar-16 Goldman Sachs (768) Australian dollar US dollar 565,404 409,132 16-Mar-16 Westpac 1,389 US dollar Euro 169,073 155,430 16-Mar-16 Goldman Sachs (156) Australian dollar US dollar 131,801 94,899 16-Mar-16 Citigroup 797 US dollar Euro 168,972 155,430 16-Mar-16 Morgan Stanley (257) Australian dollar US dollar 172,720 123,372 16-Mar-16 Barclays Bank plc 2,034 US dollar Euro 490,394 451,010 16-Mar-16 The Bank of Japanese yen US dollar 55,368,940 455,142 16-Mar-16 Morgan Stanley 6,328 New York Mellon (656) Japanese yen US dollar 2,217,300 18,214 16-Mar-16 Credit Suisse US dollar Euro 174,051 160,140 16-Mar-16 Barclays Bank plc (306) First Boston 266 Japanese yen US dollar 8,130,100 66,744 16-Mar-16 Citigroup 1,016 USD (14,874) Japanese yen US dollar 5,160,600 42,108 16-Mar-16 Goldman Sachs 903 Japanese yen US dollar 15,481,800 126,324 16-Mar-16 Goldman Sachs 2,708 Net USD 63,393 Japanese yen US dollar 4,434,600 36,463 16-Mar-16 Goldman Sachs 497 Japanese yen US dollar 5,160,600 42,108 16-Mar-16 Goldman Sachs 903 New Zealand dollar US dollar 105,740 70,820 16-Mar-16 Barclays Bank plc 1,179 BNY Mellon Dynamic Total Return Fund New Zealand dollar US dollar 102,630 68,798 16-Mar-16 Goldman Sachs 1,083 EUR H (Acc) (Hedged) Share Class New Zealand dollar US dollar 102,630 68,854 16-Mar-16 Morgan Stanley 1,027 Euro US dollar 85,859 94,252 15-Jan-16 The Bank of New York Mellon (919) New Zealand dollar US dollar 163,000 107,311 16-Mar-16 Morgan Stanley 3,676 US dollar Euro 164,222 149,313 16-Mar-16 Citigroup 1,653 USD (919) US dollar Euro 23,776 21,800 16-Mar-16 Goldman Sachs 41 US dollar Euro 217,937 197,925 16-Mar-16 Credit Suisse EUR (846) First Boston 2,440 US dollar Euro 9,205 8,400 16-Mar-16 Credit Suisse First Boston 59 US dollar Euro 71,329 65,400 16-Mar-16 Goldman Sachs 123 BNY Mellon Dynamic Total Return Fund US dollar Euro 18,421 16,800 16-Mar-16 Goldman Sachs 129 EUR I (Acc) (Hedged) Share Class Euro US dollar 86,324 94,763 15-Jan-16 The Bank of US dollar Euro 23,776 21,800 16-Mar-16 Goldman Sachs 41 New York Mellon (924) US dollar Euro 33,741 30,800 16-Mar-16 Citigroup 206 US dollar Norwegian krone 17,838 157,000 16-Mar-16 Goldman Sachs 114 USD (924) US dollar Norwegian krone 188,584 1,639,000 16-Mar-16 Citigroup 3,551 US dollar Norwegian krone 59,892 528,330 16-Mar-16 Goldman Sachs 246 EUR (850)

82 BNY MELLON DYNAMIC TOTAL RETURN FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Dynamic Total Return Fund EUR W (Acc) (Hedged) Share Class Euro US dollar 86,441 94,891 15-Jan-16 The Bank of New York Mellon (925)

USD (925)

EUR (851)

BNY Mellon Dynamic Total Return Fund EUR W (Inc) (Hedged) Share Class Euro US dollar 86,441 94,891 15-Jan-16 The Bank of New York Mellon (925)

USD (925)

EUR (851)

BNY Mellon Dynamic Total Return Fund Sterling W (Acc) (Hedged) Share Class Sterling US dollar 61,331 92,824 15-Jan-16 The Bank of New York Mellon (2,406)

USD (2,406)

GBP (1,632)

BNY Mellon Dynamic Total Return Fund Sterling W (Inc) (Hedged) Share Class Sterling US dollar 61,331 92,824 15-Jan-16 The Bank of New York Mellon (2,406)

USD (2,406)

GBP (1,632)

83 BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes Bonds contd. Supranational - 9,065,938 Indonesia - 5,240,143 (31 December 2014: 7,855,288) 9,065,938 8.34 (31 December 2014: 2,860,250) 5,240,143 4.82 9,065,938 Insight Liquidity Funds Plc - USD Liquidity Fund 9,065,938 8.34 400,000 Listrindo Capital BV 6.950% 21-Feb-2019 411,000 0.38 1,400,000 Pertamina Persero PT 4.300% 20-May-2023 1,276,211 1.17 Total investments in collective investment schemes 9,065,938 8.34 3,000,000 Pertamina Persero PT 6.450% 30-May-2044 2,621,160 2.41 1,000,000 TBG Global Pte Ltd 5.250% 10-Feb-2022 931,772 0.86 Bonds Argentina - 933,750 Israel - 3,750,222 (31 December 2014: –) 933,750 0.86 (31 December 2014: 3,799,860) 3,750,222 3.45 1,800,000 Israel Electric Corp Ltd 6.700% 10-Feb-2017 1,883,340 1.73 900,000 Provincia de Buenos Aires 9.950% 09-Jun-2021 933,750 0.86 800,000 Israel Electric Corp Ltd 7.250% 15-Jan-2019 889,650 0.82 Azerbaijan - 3,291,873 800,000 Israel Electric Corp Ltd 9.375% 28-Jan-2020 977,232 0.90 (31 December 2014: 873,375) 3,291,873 3.03 Jamaica - 2,514,375 3,250,000 State Oil Co of the Azerbaijan Republic (31 December 2014: –) 2,514,375 2.31 5.450% 09-Feb-2017 3,291,873 3.03 1,500,000 Digicel Group Ltd 8.250% 30-Sep-2020 1,252,500 1.15 Brazil - 5,038,848 1,500,000 Digicel Ltd 144A 6.750% 01-Mar-2023 1,261,875 1.16 (31 December 2014: 5,590,875) 5,038,848 4.63 Kazakhstan - 992,500 1,700,000 JBS Investments GmbH 7.250% 03-Apr-2024 1,555,500 1.43 (31 December 2014: 1,693,440) 992,500 0.91 2,000,000 Marfrig Holdings Europe BV 1,000,000 Kazkommertsbank JSC 7.500% 29-Nov-2016 992,500 0.91 6.875% 24-Jun-2019 1,800,000 1.66 600,000 Minerva Luxembourg SA 7.750% 31-Jan-2023 568,500 0.52 Mexico - 9,863,637 2,300,000 Oi Brasil Holdings Cooperatief UA (31 December 2014: 8,659,365) 9,863,637 9.07 5.625% 22-Jun-2021 1,114,848 1.02 2,350,000 Alpek SAB de CV 4.500% 20-Nov-2022 2,235,438 2.06 Chile - 2,927,333 9,000,000 America Movil SAB de CV 6.450% 05-Dec-2022 494,274 0.45 (31 December 2014: –) 2,927,333 2.69 1,700,000 Cemex SAB de CV 6.125% 05-May-2025 1,459,450 1.34 500,000 Cemex SAB de CV 7.250% 15-Jan-2021 484,300 0.45 2,850,000 Cencosud SA 5.500% 20-Jan-2021 2,927,333 2.69 1,750,000 Controladora Mabe SA de CV China - 9,186,303 7.875% 28-Oct-2019 1,925,000 1.77 (31 December 2014: 9,614,682) 9,186,303 8.46 1,700,000 El Puerto de Liverpool SAB de CV 3,000,000 Baidu Inc 3.500% 28-Nov-2022 2,962,260 2.73 3.950% 02-Oct-2024 1,655,375 1.52 1,860,000 CITIC Ltd 6.800% 17-Jan-2023 2,149,092 1.98 1,050,000 Offi ce Depot de Mexico SA de CV 2,000,000 Franshion Development Ltd 6.875% 20-Sep-2020 1,065,750 0.98 6.750% 15-Apr-2021 2,246,064 2.07 620,000 Petroleos Mexicanos 4.250% 15-Jan-2025 544,050 0.50 1,700,000 Shimao Property Holdings Ltd Morocco - 3,927,925 8.375% 10-Feb-2022 1,828,887 1.68 (31 December 2014: 3,494,256) 3,927,925 3.61 Colombia - 3,122,250 2,300,000 OCP SA 4.500% 22-Oct-2025 2,152,225 1.98 (31 December 2014: 498,300) 3,122,250 2.87 1,800,000 OCP SA 6.875% 25-Apr-2044 1,775,700 1.63 3,450,000 Colombia Telecomunicaciones SA ESP Paraguay - 1,542,500 5.375% 27-Sep-2022 3,122,250 2.87 (31 December 2014: –) 1,542,500 1.42 Egypt - 870,450 2,000,000 Comcel Trust via Comunicaciones Celulares SA 144A (31 December 2014: –) 870,450 0.80 6.875% 06-Feb-2024 1,542,500 1.42 1,000,000 Egypt Government International Bond Peru - 5,333,642 5.875% 11-Jun-2025 870,450 0.80 (31 December 2014: 1,410,000) 5,333,642 4.91 Hungary - 2,924,305 1,700,000 Cementos Pacasmayo SAA (31 December 2014: 3,034,520) 2,924,305 2.69 4.500% 08-Feb-2023 1,598,000 1.47 2,736,000 MOL Group Finance SA 6.250% 26-Sep-2019 2,924,305 2.69 1,850,000 Southern Copper Corp 3.875% 23-Apr-2025 1,661,501 1.53 2,700,000 Southern Copper Corp 5.875% 23-Apr-2045 2,074,141 1.91 India - 4,424,269 (31 December 2014: 2,020,764) 4,424,269 4.07 Qatar - 3,724,243 2,300,000 Bharti Airtel International Netherlands BV (31 December 2014: 2,789,040) 3,724,243 3.43 5.125% 11-Mar-2023 2,383,511 2.19 2,000,000 Ooredoo International Finance Ltd 2,900,000 Vedanta Resources Plc 144A 3.250% 21-Feb-2023 1,952,368 1.80 7.125% 31-May-2023 1,600,736 1.47 1,500,000 Ooredoo International Finance Ltd 750,000 Vedanta Resources Plc 8.250% 07-Jun-2021 440,022 0.41 7.875% 10-Jun-2019 1,771,875 1.63

84 BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Unrealised loss on forward foreign currency contracts - (163,458) (see below) Russia - 9,859,127 (31 December 2014: (32,973)) (163,458) (0.15) (31 December 2014: 3,909,121) 9,859,127 9.07 Total fi nancial liabilities 1,450,000 Alfa Bank OJSC Via Alfa Bond Issuance Plc at fair value through profi t or loss (163,458) (0.15) 5.000% 27-Nov-2018 1,438,567 1.32 1,000,000 Alfa Bank OJSC Via Alfa Bond Issuance Plc Net current assets 3,694,254 3.40 7.500% 26-Sep-2019 1,019,850 0.94 1,500,000 Evraz Group SA 6.500% 22-Apr-2020 1,414,090 1.30 Total net assets 108,707,950 100.00 750,000 Gazprom OAO Via Gaz Capital SA 3.755% 15-Mar-2017 817,428 0.75 600,000 Lukoil International Finance BV Analysis of portfolio % of Total assets 3.416% 24-Apr-2018 586,350 0.54 1,600,000 Sberbank of Russia Via SB Capital SA Transferable securities and money market instruments admitted 5.500% 26-Feb-2024 VAR 1,415,965 1.30 to offi cial stock exchange listing or traded on a regulated market 96.55 1,700,000 Sberbank of Russia Via SB Capital SA OTC fi nancial derivative instruments 0.02 6.125% 07-Feb-2022 1,711,577 1.58 Other current assets 3.43 1,500,000 Severstal OAO Via Steel Capital SA 5.900% 17-Oct-2022 1,455,300 1.34 Total assets 100.00

South Africa - 1,714,625 (31 December 2014: 4,403,000) 1,714,625 1.58 Forward foreign currency contracts 355,000 Eskom Holdings SOC Ltd 7.125% 11-Feb-2025 310,625 0.29 Settle Unrealised 1,600,000 MTN Mauritius Investments Ltd Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) 4.755% 11-Nov-2024 1,404,000 1.29

South Korea - 6,832,485 BNY Mellon Emerging Markets Corporate Debt Fund US dollar Mexican peso 529,877 8,904,048 14-Jan-16 JPMorgan Chase (31 December 2014: 4,555,670) 6,832,485 6.28 17,725 US dollar Turkish lira 153,525 446,911 14-Jan-16 Citigroup Funding 2,250,000 Korea Gas Corp 2.250% 25-Jul-2017 2,268,090 2.08 Inc 972 4,500,000 Korea Hydro & Nuclear Power Co Ltd 2.875% 02-Oct-2018 4,564,395 4.20 USD 18,697 Thailand - 3,178,963 (31 December 2014: 2,760,329) 3,178,963 2.92 US dollar Euro 963,033 900,000 14-Jan-16 Royal Bank of Canada (17,540) 3,100,000 PTT Global Chemical PCL 4.250% 19-Sep-2022 3,178,963 2.92 US dollar Euro 2,408,191 2,250,000 14-Jan-16 Citigroup Funding Inc (43,244) Trinidad & Tobago - 506,458 (31 December 2014: 632,813) 506,458 0.47 USD (60,784) 541,667 Petroleum Co of Trinidad & Tobago Ltd 6.000% 08-May-2022 506,458 0.47 Net USD (42,087)

Turkey - 2,899,631 (31 December 2014: 4,867,396) 2,899,631 2.67 BNY Mellon Emerging Markets Corporate Debt Fund 500,000 Akbank TAS 7.500% 05-Feb-2018 154,482 0.14 EUR H (Hedged) Share Class 650,000 Turkiye Garanti Bankasi AS 4.750% 17-Oct-2019 648,141 0.60 Euro US dollar 5,388 5,930 15-Jan-16 The Bank of 650,000 Turkiye Is Bankasi 3.750% 10-Oct-2018 639,206 0.59 New York Mellon (59) 1,500,000 Turkiye Vakifl ar Bankasi TAO 6.875% 03-Feb-2025 VAR 1,457,802 1.34 USD (59)

United Arab Emirates - 1,492,599 EUR (54) (31 December 2014: 3,263,010) 1,492,599 1.37 1,500,000 DP World Ltd 3.250% 18-May-2020 1,492,599 1.37 BNY Mellon Emerging Markets Corporate Debt Fund Total investments in bonds 96,092,456 88.39 EUR I (Hedged) Share Class Euro US dollar 169,684 186,732 15-Jan-16 The Bank of New York Mellon (1,851) Unrealised gain on forward foreign currency contracts - 18,760 (see below) (31 December 2014: 256,443) 18,760 0.02 USD (1,851) Total fi nancial assets EUR (1,699) at fair value through profi t or loss 105,177,154 96.75

85 BNY MELLON EMERGING MARKETS CORPORATE DEBT FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Emerging Markets Corporate Debt Fund Sterling W (Acc) (Hedged) Share Class US dollar Sterling 13,801 9,271 15-Jan-16 The Bank of New York Mellon 63

USD 63

GBP 42

Sterling US dollar 2,964,963 4,494,534 15-Jan-16 The Bank of New York Mellon (100,764)

USD (100,764)

GBP (67,998)

Net USD (100,701)

Net GBP (67,956)

86 BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Angola - 700,979 Croatia - 284,900 (31 December 2014: –) 700,979 0.99 (31 December 2014: 2,311,500) 284,900 0.40 645,000 Angolan Government International Bond 280,000 Croatia Government International Bond 9.500% 12-Nov-2025 601,463 0.85 5.500% 04-Apr-2023 284,900 0.40 103,125 Republic of Angola Via Northern Lights III BV 7.000% 16-Aug-2019 99,516 0.14 Dominican Republic - 2,394,250 (31 December 2014: 3,493,500) 2,394,250 3.36 Argentina - 2,733,644 1,715,000 Dominican Republic International Bond (31 December 2014: 3,504,329) 2,733,644 3.84 5.875% 18-Apr-2024 1,715,000 2.41 2,440,000 Argentine Republic Government International Bond 650,000 Dominican Republic International Bond 4.383% 15-Dec-2035 250,100 0.35 6.600% 28-Jan-2024 679,250 0.95 588,856 Argentine Republic Government International Bond 8.280% 31-Dec-2033 678,656 0.95 El Salvador - 1,054,725 1,885,000 YPF SA 8.500% 28-Jul-2025 1,804,888 2.54 (31 December 2014: 1,897,400) 1,054,725 1.48 1,230,000 El Salvador Government International Bond Azerbaijan - 529,473 7.650% 15-Jun-2035 1,054,725 1.48 (31 December 2014: –) 529,473 0.74 565,000 Republic of Azerbaijan International Bond Georgia - 793,447 4.750% 18-Mar-2024 529,473 0.74 (31 December 2014: 555,970) 793,447 1.11 780,000 Georgian Railway JSC 7.750% 11-Jul-2022 793,447 1.11 Brazil - 4,561,937 (31 December 2014: 22,453,015) 4,561,937 6.41 Hungary - 2,645,219 2,835,000 Brazil Minas SPE Via State of Minas Gerais (31 December 2014: 9,199,607) 2,645,219 3.72 5.333% 15-Feb-2028 2,147,512 3.02 924,000 Hungary Government International Bond 750,000 Globo Comunicacao e Participacoes SA 5.375% 25-Mar-2024 1,014,090 1.43 4.843% 08-Jun-2025 678,750 0.95 1,475,000 MFB Magyar Fejlesztesi Bank Zrt 850,000 Odebrecht Finance Ltd 5.250% 27-Jun-2029 418,625 0.59 6.250% 21-Oct-2020 1,631,129 2.29 1,420,000 Petrobras Global Finance BV 3.250% 17-Mar-2017 1,317,050 1.85 India - 689,368 Chile - 1,393,154 (31 December 2014: 1,649,783) 689,368 0.97 (31 December 2014: 9,158,441) 1,393,154 1.96 1,175,000 Vedanta Resources Plc 8.250% 07-Jun-2021 689,368 0.97 645,000 Corp Nacional del Cobre de Chile 4.500% 16-Sep-2025 609,029 0.86 Indonesia - 4,565,435 850,000 VTR Finance BV 6.875% 15-Jan-2024 784,125 1.10 (31 December 2014: 22,348,677) 4,565,435 6.41 1,870,000 Indonesia Government International Bond China - 2,638,843 4.125% 15-Jan-2025 1,797,049 2.53 (31 December 2014: 12,860,806) 2,638,843 3.71 240,000 Indonesia Government International Bond 380,000 China Cinda Finance 2014 Ltd 5.625% 14-May-2024 397,462 0.56 5.950% 08-Jan-2046 237,600 0.33 750,000 Dianjian Haixing Ltd 4.050% Perpetual VAR 760,056 1.07 630,000 Indonesia Government International Bond 805,000 King Power Capital Ltd 5.625% 03-Nov-2024 847,279 1.19 8.500% 12-Oct-2035 786,111 1.10 700,000 Sinopec Group Overseas Development 2015 Ltd 785,000 Pertamina Persero PT 6.500% 27-May-2041 691,839 0.97 4.100% 28-Apr-2045 634,046 0.89 1,095,000 Perusahaan Gas Negara Persero Tbk PT 5.125% 16-May-2024 1,052,836 1.48 Colombia - 1,766,512 (31 December 2014: 15,110,023) 1,766,512 2.48 Iraq - 487,807 1,170,000 Colombia Government International Bond (31 December 2014: –) 487,807 0.69 4.500% 28-Jan-2026 1,121,737 1.58 720,000 Iraq International Bond 5.800% 15-Jan-2028 487,807 0.69 510,000 Colombia Government International Bond 7.375% 18-Sep-2037 564,825 0.79 Jamaica - 1,124,350 410,000 Pacifi c Exploration and Production Corp (31 December 2014: –) 1,124,350 1.58 5.375% 26-Jan-2019 79,950 0.11 1,130,000 Jamaica Government International Bond 6.750% 28-Apr-2028 1,124,350 1.58 Costa Rica - 352,000 (31 December 2014: 2,181,606) 352,000 0.49 Kazakhstan - 2,073,084 400,000 Costa Rica Government International Bond (31 December 2014: 12,174,275) 2,073,084 2.91 4.250% 26-Jan-2023 352,000 0.49 1,010,000 Development Bank of Kazakhstan JSC 4.125% 10-Dec-2022 893,167 1.25 Cote d’Ivoire - 1,441,388 650,000 Kazakhstan Temir Zholy Finance BV (31 December 2014: 3,971,469) 1,441,388 2.03 6.375% 06-Oct-2020 642,330 0.90 1,615,000 Cote d’Ivoire Government International Bond 610,000 Kazakhstan Temir Zholy Finance BV 5.375% 23-Jul-2024 1,441,388 2.03 6.950% 10-Jul-2042 537,587 0.76

87 BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Kenya - 379,000 Romania - 591,745 (31 December 2014: 2,304,500) 379,000 0.53 (31 December 2014: 5,465,386) 591,745 0.83 400,000 Kenya Government International Bond 550,000 Romanian Government International Bond 5.875% 24-Jun-2019 379,000 0.53 4.875% 22-Jan-2024 591,745 0.83

Malaysia - 342,593 Russia - 6,583,137 (31 December 2014: –) 342,593 0.48 (31 December 2014: 23,836,650) 6,583,137 9.25 360,000 Petronas Capital Ltd 4.500% 18-Mar-2045 342,593 0.48 1,370,000 Gazprom Neft OAO Via GPN Capital SA 6.000% 27-Nov-2023 1,296,288 1.82 Mexico - 7,436,355 790,000 MMC Norilsk Nickel OJSC Via MMC Finance Ltd (31 December 2014: 31,416,342) 7,436,355 10.45 6.625% 14-Oct-2022 806,306 1.13 200,000 Banco Nacional de Comercio Exterior SNC 590,000 Russian Agricultural Bank OJSC Via RSHB Capital SA 4.375% 14-Oct-2025 198,000 0.28 8.500% 16-Oct-2023 549,883 0.77 500,000 Cemex SAB de CV 5.700% 11-Jan-2025 419,375 0.59 790,000 Severstal OAO Via Steel Capital SA 825,000 Comision Federal de Electricidad 5.900% 17-Oct-2022 766,486 1.08 5.750% 14-Feb-2042 746,625 1.05 1,150,000 Vnesheconombank Via VEB Finance Plc 350,000 Fresnillo Plc 5.500% 13-Nov-2023 353,500 0.50 6.025% 05-Jul-2022 1,091,799 1.53 620,000 Mexico Government International Bond 920,000 Vnesheconombank Via VEB Finance Plc 4.750% 08-Mar-2044 566,370 0.79 6.800% 22-Nov-2025 900,056 1.27 120,000 Petroleos Mexicanos 6.375% 23-Jan-2045 102,166 0.14 1,155,000 Vnesheconombank Via VEB Finance Plc 1,615,000 Petroleos Mexicanos 6.625% 15-Jun-2035 1,451,481 2.04 6.902% 09-Jul-2020 1,172,319 1.65 1,075,000 Petroleos Mexicanos 6.625% 15-Jun-2038 951,375 1.34 1,435,000 Southern Copper Corp 5.875% 23-Apr-2045 1,105,988 1.55 Serbia - 1,826,065 1,530,000 Tenedora Nemak SA de CV 5.500% 28-Feb-2023 1,541,475 2.17 (31 December 2014: 902,919) 1,826,065 2.57 1,610,000 Republic of Serbia 7.250% 28-Sep-2021 1,826,065 2.57 Mongolia - 195,784 (31 December 2014: –) 195,784 0.27 South Africa - 838,631 245,000 Mongolia Government International Bond (31 December 2014: 7,819,150) 838,631 1.18 5.125% 05-Dec-2022 195,784 0.27 945,000 Transnet SOC Ltd 4.000% 26-Jul-2022 838,631 1.18

Morocco - 807,971 Sri Lanka - 531,168 (31 December 2014: 4,359,018) 807,971 1.14 (31 December 2014: 5,266,621) 531,168 0.75 820,000 OCP SA 6.875% 25-Apr-2044 807,971 1.14 380,000 Sri Lanka Government International Bond 5.875% 25-Jul-2022 348,078 0.49 Pakistan - 1,280,091 205,000 Sri Lanka Government International Bond (31 December 2014: –) 1,280,091 1.80 6.125% 03-Jun-2025 183,090 0.26 745,000 Pakistan Government International Bond 8.250% 15-Apr-2024 769,512 1.08 Turkey - 3,961,583 500,000 Pakistan Government International Bond (31 December 2014: 26,873,701) 3,961,583 5.57 8.250% 30-Sep-2025 510,579 0.72 415,000 Export Credit Bank of Turkey 5.000% 23-Sep-2021 408,460 0.57 Panama - 1,359,262 610,000 TC Ziraat Bankasi AS 4.250% 03-Jul-2019 602,442 0.85 (31 December 2014: 6,799,652) 1,359,262 1.91 800,000 Turkcell Iletisim Hizmetleri AS 580,000 AES Panama SRL 6.000% 25-Jun-2022 578,550 0.81 5.750% 15-Oct-2025 780,208 1.10 300,000 Global Bank Corp 5.125% 30-Oct-2019 297,750 0.42 1,190,000 Turkey Government International Bond 405,000 Panama Government International Bond 4.250% 14-Apr-2026 1,119,375 1.57 6.700% 26-Jan-2036 482,962 0.68 430,000 Turkey Government International Bond 6.875% 17-Mar-2036 482,499 0.68 Peru - 1,357,675 454,000 Turkey Government International Bond (31 December 2014: 7,943,863) 1,357,675 1.91 8.000% 14-Feb-2034 568,599 0.80 515,000 Corp Financiera de Desarrollo SA 4.750% 15-Jul-2025 509,850 0.72 Ukraine - 347,155 425,000 Peruvian Government International Bond (31 December 2014: –) 347,155 0.49 4.125% 25-Aug-2027 418,625 0.59 50,000 Ukraine Government International Bond 370,000 Peruvian Government International Bond 0.000% 31-May-2040 VAR 20,188 0.03 6.550% 14-Mar-2037 429,200 0.60 245,000 Ukraine Government International Bond 7.750% 01-Sep-2019 227,992 0.32 Philippines - 1,054,701 107,000 Ukraine Government International Bond (31 December 2014: 13,032,995) 1,054,701 1.48 7.750% 01-Sep-2020 98,975 0.14 1,040,000 Philippine Government International Bond 3.950% 20-Jan-2040 1,054,701 1.48

88 BNY MELLON EMERGING MARKETS DEBT FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Bonds contd. BNY Mellon Emerging Markets Debt Fund United Arab Emirates - 513,500 EUR H (Acc) (Hedged) Share Class (31 December 2014: –) 513,500 0.72 US dollar Euro 43,087 39,250 15-Jan-16 The Bank of New York Mellon 420 520,000 DP World Ltd 6.850% 02-Jul-2037 513,500 0.72 USD 420 Uruguay - 1,118,000 (31 December 2014: 4,001,250) 1,118,000 1.57 EUR 386 360,000 Uruguay Government International Bond 4.375% 27-Oct-2027 355,500 0.50 Euro US dollar 3,174 3,470 15-Jan-16 The Bank of 610,000 Uruguay Government International Bond New York Mellon (20) 7.875% 15-Jan-2033 762,500 1.07 Euro US dollar 1,501,246 1,648,004 15-Jan-16 The Bank of New York Mellon (16,063) Venezuela - 2,620,550 (31 December 2014: 12,675,758) 2,620,550 3.68 USD (16,083) 1,500,000 Petroleos de Venezuela SA 5.500% 12-Apr-2037 548,250 0.77 560,000 Petroleos de Venezuela SA 8.500% 02-Nov-2017 299,600 0.42 EUR (14,799) 3,280,000 Venezuela Government International Bond 7.750% 13-Oct-2019 1,320,200 1.85 Net USD (15,663) 1,000,000 Venezuela Government International Bond 12.750% 23-Aug-2022 452,500 0.64 Net EUR (14,413)

Vietnam - 782,970 (31 December 2014: 2,238,904) 782,970 1.10 BNY Mellon Emerging Markets Debt Fund 810,000 Vietnam Government International Bond EUR I (Acc) (Hedged) Share Class 4.800% 19-Nov-2024 782,970 1.10 Euro US dollar 1,672,866 1,836,400 15-Jan-16 The Bank of New York Mellon (17,900) Total investments in bonds 66,158,451 92.96 USD (17,900) Unrealised gain on forward foreign currency contracts - 420 (see below) EUR (16,471) (31 December 2014: 33,130) 420 0.00

Total fi nancial assets at fair value through profi t or loss 66,158,871 92.96

Unrealised loss on forward foreign currency contracts - (33,983) (see below) (31 December 2014: (512,401)) (33,983) (0.05)

Total fi nancial liabilities at fair value through profi t or loss (33,983) (0.05)

Net current assets 5,042,792 7.09

Total net assets 71,167,680 100.00

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 92.28 OTC fi nancial derivative instruments 0.00 Other current assets 7.72

Total assets 100.00

89 BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Argentina - 3,410,503 Philippines - 12,770,481 (31 December 2014: –) 3,410,503 0.26 (31 December 2014: 15,724,854) 12,770,481 0.96 8,420,000 Argentine Republic Government International 590,000,000 Philippine Government International Bond Bond 5.830% 31-Dec-2033 VAR 3,410,503 0.26 4.950% 15-Jan-2021 12,770,481 0.96

Brazil - 256,362,107 Poland - 141,579,726 (31 December 2014: 353,161,984) 256,362,107 19.36 (31 December 2014: 238,127,698) 141,579,726 10.69 132,010,000 Brazil Letras do Tesouro Nacional 134,635,000 Poland Government Bond 3.250% 25-Jul-2025 35,326,702 2.67 0.000% 01-Apr-2016 32,267,065 2.44 136,500,000 Poland Government Bond 4.000% 25-Oct-2023 37,743,547 2.85 446,320,000 Brazil Letras do Tesouro Nacional 29,817,000 Poland Government Bond 5.250% 25-Oct-2017 8,088,326 0.61 0.000% 01-Jul-2016 105,243,525 7.95 7,135,000 Poland Government Bond 5.250% 25-Oct-2020 2,069,025 0.15 11,000,000 Brazil Notas do Tesouro Nacional Serie B 42,801,000 Poland Government Bond 5.500% 25-Oct-2019 12,296,975 0.93 6.000% 15-May-2023 7,194,111 0.54 151,903,000 Poland Government Bond 5.750% 23-Sep-2022 46,055,151 3.48 10,400,000 Brazil Notas do Tesouro Nacional Serie B 6.000% 15-Aug-2024 6,814,640 0.51 Romania - 3,734,938 369,155,000 Brazil Notas do Tesouro Nacional Serie F (31 December 2014: 6,432,118) 3,734,938 0.28 10.000% 01-Jan-2023 70,266,770 5.31 14,430,000 Romania Government Bond 191,190,000 Brazil Notas do Tesouro Nacional Serie F 5.900% 26-Jul-2017 3,734,938 0.28 10.000% 01-Jan-2025 34,575,996 2.61 Russia - 89,189,556 Colombia - 117,635,574 (31 December 2014: 112,985,628) 89,189,556 6.74 (31 December 2014: 212,053,242) 117,635,574 8.88 877,100,000 AHML Finance Ltd 7.750% 13-Feb-2018 11,218,470 0.85 93,400,500,000 Colombian TES 7.000% 04-May-2022 27,940,092 2.11 1,328,900,000 Russian Agricultural Bank OJSC Via RSHB 26,770,600,000 Colombian TES 7.250% 15-Jun-2016 8,493,191 0.64 Capital SA 8.625% 17-Feb-2017 17,728,436 1.34 28,009,000,000 Colombian TES 7.750% 18-Sep-2030 7,954,583 0.60 2,064,200,000 Russian Agricultural Bank OJSC Via RSHB 49,370,600,000 Colombian TES 10.000% 24-Jul-2024 17,191,140 1.30 Capital SA 8.700% 17-Mar-2016 28,311,776 2.14 46,429,000,000 Empresas Publicas de Medellin ESP 1,928,990,000 Russian Federal Bond - OFZ 7.625% 10-Sep-2024 12,693,743 0.96 7.050% 19-Jan-2028 22,139,785 1.67 113,704,000,000 Empresas Publicas de Medellin ESP 769,400,000 Russian Railways Via RZD Capital Plc 8.375% 01-Feb-2021 34,467,373 2.60 8.300% 02-Apr-2019 9,791,089 0.74 31,996,000,000 Financiera de Desarrollo Territorial SA Findeter 7.875% 12-Aug-2024 8,895,452 0.67 South Africa - 96,290,679 (31 December 2014: 253,316,341) 96,290,679 7.27 Hungary - 35,672,736 55,445,000 South Africa Government Bond (31 December 2014: –) 35,672,736 2.69 7.000% 28-Feb-2031 2,739,159 0.21 1,278,100,000 Hungary Government Bond 3.000% 26-Jun-2024 4,290,705 0.32 315,829,022 South Africa Government Bond 1,320,940,000 Hungary Government Bond 3.250% 22-Oct-2031 4,204,929 0.32 7.250% 15-Jan-2020 19,147,530 1.44 6,722,830,000 Hungary Government Bond 5.500% 24-Jun-2025 27,177,102 2.05 52,880,023 South Africa Government Bond 8.000% 21-Dec-2018 3,342,175 0.25 Indonesia - 113,193,632 856,996,735 South Africa Government Bond (31 December 2014: 185,360,929) 113,193,632 8.55 10.500% 21-Dec-2026 58,640,410 4.43 24,701,000,000 Indonesia Treasury Bond 5.625% 15-May-2023 1,476,953 0.11 205,960,000 Transnet SOC Ltd 9.500% 13-May-2021 12,421,405 0.94 439,614,000,000 Indonesia Treasury Bond 7.000% 15-May-2027 27,548,714 2.08 244,206,000,000 Indonesia Treasury Bond 8.250% 15-Jun-2032 16,359,233 1.24 Thailand - 61,994,749 98,618,000,000 Indonesia Treasury Bond 8.375% 15-Mar-2034 6,729,382 0.51 (31 December 2014: 73,859,101) 61,994,749 4.68 202,317,000,000 Indonesia Treasury Bond 9.500% 15-Jul-2023 15,140,584 1.14 1,927,696,200 Thailand Government Bond 408,882,000,000 Indonesia Treasury Bond 10.000% 15-Sep-2024 31,505,077 2.38 1.200% 14-Jul-2021 50,843,007 3.84 175,963,000,000 Indonesia Treasury Bond 11.000% 15-Sep-2025 14,433,689 1.09 400,989,043 Thailand Government Bond 1.250% 12-Mar-2028 9,810,910 0.74 Malaysia - 43,399,997 43,135,000 Thailand Government Bond (31 December 2014: 174,858,030) 43,399,997 3.28 3.850% 12-Dec-2025 1,340,832 0.10 46,570,000 Malaysia Government Bond 3.844% 15-Apr-2033 9,790,243 0.74 144,721,000 Malaysia Government Bond 4.181% 15-Jul-2024 33,609,754 2.54 Turkey - 150,096,954 (31 December 2014: 179,614,811) 150,096,954 11.33 Mexico - 111,030,904 54,167,000 Turkey Government Bond 6.300% 14-Feb-2018 17,115,241 1.29 (31 December 2014: 205,404,575) 111,030,904 8.38 115,795,000 Turkey Government Bond 7.100% 08-Mar-2023 32,905,331 2.49 258,590,000 Comision Federal de Electricidad 102,070,000 Turkey Government Bond 8.800% 27-Sep-2023 31,831,253 2.40 7.350% 25-Nov-2025 14,561,582 1.10 11,580,000 Turkey Government Bond 9.000% 24-Jul-2024 3,608,883 0.27 152,335,000 Mexican Bonos 7.750% 29-May-2031 9,712,237 0.73 101,095,000 Turkey Government Bond 295,831,600 Mexican Bonos 10.000% 20-Nov-2036 23,003,123 1.74 10.400% 20-Mar-2024 34,196,344 2.58 34,521,074 Mexican Udibonos 4.000% 15-Nov-2040 2,033,259 0.15 88,465,302 Turkey Government Bond 1,145,920,000 Petroleos Mexicanos 7.190% 12-Sep-2024 61,720,703 4.66 10.500% 15-Jan-2020 30,439,902 2.30

90 BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Bonds contd. BNY Mellon Emerging Markets Debt Local Currency Fund United States of America - 18,828,248 US dollar Euro 21,360 19,534 04-Jan-16 The Bank of New York Mellon 132 (31 December 2014: 5,584,806) 18,828,248 1.42 US dollar Sterling 13,562 9,149 04-Jan-16 The Bank of 3,215,000 United States Treasury Bill 0.000% 11-Feb-2016 3,214,574 0.24 New York Mellon 75 15,620,000 United States Treasury Bill 0.000% 31-Mar-2016 15,613,674 1.18 US dollar Euro 44,214 40,447 05-Jan-16 The Bank of New York Mellon 258 Total investments in bonds 1,255,190,784 94.77 Chilean peso US dollar 21,060,035,000 29,446,358 29-Jan-16 JPMorgan Chase 185,385 Hungarian forint US dollar 159,200,000 544,096 29-Jan-16 Morgan Stanley 4,181 Unrealised gain on forward foreign currency contracts - 18,555,163 (see below) Hungarian forint US dollar 1,674,080,000 5,718,072 29-Jan-16 Citigroup 47,374 (31 December 2014: 34,361,730) 18,555,163 1.40 Hungarian forint US dollar 3,649,655,000 12,474,804 29-Jan-16 Goldman Sachs 94,421 Indian rupee US dollar 1,365,035,000 20,399,079 29-Jan-16 Citigroup 150,686 Total fi nancial assets Indonesian rupiah US dollar 126,241,170,000 8,981,940 29-Jan-16 JPMorgan Chase 70,940 at fair value through profi t or loss 1,273,745,947 96.17 Malaysian ringgit US dollar 280,550,000 63,746,876 29-Jan-16 JPMorgan Chase 1,312,215 Polish zloty US dollar 12,570,000 3,104,235 29-Jan-16 JPMorgan Chase 98,286 Currency options - (2,386,918) Romanian leu US dollar 53,355,000 12,746,058 29-Jan-16 JPMorgan Chase 86,243 (31 December 2014: 330,432) South African rand US dollar 232,305,000 14,500,031 29-Jan-16 JPMorgan Chase 451,041 (14,600,000) Brazilian real/US dollar Put 05-Jan-2016 3.700 (360) (0.00) Thai baht US dollar 696,040,000 19,260,612 29-Jan-16 JPMorgan Chase 68,689 (15,200,000) Chilean peso/US dollar Put 15-Jan-2016 650.000 (56) (0.00) US dollar Colombian peso 43,002,800 132,771,145,000 29-Jan-16 Morgan Stanley 1,287,965 (14,600,000) Colombian peso/US dollar Call US dollar Korean won 13,924,347 16,324,905,000 29-Jan-16 JPMorgan Chase 38,285 07-Jan-2016 3,200.000 (111,819) (0.01) US dollar Mexican peso 2,425,675 40,240,000 29-Jan-16 Goldman Sachs 95,165 (13,800,000) Euro/US dollar Put 04-Mar-2016 1.130 (47,709) (0.00) US dollar Russian rouble 4,038,782 266,600,000 29-Jan-16 JPMorgan Chase 412,378 (14,400,000) Korean won/US dollar Put 27-Jan-2016 1,100.000 (1,248) (0.00) US dollar Russian rouble 14,747,583 987,830,000 29-Jan-16 Morgan Stanley 1,310,709 (14,700,000) Mexican peso/US dollar Put 11-Jan-2016 16.100 (71) (0.00) US dollar Russian rouble 6,248,672 411,600,000 29-Jan-16 JPMorgan Chase 649,917 (13,900,000) US dollar/Brazilian real Call 23-Feb-2016 4.400 (146,143) (0.01) US dollar South African rand 75,423,481 1,084,205,000 29-Jan-16 JPMorgan Chase 5,644,410 (13,900,000) US dollar/Brazilian real Put 23-Feb-2016 3.500 (19,487) (0.00) US dollar Taiwanese dollar 15,471,037 507,450,000 29-Jan-16 Citigroup 20,177 (13,800,000) US dollar/Euro Call 04-Mar-2016 1.060 (96,968) (0.01) US dollar Turkish lira 38,278,420 111,995,000 29-Jan-16 Deutsche Bank 160,638 (14,400,000) US dollar/Hungarian forint Call US dollar Brazilian real 3,374,841 13,280,000 02-Feb-16 Morgan Stanley 53,457 05-Feb-2016 302.000 (48,621) (0.00) US dollar Brazilian real 132,424,386 504,815,000 02-Feb-16 Morgan Stanley 6,168,015 (13,900,000) US dollar/Korean won Call 11-Feb-2016 1,210.000 (66,649) (0.01) US dollar Peruvian nuevo sol 4,756,098 16,965,000 21-Oct-16 JPMorgan Chase 16,767 (14,400,000) US dollar/Malaysian ringgit Call 15-Jan-2016 4.400 (39,246) (0.00) US dollar Peruvian nuevo sol 10,586,328 37,555,000 21-Oct-16 JPMorgan Chase 94,990 (15,400,000) US dollar/South African rand Call 07-Jan-2016 15.000 (489,527) (0.04) USD 18,522,799 (13,000,000) US dollar/South African rand Call 16-Mar-2016 16.000 (346,216) (0.03) Colombian peso US dollar 2,150,880,000 689,827 29-Jan-16 JPMorgan Chase (14,050) (14,400,000) US dollar/South African rand Call Indonesian rupiah US dollar 20,923,760,000 1,521,728 29-Jan-16 JPMorgan Chase (21,264) 21-Jan-2016 14.500 (958,494) (0.07) Mexican peso US dollar 31,230,000 1,812,305 29-Jan-16 JPMorgan Chase (3,612) (14,400,000) US dollar/Turkish lira Call 20-Jan-2016 3.100 (14,304) (0.00) Mexican peso US dollar 1,241,220,000 73,750,446 29-Jan-16 Bank of America Securities Ltd (1,864,894) Total currency options (2,386,918) (0.18) South African rand US dollar 90,450,000 6,406,034 29-Jan-16 JPMorgan Chase (584,703) South African rand US dollar 44,620,000 3,074,114 29-Jan-16 JPMorgan Chase (202,386) Unrealised loss on forward foreign currency contracts - (5,879,624) (see below) South African rand US dollar 95,820,000 6,782,097 29-Jan-16 JPMorgan Chase (615,154) (31 December 2014: (24,853,369)) (5,879,624) (0.44) South African rand US dollar 9,790,000 674,480 29-Jan-16 Morgan Stanley (44,399) South African rand US dollar 132,360,000 9,374,270 29-Jan-16 JPMorgan Chase (855,624) Total fi nancial liabilities Taiwanese dollar US dollar 63,600,000 1,945,549 29-Jan-16 Citigroup (9,054) at fair value through profi t or loss (8,266,542) (0.62) Thai baht US dollar 137,040,000 3,828,468 29-Jan-16 JPMorgan Chase (22,814) US dollar Chilean peso 1,958,453 1,400,000,000 29-Jan-16 Morgan Stanley (11,365) Net current assets 59,001,832 4.45 US dollar Philippine peso 6,062,197 287,530,000 29-Jan-16 JPMorgan Chase (48,853) US dollar Polish zloty 7,464,304 29,863,000 29-Jan-16 JPMorgan Chase Total net assets 1,324,481,237 100.00 (144,040) US dollar Romanian leu 4,460,578 18,555,000 29-Jan-16 JPMorgan Chase (2,047) The counterparties for currency options are Barclays Bank, Citigroup, Deutsche Bank, Goldman Sachs and US dollar Taiwanese dollar 6,842,901 225,490,000 29-Jan-16 JPMorgan Chase (22,829) JPMorgan Chase. US dollar Taiwanese dollar 6,779,681 224,680,000 29-Jan-16 JPMorgan Chase (61,385) US dollar Turkish lira 7,957,172 23,410,000 29-Jan-16JPMorgan Chase (10,481) Analysis of portfolio % of Total assets USD (4,538,954) Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 93.69 Net USD13,983,845 OTC fi nancial derivative instruments 1.38 Other current assets 4.93

Total assets 100.00

91 BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Emerging Markets Debt Local Currency Fund BNY Mellon Emerging Markets Debt Local Currency Fund EUR H (Hedged) Share Class EUR I (Inc) (Hedged) Share Class US dollar Euro 39,479 35,996 15-Jan-16 The Bank of US dollar Euro 2,305,851 2,096,246 15-Jan-16 The Bank of New York Mellon 349 New York Mellon 27,112 US dollar Euro 2,471 2,265 15-Jan-16 The Bank of New York Mellon 9 USD 27,112 US dollar Euro 21,322 19,534 15-Jan-16 The Bank of New York Mellon 87 EUR 24,948 US dollar Euro 1,030 936 15-Jan-16 The Bank of New York Mellon 13 US dollar Euro 56,225 51,436 15-Jan-16 The Bank of Euro US dollar 65,563,975 71,973,313 15-Jan-16 The Bank of New York Mellon 312 New York Mellon (701,551) US dollar Euro 10,566 9,695 15-Jan-16 The Bank of New York Mellon 27 USD (701,551)

USD 797 EUR (645,549)

EUR 733 Net USD (674,439)

Euro US dollar 19,534 21,360 04-Jan-16 The Bank of Net EUR (620,601) New York Mellon (131) Euro US dollar 2,149,025 2,359,107 15-Jan-16 The Bank of New York Mellon (22,996) BNY Mellon Emerging Markets Debt Local Currency Fund US dollar Euro 3,085 2,843 15-Jan-16 The Bank of EUR W (Hedged) Share Class New York Mellon (7) US dollar Euro 43,994 40,447 15-Jan-16 The Bank of US dollar Euro 193,712 178,735 15-Jan-16 The Bank of New York Mellon 26 New York Mellon (581) US dollar Euro 13,163 12,042 15-Jan-16 The Bank of New York Mellon 73 USD (23,715) US dollar Euro 79,746 72,764 15-Jan-16 The Bank of New York Mellon 648 EUR (21,822) USD 747 Net USD (22,918) EUR 687 Net EUR (21,089) Euro US dollar 40,447 44,214 05-Jan-16 The Bank of New York Mellon (258) BNY Mellon Emerging Markets Debt Local Currency Fund Euro US dollar 50,877,138 55,850,734 15-Jan-16 The Bank of EUR I (Hedged) Share Class New York Mellon (544,398) US dollar Euro 47,747 43,775 15-Jan-16 The Bank of Euro US dollar 72,749 79,804 15-Jan-16 The Bank of New York Mellon 162 New York Mellon (722) US dollar Euro 135,990 124,407 15-Jan-16 The Bank of New York Mellon 753 USD (545,378) US dollar Euro 11,481 10,427 15-Jan-16 The Bank of New York Mellon 147 EUR (501,843)

USD 1,062 Net USD (544,631) EUR 977 Net EUR (501,156)

Euro US dollar 3,432,787 3,768,366 15-Jan-16 The Bank of New York Mellon (36,732) BNY Mellon Emerging Markets Debt Local Currency Fund Sterling J (Inc) (Hedged) Share Class USD (36,732) US dollar Sterling 17,445 11,788 15-Jan-16 The Bank of New York Mellon 66 EUR (33,800) USD 66 Net USD (35,670) GBP 45 Net EUR (32,823)

92 BNY MELLON EMERGING MARKETS DEBT LOCAL CURRENCY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Emerging Markets Debt Local Currency Fund Sterling J (Inc) (Hedged) Share Class contd. Sterling US dollar 114,777 173,712 15-Jan-16 The Bank of New York Mellon (4,502)

USD (4,502)

GBP (3,054)

Net USD (4,436)

Net GBP (3,009)

BNY Mellon Emerging Markets Debt Local Currency Fund Sterling W (Inc) (Hedged) Share Class US dollar Sterling 19,384 13,035 15-Jan-16 The Bank of New York Mellon 167 US dollar Sterling 6,112 4,101 15-Jan-16 The Bank of New York Mellon 66 US dollar Sterling 13,555 9,149 15-Jan-16 The Bank of New York Mellon 66 US dollar Sterling 14,164 9,571 15-Jan-16 The Bank of New York Mellon 55 US dollar Sterling 4,451 2,941 15-Jan-16 The Bank of New York Mellon 115 US dollar Sterling 29,269 19,245 15-Jan-16 The Bank of New York Mellon 896 US dollar Sterling 5,484 3,680 15-Jan-16 The Bank of New York Mellon 59 US dollar Sterling 45,936 30,374 15-Jan-16 The Bank of New York Mellon 1,156

USD 2,580

GBP 1,751

Sterling US dollar 9,149 13,562 04-Jan-16 The Bank of New York Mellon (75) Sterling US dollar 732,077 1,107,984 15-Jan-16 The Bank of New York Mellon (28,717)

USD (28,792)

GBP (19,531)

Net USD (26,212)

Net GBP (17,780)

93 BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Angola - 708,700 China contd. (31 December 2014: –) 708,700 0.81 200,000 China Cinda Finance 2015 I Ltd 760,000 Angolan Government International Bond 3.125% 23-Apr-2020 195,462 0.22 9.500% 12-Nov-2025 708,700 0.81 310,000 Dianjian Haixing Ltd 4.050% Perpetual VAR 314,156 0.36 245,000 Huarong Finance II Co Ltd 5.500% 16-Jan-2025 253,040 0.29 Argentina - 1,509,243 565,000 King Power Capital Ltd 5.625% 03-Nov-2024 594,674 0.68 (31 December 2014: –) 1,509,243 1.72 950,000 Sinopec Group Overseas Development 2014 Ltd 2,300,000 Argentine Republic Government International Bond 4.375% 10-Apr-2024 983,528 1.12 4.383% 15-Dec-2035 235,750 0.27 275,000 Sinopec Group Overseas Development 2015 Ltd 375,000 Argentine Republic Government International Bond 2.500% 28-Apr-2020 271,082 0.31 5.830% 31-Dec-2033 VAR 151,893 0.17 150,000 Provincia de Buenos Aires 9.950% 09-Jun-2021 154,875 0.18 Colombia - 5,673,833 140,000 YPF SA 144A 8.500% 28-Jul-2025 133,700 0.15 (31 December 2014: 1,381,532) 5,673,833 6.44 870,000 YPF SA 8.500% 28-Jul-2025 833,025 0.95 200,000 Banco Davivienda SA 5.875% 09-Jul-2022 200,250 0.23 345,000 Colombia Government International Bond Brazil - 12,456,228 4.500% 28-Jan-2026 330,769 0.38 (31 December 2014: 2,345,162) 12,456,228 14.16 570,000 Colombia Government International Bond 4,140,000 Brazil Letras do Tesouro Nacional 7.375% 18-Sep-2037 631,275 0.72 0.000% 01-Apr-2016 1,011,936 1.15 3,440,600,000 Colombian TES 7.000% 04-May-2022 1,029,231 1.17 14,480,000 Brazil Letras do Tesouro Nacional 1,592,100,000 Colombian TES 7.750% 18-Sep-2030 452,158 0.51 0.000% 01-Jul-2016 3,414,425 3.88 2,637,200,000 Colombian TES 10.000% 24-Jul-2024 918,289 1.04 2,930,000 Brazil Minas SPE Via State of Minas Gerais 125,000,000 Emgesa SA ESP 8.750% 25-Jan-2021 38,644 0.04 5.333% 15-Feb-2028 2,219,475 2.53 1,616,000,000 Empresas Publicas de Medellin ESP 750,000 Brazil Notas do Tesouro Nacional Serie B 7.625% 10-Sep-2024 441,816 0.50 6.000% 15-May-2023 490,508 0.56 4,102,000,000 Empresas Publicas de Medellin ESP 750,000 Brazil Notas do Tesouro Nacional Serie B 8.375% 01-Feb-2021 1,243,449 1.41 6.000% 15-Aug-2024 491,440 0.56 1,318,000,000 Financiera de Desarrollo Territorial SA Findeter 1,200,000 Brazil Notas do Tesouro Nacional Serie F 7.875% 12-Aug-2024 366,427 0.42 10.000% 01-Jan-2017 289,492 0.33 105,000 Pacifi c Exploration and Production Corp 7,175,000 Brazil Notas do Tesouro Nacional Serie F 7.250% 12-Dec-2021 21,525 0.02 10.000% 01-Jan-2023 1,365,725 1.55 6,620,000 Brazil Notas do Tesouro Nacional Serie F Cote d’Ivoire - 290,062 10.000% 01-Jan-2025 1,197,202 1.36 (31 December 2014: 190,250) 290,062 0.33 170,000 Brazilian Government International Bond 325,000 Cote d’Ivoire Government International Bond 8.750% 04-Feb-2025 185,725 0.21 5.375% 23-Jul-2024 290,062 0.33 250,000 Embraer Netherlands Finance BV 5.050% 15-Jun-2025 228,125 0.26 Dominican Republic - 1,113,975 420,000 Globo Comunicacao e Participacoes SA (31 December 2014: –) 1,113,975 1.27 4.843% 08-Jun-2025 380,100 0.43 595,000 Dominican Republic International Bond 700,000 Odebrecht Finance Ltd 7.125% 26-Jun-2042 362,250 0.41 5.875% 18-Apr-2024 595,000 0.68 215,000 Petrobras Global Finance BV 300,000 Dominican Republic International Bond 2.000% 20-May-2016 212,313 0.24 6.600% 28-Jan-2024 313,500 0.36 655,000 Petrobras Global Finance BV 110,000 Dominican Republic International Bond 3.250% 17-Mar-2017 607,512 0.69 6.850% 27-Jan-2045 104,225 0.12 100,000 Dominican Republic International Bond Chile - 1,774,037 7.450% 30-Apr-2044 101,250 0.11 (31 December 2014: 559,338) 1,774,037 2.02 200,000 AES Gener SA 144A 5.000% 14-Jul-2025 191,793 0.22 Ghana - 390,968 500,000 Colbun SA 4.500% 10-Jul-2024 489,390 0.56 (31 December 2014: –) 390,968 0.44 480,000 Corp Nacional del Cobre de Chile 400,000 Ghana Government International Bond 4.500% 16-Sep-2025 453,231 0.51 8.500% 04-Oct-2017 390,968 0.44 795,000 Corp Nacional del Cobre de Chile 4.875% 04-Nov-2044 639,623 0.73 Hong Kong - 356,927 (31 December 2014: –) 356,927 0.40 China - 4,004,790 340,000 Prosperous Ray Ltd 4.625% 12-Nov-2023 356,927 0.40 (31 December 2014: 804,964) 4,004,790 4.56 200,000 Alibaba Group Holding Ltd 3.125% 28-Nov-2021 194,335 0.22 Hungary - 3,110,135 470,000 Alibaba Group Holding Ltd 3.600% 28-Nov-2024 450,656 0.51 (31 December 2014: 462,035) 3,110,135 3.54 715,000 China Cinda Finance 2014 Ltd 73,320,000 Hungary Government Bond 3.000% 26-Jun-2024 246,142 0.28 5.625% 14-May-2024 747,857 0.85 60,340,000 Hungary Government Bond 3.250% 22-Oct-2031 192,080 0.22 218,350,000 Hungary Government Bond 5.500% 24-Jun-2025 882,682 1.00

94 BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Hungary contd. Mexico contd. 4,500,000 Hungary Government Bond 6.000% 24-Nov-2023 18,368 0.02 11,710,000 Comision Federal de Electricidad 276,000 Hungary Government International Bond 7.350% 25-Nov-2025 659,407 0.75 5.375% 25-Mar-2024 302,910 0.35 1,150,000 Metalsa SA de CV 4.900% 24-Apr-2023 994,750 1.13 200,000 Magyar Export-Import Bank RT 5,790,000 Mexican Bonos 7.750% 29-May-2031 369,146 0.42 4.000% 30-Jan-2020 201,755 0.23 9,275,000 Mexican Bonos 10.000% 20-Nov-2036 721,201 0.82 1,145,000 MFB Magyar Fejlesztesi Bank RT 3,662,142 Mexican Udibonos 4.000% 15-Nov-2040 215,697 0.24 6.250% 21-Oct-2020 1,266,198 1.44 230,000 Mexichem SAB de CV 5.875% 17-Sep-2044 193,775 0.22 186,000 Mexico Government International Bond India - 1,735,524 4.750% 08-Mar-2044 169,911 0.19 (31 December 2014: 453,140) 1,735,524 1.97 275,000 Mexico Government International Bond 1,000,000 Reliance Industries Ltd 4.125% 28-Jan-2025 982,132 1.11 6.750% 27-Sep-2034 331,375 0.38 260,000 Rolta Americas LLC 8.875% 24-Jul-2019 139,100 0.16 455,000 Nemak SAB de CV 5.500% 28-Feb-2023 458,412 0.52 450,000 Vedanta Resources Plc 6.750% 07-Jun-2016 408,949 0.47 690,000 Petroleos Mexicanos 6.375% 23-Jan-2045 587,453 0.67 350,000 Vedanta Resources Plc 8.250% 07-Jun-2021 205,343 0.23 1,115,000 Petroleos Mexicanos 6.625% 15-Jun-2035 1,002,106 1.14 41,930,000 Petroleos Mexicanos 7.190% 12-Sep-2024 2,258,403 2.57 Indonesia - 5,693,809 3,815,000 Petroleos Mexicanos 7.650% 24-Nov-2021 217,892 0.25 (31 December 2014: 1,089,324) 5,693,809 6.47 4,200,000 Red de Carreteras de Occidente 774,000,000 Indonesia Treasury Bond 5.625% 15-May-2023 46,280 0.05 9.000% 10-Jun-2028 236,811 0.27 13,784,000,000 Indonesia Treasury Bond 7.000% 15-May-2027 863,784 0.98 515,000 Southern Copper Corp 5.875% 23-Apr-2045 396,923 0.45 7,657,000,000 Indonesia Treasury Bond 8.250% 15-Jun-2032 512,938 0.58 5,799,000,000 Indonesia Treasury Bond 8.375% 15-Mar-2034 395,705 0.45 Morocco - 808,124 9,423,000,000 Indonesia Treasury Bond 9.500% 15-Jul-2023 705,179 0.80 (31 December 2014: 210,000) 808,124 0.92 12,821,000,000 Indonesia Treasury Bond 10.000% 15-Sep-2024 987,881 1.12 250,000 Morocco Government International Bond 5,517,000,000 Indonesia Treasury Bond 11.000% 15-Sep-2025 452,542 0.52 5.500% 11-Dec-2042 241,559 0.28 200,000 Pertamina Persero PT 4.300% 20-May-2023 182,316 0.21 575,000 OCP SA 6.875% 25-Apr-2044 566,565 0.64 430,000 Pertamina Persero PT 6.500% 27-May-2041 378,969 0.43 1,215,000 Perusahaan Gas Negara Persero Tbk Panama - 895,550 5.125% 16-May-2024 1,168,215 1.33 (31 December 2014: 183,458) 895,550 1.02 460,000 AES Panama SRL 6.000% 25-Jun-2022 458,850 0.52 Jamaica - 151,000 440,000 Global Bank Corp 5.125% 30-Oct-2019 436,700 0.50 (31 December 2014: 186,000) 151,000 0.17 200,000 Digicel Group Ltd 7.125% 01-Apr-2022 151,000 0.17 Peru - 476,400 (31 December 2014: 235,344) 476,400 0.54 Kazakhstan - 1,926,847 200,000 Corp Financiera de Desarrollo SA (31 December 2014: 193,400) 1,926,847 2.19 4.750% 15-Jul-2025 198,000 0.22 400,000 Development Bank of Kazakhstan JSC 240,000 Peruvian Government International Bond 4.125% 10-Dec-2022 353,729 0.40 6.550% 14-Mar-2037 278,400 0.32 570,000 KazAgro National Management Holding JSC 4.625% 24-May-2023 492,893 0.56 Poland - 4,754,502 470,000 Kazakhstan Temir Zholy Finance BV (31 December 2014: 160,910) 4,754,502 5.40 6.375% 06-Oct-2020 464,454 0.53 2,225,000 Poland Government Bond 3.250% 25-Jul-2025 583,815 0.66 580,000 KazMunayGas National Co JSC 4,280,000 Poland Government Bond 4.000% 25-Oct-2023 1,183,461 1.35 7.000% 05-May-2020 615,771 0.70 1,130,000 Poland Government Bond 4.750% 25-Apr-2017 300,040 0.34 2,250,000 Poland Government Bond 5.250% 25-Oct-2017 610,347 0.69 Malaysia - 2,879,096 225,000 Poland Government Bond 5.250% 25-Oct-2020 65,246 0.07 (31 December 2014: –) 2,879,096 3.27 1,340,000 Poland Government Bond 5.500% 25-Oct-2019 384,990 0.44 4,145,000 Malaysia Government Bond 4.181% 15-Jul-2024 962,627 1.09 5,365,000 Poland Government Bond 5.750% 23-Sep-2022 1,626,603 1.85 2,900,000 Malaysia Government Bond 4.262% 15-Sep-2016 684,962 0.78 850,000 Malaysia Government Bond 4.498% 15-Apr-2030 196,171 0.22 Russia - 7,130,203 1,075,000 Petronas Capital Ltd 3.500% 18-Mar-2025 1,035,336 1.18 (31 December 2014: 1,079,134) 7,130,203 8.10 39,700,000 AHML Finance Ltd 7.750% 13-Feb-2018 507,779 0.58 Mexico - 10,035,154 465,000 Gazprom Neft OAO Via GPN Capital SA (31 December 2014: 2,168,261) 10,035,154 11.40 6.000% 27-Nov-2023 439,981 0.50 3,940,000 America Movil SAB de CV 6.000% 09-Jun-2019 228,520 0.26 220,000 MMC Norilsk Nickel OJSC Via MMC Finance Ltd 144A 2,400,000 America Movil SAB de CV 8.460% 18-Dec-2036 133,347 0.15 6.625% 14-Oct-2022 224,541 0.25 215,000 Banco Nacional de Comercio Exterior SNC 200,000 Russian Agricultural Bank OJSC Via RSHB Capital SA 4.375% 14-Oct-2025 212,850 0.24 5.298% 27-Dec-2017 201,000 0.23 340,000 Cemex SAB de CV 5.700% 11-Jan-2025 285,175 0.32 1,120,000 Russian Agricultural Bank OJSC Via RSHB Capital SA 400,000 Comision Federal de Electricidad 7.750% 29-May-2018 1,179,523 1.34 5.750% 14-Feb-2042 362,000 0.41

95 BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Russia contd. United States of America - 249,899 49,400,000 Russian Agricultural Bank OJSC Via RSHB Capital SA (31 December 2014: 15,000) 249,899 0.28 8.625% 17-Feb-2017 659,030 0.75 250,000 United States Treasury Bill 0.000% 31-Mar-2016 249,899 0.28 64,700,000 Russian Agricultural Bank OJSC Via RSHB Capital SA 8.700% 17-Mar-2016 887,400 1.01 Uruguay - 375,000 67,200,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 771,281 0.88 (31 December 2014: –) 375,000 0.43 185,000 Russian Foreign Bond - Eurobond 300,000 Uruguay Government International Bond 12.750% 24-Jun-2028 293,597 0.33 7.875% 15-Jan-2033 375,000 0.43 24,100,000 Russian Railways Via RZD Capital Plc 8.300% 02-Apr-2019 306,687 0.35 Total investments in bonds 82,466,997 93.73 410,000 Severstal OAO Via Steel Capital SA 5.900% 17-Oct-2022 397,796 0.45 Unrealised gain on forward foreign currency contracts - 743,920 (see below) 960,000 Vnesheconombank Via VEB Finance Plc (31 December 2014: 117,896) 743,920 0.84 6.025% 05-Jul-2022 911,415 1.03 345,000 Vnesheconombank Via VEB Finance Plc Total fi nancial assets 6.902% 09-Jul-2020 350,173 0.40 at fair value through profi t or loss 83,210,917 94.57

Serbia - 340,261 Currency options - (107,789) (31 December 2014: –) 340,261 0.39 (31 December 2014: 1,683) 300,000 Serbia International Bond 7.250% 28-Sep-2021 340,261 0.39 (200,000) Brazilian real/US dollar Put 05-Jan-2016 3.700 (5) (0.00) (1,000,000) Chilean peso/US dollar Put 15-Jan-2016 650.000 (4) (0.00) Singapore - 192,923 (200,000) Colombian peso/US dollar Call (31 December 2014: –) 192,923 0.22 07-Jan-2016 3,200.000 (1,532) (0.00) 230,000 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 192,923 0.22 (900,000) Euro/US dollar Put 04-Mar-2016 1.130 (3,111) (0.00) (1,000,000) Korean won/US dollar Put 27-Jan-2016 1,100.000 (87) (0.00) South Africa - 2,639,309 (200,000) Mexican peso/US dollar Put 11-Jan-2016 16.100 (1) (0.00) (31 December 2014: 1,360,252) 2,639,309 3.00 (1,000,000) US dollar/Brazilian real Call 23-Feb-2016 4.400 (10,514) (0.01) 9,905,000 South Africa Government Bond 7.250% 15-Jan-2020 600,503 0.68 (1,000,000) US dollar/Brazilian real Put 23-Feb-2016 3.500 (1,402) (0.00) 1,660,000 South Africa Government Bond 8.000% 21-Dec-2018 104,917 0.12 (900,000) US dollar/Euro Call 04-Mar-2016 1.060 (6,324) (0.01) 12,070,000 South Africa Government Bond (1,000,000) US dollar/Hungarian forint Call 05-Feb-2016 302.000 (3,376) (0.00) 10.500% 21-Dec-2026 825,896 0.94 (1,000,000) US dollar/Korean won Call 11-Feb-2016 1,210.000 (4,795) (0.01) 660,000 Transnet SOC Ltd 4.000% 26-Jul-2022 585,710 0.67 (1,000,000) US dollar/Malaysian ringgit Call 15-Jan-2016 4.400 (2,725) (0.00) 8,660,000 Transnet SOC Ltd 9.500% 13-May-2021 522,283 0.59 (200,000) US dollar/South African rand Call 07-Jan-2016 15.000 (6,358) (0.01) Sri Lanka - 605,430 (1,000,000) US dollar/South African rand Call (31 December 2014: –) 605,430 0.69 21-Jan-2016 14.500 (66,562) (0.08) 620,000 Bank of Ceylon 5.325% 16-Apr-2018 605,430 0.69 (1,000,000) US dollar/Turkish lira Call 20-Jan-2016 3.100 (993) (0.00)

Thailand - 2,515,988 Total currency options (107,789) (0.12) (31 December 2014: 235,184) 2,515,988 2.86 75,639,735 Thailand Government Bond 1.200% 14-Jul-2021 1,994,999 2.27 Unrealised loss on forward foreign currency contracts - (275,264) (see below) 14,207,309 Thailand Government Bond 1.250% 12-Mar-2028 347,607 0.39 (31 December 2014: (138,976)) (275,264) (0.31) 1,350,000 Thailand Government Bond 3.850% 12-Dec-2025 41,964 0.05 4,415,000 Thailand Government Bond 3.875% 13-Jun-2019 131,418 0.15 Total fi nancial liabilities at fair value through profi t or loss (383,053) (0.43) Turkey - 6,895,875 (31 December 2014: 664,039) 6,895,875 7.84 Net current assets 5,155,692 5.86 970,000 Export Credit Bank of Turkey 5.000% 23-Sep-2021 954,715 1.09 1,040,000 Turkcell Iletisim Hizmetleri AS Total net assets 87,983,556 100.00 5.750% 15-Oct-2025 1,014,270 1.15 The counterparties for currency options are Barclays Bank, Goldman Sachs, JPMorgan Chase and Citigroup. 2,555,000 Turkey Government Bond 6.300% 14-Feb-2018 807,308 0.92 3,630,000 Turkey Government Bond 7.100% 08-Mar-2023 1,031,533 1.17 2,605,000 Turkey Government Bond 8.800% 27-Sep-2023 812,388 0.92 Analysis of portfolio % of Total assets 3,825,336 Turkey Government Bond 10.500% 15-Jan-2020 1,316,254 1.50 860,000 Turkey Government International Bond Transferable securities and money market instruments admitted 7.000% 05-Jun-2020 959,407 1.09 to offi cial stock exchange listing or traded on a regulated market 93.03 OTC fi nancial derivative instruments 0.84 United Arab Emirates - 777,205 Other current assets 6.13 (31 December 2014: –) 777,205 0.88 580,000 DP World Ltd 6.850% 02-Jul-2037 572,750 0.65 Total assets 100.00 200,000 MAF Global Securities Ltd 4.750% 07-May-2024 204,455 0.23

96 BNY MELLON EMERGING MARKETS DEBT OPPORTUNISTIC FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Emerging Markets Debt Opportunistic Fund Chilean peso US dollar 1,472,220,000 2,058,473 29-Jan-16 JPMorgan Chase 12,960 Indonesian rupiah US dollar 4,362,500,000 310,388 29-Jan-16 JPMorgan Chase 2,452 Malaysian ringgit US dollar 5,340,000 1,213,361 29-Jan-16 JPMorgan Chase 24,977 Philippine peso US dollar 19,430,000 410,435 29-Jan-16 JPMorgan Chase 2,522 Polish zloty US dollar 4,000,000 995,907 29-Jan-16 Deutsche Bank 23,193 Romanian leu US dollar 3,980,000 950,788 29-Jan-16 JPMorgan Chase 6,433 South African rand US dollar 18,740,000 1,167,898 29-Jan-16 Morgan Stanley 38,203 US dollar Colombian peso 2,059,652 6,359,175,000 29-Jan-16 Morgan Stanley 61,688 US dollar Indonesian rupiah 99,209 1,380,000,000 29-Jan-16 JPMorgan Chase 248 US dollar Korean won 1,007,685 1,181,410,000 29-Jan-16 JPMorgan Chase 2,771 US dollar Mexican peso 913,952 15,160,000 29-Jan-16 Goldman Sachs 35,957 US dollar Russian rouble 177,397 11,710,000 29-Jan-16 JPMorgan Chase 18,113 US dollar Russian rouble 274,480 18,080,000 29-Jan-16 JPMorgan Chase 28,548 US dollar Russian rouble 514,090 34,435,000 29-Jan-16 Morgan Stanley 45,690 US dollar South African rand 431,937 6,600,000 29-Jan-16 JPMorgan Chase 7,163 US dollar South African rand 2,053,580 29,520,000 29-Jan-16 JPMorgan Chase 153,682 US dollar Taiwanese dollar 974,085 31,950,000 29-Jan-16 Citigroup 1,270 US dollar Turkish lira 980,685 2,870,000 29-Jan-16 JPMorgan Chase 3,874 US dollar Brazilian real 4,628,682 17,645,000 02-Feb-16 Morgan Stanley 215,593 US dollar Peruvian nuevo sol 2,061,589 7,170,000 21-Oct-16 JPMorgan Chase 58,583

USD 743,920

Indonesian rupiah US dollar 656,040,000 47,712 29-Jan-16 JPMorgan Chase (667) Mexican peso US dollar 64,440,000 3,828,877 29-Jan-16 Bank of America Securities Ltd (96,819) Mexican peso US dollar 1,510,000 87,627 29-Jan-16 JPMorgan Chase (175) Romanian leu US dollar 740,000 179,721 29-Jan-16 JPMorgan Chase (1,745) South African rand US dollar 665,000 45,815 29-Jan-16 Morgan Stanley (3,016) South African rand US dollar 10,260,000 726,655 29-Jan-16 JPMorgan Chase (66,324) South African rand US dollar 4,330,000 306,668 29-Jan-16 JPMorgan Chase (27,991) South African rand US dollar 7,430,000 525,892 29-Jan-16 JPMorgan Chase (47,700) US dollar Philippine peso 143,475 6,805,000 29-Jan-16 JPMorgan Chase (1,156) US dollar Polish zloty 1,128,064 4,510,000 29-Jan-16 Deutsche Bank (20,971) US dollar Romanian leu 1,697,207 7,060,000 29-Jan-16 JPMorgan Chase (779) US dollar Taiwanese dollar 413,999 13,720,000 29-Jan-16 JPMorgan Chase (3,748) US dollar Taiwanese dollar 417,875 13,770,000 29-Jan-16 JPMorgan Chase (1,394) US dollar Thai baht 779,235 28,160,000 29-Jan-16 JPMorgan Chase (2,779)

USD (275,264)

Net USD 468,656

97 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Collective investment schemes Bonds contd. Ireland - 35,323,377 France contd. (31 December 2014: –) 35,323,377 1.28 99,800,000 France Government Bond OAT 9,363,676 BNY Mellon Global Funds Plc - Asian Bond Fund^ 9,028,928 0.33 2.250% 25-May-2024 112,556,935 4.09 25,256,777 BNY Mellon Global Funds Plc - 64,725,000 France Government Bond OAT 3.250% 25-Oct-2021 76,102,037 2.76 Global Opportunistic Bond Fund^ 26,294,449 0.95 10,200,000 Pernod Ricard SA 2.000% 22-Jun-2020 10,676,912 0.39 8,895,000 Pernod Ricard SA 144A 5.500% 15-Jan-2042 8,274,115 0.30 Total investments in collective investment schemes 35,323,377 1.28 13,000,000 Societe Generale SA 2.375% 28-Feb-2018 13,593,808 0.49 10,100,000 Societe Generale SFH SA 2.875% 14-Mar-2019 11,016,038 0.40 Bonds 18,075,000 Total SA 2.625% Perpetual VAR 15,998,604 0.58 Australia - 830,747 200,000 Veolia Environnement SA 4.450% Perpetual VAR 207,942 0.01 (31 December 2014: –) 830,747 0.03 Germany - 44,143,336 300,000 BHP Billiton Finance Ltd 4.300% 25-Sep-2042 382,959 0.01 (31 December 2014: 275,693,705) 44,143,336 1.60 500,000 Rio Tinto Finance USA Ltd 3.750% 20-Sep-2021 447,788 0.02 5,500,000 Allianz SE 4.750% Perpetual VAR 5,952,269 0.22 Belgium - 47,206,869 13,800,000 Allianz SE 5.625% 17-Oct-2042 VAR 16,170,410 0.59 (31 December 2014: 50,729,410) 47,206,869 1.71 56,763 Driver Ten GmbH 0.052% 21-Mar-2019 FRN 56,758 0.00 26,400,000 Belgium Government Bond 144A 8,950,498 Driver Thirteen UG haftungsbeschraenkt 2.600% 22-Jun-2024 30,497,940 1.11 0.052% 22-Feb-2021 FRN 8,959,894 0.32 11,385,000 Belgium Government Bond 144A 600,000 KFW 1.625% 05-Jun-2020 820,373 0.03 4.250% 28-Mar-2041 16,708,929 0.60 11,535,000 KFW 3.125% 04-Jul-2016 11,728,500 0.42 600,000 KFW 5.500% 09-Feb-2022 455,132 0.02 Bermuda - 8,188,398 (31 December 2014: –) 8,188,398 0.30 Guernsey - 460,399 10,500,000 Digicel Ltd 6.000% 15-Apr-2021 8,188,398 0.30 (31 December 2014: –) 460,399 0.02 500,000 Credit Suisse Group Funding Guernsey Ltd 144A Brazil - 10,411,596 3.800% 15-Sep-2022 460,399 0.02 (31 December 2014: 12,164,442) 10,411,596 0.38 16,825,000 Brazilian Government International Bond Hungary - 3,968,540 5.000% 27-Jan-2045 10,411,596 0.38 (31 December 2014: 3,561,420) 3,968,540 0.14 3,900,000 MFB Magyar Fejlesztesi Bank RT Canada - 9,140,375 6.250% 21-Oct-2020 3,968,540 0.14 (31 December 2014: –) 9,140,375 0.33 850,000 Glencore Finance Canada Ltd 4.250% 25-Oct-2022 591,346 0.02 Iceland - 32,864,632 850,000 Glencore Finance Canada Ltd 4.950% 15-Nov-2021 630,391 0.02 (31 December 2014: –) 32,864,632 1.19 500,000 Rogers Communications Inc 5.340% 22-Mar-2021 375,789 0.01 31,445,000 Iceland Government International Bond 8,665,000 Valeant Pharmaceuticals International Inc 5.875% 11-May-2022 32,864,632 1.19 4.500% 15-May-2023 7,542,849 0.28 Ireland - 34,428,533 Cayman Islands - 416,829 (31 December 2014: 105,720,306) 34,428,533 1.25 (31 December 2014: 20,098,066) 416,829 0.02 5,910,000 Ireland Government Bond 2.000% 18-Feb-2045 5,665,769 0.21 500,000 Noble Holding International Ltd 26,395,000 Ireland Government Bond 2.400% 15-May-2030 28,762,764 1.04 4.000% 16-Mar-2018 416,829 0.02 Italy - 742,573,482 Chile - 5,647,572 (31 December 2014: 628,581,192) 742,573,482 26.96 (31 December 2014: –) 5,647,572 0.21 7,070,000 Enel SpA 4.875% 20-Feb-2018 7,731,717 0.28 6,500,000 Corp Nacional del Cobre de Chile 1,450,000 Enel SpA 144A 8.750% 24-Sep-2073 VAR 1,522,715 0.05 4.500% 16-Sep-2025 5,647,572 0.21 5,485,000 Intesa Sanpaolo SpA 3.000% 28-Jan-2019 5,857,247 0.21 18,600,000 Intesa Sanpaolo SpA 3.875% 16-Jan-2018 17,558,726 0.64 Denmark - 7,454,217 19,000,000 Intesa Sanpaolo SpA 5.000% 28-Feb-2017 20,035,140 0.73 (31 December 2014: 7,644,062) 7,454,217 0.27 100,915,000 Italy Buoni Poliennali Del Tesoro 6,900,000 Danske Bank A/S 3.500% 16-Apr-2018 7,454,217 0.27 1.050% 01-Dec-2019 103,449,985 3.76 102,200,000 Italy Buoni Poliennali Del Tesoro France - 338,766,154 1.350% 15-Apr-2022 104,138,392 3.78 (31 December 2014: 406,894,001) 338,766,154 12.30 104,292,951 Italy Buoni Poliennali Del Tesoro 1,550,000 AXA SA 5.250% 16-Apr-2040 VAR 1,726,831 0.06 2.100% 15-Sep-2016 105,669,618 3.84 7,370,000 AXA SA 5.777% Perpetual VAR 7,527,460 0.27 95,298,149 Italy Buoni Poliennali Del Tesoro 144A 500,000 BNP Paribas SA 1.375% 17-Mar-2017 459,778 0.02 2.350% 15-Sep-2024 110,032,196 3.99 400,000 BNP Paribas SA 2.750% 27-Jan-2026 396,411 0.02 29,709,169 Italy Buoni Poliennali Del Tesoro 13,400,000 Electricite de France SA 5.375% Perpetual VAR 13,526,094 0.49 2.600% 15-Sep-2023 34,924,854 1.27 8,200,000 Engie SA 3.000% Perpetual VAR 8,206,191 0.30 88,975,000 Italy Buoni Poliennali Del Tesoro 57,075,810 France Government Bond OAT 0.100% 01-Mar-2025 58,496,998 2.12 3.500% 01-Jun-2018 96,379,499 3.50

98 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Italy contd. Netherlands contd. 27,610,000 Italy Buoni Poliennali Del Tesoro 500,000 Siemens Financieringsmaatschappij NV 144A 4.750% 01-Jun-2017 29,467,217 1.07 1.450% 25-May-2018 456,662 0.02 17,945,000 Italy Buoni Poliennali Del Tesoro 600,000 Swiss Reinsurance Co via ELM BV 4.750% 01-Sep-2021 21,832,467 0.79 5.252% Perpetual VAR 614,250 0.02 55,530,000 Italy Buoni Poliennali Del Tesoro 144A 300,000 Telefonica Europe BV 5.000% Perpetual VAR 302,499 0.01 4.750% 01-Sep-2044 78,567,731 2.85 9,500,000 Volkswagen International Finance NV 3,650,000 Telecom Italia SpA 6.375% 24-Jun-2019 5,405,978 0.20 3.750% Perpetual VAR 8,858,109 0.32 14,700,000 Vonovia Finance BV 1.625% 15-Dec-2020 14,680,816 0.53 Jersey - 319,403 2,625,000 Vonovia Finance BV 3.625% 08-Oct-2021 2,888,320 0.11 (31 December 2014: –) 319,403 0.01 350,000 UBS Group Funding Ltd 144A 2.950% 24-Sep-2020 319,403 0.01 Peru - 12,518,909 (31 December 2014: –) 12,518,909 0.45 Luxembourg - 50,369,324 4,825,000 Peruvian Government International Bond (31 December 2014: 40,648,726) 50,369,324 1.83 2.750% 30-Jan-2026 4,792,093 0.17 3,270,000 Altice SA 7.750% 15-May-2022 2,723,117 0.10 8,525,000 Peruvian Government International Bond 2,422,308 Bavarian Sky SA 0.032% 20-Aug-2022 FRN 2,425,350 0.09 4.125% 25-Aug-2027 7,726,816 0.28 9,603,215 Bavarian Sky SA 0.102% 20-Apr-2024 9,605,828 0.35 21,100,000 Bavarian Sky SA 0.189% 20-Dec-2022 FRN 21,110,529 0.77 Poland - 26,901,852 4,569,500 Compartment VCL 21 0.002% 21-Feb-2021 FRN 4,552,109 0.16 (31 December 2014: –) 26,901,852 0.98 6,354,585 Compartment VCL 22 0.422% 21-Aug-2021 FRN 6,357,680 0.23 26,175,000 Poland Government International Bond 498,007 E-CARAT SA 6 0.400% 18-Sep-2021 FRN 498,594 0.02 1.500% 09-Sep-2025 26,901,852 0.98 3,094,248 E-CARAT SA 7 0.330% 18-Mar-2022 FRN 3,096,117 0.11 Republic of Korea - 65,237,961 Mexico - 14,076,716 (31 December 2014: –) 65,237,961 2.37 (31 December 2014: 4,509,108) 14,076,716 0.51 81,840,000,000 Korea Treasury Bond 2.250% 10-Jun-2025 65,237,961 2.37 14,950,000 Banco Nacional de Comercio Exterior SNC 4.375% 14-Oct-2025 13,619,035 0.49 Serbia - 7,383,917 500,000 Petroleos Mexicanos 3.500% 18-Jul-2018 457,681 0.02 (31 December 2014: –) 7,383,917 0.27 7,075,000 Serbia International Bond 7.250% 28-Sep-2021 7,383,917 0.27 Morocco - 66,918,295 (31 December 2014: 70,824,674) 66,918,295 2.43 Singapore - 3,963,380 38,100,000 Morocco Government International Bond (31 December 2014: 15,835,367) 3,963,380 0.14 3.500% 19-Jun-2024 38,489,904 1.40 5,135,000 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 3,963,380 0.14 26,200,000 Morocco Government International Bond 4.500% 05-Oct-2020 28,428,391 1.03 Slovenia - 7,350,479 (31 December 2014: –) 7,350,479 0.27 Netherlands - 194,833,056 7,225,000 Slovenia Government International Bond (31 December 2014: 234,928,722) 194,833,056 7.08 5.250% 18-Feb-2024 7,350,479 0.27 22,525,000 ABN AMRO Bank NV 4.750% 28-Jul-2025 20,698,938 0.75 400,000 ABN AMRO Bank NV 144A 4.750% 28-Jul-2025 367,573 0.01 Spain - 383,451,805 23,855,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (31 December 2014: 338,832,217) 383,451,805 13.92 2.500% 26-May-2026 VAR 24,086,278 0.88 3,800,000 Banco Bilbao Vizcaya Argentaria SA 6,100,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 3.875% 30-Jan-2023 4,565,802 0.16 3.875% 20-Apr-2016 6,168,381 0.22 5,700,000 BBVA Subordinated Capital SAU 3,500,000 General Motors Financial International BV 3.500% 11-Apr-2024 VAR 5,916,994 0.21 1.875% 15-Oct-2019 3,570,938 0.13 3,600,000 Santander International Debt SAU 1,000,000 Iberdrola International BV 3.000% 31-Jan-2022 1,107,638 0.04 4.000% 27-Mar-2017 3,764,279 0.14 4,700,000 Iberdrola International BV 5.750% Perpetual VAR 5,052,500 0.18 6,800,000 Santander Issuances SAU 2.500% 18-Mar-2025 6,396,508 0.23 7,530,000 ING Bank NV 3.625% 31-Aug-2021 8,904,806 0.32 137,600,000 Spain Government Bond 0.500% 31-Oct-2017 138,694,608 5.04 3,000,000 ING Bank NV 5.250% 05-Jun-2018 3,384,761 0.12 18,435,000 Spain Government Bond 1.400% 31-Jan-2020 19,026,579 0.69 6,850,000 ING Groep NV 6.500% Perpetual VAR 6,192,886 0.23 115,305,000 Spain Government Bond 2.750% 30-Apr-2019 124,436,383 4.52 500,000 LYB International Finance BV 4.000% 15-Jul-2023 459,385 0.02 33,780,000 Spain Government Bond 144A 300,000 Mylan NV 144A 3.750% 15-Dec-2020 276,651 0.01 4.400% 31-Oct-2023 41,105,080 1.49 53,400,000 Netherlands Government Bond 144A 13,500,000 Spain Government Bond 144A 1.250% 15-Jan-2019 55,800,330 2.03 5.150% 31-Oct-2044 19,162,069 0.70 27,300,000 Netherlands Government Bond 144A 6,750,000 Spain Government Bond 5.750% 30-Jul-2032 9,798,992 0.36 2.000% 15-Jul-2024 30,514,575 1.11 6,800,000 Telefonica Emisiones SAU 2.932% 17-Oct-2029 6,797,891 0.25 300,000 RWE Finance BV 6.250% 03-Jun-2030 446,760 0.02 3,000,000 Telefonica Emisiones SAU 3.961% 26-Mar-2021 3,384,350 0.12 400,000 Telefonica Emisiones SAU 5.134% 27-Apr-2020 402,270 0.01

99 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Supranational - 8,016,771 United States of America - 371,300,266 (31 December 2014: 8,049,965) 8,016,771 0.29 (31 December 2014: 424,349,156) 371,300,266 13.48 7,600,000 European Investment Bank 1.375% 15-Nov-2019 8,016,771 0.29 500,000 21st Century Fox America Inc 3.700% 15-Sep-2024 464,723 0.02 Sweden - 685,852 500,000 ACE INA Holdings Inc 2.875% 03-Nov-2022 457,018 0.02 (31 December 2014: –) 685,852 0.03 2,947,000 AES Corp 7.375% 01-Jul-2021 2,779,547 0.10 200,000 Nordea Bank AB 144A 1.875% 17-Sep-2018 182,955 0.01 6,930,000 Alcatel-Lucent USA Inc 6.450% 15-Mar-2029 6,480,429 0.23 550,000 Svenska Handelsbanken AB 2.400% 01-Oct-2020 502,897 0.02 250,000 Alexandria Real Estate Equities Inc 4.300% 15-Jan-2026 227,293 0.01 Switzerland - 36,386,994 2,925,000 Ally Financial Inc 3.500% 27-Jan-2019 2,661,229 0.10 (31 December 2014: 36,259,802) 36,386,994 1.32 500,000 Ally Financial Inc 5.750% 20-Nov-2025 466,988 0.02 400,000 Credit Suisse AG 144A 6.500% 08-Aug-2023 397,441 0.01 6,795,722 Alternative Loan Trust 2004-18CB 24,600,000 Credit Suisse AG/Guernsey 0.750% 17-Sep-2021 24,746,439 0.90 5.500% 25-Sep-2034 6,520,123 0.24 11,000,000 Credit Suisse AG/Guernsey 2.125% 18-Jan-2017 11,243,114 0.41 400,000 American Express Credit Corp 2.600% 14-Sep-2020 369,159 0.01 500,000 American Honda Finance Corp 2.450% 24-Sep-2020 461,105 0.02 United Kingdom - 111,520,511 21,500,000 American International Group Inc (31 December 2014: 144,068,459) 111,520,511 4.05 4.875% 15-Mar-2067 VAR 21,686,942 0.79 12,700,000 Abbey National Treasury Services Plc 500,000 Amgen Inc 2.125% 01-May-2020 454,278 0.02 1.125% 10-Mar-2025 11,994,365 0.43 300,000 Apple Inc 3.050% 31-Jul-2029 398,589 0.01 9,700,000 Abbey National Treasury Services Plc 500,000 AT&T Inc 4.750% 15-May-2046 422,878 0.01 3.625% 08-Sep-2016 9,962,531 0.36 500,000 Bank of America Corp 4.100% 24-Jul-2023 476,485 0.02 500,000 Barclays Plc 2.875% 08-Jun-2020 459,951 0.02 400,000 Bank of America Corp 7.750% 14-May-2038 500,921 0.02 500,000 Barclays Plc 4.375% 11-Sep-2024 450,757 0.02 1,000,000 Bank of America NA 1.750% 05-Jun-2018 914,581 0.03 200,000 Barclays Plc 5.250% 17-Aug-2045 187,912 0.01 500,000 BB&T Corp 2.625% 29-Jun-2020 463,049 0.02 500,000 BAT International Finance Plc 144A 400,000 Bear Stearns Cos LLC/The 7.250% 01-Feb-2018 406,132 0.01 1.850% 15-Jun-2018 460,134 0.02 250,000 Brixmor Operating Partnership LP 300,000 BAT International Finance Plc 7.250% 12-Mar-2024 520,870 0.02 3.875% 15-Aug-2022 229,318 0.01 500,000 BP Capital Markets Plc 3.245% 06-May-2022 454,740 0.02 200,000 Burlington Northern Santa Fe LLC 6,350,000 Diageo Finance Plc 2.375% 20-May-2026 6,772,170 0.25 3.400% 01-Sep-2024 184,551 0.01 3,163,776 E-CARAT 3 Plc 0.972% 18-Mar-2022 FRN 4,281,949 0.15 400,000 Burlington Northern Santa Fe LLC 300,000 HSBC Holdings Plc 3.375% 10-Jan-2024 VAR 315,244 0.01 4.700% 01-Sep-2045 368,738 0.01 16,075,000 HSBC Holdings Plc 4.250% 18-Aug-2025 14,708,238 0.53 5,865,000 Calpine Corp 5.375% 15-Jan-2023 4,870,630 0.18 500,000 Imperial Tobacco Finance Plc 144A 500,000 Capital One NA/Mclean VA 2.350% 17-Aug-2018 461,233 0.02 2.950% 21-Jul-2020 461,476 0.02 450,000 Celgene Corp 5.000% 15-Aug-2045 417,285 0.01 6,200,000 International Game Technology Plc 6,325,000 Citigroup Commercial Mortgage Trust 2013-375P 4.125% 15-Feb-2020 6,209,567 0.22 3.518% 10-May-2035 VAR 5,244,522 0.19 6,175,000 International Game Technology Plc 250,000 Citigroup Inc 2.150% 30-Jul-2018 230,016 0.01 4.750% 15-Feb-2023 5,796,162 0.21 500,000 Citigroup Inc 4.400% 10-Jun-2025 465,584 0.02 11,700,000 Lloyds Bank Plc 1.875% 10-Oct-2018 12,192,545 0.44 245,000 Citigroup Inc 4.450% 29-Sep-2027 224,458 0.01 1,500,000 Lloyds Bank Plc 2.750% 09-Dec-2018 2,085,014 0.07 9,785,000 Citigroup Inc 4.650% 30-Jul-2045 9,174,099 0.33 2,575,000 Lloyds Bank Plc 6.500% 24-Mar-2020 3,116,081 0.11 400,000 Citigroup Inc 5.500% 13-Sep-2025 400,295 0.01 5,588,000 Lloyds Banking Group Plc 144A 500,000 Citigroup Inc 5.950% Perpetual VAR 459,097 0.02 4.582% 10-Dec-2025 5,164,675 0.19 235,000 Citizens Financial Group Inc 4.300% 03-Dec-2025 217,811 0.01 200,000 Lloyds Banking Group Plc 144A 500,000 Columbia Pipeline Group Inc 4.500% 01-Jun-2025 427,471 0.01 5.300% 01-Dec-2045 187,459 0.01 400,000 Comcast Corp 5.700% 15-May-2018 402,464 0.01 500,000 Lloyds Banking Group Plc 7.500% Perpetual VAR 491,143 0.02 600,000 Continental Resources Inc 5.000% 15-Sep-2022 407,867 0.01 6,400,000 Royal Bank of Scotland Group Plc 500,000 Corporate Offi ce Properties LP 6.000% 19-Dec-2023 6,352,761 0.23 5.000% 01-Jul-2025 452,999 0.02 6,000,000 Royal Bank of Scotland Group Plc 7,745,000 CSMC Trust 2014-USA 144A 4.373% 15-Sep-2037 6,837,506 0.25 7.500% Perpetual VAR 5,762,590 0.21 500,000 CVS Health Corp 144A 4.750% 01-Dec-2022 493,693 0.02 6,025,000 Royal Bank of Scotland Group Plc 300,000 CVS Health Corp 5.125% 20-Jul-2045 291,927 0.01 8.000% Perpetual VAR 5,876,691 0.21 500,000 Discover Bank/Greenwood DE 3.100% 04-Jun-2020 461,595 0.02 500,000 Royal Bank of Scotland Plc 300,000 Discovery Communications LLC 2.375% 07-Mar-2022 297,309 0.01 9.500% 16-Mar-2022 VAR 499,106 0.02 300,000 Dollar General Corp 4.150% 01-Nov-2025 274,782 0.01 200,000 Santander UK Group Holdings Plc 350,000 Dominion Resources Inc 1.250% 15-Mar-2017 320,160 0.01 2.875% 16-Oct-2020 183,153 0.01 3,375,000 Dynegy Inc 7.375% 01-Nov-2022 2,717,389 0.10 500,000 Sky Plc 2.250% 17-Nov-2025 499,690 0.02 5,350,000 Ecolab Inc 2.625% 08-Jul-2025 5,633,020 0.20 4,320,000 Virgin Media Secured Finance Plc 500,000 Energy Transfer Partners LP 4.150% 01-Oct-2020 424,874 0.01 6.000% 15-Apr-2021 6,073,537 0.22 500,000 Enterprise Products Operating LLC 4.900% 15-May-2046 377,318 0.01

100 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. United States of America contd. United States of America contd. 500,000 EPR Properties 5.750% 15-Aug-2022 484,315 0.02 800,000 Morgan Stanley 4.350% 08-Sep-2026 740,115 0.03 500,000 Exelon Corp 2.850% 15-Jun-2020 458,046 0.02 500,000 Morgan Stanley 5.000% 30-Sep-2021 351,405 0.01 9,200,000 Extended Stay America Trust 2013-ESH 144A 14,050,000 Morgan Stanley Capital I Trust 2007-IQ14 5.053% 05-Dec-2031 VAR 8,507,164 0.31 5.681% 15-Apr-2049 VAR 13,163,074 0.48 200,000 Federal Realty Investment Trust 2,834,440 Morgan Stanley Mortgage Loan Trust 2005-1 2.550% 15-Jan-2021 182,976 0.01 0.722% 25-Mar-2035 FRN 2,384,937 0.09 200,000 Fidelity National Information Services Inc 100,000 Newfi eld Exploration Co 5.375% 01-Jan-2026 76,604 0.00 4.500% 15-Oct-2022 187,592 0.01 3,520,000 NRG Energy Inc 6.250% 01-May-2024 2,737,613 0.10 400,000 Ford Motor Co 7.450% 16-Jul-2031 455,323 0.02 300,000 Omega Healthcare Investors Inc 144A 500,000 Ford Motor Credit Co LLC 3.157% 04-Aug-2020 458,960 0.02 5.250% 15-Jan-2026 282,313 0.01 2,400,000 Freeport-McMoRan Oil & Gas LLC / FCX Oil & Gas Inc 500,000 PepsiCo Inc 1.000% 13-Oct-2017 457,807 0.02 6.750% 01-Feb-2022 1,363,698 0.05 500,000 Philip Morris International Inc 1.250% 11-Aug-2017 460,886 0.02 6,120,000 Frontier Communications Corp 500,000 PNC Bank NA 2.600% 21-Jul-2020 460,270 0.02 8.500% 15-Apr-2020 5,659,622 0.20 1,972,726 Popular ABS Mortgage Pass-Through Trust 2006-D 6,210,000 GAHR Commercial Mortgage Trust 0.582% 25-Nov-2046 FRN 1,764,288 0.06 3.382% 15-Dec-2019 VAR 5,293,608 0.19 500,000 Procter & Gamble Co/The 1.125% 02-Nov-2023 499,533 0.02 9,485,000 GAHR Commercial Mortgage Trust 400,000 Prudential Financial Inc 5.875% 15-Sep-2042 VAR 384,449 0.01 3.382% 15-Dec-2019 VAR 8,143,554 0.29 6,085,000 Quicken Loans Inc 5.750% 01-May-2025 5,354,291 0.19 9,752,000 General Electric Co 4.000% Perpetual VAR 8,984,754 0.33 400,000 Reynolds American Inc 8.125% 23-Jun-2019 433,448 0.01 9,500,000 General Motors Financial Co Inc 480,000 Schlumberger Holdings Corp 144A 3.100% 15-Jan-2019 8,735,206 0.32 2.350% 21-Dec-2018 439,128 0.01 500,000 General Motors Financial Co Inc 8,225,000 Sinclair Television Group Inc 5.625% 01-Aug-2024 7,388,681 0.27 4.300% 13-Jul-2025 447,003 0.01 500,000 South Carolina Electric & Gas Co 6,080,000 Genesis Energy LP / Genesis Energy Finance Corp 5.100% 01-Jun-2065 480,875 0.02 6.750% 01-Aug-2022 4,783,433 0.17 9,685,000 Southwestern Energy Co 4.950% 23-Jan-2025 5,625,628 0.20 480,000 Georgia Power Co 1.950% 01-Dec-2018 440,750 0.01 6,120,000 Sunoco Logistics Partners Operations LP 500,000 Gilead Sciences Inc 3.650% 01-Mar-2026 464,564 0.02 5.350% 15-May-2045 4,194,985 0.15 1,000,000 Goldman Sachs Group Inc/The 3.750% 22-May-2025 928,092 0.03 500,000 Time Warner Inc 3.600% 15-Jul-2025 448,779 0.02 250,000 Goldman Sachs Group Inc/The 4.250% 21-Oct-2025 228,739 0.01 5,030,000 T-Mobile USA Inc 6.000% 01-Mar-2023 4,697,902 0.17 500,000 Hewlett Packard Enterprise Co 144A 490,000 T-Mobile USA Inc 6.500% 15-Jan-2026 456,291 0.02 4.900% 15-Oct-2025 452,034 0.02 16,022,000 United States Treasury Bill 0.000% 11-Feb-2016* 14,741,074 0.53 7,075,000 Hilton USA Trust 2013-HLT 4.407% 05-Nov-2030 6,530,830 0.24 30,735,000 United States Treasury Bill 0.000% 31-Mar-2016* 28,270,094 1.03 500,000 Intel Corp 4.900% 29-Jul-2045 487,451 0.02 250,000 Ventas Realty LP 4.125% 15-Jan-2026 229,783 0.01 500,000 John Deere Capital Corp 1.750% 10-Aug-2018 460,381 0.02 1,050,000 Vereit Operating Partnership LP 8,290,000 JP Morgan Chase Commercial Mortgage Securities 4.600% 06-Feb-2024 917,874 0.03 Trust 2006-CIBC17 5.464% 12-Dec-2043 7,680,544 0.28 450,000 Verizon Communications Inc 4.600% 01-Apr-2021 445,586 0.01 16,600,000 JP Morgan Chase Commercial Mortgage Securities 12,575,000 Visa Inc 2.200% 14-Dec-2020 11,557,725 0.42 Trust 2007-LDP10 5.464% 15-Jan-2049 VAR 15,575,777 0.56 500,000 Visa Inc 3.150% 14-Dec-2025 461,230 0.02 500,000 JPMorgan Chase & Co 2.750% 23-Jun-2020 462,422 0.02 18,900,000 Wachovia Bank Commercial Mortgage Trust 450,000 JPMorgan Chase & Co 4.250% 01-Oct-2027 414,038 0.01 Series 2006-C24 5.658% 15-Mar-2045 VAR 17,358,188 0.63 500,000 KeyCorp 2.900% 15-Sep-2020 458,857 0.02 6,050,000 Wachovia Bank Commercial Mortgage Trust 540,000 Kinder Morgan Inc 5.550% 01-Jun-2045 389,114 0.01 Series 2006-C29 5.368% 15-Nov-2048 VAR 5,520,662 0.20 200,000 Kraft Foods Group Inc 6.875% 26-Jan-2039 218,799 0.01 500,000 Walgreens Boots Alliance Inc 3.800% 18-Nov-2024 447,193 0.01 13,575,000 Kraft Heinz Foods Co 2.000% 30-Jun-2023 13,733,570 0.50 500,000 Walt Disney Co/The 1.500% 17-Sep-2018 459,396 0.02 500,000 Kraft Heinz Foods Co 144A 3.950% 15-Jul-2025 465,268 0.02 500,000 Wells Fargo & Co 2.550% 07-Dec-2020 458,141 0.02 300,000 Kraft Heinz Foods Co 4.125% 01-Jul-2027 415,255 0.01 500,000 Wells Fargo & Co 4.100% 03-Jun-2026 464,997 0.02 200,000 Lockheed Martin Corp 4.700% 15-May-2046 189,285 0.01 5,070,000 West Corp 5.375% 15-Jul-2022 4,041,301 0.15 500,000 Macy’s Retail Holdings Inc 3.450% 15-Jan-2021 458,103 0.02 9,755,000 ZFS Finance USA Trust V 144A 700,000 Marathon Petroleum Corp 4.750% 15-Sep-2044 528,377 0.02 6.500% 09-May-2037 VAR 9,167,044 0.33 200,000 Marsh & McLennan Cos Inc 3.750% 14-Mar-2026 184,666 0.01 500,000 Zimmer Biomet Holdings Inc 2.700% 01-Apr-2020 454,756 0.02 9,800,000 MasterCard Inc 1.100% 01-Dec-2022 9,774,275 0.35 200,000 McDonald’s Corp 4.600% 26-May-2045 177,771 0.01 Total investments in bonds 2,647,737,170 96.14 235,000 McDonald’s Corp 4.875% 09-Dec-2045 218,411 0.01 500,000 Metropolitan Life Global Funding I Credit default swaps - 2,060,111 1.125% 18-Jun-2020 480,937 0.02 (31 December 2014: –) 10,037,000 ML-CFC Commercial Mortgage Trust 2006-4 (185,000,000) CDS iTraxx Europe Series 24 Version 1 5.239% 12-Dec-2049 9,164,030 0.33 1.000% 20-Dec-2020 2,060,111 0.07 1,000,000 Morgan Stanley 3.125% 05-Aug-2021 686,629 0.02 Total credit default swaps 2,060,111 0.07 8,245,000 Morgan Stanley 4.000% 23-Jul-2025 7,828,217 0.28

101 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Interest rate swaps - 10,413,146 Credit default swaps - (2,882,562) (31 December 2014: 16,088,736) (31 December 2014: –) 358,000,000 IRS Pays Fixed 0.661% US dollar 21-Jul-2016 45,903 0.00 200,000,000 CDS ICE CDX North American IG Index Series 25 97,900,000 IRS Pays Fixed 0.836% US dollar 08-Nov-2017 436,072 0.02 1.000% 20-Dec-2020 (1,004,410) (0.03) 145,200,000 IRS Pays Fixed 1.761% US dollar 08-Nov-2022 1,429,467 0.05 (36,140,000) CDS Markit CMBX Index Series 7 72,300,000 IRS Receives Fixed 1.907% Euro 04-Nov-2016 1,182,647 0.04 3.000% 17-Jan-2047 (1,878,152) (0.07) 29,800,000 IRS Receives Fixed 2.673% Euro 24-Dec-2043 7,319,057 0.27 Total credit default swaps (2,882,562) (0.10) Total interest rate swaps 10,413,146 0.38 Interest rate swaps - (7,682,375) (31 December 2014: (28,688,846)) Underlying Fair Total 62,300,000 IRS Pays Fixed 1.833% US dollar 10-Jan-2019 (757,046) (0.03) exposure value net assets 74,250,000 IRS Pays Fixed 3.682% US dollar 05-May-2020 (5,971,341) (0.22) Holdings Description EUR EUR % 113,500,000 IRS Receives Fixed 0.000% Brazilian real 02-Jan-2017 (953,988) (0.03) Open futures contracts - 5,269,584 (31 December 2014: 15,638,385) Total interest rate swaps (7,682,375) (0.28) 2,146 Australian 10 Year Bond Long Futures Contracts Exp Mar-2016 182,592,932 248,554 0.01 Underlying Fair Total 3,150 Australian 3 Year Bond exposure value net assets Long Futures Contracts Holdings Description EUR EUR % Exp Mar-2016 235,437,874 483,350 0.02 956 Canadian 10 Year Treasury Bond Open futures contracts - (733,381) Long Futures Contracts (31 December 2014: (6,707,984)) Exp Mar-2016 89,634,298 985,570 0.03 (257) Euro-BTP 1,955 Euro-Bobl Short Futures Contracts Long Futures Contracts Exp Mar-2016 (35,445,440) (295,800) (0.01) Exp Mar-2016 255,459,850 84,733 0.00 216 Euro-Bund 1,092 Euro-Buxl 30 Year Bond Long Futures Contracts Long Futures Contracts Exp Mar-2016 34,110,720 (164,746) (0.01) Exp Mar-2016 165,328,800 1,615,352 0.06 (234) U.S. Treasury Ultra Bond 2,010 Euro-Schatz Short Futures Contracts Long Futures Contracts Exp Mar-2016 (34,168,706) (272,835) (0.01) Exp Mar-2016 224,135,100 149,263 0.00 Total open futures contracts (733,381) (0.03) (571) U.S. 10 Year Treasury Note Short Futures Contracts Unrealised loss on forward foreign currency contracts - (14,532,591) (see below) Exp Mar-2016 (66,153,581) 196,055 0.01 (31 December 2014: (28,412,288)) (14,532,591) (0.53) (840) U.S. 2 Year Treasury Note Short Futures Contracts Total fi nancial liabilities Exp Mar-2016 (167,910,475) 192,089 0.01 at fair value through profi t or loss (25,830,909) (0.94) (2,037) U.S. 5 Year Treasury Note Short Futures Contracts Net current assets 77,655,240 2.83 Exp Mar-2016 (221,778,935) 447,067 0.02 (1,212) UK Long Gilt Short Total net assets 2,753,951,220 100.00 Futures Contracts * Part of the holding is held as collateral by JPMorgan Chase in respect of futures contracts held by the Fund. Exp Mar-2016 (191,981,894) 867,551 0.03 ^ Investment in other Funds of the Company. The counterparties for interest rate swaps are Citigroup, Goldman Sachs and JPMorgan Chase. Total open futures contracts 5,269,584 0.19 The counterparty for futures contracts is JPMorgan Chase. The counterparties for credit default swaps are JPMorgan Chase and Morgan Stanley. Unrealised gain on forward foreign currency contracts - 1,323,501 (see below) (31 December 2014: 12,249,434) 1,323,501 0.05 Analysis of portfolio % of Total assets Total fi nancial assets at fair value through profi t or loss 2,702,126,889 98.11 Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 95.96 Financial derivative instruments dealt in on a regulated market 0.19 OTC fi nancial derivative instruments 0.49 Other current assets 3.36

Total assets 100.00

102 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Euroland Bond Fund BNY Mellon Euroland Bond Fund Euro Swiss franc 40,661 44,096 04-Jan-16 The Bank of CHF H (Hedged) Share Class New York Mellon 150 Euro Swiss franc 125,491 136,093 04-Jan-16 The Bank of Euro Swiss franc 96,729 104,901 04-Jan-16 The Bank of New York Mellon 462 New York Mellon 356 Euro Swiss franc 44,996 48,524 05-Jan-16 The Bank of Canadian dollar Euro 2,895,000 1,892,058 29-Jan-16 HSBC Bank Plc 32,030 New York Mellon 416 Canadian dollar Euro 1,290,000 843,093 29-Jan-16 HSBC Bank Plc 14,273 Euro Swiss franc 53,337 57,716 15-Jan-16 The Bank of Euro Polish zloty 2,723,115 11,610,000 29-Jan-16 Deutsche Bank 3,021 New York Mellon 302 Euro Swiss franc 42,306 45,805 15-Jan-16 The Bank of Euro Sterling 21,426,298 15,785,000 29-Jan-16 HSBC Bank Plc 25,495 New York Mellon 216 Euro Swiss franc 3,690,205 3,970,000 29-Jan-16 Morgan Stanley 41,296 Euro Swiss franc 25,876 27,959 15-Jan-16 The Bank of Euro Swiss franc 424,095 460,000 29-Jan-16 Morgan Stanley 1,299 New York Mellon 185 Indian rupee US dollar 2,455,000,000 36,687,514 29-Jan-16 Citigroup 249,212 Euro Swiss franc 147,029 159,340 15-Jan-16 The Bank of Indian rupee US dollar 1,610,540,000 24,168,492 29-Jan-16 Citigroup 70,991 New York Mellon 614 Japanese yen Euro 204,600,000 1,553,345 29-Jan-16 Goldman Sachs 12,856 Euro Swiss franc 40,737 44,096 15-Jan-16 The Bank of New York Mellon 218 Japanese yen Euro 377,460,000 2,865,717 29-Jan-16 Goldman Sachs 23,719 Euro Swiss franc 100,602 108,639 15-Jan-16 The Bank of Swedish krona Euro 260,000,000 28,001,325 29-Jan-16 Bank of America New York Mellon 775 Securities Ltd 344,271 Euro Swiss franc 47,726 51,596 15-Jan-16 The Bank of US dollar Euro 7,890,000 7,212,114 29-Jan-16 Goldman Sachs 43,463 New York Mellon 315 US dollar Euro 6,600,000 6,046,026 29-Jan-16 Goldman Sachs 23,278 Euro Swiss franc 179,378 193,980 15-Jan-16 The Bank of US dollar Euro 8,000,000 7,344,231 29-Jan-16 Citigroup 12,501 New York Mellon 1,132 US dollar Euro 3,050,000 2,780,771 29-Jan-16 Bank of America Euro Swiss franc 106,572 115,274 15-Jan-16 The Bank of Securities Ltd 23,983 New York Mellon 647 US dollar Euro 3,300,000 3,017,527 29-Jan-16 Citigroup 17,125 Euro Swiss franc 36,195 39,164 15-Jan-16 The Bank of US dollar Euro 1,130,000 1,034,951 29-Jan-16 Goldman Sachs 4,187 New York Mellon 207 Euro Swiss franc 59,970 64,549 15-Jan-16 The Bank of US dollar Euro 4,630,000 4,232,204 29-Jan-16 Goldman Sachs 25,505 New York Mellon 657 US dollar Euro 6,810,000 6,208,870 29-Jan-16 Bank of America Euro Swiss franc 35,008 37,738 15-Jan-16 The Bank of Securities Ltd 53,548 New York Mellon 332 US dollar Korean won 74,565,276 87,420,330,000 29-Jan-16 JPMorgan Chase 188,539 Euro Swiss franc 56,845 61,308 15-Jan-16 The Bank of New York Mellon 511 EUR 1,211,098 EUR 6,989 Swiss franc Euro 136,093 125,491 04-Jan-16 The Bank of New York Mellon (462) CHF 7,605 Swiss franc Euro 48,524 44,996 05-Jan-16 The Bank of New York Mellon (417) Swiss franc Euro 44,096 40,661 04-Jan-16 The Bank of Euro Australian dollar 29,124,323 44,120,000 29-Jan-16 UBS (403,334) New York Mellon (150) Euro Canadian dollar 843,885 1,290,000 29-Jan-16 HSBC Bank Plc (13,480) Swiss franc Euro 171,453 158,353 15-Jan-16 The Bank of Euro Japanese yen 1,547,854 204,600,000 29-Jan-16 Goldman Sachs (18,347) New York Mellon (807) Euro New Zealand dollar 30,704,369 49,545,000 29-Jan-16 Citigroup (402,779) Swiss franc Euro 145,946 135,070 15-Jan-16 The Bank of New York Mellon (962) Euro US dollar 223,209,618 245,073,000 29-Jan-16 UBS (2,157,430) Swiss franc Euro 88,558 82,276 15-Jan-16 The Bank of Euro US dollar 226,258,927 248,378,000 29-Jan-16 JPMorgan Chase (2,147,370) New York Mellon (900) Euro US dollar 226,226,985 248,378,000 29-Jan-16 Goldman Sachs (2,179,313) Swiss franc Euro 8,618 7,964 15-Jan-16 The Bank of Euro US dollar 6,932,902 7,575,000 29-Jan-16 UBS (33,003) New York Mellon (45) Euro US dollar 27,628,206 30,360,000 29-Jan-16 JPMorgan Chase (290,592) Swiss franc Euro 48,524 44,683 15-Jan-16 The Bank of Korean won US dollar 3,644,280,000 3,102,043 29-Jan-16 JPMorgan Chase (2,020) New York Mellon (96) Swiss franc Euro 136,093 125,727 15-Jan-16 The Bank of Mexican peso Euro 1,672,990,000 93,246,941 29-Jan-16 HSBC Bank Plc (4,146,244) New York Mellon (672) Norwegian krone Euro 264,140,000 27,663,273 29-Jan-16 Barclays Bank plc (229,117) Swiss franc Euro 225,345 208,675 15-Jan-16 The Bank of Russian rouble US dollar 1,063,030,000 14,793,070 29-Jan-16 JPMorgan Chase (306,495) New York Mellon (1,608) Russian rouble US dollar 1,029,030,000 15,077,363 29-Jan-16 Credit Suisse (993,223) Swiss franc Euro 65,324 60,392 15-Jan-16 The Bank of Swiss franc Euro 460,000 427,580 29-Jan-16 Morgan Stanley (4,785) New York Mellon (367) US dollar Euro 2,230,000 2,054,334 29-Jan-16 UBS (3,645) Swiss franc Euro 259,650 240,105 15-Jan-16 The Bank of New York Mellon (1,516) US dollar Taiwanese dollar 15,309,594 507,363,000 29-Jan-16JPMorgan Chase (127,470) Swiss franc Euro 74,577 68,816 15-Jan-16 The Bank of US dollar Taiwanese dollar 15,410,167 507,802,000 29-Jan-16JPMorgan Chase (47,275) New York Mellon (288) US dollar Taiwanese dollar 29,640,017 980,225,000 29-Jan-16JPMorgan Chase (189,356) Swiss franc Euro 169,419,861 156,330,323 15-Jan-16 The Bank of Euro US dollar 9,126,070 10,000,000 09-Mar-16Citigroup (60,305) New York Mellon (652,416) Swiss franc Euro 5,378 4,987 15-Jan-16 The Bank of EUR (13,756,462) New York Mellon (45) Swiss franc Euro 68,954 63,965 15-Jan-16 The Bank of Net EUR(12,545,364) New York Mellon (605)

103 BNY MELLON EUROLAND BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Euroland Bond Fund BNY Mellon Euroland Bond Fund CHF H (Hedged) Share Class contd. USD H (Acc) (Hedged) Share Class Swiss franc Euro 31,180 28,842 15-Jan-16 The Bank of US dollar Euro 1,584,783 1,441,528 15-Jan-16 The Bank of New York Mellon (190) New York Mellon 16,346 Swiss franc Euro 8,310 7,680 15-Jan-16 The Bank of New York Mellon (43) EUR 16,346

EUR (660,710) USD 17,764

CHF (719,175) BNY Mellon Euroland Bond Fund Net EUR (653,721) USD I (Acc) (Hedged) Share Class Euro US dollar 26,109 28,336 15-Jan-16 The Bank of Net CHF (711,570) New York Mellon 41 US dollar Euro 8,000,323 7,277,143 15-Jan-16 The Bank of New York Mellon 82,519 BNY Mellon Euroland Bond Fund CHF I (Hedged) Share Class EUR 82,560 Euro Swiss franc 8,267 8,945 15-Jan-16 The Bank of New York Mellon 47 USD 89,722 Euro Swiss franc 28,921 31,232 15-Jan-16 The Bank of New York Mellon 222 Euro US dollar 17,407 19,015 15-Jan-16 The Bank of Euro Swiss franc 96,911 104,901 15-Jan-16 The Bank of New York Mellon (86) New York Mellon 519 Euro Swiss franc 10,234 11,058 15-Jan-16 The Bank of New York Mellon 73 EUR (86) Euro Swiss franc 576,059 622,951 15-Jan-16 The Bank of New York Mellon 3,636 USD (93) Euro Swiss franc 9,512 10,284 15-Jan-16 The Bank of New York Mellon 62 Net EUR 82,474 Euro Swiss franc 106,903 115,295 15-Jan-16 The Bank of New York Mellon 961 Net USD 89,629

EUR 5,520 BNY Mellon Euroland Bond Fund CHF 6,008 USD Z (Acc) (Hedged) Share Class US dollar Euro 95,871 87,205 15-Jan-16 The Bank of Swiss franc Euro 104,901 96,729 04-Jan-16 The Bank of New York Mellon 988 New York Mellon (356) Swiss franc Euro 29,738,496 27,440,872 15-Jan-16 The Bank of EUR 988 New York Mellon (114,519) Swiss franc Euro 13,798 12,769 15-Jan-16 The Bank of USD 1,074 New York Mellon (92)

EUR (114,967)

CHF (125,140)

Net EUR (109,447)

Net CHF (119,132)

BNY Mellon Euroland Bond Fund CHF Z (Acc) (Hedged) Share Class Swiss franc Euro 95,054 87,710 15-Jan-16 The Bank of New York Mellon (366)

EUR (366)

CHF (398)

104 BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Collective investment schemes Bonds contd. Ireland - 3,014,628 France - 6,868,334 (31 December 2014: 4,936,678) 3,014,628 5.94 (31 December 2014: 18,602,761) 6,868,334 13.53 91,392 Insight Global Funds II plc - Insight Emerging 200,000 Aeroports de Paris 1.500% 24-Jul-2023 204,028 0.40 Markets Debt Fund 1,718,154 3.39 400,000 ALD International SA 0.750% 26-Jan-2018 400,054 0.79 82,000 Insight Global Funds II Plc - Short High Yield 200,000 Autoroutes du Sud de la France SA Bond Fund 1,296,474 2.55 2.875% 18-Jan-2023 221,154 0.43 300,000 AXA SA 3.875% Perpetual VAR 296,222 0.58 Total investments in collective investment schemes 3,014,628 5.94 300,000 BNP Paribas Cardif SA 4.032% Perpetual VAR 285,750 0.56 300,000 BNP Paribas SA 2.250% 13-Jan-2021 319,845 0.63 Bonds 400,000 BNP Paribas SA 2.875% 20-Mar-2026 VAR 409,775 0.81 Australia - 2,068,966 300,000 BPCE SA 2.750% 30-Nov-2027 VAR 300,845 0.59 (31 December 2014: 3,365,785) 2,068,966 4.08 100,000 Casino Guichard Perrachon SA 430,000 AusNet Services Holdings Pty Ltd 3.248% 07-Mar-2024 95,565 0.19 2.375% 24-Jul-2020 456,587 0.90 100,000 Casino Guichard Perrachon SA 150,000 Australia Pacifi c Airports Melbourne Pty Ltd 4.726% 26-May-2021 108,921 0.21 3.125% 26-Sep-2023 166,606 0.33 100,000 Credit Agricole Assurances SA 140,000 Commonwealth Bank of Australia 4.250% Perpetual VAR 95,157 0.19 2.000% 22-Apr-2027 VAR 133,196 0.26 475,000 Credit Agricole SA/London 3.875% 15-Apr-2024 447,822 0.88 200,000 Goodman Funding Pty Ltd 6.000% 22-Mar-2022 203,987 0.40 100,000 Electricite de France SA 3.875% 18-Jan-2022 116,779 0.23 290,000 QBE Capital Funding IV Ltd 7.500% 24-May-2041 VAR 431,314 0.85 200,000 Electricite de France SA 4.125% Perpetual VAR 195,862 0.39 190,000 Scentre Group Trust 1 2.250% 16-Jul-2024 195,691 0.39 100,000 Electricite de France SA 4.250% Perpetual VAR 100,347 0.20 270,000 SGSP Australia Assets Pty Ltd 100,000 Electricite de France SA 4.625% 26-Apr-2030 126,078 0.25 2.000% 30-Jun-2022 269,317 0.53 200,000 Electricite de France SA 5.000% Perpetual VAR 196,184 0.39 204,000 Sydney Airport Finance Co Pty Ltd 250,000 Eutelsat SA 4.125% 27-Mar-2017 261,849 0.52 2.750% 23-Apr-2024 212,268 0.42 100,000 Gecina SA 2.000% 17-Jun-2024 99,957 0.20 200,000 La Banque Postale SA 2.750% 19-Nov-2027 VAR 202,521 0.40 Austria - 1,020,581 170,000 Orange SA 5.000% Perpetual VAR 169,988 0.33 (31 December 2014: 1,516,128) 1,020,581 2.01 130,000 Orange SA 8.125% 28-Jan-2033 216,419 0.43 250,000 Erste Group Bank AG 7.125% 10-Oct-2022 296,723 0.58 40,000 Orange SA 10.000% 01-Mar-2031 51,875 0.10 700,000 UniCredit Bank Austria AG 2.625% 30-Jan-2018 723,858 1.43 100,000 Publicis Groupe SA 1.125% 16-Dec-2021 99,515 0.20 200,000 RTE Reseau de Transport d’Electricite SA Belgium - 1,178,220 1.625% 08-Oct-2024 201,940 0.40 (31 December 2014: 2,205,883) 1,178,220 2.32 200,000 RTE Reseau de Transport d’Electricite SA 46,000 Anheuser-Busch InBev NV 4.000% 02-Jun-2021 53,115 0.10 1.625% 27-Nov-2025 198,473 0.39 500,000 Belfi us Bank SA/NV 2.250% 26-Sep-2018 522,682 1.03 100,000 RTE Reseau de Transport d’Electricite SA 200,000 Eandis CVBA 2.750% 30-Nov-2022 219,671 0.43 2.750% 20-Jun-2029 106,313 0.21 200,000 Solvay Finance America LLC 144A 300,000 Societe Des Autoroutes Paris-Rhin-Rhone 4.450% 03-Dec-2025 181,190 0.36 0.573% 03-Jan-2020 FRN 300,420 0.59 100,000 Solvay SA 1.625% 02-Dec-2022 100,278 0.20 200,000 Societe Des Autoroutes Paris-Rhin-Rhone 100,000 Solvay SA 2.750% 02-Dec-2027 101,284 0.20 4.875% 21-Jan-2019 225,887 0.44 200,000 Societe Fonciere Lyonnaise SA Bermuda - 212,326 1.875% 26-Nov-2021 199,995 0.39 (31 December 2014: 441,823) 212,326 0.42 100,000 Societe Fonciere Lyonnaise SA 200,000 Bacardi Ltd 2.750% 03-Jul-2023 212,326 0.42 2.250% 16-Nov-2022 100,685 0.20 100,000 Societe Fonciere Lyonnaise SA Brazil - 121,440 3.500% 28-Nov-2017 105,975 0.21 (31 December 2014: 622,800) 121,440 0.24 200,000 TDF Infrastructure SAS 2.875% 19-Oct-2022 205,024 0.40 132,000 BRF SA 2.750% 03-Jun-2022 121,440 0.24 200,000 Transport et Infrastructures Gaz France SA 2.200% 05-Aug-2025 201,110 0.40 Canada - 264,759 (31 December 2014: 835,403) 264,759 0.52 Germany - 3,957,532 340,000 Yamana Gold Inc 4.950% 15-Jul-2024 264,759 0.52 (31 December 2014: 6,090,742) 3,957,532 7.80 80,000 Commerzbank AG 1.500% 21-Sep-2022 80,842 0.16 Czech Republic - 417,348 300,000 Conti-Gummi Finance BV 2.500% 20-Mar-2017 308,048 0.61 (31 December 2014: 422,265) 417,348 0.82 205,000 Continental Rubber of America Corp 250,000 EP Energy AS 4.375% 01-May-2018 261,906 0.51 0.500% 19-Feb-2019 204,379 0.40 140,000 EP Energy AS 5.875% 01-Nov-2019 155,442 0.31 200,000 Deutsche Bank AG 1.125% 17-Mar-2025 186,552 0.37 Denmark - 157,571 400,000 Deutsche Bank AG 1.250% 08-Sep-2021 401,083 0.79 (31 December 2014: 1,571,120) 157,571 0.31 100,000 Deutsche Telekom International Finance BV 159,000 ISS Global A/S 1.125% 07-Jan-2021 157,571 0.31 6.000% 20-Jan-2017 106,143 0.21

105 BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. Germany contd. Netherlands - 2,448,112 250,000 EnBW Energie Baden-Wuerttemberg AG (31 December 2014: 8,729,086) 2,448,112 4.82 3.625% 02-Apr-2076 VAR 232,458 0.46 300,000 ABN AMRO Bank NV 5.750% Perpetual VAR 300,192 0.59 160,000 Enbw International Finance BV 2.500% 04-Jun-2026 169,440 0.33 232,000 Achmea Bank NV 0.875% 17-Sep-2018 233,617 0.46 100,000 Eurogrid GmbH 1.625% 03-Nov-2023 100,533 0.20 180,000 Achmea BV 2.500% 19-Nov-2020 191,416 0.38 200,000 Eurogrid GmbH 1.875% 10-Jun-2025 200,769 0.39 340,000 Dryden 32 Euro CLO 2014 B.V. 200,000 Grand City Properties SA 1.500% 17-Apr-2025 180,831 0.36 3.642% 23-Aug-2026 FRN 332,685 0.65 300,000 Infi neon Technologies AG 1.000% 10-Sep-2018 298,758 0.59 120,000 Enexis Holding NV 1.500% 20-Oct-2023 121,083 0.24 140,000 RWE Finance BV 6.500% 20-Apr-2021 216,148 0.43 590,000 ING Bank NV 4.125% 21-Nov-2023 VAR 553,709 1.09 310,000 Unitymedia Hessen GmbH & Co KG / 250,000 LeasePlan Corp NV 2.500% 16-May-2018 226,010 0.44 Unitymedia NRW GmbH 4.000% 15-Jan-2025 299,169 0.59 236,000 Shell International Finance BV 200,000 Vier Gas Transport GmbH 2.875% 12-Jun-2025 219,415 0.43 1.875% 15-Sep-2025 237,502 0.47 295,000 Volkswagen International Finance NV 253,000 SNS Bank NV 3.750% 05-Nov-2025 VAR 251,898 0.50 2.500% Perpetual VAR 254,681 0.50 300,000 Vonovia Finance BV 1.625% 15-Dec-2020 299,471 0.59 Poland - 318,732 200,000 Vonovia Finance BV 2.250% 15-Dec-2023 198,812 0.39 (31 December 2014: 681,535) 318,732 0.63 170,000 mFinance France SA 2.375% 01-Apr-2019 172,093 0.34 India - 104,785 136,000 TVN Finance Corp III AB 7.375% 15-Dec-2020 146,639 0.29 (31 December 2014: 190,278) 104,785 0.21 100,000 Bharti Airtel International Netherlands BV Portugal - 688,286 3.375% 20-May-2021 104,785 0.21 (31 December 2014: –) 688,286 1.35 300,000 EDP Finance BV 4.125% 15-Jan-2020 276,627 0.54 Ireland - 1,565,516 200,000 EDP Finance BV 144A 4.125% 15-Jan-2020 184,418 0.36 (31 December 2014: 1,300,229) 1,565,516 3.09 240,000 EDP Finance BV 4.900% 01-Oct-2019 227,241 0.45 260,000 Allied Irish Banks Plc 4.125% 26-Nov-2025 VAR 262,514 0.52 620,000 Bank of Ireland 2.000% 08-May-2017 632,084 1.25 Spain - 3,510,521 110,000 ESB Finance Ltd 2.125% 08-Jun-2027 111,389 0.22 (31 December 2014: 4,752,102) 3,510,521 6.92 231,537 German Residential Funding Plc 620,000 Banco Bilbao Vizcaya Argentaria SA 3.396% 27-Aug-2024 FRN 238,363 0.47 3.000% 20-Oct-2020 566,760 1.12 338,000 Smurfi t Kappa Acquisitions 144A 700,000 Bankinter SA 0.625% 09-Oct-2020 695,667 1.37 4.875% 15-Sep-2018 321,166 0.63 500,000 CaixaBank SA 0.029% 09-Jan-2018 FRN 499,710 0.98 100,000 Enagas Financiaciones SAU 1.250% 06-Feb-2025 96,579 0.19 Italy - 2,712,376 200,000 Gas Natural Capital Markets SA (31 December 2014: 8,402,927) 2,712,376 5.35 5.000% 13-Feb-2018 219,304 0.43 198,000 Assicurazioni Generali SpA 100,000 Iberdrola International BV 1.750% 17-Sep-2023 101,949 0.20 5.500% 27-Oct-2047 VAR 210,005 0.41 200,000 IE2 Holdco SAU 2.375% 27-Nov-2023 197,004 0.39 500,000 Berica ABS 3 Srl 2.209% 30-Jun-2061 FRN 505,238 1.00 200,000 Santander Consumer Finance SA 167,000 Enel Finance International NV 1.100% 30-Jul-2018 202,354 0.40 1.966% 27-Jan-2025 171,314 0.34 397,250 Silverback Finance Ltd 3.126% 25-Feb-2037 390,815 0.77 147,000 FCA Capital Ireland Plc 1.250% 13-Jun-2018 147,092 0.29 100,000 Telefonica Emisiones SAU 1.477% 14-Sep-2021 99,919 0.20 150,000 Generali Finance BV 5.317% Perpetual VAR 152,254 0.30 100,000 Telefonica Emisiones SAU 2.932% 17-Oct-2029 99,969 0.20 300,000 Intesa Sanpaolo SpA 1.375% 18-Dec-2025 295,799 0.58 300,000 Telefonica Emisiones SAU 3.987% 23-Jan-2023 340,491 0.67 230,000 Intesa Sanpaolo SpA 3.500% 17-Jan-2022 255,539 0.50 200,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 196,753 0.39 Sweden - 238,309 200,000 Intesa Sanpaolo SpA 144A 7.700% Perpetual VAR 187,373 0.37 (31 December 2014: 240,668) 238,309 0.47 100,000 Intesa Sanpaolo Vita SpA 5.350% 18-Sep-2018 110,314 0.22 240,000 Svenska Handelsbanken AB 1.125% 14-Dec-2022 238,309 0.47 100,000 Snam SpA 3.500% 13-Feb-2020 111,214 0.22 112,000 Snam SpA 3.875% 19-Mar-2018 120,754 0.24 Switzerland - 1,594,074 230,000 UniCredit SpA 5.750% 28-Oct-2025 VAR 248,727 0.49 (31 December 2014: 1,358,346) 1,594,074 3.14 250,000 Cloverie Plc for Zurich Insurance Co Ltd Japan - 389,319 7.500% 24-Jul-2039 VAR 295,855 0.58 (31 December 2014: 294,608) 389,319 0.77 490,000 Credit Suisse Group Funding Guernsey Ltd 200,000 SoftBank Group Corp 4.750% 30-Jul-2025 194,663 0.39 1.250% 14-Apr-2022 475,469 0.94 200,000 SoftBank Group Corp 5.250% 30-Jul-2027 194,656 0.38 120,000 Glencore Finance Europe SA 1.750% 17-Mar-2025 76,044 0.15 187,000 Glencore Funding LLC 4.125% 30-May-2023 126,804 0.25 Mexico - 771,652 200,000 UBS Group AG 6.875% Perpetual VAR 180,901 0.36 (31 December 2014: 1,693,234) 771,652 1.52 200,000 UBS Group Funding Jersey Ltd 280,000 America Movil SAB de CV 5.125% 06-Sep-2073 VAR 292,838 0.58 1.750% 16-Nov-2022 200,176 0.39 300,000 CEMEX Espana SA/Luxembourg 280,000 Willow No 2 Ireland Plc for Zurich Insurance Co Ltd 9.875% 30-Apr-2019 309,999 0.61 4.250% 01-Oct-2045 VAR 238,825 0.47 200,000 Petroleos Mexicanos 3.750% 16-Apr-2026 168,815 0.33

106 BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Bonds contd. Bonds contd. United Kingdom - 8,397,279 United States of America contd. (31 December 2014: 17,385,554) 8,397,279 16.54 214,000 Goldman Sachs Group Inc/The 2.000% 27-Jul-2023 217,063 0.43 100,000 Abbey National Treasury Services Plc 450,000 Goldman Sachs Group Inc/The 3.250% 01-Feb-2023 497,101 0.98 0.621% 13-Aug-2019 FRN 100,131 0.20 100,000 Goldman Sachs Group Inc/The 5.125% 23-Oct-2019 116,255 0.23 205,000 Abbey National Treasury Services Plc 610,000 JPMorgan Chase & Co 1.375% 16-Sep-2021 619,135 1.22 0.875% 25-Nov-2020 203,934 0.40 260,000 JPMorgan Chase & Co 2.625% 23-Apr-2021 281,365 0.55 190,000 Abbey National Treasury Services Plc 170,000 Kinder Morgan Inc 2.250% 16-Mar-2027 122,264 0.24 1.125% 10-Mar-2025 179,443 0.35 200,000 LyondellBasell Industries NV 6.000% 15-Nov-2021 206,089 0.41 137,000 Barclays Plc 2.625% 11-Nov-2025 VAR 136,723 0.27 120,000 Moody’s Corp 1.750% 09-Mar-2027 115,119 0.23 360,000 British Airways Plc 8.750% 23-Aug-2016 508,733 1.00 200,000 Morgan Stanley 1.750% 30-Jan-2025 196,838 0.39 160,000 Channel Link Enterprises Finance Plc 100,000 Morgan Stanley 5.000% 02-May-2019 114,478 0.23 3.209% 30-Jun-2050 FRN 160,600 0.32 450,000 Morgan Stanley 5.375% 10-Aug-2020 538,141 1.06 370,000 Coventry Building Society 2.500% 18-Nov-2020 395,278 0.78 100,000 National Grid North America Inc 400,000 DECO 2014-GONDOLA Srl 2.858% 22-Feb-2026 FRN 397,000 0.78 0.750% 11-Feb-2022 97,245 0.19 160,000 Delphi Automotive Plc 1.500% 10-Mar-2025 147,886 0.29 200,000 PPG Industries Inc 0.875% 13-Mar-2022 194,608 0.38 230,000 FCE Bank Plc 0.397% 10-Feb-2018 FRN 227,115 0.45 250,000 Prologis LP 1.375% 13-May-2021 246,204 0.49 300,000 FCE Bank Plc 1.875% 18-Apr-2019 309,436 0.61 230,000 Royal Caribbean Cruises Ltd 5.250% 15-Nov-2022 217,489 0.43 200,000 FCE Bank Plc 1.875% 24-Jun-2021 203,635 0.40 150,000 Sabine Pass LNG LP 7.500% 30-Nov-2016 138,398 0.27 266,000 Hanson Ltd 6.125% 15-Aug-2016 251,226 0.49 293,000 Simon International Finance SCA 157,000 HBOS Plc 4.500% 18-Mar-2030 VAR 178,870 0.35 1.375% 18-Nov-2022 292,057 0.57 190,000 Heathrow Funding Ltd 1.500% 11-Feb-2030 169,758 0.34 100,000 Thermo Fisher Scientifi c Inc 1.500% 01-Dec-2020 101,020 0.20 213,000 Heathrow Funding Ltd 7.125% 14-Feb-2024 355,406 0.70 100,000 Verizon Communications Inc 2.375% 17-Feb-2022 106,751 0.21 285,000 HSBC Holdings Plc 5.100% 05-Apr-2021 290,658 0.57 310,000 Verizon Communications Inc 6.550% 15-Sep-2043 336,935 0.66 280,000 Intu SGS Finance Plc 3.875% 17-Mar-2023 388,730 0.77 137,000 Wells Fargo & Co 2.000% 27-Apr-2026 138,673 0.27 100,000 Lloyds Bank Plc 1.875% 10-Oct-2018 104,210 0.21 500,000 Lloyds Bank Plc 10.750% 16-Dec-2021 VAR 739,790 1.46 Total investments in bonds 46,365,211 91.35 200,000 Lloyds Banking Group Plc 7.625% Perpetual VAR 286,246 0.56 205,000 Motability Operations Group Plc Credit default swaps - 49,177 1.625% 09-Jun-2023 210,679 0.41 (31 December 2014: –) 167,000 Royal Bank of Scotland Group Plc 400,000 CDS LafargeHolcim Ltd 1.000% 20-Dec-2020 5,715 0.01 3.625% 25-Mar-2024 VAR 171,813 0.34 100,000 CDS LafargeHolcim Ltd 1.000% 20-Dec-2020 1,429 0.00 200,000 Royal Bank of Scotland Plc/The 5.375% 30-Sep-2019 234,840 0.46 170,000 CDS Standard Chartered Plc 1.000% 20-Dec-2020 12,111 0.03 241,000 Royal Bank of Scotland Plc/The 6.934% 09-Apr-2018 270,262 0.53 420,000 CDS Standard Chartered Plc 1.000% 20-Dec-2020 29,922 0.06 150,000 Royal Bank of Scotland Plc/The Total credit default swaps 49,177 0.10 10.500% 16-Mar-2022 VAR 167,288 0.33 260,000 Sky Plc 0.709% 01-Apr-2020 FRN 259,446 0.51 180,000 Sky Plc 1.500% 15-Sep-2021 180,814 0.36 Underlying Fair Total 100,000 Sky Plc 2.250% 17-Nov-2025 100,021 0.20 exposure value net assets 245,000 Urenco Finance NV 2.250% 05-Aug-2022 245,523 0.48 Holdings Description EUR EUR % 100,000 Wellcome Trust Ltd/The 1.125% 21-Jan-2027 95,202 0.19 147,000 WPP Finance 2013 0.750% 18-Nov-2019 147,222 0.29 Open futures contracts - 30,544 380,000 Yorkshire Building Society 1.250% 17-Mar-2022 371,410 0.73 (31 December 2014: 173,189) 200,000 Yorkshire Building Society 2.125% 18-Mar-2019 207,951 0.41 (29) U.S. 10 Year Treasury Note Short Futures Contracts United States of America - 7,359,173 Exp Mar-2016 (3,344,200) 22,299 0.04 (31 December 2014: 14,528,363) 7,359,173 14.49 (4) U.S. 2 Year Treasury Note 120,000 Altria Group Inc 4.000% 31-Jan-2024 114,120 0.22 Short Futures Contracts 230,000 AT&T Inc 2.450% 15-Mar-2035 203,463 0.40 Exp Mar-2016 (797,567) 1,024 0.00 170,000 AT&T Inc 3.550% 17-Dec-2032 180,786 0.36 (8) U.S. 5 Year Treasury Note 300,000 Bank of America Corp 1.375% 26-Mar-2025 285,970 0.56 Short Futures Contracts 130,000 BlackRock Inc 1.250% 06-May-2025 124,319 0.25 Exp Mar-2016 (867,971) 2,985 0.01 111,000 Carnival Corp 1.125% 06-Nov-2019 111,118 0.22 (3) U.S. Treasury Ultra Bond 318,000 Carnival Corp 1.875% 07-Nov-2022 316,318 0.62 Short Futures Contracts 270,000 Citigroup Inc 2.125% 10-Sep-2026 270,155 0.53 Exp Mar-2016 (434,301) 1,719 0.00 10,000 Columbia Pipeline Group Inc 2.450% 01-Jun-2018 8,975 0.02 (10) UK Long Gilt 270,000 Columbia Pipeline Group Inc 4.500% 01-Jun-2025 229,959 0.45 Short Futures Contracts 130,000 DH Europe Finance SA 1.700% 04-Jan-2022 133,456 0.26 Exp Mar-2016 (1,589,868) 2,517 0.01 120,000 Discovery Communications LLC 1.900% 19-Mar-2027 101,095 0.20 180,000 General Electric Capital Corp 4.125% 19-Sep-2035 213,256 0.42 Total open futures contracts 30,544 0.06 170,000 General Electric Co 1.875% 28-May-2027 172,955 0.34

107 BNY MELLON EUROPEAN CREDIT FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts Fair Total value net assets Settle value netUnrealised assets Holdings Description EUR %Buy Holdings Description Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)%

Unrealised gain on forward foreign currency contracts - 376,421 (see below) BNY Mellon European Credit Fund (31 December 2014: 35,681) 376,421 0.74 Euro US dollar 173,370 184,000 21-Jan-16 Citigroup 4,520 Euro US dollar 6,127,968 6,546,000 21-Jan-16 Royal Bank Total fi nancial assets of Canada 120,918 at fair value through profi t or loss 49,835,981 98.19 Euro Sterling 6,028,267 4,380,000 28-Jan-16 UBS 72,798

Credit default swaps - (153,092) EUR 198,236 (31 December 2014: (20,030)) 650,000 CDS Compass Group plc 1.000% 20-Sep-2018 (14,565) (0.03) US dollar Euro 28,000 26,261 21-Jan-16 UBS (566) 350,000 CDS General Mills Inc 1.000% 20-Dec-2020 (11,190) (0.02) US dollar Euro 220,000 205,941 21-Jan-16 UBS (4,054) 450,000 CDS General Mills Inc 1.000% 20-Dec-2020 (14,387) (0.03) Sterling Euro 55,000 75,542 28-Jan-16 Citigroup Funding 5,000,000 CDS iTraxx Europe Series 24 Version 1 Inc (758) 1.000% 20-Dec-2020 (55,597) (0.11) (500,000) CDS Tesco Plc 1.000% 20-Jun-2020 (36,129) (0.07) EUR (5,378) 800,000 CDS Veolia Environnement SA 1.000% 20-Sep-2020 (13,082) (0.02) (900,000) CDS Volkswagen AG 1.000% 20-Jun-2018 (8,142) (0.02) Net EUR 192,858

Total credit default swaps (153,092) (0.30) BNY Mellon European Credit Fund USD I (Hedged) Share Class Underlying Fair Total US dollar Euro 19,580,840 17,793,242 15-Jan-16 The Bank of exposure value net assets New York Mellon 178,185 Holdings Description EUR EUR % EUR 178,185 Open futures contracts - (35,745) (31 December 2014: (136,061)) USD 194,088 2 Euro Buxl 30 Year Bond Long Futures Contracts Exp Mar-2016 302,200 (6,840) (0.01) 6 Euro-Bobl Long Futures Contracts Exp Mar-2016 784,170 (4,790) (0.01) 13 Euro-Bund Long Futures Contracts Exp Mar-2016 2,054,130 (14,340) (0.03) 46 Euro-Schatz Long Futures Contracts Exp Mar-2016 5,129,345 (9,775) (0.02)

Total open futures contracts (35,745) (0.07)

Unrealised loss on forward foreign currency contracts - (5,378) (see below) (31 December 2014: (359,979)) (5,378) (0.01)

Total fi nancial liabilities at fair value through profi t or loss (194,215) (0.38)

Net current assets 1,111,497 2.19

Total net assets 50,753,263 100.00

The counterparties for credit default swaps are Barclays Bank, Credit Suisse, Bank of America Merrill Lynch, Morgan Stanley, JPMorgan Chase and Goldman Sachs. The counterparty for futures contracts is Goldman Sachs.

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 95.90 Financial derivative instruments dealt in on a regulated market 0.06 OTC fi nancial derivative instruments 0.83 Other current assets 3.21

Total assets 100.00

108 BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Australian Dollar - 12,172,358 New Zealand Dollar - 12,163,042 (31 December 2014: 29,562,558) 12,172,358 3.94 (31 December 2014: 14,636,293) 12,163,042 3.93 4,060,000 Australia Government Bond 3.750% 21-Apr-2037 3,109,419 1.01 6,520,000 International Bank for Reconstruction 8,190,000 Landwirtschaftliche Rentenbank & Development 3.375% 13-Aug-2017 4,487,665 1.45 2.683% 27-Jan-2016 FRN 5,988,793 1.94 7,350,000 Landwirtschaftliche Rentenbank 3,480,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 3,074,146 0.99 4.000% 30-Jan-2020 5,110,278 1.65 3,700,000 New Zealand Government Bond Chinese Yuan Renminbi - 3,405,847 2.000% 20-Sep-2025 2,565,099 0.83 (31 December 2014: –) 3,405,847 1.10 11,200,000 International Finance Corp 2.000% 18-Jan-2017 1,697,610 0.55 Peruvian Nuevo Sol - 1,561,569 11,390,000 United Kingdom Government International Bond (31 December 2014: –) 1,561,569 0.50 2.700% 21-Oct-2017 1,708,237 0.55 5,630,000 Peruvian Government International Bond 6.950% 12-Aug-2031 1,561,569 0.50 Danish Krone - 5,204,383 (31 December 2014: –) 5,204,383 1.68 Sterling - 21,490,406 33,100,000 Denmark Government Bond 1.750% 15-Nov-2025 5,204,383 1.68 (31 December 2014: 45,295,816) 21,490,406 6.95 1,360,000 Affordable Housing Finance Plc Euro - 74,426,661 3.800% 20-May-2042 2,312,656 0.75 (31 December 2014: 151,770,325) 74,426,661 24.06 6,670,000 United Kingdom Gilt 2.000% 22-Jan-2016 9,892,343 3.20 4,700,000 Banca Monte dei Paschi di Siena SpA 5,610,000 United Kingdom Gilt 3.250% 22-Jan-2044 9,285,407 3.00 3.500% 20-Mar-2017 5,312,737 1.72 1,380,000 Bundesrepublik Deutschland US Dollar - 164,250,868 3.250% 04-Jul-2042 2,108,904 0.68 (31 December 2014: 234,212,597) 164,250,868 53.12 2,370,000 Bundesrepublik Deutschland 3,580,000 Asian Development Bank 0.331% 10-Jul-2019 FRN 3,581,380 1.16 4.000% 04-Jan-2037 3,830,045 1.24 5,620,000 Dexia Credit Local SA 2.250% 30-Jan-2019 5,653,998 1.83 1,690,000 Bundesrepublik Deutschland 8,800,000 EUROFIMA 0.587% 10-Jun-2016 FRN 8,796,788 2.84 6.500% 04-Jul-2027 3,002,353 0.97 1,990,000 European Investment Bank 4.875% 15-Feb-2036 2,471,581 0.80 2,900,000 Caisse Centrale du Credit Immobilier de France SA 3,570,000 FMS Wertmanagement AoeR 0.375% 31-Jul-2020 3,174,115 1.03 1.625% 20-Nov-2018 3,580,583 1.16 3,300,000 FADE - Fondo de Amortizacion del Defi cit Electrico 7,070,000 Inter-American Development Bank 0.850% 17-Sep-2019 3,619,507 1.17 0.532% 12-Sep-2018 FRN 7,069,268 2.29 3,400,000 FMS Wertmanagement AoeR 5,900,000 Kommunalbanken AS 0.459% 02-May-2019 FRN 5,901,245 1.91 0.375% 29-Apr-2030 3,239,576 1.05 5,900,000 Kommunekredit 0.875% 29-Jul-2016 5,900,183 1.91 1,400,000 FMS Wertmanagement AoeR 4,800,000 Kommuninvest I Sverige AB 1.125% 09-Oct-2018 4,740,434 1.53 3.000% 08-Sep-2021 1,762,764 0.57 12,820,000 Netherlands Government Bond 1,220,000 France Government Bond OAT 1.000% 24-Feb-2017 12,832,192 4.15 3.250% 25-May-2045 1,691,378 0.55 4,360,000 Svensk Exportkredit AB 2.875% 14-Nov-2023 VAR 4,321,719 1.40 970,000 France Government Bond OAT 9,300,000 United States Treasury Bill 5.500% 25-Apr-2029 1,591,106 0.51 0.000% 28-Apr-2016 9,293,188 3.00 2,330,000 Ireland Government Bond 3.900% 20-Mar-2023 3,105,300 1.00 12,370,373 United States Treasury Infl ation Indexed Bonds 11,020,000 Italy Buoni Poliennali Del Tesoro 0.125% 15-Apr-2020 12,188,764 3.94 6.500% 01-Nov-2027 17,926,718 5.80 3,692,672 United States Treasury Infl ation Indexed Bonds 2,790,000 Mexico Government International Bond 2.125% 15-Feb-2041 4,354,589 1.41 2.375% 09-Apr-2021 3,174,650 1.03 1,640,340 United States Treasury Infl ation Indexed Bonds 898,000 Morocco Government International Bond 2.375% 15-Jan-2025 1,860,173 0.60 3.500% 19-Jun-2024 988,157 0.32 7,400,000 United States Treasury Note/Bond 1,660,000 Morocco Government International Bond 0.875% 28-Feb-2017 7,404,481 2.39 4.500% 05-Oct-2020 1,961,945 0.63 8,610,000 United States Treasury Note/Bond 2,330,000 Netherlands Government Bond 1.250% 30-Nov-2018 8,589,650 2.78 5.500% 15-Jan-2028 3,833,075 1.24 17,880,000 United States Treasury Note/Bond 2,200,000 Peruvian Government International Bond 1.625% 15-Aug-2022 17,374,675 5.62 2.750% 30-Jan-2026 2,383,027 0.77 11,880,000 United States Treasury Note/Bond 2,550,000 Province of British Columbia Canada 2.000% 15-Feb-2025 11,584,390 3.75 0.875% 08-Oct-2025 2,737,036 0.88 19,980,000 United States Treasury Note/Bond 2,400,000 SNCF Reseau 1.125% 25-May-2030 2,423,286 0.78 2.875% 15-May-2043 19,381,779 6.27 4,950,000 Spain Government Bond 144A 4.400% 31-Oct-2023 6,560,982 2.12 6,860,000 United States Treasury Note/Bond 3.500% 15-May-2020 7,369,808 2.38 Mexican Nuevo Peso - 4,930,302 (31 December 2014: 10,622,380) 4,930,302 1.59 Total investments in bonds 299,605,436 96.87 85,100,000 Mexican Bonos 4.750% 14-Jun-2018 4,930,302 1.59

109 BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts contd. value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Unrealised gain on forward foreign currency contracts - 2,398,280 (see below) BNY Mellon Global Bond Fund contd. (31 December 2014: 3,538,113) 2,398,280 0.78 US dollar Australian dollar 5,348,682 7,332,285 04-Jan-16 Royal Bank of Scotland (12,687) Total fi nancial assets Canadian dollar US dollar 11,284,547 8,381,656 17-Mar-16 State Street Bank (255,829) at fair value through profi t or loss 302,003,716 97.65 Danish krone Euro 89,458,339 12,005,433 17-Mar-16 JPMorgan Chase (14,181) Euro Japanese yen 1,099,021 146,670,004 17-Mar-16 Royal Bank of Scotland (21,174) Unrealised loss on forward foreign currency contracts - (1,472,340) (see below) Euro US dollar 8,502,000 9,351,387 17-Mar-16 JPMorgan Chase (73,047) (31 December 2014: (2,058,157)) (1,472,340) (0.48) Korean won US dollar 46,791,000 39,863 17-Mar-16 Barclays Bank plc (159) Total fi nancial liabilities Norwegian krone US dollar 26,937,000 3,083,014 17-Mar-16 State Street Bank (29,669) at fair value through profi t or loss (1,472,340) (0.48) Sterling US dollar 4,011,000 6,012,710 17-Mar-16 UBS (68,290) US dollar Australian dollar 11,231,293 15,501,916 17-Mar-16 State Street Bank (62,147) Net current assets 8,743,450 2.83 US dollar Danish krone 10,613,253 72,919,980 17-Mar-16 JPMorgan Chase (54,732) US dollar Euro 151,119 138,840 17-Mar-16 State Street Bank (399) Total net assets 309,274,826 100.00 US dollar Euro 6,839,670 6,281,000 17-Mar-16 Royal Bank of Scotland (14,865) US dollar Japanese yen 2,792,589 337,853,000 17-Mar-16 UBS (18,935) US dollar New Zealand dollar 16,744,182 25,348,810 17-Mar-16 Royal Bank Analysis of portfolio % of Total assets of Scotland (525,284) US dollar Polish zloty 1,706,724 6,826,468 17-Mar-16 The Bank of Transferable securities and money market instruments admitted New York Mellon (34,425) to offi cial stock exchange listing or traded on a regulated market 94.24 US dollar Swedish krona 576,987 4,904,987 17-Mar-16 Royal Bank OTC fi nancial derivative instruments 0.75 of Scotland (6,138) Other current assets 5.01 USD (1,191,961) Total assets 100.00 Net USD 1,205,811

Forward foreign currency contracts BNY Mellon Global Bond Fund Settle Unrealised EUR H (Hedged) Share Class Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Euro US dollar 2 3 04-Jan-16 The Bank of New York Mellon – US dollar Euro 3 2 15-Jan-16 The Bank of BNY Mellon Global Bond Fund New York Mellon – US dollar Euro 3 2 04-Jan-16 The Bank of US dollar Euro 41,023 37,191 15-Jan-16 The Bank of New York Mellon – New York Mellon 501 US dollar Euro 50,676 46,409 04-Jan-16 UBS 125 US dollar Euro 1,329 1,214 15-Jan-16 The Bank of Australian dollar US dollar 7,332,285 5,329,412 17-Mar-16 Royal Bank New York Mellon 7 of Scotland 12,297 Euro US dollar 23,668,917 25,644,324 17-Mar-16 UBS 185,864 USD 508 Japanese yen Australian dollar 658,766,387 7,388,000 17-Mar-16 State Street Bank 99,784 Japanese yen US dollar 7,726,314,453 62,748,602 17-Mar-16 Barclays Bank plc 1,547,770 EUR 466 New Zealand dollar Euro 2,419,335 1,474,567 17-Mar-16 State Street Bank 39,015 Polish zloty Euro 7,180,256 1,655,682 17-Mar-16 Royal Bank Euro US dollar 9,476 10,375 15-Jan-16 The Bank of of Scotland 24,518 New York Mellon (52) Swedish krona Euro 14,498,272 1,572,814 17-Mar-16 State Street Bank 7,184 Euro US dollar 4,973 5,436 15-Jan-16 The Bank of US dollar Canadian dollar 4,546,629 6,157,000 17-Mar-16 The Bank of New York Mellon (17) New York Mellon 113,069 Euro US dollar 3,755,388 4,132,673 15-Jan-16 The Bank of US dollar Chinese yuan 3,366,743 21,968,000 17-Mar-16 Royal Bank New York Mellon (40,963) of Scotland 44,499 US dollar Euro 80,785 74,539 15-Jan-16 The Bank of US dollar Danish krone 93,355 635,000 17-Mar-16 State Street Bank 456 New York Mellon (429) US dollar Euro 2,826,272 2,581,000 17-Mar-16 State Street Bank 9,594 US dollar Euro 744,174 677,000 17-Mar-16 Royal Bank USD (41,461) of Scotland 5,355 US dollar Indonesian rupiah 3,068,719 42,777,936,000 17-Mar-16 UBS 34,351 EUR (38,064) US dollar Korean won 3,117,187 3,655,837,000 17-Mar-16 Barclays Bank plc 15,103 US dollar Mexican peso 5,180,275 87,793,750 17-Mar-16 Barclays Bank plc 153,271 Net USD (40,953) US dollar Peruvian nuevo sol 1,640,951 5,626,000 17-Mar-16 Barclays Bank plc 8,169 US dollar Singapore dollar 3,103,695 4,370,000 17-Mar-16 State Street Bank 19,899 Net EUR (37,598) US dollar Sterling 4,338,815 2,878,269 17-Mar-16 State Street Bank 73,137 US dollar Sterling 236,387 156,592 17-Mar-16 JPMorgan Chase 4,312

USD 2,397,772

110 BNY MELLON GLOBAL BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Bond Fund EUR I (Hedged) Share Class Euro US dollar 21,903,052 24,103,542 15-Jan-16 The Bank of New York Mellon (238,918)

USD (238,918)

EUR (219,342)

111 BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes Bonds contd. Ireland - 53,263 Czech Republic - 1,398,849 (31 December 2014: –) 53,263 0.02 (31 December 2014: 1,167,086) 1,398,849 0.53 257 iShares JP Morgan $ Emerging Markets 1,250,000 NET4GAS sro 2.500% 28-Jul-2021 1,398,849 0.53 Bond UCITS ETF 27,160 0.01 378 SPDR Barclays Emerging Markets Local Denmark - 2,493,288 Bond UCITS ETF 26,103 0.01 (31 December 2014: 2,669,516) 2,493,288 0.95 1,200,000 Danske Bank A/S 3.875% 04-Oct-2023 VAR 1,393,254 0.53 Total investments in collective investment schemes 53,263 0.02 1,100,000 Kommunekredit 0.875% 29-Jul-2016 1,100,034 0.42

Bonds Fiji - 1,770,930 (31 December 2014: –) 1,770,930 0.67 Australia - 6,153,454 1,800,000 Fiji Government International Bond (31 December 2014: 9,596,843) 6,153,454 2.33 6.625% 02-Oct-2020 1,770,930 0.67 1,225,000 Commonwealth Bank of Australia 2.125% 22-Jul-2020 1,206,552 0.46 Finland - 5,558,623 5,600,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 4,946,902 1.87 (31 December 2014: 1,639,510) 5,558,623 2.11 1,050,000 Finland Government International Bond Bermuda - 16,360 0.620% 25-Feb-2016 FRN 1,556,044 0.59 (31 December 2014: 20,625) 16,360 0.01 2,800,000 Municipality Finance Plc 2.375% 16-May-2016 2,817,097 1.07 120,000 China Culiangwang Beverages Holdings Ltd 884,000 Pohjola Bank Oyj 5.750% 28-Feb-2022 1,185,482 0.45 7.000% 12-Apr-2016 14,599 0.01 12,555 China Culiangwang Beverages Holdings Ltd France - 8,123,052 10.000% 12-Apr-2016 1,761 0.00 (31 December 2014: 9,017,591) 8,123,052 3.08 3,410,000 Agence Francaise de Developpement Brazil - 2,504,250 1.125% 03-Oct-2016 3,412,984 1.29 (31 December 2014: 5,381,165) 2,504,250 0.95 2,640,000 Dexia Credit Local SA/New York 2,700,000 Brazilian Government International Bond 2.250% 30-Jan-2019 2,655,971 1.01 4.875% 22-Jan-2021 2,504,250 0.95 500,000 SANEF SA 1.875% 16-Mar-2026 544,612 0.21 Cameroon - 1,078,903 1,350,000 Societe Generale SA 6.750% Perpetual VAR 1,509,485 0.57 (31 December 2014: –) 1,078,903 0.41 Germany - 6,952,891 1,157,000 Republic of Cameroon International Bond (31 December 2014: 6,031,458) 6,952,891 2.64 9.500% 19-Nov-2025 1,078,903 0.41 1,200,000 Bertelsmann SE & Co KGaA Canada - 6,409,547 3.500% 23-Apr-2075 VAR 1,156,366 0.44 (31 December 2014: 8,945,070) 6,409,547 2.43 1,540,000 KFW 3.750% 14-Jun-2018 1,067,748 0.40 1,610,000 Landwirtschaftliche Rentenbank 639,000 1011778 BC ULC / New Red Finance Inc 2.683% 27-Jan-2016 FRN 1,177,284 0.45 6.000% 01-Apr-2022 662,963 0.25 3,520,000 Landwirtschaftliche Rentenbank 2,010,000 Province of British Columbia Canada 4.000% 30-Jan-2020 2,447,371 0.93 0.875% 08-Oct-2025 2,157,428 0.82 527,000 Unitymedia Hessen GmbH & Co KG / 2,210,000 Royal Bank of Canada 1.125% 22-Jul-2016 2,212,446 0.84 Unitymedia NRW GmbH 4.000% 15-Jan-2025 553,978 0.21 1,400,000 Royal Bank of Canada 1.875% 05-Feb-2020 1,376,710 0.52 460,000 Unitymedia Hessen GmbH & Co KG / Cayman Islands - 560,490 Unitymedia NRW GmbH 6.250% 15-Jan-2029 550,144 0.21 (31 December 2014: 5,298,298) 560,490 0.21 Ireland - 4,351,234 628,000 Petrobras International Finance Co SA (31 December 2014: 3,549,851) 4,351,234 1.65 7.875% 15-Mar-2019 560,490 0.21 466,000 Allied Irish Banks Plc 2.750% 16-Apr-2019 534,501 0.20 Costa Rica - 1,698,400 1,500,000 Aquarius + Investments Plc for Swiss (31 December 2014: –) 1,698,400 0.64 Reinsurance Co Ltd 8.250% Perpetual VAR 1,635,045 0.62 1,930,000 Costa Rica Government International Bond 2,035,908 Silverback Finance Ltd 3.126% 25-Feb-2037 2,181,688 0.83 4.250% 26-Jan-2023 1,698,400 0.64 Italy - 3,504,146 Cote d’Ivoire - 1,305,532 (31 December 2014: –) 3,504,146 1.33 (31 December 2014: –) 1,305,532 0.49 3,100,000 Banca Monte dei Paschi di Siena SpA 1,460,000 Cote d’Ivoire Government International Bond 3.500% 20-Mar-2017 3,504,146 1.33 5.750% 31-Dec-2032 1,305,532 0.49 Jersey - 3,030,337 Curacao - 1,308,235 (31 December 2014: 4,795,758) 3,030,337 1.15 (31 December 2014: –) 1,308,235 0.50 1,370,000 AA Bond Co Ltd 4.249% 31-Jul-2020 2,082,104 0.79 1,300,000 Teva Pharmaceutical Finance Co BV 398,000 CPUK Finance Ltd 2.666% 28-Feb-2020 586,633 0.22 2.400% 10-Nov-2016 1,308,235 0.50 238,000 CPUK Finance Ltd 7.000% 28-Aug-2020 361,600 0.14

112 BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Luxembourg - 1,075,134 Supranational - 18,132,848 (31 December 2014: 3,615,006) 1,075,134 0.41 (31 December 2014: 6,338,032) 18,132,848 6.88 500,000 Altice Financing SA 7.875% 15-Dec-2019 521,250 0.20 3,050,000 Asian Development Bank 0.331% 10-Jul-2019 FRN 3,051,176 1.16 600,000 Altice SA 6.250% 15-Feb-2025 553,884 0.21 2,800,000 Council Of Europe Development Bank 1.125% 31-May-2018 2,783,473 1.05 Mexico - 2,524,824 2,900,000 EUROFIMA 5.250% 07-Apr-2016 2,935,835 1.11 (31 December 2014: 5,936,761) 2,524,824 0.96 3,140,000 European Bank for Reconstruction & Development 43,580,000 Mexican Bonos 4.750% 14-Jun-2018 2,524,824 0.96 4.000% 11-May-2017 370,528 0.14 3,020,000 International Bank for Reconstruction Morocco - 1,442,328 & Development 0.500% 15-Apr-2016 3,022,424 1.15 (31 December 2014: 1,395,289) 1,442,328 0.55 5,470,000 International Bank for Reconstruction 720,000 Morocco Government International Bond & Development 4.625% 26-Feb-2019 3,893,862 1.48 3.500% 19-Jun-2024 792,286 0.30 9,530,000 International Finance Corp 2.000% 18-Jan-2017 1,444,484 0.55 550,000 Morocco Government International Bond 910,000 Nordic Investment Bank 4.125% 16-Mar-2017 631,066 0.24 4.500% 05-Oct-2020 650,042 0.25 Sweden - 4,125,951 Netherlands - 13,668,113 (31 December 2014: 1,333,877) 4,125,951 1.56 (31 December 2014: 14,341,667) 13,668,113 5.18 2,242,000 Kommuninvest I Sverige AB 425,000 Atradius Finance BV 5.250% 23-Sep-2044 VAR 413,018 0.16 0.442% 28-May-2019 FRN 2,226,093 0.84 2,800,000 Bank Nederlandse Gemeenten 7,000,000 Norcell Sweden Holding 3 AB 0.642% 15-May-2018 FRN 2,806,280 1.06 5.250% 04-Nov-2019 864,033 0.33 524,769 Boats Investments Netherlands BV 1,045,000 Svensk Exportkredit AB 2.875% 14-Nov-2023 VAR 1,035,825 0.39 7.500% 15-Dec-2015 0 0.00 1,000,000 Cooperatieve Centrale Switzerland - 2,829,637 Raiffeisen-Boerenleenbank BA/Australia (31 December 2014: 1,392,266) 2,829,637 1.07 7.250% 20-Apr-2018 797,557 0.30 1,500,000 Credit Suisse AG 5.750% 18-Sep-2025 VAR 1,781,807 0.67 300,000 E.ON International Finance BV 900,000 UBS AG 4.750% 12-Feb-2026 VAR 1,047,830 0.40 6.000% 30-Oct-2019 497,283 0.19 2,820,000 Nederlandse Financierings Maatschappij voor Turks and Caicos Islands - 2,828,426 Ontwikkelingslanden NV 0.457% 21-Oct-2019 FRN 2,809,538 1.07 (31 December 2014: –) 2,828,426 1.07 1,300,000 Netherlands Government Bond 2,820,000 Turks & Caicos Islands International Bond 1.000% 24-Feb-2017 1,301,236 0.49 3.200% 22-Feb-2016 2,828,426 1.07 2,258,000 Shell International Finance BV 0.806% 11-May-2020 FRN 2,227,256 0.85 United Kingdom - 46,242,643 1,530,000 SPP Infrastructure Financing BV (31 December 2014: 57,001,516) 46,242,643 17.54 2.625% 12-Feb-2025 1,531,262 0.58 1,350,000 Abbey National Treasury Services Plc/ 384,000 Teva Pharmaceutical Finance Netherlands II BV United Kingdom 0.882% 20-Jan-2017 FRN 2,001,768 0.76 1.875% 31-Mar-2027 379,936 0.14 665,000 Aggregate Industries Holdings Ltd 900,000 Vonovia Finance BV 1.500% 31-Mar-2025 904,747 0.34 7.250% 31-May-2016 1,007,800 0.38 533,000 Arqiva Broadcast Finance Plc New Zealand - 1,413,477 9.500% 31-Mar-2020 855,729 0.32 (31 December 2014: 1,952,918) 1,413,477 0.54 1,027,647 Arsenal Securities Plc 5.142% 01-Sep-2029 1,681,047 0.64 1,300,000 Westpac Securities NZ Ltd 0.500% 29-Sep-2020 1,413,477 0.54 1,000,000 Barclays Bank Plc 1.500% 04-Apr-2017 1,494,420 0.57 1,429,000 Barclays Bank Plc 6.000% 23-Jan-2018 1,725,578 0.65 Norway - 7,250,117 620,000 BP Capital Markets Plc 4.325% 10-Dec-2018 984,951 0.37 (31 December 2014: 3,148,476) 7,250,117 2.75 2,300,000 British Telecommunications Plc 1,560,000 Eksportfi nans ASA 5.500% 25-May-2016 1,580,584 0.60 8.500% 07-Dec-2016 3,636,316 1.38 2,800,000 Kommunalbanken AS 0.459% 02-May-2019 FRN 2,800,591 1.06 1,329,000 BUPA Finance Plc 7.500% 04-Jul-2016 2,026,324 0.77 2,870,000 Kommunalbanken AS 0.500% 29-Mar-2016 2,868,942 1.09 1,350,000 Centrica Plc 5.500% 24-Oct-2016 2,069,565 0.78 700,000 Close Brothers Finance Plc 3.875% 27-Jun-2021 1,084,352 0.41 Peru - 1,548,968 1,210,000 Coventry Building Society 2.500% 18-Nov-2020 1,408,038 0.53 (31 December 2014: –) 1,548,968 0.59 600,000 HSBC Bank Plc 5.375% 04-Nov-2030 VAR 963,862 0.37 1,430,000 Peruvian Government International Bond 406,000 Iron Mountain Europe Plc 6.125% 15-Sep-2022 619,680 0.23 2.750% 30-Jan-2026 1,548,968 0.59 460,000 Kerling Plc 10.625% 01-Feb-2017 500,692 0.19 970,000 LBG Capital No.2 Plc 15.000% 21-Dec-2019 1,957,013 0.74 Spain - 4,387,281 970,000 Lloyds Bank Plc 1.500% 02-May-2017 1,450,155 0.55 (31 December 2014: –) 4,387,281 1.66 720,000 Lloyds Bank Plc 13.000% 19-Dec-2021 VAR 570,398 0.22 4,000,000 FADE - Fondo de Amortizacion del Defi cit Electrico 700,000 Motability Operations Group Plc 0.850% 17-Sep-2019 4,387,281 1.66 1.625% 09-Jun-2023 783,596 0.30

113 BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description USD % Holdings Description USD USD %

Bonds contd. Open futures contracts - 26,796 United Kingdom contd. (31 December 2014: 32,040) 251,000 Motability Operations Group Plc (114) U.S. 5 Year Treasury Note 5.250% 28-Sep-2016 383,287 0.15 Short Futures Contracts 990,000 Nationwide Building Society Exp Mar-2016 (13,472,484) 26,796 0.01 0.779% 17-Jul-2017 FRN 1,467,296 0.56 Total open futures contracts 26,796 0.01 900,000 Nationwide Building Society 6.875% Perpetual VAR 1,340,194 0.51

1,180,000 Next Plc 4.375% 02-Oct-2026 1,897,100 0.72 Unrealised gain on forward foreign currency contracts - 1,694,982 (see below) 1,600,000 Prudential Plc 1.375% 19-Jan-2018 2,362,537 0.90 (31 December 2014: 1,620,511) 1,694,982 0.64 750,000 RSA Insurance Group Plc 9.375% 20-May-2039 VAR 1,295,282 0.49 120,000 Santander UK Plc 9.625% 30-Oct-2023 VAR 209,015 0.08 Total fi nancial assets 1,100,000 Severn Trent Utilities Finance Plc at fair value through profi t or loss 249,864,289 94.75 6.000% 22-Jan-2018 1,766,839 0.67

1,437,000 Silverstone Master Issuer Plc Unrealised loss on forward foreign currency contracts - (2,299,462) (see below) 5.063% 21-Jan-2055 VAR 2,202,311 0.83 (31 December 2014: (3,181,737)) (2,299,462) (0.87) 1,350,000 Southern Gas Networks Plc 5.125% 02-Nov-2018 2,176,134 0.83 550,693 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040 713,418 0.27 Total fi nancial liabilities 9,750,000 United Kingdom Government International Bond at fair value through profi t or loss (2,299,462) (0.87) 2.700% 21-Oct-2017 1,462,275 0.55 331,000 Virgin Media Secured Finance Plc Net current assets 16,147,882 6.12 6.250% 28-Mar-2029 494,049 0.19 1,110,000 Yorkshire Building Society Total net assets 263,712,709 100.00 4.125% 20-Nov-2024 VAR 1,651,622 0.63 The counterparty for futures contracts is UBS.

United States of America - 79,620,006 Analysis of portfolio % of Total assets (31 December 2014: 80,238,409) 79,620,006 30.19 1,750,000 Daimler Finance North America LLC Transferable securities and money market instruments admitted 1.875% 11-Jan-2018 1,742,536 0.66 to offi cial stock exchange listing or traded on a regulated market 93.20 2,100,000 General Electric Capital Corp Financial derivative instruments dealt in on a regulated market 0.01 5.625% 15-Sep-2017 2,239,679 0.85 OTC fi nancial derivative instruments 0.64 312,287 General Electric Capital Corp Other current assets 6.15 6.440% 15-Nov-2022 523,671 0.20 2,700,000 Metropolitan Life Global Funding I Total assets 100.00 0.521% 14-Jul-2016 FRN 2,699,830 1.02 685,000 PepsiCo Inc 0.565% 17-Jul-2017 FRN 684,769 0.26 1,840,000 Roche Holdings Inc 0.693% 29-Sep-2017 FRN 1,831,185 0.69 1,130,000 SLM Student Loan Trust 2003-10 1.136% 15-Dec-2039 FRN 1,393,228 0.53 926,000 Sprint Capital Corp 8.750% 15-Mar-2032 701,445 0.27 14,500,000 United States Treasury Bill 0.000% 28-Apr-2016 14,489,379 5.49 9,018,794 United States Treasury Infl ation Indexed Bonds 0.125% 15-Apr-2020 8,886,390 3.37 3,366,848 United States Treasury Infl ation Indexed Bonds 2.125% 15-Feb-2041 3,970,361 1.50 22,430,000 United States Treasury Note/Bond 0.875% 28-Feb-2017 22,443,581 8.51 11,520,000 United States Treasury Note/Bond 1.000% 31-Oct-2016 11,545,649 4.38 5,810,000 United States Treasury Note/Bond 2.875% 15-May-2043 5,636,043 2.14 1,150,000 Wells Fargo Bank NA 2.640% 25-May-2017 FRN 832,260 0.32

Vietnam - 2,780,974 (31 December 2014: 736,393) 2,780,974 1.05 2,526,000 Vietnam Government International Bond 6.750% 29-Jan-2020 2,780,974 1.05

Total investments in bonds 248,089,248 94.08

114 BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund BNY Mellon Global Dynamic Bond Fund US dollar Euro 1,955 1,791 04-Jan-16 UBS 5 EUR H (Hedged) Share Class Australian dollar US dollar 7,252,899 5,271,566 17-Mar-16 Royal Bank US dollar Euro 17,655 16,178 04-Jan-16 The Bank of of Scotland 12,310 New York Mellon 33 New Zealand dollar Euro 2,159,793 1,316,378 17-Mar-16 State Street Bank 34,829 US dollar Euro 56,038 50,804 15-Jan-16 The Bank of Polish zloty Euro 6,185,592 1,426,325 17-Mar-16 Royal Bank New York Mellon 684 of Scotland 21,122 US dollar Euro 537,908 490,977 15-Jan-16 The Bank of Swedish krona Euro 12,051,646 1,307,397 17-Mar-16 State Street Bank 5,972 New York Mellon 2,962 US dollar Brazilian real 3,586,250 13,896,000 17-Mar-16 UBS 157,785 US dollar Euro 32,733 29,809 15-Jan-16 The Bank of New York Mellon 253 US dollar Canadian dollar 3,718,090 5,035,000 17-Mar-16 The Bank of New York Mellon 92,464 US dollar Chinese yuan 2,920,000 19,053,000 17-Mar-16 Royal Bank USD 3,932 of Scotland 38,594 US dollar Danish krone 251,985 1,714,000 17-Mar-16 State Street Bank 1,231 EUR 3,610 US dollar Euro 2,414,541 2,205,000 17-Mar-16 State Street Bank 8,198 US dollar Indonesian rupiah 2,506,895 34,946,119,000 17-Mar-16 UBS 28,062 Euro US dollar 16,178 17,660 15-Jan-16 The Bank of US dollar Korean won 2,546,490 2,986,524,000 17-Mar-16 Barclays Bank plc 12,338 New York Mellon (33) US dollar Mexican peso 2,650,498 44,919,840 17-Mar-16 Barclays Bank plc 78,421 Euro US dollar 7,612 8,376 15-Jan-16 The Bank of US dollar Norwegian krone 368,686 3,185,000 17-Mar-16 JPMorgan Chase 7,662 New York Mellon (83) Euro US dollar 12,150,554 13,371,259 15-Jan-16 The Bank of US dollar Singapore dollar 2,535,513 3,570,000 17-Mar-16 State Street Bank 16,256 New York Mellon (132,538) US dollar South African rand 173,184 2,672,000 17-Mar-16 The Bank of US dollar Euro 15,984 14,770 15-Jan-16 The Bank of New York Mellon 4,171 New York Mellon (107) US dollar South African rand 3,688,942 54,377,000 17-Mar-16 Barclays Bank plc 249,414 US dollar Sterling 52,949,840 35,125,688 17-Mar-16 State Street Bank 892,541 USD (132,761) US dollar Sterling 1,618,561 1,072,222 17-Mar-16 JPMorgan Chase 29,496 EUR (121,883) USD 1,690,871 Net USD (128,829) US dollar Australian dollar 5,290,627 7,252,899 04-Jan-16 Royal Bank of Scotland (12,694) Net EUR (118,273) Brazilian real US dollar 13,896,000 3,459,298 17-Mar-16 Royal Bank of Scotland (30,834) Canadian dollar US dollar 5,075,266 3,769,680 17-Mar-16 State Street Bank (115,059) BNY Mellon Global Dynamic Bond Fund Danish krone Euro 35,980,473 4,828,629 17-Mar-16 JPMorgan Chase (5,704) EUR H (Inc) (Hedged) Share Class Euro US dollar 722,549 791,841 17-Mar-16 State Street Bank (3,314) Euro US dollar 110,215 121,380 15-Jan-16 The Bank of Euro US dollar 6,829,000 7,511,247 17-Mar-16 JPMorgan Chase (58,673) New York Mellon (1,295) Euro US dollar 448,343 491,913 17-Mar-16 UBS (2,631) Euro US dollar 538,123 592,186 15-Jan-16 The Bank of New York Mellon (5,870) Korean won US dollar 1,188,000 1,012 17-Mar-16 Barclays Bank plc (4) Mexican peso US dollar 44,919,840 2,619,638 17-Mar-16 Barclays Bank plc (47,561) USD (7,165) Mexican peso US dollar 19,919,000 1,153,807 17-Mar-16 Barclays Bank plc (13,261) Norwegian krone US dollar 21,592,000 2,471,264 17-Mar-16 State Street Bank (23,782) EUR (6,578) Sterling US dollar 3,291,000 4,933,390 17-Mar-16 UBS (56,032) Sterling US dollar 191,500 288,665 17-Mar-16 State Street Bank (4,856) Sterling US dollar 507,000 755,834 17-Mar-16 State Street Bank (4,445) BNY Mellon Global Dynamic Bond Fund US dollar Australian dollar 849,836 1,172,640 17-Mar-16 Barclays Bank plc (4,454) EUR I (Hedged) Share Class US dollar Australian dollar 15,197,622 20,976,414 17-Mar-16 State Street Bank (84,094) US dollar Euro 10,054 9,214 15-Jan-16 The Bank of US dollar Euro 28,805,585 26,559,070 17-Mar-16 State Street Bank (178,664) New York Mellon 14 US dollar Euro 4,751,071 4,363,000 17-Mar-16 Royal Bank US dollar Euro 16 15 15-Jan-16 The Bank of of Scotland (10,326) New York Mellon – US dollar Japanese yen 26,813 3,301,000 17-Mar-16 State Street Bank (657) US dollar New Zealand dollar 12,006,785 18,176,924 17-Mar-16 Royal Bank USD 14 of Scotland (376,666) US dollar Polish zloty 1,522,652 6,090,224 17-Mar-16 The Bank of EUR 13 New York Mellon (30,712) US dollar Swedish krona 2,360,168 20,063,857 17-Mar-16 Royal Bank of Scotland (25,109)

USD (1,089,532)

Net USD 601,339

115 BNY MELLON GLOBAL DYNAMIC BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Dynamic Bond Fund EUR I (Hedged) Share Class contd. Euro US dollar 64,828,221 71,341,188 15-Jan-16 The Bank of New York Mellon (707,145) US dollar Euro 5,757 5,319 15-Jan-16 The Bank of New York Mellon (39) US dollar Euro 1,308 1,207 15-Jan-16 The Bank of New York Mellon (6)

USD (707,190)

EUR (649,245)

Net USD (707,176)

Net EUR (649,232)

BNY Mellon Global Dynamic Bond Fund EUR I (Inc) (Hedged) Share Class Euro US dollar 98,820 107,616 15-Jan-16 The Bank of New York Mellon 53 Euro US dollar 9,640 10,433 15-Jan-16 The Bank of New York Mellon 71 Euro US dollar 7,001 7,587 15-Jan-16 The Bank of New York Mellon 41 US dollar Euro 81 74 15-Jan-16 The Bank of New York Mellon – US dollar Euro 6 6 15-Jan-16 The Bank of New York Mellon –

USD 165

EUR 151

Euro US dollar 2,389,701 2,629,782 15-Jan-16 The Bank of New York Mellon (26,067)

USD (26,067)

EUR (23,931)

Net USD (25,902)

Net EUR (23,780)

BNY Mellon Global Dynamic Bond Fund EUR W (Inc) (Hedged) Share Class Euro US dollar 8,987,351 9,824,139 15-Jan-16 The Bank of New York Mellon (31,925) Euro US dollar 24,245,238 26,681,036 15-Jan-16 The Bank of New York Mellon (264,468)

USD (296,393)

EUR (272,107)

BNY Mellon Global Dynamic Bond Fund Sterling W (Acc) (Hedged) Share Class Sterling US dollar 1,187,421 1,799,990 15-Jan-16 The Bank of New York Mellon (40,354)

USD (40,354)

GBP (27,232)

116 BNY MELLON GLOBAL EMERGING MARKETS FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes Equities contd. France - 1,483,708 Indonesia - 103,196 (31 December 2014: –) 1,483,708 2.15 (31 December 2014: 277,080) 103,196 0.15 1,583 Amundi ETF MSCI India UCITS ETF 743,725 1.08 460,000 Surya Citra Media Tbk PT 103,196 0.15 49,705 Lyxor ETF MSCI India USD 739,983 1.07 Malaysia - 346,608 Total investments in collective investment schemes 1,483,708 2.15 (31 December 2014: 2,358,210) 346,608 0.50 227,200 IHH Healthcare Bhd 346,608 0.50 Equities Mexico - 1,252,996 Cayman Islands - 4,753,991 (31 December 2014: 2,743,352) 1,252,996 1.82 (31 December 2014: –) 4,753,991 6.90 60,946 Arca Continental SAB de CV 365,074 0.53 172,000 3SBio Inc 144A 241,658 0.35 59,319 Fibra Shop Portafolios Inmobiliarios SAPI de CV 58,200 0.08 10,151 Alibaba Group Holding Ltd ADR 829,388 1.21 27,624 Fibra Uno Administracion SA de CV 59,700 0.09 5,499 Baidu Inc ADR 1,056,550 1.53 101,622 Genomma Lab Internacional SAB de CV 79,758 0.12 9,952 Ctrip.com International Ltd ADR 468,689 0.68 41,245 Grupo Financiero Santander Mexico SAB de CV ADR 357,800 0.52 29,000 Hengan International Group Co Ltd 273,970 0.40 145,578 Kimberly-Clark de Mexico SAB de CV 332,464 0.48 13,972 TAL Education Group ADR 649,139 0.94 22,077 Tencent Holdings Ltd 434,365 0.63 Papua New Guinea - 82,169 45,828 Vipshop Holdings Ltd ADR 696,356 1.01 (31 December 2014: –) 82,169 0.12 1,650 YY Inc ADR 103,876 0.15 16,785 Oil Search Ltd 82,169 0.12

Chile - 89,103 Philippines - 1,648,290 (31 December 2014: 476,420) 89,103 0.13 (31 December 2014: 1,433,073) 1,648,290 2.39 4,642 Sociedad Quimica y Minera de Chile SA ADR 89,103 0.13 632,400 Energy Development Corp 83,258 0.12 195,600 First Gen Corp 93,841 0.14 China - 139,082 11,500 GT Capital Holdings Inc 324,312 0.47 (31 December 2014: 1,587,894) 139,082 0.20 182,860 Metropolitan Bank & Trust Co 313,316 0.45 212,000 PetroChina Co Ltd 139,082 0.20 52,700 Robinsons Retail Holdings Inc 70,782 0.10 Georgia - 175,921 77,088 Security Bank Corp 232,304 0.34 (31 December 2014: 1,105,982) 175,921 0.25 134,130 Universal Robina Corp 530,477 0.77 6,245 BGEO Group Plc 175,921 0.25 Portugal - 114,893 Hong Kong - 1,923,216 (31 December 2014: 163,771) 114,893 0.17 (31 December 2014: 3,490,402) 1,923,216 2.79 9,735 Galp Energia SGPS SA 114,893 0.17 187,400 AIA Group Ltd 1,128,493 1.64 South Africa - 2,261,452 96,000 Lenovo Group Ltd 97,227 0.14 (31 December 2014: 3,261,583) 2,261,452 3.28 128,000 Sands China Ltd 437,211 0.63 15,266 British American Tobacco Plc 855,047 1.24 222,800 Wynn Macau Ltd 260,285 0.38 24,890 Discovery Ltd 212,907 0.31 India - 4,450,304 79,121 Life Healthcare Group Holdings Ltd 178,060 0.26 (31 December 2014: –) 4,450,304 6.45 7,470 Naspers Ltd 1,015,438 1.47 3,533 Amara Raja Batteries Ltd 46,137 0.07 Switzerland - 294,212 2,527 Apollo Hospitals Enterprise Ltd 55,920 0.08 (31 December 2014: –) 294,212 0.43 13,189 Axis Bank Ltd 89,638 0.13 41,038 Cie Financiere Richemont SA 294,212 0.43 20,067 Axis Bank Ltd GDR 675,756 0.98 11,502 Dr Reddy’s Laboratories Ltd ADR 532,255 0.77 Taiwan - 1,390,234 5,471 Glenmark Pharmaceuticals Ltd 76,136 0.11 (31 December 2014: 3,571,311) 1,390,234 2.02 4,136 Godrej Consumer Products Ltd 82,745 0.12 27,000 Catcher Technology Co Ltd 227,076 0.33 11,525 HDFC Bank Ltd ADR 704,177 1.02 13,000 MediaTek Inc 99,043 0.15 1,474 Hero MotoCorp Ltd 59,946 0.09 244,000 Taiwan Semiconductor Manufacturing Co Ltd 1,064,115 1.54 26,894 ITC Ltd 133,675 0.19 2,055 Jubilant Foodworks Ltd 46,008 0.07 Turkey - 97,879 10,497 Larsen & Toubro Ltd GDR 203,117 0.29 (31 December 2014: –) 97,879 0.14 21,422 Mahindra & Mahindra Ltd GDR 404,876 0.59 7,325 Coca-Cola Icecek AS 97,879 0.14 2,250 Maruti Suzuki India Ltd 157,213 0.23 1,497 PVR Ltd 18,108 0.03 United States of America - 2,287,774 2,390 Tata Consultancy Services Ltd 87,870 0.13 (31 December 2014: –) 2,287,774 3.32 23,826 Tata Motors Ltd 140,944 0.20 6,033 China Biologic Products Inc 850,412 1.23 31,191 Tata Motors Ltd ADR 917,795 1.33 11,042 Cognizant Technology Solutions Corp 673,617 0.98 3,405 Titan Co Ltd 17,988 0.02 9,719 Net 1 UEPS Technologies Inc 128,339 0.19

117 BNY MELLON GLOBAL EMERGING MARKETS FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Equities contd. BNY Mellon Global Emerging Markets Fund United States of America contd. Indonesian rupiah US dollar 49,351,536 3,578 05-Jan-16 The Bank of New York Mellon – 3,308 Southern Copper Corp 87,182 0.13 Mexican peso US dollar 2,450,109 140,837 05-Jan-16 The Bank of 7,428 Yum! Brands Inc 548,224 0.79 New York Mellon 185 South African rand US dollar 6,256,997 400,706 07-Jan-16 Barclays Bank plc 359 Total investments in equities 21,411,320 31.06 USD 544 Unrealised gain on forward foreign currency contracts - 544 (see below) (31 December 2014: –) 544 0.00 Euro US dollar 16,558 18,090 04-Jan-16 Barclays Bank plc (53) Total fi nancial assets Malaysian ringgit US dollar 43,587 10,168 04-Jan-16 The Bank of New York Mellon (16) at fair value through profi t or loss 22,895,572 33.21 Sterling US dollar 18,905 28,040 04-Jan-16 Royal Bank of Scotland (26) Unrealised loss on forward foreign currency contracts - (3,737) (see below) Turkish lira US dollar 45,924 15,725 04-Jan-16 UBS (2) (31 December 2014: (445)) (3,737) (0.00) Hong Kong dollar US dollar 3,672,928 473,891 05-Jan-16 Royal Bank of Scotland (19) Total fi nancial liabilities Australian dollar US dollar 17,564 12,850 06-Jan-16 Royal Bank at fair value through profi t or loss (3,737) (0.00) of Scotland (8)

Net current assets* 46,045,103 66.79 USD (124)

Total net assets* 68,936,938 100.00 Net USD 420

* An adjustment is posted in the “net current assets” and “total net assets” to recognise the subscriptions receivable of USD 45,283,886 (65.69% of the NAV) for trade date 31 December 2015. This cash infl ow BNY Mellon Global Emerging Markets Fund transaction, being 191% of the 30 December 2015 NAV, triggered an unusually high net current assets fi gure as EUR H (Hedged) Share Class at 31 December 2015. This is not representative of the volume of activities of the Fund during the year, nor of Euro US dollar 3,755 4,132 15-Jan-16 The Bank of its normal asset positioning, as the timing of the infl ow was such that the portfolio manager did not have the New York Mellon (42) opportunity to invest the large cash balance into equities prior to the end of the fi nancial year. USD (42)

Analysis of portfolio % of Total assets EUR (39) Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 31.59 BNY Mellon Global Emerging Markets Fund OTC fi nancial derivative instruments 0.00 EUR H (Inc) (Hedged) Share Class Other current assets 68.41 Euro US dollar 256,372 282,128 15-Jan-16 The Bank of New York Mellon (2,796) Total assets 100.00 USD (2,796)

EUR (2,567)

BNY Mellon Global Emerging Markets Fund EUR I (Hedged) Share Class Euro US dollar 67,245 74,000 15-Jan-16 The Bank of New York Mellon (733)

USD (733)

EUR (673)

BNY Mellon Global Emerging Markets Fund EUR I (Inc) (Hedged) Share Class Euro US dollar 3,848 4,235 15-Jan-16 The Bank of New York Mellon (42)

USD (42)

EUR (39)

118 BNY MELLON GLOBAL EMERGING MARKETS EQUITY VALUE FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes United States of America - 4,033,753 (31 December 2014: –) 4,033,753 97.76 124,942 iShares MSCI Emerging Markets ETF 4,033,753 97.76

Total investments in collective investment schemes 4,033,753 97.76

Equities China - 244,775 (31 December 2014: 2,835,471) 244,775 5.93 39 Parkson Retail Group Ltd 5 0.00 306,000 Wumart Stores Inc 244,770 5.93

Hong Kong - 5,682 (31 December 2014: 24,772) 5,682 0.14 3,826 NWS Holdings Ltd 5,682 0.14

India - 7,105 (31 December 2014: 1,319,626) 7,105 0.17 208,909 Chennai Super Kings Cricket Ltd 7,105 0.17

Turkey - 1 (31 December 2014: 128,790) 1 0.00 1 Turkiye Is Bankasi 1 0.00

Total investments in equities 257,563 6.24

Total fi nancial assets at fair value through profi t or loss 4,291,316 104.00

Net current liabilities (165,168) (4.00)

Total net assets 4,126,148 100.00

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 8.67 Other current assets 91.33

Total assets 100.00

119 BNY MELLON GLOBAL EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities Equities contd. Belgium - 4,018,396 Switzerland - 15,543,844 (31 December 2014: 3,297,533) 4,018,396 1.57 (31 December 2014: 16,352,926) 15,543,844 6.08 31,996 Anheuser-Busch InBev NV 4,018,396 1.57 14,347 Actelion Ltd 2,016,971 0.79 55,567 Nestle SA 4,171,651 1.63 Brazil - 200,001 59,798 Novartis AG 5,226,719 2.04 (31 December 2014: 866,009) 200,001 0.08 14,832 Roche Holding AG 4,128,503 1.62 193,608 International Meal Co Alimentacao SA 199,419 0.08 230,087 International Meal Co Alimentacao SA Rights United Kingdom - 22,669,085 31-Dec-2015 582 0.00 (31 December 2014: 23,164,718) 22,669,085 8.88 68,690 Associated British Foods Plc 3,418,051 1.34 Canada - 5,143,134 78,984 British American Tobacco Plc 4,419,816 1.73 (31 December 2014: 5,531,409) 5,143,134 2.01 1,017,896 Centrica Plc 3,273,162 1.28 40,272 Intact Financial Corp 2,591,151 1.01 77,870 GlaxoSmithKline Plc 1,584,039 0.62 99,111 Suncor Energy Inc 2,551,983 1.00 60,930 Prudential Plc 1,384,584 0.54 1,455,347 Vodafone Group Plc 4,765,561 1.87 China - 604,648 69,592 Wolseley Plc 3,823,872 1.50 (31 December 2014: 818,566) 604,648 0.24 802,500 Sun Art Retail Group Ltd 604,648 0.24 United States of America - 134,357,509 (31 December 2014: 120,931,865) 134,357,509 52.61 France - 8,506,665 43,867 Abbott Laboratories 1,985,640 0.78 (31 December 2014: 7,717,175) 8,506,665 3.33 48,251 Accenture Plc 5,108,816 2.00 28,249 Air Liquide SA 3,216,259 1.26 32,740 Align Technology Inc 2,164,278 0.85 13,306 L’Oreal SA 2,261,359 0.88 10,400 Alphabet Inc 8,217,352 3.22 140,607 Vivendi SA 3,029,047 1.19 136,683 Altria Group Inc 8,034,910 3.15 50,522 Apple Inc 5,421,769 2.12 Germany - 11,162,911 89,826 CA Inc 2,615,284 1.02 (31 December 2014: 12,914,063) 11,162,911 4.37 30,155 Cerner Corp 1,828,448 0.72 35,458 Bayer AG 4,486,985 1.76 119,834 Citigroup Inc 6,266,719 2.45 46,598 Brenntag AG 2,466,151 0.96 112,894 Discovery Communications Inc 2,999,029 1.17 8,406 Rocket Internet AG 144A 258,435 0.10 83,353 Dollar General Corp 6,010,168 2.35 49,271 SAP AG 3,951,340 1.55 26,930 Dun & Bradstreet Corp/The 2,849,598 1.12 Hong Kong - 4,471,820 100,133 eBay Inc 2,778,190 1.09 (31 December 2014: 3,748,217) 4,471,820 1.75 88,489 EMC Corp 2,277,264 0.89 742,600 AIA Group Ltd 4,471,820 1.75 33,865 Equifax Inc 3,818,109 1.49 91,950 Express Scripts Holding Co 8,078,727 3.16 India - 3,256,911 33,096 Intuit Inc 3,252,344 1.27 (31 December 2014: 3,008,457) 3,256,911 1.27 62,141 Medtronic Plc 4,816,860 1.89 50,556 Apollo Hospitals Enterprise Ltd 1,118,756 0.44 78,699 Merck & Co Inc 4,190,328 1.64 430,175 ITC Ltd 2,138,155 0.83 182,096 Microsoft Corp 10,254,736 4.02 76,967 Nielsen Holdings Plc 3,620,913 1.42 Israel - 4,721,666 78,557 PayPal Holdings Inc 2,865,367 1.12 (31 December 2014: 2,138,426) 4,721,666 1.85 50,441 PNC Financial Services Group Inc/The 4,847,632 1.90 71,470 Teva Pharmaceutical Industries Ltd ADR 4,721,666 1.85 89,158 Principal Financial Group Inc 4,054,906 1.59 54,789 TJX Cos Inc/The 3,910,017 1.53 Japan - 20,674,334 163,499 Trimble Navigation Ltd 3,547,928 1.39 (31 December 2014: 18,739,772) 20,674,334 8.09 45,200 TripAdvisor Inc 3,894,432 1.52 44,400 Don Quijote Holdings Co Ltd 1,577,613 0.62 49,136 United Technologies Corp 4,760,296 1.86 141,300 Japan Tobacco Inc 5,251,287 2.06 31,834 Walgreens Boots Alliance Inc 2,750,298 1.08 49,700 Sawai Pharmaceutical Co Ltd 3,434,847 1.34 36,927 Walt Disney Co/The 3,926,633 1.54 34,800 SoftBank Corp 1,773,605 0.69 43,500 Yum! Brands Inc 3,210,518 1.26 48,100 Sugi Holdings Co Ltd 2,674,997 1.05 95,800 Toyota Motor Corp 5,961,985 2.33 Total investments in equities 244,265,332 95.63

Netherlands - 6,310,746 Unrealised gain on forward foreign currency contracts - 82 (see below) (31 December 2014: 5,405,703) 6,310,746 2.47 (31 December 2014: 140,457) 82 0.00 220,366 RELX NV 3,739,126 1.46 75,658 Wolters Kluwer NV 2,571,620 1.01 Total fi nancial assets at fair value through profi t or loss 244,265,414 95.63 Norway - 2,623,662 (31 December 2014: 2,490,532) 2,623,662 1.03 210,750 DNB ASA 2,623,662 1.03

120 BNY MELLON GLOBAL EQUITY FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Unrealised loss on forward foreign currency contracts - (16,691) (see below) BNY Mellon Global Equity Fund (31 December 2014: (25,076)) (16,691) (0.01) US dollar Euro 8,340 7,634 04-Jan-16 Barclays Bank plc 25 US dollar Hong Kong dollar 18,616 144,278 04-Jan-16 Royal Bank Total fi nancial liabilities of Scotland 1 at fair value through profi t or loss (16,691) (0.01) US dollar Euro 3,949 3,614 05-Jan-16 The Bank of New York Mellon 12 Net current assets 11,162,010 4.38 US dollar Hong Kong dollar 36,377 281,939 05-Jan-16 Royal Bank of Scotland 1 Total net assets 255,410,733 100.00 USD 39

Analysis of portfolio % of Total assets Euro US dollar 300 327 05-Jan-16 The Bank of New York Mellon (1) Transferable securities and money market instruments admitted US dollar Canadian dollar 11,521 16,008 05-Jan-16 Royal Bank of Scotland (4) to offi cial stock exchange listing or traded on a regulated market 95.43 US dollar Indian rupee 496,100 33,643,000 16-Mar-16 Royal Bank OTC fi nancial derivative instruments 0.00 of Scotland (7,015) Other current assets 4.57 USD (7,020) Total assets 100.00 Net USD (6,981)

BNY Mellon Global Equity Fund EUR I (Hedged) Share Class US dollar Euro 327 300 05-Jan-16 The Bank of New York Mellon 1 Euro US dollar 155 168 15-Jan-16 The Bank of New York Mellon 1 US dollar Euro 3,948 3,614 15-Jan-16 The Bank of New York Mellon 10 US dollar Euro 2,409 2,190 15-Jan-16 The Bank of New York Mellon 24 US dollar Euro 1,301 1,188 15-Jan-16 The Bank of New York Mellon 7

USD 43

EUR 39

Euro US dollar 3,614 3,949 05-Jan-16 The Bank of New York Mellon (12) Euro US dollar 1,152 1,261 15-Jan-16 The Bank of New York Mellon (7) Euro US dollar 300 327 15-Jan-16 The Bank of New York Mellon (1) Euro US dollar 882,861 971,557 15-Jan-16 The Bank of New York Mellon (9,630) Euro US dollar 1,239 1,363 15-Jan-16 The Bank of New York Mellon (13) US dollar Euro 1,494 1,379 15-Jan-16 The Bank of New York Mellon (7) US dollar Euro 1,462 1,342 15-Jan-16 The Bank of New York Mellon (1)

USD (9,671)

EUR (8,879)

Net USD (9,628)

Net EUR (8,840)

121 BNY MELLON GLOBAL EQUITY INCOME FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities Equities contd. Australia - 4,589,426 United States of America - 264,408,048 (31 December 2014: 3,216,003) 4,589,426 0.98 (31 December 2014: 152,219,846) 264,408,048 56.35 835,761 Dexus Property Group 4,589,426 0.98 82,720 Altria Group Inc 4,862,695 1.04 431,873 Annaly Capital Management Inc 4,048,809 0.86 Denmark - 2,888,739 345,412 CA Inc 10,056,670 2.14 (31 December 2014: 6,530,246) 2,888,739 0.62 349,834 Cisco Systems Inc 9,629,181 2.05 575,622 TDC A/S 2,888,739 0.62 35,232 Clorox Co/The 4,516,919 0.96 296,876 CMS Energy Corp 10,887,927 2.32 France - 11,726,441 183,522 Emerson Electric Co 8,907,240 1.90 (31 December 2014: 19,223,827) 11,726,441 2.50 283,731 Eversource Energy 14,712,871 3.13 136,967 Sanofi 11,726,441 2.50 95,006 Johnson & Johnson 9,858,773 2.10 61,536 Kraft Heinz Co/The 4,538,895 0.97 Hong Kong - 5,672,079 120,202 Las Vegas Sands Corp 5,286,484 1.13 (31 December 2014: 4,052,527) 5,672,079 1.21 377,842 Mattel Inc 10,369,874 2.21 947,500 Link REIT 5,672,079 1.21 94,570 McDonald’s Corp 11,295,441 2.41 Italy - 4,845,575 183,965 Merck & Co Inc 9,795,217 2.09 (31 December 2014: –) 4,845,575 1.03 437,982 Microsoft Corp 24,664,956 5.26 181,499 Atlantia SpA 4,845,575 1.03 173,510 Paychex Inc 9,330,500 1.99 284,581 Philip Morris International Inc 25,317,749 5.40 Netherlands - 34,069,540 104,581 Principal Financial Group Inc 4,756,344 1.01 (31 December 2014: 21,944,307) 34,069,540 7.26 225,601 Procter & Gamble Co/The 18,060,488 3.85 237,258 Koninklijke Ahold NV 5,033,636 1.07 517,779 Reynolds American Inc 24,167,335 5.15 647,347 RELX NV 10,984,054 2.34 402,132 Sysco Corp 16,670,382 3.55 288,780 Royal Dutch Shell Plc 6,605,629 1.41 500,264 Two Harbors Investment Corp 4,087,157 0.87 336,752 Wolters Kluwer NV 11,446,221 2.44 186,662 Verizon Communications Inc 8,729,248 1.86 540,548 Western Union Co/The 9,856,893 2.10 New Zealand - 1,879,591 (31 December 2014: –) 1,879,591 0.40 Total investments in equities 460,032,005 98.05 834,179 Spark New Zealand Ltd 1,879,591 0.40 Unrealised gain on forward foreign currency contracts - 1,295,192 (see below) Norway - 9,183,501 (31 December 2014: 584,337) 1,295,192 0.28 (31 December 2014: 11,468,930) 9,183,501 1.96 1,154,515 Orkla ASA 9,183,501 1.96 Total fi nancial assets at fair value through profi t or loss 461,327,197 98.33 Republic of Korea - 4,349,399 (31 December 2014: 2,944,917) 4,349,399 0.93 Unrealised loss on forward foreign currency contracts - (1,410,107) (see below) 635,500 Macquarie Korea Infrastructure Fund 4,349,399 0.93 (31 December 2014: (265,649)) (1,410,107) (0.30)

Sweden - 4,842,834 Total fi nancial liabilities (31 December 2014: 6,322,848) 4,842,834 1.03 at fair value through profi t or loss (1,410,107) (0.30) 964,978 TeliaSonera AB 4,842,834 1.03 Net current assets 9,280,878 1.97 Switzerland - 42,420,760 (31 December 2014: 34,979,482) 42,420,760 9.04 Total net assets 469,197,968 100.00 70,675 Nestle SA 5,305,872 1.13

137,417 Novartis AG 12,011,105 2.56 50,282 Roche Holding AG 13,996,047 2.98 Analysis of portfolio % of Total assets 42,709 Zurich Insurance Group AG 11,107,736 2.37 Transferable securities and money market instruments admitted United Kingdom - 69,156,072 to offi cial stock exchange listing or traded on a regulated market 96.19 (31 December 2014: 49,150,847) 69,156,072 14.74 OTC fi nancial derivative instruments 0.27 625,796 BAE Systems Plc 4,652,908 0.99 Other current assets 3.54 2,901,278 Centrica Plc 9,329,394 1.99 1,313,866 Cobham Plc 5,505,009 1.17 Total assets 100.00 41,844 Diageo Plc 1,156,422 0.25 639,014 GlaxoSmithKline Plc 12,998,887 2.77 191,729 Imperial Tobacco Group Plc 10,183,344 2.17 762,874 Royal Mail Plc 5,009,656 1.07 501,432 SSE Plc 11,320,323 2.41 2,748,535 Vodafone Group Plc 9,000,129 1.92

122 BNY MELLON GLOBAL EQUITY INCOME FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Equity Income Fund BNY Mellon Global Equity Income Fund US dollar Euro 68,313 62,530 04-Jan-16 Barclays Bank plc 202 EUR I (Hedged) Share Class contd. US dollar Sterling 100,981 68,135 04-Jan-16 Royal Bank US dollar Euro 69,196 62,882 15-Jan-16 The Bank of of Scotland 15 New York Mellon 683 US dollar Sterling 2,130 1,437 05-Jan-16 The Bank of US dollar Euro 13,242 12,005 15-Jan-16 The Bank of New York Mellon – New York Mellon 161 Japanese yen Sterling 2,950,537,003 15,768,238 18-Feb-16 State Street Bank 1,165,017 Japanese yen Sterling 1,023,169,000 5,654,414 18-Feb-16 Royal Bank USD 2,204 of Scotland 127,754 EUR 2,023 USD 1,292,988 Euro US dollar 4,366 4,768 05-Jan-16 The Bank of Sterling US dollar 191,457 283,972 04-Jan-16 Royal Bank New York Mellon (12) of Scotland (260) Euro US dollar 56,676 61,910 15-Jan-16 The Bank of New York Mellon (159) USD (260) Euro US dollar 15,327 16,724 15-Jan-16 The Bank of New York Mellon (25) Euro US dollar 36,907 40,435 15-Jan-16 The Bank of Net USD 1,292,728 New York Mellon (222) Euro US dollar 42,077 46,204 15-Jan-16 The Bank of New York Mellon (358) BNY Mellon Global Equity Income Fund Euro US dollar 10,359 11,308 15-Jan-16 The Bank of EUR H (Hedged) Share Class New York Mellon (21) Euro US dollar 470,778 518,075 15-Jan-16 The Bank of Euro US dollar 29,956 32,798 15-Jan-16 The Bank of New York Mellon (5,136) New York Mellon (159) Euro US dollar 157,986 173,007 15-Jan-16 The Bank of New York Mellon (872) USD (5,136) Euro US dollar 20,246,578 22,280,650 15-Jan-16 The Bank of New York Mellon (220,849) EUR (4,715) Euro US dollar 51,828 57,032 15-Jan-16 The Bank of New York Mellon (563) Euro US dollar 100,068,477 110,206,235 15-Jan-16 The Bank of BNY Mellon Global Equity Income Fund New York Mellon (1,175,899) EUR H (Inc) (Hedged) Share Class Euro US dollar 92,938 102,513 15-Jan-16 The Bank of Euro US dollar 14,998 16,504 15-Jan-16 The Bank of New York Mellon (1,252) New York Mellon (162) US dollar Euro 42,709 39,218 15-Jan-16 The Bank of Euro US dollar 338,983 373,039 15-Jan-16 The Bank of New York Mellon (22) New York Mellon (3,698) US dollar Euro 4,593 4,244 15-Jan-16 The Bank of New York Mellon (32) USD (3,860) US dollar Euro 2,428 2,241 15-Jan-16 The Bank of New York Mellon (13) EUR (3,544) USD (1,400,458)

BNY Mellon Global Equity Income Fund EUR (1,285,708) EUR I (Hedged) Share Class US dollar Euro 11,305 10,359 04-Jan-16 The Bank of Net USD (1,398,254) New York Mellon 21 US dollar Euro 61,894 56,676 05-Jan-16 The Bank of Net EUR (1,283,685) New York Mellon 159 Euro US dollar 137,148 149,356 15-Jan-16 The Bank of New York Mellon 74 BNY Mellon Global Equity Income Fund Euro US dollar 53,972 58,410 15-Jan-16 The Bank of EUR I (Inc) (Hedged) Share Class New York Mellon 395 Euro US dollar 36,078 39,702 15-Jan-16 The Bank of Euro US dollar 25,732 27,888 15-Jan-16 The Bank of New York Mellon (393) New York Mellon 148 US dollar Euro 4,769 4,366 15-Jan-16 The Bank of New York Mellon 12 USD (393) US dollar Euro 7,144 6,525 15-Jan-16 The Bank of New York Mellon 35 EUR (361) US dollar Euro 36,989 33,761 15-Jan-16 The Bank of New York Mellon 204 US dollar Euro 108,279 99,234 15-Jan-16 The Bank of New York Mellon 159 US dollar Euro 1,121 1,021 15-Jan-16 The Bank of New York Mellon 9 US dollar Euro 9,436 8,617 15-Jan-16 The Bank of New York Mellon 48

123 BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Austria - 203,000 Jersey - 1,108,195 (31 December 2014: 729,300) 203,000 0.15 (31 December 2014: –) 1,108,195 0.83 200,000 Sappi Papier Holding GmbH 144A 295,000 AA Bond Co Ltd 5.500% 31-Jul-2022 416,902 0.31 6.625% 15-Apr-2021 203,000 0.15 455,000 CPUK Finance Ltd 7.000% 28-Aug-2020 691,293 0.52

Bermuda - 1,805,000 Luxembourg - 13,367,616 (31 December 2014: 1,349,738) 1,805,000 1.34 (31 December 2014: 18,914,882) 13,367,616 9.95 530,000 Aircastle Ltd 5.500% 15-Feb-2022 544,575 0.40 205,000 Albea Beauty Holdings SA 144A 540,000 Digicel Group Ltd 144A 7.125% 01-Apr-2022 410,400 0.31 8.375% 01-Nov-2019 214,225 0.16 615,000 Digicel Group Ltd 144A 8.250% 30-Sep-2020 513,525 0.38 450,000 Albea Beauty Holdings SA 8.750% 01-Nov-2019 520,798 0.39 400,000 Digicel Ltd 144A 6.750% 01-Mar-2023 336,500 0.25 585,000 Altice Financing SA 144A 6.625% 15-Feb-2023 580,612 0.43 710,000 Altice Finco SA 144A 7.625% 15-Feb-2025 656,750 0.49 Canada - 4,154,825 355,000 Altice Finco SA 144A 8.125% 15-Jan-2024 342,575 0.25 (31 December 2014: 2,629,087) 4,154,825 3.09 550,000 Altice SA 7.250% 15-May-2022 562,139 0.42 290,000 ATS Automation Tooling Systems Inc 144A 200,000 Altice SA 144A 7.625% 15-Feb-2025 173,500 0.13 6.500% 15-Jun-2023 295,075 0.22 660,000 Altice SA 144A 7.750% 15-May-2022 595,650 0.44 285,000 Bombardier Inc 144A 7.500% 15-Mar-2025 200,925 0.15 635,000 ArcelorMittal 7.250% 25-Feb-2022 514,350 0.38 165,000 Bombardier Inc 144A 7.750% 15-Mar-2020 134,062 0.10 452,686 Ardagh Finance Holdings SA 8.375% 15-Jun-2019 503,241 0.37 825,000 Brookfi eld Residential Properties Inc 144A 533,832 Ardagh Finance Holdings SA 144A 6.500% 15-Dec-2020 802,147 0.60 8.625% 15-Jun-2019 525,558 0.39 450,000 Entertainment One Ltd 6.875% 15-Dec-2022 665,166 0.49 205,000 Auris Luxembourg II SA 8.000% 15-Jan-2023 243,393 0.18 634,000 Reliance Intermediate Holdings LP 144A 550,000 Beverage Packaging Holdings Luxembourg II SA / 6.500% 01-Apr-2023 662,530 0.49 Beverage Packaging Holdings II Is 144A 470,000 Valeant Pharmaceuticals International Inc 6.000% 15-Jun-2017 533,500 0.40 4.500% 15-May-2023 446,982 0.33 330,000 Cabot Financial Luxembourg II SA 340,000 Valeant Pharmaceuticals International Inc 144A 5.875% 15-Nov-2021 FRN 356,352 0.27 6.125% 15-Apr-2025 306,850 0.23 220,000 Cabot Financial Luxembourg SA 495,000 Valeant Pharmaceuticals International Inc 144A 8.375% 01-Aug-2020 337,870 0.25 6.750% 15-Aug-2018 495,000 0.37 545,000 Cirsa Funding Luxembourg SA 145,000 Valeant Pharmaceuticals International Inc 144A 5.875% 15-May-2023 564,476 0.42 7.500% 15-Jul-2021 146,088 0.11 350,000 Consolidated Energy Finance SA 144A 6.750% 15-Oct-2019 336,332 0.25 Cayman Islands - 1,532,706 830,000 ConvaTec Finance International SA 144A (31 December 2014: 1,234,723) 1,532,706 1.14 8.250% 15-Jan-2019 781,237 0.58 505,000 Sable International Finance Ltd 144A 815,000 Galapagos Holding SA 7.000% 15-Jun-2022 776,772 0.58 6.875% 01-Aug-2022 489,850 0.36 355,000 Garfunkelux Holdco 2 SA 11.000% 01-Nov-2023 532,633 0.40 930,000 Viridian Group FundCo II Ltd 7.500% 01-Mar-2020 1,042,856 0.78 325,000 Garfunkelux Holdco 3 SA 8.500% 01-Nov-2022 488,223 0.36 510,000 INEOS Group Holdings SA 144A France - 2,540,099 5.875% 15-Feb-2019 496,612 0.37 (31 December 2014: 2,284,844) 2,540,099 1.89 380,000 Intelsat Jackson Holdings SA 6.625% 15-Dec-2022 243,200 0.18 420,000 3AB Optique Developpement SAS 605,000 Intelsat Jackson Holdings SA 7.250% 15-Oct-2020 530,888 0.40 5.625% 15-Apr-2019 419,903 0.31 760,000 Intelsat Luxembourg SA 7.750% 01-Jun-2021 357,200 0.27 625,000 Horizon Holdings I SASU 7.250% 01-Aug-2023 711,417 0.53 325,000 Telecom Italia Capital SA 6.000% 30-Sep-2034 301,438 0.22 660,000 Kerneos Corporate SAS 5.750% 01-Mar-2021 730,479 0.55 380,000 Trinseo Materials Operating SCA / 420,000 Numericable-SFR SAS 144A 6.000% 15-May-2022 407,400 0.30 Trinseo Materials Finance Inc 280,000 Numericable-SFR SAS 144A 6.250% 15-May-2024 270,900 0.20 6.375% 01-May-2022 410,929 0.31 Germany - 1,119,909 505,000 Trinseo Materials Operating SCA / (31 December 2014: 2,300,588) 1,119,909 0.83 Trinseo Materials Finance Inc 144A 6.750% 01-May-2022 498,688 0.37 690,000 Rapid Holding GmbH 6.625% 15-Nov-2020 772,744 0.57 410,000 Wind Acquisition Finance SA 144A 350,000 Unitymedia KabelBW GmbH 144A 7.375% 23-Apr-2021 388,475 0.29 6.125% 15-Jan-2025 347,165 0.26

Ireland - 2,926,983 Marshall Islands - 1,427,838 (31 December 2014: 969,749) 2,926,983 2.18 (31 December 2014: 1,951,650) 1,427,838 1.06 730,000 Navios Maritime Acquisition Corp / 200,000 Allegion Plc 5.875% 15-Sep-2023 204,500 0.15 Navios Acquisition Finance US Inc 144A 500,000 Allied Irish Banks Plc 7.375% Perpetual VAR 554,134 0.41 8.125% 15-Nov-2021 639,663 0.48 905,000 Ardagh Packaging Finance Plc / 440,000 Navios Maritime Holdings Inc / Ardagh Holdings USA Inc 144A Navios Maritime Finance II US Inc 144A 6.750% 31-Jan-2021 873,325 0.65 7.375% 15-Jan-2022 221,650 0.16 1,135,000 Bank of Ireland 7.375% Perpetual VAR 1,295,024 0.97

124 BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Marshall Islands contd. United States of America contd. 860,000 Navios South American Logistics Inc / 380,000 Audatex North America Inc 144A Navios Logistics Finance US Inc 144A 6.125% 01-Nov-2023 383,800 0.29 7.250% 01-May-2022 566,525 0.42 495,000 Bank of America Corp 5.125% Perpetual VAR 471,487 0.35 520,000 Bonanza Creek Energy Inc 6.750% 15-Apr-2021 317,200 0.24 Netherlands - 3,236,618 680,000 Boyd Gaming Corp 6.875% 15-May-2023 703,800 0.52 (31 December 2014: 4,300,592) 3,236,618 2.41 285,000 Building Materials Corp of America 144A 200,000 AerCap Aviation Solutions BV 6.375% 30-May-2017 208,000 0.16 6.000% 15-Oct-2025 292,837 0.22 825,000 DPx Holdings BV 144A 7.500% 01-Feb-2022 799,219 0.59 1,575,000 BWAY Holding Co 144A 9.125% 15-Aug-2021 1,480,500 1.10 365,000 JLL/Delta Dutch Pledgeco BV 144A 370,000 Cablevision Systems Corp 8.000% 15-Apr-2020 361,675 0.27 8.750% 01-May-2020 353,138 0.26 780,000 Calpine Corp 5.375% 15-Jan-2023 703,950 0.52 720,000 Schaeffl er Holding Finance BV 144A 375,000 Calpine Corp 144A 6.000% 15-Jan-2022 388,946 0.29 6.750% 15-Nov-2022 777,600 0.58 275,000 Carrizo Oil & Gas Inc 6.250% 15-Apr-2023 224,812 0.17 310,000 TMF Group Holding BV 9.875% 01-Dec-2019 362,837 0.27 705,000 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 619,519 0.46 640,000 United Group BV 7.875% 15-Nov-2020 735,824 0.55 835,000 CCO Holdings LLC / CCO Holdings Capital Corp 5.750% 01-Sep-2023 857,962 0.64 United Kingdom - 12,664,553 340,000 CDW LLC / CDW Finance Corp 6.000% 15-Aug-2022 359,975 0.27 (31 December 2014: 13,653,312) 12,664,553 9.42 350,000 CenturyLink Inc 6.750% 01-Dec-2023 329,437 0.25 375,000 Algeco Scotsman Global Finance Plc 144A 420,000 Chesapeake Energy Corp 144A 8.000% 15-Dec-2022 205,800 0.15 8.500% 15-Oct-2018 315,937 0.24 355,000 CHS/Community Health Systems Inc 375,000 Bakkavor Finance 2 Plc 8.750% 15-Jun-2020 603,795 0.45 6.875% 01-Feb-2022 338,137 0.25 830,000 Barclays Plc 6.500% Perpetual VAR 916,283 0.68 425,000 CIT Group Inc 5.000% 15-Aug-2022 433,500 0.32 300,000 Barclays Plc 7.875% Perpetual VAR 444,008 0.33 530,000 Citigroup Inc 5.950% Perpetual VAR 519,267 0.39 385,000 Boparan Finance Plc 5.250% 15-Jul-2019 536,692 0.40 430,000 Clear Channel Worldwide Holdings Inc 325,000 Debenhams Plc 5.250% 15-Jul-2021 480,739 0.36 7.625% 15-Mar-2020 392,912 0.29 560,000 Ephios Bondco Plc 6.250% 01-Jul-2022 635,349 0.47 550,000 ClubCorp Club Operations Inc 144A 235,000 IDH Finance Plc 6.000% 01-Dec-2018 350,847 0.26 8.250% 15-Dec-2023 541,750 0.40 810,000 International Game Technology Plc 144A 290,000 CommScope Technologies Finance LLC 144A 6.250% 15-Feb-2022 761,400 0.57 6.000% 15-Jun-2025 279,850 0.21 545,000 Interoute Finco Plc 7.375% 15-Oct-2020 619,863 0.46 180,000 Communications Sales & Leasing Inc / 1,074,000 Lloyds Banking Group Plc 7.500% Perpetual VAR 1,150,522 0.86 CSL Capital LLC 144A 6.000% 15-Apr-2023 170,550 0.13 225,000 Lloyds Banking Group Plc 7.625% Perpetual VAR 350,767 0.26 455,000 CPI International Inc 8.000% 15-Feb-2018 451,019 0.34 385,000 Moto Finance Plc 6.375% 01-Sep-2020 586,219 0.44 620,000 Crestwood Midstream Partners LP / 330,000 New Look Secured Issuer Plc 6.500% 01-Jul-2022 486,908 0.36 Crestwood Midstream Finance Corp 180,000 New Look Senior Issuer Plc 8.000% 01-Jul-2023 259,822 0.19 6.125% 01-Mar-2022 434,000 0.32 630,000 Royal Bank of Scotland Group Plc 255,000 Crestwood Midstream Partners LP / 6.125% 15-Dec-2022 691,791 0.51 Crestwood Midstream Finance Corp 144A 365,000 Royal Bank of Scotland Group Plc 6.250% 01-Apr-2023 178,500 0.13 7.500% Perpetual VAR 380,969 0.28 495,000 Diamondback Energy Inc 7.625% 01-Oct-2021 502,425 0.37 1,365,000 Royal Bank of Scotland Group Plc 5,000 DISH DBS Corp 5.000% 15-Mar-2023 4,350 0.00 8.000% Perpetual VAR 1,443,488 1.07 1,115,000 DISH DBS Corp 5.875% 15-Jul-2022 1,041,131 0.77 305,000 Synlab Unsecured Bondco Plc 8.250% 01-Jul-2023 337,564 0.25 465,000 DriveTime Automotive Group Inc / 480,000 TES Finance Plc 6.750% 15-Jul-2020 672,135 0.50 DT Acceptance Corp 144A 8.000% 01-Jun-2021 415,303 0.31 410,000 Virgin Media Finance Plc 7.000% 15-Apr-2023 639,455 0.48 410,000 Dynegy Inc 6.750% 01-Nov-2019 387,450 0.29 445,000 Dynegy Inc 7.375% 01-Nov-2022 389,375 0.29 United States of America - 79,147,921 325,000 Dynegy Inc 7.625% 01-Nov-2024 279,094 0.21 (31 December 2014: 95,109,814) 79,147,921 58.88 485,000 Eclipse Resources Corp 144A 8.875% 15-Jul-2023 234,012 0.17 445,000 Acosta Inc 144A 7.750% 01-Oct-2022 393,825 0.29 320,000 Eco Services Operations LLC/ 940,000 ADS Waste Holdings Inc 8.250% 01-Oct-2020 951,750 0.71 Eco Finance Corp 144A 8.500% 01-Nov-2022 273,600 0.20 555,000 AES Corp 7.375% 01-Jul-2021 568,875 0.42 426,000 Energizer SpinCo Inc 144A 5.500% 15-Jun-2025 400,440 0.30 760,000 Ahern Rentals Inc 144A 7.375% 15-May-2023 611,800 0.46 535,000 Ensemble S Merger Sub Inc 144A 320,000 Alcatel-Lucent USA Inc 6.450% 15-Mar-2029 325,200 0.24 9.000% 30-Sep-2023 515,606 0.38 320,000 Ally Financial Inc 4.125% 13-Feb-2022 317,600 0.24 945,000 Ferrellgas LP / Ferrellgas Finance Corp 515,000 American Builders & Contractors Supply Co Inc 144A 6.750% 15-Jan-2022 798,525 0.59 5.625% 15-Apr-2021 524,012 0.39 1,035,000 First Data Corp 144A 7.000% 01-Dec-2023 1,039,647 0.77 305,000 Antero Resources Corp 5.125% 01-Dec-2022 233,325 0.17 625,000 Forum Energy Technologies Inc 6.250% 01-Oct-2021 521,875 0.39 480,000 Antero Resources Corp 144A 5.625% 01-Jun-2023 376,800 0.28 505,000 Frontier Communications Corp 7.625% 15-Apr-2024 426,725 0.32 410,000 Argos Merger Sub Inc 144A 7.125% 15-Mar-2023 407,540 0.30 630,000 Frontier Communications Corp 8.750% 15-Apr-2022 585,900 0.44 395,000 Ashtead Capital Inc 144A 6.500% 15-Jul-2022 413,762 0.31 410,000 Frontier Communications Corp 144A 715,000 Ashton Woods USA LLC / Ashton Woods Finance Co 144A 10.500% 15-Sep-2022 411,025 0.31 6.875% 15-Feb-2021 618,475 0.46

125 BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. United States of America contd. United States of America contd. 310,000 Frontier Communications Corp 144A 85,000 Neiman Marcus Group Ltd LLC 144A 11.000% 15-Sep-2025 307,675 0.23 8.750% 15-Oct-2021 53,550 0.04 475,000 Gardner Denver Inc 144A 6.875% 15-Aug-2021 365,750 0.27 200,000 Neptune Finco Corp 144A 10.125% 15-Jan-2023 209,000 0.16 540,000 Gates Global LLC / Gates Global Co 150,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 100,500 0.07 5.750% 15-Jul-2022 425,248 0.32 845,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 566,150 0.42 360,000 Gates Global LLC / Gates Global Co 144A 400,000 NRG Energy Inc 6.250% 15-Jul-2022 342,800 0.26 6.000% 15-Jul-2022 261,000 0.19 1,100,000 NRG Energy Inc 6.625% 15-Mar-2023 962,500 0.72 905,000 Genesis Energy LP / Genesis Energy Finance Corp 490,000 Omega US Sub LLC 144A 8.750% 15-Jul-2023 454,475 0.34 5.750% 15-Feb-2021 764,725 0.57 165,000 Party City Holdings Inc 144A 510,000 Gibraltar Industries Inc 6.250% 01-Feb-2021 521,475 0.39 6.125% 15-Aug-2023 160,875 0.12 755,000 Gray Television Inc 7.500% 01-Oct-2020 778,594 0.58 630,000 Penn National Gaming Inc 5.875% 01-Nov-2021 614,250 0.46 795,000 H&E Equipment Services Inc 7.000% 01-Sep-2022 781,087 0.58 435,000 Pinnacle Operating Corp 144A 9.000% 15-Nov-2020 409,988 0.31 255,000 HCA Holdings Inc 6.250% 15-Feb-2021 269,662 0.20 710,000 Plantronics Inc 144A 5.500% 31-May-2023 708,225 0.53 300,000 HCA Inc 5.875% 01-May-2023 306,000 0.23 400,000 Platform Specialty Products Corp 144A 335,000 HCA Inc 7.500% 15-Feb-2022 370,175 0.28 10.375% 01-May-2021 400,000 0.30 530,000 Hexion US Finance Corp 6.625% 15-Apr-2020 414,725 0.31 815,000 Post Holdings Inc 7.375% 15-Feb-2022 852,694 0.63 340,000 Hexion US Finance Corp /Hexion Nova Scotia 245,000 Post Holdings Inc 144A 8.000% 15-Jul-2025 259,700 0.19 Finance ULC 8.875% 01-Feb-2018 238,850 0.18 745,000 Project Homestake Merger Corp 144A 160,000 Hexion US Finance Corp/Hexion Nova Scotia 8.875% 01-Mar-2023 691,919 0.51 Finance ULC 9.000% 15-Nov-2020 62,000 0.05 625,000 Provident Funding Associates LP / 530,000 Hillman Group Inc/The 144A 6.375% 15-Jul-2022 439,900 0.33 PFG Finance Corp 144A 6.750% 15-Jun-2021 607,813 0.45 515,000 Hill-Rom Holdings Inc 144A 5.750% 01-Sep-2023 527,875 0.39 1,040,000 Quicken Loans Inc 144A 5.750% 01-May-2025 994,500 0.74 875,000 Hub Holdings LLC / Hub Holdings Finance Inc 144A 765,000 RCN Telecom Services LLC / RCN Capital Corp 144A 8.125% 15-Jul-2019 818,125 0.61 8.500% 15-Aug-2020 775,519 0.58 535,000 HUB International Ltd 144A 7.875% 01-Oct-2021 481,500 0.36 376,000 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / 685,000 Hughes Satellite Systems Corp 7.625% 15-Jun-2021 728,669 0.54 Reynolds Group Issuer Lu 9.875% 15-Aug-2019 379,290 0.28 540,000 Huntsman International LLC 5.125% 15-Apr-2021 544,975 0.41 330,000 Rite Aid Corp 144A 6.125% 01-Apr-2023 340,313 0.25 540,000 iHeartCommunications Inc 9.000% 15-Dec-2019 396,225 0.29 555,000 Rose Rock Midstream LP / Rose Rock Finance Corp 185,000 iHeartCommunications Inc 9.000% 01-Mar-2021 128,344 0.10 5.625% 15-Jul-2022 396,825 0.30 286,165 iHeartCommunications Inc 14.000% 01-Feb-2021 81,557 0.06 495,000 Rose Rock Midstream LP / 915,000 Infor Software Parent LLC / Rose Rock Finance Corp 144A 5.625% 15-Nov-2023 353,925 0.26 Infor Software Parent Inc 144A 7.125% 01-May-2021 664,519 0.49 800,000 RSI Home Products Inc 144A 6.500% 15-Mar-2023 828,000 0.62 405,000 Infor US Inc 5.750% 15-May-2022 390,525 0.29 520,000 RSP Permian Inc 6.625% 01-Oct-2022 481,000 0.36 895,000 International Lease Finance Corp 205,000 RSP Permian Inc 144A 6.625% 01-Oct-2022 189,625 0.14 8.250% 15-Dec-2020 1,060,575 0.79 725,000 Sabre GLBL Inc 144A 5.375% 15-Apr-2023 725,000 0.54 345,000 Interval Acquisition Corp 144A 5.625% 15-Apr-2023 344,137 0.26 725,000 Sanchez Energy Corp 7.750% 15-Jun-2021 445,875 0.33 500,000 Jaguar Holding Co II / Pharmaceutical Product 1,720,000 Scientifi c Games International Inc Development LLC 144A 6.375% 01-Aug-2023 487,500 0.36 10.000% 01-Dec-2022 1,229,800 0.92 360,000 JBS USA LLC / JBS USA Finance Inc 144A 287,000 Shea Homes LP / Shea Homes Funding Corp 144A 5.750% 15-Jun-2025 315,000 0.23 5.875% 01-Apr-2023 295,610 0.22 985,000 Jones Energy Holdings LLC / 205,000 Shea Homes LP / Shea Homes Funding Corp 144A Jones Energy Finance Corp 6.750% 01-Apr-2022 541,750 0.40 6.125% 01-Apr-2025 211,663 0.16 490,000 Jurassic Holdings III Inc 144A 6.875% 15-Feb-2021 296,450 0.22 1,280,000 Signode Industrial Group Lux SA/ 495,000 KCG Holdings Inc 144A 6.875% 15-Mar-2020 447,975 0.33 Signode Industrial Group US Inc 144A 765,000 Kindred Healthcare Inc 8.750% 15-Jan-2023 705,712 0.53 6.375% 01-May-2022 1,094,400 0.81 675,000 Ladder Capital Finance Holdings LLLP / 280,000 Sinclair Television Group Inc 144A Ladder Capital Finance Corp 7.375% 01-Oct-2017 674,156 0.50 5.625% 01-Aug-2024 272,650 0.20 360,000 Laredo Petroleum Inc 5.625% 15-Jan-2022 315,000 0.23 505,000 Sinclair Television Group Inc 525,000 Matador Resources Co 6.875% 15-Apr-2023 485,625 0.36 6.375% 01-Nov-2021 520,150 0.39 190,000 MEDNAX Inc 144A 5.250% 01-Dec-2023 190,950 0.14 370,000 Sprint Communications Inc 11.500% 15-Nov-2021 343,175 0.26 565,000 Mercer International Inc 7.750% 01-Dec-2022 573,475 0.43 1,605,000 Sprint Corp 7.250% 15-Sep-2021 1,215,306 0.90 220,000 MGM Resorts International 6.000% 15-Mar-2023 218,900 0.16 235,000 Sprint Corp 7.875% 15-Sep-2023 176,838 0.13 250,000 MGM Resorts International 7.750% 15-Mar-2022 266,563 0.20 450,000 Steel Dynamics Inc 5.250% 15-Apr-2023 412,875 0.31 510,000 Micron Technology Inc 5.875% 15-Feb-2022 497,888 0.37 365,000 StoneMor Partners LP / Cornerstone Family 470,000 Midcontinent Communications & Midcontinent Services of WV 7.875% 01-Jun-2021 377,775 0.28 Finance Corp 144A 6.875% 15-Aug-2023 478,225 0.36 520,000 Surgical Care Affi liates Inc 144A 695,000 MPG Holdco I Inc 7.375% 15-Oct-2022 703,688 0.52 6.000% 01-Apr-2023 509,600 0.38 595,000 Neiman Marcus Group Ltd LLC 144A 1,060,000 Talen Energy Supply LLC 144A 8.000% 15-Oct-2021 446,250 0.33 6.500% 01-Jun-2025 704,900 0.52

126 BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Unrealised gain on forward foreign currency contracts - 51,793 (see below) United States of America contd. (31 December 2014: 948,798) 51,793 0.04 380,000 Targa Resources Partners LP / Total fi nancial assets Targa Resources Partners Finance Corp at fair value through profi t or loss 127,361,950 94.75 6.875% 01-Feb-2021 341,050 0.25

475,000 Taylor Morrison Communities Inc / Unrealised loss on forward foreign currency contracts - (572,215) (see below) Monarch Communities Inc 144A (31 December 2014: (1,910,427)) (572,215) (0.43) 5.875% 15-Apr-2023 471,438 0.35 145,000 Tenet Healthcare Corp 5.000% 01-Mar-2019 134,577 0.10 Total fi nancial liabilities 580,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 533,238 0.40 at fair value through profi t or loss (572,215) (0.43) 960,000 Tenet Healthcare Corp 8.125% 01-Apr-2022 957,600 0.71 415,000 T-Mobile USA Inc 6.500% 15-Jan-2026 419,150 0.31 Net current assets 7,629,289 5.68 660,000 T-Mobile USA Inc 6.633% 28-Apr-2021 686,400 0.51 405,000 T-Mobile USA Inc 6.731% 28-Apr-2022 423,225 0.32 Total net assets 134,419,024 100.00 490,000 Townsquare Media Inc 144A 6.500% 01-Apr-2023 450,188 0.34 360,000 TransDigm Inc 6.500% 15-Jul-2024 359,820 0.27 330,000 TRI Pointe Holdings Inc 5.875% 15-Jun-2024 322,575 0.24 Analysis of portfolio % of Total assets 595,000 Tronox Finance LLC 6.375% 15-Aug-2020 361,046 0.27 1,175,000 Unit Corp 6.625% 15-May-2021 851,875 0.63 Transferable securities and money market instruments admitted 490,000 Univar Inc 144A 6.750% 15-Jul-2023 448,350 0.33 to offi cial stock exchange listing or traded on a regulated market 92.73 1,050,000 USI Inc 144A 7.750% 15-Jan-2021 1,011,938 0.75 Transferable securities and money market instruments other than those 500,000 Valeant Pharmaceuticals International Inc 144A admitted to offi cial stock exchange listing or traded on a regulated market 0.78 6.750% 15-Aug-2021 485,000 0.36 OTC fi nancial derivative instruments 0.04 220,000 Wave Holdco LLC / Wave Holdco Corp 144A Other current assets 6.45 8.250% 15-Jul-2019 213,400 0.16 395,000 Weekley Homes LLC / Weekley Finance Corp Total assets 100.00 6.000% 01-Feb-2023 373,275 0.28 415,000 WESCO Distribution Inc 5.375% 15-Dec-2021 404,625 0.30 755,000 West Corp 144A 5.375% 15-Jul-2022 659,681 0.49 Forward foreign currency contracts 400,000 William Lyon Homes Inc 8.500% 15-Nov-2020 425,000 0.32 Settle Unrealised 165,000 Windstream Services LLC 7.750% 15-Oct-2020 140,869 0.10 Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) 585,000 Windstream Services LLC 7.750% 01-Oct-2021 462,150 0.34 130,000 Windstream Services LLC 7.875% 01-Nov-2017 133,575 0.10 350,000 XPO Logistics Inc 5.750% 15-Jun-2021 355,923 0.26 BNY Mellon Global High Yield Bond Fund US dollar Sterling 387,682 260,000 29-Jan-16 Citigroup 370,000 XPO Logistics Inc 144A 6.500% 15-Jun-2022 343,638 0.26 2,374 US dollar Sterling 715,536 480,000 29-Jan-16 Commonwealth 595,000 York Risk Services Holding Corp 144A Bank of Australia 4,197 8.500% 01-Oct-2022 490,131 0.36 US dollar Sterling 1,371,293 920,000 29-Jan-16 Morgan Stanley 7,895 700,000 Zachry Holdings Inc 144A 7.500% 01-Feb-2020 689,500 0.51 US dollar Sterling 3,361,679 2,255,000 29-Jan-16 Barclays Bank plc 19,871 US dollar Sterling 3,010,936 2,020,000 29-Jan-16 Goldman Sachs 17,388 Total investments in bonds 125,235,263 93.17 USD 51,725 Equities United States of America - 1,014,794 Euro US dollar 435,000 475,973 29-Jan-16 Goldman Sachs (1,849) (31 December 2014: 1,052,379) 1,014,794 0.75 US dollar Euro 1,091,179 1,005,000 29-Jan-16 Commonwealth 39,984 GMAC Capital Trust I Pfd 8.125% VAR 1,014,794 0.75 Bank of Australia (4,212) US dollar Euro 4,564,729 4,205,000 29-Jan-16 Citigroup (18,471) Total investments in equities 1,014,794 0.75 US dollar Euro 3,887,235 3,580,000 29-Jan-16 Morgan Stanley (14,751) US dollar Euro 3,616,040 3,330,000 29-Jan-16 Goldman Sachs (13,463) Leveraged loans US dollar Euro 2,985,090 2,750,000 29-Jan-16 Barclays Bank plc (12,247) Canada - 415,425 (31 December 2014: –) 415,425 0.31 USD (64,993) 435,000 Concordia Healthcare Corp 0.000% 21-Oct-2021 415,425 0.31 Net USD (13,268) United States of America - 644,675 (31 December 2014: –) 644,675 0.48 445,000 Asurion LLC 0.000% 24-May-2019 421,081 0.31 225,000 Cwgs Group LLC 5.250% 20-Feb-2020 223,594 0.17

Total investments in leveraged loans 1,060,100 0.79

127 BNY MELLON GLOBAL HIGH YIELD BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global High Yield Bond Fund BNY Mellon Global High Yield Bond Fund EUR H (Hedged) Share Class EUR X (Inc) (Hedged) Share Class Euro US dollar 13,206 14,468 15-Jan-16 The Bank of Euro US dollar 42,713,104 47,004,276 15-Jan-16 The Bank of New York Mellon (80) New York Mellon (465,914) Euro US dollar 20,263 22,189 15-Jan-16 The Bank of New York Mellon (112) USD (465,914) Euro US dollar 3,129,085 3,443,449 15-Jan-16 The Bank of New York Mellon (34,131) EUR (427,738)

USD (34,323)

EUR (31,511)

BNY Mellon Global High Yield Bond Fund EUR I (Hedged) Share Class US dollar Euro 560 514 04-Jan-16 The Bank of New York Mellon 1 US dollar Euro 10,459 9,577 05-Jan-16 The Bank of New York Mellon 26 US dollar Euro 376 341 15-Jan-16 The Bank of New York Mellon 4 US dollar Euro 7,554 6,921 15-Jan-16 The Bank of New York Mellon 14 US dollar Euro 586 536 15-Jan-16 The Bank of New York Mellon 2 US dollar Euro 1,563 1,428 15-Jan-16 The Bank of New York Mellon 8 US dollar Euro 1,507 1,373 15-Jan-16 The Bank of New York Mellon 13

USD 68

EUR 62

Euro US dollar 6,921 7,552 04-Jan-16 The Bank of New York Mellon (14) Euro US dollar 514 561 15-Jan-16 The Bank of New York Mellon (1) Euro US dollar 9,577 10,462 15-Jan-16 The Bank of New York Mellon (27) Euro US dollar 1,242 1,360 15-Jan-16 The Bank of New York Mellon (7) Euro US dollar 20,377 22,274 15-Jan-16 The Bank of New York Mellon (72) Euro US dollar 1,798 1,983 15-Jan-16 The Bank of New York Mellon (24) Euro US dollar 623,617 686,269 15-Jan-16 The Bank of New York Mellon (6,802) Euro US dollar 2,568 2,833 15-Jan-16 The Bank of New York Mellon (35) US dollar Euro 583 538 15-Jan-16 The Bank of New York Mellon (3)

USD (6,985)

EUR (6,413)

Net USD (6,917)

Net EUR (6,351)

128 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Angola - 768,075 Ireland - 4,136,222 (31 December 2014: –) 768,075 0.35 (31 December 2014: 1,545,233) 4,136,222 1.90 825,000 Angolan Government International Bond 1,050,000 AerCap Ireland Capital Ltd / 9.500% 12-Nov-2025 768,075 0.35 AerCap Global Aviation Trust 5.000% 01-Oct-2021 1,093,312 0.50 650,000 Ardagh Packaging Finance Plc / Argentina - 2,626,622 Ardagh Holdings USA Inc 3.512% 15-Dec-2019 FRN 637,000 0.29 (31 December 2014: 742,500) 2,626,622 1.21 1,050,000 Ardagh Packaging Finance Plc / 1,417,000 Argentine Republic Government International Bond Ardagh Holdings USA Inc 6.750% 31-Jan-2021 1,013,250 0.47 5.830% 31-Dec-2033 VAR 588,278 0.27 1,100,000 MMC Norilsk Nickel OJSC via MMC Finance Ltd 981,427 Argentine Republic Government International Bond 4.375% 30-Apr-2018 1,103,575 0.51 8.280% 31-Dec-2033 1,131,094 0.52 290,000 Trafi gura Securitisation Finance Plc 950,000 YPF SA 8.500% 28-Jul-2025 907,250 0.42 2.581% 15-Oct-2021 FRN 289,085 0.13

Australia - 12,156,855 Italy - 2,330,663 (31 December 2014: 5,573,745) 12,156,855 5.59 (31 December 2014: 1,678,531) 2,330,663 1.07 7,675,000 Australia Government Bond 3.250% 21-Oct-2018 5,798,296 2.67 2,175,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 2,330,663 1.07 8,400,000 Australia Government Bond 3.250% 21-Apr-2025 6,358,559 2.92 Jamaica - 4,365,000 Brazil - 1,988,791 (31 December 2014: –) 4,365,000 2.01 (31 December 2014: 2,906,326) 1,988,791 0.91 3,975,000 Digicel Group Ltd 8.250% 30-Sep-2020 3,319,125 1.53 11,000,000 Brazil Notas do Tesouro Nacional Serie F 540,000 Jamaica Government International Bond 10.000% 01-Jan-2025 1,988,791 0.91 6.750% 28-Apr-2028 536,625 0.25 525,000 Jamaica Government International Bond Canada - 2,496,861 7.875% 28-Jul-2045 509,250 0.23 (31 December 2014: 224,250) 2,496,861 1.15 1,050,000 Glencore Finance Canada Ltd 2.700% 25-Oct-2017 958,536 0.44 Luxembourg - 3,801,450 775,000 Pacifi c Exploration and Production Corp (31 December 2014: 3,743,095) 3,801,450 1.75 5.375% 26-Jan-2019 151,125 0.07 1,980,000 Altice SA 7.750% 15-May-2022 1,786,950 0.82 1,000,000 Teck Resources Ltd 2.500% 01-Feb-2018 745,000 0.34 1,100,000 Beverage Packaging Holdings Luxembourg II SA / 760,000 Teck Resources Ltd 3.850% 15-Aug-2017 642,200 0.30 Beverage Packaging Holdings II Is 6.000% 15-Jun-2017 1,067,000 0.49 Cayman Islands - 2,497,126 1,000,000 Wind Acquisition Finance SA (31 December 2014: –) 2,497,126 1.15 7.375% 23-Apr-2021 947,500 0.44 900,000 Brazil Minas SPE via State of Minas Gerais 5.333% 15-Feb-2028 681,750 0.31 Mexico - 5,408,549 367,560 Odebrecht Offshore Drilling Finance Ltd (31 December 2014: 3,334,180) 5,408,549 2.49 6.625% 01-Oct-2022 84,539 0.04 74,350,000 Mexican Bonos 10.000% 05-Dec-2024 5,408,549 2.49 1,383,530 Odebrecht Offshore Drilling Finance Ltd 6.750% 01-Oct-2022 338,965 0.16 Netherlands - 7,364,844 1,565,000 Transocean Inc 2.500% 15-Oct-2017 1,391,872 0.64 (31 December 2014: 1,111,092) 7,364,844 3.39 400,000 Allianz Finance II BV 5.750% 08-Jul-2041 VAR 505,724 0.23 China - 855,146 1,125,000 ING Groep NV 6.500% Perpetual VAR 1,114,453 0.51 (31 December 2014: –) 855,146 0.39 650,000 Lukoil International Finance BV 875,000 China Cinda Finance 2015 I Ltd 3.125% 23-Apr-2020 855,146 0.39 4.563% 24-Apr-2023 584,756 0.27 400,000 Lukoil International Finance BV Dominican Republic - 1,058,750 6.125% 09-Nov-2020 407,707 0.19 (31 December 2014: –) 1,058,750 0.49 950,000 Majapahit Holding BV 7.750% 20-Jan-2020 1,065,235 0.49 1,100,000 Dominican Republic International Bond 300,000 Mylan NV 3.000% 15-Dec-2018 299,322 0.14 5.500% 27-Jan-2025 1,058,750 0.49 700,000 Petrobras Global Finance BV 2.000% 20-May-2016 691,250 0.32 France - 2,024,810 1,475,000 Petrobras Global Finance BV (31 December 2014: 2,031,413) 2,024,810 0.93 6.125% 06-Oct-2016 1,469,469 0.68 1,820,000 AXA SA 5.777% Perpetual VAR 2,024,810 0.93 700,000 Volkswagen International Finance NV Germany - 744,224 1.600% 20-Nov-2017 678,815 0.31 (31 December 2014: –) 744,224 0.34 550,000 Volkswagen International Finance NV 2.375% 22-Mar-2017 548,113 0.25 700,000 Allianz SE 3.375% Perpetual VAR 744,224 0.34

Ghana - 1,564,000 New Zealand - 3,327,696 (31 December 2014: –) 1,564,000 0.72 (31 December 2014: 4,881,843) 3,327,696 1.53 4,800,000 New Zealand Government Bond 1,600,000 Ghana Government International Bond 2.000% 20-Sep-2025 3,327,696 1.53 8.500% 04-Oct-2017 1,564,000 0.72

129 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Poland - 4,141,827 United States of America contd. (31 December 2014: 2,094,965) 4,141,827 1.90 2,290,000 Banc of America Commercial Mortgage Trust 2007-2 15,800,000 Poland Government Bond 3.250% 25-Jul-2025 4,141,827 1.90 5.629% 10-Apr-2049 VAR 2,304,358 1.06 550,000 Bank of America Corp 4.250% 22-Oct-2026 544,311 0.25 Republic of Korea - 5,197,759 1,100,000 Bear Stearns Commercial Mortgage Securities (31 December 2014: –) 5,197,759 2.39 Trust 2006-PWR14 5.273% 11-Dec-2038 1,095,800 0.50 6,000,000,000 Korea Treasury Bond 2.250% 10-Jun-2025 5,197,759 2.39 1,130,000 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 5.722% 11-Jun-2040 VAR 1,129,692 0.52 Russia - 1,477,592 325,000 Bear Stearns Commercial Mortgage Securities (31 December 2014: –) 1,477,592 0.68 Trust 2007-PWR17 5.882% 11-Jun-2050 VAR 322,597 0.15 130,500,000 Russian Federal Bond - OFZ 35,000 Bear Stearns Commercial Mortgage Securities 7.050% 19-Jan-2028 1,477,592 0.68 Trust 2007-PWR18 6.176% 11-Jun-2050 VAR 34,278 0.02 1,350,000 Bonanza Creek Energy Inc 5.750% 01-Feb-2023 708,750 0.33 Singapore - 590,450 1,100,000 BWAY Holding Co 9.125% 15-Aug-2021 1,034,000 0.48 (31 December 2014: 998,000) 590,450 0.27 425,000 Calpine Corp 5.500% 01-Feb-2024 377,187 0.17 700,000 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 590,450 0.27 1,300,000 Calpine Corp 5.750% 15-Jan-2025 1,152,125 0.53 950,000 Capital Auto Receivables Asset Trust 2013-3 Spain - 715,865 3.690% 20-Feb-2019 966,110 0.44 (31 December 2014: 397,125) 715,865 0.33 360,000 Capital Auto Receivables Asset Trust 2013-4 700,000 Santander Issuances SAU 2.500% 18-Mar-2025 715,865 0.33 2.670% 20-Feb-2019 362,666 0.17 Switzerland - 539,863 450,000 Capital Auto Receivables Asset Trust 2013-4 (31 December 2014: 549,396) 539,863 0.25 3.220% 20-May-2019 457,203 0.21 500,000 Credit Suisse AG 6.500% 08-Aug-2023 539,863 0.25 2,000,000 Capital Auto Receivables Asset Trust 2014-1 2.840% 22-Apr-2019 2,017,471 0.93 United Kingdom - 9,701,627 450,000 Capital Auto Receivables Asset Trust 2014-1 (31 December 2014: 7,767,928) 9,701,627 4.46 3.390% 22-Jul-2019 457,221 0.21 575,000 HSBC Holdings Plc 6.375% Perpetual VAR 575,719 0.26 2,000,000 Capital Auto Receivables Asset Trust 2014-2 1,150,000 International Game Technology Plc 2.410% 20-May-2019 2,008,700 0.92 6.250% 15-Feb-2022 1,081,000 0.50 225,000 Capital Auto Receivables Asset Trust 2014-3 800,000 Interoute Finco Plc 7.375% 15-Oct-2020 909,890 0.42 3.140% 20-Feb-2020 224,184 0.10 575,000 Lloyds Banking Group Plc 4.500% 04-Nov-2024 583,593 0.27 175,000 Capital Auto Receivables Asset Trust 2015-1 1,150,000 Lloyds Banking Group Plc 7.500% Perpetual VAR 1,231,937 0.57 3.160% 20-Aug-2020 172,803 0.08 950,000 Royal Bank of Scotland Group Plc 975,000 Capital Auto Receivables Asset Trust 2015-3 7.500% Perpetual VAR 991,563 0.45 3.340% 22-Mar-2021 958,014 0.44 1,050,000 Royal Bank of Scotland Group Plc 500,000 CarMax Auto Owner Trust 2013-3 8.000% Perpetual VAR 1,110,375 0.51 2.850% 18-Feb-2020 500,910 0.23 2,425,000 Vedanta Resources Plc 6.750% 07-Jun-2016 2,203,779 1.01 375,000 CarMax Auto Owner Trust 2014-4 650,000 Virgin Media Finance Plc 7.000% 15-Apr-2023 1,013,771 0.47 3.040% 17-May-2021 374,534 0.17 1,700,000 CarMax Auto Owner Trust 2015-3 United States of America - 124,817,928 3.270% 15-Mar-2022 1,695,023 0.78 (31 December 2014: 59,350,395) 124,817,928 57.40 854,211 Carrington Mortgage Loan Trust Series 2006-NC4 1,100,000 Acosta Inc 7.750% 01-Oct-2022 973,500 0.45 0.482% 25-Oct-2036 FRN 817,883 0.38 210,000 Alcatel-Lucent USA Inc 6.450% 15-Mar-2029 213,412 0.10 1,353,001 Carrington Mortgage Loan Trust Series 2006-NC5 1,825,000 Ally Financial Inc 3.600% 21-May-2018 1,829,562 0.84 0.532% 25-Jan-2037 FRN 988,751 0.45 950,000 Ally Financial Inc 8.000% 01-Nov-2031 1,100,812 0.51 1,496,217 Carrington Mortgage Loan Trust Series 2007-HE1 1,750,000 American International Group Inc 0.572% 25-Jun-2037 FRN 1,371,994 0.63 4.875% 15-Mar-2067 VAR 1,922,820 0.88 1,500,000 Carrizo Oil & Gas Inc 6.250% 15-Apr-2023 1,226,250 0.56 300,000 AmeriCredit Automobile Receivables Trust 2012-5 85,000 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 74,694 0.03 2.350% 10-Dec-2018 301,464 0.14 600,000 Chesapeake Energy Corp 6.500% 15-Aug-2017 297,000 0.14 1,465,000 AmeriCredit Automobile Receivables Trust 2014-2 285,000 Cimarex Energy Co 5.875% 01-May-2022 272,846 0.13 2.570% 08-Jul-2020 1,450,841 0.67 275,000 CIT Equipment Collateral 2014-VT1 455,000 AmeriCredit Automobile Receivables Trust 2014-3 2.650% 20-Oct-2022 276,356 0.13 3.130% 08-Oct-2020 454,841 0.21 460,000 Citigroup Commercial Mortgage Trust 2007-C6 1,125,000 Americredit Automobile Receivables Trust 2014-4 5.710% 10-Dec-2049 VAR 398,820 0.18 3.070% 09-Nov-2020 1,120,262 0.52 950,000 Citigroup Inc 4.300% 20-Nov-2026 945,612 0.44 575,000 AmeriCredit Automobile Receivables Trust 2015-2 875,000 Citigroup Inc 4.400% 10-Jun-2025 883,979 0.41 2.400% 08-Jan-2021 567,806 0.26 1,480,000 Citigroup Inc 4.450% 29-Sep-2027 1,470,808 0.68 225,000 Antero Resources Corp 5.375% 01-Nov-2021 181,125 0.08 1,090,000 CNO Financial Group Inc 5.250% 30-May-2025 1,113,162 0.51 325,000 Antero Resources Corp 5.625% 01-Jun-2023 255,125 0.12 1,375,000 Colony American Homes Single-Family Rental 650,000 Antero Resources Corp 6.000% 01-Dec-2020 546,000 0.25 Pass-Through Certifi cates 4.001% 17-Jul-2032 FRN 1,302,816 0.60

130 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. United States of America contd. United States of America contd. 2,260,000 COMM 2006-C8 Mortgage Trust 477,975 HSI Asset Securitization Corp Trust 2005-I1 5.377% 10-Dec-2046 2,244,882 1.03 0.712% 25-Nov-2035 FRN 452,236 0.21 1,350,000 COMM 2015-CCRE23 Mortgage Trust 575,000 Hub Holdings LLC / Hub Holdings Finance Inc 3.685% 10-May-2048 VAR 1,254,763 0.58 8.125% 15-Jul-2019 537,625 0.25 200,000 Continental Resources Inc 3.800% 01-Jun-2024 140,890 0.06 1,095,000 HUB International Ltd 7.875% 01-Oct-2021 985,500 0.45 155,000 Continental Resources Inc 5.000% 15-Sep-2022 115,475 0.05 841,231 Impac CMB Trust Series 2004-7 605,000 Credit Suisse Mort 4.373% 15-Sep-2037 548,748 0.25 1.427% 25-Nov-2034 FRN 727,306 0.33 900,000 CSMC 2014-Usax D 0.010% 15-Sep-2037 861,118 0.40 1,175,000 Infor Software Parent LLC / Infor Software Parent Inc 1,200,000 Drive Auto Receivables Trust 3.380% 15-Nov-2021 1,195,014 0.55 7.125% 01-May-2021 853,344 0.39 900,000 Drive Auto Receivables Trust 3.840% 15-Jul-2021 883,673 0.41 600,000 Infor US Inc 6.500% 15-May-2022 508,500 0.23 800,000 Drive Auto Receivables Trust 4.590% 17-Jan-2023 797,684 0.37 1,945,000 JBS USA LLC / JBS USA Finance Inc 790,000 Drive Auto Receivables Trust 2015-C 5.750% 15-Jun-2025 1,701,875 0.78 3.010% 17-May-2021 782,243 0.36 85,000 JP Morgan Chase Commercial Mortgage Securities 600,000 Drive Auto Receivables Trust 2015-C Trust 2006-CIBC17 5.464% 12-Dec-2043 85,588 0.04 4.200% 15-Sep-2021 595,959 0.27 850,000 JP Morgan Chase Commercial Mortgage Securities 75,000 Dynegy Inc 6.750% 01-Nov-2019 70,875 0.03 Trust 2006-LDP9 5.372% 15-May-2047 865,028 0.40 1,095,000 Dynegy Inc 7.375% 01-Nov-2022 958,125 0.44 925,000 JP Morgan Chase Commercial Mortgage Securities 550,000 Dynegy Inc 7.625% 01-Nov-2024 472,313 0.22 Trust 2007-LDP10 5.464% 15-Jan-2049 VAR 943,242 0.43 1,475,000 Endo Finance LLC / Endo Ltd / Endo Finco Inc 840,000 JP Morgan Chase Commercial Mortgage Securities 6.000% 15-Jul-2023 1,478,687 0.68 Trust 2007-LDP12 6.009% 15-Feb-2051 VAR 849,440 0.39 1,000,000 Ensemble S Merger Sub Inc 9.000% 30-Sep-2023 963,750 0.44 1,085,000 JP Morgan Chase Commercial Mortgage Securities 500,000 Fannie Mae Connecticut Avenue Securities Trust 2014-Inn 3.931% 15-Jun-2029 FRN 1,079,643 0.50 5.422% 25-Jul-2025 FRN 498,053 0.23 220,000 Kinder Morgan Inc 5.300% 01-Dec-2034 174,199 0.08 845,000 First Data Corp 7.000% 01-Dec-2023 848,794 0.39 250,000 Kinder Morgan Inc 5.550% 01-Jun-2045 194,838 0.09 475,000 Ford Credit Floorplan Master Owner Trust A 400,000 Kinder Morgan Inc 7.800% 01-Aug-2031 375,455 0.17 2.730% 15-Sep-2019 478,851 0.22 358,000 Kraft Heinz Foods Co 4.875% 15-Feb-2025 379,485 0.17 1,025,000 Ford Motor Credit Co LLC 2.551% 05-Oct-2018 1,017,520 0.47 1,150,000 Laredo Petroleum Inc 5.625% 15-Jan-2022 1,006,250 0.46 250,000 Freddie Mac Structured Agency 80,000 Laredo Petroleum Inc 7.375% 01-May-2022 74,000 0.03 Credit Risk Debt Notes 4.572% 25-Jan-2025 FRN 246,769 0.11 1,200,000 LB-UBS Commercial Mortgage Trust 2007-C7 670,000 Freeport-McMoRan Inc 4.550% 14-Nov-2024 391,950 0.18 6.242% 15-Sep-2045 VAR 1,238,418 0.57 2,129,000 Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc 425,000 Liberty Mutual Group Inc 6.500% 01-May-2042 483,398 0.22 6.875% 15-Feb-2023 1,346,592 0.62 235,644 Mastr Asset Backed Securities Trust 2006-AM2 300,000 Frontier Communications Corp 0.592% 25-Jun-2036 FRN 190,996 0.09 6.250% 15-Sep-2021 255,750 0.12 1,680,000 Merrill Lynch Mortgage Trust 2006-C1 125,000 Frontier Communications Corp 5.666% 12-May-2039 VAR 1,676,545 0.77 10.500% 15-Sep-2022 125,313 0.06 1,350,000 ML-CFC Commercial Mortgage Trust 2006-4 2,350,000 General Electric Capital Corp 5.239% 12-Dec-2049 1,339,580 0.62 6.375% 15-Nov-2067 VAR 2,459,980 1.13 310,000 ML-CFC Commercial Mortgage Trust 2007-9 680,000 General Motors Co 5.200% 01-Apr-2045 639,115 0.29 6.193% 12-Sep-2049 VAR 309,492 0.14 695,000 General Motors Financial Co Inc 1,000,000 Morgan Stanley 3.950% 23-Apr-2027 971,599 0.45 1.881% 15-Jan-2020 FRN 684,483 0.31 815,000 Morgan Stanley Capital I Trust 2007-IQ14 600,000 General Motors Financial Co Inc 3.100% 15-Jan-2019 599,166 0.28 5.681% 15-Apr-2049 VAR 829,805 0.38 790,000 Genesis Energy LP / Genesis Energy Finance Corp 725,000 Morgan Stanley Capital I Trust 2007-IQ15 6.750% 01-Aug-2022 671,500 0.31 5.917% 11-Jun-2049 VAR 723,755 0.33 2,300,000 Georgetown University 0.427% 01-Apr-2029 2,107,375 0.97 500,000 Neiman Marcus Group Ltd LLC 775,000 Glencore Funding LLC 1.681% 15-Jan-2019 FRN 641,537 0.30 8.000% 15-Oct-2021 375,000 0.17 150,000 Glencore Funding LLC 2.125% 16-Apr-2018 131,550 0.06 700,000 Newfi eld Exploration Co 5.750% 30-Jan-2022 623,000 0.29 200,000 Glencore Funding LLC 4.000% 16-Apr-2025 137,000 0.06 245,000 Noble Energy Inc 5.050% 15-Nov-2044 197,554 0.09 350,000 GM Financial Automobile Leasing Trust 2015-1 155,000 Noble Energy Inc 5.250% 15-Nov-2043 123,074 0.06 3.010% 20-Mar-2020 346,378 0.16 550,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 368,500 0.17 1,000,000 GM Financial Automobile Leasing Trust 2015-3 465,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 311,550 0.14 2.980% 20-Nov-2019 991,880 0.46 1,250,000 NRG Energy Inc 6.250% 15-Jul-2022 1,071,250 0.49 175,245 Government National Mortgage Association 1,130,000 NRG Energy Inc 6.250% 01-May-2024 955,076 0.44 0.444% 16-May-2051 VAR 6,478 0.00 1,548,452 RALI Series 2005-QS7 Trust 5,245,778 Government National Mortgage Association 5.500% 25-Jun-2035 1,385,908 0.64 0.573% 16-Feb-2053 VAR 240,335 0.11 2,000,000 Santander Drive Auto Receivables Trust 2014-2 168,270 Government National Mortgage Association 2.760% 18-Feb-2020 1,991,983 0.92 0.713% 16-Apr-2042 VAR 6,093 0.00 1,650,000 Santander Drive Auto Receivables Trust 2014-3 630,000 Hewlett Packard Enterprise Co 6.350% 15-Oct-2045 598,453 0.28 2.650% 17-Aug-2020 1,642,752 0.76

131 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Leveraged loans contd. United States of America contd. United States of America contd. 580,000 Santander Drive Auto Receivables Trust 2014-4 463,838 Family Tree Escrow LLC 0.000% 09-Mar-2022 463,258 0.21 3.100% 16-Nov-2020 580,171 0.27 370,232 Hilton Worldwide Finance LLC 0.000% 25-Oct-2020 370,000 0.17 1,600,000 Santander Drive Auto Receivables Trust 2014-5 422,872 Ineos U.S. Finance LLC 0.000% 15-Dec-2020 405,956 0.19 3.210% 15-Jan-2021 1,603,896 0.74 650,000 Univar USA Inc 4.250% 01-Jul-2022 631,719 0.29 275,000 Santander Drive Auto Receivables Trust 2015-1 445,000 Valeant Pharmaceuticals International 3.240% 15-Apr-2021 274,597 0.13 0.000% 13-Feb-2019 429,147 0.20 800,000 Santander Drive Auto Receivables Trust 2015-2 2.440% 15-Apr-2021 791,651 0.36 Total investments in leveraged loans 6,358,313 2.92 1,000,000 Santander Drive Auto Receivables Trust 2015-3 3.490% 17-May-2021 991,619 0.46 Future options - 131,100 1,250,000 Santander Drive Auto Receivables Trust 2015-4 (31 December 2014: 167,391) 3.530% 16-Aug-2021 1,239,325 0.57 437 Euro Dollar 1 Year Mid-Curve Put 1,255,000 Scientifi c Games International Inc 11-Mar-2016 98.620 131,100 0.06 10.000% 01-Dec-2022 897,325 0.41 Total future options 131,100 0.06 925,000 Springleaf Funding Trust 3.160% 15-Nov-2024 918,931 0.42 400,000 Springleaf Funding Trust 3.620% 15-Nov-2024 395,932 0.18 Interest rate swaps - 54,404 700,000 Springleaf Funding Trust 2014-A (31 December 2014: 174,687) 2.410% 15-Dec-2022 698,202 0.32 8,000,000 IRS Pays Fixed 1.332% US Dollar Infl ation Linked 600,000 Sprint Corp 7.875% 15-Sep-2023 451,500 0.21 02-Oct-2020 52,530 0.02 1,025,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 942,359 0.43 4,000,000 IRS Pays Fixed 1.552% US Dollar 23-Nov-2020 1,874 0.00 735,000 T-Mobile USA Inc 6.500% 15-Jan-2026 742,350 0.34 580,000 T-Mobile USA Inc 6.625% 01-Apr-2023 593,050 0.27 Total interest rate swaps 54,404 0.02 1,955,000 Unit Corp 6.625% 15-May-2021 1,417,375 0.65 1,150,000 United Rentals North America Inc Underlying Fair Total 5.500% 15-Jul-2025 1,125,562 0.52 exposure value net assets 2,315,000 United States Treasury Bill 0.000% 11-Feb-2016* 2,314,717 1.07 Holdings Description USD USD % 2,830,000 United States Treasury Bill 0.000% 31-Mar-2016*^ 2,828,813 1.30 1,325,000 United States Treasury Note/Bond Open futures contracts - 503,275 4.500% 15-Feb-2036 1,694,007 0.78 (31 December 2014: 411,353) 850,000 Volkswagen Group of America Finance LLC 1,002 Australian 3 Year Bond 1.250% 23-May-2017 829,794 0.38 Long Futures Contracts 50,000 Wachovia Bank Commercial Mortgage Trust Exp Mar-2016 81,667,820 167,663 0.08 Series 2006-C24 5.658% 15-Mar-2045 VAR 49,912 0.02 71 Euro-BTP 1,607,670 Wachovia Bank Commercial Mortgage Trust Long Futures Contracts Series 2006-C29 5.368% 15-Nov-2048 VAR 1,594,353 0.73 Exp Mar-2016 10,650,435 66,392 0.03 760,000 Wachovia Bank Commercial Mortgage Trust (93) U.S. 10 Year Treasury Note Series 2007-C32 5.713% 15-Jun-2049 VAR 761,018 0.35 Short Futures Contracts 1,525,000 Wells Fargo & Co 4.300% 22-Jul-2027 1,556,132 0.72 Exp Mar-2016 (11,681,672) 36,572 0.02 837,900 Wendy’s Funding LLC 2015-1 4.080% 15-Jun-2045 830,956 0.38 (597) U.S. 2 Year Treasury Note Total investments in bonds 206,698,595 95.05 Short Futures Contracts Exp Mar-2016 (129,660,937) 151,473 0.07 (61) U.S. 5 Year Treasury Note Leveraged loans Short Futures Contracts Luxembourg - 321,547 Exp Mar-2016 (7,208,961) 21,830 0.01 (31 December 2014: –) 321,547 0.15 (13) U.S. Ultra Bond 325,000 Endo Luxembourg Finance I Co Sarl Short Futures Contracts 3.750% 11-Jun-2022 321,547 0.15 Exp Mar-2016 (2,049,938) 11,457 0.00 (62) UK Long Gilt Singapore - 618,403 Short Futures Contracts (31 December 2014: –) 618,403 0.28 Exp Mar-2016 (10,736,939) 47,888 0.02 625,000 Avago Technologies Cayman Finance Ltd 0.000% 13-Nov-2022 618,403 0.28 Total open futures contracts 503,275 0.23

United States of America - 5,418,363 Unrealised gain on forward foreign currency contracts - 736,689 (see below) (31 December 2014: 357,500) 5,418,363 2.49 (31 December 2014: 2,048,490) 736,689 0.34 421,309 Avago Technologies Ltd 3.750% 16-Apr-2021 420,914 0.19 931,828 Capital Automotive LP 0.000% 10-Apr-2019 932,022 0.43 Total fi nancial assets 919,785 Carestream Health Inc 0.000% 07-Jun-2019 846,586 0.39 at fair value through profi t or loss 214,482,376 98.62 925,316 Catalent Pharma Solutions Inc 4.250% 19-May-2021 918,761 0.42

132 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Credit default swaps - (1,324,238) Unrealised loss on forward foreign currency contracts - (1,363,201) (see below) (31 December 2014: (42,719)) (31 December 2014: (937,092)) (1,363,201) (0.63) (23,700,000) CDS Markit CMBX Index Series 7 3.000% 17-Jan-2047 (1,324,238) (0.61) Total fi nancial liabilities at fair value through profi t or loss (3,064,291) (1.41) Total credit default swaps (1,324,238) (0.61) Net current assets 6,050,392 2.79 Currency options - (268,691) (31 December 2014: –) Total net assets 217,468,477 100.00 (2,940,000) Australian dollar/New Zealand dollar Call * Part of the holding is held as collateral by JPMorgan Chase in respect of options and futures contracts held 07-Jan-2016 1.120 (1) (0.00) by the Fund. (2,940,000) Australian dollar/New Zealand dollar Put ^ Part of the holding is held as collateral by [a] Goldman Sachs in respect of credit default swaps, interest 07-Jan-2016 1.050 (271) (0.00) rate swaps and forward foreign exchange contracts held by the Fund, [b] Morgan Stanley in respect of credit (2,140,000) Chilean peso/US dollar Put 15-Jan-2016 650.000 (8) (0.00) default swaps held by the Fund, [c] UBS in respect of forward foreign exchange contracts held by the Fund (2,100,000) Colombian peso/US dollar Call and [d] Citigroup. 07-Jan-2016 3,200.000 (14,541) (0.01) The counterparties for currency options are JPMorgan Chase, Goldman Sachs, Barclays Bank and Citigroup. The counterparty for future options is JPMorgan Chase. (1,990,000) Euro/Swedish krona Call 01-Feb-2016 9.500 (1,585) (0.00) The counterparty for futures contracts is JPMorgan Chase. (4,400,000) Euro/US dollar Call 04-Mar-2016 1.130 (17,902) (0.01) The counteparties for credit default swaps are Morgan Stanley and Goldman Sachs. (2,200,000) Korean won/US dollar Put 27-Jan-2016 1,100.000 (190) (0.00) The counteparties for interest rate swaps are Goldman Sachs and JPMorgan Chase. (2,100,000) Mexican peso/US dollar Put 11-Jan-2016 16.100 (5) (0.00) (2,200,000) US dollar/Brazilian real Call 23-Feb-2016 4.400 (22,198) (0.01) (2,200,000) US dollar/Brazilian real Put 23-Feb-2016 3.500 (2,757) (0.00) Analysis of portfolio % of Total assets (4,400,000) US dollar/Euro Put 04-Mar-2016 1.060 (28,849) (0.01) Transferable securities and money market instruments admitted (2,200,000) US dollar/Hungarian forint Call to offi cial stock exchange listing or traded on a regulated market 92.24 05-Feb-2016 302.000 (6,389) (0.00) Transferable securities and money market instruments other than those (2,200,000) US dollar/Korean won Call 11-Feb-2016 1,210.000 (10,944) (0.01) admitted to offi cial stock exchange listing or traded on a regulated market 2.84 (2,100,000) US dollar/Malaysian ringgit Put 15-Jan-2016 4.400 (5,647) (0.00) Financial derivative instruments dealt in on a regulated market 0.28 (2,100,000) US dollar/South African rand Call OTC fi nancial derivative instruments 0.35 21-Jan-2016 14.500 (155,300) (0.07) Other current assets 4.29 (2,100,000) US dollar/Turkish lira Call 20-Jan-2016 3.100 (2,104) (0.00) Total assets 100.00 Total currency options (268,691) (0.12)

Future options - (81,938) (31 December 2014: (236,805)) (437) Euro Dollar 1 Year Mid-Curve Call 11-Mar-2016 99.000 (10,925) (0.01) (437) Euro Dollar 1 Year Mid-Curve Put 11-Mar-2016 98.500 (71,013) (0.03)

Total future options (81,938) (0.04)

Underlying Fair Total exposure value net assets Holdings Description USD USD %

Open futures contracts - (26,223) (31 December 2014: (297,804)) (101) Euro-Bund Short Futures Contracts Exp Mar-2016 (17,383,359) (26,223) (0.01)

Total open futures contracts (26,223) (0.01)

133 BNY MELLON GLOBAL OPPORTUNISTIC BOND FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Opportunistic Bond Fund BNY Mellon Global Opportunistic Bond Fund US dollar Euro 9,979 9,096 04-Jan-16 The Bank of EUR H (Hedged) Share Class New York Mellon 71 Euro US dollar 49,988 54,437 15-Jan-16 The Bank of Australian dollar US dollar 597,534 434,967 05-Jan-16 Goldman Sachs 1,928 New York Mellon 27 Chilean peso US dollar 2,052,880,000 2,870,358 29-Jan-16 JPMorgan Chase 16,975 Indian rupee US dollar 348,080,000 5,201,707 29-Jan-16 Citigroup 41,051 USD 27 Indian rupee US dollar 232,245,000 3,481,673 29-Jan-16 Nomura 16,386 US dollar Euro 2,894,104 2,636,000 29-Jan-16 Goldman Sachs 21,021 EUR 25 US dollar Euro 3,316,333 3,021,000 29-Jan-16 JPMorgan Chase 23,622 US dollar Euro 1,483,473 1,351,000 29-Jan-16 Credit Suisse Euro US dollar 6,627 7,244 15-Jan-16 The Bank of First Boston 10,963 New York Mellon (24) US dollar Euro 4,363,253 3,974,000 29-Jan-16 UBS 31,829 Euro US dollar 1,454,974 1,601,148 15-Jan-16 The Bank of US dollar Korean won 7,008,342 8,216,580,000 29-Jan-16 JPMorgan Chase 25,687 New York Mellon (15,870) US dollar Mexican peso 3,415,627 57,485,000 29-Jan-16 Bank of America US dollar Euro 4,754 4,393 15-Jan-16 The Bank of Securities Ltd 112,807 New York Mellon (33) US dollar Russian rouble 264,052 17,440,000 29-Jan-16 HSBC Bank Plc 29,509 US dollar Russian rouble 425,239 28,070,000 29-Jan-16 JPMorgan Chase 47,736 USD (15,927) US dollar Russian rouble 665,477 43,835,000 29-Jan-16 JPMorgan Chase 75,958 US dollar South African rand 2,042,068 29,910,000 29-Jan-16 JPMorgan Chase 132,697 EUR (14,622) US dollar South African rand 1,200,356 17,255,000 29-Jan-16 JPMorgan Chase 98,845 US dollar Sterling 1,122,934 755,000 29-Jan-16 JPMorgan Chase 4,059 Net USD (15,900) US dollar Taiwanese dollar 5,396,341 177,000,000 29-Jan-16 Citigroup 27,186 US dollar Taiwanese dollar 1,621,612 53,436,000 29-Jan-16 JPMorgan Chase 673 Net EUR (14,597) US dollar Peruvian nuevo sol 2,391,825 8,485,000 21-Oct-16 JPMorgan Chase 14,887 US dollar Peruvian nuevo sol 1,586,768 5,660,000 21-Oct-16 JPMorgan Chase 1,208 BNY Mellon Global Opportunistic Bond Fund EUR I (Hedged) Share Class USD 735,098 US dollar Euro 9,948 9,105 05-Jan-16 The Bank of New York Mellon 30 Euro US dollar 9,105 9,948 05-Jan-16 The Bank of Euro US dollar 88,193 96,043 15-Jan-16 The Bank of New York Mellon (30) New York Mellon 48 Mexican peso US dollar 38,025,000 2,186,796 29-Jan-16 Deutsche Bank (2,057) US dollar Euro 9,929 9,096 15-Jan-16 The Bank of New York Mellon 19 Mexican peso US dollar 36,035,000 2,071,173 29-Jan-16 Deutsche Bank (770) US dollar Euro 120,833 109,553 15-Jan-16 The Bank of Norwegian krone US dollar 34,265,000 3,917,119 29-Jan-16 UBS (31,394) New York Mellon 1,467 Russian rouble US dollar 89,345,000 1,309,084 29-Jan-16 Credit Suisse (107,519) South African rand US dollar 46,710,000 3,098,302 29-Jan-16 JPMorgan Chase (116,467) USD 1,564 US dollar Australian dollar 436,245 600,000 29-Jan-16 Goldman Sachs (1,924) US dollar Australian dollar 11,680,811 16,150,000 29-Jan-16 Bank of America EUR 1,437 Securities Ltd (113,233) US dollar Canadian dollar 3,115,589 4,345,000 29-Jan-16 UBS (12,749) Euro US dollar 9,096 9,979 04-Jan-16 The Bank of US dollar Hungarian forint 1,043,957 305,065,000 29-Jan-16 JPMorgan Chase (9,409) New York Mellon (71) US dollar Hungarian forint 1,155,910 340,300,000 29-Jan-16 JPMorgan Chase (19,119) Euro US dollar 9,105 9,946 15-Jan-16 The Bank of US dollar Malaysian ringgit 1,618,950 7,125,000 29-Jan-16 JPMorgan Chase (38,284) New York Mellon (25) US dollar New Zealand dollar 10,092,600 15,000,000 29-Jan-16 UBS (154,749) Euro US dollar 5,212,050 5,735,679 15-Jan-16 The Bank of US dollar Polish zloty 4,226,681 16,910,000 29-Jan-16 JPMorgan Chase (90,339) New York Mellon (56,852) US dollar South African rand 1,023,839 16,420,000 29-Jan-16 Deutsche Bank (24,368) US dollar South African rand 1,036,992 16,660,000 29-Jan-16 JPMorgan Chase (26,536) USD (56,948) US dollar Taiwanese dollar 1,611,004 53,389,000 29-Jan-16 JPMorgan Chase (8,509) EUR (52,283) US dollar Taiwanese dollar 3,231,281 106,810,000 29-Jan-16 Barclays Bank plc (8,716) US dollar Thai baht 2,204,768 80,000,000 29-Jan-16 Bank of America Securities Ltd (16,863) Net USD (55,384) US dollar Turkish lira 2,165,992 6,420,000 29-Jan-16 Citigroup (15,727) Net EUR (50,846) USD (798,762)

Net USD (63,664) BNY Mellon Global Opportunistic Bond Fund Sterling I Acc (Hedged) Share Class Sterling US dollar 14,464,261 21,926,113 15-Jan-16 The Bank of New York Mellon (491,564)

USD (491,564)

GBP (331,723)

134 BNY MELLON GLOBAL OPPORTUNITIES FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Equities contd. France - 5,893,228 United Kingdom - 14,235,889 (31 December 2014: –) 5,893,228 4.16 (31 December 2014: 8,251,452) 14,235,889 10.04 5,410,298 France Treasury Bill BTF 0.000% 06-Jan-2016 5,893,228 4.16 53,499 British American Tobacco Plc 2,993,717 2.11 1,115,862 Centrica Plc 3,588,183 2.53 United States of America - 910,589 209,628 John Wood Group Plc 1,908,866 1.35 (31 December 2014: 6,726,958) 910,589 0.64 54,010 Johnson Matthey Plc 2,140,929 1.51 910,700 United States Treasury Bill 0.000% 11-Feb-2016 910,589 0.64 65,594 Wolseley Plc 3,604,194 2.54

Total investments in bonds 6,803,817 4.80 United States of America - 72,501,570 (31 December 2014: 44,263,259) 72,501,570 51.11 Equities 38,572 Accenture Plc 4,084,003 2.88 Canada - 1,652,606 5,424 Alphabet Inc 4,285,665 3.02 (31 December 2014: 1,947,119) 1,652,606 1.16 24,877 Apple Inc 2,669,675 1.88 64,182 Suncor Energy Inc 1,652,606 1.16 41,022 CH Robinson Worldwide Inc 2,557,927 1.80 61,121 Citigroup Inc 3,196,323 2.25 China - 1,635,837 136,752 Discovery Communications Inc 3,632,817 2.56 (31 December 2014: –) 1,635,837 1.15 34,356 Dollar General Corp 2,477,239 1.75 8,514 Baidu Inc ADR 1,635,837 1.15 58,531 Emerson Electric Co 2,840,802 2.00 21,821 Equifax Inc 2,460,209 1.74 France - 4,059,196 47,009 Express Scripts Holding Co 4,130,211 2.91 (31 December 2014: 1,801,240) 4,059,196 2.86 34,407 Hershey Co/The 3,116,758 2.20 188,426 Vivendi SA 4,059,196 2.86 31,340 Intuit Inc 3,079,782 2.17 80,557 Mattel Inc 2,210,887 1.56 Germany - 7,241,996 41,689 Medtronic Plc 3,231,523 2.28 (31 December 2014: 7,815,881) 7,241,996 5.11 62,685 Merck & Co Inc 3,337,663 2.35 18,025 Bayer AG 2,280,950 1.61 79,073 Microsoft Corp 4,452,996 3.14 21,115 Brenntag AG 1,117,489 0.79 51,534 Stratasys Ltd 1,235,528 0.87 47,927 SAP AG 3,843,557 2.71 38,424 TJX Cos Inc 2,742,129 1.93 183,199 Trimble Navigation Ltd 3,975,418 2.80 Hong Kong - 2,821,835 45,700 TripAdvisor Inc 3,937,512 2.78 (31 December 2014: 1,861,910) 2,821,835 1.99 16,531 United Technologies Corp 1,601,523 1.13 468,600 AIA Group Ltd 2,821,835 1.99 27,393 Walgreens Boots Alliance Inc 2,366,618 1.67 18,922 Walt Disney Co/The 2,012,071 1.42 Israel - 3,552,137 38,836 Yum! Brands Inc 2,866,291 2.02 (31 December 2014: 3,100,434) 3,552,137 2.51 283,064 Bank Hapoalim BM 1,444,994 1.02 Total investments in equities 129,517,451 91.31 31,895 Teva Pharmaceutical Industries Ltd ADR 2,107,143 1.49

Unrealised gain on forward foreign currency contracts - 536 (see below) Japan - 4,734,802 (31 December 2014: 835) 536 0.00 (31 December 2014: 3,195,230) 4,734,802 3.34 92,800 Japan Tobacco Inc 3,448,828 2.43 Total fi nancial assets 29,100 Suntory Beverage & Food Ltd 1,285,974 0.91 at fair value through profi t or loss 136,321,804 96.11

Netherlands - 5,517,144 Unrealised loss on forward foreign currency contracts - (76,579) (see below) (31 December 2014: 4,064,508) 5,517,144 3.89 (31 December 2014: (19,826)) (76,579) (0.05) 258,519 RELX NV 4,386,499 3.09 33,264 Wolters Kluwer NV 1,130,645 0.80 Total fi nancial liabilities at fair value through profi t or loss (76,579) (0.05) Norway - 2,827,667 (31 December 2014: –) 2,827,667 1.99 Net current assets 5,594,975 3.94 227,137 DNB ASA 2,827,667 1.99 Total net assets 141,840,200 100.00 Switzerland - 8,736,772 (31 December 2014: 6,599,012) 8,736,772 6.16 41,126 Nestle SA 3,087,503 2.18 28,134 Novartis AG 2,459,088 1.73 Analysis of portfolio % of Total assets 11,461 Roche Holding AG 3,190,181 2.25 Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 95.02 OTC fi nancial derivative instruments 0.00 Other current assets 4.98

Total assets 100.00

135 BNY MELLON GLOBAL OPPORTUNITIES FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Opportunities Fund Euro US dollar 116,396 127,161 04-Jan-16 Barclays Bank plc (377)

USD (377)

BNY Mellon Global Opportunities Fund EUR H (Hedged) Share Class Euro US dollar 12,527 13,718 15-Jan-16 The Bank of New York Mellon (69) Euro US dollar 4,445,401 4,892,008 15-Jan-16 The Bank of New York Mellon (48,490)

USD (48,559)

EUR (44,580)

BNY Mellon Global Opportunities Fund EUR I (Hedged) Share Class Euro US dollar 9,872 10,751 15-Jan-16 The Bank of New York Mellon 5 Euro US dollar 49,504 53,574 15-Jan-16 The Bank of New York Mellon 363 Euro US dollar 8,990 9,743 15-Jan-16 The Bank of New York Mellon 52 US dollar Euro 26,043 23,841 15-Jan-16 The Bank of New York Mellon 66 US dollar Euro 1,296 1,183 15-Jan-16 The Bank of New York Mellon 8 US dollar Euro 4,228 3,842 15-Jan-16 The Bank of New York Mellon 42

USD 536

EUR 492

Euro US dollar 23,841 26,036 05-Jan-16 The Bank of New York Mellon (66) Euro US dollar 1,027 1,121 15-Jan-16 The Bank of New York Mellon (2) Euro US dollar 2,006 2,202 15-Jan-16 The Bank of New York Mellon (17) Euro US dollar 2,473,221 2,721,693 15-Jan-16 The Bank of New York Mellon (26,977) Euro US dollar 1,068 1,169 15-Jan-16 The Bank of New York Mellon (6) Euro US dollar 25,487 28,112 15-Jan-16 The Bank of New York Mellon (342) Euro US dollar 14,767 16,289 15-Jan-16 The Bank of New York Mellon (199) Euro US dollar 9,213 10,071 15-Jan-16 The Bank of New York Mellon (34)

USD (27,643)

EUR (25,378)

Net USD (27,107)

Net EUR (24,886)

136 BNY MELLON GLOBAL PROPERTY SECURITIES FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities Equities contd. Australia - 815,567 Netherlands - 72,245 (31 December 2014: 660,679) 815,567 5.82 (31 December 2014: 58,624) 72,245 0.52 21,190 Goodman Group 89,473 0.64 1,390 Wereldhave NV 72,245 0.52 42,730 GPT Group 137,253 0.98 80,890 Mirvac Group 107,651 0.77 Norway - 32,368 72,990 Scentre Group 205,298 1.46 (31 December 2014: 19,156) 32,368 0.23 49,780 Stockland 137,343 0.98 4,370 Entra ASA 144A 32,368 0.23 21,680 Westfi eld Corp 138,549 0.99 Singapore - 238,221 Canada - 300,366 (31 December 2014: 414,153) 238,221 1.70 (31 December 2014: 304,523) 300,366 2.14 41,100 CapitaLand Ltd 89,553 0.64 3,790 Allied Properties Real Estate Investment Trust 80,085 0.57 50,800 CapitaLand Mall Trust 63,922 0.46 6,610 Dream Offi ce Real Estate Investment Trust 77,679 0.55 68,000 Keppel REIT Management Ltd 41,182 0.29 2,490 RioCan Real Estate Investment Trust 39,910 0.29 37,600 Mapletree Greater China Commercial Trust 22,405 0.16 5,070 Smart Real Estate Investment Trust 102,692 0.73 21,399 Mapletree Industrial Trust 21,159 0.15

Finland - 121,858 Spain - 59,531 (31 December 2014: 85,734) 121,858 0.87 (31 December 2014: –) 59,531 0.42 28,370 Citycon OYJ 68,145 0.49 92,010 Inmobiliaria Colonial SA 59,531 0.42 13,650 Sponda OYJ 53,713 0.38 Sweden - 176,290 France - 504,880 (31 December 2014: 171,016) 176,290 1.26 (31 December 2014: 371,353) 504,880 3.60 10,330 Kungsleden AB 68,205 0.49 850 Fonciere Des Regions 70,898 0.51 5,770 Wihlborgs Fastigheter AB 108,085 0.77 3,920 Klepierre 160,338 1.14 1,160 Unibail-Rodamco SE 273,644 1.95 Switzerland - 99,308 (31 December 2014: –) 99,308 0.71 Germany - 499,871 1,220 PSP Swiss Property AG 99,308 0.71 (31 December 2014: 271,815) 499,871 3.57 7,750 Alstria Offi ce REIT-AG 95,945 0.69 United Kingdom - 927,264 6,365 Deutsche Wohnen AG 163,994 1.17 (31 December 2014: 703,297) 927,264 6.61 8,360 Vonovia SE 239,932 1.71 75,880 Assura Plc 57,034 0.41 18,734 British Land Co Plc 200,641 1.43 Hong Kong - 1,010,772 14,080 Capital & Counties Properties Plc 84,588 0.60 (31 December 2014: 756,202) 1,010,772 7.21 6,382 Great Portland Estates Plc 72,041 0.51 40,000 Cheung Kong Property Holdings Ltd 240,088 1.71 16,887 Land Securities Group 272,352 1.94 12,000 Henderson Land Development Co Ltd 67,549 0.48 11,992 Safestore Holdings Plc 58,340 0.42 16,700 Hongkong Land Holdings Ltd 107,398 0.77 6,940 Shaftesbury Plc 86,814 0.62 18,500 Link REIT 101,673 0.73 20,300 Tritax Big Box REIT Plc 35,639 0.25 82,000 New World Development Co Ltd 74,544 0.53 6,710 Unite Group Plc 59,815 0.43 24,000 Sun Hung Kai Properties Ltd 266,644 1.90 18,800 Swire Properties Ltd 49,935 0.36 United States of America - 7,563,189 20,200 Wharf Holdings Ltd 102,941 0.73 (31 December 2014: 5,972,094) 7,563,189 53.94 5,200 Apartment Investment & Management Co 192,532 1.37 Japan - 1,450,367 2,340 AvalonBay Communities Inc 398,074 2.84 (31 December 2014: 1,302,403) 1,450,367 10.35 3,480 Boston Properties Inc 410,891 2.93 9 Activia Properties Inc 35,175 0.25 8,110 Brandywine Realty Trust 102,227 0.73 24 Invincible Investment Corp 12,913 0.09 1,950 Camden Property Trust 138,617 0.99 31 Japan Excellent Inc 31,442 0.23 3,460 Care Capital Properties Inc 97,566 0.70 134 Japan Hotel REIT Investment Corp 91,613 0.66 2,070 Chesapeake Lodging Trust 48,707 0.35 25 Japan Logistics Fund Inc 44,717 0.32 4,160 CyrusOne Inc 143,962 1.03 74 Japan Rental Housing Investments Inc 48,109 0.34 1,700 Digital Realty Trust Inc 120,050 0.86 22 Kenedix Offi ce Investment Corp 95,127 0.68 10,720 Duke Realty Corp 208,790 1.49 23 Kenedix Residential Investment Corp 52,234 0.37 8,820 Empire State Realty Trust Inc 146,116 1.04 23 Kenedix Retail REIT Corp 44,648 0.32 3,040 Equity Residential 228,576 1.63 5,000 Mitsubishi Estate Co Ltd 96,298 0.69 1,590 Essex Property Trust Inc 355,259 2.53 16,000 Mitsui Fudosan Co Ltd 373,128 2.66 5,770 First Industrial Realty Trust Inc 118,472 0.84 33 Nippon Building Fund Inc 145,459 1.04 5,670 General Growth Properties Inc 142,654 1.02 46 Orix JREIT Inc 54,935 0.39 4,520 Highwoods Properties Inc 182,896 1.30 9,000 Sumitomo Realty & Development Co Ltd 238,745 1.70 21,530 Host Hotels & Resorts Inc 311,609 2.22 8,500 Tokyo Tatemono Co Ltd 85,824 0.61 7,500 Hudson Pacifi c Properties Inc 194,893 1.39

137 BNY MELLON GLOBAL PROPERTY SECURITIES FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description EUR % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Equities contd. BNY Mellon Global Property Securities Fund United States of America contd. Hong Kong dollar US dollar 40,000 5,161 04-Jan-16 Deutsche Bank (1) 1,340 Kilroy Realty Corp 78,635 0.56 6,060 Kimco Realty Corp 148,544 1.06 EUR (1) 2,300 LaSalle Hotel Properties 54,383 0.39 4,470 Liberty Property Trust 129,083 0.92 BNY Mellon Global Property Securities Fund 3,010 National Retail Properties Inc 110,935 0.79 Sterling I (Inc) (Hedged) Share Class 5,830 Prologis Inc 231,380 1.65 Sterling Euro 126,265 174,077 15-Jan-16 The Bank of 1,260 PS Business Parks Inc 102,795 0.73 New York Mellon (2,345) 1,510 Public Storage 347,095 2.48 5,490 Ramco-Gershenson Properties Trust 84,700 0.60 EUR (2,345) 1,660 Regency Centers Corp 104,957 0.75 7,320 Senior Housing Properties Trust 100,770 0.72 GBP (1,724) 4,260 Simon Property Group Inc 763,143 5.44 1,160 Sovran Self Storage Inc 116,027 0.83 11,580 Spirit Realty Capital Inc 106,152 0.76 BNY Mellon Global Property Securities Fund 5,720 STORE Capital Corp 122,408 0.87 Sterling J (Acc) (Hedged) Share Class 5,750 Sunstone Hotel Investors Inc 66,962 0.48 Euro Sterling 915 673 05-Jan-16 The Bank of New York Mellon - 4,640 Urban Edge Properties 101,170 0.72 Sterling Euro 673 914 15-Jan-16 The Bank of 5,150 Ventas Inc 267,677 1.91 New York Mellon 1 2,300 Vornado Realty Trust 213,604 1.52 4,320 Washington Real Estate Investment Trust 108,848 0.78 EUR 1 5,890 Weingarten Realty Investors 188,583 1.34 7,550 Welltower Inc 473,447 3.38 GBP 1

Total investments in equities 13,872,097 98.95 Sterling Euro 180,353 248,646 15-Jan-16 The Bank of New York Mellon (3,351) Unrealised gain on forward foreign currency contracts - 1 (see below) (31 December 2014: 2,493) 1 0.00 EUR (3,351)

Total fi nancial assets GBP (2,462) at fair value through profi t or loss 13,872,098 98.95 Net EUR (3,350) Unrealised loss on forward foreign currency contracts - (6,487) (see below) (31 December 2014: –) (6,487) (0.05) Net GBP (2,461)

Total fi nancial liabilities at fair value through profi t or loss (6,487) (0.05) BNY Mellon Global Property Securities Fund Sterling J (Inc) (Hedged) Share Class Net current assets 154,356 1.10 Sterling Euro 42,563 58,680 15-Jan-16 The Bank of New York Mellon (790) Total net assets 14,019,967 100.00 EUR (790)

GBP (581) Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 97.97 OTC fi nancial derivative instruments 0.00 Other current assets 2.03

Total assets 100.00

138 BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Collective investment schemes Bonds contd. Guernsey - 64,552,894 Netherlands - 8,587,963 (31 December 2014: 49,402,219) 64,552,894 2.47 (31 December 2014: –) 8,587,963 0.33 5,048,950 Bluefi eld Solar Income Fund Ltd 6,988,952 0.27 6,827,000 Petrobras Global Finance BV 10,314,726 HICL Infrastructure Co Ltd/Fund 21,182,021 0.81 6.750% 27-Jan-2041 4,089,617 0.16 6,270,697 International Public Partnerships Ltd 11,892,007 0.45 5,490,000 Petrobras Global Finance BV 6,494,513 John Laing Infrastructure Fund Ltd 10,337,346 0.40 7.875% 15-Mar-2019 4,498,346 0.17 9,926,629 NB Global Floating Rate Income Fund Ltd - Sterling Class 12,383,623 0.47 New Zealand - 54,677,148 2,085,872 NB Global Floating Rate Income Fund Ltd - (31 December 2014: 25,542,332) 54,677,148 2.09 U.S. Dollar Class 1,768,945 0.07 14,838,000 New Zealand Government Bond 2.000% 20-Sep-2025 9,443,872 0.36 Ireland - 52,220,782 38,428,000 New Zealand Government Bond (31 December 2014: 13,529,678) 52,220,782 2.00 4.500% 15-Apr-2027 26,199,575 1.00 1,233,095 iShares Physical Gold ETC 23,761,904 0.91 26,398,000 New Zealand Government Bond 297,508 Source Physical Markets Gold P-ETC 28,458,878 1.09 6.000% 15-May-2021 19,033,701 0.73

Jersey - 62,564,865 Spain - 30,037,200 (31 December 2014: 79,515,479) 62,564,865 2.40 (31 December 2014: –) 30,037,200 1.15 609,595 ETFS Physical Gold 57,439,299 2.20 30,000,000 Banco Espanol de Credito SA 3,744,203 Foresight Solar Fund Ltd 5,125,566 0.20 3.500% 18-Jan-2016 30,037,200 1.15

Luxembourg - 58,619,243 United Kingdom - 97,273,079 (31 December 2014: 49,169,459) 58,619,243 2.24 (31 December 2014: 23,082,748) 97,273,079 3.73 174,227 Aviva Investors Sicav - Global Convertibles Fund 22,998,788 0.88 689,000 Anglian Water Services Financing Plc 3,908,762 Bilfi nger Berger Global Infrastructure 3.666% 30-Jul-2024 1,690,858 0.06 SICAV SA/Fund 6,912,882 0.26 853,000 Anglian Water Services Financing Plc 18,583 RWC Funds - RWC Global Convertibles Fund 28,707,573 1.10 4.125% 28-Jul-2020 2,080,224 0.08 4,914,000 Arqiva Broadcast Finance Plc United Kingdom - 7,735,635 9.500% 31-Mar-2020 7,242,968 0.28 (31 December 2014: –) 7,735,635 0.30 18,878,000 Barclays Bank Plc 3.625% 13-Apr-2016 19,067,063 0.73 5,264,967 Greencoat UK Wind Plc 7,735,635 0.30 1,602,000 British Telecommunications Plc 3.500% 25-Apr-2025 4,085,894 0.16 Total investments in collective investment schemes 245,693,419 9.41 5,292,000 Centrica Plc 5.250% 10-Apr-2075 VAR 6,924,457 0.27 1,490,667 High Speed Rail Finance 1 Plc Bonds 1.566% 01-Nov-2038 2,409,529 0.09 Australia - 172,800,051 1,842,000 National Grid Electricity Transmission Plc (31 December 2014: 149,681,779) 172,800,051 6.62 2.983% 08-Jul-2018 4,012,771 0.15 74,838,000 Australia Government Bond 3.750% 21-Apr-2037 52,619,613 2.01 1,878,000 National Grid Gas Plc 4.188% 14-Dec-2022 4,925,138 0.19 75,753,000 Australia Government Bond 4.500% 21-Apr-2033 58,968,713 2.26 2,465,639 Network Rail Infrastructure Finance Plc 18,408,200 New South Wales Treasury Corp 1.750% 22-Nov-2027 4,179,329 0.16 2.750% 20-Nov-2025 17,946,291 0.69 22,000,000 Royal Bank of Scotland Plc/The 23,052,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 18,695,030 0.72 4.000% 15-Mar-2016 22,171,380 0.85 24,515,000 Westpac Banking Corp 2.125% 16-Feb-2016 24,570,404 0.94 2,538,000 Tesco Plc 4.000% 08-Sep-2016 5,419,699 0.21 2,548,000 Tesco Plc 6.125% 24-Feb-2022 3,642,835 0.14 Cayman Islands - 5,648,419 7,921,123 Tesco Property Finance 3 Plc (31 December 2014: 5,360,054) 5,648,419 0.22 5.744% 13-Apr-2040 9,420,934 0.36 3,096,366 Dwr Cymru Financing Ltd 1.859% 31-Mar-2048 5,648,419 0.22 United States of America - 660,486,154 France - 3,019,279 (31 December 2014: 255,618,743) 660,486,154 25.31 (31 December 2014: –) 3,019,279 0.11 13,108,000 Sprint Capital Corp 8.750% 15-Mar-2032 9,115,727 0.35 2,971,000 Numericable-SFR SAS 5.625% 15-May-2024 3,019,279 0.11 4,477,000 Sprint Corp 7.125% 15-Jun-2024 2,985,008 0.12 10,561,000 Sprint Corp 7.875% 15-Sep-2023 7,295,983 0.28 Jersey - 1,548,268 432,884,100 United States Treasury Note/Bond (31 December 2014: –) 1,548,268 0.06 1.000% 31-Oct-2016 398,299,503 15.26 1,110,000 CPUK Finance Ltd 7.000% 28-Aug-2020 1,548,268 0.06 113,924,000 United States Treasury Note/Bond 1.500% 31-Aug-2018 105,224,680 4.03 Luxembourg - 9,388,436 151,341,600 United States Treasury Note/Bond (31 December 2014: –) 9,388,436 0.36 3.000% 15-May-2045 137,565,253 5.27 8,869,000 Altice SA 6.250% 15-Feb-2025 7,516,478 0.29 1,995,000 Altice SA 7.250% 15-May-2022 1,871,958 0.07 Total investments in bonds 1,043,465,997 39.98

139 BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities Equities contd. Australia - 36,612,902 Jersey - 18,393,953 (31 December 2014: 34,915,068) 36,612,902 1.40 (31 December 2014: –) 18,393,953 0.70 4,560,908 Dexus Property Group 22,993,220 0.88 56,558 Randgold Resources Ltd 3,168,909 0.12 1,563,089 Newcrest Mining Ltd 13,619,682 0.52 301,816 Wolseley Plc 15,225,044 0.58

Canada - 59,154,860 Netherlands - 83,241,314 (31 December 2014: 43,556,538) 59,154,860 2.27 (31 December 2014: 80,524,482) 83,241,314 3.19 121,533 Agnico Eagle Mines Ltd 2,923,117 0.11 1,886,239 RELX NV 29,382,888 1.13 1,838,921 Alacer Gold Corp 3,014,288 0.12 1,725,955 Wolters Kluwer NV 53,858,426 2.06 552,379 Alamos Gold Inc 1,672,140 0.06 1,207,362 Barrick Gold Corp 8,174,699 0.31 New Zealand - 18,772,256 15,842 Barrick Gold Corp 107,262 0.00 (31 December 2014: 21,339,969) 18,772,256 0.72 695,597 Centerra Gold Inc 3,013,703 0.12 9,074,861 Spark New Zealand Ltd 18,772,256 0.72 358,487 Detour Gold Corp 3,410,791 0.13 1,878,904 Eldorado Gold Corp 5,184,789 0.20 South Africa - 3,199,075 1,815,894 IAMGOLD Corp 2,418,441 0.09 (31 December 2014: 10,508,957) 3,199,075 0.12 2,098,328 Kinross Gold Corp 3,536,581 0.14 1,287,809 Gold Fields Ltd 3,199,075 0.12 1,196,627 New Gold Inc 2,519,058 0.10 Sweden - 13,255,453 1,690,534 OceanaGold Corp 2,983,357 0.12 (31 December 2014: 34,125,847) 13,255,453 0.51 1,006,462 Primero Mining Corp 2,065,518 0.08 2,877,002 TeliaSonera AB 13,255,453 0.51 1,301,500 Silver Wheaton Corp 14,679,811 0.56 2,004,498 Yamana Gold Inc 3,451,305 0.13 Switzerland - 92,892,337 (31 December 2014: 105,865,263) 92,892,337 3.56 Denmark - 9,407,449 524,529 Novartis AG 42,090,516 1.61 (31 December 2014: 22,438,258) 9,407,449 0.36 198,799 Roche Holding AG 50,801,821 1.95 2,041,873 TDC A/S 9,407,449 0.36 United Kingdom - 183,756,061 France - 56,180,350 (31 December 2014: 219,416,546) 183,756,061 7.04 (31 December 2014: 118,678,371) 56,180,350 2.15 2,816,068 BAE Systems Plc 19,222,377 0.74 210,829 Sanofi 16,571,160 0.63 409,356 British American Tobacco Plc 21,029,962 0.81 2,002,740 Vivendi SA 39,609,190 1.52 11,650,217 Centrica Plc 34,393,021 1.32 Germany - 94,666,014 3,154,272 Cobham Plc 12,133,283 0.46 (31 December 2014: 92,257,286) 94,666,014 3.63 339,657 Fresnillo Plc 3,241,491 0.12 335,127 Bayer AG 38,933,379 1.49 1,851,458 GlaxoSmithKline Plc 34,576,569 1.32 361,629 Brenntag AG 17,570,649 0.67 437,236 Royal Dutch Shell Plc 9,204,987 0.35 73,950 LEG Immobilien AG 5,585,813 0.22 2,374,702 United Utilities Group Plc 30,222,438 1.16 106,018 SAP SE 7,805,575 0.30 6,563,718 Vodafone Group Plc 19,731,933 0.76 5,055,224 Telefonica Deutschland Holding AG 24,770,598 0.95 United States of America - 404,243,678 Guernsey - 13,016,218 (31 December 2014: 315,141,294) 404,243,678 15.49 (31 December 2014: –) 13,016,218 0.50 673,335 Abbott Laboratories 27,981,176 1.07 9,343,472 Renewables Infrastructure Group Ltd/The 13,016,218 0.50 480,201 Accenture Plc 46,677,678 1.79 1,062,743 CA Inc 28,406,472 1.09 Hong Kong - 7,277,622 1,089,900 CMS Energy Corp 36,696,870 1.41 (31 December 2014: –) 7,277,622 0.28 257,065 Dollar General Corp 17,016,905 0.65 1,316,400 AIA Group Ltd 7,277,622 0.28 100,876 Dun & Bradstreet Corp/The 9,799,577 0.38 698,840 Eversource Energy 33,269,068 1.27 Israel - 24,588,537 165,205 Express Scripts Holding Co 13,325,596 0.51 (31 December 2014: 5,835,686) 24,588,537 0.94 832,792 Merck & Co Inc 40,708,737 1.56 1,312,270 Bank Hapoalim BM 6,150,026 0.23 1,212,633 Microsoft Corp 62,693,962 2.40 304,006 Teva Pharmaceutical Industries Ltd ADR 18,438,511 0.71 232,609 Procter & Gamble Co/The 17,095,713 0.65 767,468 Reynolds American Inc 32,886,439 1.26 Japan - 81,917,894 725,641 Sysco Corp 27,616,649 1.06 (31 December 2014: 59,596,572) 81,917,894 3.14 505,414 Trimble Navigation Ltd 10,068,836 0.39 1,423,000 Japan Tobacco Inc 48,551,288 1.86 1,073,900 Skylark Co Ltd 12,857,703 0.49 Total investments in equities 1,200,575,973 46.00 242,100 SoftBank Corp 11,327,775 0.44 584,000 Topcon Corp 9,181,128 0.35

140 BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts value net assets Settle Unrealised Holdings Description EUR % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Index options - 247,344 BNY Mellon Global Real Return Fund (EUR) (31 December 2014: 302,532) US dollar Euro 105,875 96,969 04-Jan-16 Royal Bank 709 CBOE S&P 500 Index Put 14-Jan-2016 1,950.000 247,344 0.01 of Scotland 231 Euro Hong Kong dollar 878,279 7,406,590 15-Jan-16 State Street Bank 1,156 Total index options 247,344 0.01 Euro South African rand 2,860,572 44,063,482 15-Jan-16 Barclays Bank plc 272,152 Euro Sterling 2,406,159 1,702,166 15-Jan-16 State Street Bank 91,053 Euro Sterling 1,254,197 891,139 15-Jan-16 State Street Bank 42,164 Underlying Fair Total Euro Sterling 3,963,119 2,865,117 15-Jan-16 UBS 66,290 exposure value net assets Euro Sterling 5,375,183 3,904,587 15-Jan-16 UBS 64,578 Holdings Description EUR EUR % Euro Sterling 1,103,372 781,740 15-Jan-16 UBS 40,132 Euro Sterling 1,668,109 1,173,023 15-Jan-16 State Street Bank 72,688 Open futures contracts - 531,598 Euro Sterling 1,040,689 764,543 15-Jan-16 Royal Bank (31 December 2014: (10,111,639)) of Scotland 838 (976) S&P 500 Index Euro Sterling 1,348,912 971,387 15-Jan-16 JPMorgan Chase 27,734 Short Futures Contracts Euro Sterling 5,253,413 3,794,050 15-Jan-16 JPMorgan Chase 93,148 Exp Mar-2016 (460,245,296) 531,598 0.02 Euro Sterling 3,092,090 2,191,647 15-Jan-16 Royal Bank of Scotland 111,244 Total open futures contracts 531,598 0.02 Euro Sterling 2,915,334 2,058,125 15-Jan-16 State Street Bank 116,091 Euro Sterling 2,763,239 2,011,301 15-Jan-16 UBS 27,680 Unrealised gain on forward foreign currency contracts - 10,982,392 (see below) Euro Canadian dollar 54,701,896 78,363,365 18-Feb-16 State Street Bank 2,960,890 (31 December 2014: 5,868,236) 10,982,392 0.42 Euro Israeli shekel 7,268,545 30,727,370 18-Feb-16 Royal Bank of Scotland 57,905 Total fi nancial assets Euro Norwegian krone 3,740,114 34,387,388 18-Feb-16 Royal Bank at fair value through profi t or loss 2,501,496,723 95.84 of Scotland 164,886 Euro Norwegian krone 3,266,431 30,476,473 18-Feb-16 JPMorgan Chase 97,818

Euro Norwegian krone 4,391,637 40,614,563 18-Feb-16 JPMorgan Chase 168,974 Unrealised loss on forward foreign currency contracts - (10,943,707) (see below) Euro Norwegian krone 1,020,107 9,516,929 18-Feb-16 JPMorgan Chase 30,640 (31 December 2014: (24,787,141)) (10,943,707) (0.42) Euro US dollar 6,592,561 7,148,775 18-Feb-16 The Bank of New York Mellon 37,062 Total fi nancial liabilities Euro US dollar 92,661,701 98,206,577 18-Feb-16 JPMorgan Chase 2,605,288 at fair value through profi t or loss (10,943,707) (0.42) Euro US dollar 5,975,006 6,490,350 18-Feb-16 The Bank of New York Mellon 23,290 Net current assets 119,434,870 4.58 Euro US dollar 4,461,965 4,733,699 18-Feb-16 The Bank of New York Mellon 121,116 Total net assets 2,609,987,886 100.00 Euro US dollar 1,515,336 1,631,375 18-Feb-16 Royal Bank of Scotland 19,349 The counterparty for index options is UBS. Euro US dollar 13,074,280 14,250,481 18-Feb-16 JPMorgan Chase 6,446 The counterparty for futures contracts is UBS. Euro US dollar 29,147,430 31,309,198 18-Feb-16 JPMorgan Chase 436,582 Euro US dollar 5,054,088 5,366,248 18-Feb-16 Royal Bank of Scotland 133,186 Analysis of portfolio % of Total assets Euro US dollar 8,167,312 8,844,300 18-Feb-16 The Bank of New York Mellon 57,000 Transferable securities and money market instruments admitted Euro US dollar 1,998,002 2,153,592 18-Feb-16 State Street Bank 23,137 to offi cial stock exchange listing or traded on a regulated market 94.79 Euro US dollar 6,773,181 7,265,050 18-Feb-16 The Bank of Financial derivative instruments dealt in on a regulated market 0.03 New York Mellon 111,058 OTC fi nancial derivative instruments 0.42 Euro US dollar 840,690,561 915,327,069 18-Feb-16 State Street Bank 1,326,486 Other current assets 4.76 Euro US dollar 9,024,774 9,676,498 18-Feb-16 State Street Bank 151,329 Euro US dollar 1,737,317 1,870,371 18-Feb-16 Royal Bank Total assets 100.00 of Scotland 22,168 Euro US dollar 4,772,206 5,101,918 18-Feb-16 The Bank of New York Mellon 93,696 Euro US dollar 57,820,388 62,267,030 18-Feb-16 JPMorgan Chase 720,899 Euro US dollar 2,119,859 2,258,625 18-Feb-16 The Bank of New York Mellon 48,677 Euro US dollar 2,117,812 2,254,288 18-Feb-16 UBS 50,607 US dollar Euro 14,744,888 13,437,181 18-Feb-16 The Bank of New York Mellon 84,028 US dollar Euro 9,333,573 8,525,680 18-Feb-16 The Bank of New York Mellon 33,300 US dollar Euro 12,738,804 11,599,396 18-Feb-16 The Bank of New York Mellon 82,215 US dollar Euro 4,645,036 4,253,696 18-Feb-16 The Bank of New York Mellon 5,848 Australian dollar Euro 10,010,910 6,519,705 16-Mar-16 Royal Bank of Scotland 163,696 Euro Australian dollar 184,714,286 276,651,204 16-Mar-16 JPMorgan Chase 18,675

141 BNY MELLON GLOBAL REAL RETURN FUND (EUR)

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Forward foreign currency contracts contd. Settle Unrealised Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Real Return Fund (EUR) contd. BNY Mellon Global Real Return Fund (EUR) contd. Euro Swiss franc 18,201,361 19,657,106 16-Mar-16 UBS 11,154 US dollar Euro 7,269,630 6,680,688 18-Feb-16 The Bank of Swiss franc Euro 19,657,106 18,102,400 16-Mar-16 UBS 87,808 New York Mellon (14,364) Euro Australian dollar 1,202,858 1,801,745 16-Mar-16 Barclays Bank plc (8) EUR 10,982,392 Euro Australian dollar 3,863,002 5,877,210 16-Mar-16 Royal Bank of Scotland (60,693)

Euro Sterling 313,027 230,743 04-Jan-16 Barclays Bank plc (884) EUR (10,943,707) Euro Hong Kong dollar 2,901,829 25,437,540 15-Jan-16 State Street Bank (110,604) Euro Hong Kong dollar 3,271,980 28,599,000 15-Jan-16 State Street Bank (114,849) Net EUR 38,685 Euro Sterling 418,298,712 308,060,687 15-Jan-16 Barclays Bank plc (692,827) Sterling Euro 12,694,872 17,433,085 15-Jan-16 JPMorgan Chase (166,864) Sterling Euro 1,983,147 2,751,318 15-Jan-16 UBS (54,051) Sterling Euro 1,921,865 2,710,615 15-Jan-16 JPMorgan Chase (96,698) Sterling Euro 882,974 1,223,782 15-Jan-16 Royal Bank of Scotland (22,855) Sterling Euro 3,197,097 4,450,244 15-Jan-16 State Street Bank (101,892) Sterling Euro 50,533,570 71,313,656 15-Jan-16 JPMorgan Chase (2,583,243) Sterling Euro 8,700,497 12,101,194 15-Jan-16 JPMorgan Chase (267,699) Euro Canadian dollar 1,403,652 2,141,790 18-Feb-16 UBS (10,509) Euro New Zealand dollar 72,444,839 120,024,653 18-Feb-16 UBS (2,658,062) Euro New Zealand dollar 1,403,614 2,271,334 18-Feb-16 UBS (17,625) Euro Swedish krona 13,654,278 128,058,259 18-Feb-16 UBS (295,050) Euro US dollar 5,352,932 5,856,000 18-Feb-16 The Bank of New York Mellon (17,079) Euro US dollar 3,801,239 4,172,400 18-Feb-16 The Bank of New York Mellon (24,893) Euro US dollar 5,726,094 6,269,242 18-Feb-16 The Bank of New York Mellon (22,864) Euro US dollar 12,600,623 13,825,818 18-Feb-16 Royal Bank of Scotland (77,790) Euro US dollar 2,735,302 2,997,995 18-Feb-16 Royal Bank of Scotland (13,889) Euro US dollar 5,345,072 5,851,855 18-Feb-16 The Bank of New York Mellon (21,137) Euro US dollar 4,435,683 4,848,949 18-Feb-16 JPMorgan Chase (10,852) Euro US dollar 6,417,486 7,030,035 18-Feb-16 The Bank of New York Mellon (29,126) Euro US dollar 2,115,943 2,333,339 18-Feb-16 UBS (23,752) Euro US dollar 4,765,843 5,215,710 18-Feb-16 Royal Bank of Scotland (17,015) Euro US dollar 7,433,367 8,166,326 18-Feb-16 Royal Bank of Scotland (55,236) Euro US dollar 205,943,262 226,459,329 18-Feb-16 The Bank of New York Mellon (1,722,208) Norwegian krone Euro 248,812,709 26,638,298 18-Feb-16 State Street Bank (769,448) Norwegian krone Euro 116,424,498 12,220,904 18-Feb-16 The Bank of New York Mellon (116,346) US dollar Euro 2,354,945 2,163,517 18-Feb-16 The Bank of New York Mellon (4,009) US dollar Euro 5,984,194 5,557,077 18-Feb-16 The Bank of New York Mellon (69,511) US dollar Euro 2,487,250 2,314,690 18-Feb-16 The Bank of New York Mellon (33,857) US dollar Euro 17,537,813 16,293,026 18-Feb-16 The Bank of New York Mellon (210,676) US dollar Euro 2,401,275 2,261,258 18-Feb-16 The Bank of New York Mellon (59,265) US dollar Euro 11,924,475 11,041,181 18-Feb-16 The Bank of New York Mellon (106,318) US dollar Euro 9,784,314 8,986,741 18-Feb-16 The Bank of New York Mellon (14,427) US dollar Euro 2,634,418 2,447,779 18-Feb-16 Royal Bank of Scotland (31,992) US dollar Euro 28,547,351 26,279,895 18-Feb-16 JPMorgan Chase (101,689) US dollar Euro 4,350,825 4,111,301 18-Feb-16 The Bank of New York Mellon (121,551)

142 BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Collective investment schemes Bonds contd. Guernsey - 1,471,641 United Kingdom - 1,751,337 (31 December 2014: 1,016,598) 1,471,641 2.49 (31 December 2014: 479,525) 1,751,337 2.96 170,204 Bluefi eld Solar Income Fund Ltd 173,182 0.29 34,000 Anglian Water Services Financing Plc 327,534 HICL Infrastructure Co Ltd/Fund 494,412 0.84 3.666% 30-Jul-2024 61,332 0.10 202,789 International Public Partnerships Ltd 282,688 0.48 122,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 132,180 0.22 203,469 John Laing Infrastructure Fund Ltd 238,059 0.40 37,000 AWG Parent Co Ltd 4.125% 28-Jul-2020 66,326 0.11 308,942 NB Global Floating Rate Income Fund Ltd - 45,000 British Telecommunications Plc Sterling Class 283,300 0.48 3.500% 25-Apr-2025 84,365 0.14 206,000 Centrica Plc 5.250% 10-Apr-2075 VAR 198,133 0.34 Ireland - 2,565,249 35,000 National Grid Electricity Transmission Plc (31 December 2014: 1,445,005) 2,565,249 4.35 2.983% 08-Jul-2018 56,046 0.09 172,856 iShares Physical Gold ETC 2,448,457 4.15 77,000 National Grid Gas Plc 4.188% 14-Dec-2022 148,435 0.25 1,661 Source Physical Markets Gold P-ETC 116,792 0.20 50,000 Scotland Gas Networks Plc 2.127% 21-Oct-2022 74,165 0.13 18,000 Tesco Plc 3.322% 05-Nov-2025 27,400 0.05 Jersey - 126,004 82,000 Tesco Plc 4.000% 08-Sep-2016 128,713 0.22 (31 December 2014: 97,215) 126,004 0.21 101,000 Tesco Plc 6.125% 24-Feb-2022 106,141 0.18 125,221 Foresight Solar Fund Ltd 126,004 0.21 293,047 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040 256,194 0.43 412,255 United Kingdom Treasury Bill Luxembourg - 1,362,825 0.000% 07-Mar-2016 411,907 0.70 (31 December 2014: 930,802) 1,362,825 2.31 4,304 Aviva Investors Sicav - Global Convertibles Fund 518,189 0.88 United States of America - 15,098,978 138,600 Bilfi nger Berger Global Infrastructure SICAV SA/Fund 180,180 0.30 (31 December 2014: 4,167,772) 15,098,978 25.57 870 RWC Funds - RWC Global Convertibles Fund 664,456 1.13 333,000 Sprint Capital Corp 8.750% 15-Mar-2032 170,225 0.29 177,000 Sprint Corp 7.125% 15-Jun-2024 86,747 0.15 United Kingdom - 183,170 320,000 Sprint Corp 7.875% 15-Sep-2023 162,499 0.28 (31 December 2014: –) 183,170 0.31 13,580,000 United States Treasury Note/Bond 169,602 Greencoat UK Wind Plc 183,170 0.31 1.000% 31-Oct-2016 9,184,623 15.55 Total investments in collective investment schemes 5,708,889 9.67 3,490,900 United States Treasury Note/Bond 1.500% 31-Aug-2018 2,370,081 4.01 4,676,800 United States Treasury Note/Bond Bonds 3.000% 15-May-2045 3,124,803 5.29 Australia - 3,411,979 (31 December 2014: 2,375,285) 3,411,979 5.78 Total investments in bonds 22,097,464 37.42 2,352,000 Australia Government Bond 3.750% 21-Apr-2037 1,215,588 2.06 2,321,000 Australia Government Bond 4.500% 21-Apr-2033 1,328,068 2.25 Equities 624,400 New South Wales Treasury Corp Australia - 830,813 2.750% 20-Nov-2025 447,455 0.76 (31 December 2014: 553,069) 830,813 1.41 706,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 420,868 0.71 140,533 Dexus Property Group 520,775 0.88 France - 85,159 48,407 Newcrest Mining Ltd 310,038 0.53 (31 December 2014: –) 85,159 0.14 Canada - 1,398,052 114,000 Numericable-SFR SAS 5.625% 15-May-2024 85,159 0.14 (31 December 2014: 681,514) 1,398,052 2.37 Luxembourg - 212,254 3,926 Agnico Eagle Mines Ltd 69,410 0.12 (31 December 2014: –) 212,254 0.36 56,417 Alacer Gold Corp 67,976 0.12 230,000 Altice SA 6.250% 15-Feb-2025 143,282 0.24 18,876 Alamos Gold Inc 42,002 0.07 100,000 Altice SA 7.250% 15-May-2022 68,972 0.12 35,965 Barrick Gold Corp 178,994 0.30 21,423 Centerra Gold Inc 68,225 0.12 Netherlands - 234,700 10,906 Detour Gold Corp 76,273 0.13 (31 December 2014: –) 234,700 0.40 58,908 Eldorado Gold Corp 119,488 0.20 202,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 88,946 0.15 63,563 IAMGOLD Corp 62,226 0.11 242,000 Petrobras Global Finance BV 7.875% 15-Mar-2019 145,754 0.25 71,294 Kinross Gold Corp 88,326 0.15 47,594 New Gold Inc 73,647 0.12 New Zealand - 1,303,057 63,060 OceanaGold Corp 81,801 0.14 (31 December 2014: 397,601) 1,303,057 2.21 37,077 Primero Mining Corp 55,932 0.09 519,000 New Zealand Government Bond 40,738 Silver Wheaton Corp 337,753 0.57 2.000% 20-Sep-2025 242,809 0.41 60,049 Yamana Gold Inc 75,999 0.13 1,204,000 New Zealand Government Bond 4.500% 15-Apr-2027 603,388 1.02 Denmark - 216,341 862,000 New Zealand Government Bond (31 December 2014: 359,360) 216,341 0.37 6.000% 15-May-2021 456,860 0.78 63,881 TDC A/S 216,341 0.37

143 BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description GBP % Holdings Description GBP %

Equities contd. Equities contd. France - 1,282,123 United Kingdom - 4,203,431 (31 December 2014: 1,893,765) 1,282,123 2.17 (31 December 2014: 3,297,173) 4,203,431 7.12 6,664 Sanofi 385,018 0.65 86,770 BAE Systems Plc 435,369 0.74 61,709 Vivendi SA 897,105 1.52 12,613 British American Tobacco Plc 476,298 0.81 358,972 Centrica Plc 778,969 1.32 Germany - 2,167,511 100,229 Cobham Plc 283,398 0.48 (31 December 2014: 1,452,055) 2,167,511 3.67 11,901 Fresnillo Plc 83,486 0.14 10,326 Bayer AG 881,796 1.49 57,048 GlaxoSmithKline Plc 783,126 1.32 11,550 Brenntag AG 412,506 0.70 14,173 Royal Dutch Shell Plc 219,327 0.37 2,358 LEG Immobilien AG 130,923 0.22 74,255 United Utilities Group Plc 694,656 1.18 3,395 SAP SE 183,733 0.31 203,101 Vodafone Group Plc 448,802 0.76 155,076 Telefonica Deutschland Holding AG 558,553 0.95 United States of America - 9,214,539 Guernsey - 308,300 (31 December 2014: 5,030,828) 9,214,539 15.60 (31 December 2014: –) 308,300 0.52 20,747 Abbott Laboratories 633,743 1.07 301,074 Renewables Infrastructure Group Ltd/The 308,300 0.52 14,796 Accenture Plc 1,057,192 1.79 32,745 CA Inc 643,365 1.09 Hong Kong - 164,175 34,068 CMS Energy Corp 843,165 1.43 (31 December 2014: –) 164,175 0.28 7,920 Dollar General Corp 385,377 0.65 40,400 AIA Group Ltd 164,175 0.28 3,108 Dun & Bradstreet Corp/The 221,934 0.38 21,921 Eversource Energy 767,091 1.30 Israel - 556,277 5,090 Express Scripts Holding Co 301,790 0.51 (31 December 2014: 95,533) 556,277 0.94 25,660 Merck & Co Inc 922,001 1.56 40,629 Bank Hapoalim BM 139,963 0.24 37,364 Microsoft Corp 1,419,950 2.40 9,338 Teva Pharmaceutical Industries Ltd ADR 416,314 0.70 7,274 Procter & Gamble Co/The 392,968 0.66 Japan - 1,864,454 24,309 Reynolds American Inc 765,680 1.30 (31 December 2014: 945,415) 1,864,454 3.16 22,358 Sysco Corp 625,469 1.06 16,035 Trimble Navigation Ltd 234,814 0.40 44,100 Japan Tobacco Inc 1,106,007 1.87 33,100 Skylark Co Ltd 291,307 0.50 Total investments in equities 27,442,888 46.47 7,400 SoftBank Corp 254,510 0.43 18,400 Topcon Corp 212,630 0.36 Index options - 5,385 (31 December 2014: 5,059) Jersey - 424,116 21 CBOE S&P 500 Index Put 14-Jan-2016 1,950.000 5,385 0.01 (31 December 2014: –) 424,116 0.72 1,950 Randgold Resources Ltd 80,310 0.14 Total index options 5,385 0.01 9,272 Wolseley Plc 343,806 0.58 Unrealised gain on forward foreign currency contracts - 110,956 (see below) Netherlands - 1,891,363 (31 December 2014: 514,622) 110,956 0.19 (31 December 2014: 1,271,402) 1,891,363 3.20 58,119 RELX NV 665,487 1.13 Total fi nancial assets 53,444 Wolters Kluwer NV 1,225,876 2.07 at fair value through profi t or loss 55,365,582 93.76 New Zealand - 425,736 (31 December 2014: 338,168) 425,736 0.72 Underlying Fair Total 279,989 Spark New Zealand Ltd 425,736 0.72 exposure value net assets Holdings Description GBP GBP % South Africa - 81,524 (31 December 2014: 160,568) 81,524 0.14 Open futures contracts - (359) 44,647 Gold Fields Ltd 81,524 0.14 (31 December 2014: (163,802)) (31) S&P 500 Index Sweden - 310,304 Short Futures Contracts (31 December 2014: 526,815) 310,304 0.52 Exp Mar-2016 (10,745,451) (359) (0.00) 91,624 TeliaSonera AB 310,304 0.52 Total open futures contracts (359) (0.00) Switzerland - 2,103,829 (31 December 2014: 1,685,987) 2,103,829 3.56 16,162 Novartis AG 953,308 1.61 6,125 Roche Holding AG 1,150,521 1.95

144 BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts contd. value net assets Settle Unrealised Holdings Description GBP % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Unrealised loss on forward foreign currency contracts - (1,182,589) (see below) BNY Mellon Global Real Return Fund (GBP) contd. (31 December 2014: (726,828)) (1,182,589) (2.00) US dollar Sterling 76,197 49,564 18-Feb-16 The Bank of New York Mellon 1,852 Total fi nancial liabilities US dollar Sterling 557,542 366,703 18-Feb-16 The Bank of at fair value through profi t or loss (1,182,948) (2.00) New York Mellon 9,511 US dollar Sterling 193,585 128,138 18-Feb-16 The Bank of Net current assets 4,867,245 8.24 New York Mellon 2,487 US dollar Sterling 80,503 52,998 18-Feb-16 The Bank of New York Mellon 1,324 Total net assets 59,049,879 100.00 US dollar Sterling 385,293 253,105 18-Feb-16 The Bank of The counterparty for index options is UBS. New York Mellon 6,881 The counterparty for futures contracts is UBS. US dollar Sterling 85,537 56,376 18-Feb-16 JPMorgan Chase 1,343 Australian dollar Sterling 82,657 39,973 16-Mar-16 Royal Bank of Scotland 661 Analysis of portfolio % of Total assets Swiss franc Sterling 676,868 449,474 16-Mar-16 UBS 11,741

Transferable securities and money market instruments admitted contd. GBP 110,956 to offi cial stock exchange listing or traded on a regulated market 91.69 Financial derivative instruments dealt in on a regulated market 0.01 Euro Sterling 100,981 74,399 15-Jan-16 JPMorgan Chase OTC fi nancial derivative instruments 0.18 (153) Sterling Euro 227,997 321,652 15-Jan-16 JPMorgan Chase Other current assets 8.12 (8,495) Sterling Euro 52,400 73,813 15-Jan-16 State Street Bank (1,871) Total assets 100.00 Sterling Euro 87,667 121,169 15-Jan-16 JPMorgan Chase (1,422) Sterling Euro 70,859 98,147 15-Jan-16 JPMorgan Chase (1,303) Sterling Euro 60,927 85,236 15-Jan-16 JPMorgan Chase (1,742) Sterling Euro 39,194 55,382 15-Jan-16 JPMorgan Chase (1,525) Forward foreign currency contracts Sterling Euro 47,163 65,735 15-Jan-16 JPMorgan Chase (1,168) Settle Unrealised Sterling Euro 24,272 34,565 15-Jan-16 JPMorgan Chase (1,141) Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Sterling Euro 42,353 59,842 15-Jan-16 UBS (1,646) Sterling Euro 40,431 57,321 15-Jan-16 State Street Bank (1,714) BNY Mellon Global Real Return Fund (GBP) Sterling Euro 50,843 72,248 15-Jan-16 State Street Bank (2,277) Euro Sterling 423,446 308,087 15-Jan-16 UBS 3,249 Sterling Euro 113,235 160,344 15-Jan-16 The Bank of New York Mellon (4,657) Euro Sterling 155,076 109,307 15-Jan-16 JPMorgan Chase 4,712 Sterling Euro 123,627 171,307 15-Jan-16 The Bank of Euro Sterling 56,676 40,102 15-Jan-16 JPMorgan Chase 1,569 New York Mellon (2,326) Euro Sterling 159,844 115,737 15-Jan-16 JPMorgan Chase 1,787 Sterling Euro 47,979 68,030 15-Jan-16 UBS (2,040) Sterling Euro 5,405,341 7,342,415 15-Jan-16 Barclays Bank plc 6,880 Sterling Euro 168,951 235,131 15-Jan-16 State Street Bank (3,928) Sterling Euro 51,382 68,785 15-Jan-16 JPMorgan Chase 808 Sterling Euro 24,175 34,195 15-Jan-16 JPMorgan Chase (967) Sterling South African rand 65,105 1,361,632 15-Jan-16 Barclays Bank plc 6,295 Sterling Euro 65,466 92,580 15-Jan-16 JPMorgan Chase (2,603) Norwegian krone Sterling 7,990,958 604,785 18-Feb-16 UBS 6,560 Sterling Euro 161,924 225,183 15-Jan-16 UBS (3,640) Sterling Canadian dollar 1,305,820 2,645,011 18-Feb-16 State Street Bank 20,733 Sterling Euro 29,570 41,138 15-Jan-16 State Street Bank (677) Sterling Norwegian krone 58,241 756,501 18-Feb-16 JPMorgan Chase 365 Sterling Euro 68,035 95,392 15-Jan-16 UBS (2,101) Sterling Norwegian krone 36,128 465,644 18-Feb-16 UBS 504 Sterling Euro 57,719 79,275 15-Jan-16 Royal Bank Sterling Norwegian krone 28,985 372,274 18-Feb-16 JPMorgan Chase 504 of Scotland (567) Sterling Norwegian krone 46,964 612,143 18-Feb-16 JPMorgan Chase 133 Sterling Euro 53,239 72,420 15-Jan-16 The Bank of New York Mellon (7) Sterling Norwegian krone 26,465 341,853 18-Feb-16 JPMorgan Chase 312 Sterling Hong Kong dollar 74,174 880,000 15-Jan-16 State Street Bank (2,448) Sterling US dollar 72,586 107,552 18-Feb-16 The Bank of Sterling Hong Kong dollar 17,895 213,220 15-Jan-16 JPMorgan Chase New York Mellon 13 (671) Sterling US dollar 125,565 186,000 18-Feb-16 The Bank of Sterling Hong Kong dollar 65,105 774,070 15-Jan-16 State Street Bank (2,294) New York Mellon 58 Sterling Israeli shekel 145,819 870,854 18-Feb-16 JPMorgan Chase (4,557) US dollar Sterling 503,334 331,728 18-Feb-16 The Bank of Sterling New Zealand dollar 1,660,326 3,888,265 18-Feb-16 UBS (129,972) New York Mellon 7,908 Sterling Norwegian krone 34,644 454,301 18-Feb-16 JPMorgan Chase (112) US dollar Sterling 306,955 206,087 18-Feb-16 The Bank of Sterling Norwegian krone 21,877 288,756 18-Feb-16 JPMorgan Chase (214) New York Mellon 1,038 Sterling Swedish krona 305,558 4,049,093 18-Feb-16 UBS US dollar Sterling 141,825 94,960 18-Feb-16 The Bank of (18,996) New York Mellon 740 Sterling US dollar 4,568,430 6,903,277 18-Feb-16 The Bank of US dollar Sterling 379,661 250,210 18-Feb-16 The Bank of New York Mellon (89,711) New York Mellon 5,975 Sterling US dollar 170,409 256,638 18-Feb-16 The Bank of US dollar Sterling 41,420 27,786 18-Feb-16 The Bank of New York Mellon (2,763) New York Mellon 163 Sterling US dollar 102,458 154,247 18-Feb-16 The Bank of New York Mellon (1,624) US dollar Sterling 265,471 178,507 18-Feb-16 The Bank of New York Mellon 626 Sterling US dollar 17,566 26,623 18-Feb-16 The Bank of New York Mellon (398) US dollar Sterling 236,990 156,692 18-Feb-16 The Bank of Sterling US dollar 88,921 132,525 18-Feb-16 The Bank of New York Mellon 3,223 New York Mellon (503) US dollar Sterling 78,275 51,855 18-Feb-16 The Bank of Sterling US dollar 124,507 185,354 18-Feb-16 The Bank of New York Mellon 963 New York Mellon (565) US dollar Sterling 147,456 99,462 18-Feb-16 The Bank of Sterling US dollar 640,888 958,601 18-Feb-16 JPMorgan Chase New York Mellon 38 (5,950)

145 BNY MELLON GLOBAL REAL RETURN FUND (GBP)

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Global Real Return Fund (GBP) contd. Sterling US dollar 103,385 153,881 18-Feb-16 JPMorgan Chase (450) Sterling US dollar 128,178 191,313 18-Feb-16 The Bank of New York Mellon (915) Sterling US dollar 305,505 456,465 18-Feb-16 JPMorgan Chase (2,505) Sterling US dollar 191,248 288,300 18-Feb-16 The Bank of New York Mellon (3,289) Sterling US dollar 138,090 206,150 18-Feb-16 The Bank of New York Mellon (1,015) Sterling US dollar 305,794 456,465 18-Feb-16 JPMorgan Chase (2,216) Sterling US dollar 14,051 21,615 18-Feb-16 JPMorgan Chase (534) Sterling US dollar 66,231 100,695 18-Feb-16 UBS (1,715) Sterling US dollar 39,412 59,624 18-Feb-16 JPMorgan Chase (820) Sterling US dollar 165,314 250,808 18-Feb-16 UBS (3,925) Sterling US dollar 18,769,873 28,863,860 18-Feb-16 State Street Bank (706,666) Sterling US dollar 40,685 61,338 18-Feb-16 UBS (704) Sterling US dollar 121,449 185,160 18-Feb-16 UBS (3,491) Sterling US dollar 1,588,761 2,398,487 18-Feb-16 JPMorgan Chase (29,672) Sterling US dollar 48,591 73,625 18-Feb-16 The Bank of New York Mellon (1,090) Sterling US dollar 212,110 324,030 18-Feb-16 Barclays Bank plc (6,536) Sterling US dollar 151,262 227,034 18-Feb-16 The Bank of New York Mellon (1,934) Sterling US dollar 155,600 237,562 18-Feb-16 The Bank of New York Mellon (4,701) Sterling US dollar 154,334 233,264 18-Feb-16 JPMorgan Chase (3,066) Sterling US dollar 46,723 71,041 18-Feb-16 State Street Bank (1,214) The Bank of Sterling US dollar 117,596 178,813 18-Feb-16 (3,062) New York Mellon Sterling Australian dollar 4,364,346 9,060,469 16-Mar-16 JPMorgan Chase (89,715) Sterling Swiss franc 456,609 676,868 16-Mar-16 UBS (4,606)

GBP (1,182,589)

Net GBP (1,071,633)

146 BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes Bonds contd. Guernsey - 11,917,886 New Zealand - 11,412,345 (31 December 2014: 10,799,257) 11,917,886 2.35 (31 December 2014: 5,452,603) 11,412,345 2.25 913,790 Bluefi eld Solar Income Fund Ltd 1,377,797 0.27 2,862,000 New Zealand Government Bond 1,826,787 HICL Infrastructure Co Ltd/Fund 4,086,254 0.81 2.000% 20-Sep-2025 1,984,139 0.39 1,163,881 International Public Partnerships Ltd 2,404,228 0.47 6,878,000 New Zealand Government Bond 923,124 John Laing Infrastructure Fund Ltd 1,600,480 0.32 4.500% 15-Apr-2027 5,107,829 1.01 1,802,344 NB Global Floating Rate Income Fund Ltd - 5,501,000 New Zealand Government Bond Sterling Class 2,449,127 0.48 6.000% 15-May-2021 4,320,377 0.85

Ireland - 16,720,593 United Kingdom - 11,547,191 (31 December 2014: 10,316,835) 16,720,593 3.30 (31 December 2014: 5,315,593) 11,547,191 2.28 200,557 iShares Physical Gold ETC 4,209,691 0.83 44,000 Anglian Water Services Financing Plc 120,072 Source Physical Markets Gold P-ETC 12,510,902 2.47 3.666% 30-Jul-2024 117,616 0.02 834,000 Arqiva Broadcast Finance Plc 9.500% 31-Mar-2020 1,338,984 0.26 Jersey - 5,849,623 60,000 AWG Parent Co Ltd 4.125% 28-Jul-2020 159,382 0.03 (31 December 2014: 9,017,511) 5,849,623 1.16 127,000 British Telecommunications Plc 47,644 ETFS Physical Gold 4,889,942 0.97 3.500% 25-Apr-2025 352,822 0.07 643,601 Foresight Solar Fund Ltd 959,681 0.19 966,000 Centrica Plc 5.250% 10-Apr-2075 VAR 1,376,800 0.27 258,284 High Speed Rail Finance 1 Plc 1.566% 01-Nov-2038 454,754 0.09 Luxembourg - 11,296,616 328,000 National Grid Electricity Transmission Plc (31 December 2014: 9,777,307) 11,296,616 2.23 2.983% 08-Jul-2018 778,317 0.15 16,657 Aviva Investors Sicav - Global Convertibles Fund 3,450,033 0.68 100,000 National Grid Gas Plc 4.188% 14-Dec-2022 285,661 0.06 597,642 Bilfi nger Berger Global Infrastructure SICAV SA/Fund 1,151,301 0.23 657,504 Network Rail Infrastructure Finance Plc 4,437 RWC Funds - RWC Global Convertibles Fund 6,695,282 1.32 1.750% 22-Nov-2027 1,213,956 0.24 450,000 Scotland Gas Networks Plc 2.127% 21-Oct-2022 989,120 0.20 United Kingdom - 1,505,876 550,000 Tesco Plc 3.322% 05-Nov-2025 1,240,636 0.25 (31 December 2014: –) 1,505,876 0.30 288,000 Tesco Plc 4.000% 08-Sep-2016 669,890 0.13 940,938 Greencoat UK Wind Plc 1,505,876 0.30 444,000 Tesco Plc 6.125% 24-Feb-2022 691,434 0.14 Total investments in collective investment schemes 47,290,594 9.34 1,449,502 Tesco Property Finance 3 Plc 5.744% 13-Apr-2040 1,877,819 0.37

Bonds United States of America - 127,789,403 Australia - 28,602,067 (31 December 2014: 51,462,752) 127,789,403 25.25 (31 December 2014: 31,103,263) 28,602,067 5.65 2,005,000 Sprint Capital Corp 8.750% 15-Mar-2032 1,518,787 0.30 13,201,000 Australia Government Bond 3.750% 21-Apr-2037 10,110,207 2.00 600,000 Sprint Communications Inc 9.250% 15-Apr-2022 585,000 0.12 13,424,000 Australia Government Bond 4.500% 21-Apr-2033 11,382,339 2.25 696,000 Sprint Corp 7.125% 15-Jun-2024 505,470 0.10 3,296,800 New South Wales Treasury Corp 1,499,000 Sprint Corp 7.875% 15-Sep-2023 1,127,998 0.22 2.750% 20-Nov-2025 3,500,933 0.69 75,000 Sprint Corp 7.875% 15-Sep-2023 56,438 0.01 4,085,000 Treasury Corp of Victoria 5.500% 17-Nov-2026 3,608,588 0.71 76,713,200 United States Treasury Note/Bond 1.000% 31-Oct-2016 76,884,002 15.19 Cayman Islands - 946,545 20,188,900 United States Treasury Note/Bond (31 December 2014: 1,002,330) 946,545 0.19 1.500% 31-Aug-2018 20,311,537 4.01 476,364 Dwr Cymru Financing Ltd 1.859% 31-Mar-2048 946,545 0.19 27,068,200 United States Treasury Note/Bond 3.000% 15-May-2045 26,800,171 5.30 France - 563,438 (31 December 2014: –) 563,438 0.11 Total investments in bonds 184,676,724 36.49 509,000 Numericable-SFR SAS 5.625% 15-May-2024 563,438 0.11 Equities Jersey - 300,827 (31 December 2014: –) 300,827 0.06 Australia - 7,040,108 198,000 CPUK Finance Ltd 7.000% 28-Aug-2020 300,827 0.06 (31 December 2014: 6,679,888) 7,040,108 1.39 813,183 Dexus Property Group 4,465,443 0.88 Luxembourg - 1,855,788 271,275 Newcrest Mining Ltd 2,574,665 0.51 (31 December 2014: –) 1,855,788 0.37 1,377,000 Altice SA 6.250% 15-Feb-2025 1,271,163 0.25 Canada - 11,868,532 572,000 Altice SA 7.250% 15-May-2022 584,625 0.12 (31 December 2014: 9,189,067) 11,868,532 2.35 23,168 Agnico Eagle Mines Ltd 606,972 0.12 Netherlands - 1,659,120 319,022 Alacer Gold Corp 569,600 0.11 (31 December 2014: –) 1,659,120 0.33 106,167 Alamos Gold Inc 350,068 0.07 1,179,000 Petrobras Global Finance BV 6.750% 27-Jan-2041 769,298 0.15 229,791 Barrick Gold Corp 1,694,709 0.34 997,000 Petrobras Global Finance BV 7.875% 15-Mar-2019 889,822 0.18 123,945 Centerra Gold Inc 584,924 0.12

147 BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities contd. Equities contd. Canada contd. South Africa - 668,181 63,334 Detour Gold Corp 656,366 0.13 (31 December 2014: 2,223,995) 668,181 0.13 343,965 Eldorado Gold Corp 1,033,876 0.20 246,941 Gold Fields Ltd 668,181 0.13 359,505 IAMGOLD Corp 521,528 0.10 387,642 Kinross Gold Corp 711,654 0.14 Sweden - 2,597,941 231,066 New Gold Inc 529,838 0.11 (31 December 2014: 7,144,447) 2,597,941 0.51 327,276 OceanaGold Corp 629,105 0.13 517,663 TeliaSonera AB 2,597,941 0.51 182,828 Primero Mining Corp 408,698 0.08 236,120 Silver Wheaton Corp 2,900,927 0.57 Switzerland - 18,040,107 357,390 Yamana Gold Inc 670,267 0.13 (31 December 2014: 22,025,596) 18,040,107 3.56 93,520 Novartis AG 8,174,233 1.61 Denmark - 1,744,991 35,444 Roche Holding AG 9,865,874 1.95 (31 December 2014: 4,005,924) 1,744,991 0.35 347,714 TDC A/S 1,744,991 0.35 United Kingdom - 35,766,833 (31 December 2014: 46,179,083) 35,766,833 7.07 France - 10,761,344 502,088 BAE Systems Plc 3,733,117 0.74 (31 December 2014: 24,446,253) 10,761,344 2.13 72,985 British American Tobacco Plc 4,084,122 0.81 35,846 Sanofi 3,068,959 0.61 2,077,166 Centrica Plc 6,679,366 1.32 357,077 Vivendi SA 7,692,385 1.52 564,560 Cobham Plc 2,365,468 0.47 64,730 Fresnillo Plc 672,880 0.13 Germany - 18,531,429 330,104 GlaxoSmithKline Plc 6,715,008 1.33 (31 December 2014: 19,002,334) 18,531,429 3.66 77,610 Royal Dutch Shell Plc 1,779,724 0.35 59,751 Bayer AG 7,561,111 1.49 425,968 United Utilities Group Plc 5,905,071 1.16 64,133 Brenntag AG 3,394,172 0.67 1,170,272 Vodafone Group Plc 3,832,077 0.76 13,201 LEG Immobilien AG 1,086,133 0.21 19,403 SAP SE 1,556,044 0.31 United States of America - 80,746,315 924,427 Telefonica Deutschland Holding AG 4,933,969 0.98 (31 December 2014: 65,762,096) 80,746,315 15.95 120,051 Abbott Laboratories 5,434,109 1.07 Guernsey - 2,602,560 85,617 Accenture Plc 9,065,128 1.79 (31 December 2014: –) 2,602,560 0.51 189,480 CA Inc 5,516,710 1.09 1,715,128 Renewables Infrastructure Group Ltd 2,602,560 0.51 194,073 CMS Energy Corp 7,117,627 1.41 45,833 Dollar General Corp 3,304,789 0.65 Hong Kong - 1,412,724 24,138 Dun & Bradstreet Corp/The 2,554,162 0.50 (31 December 2014: –) 1,412,724 0.28 129,986 Eversource Energy 6,740,424 1.33 234,600 AIA Group Ltd 1,412,724 0.28 29,455 Express Scripts Holding Co 2,587,916 0.51 148,482 Merck & Co Inc 7,905,924 1.56 Israel - 4,747,856 216,205 Microsoft Corp 12,175,585 2.41 (31 December 2014: 1,207,971) 4,747,856 0.94 53,690 Procter & Gamble Co/The 4,298,153 0.85 229,746 Bank Hapoalim BM 1,172,815 0.23 140,898 Reynolds American Inc 6,576,414 1.30 54,114 Teva Pharmaceutical Industries Ltd ADR 3,575,041 0.71 129,377 Sysco Corp 5,363,324 1.06 97,053 Trimble Navigation Ltd 2,106,050 0.42 Japan - 15,968,631 (31 December 2014: 12,233,232) 15,968,631 3.16 Total investments in equities 235,882,255 46.61 255,400 Japan Tobacco Inc 9,491,711 1.88 188,100 Skylark Co Ltd 2,453,105 0.49 Index options - 47,500 43,000 SoftBank Corp 2,191,523 0.43 (31 December 2014: 59,220) 107,000 Topcon Corp 1,832,292 0.36 125 CBOE S&P 500 Index Put 14-Jan-2016 1950.000 47,500 0.01

Jersey - 3,521,183 Total index options 47,500 0.01 (31 December 2014: –) 3,521,183 0.70 10,083 Randgold Resources Ltd 615,365 0.12 Underlying Fair Total 52,884 Wolseley Plc 2,905,818 0.58 exposure value net assets Netherlands - 16,217,816 Holdings Description USD USD % (31 December 2014: 16,404,106) 16,217,816 3.20 336,305 RELX NV 5,706,356 1.13 Open futures contracts - 104,021 309,251 Wolters Kluwer NV 10,511,460 2.07 (31 December 2014: - (2,046,211)) (177) S&P 500 Index New Zealand - 3,645,704 Short Futures Contracts (31 December 2014: 4,497,280) 3,645,704 0.72 Exp Mar-2016 (90,916,050) 104,021 0.02 1,617,995 Spark New Zealand Ltd 3,645,704 0.72 Total open futures contracts 104,021 0.02

148 BNY MELLON GLOBAL REAL RETURN FUND (USD)

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts contd. value net assets Settle Unrealised Holdings Description USD % Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

Unrealised gain on forward foreign currency contracts - 6,274,101 (see below) BNY Mellon Global Real Return Fund (USD) contd. (31 December 2014: 10,352,262) 6,274,101 1.24 US dollar Canadian dollar 11,077,709 14,588,173 18-Feb-16 State Street Bank 573,855 US dollar Israeli shekel 1,655,531 6,431,833 18-Feb-16 Royal Bank Total fi nancial assets of Scotland 9,610 at fair value through profi t or loss 474,275,195 93.71 US dollar Norwegian krone 4,909,310 42,538,038 18-Feb-16 The Bank of New York Mellon 86,413 US dollar Norwegian krone 367,189 3,135,784 18-Feb-16 The Bank of Unrealised loss on forward foreign currency contracts - (1,565,570) (see below) New York Mellon 11,658 (31 December 2014: (2,587,885)) (1,565,570) (0.31) Swiss franc US dollar 5,149,430 5,175,400 16-Mar-16 UBS 24,733 US dollar Australian dollar 47,053,522 64,576,894 16-Mar-16 JPMorgan Chase 5,818 Total fi nancial liabilities US dollar Swiss franc 5,208,641 5,149,430 16-Mar-16 JPMorgan Chase 8,507 at fair value through profi t or loss (1,565,570) (0.31)

Net current assets 33,428,616 6.60 USD 6,274,101

Total net assets 506,138,241 100.00 Euro US dollar 898,567 1,024,075 15-Jan-16 JPMorgan Chase (45,038) Sterling US dollar 99,969 152,724 15-Jan-16 JPMorgan Chase The counterparty for index options is UBS. (4,580) The counterparty for futures contracts is UBS. Sterling US dollar 4,755,758 7,213,919 15-Jan-16 Royal Bank of Scotland (166,379)

Sterling US dollar 7,557,351 11,304,922 15-Jan-16 JPMorgan Chase (105,713) Analysis of portfolio % of Total assets Sterling US dollar 156,449 240,139 15-Jan-16 JPMorgan Chase (8,298) Sterling US dollar 1,472,195 2,246,607 15-Jan-16 State Street Bank (64,967) Transferable securities and money market instruments admitted Sterling US dollar 538,394 826,046 15-Jan-16 State Street Bank (28,202) to offi cial stock exchange listing or traded on a regulated market 92.04 Sterling US dollar 325,795 501,322 15-Jan-16 JPMorgan Chase (18,527) Financial derivative instruments dealt in on a regulated market 0.03 US dollar Euro 166,628 157,546 15-Jan-16 JPMorgan Chase (5,027) OTC fi nancial derivative instruments 1.23 US dollar Euro 963,315 897,668 15-Jan-16 UBS (14,742) Other current assets 6.70 US dollar Euro 1,972,582 1,841,251 15-Jan-16 JPMorgan Chase (33,561) Norwegian krone US dollar 45,673,822 5,316,825 18-Feb-16 UBS (138,398) Total assets 100.00 US dollar Canadian dollar 355,299 495,152 18-Feb-16 JPMorgan Chase (1,223) US dollar New Zealand dollar 778,377 1,146,666 18-Feb-16 UBS (4,060) US dollar New Zealand dollar 21,407,105 32,617,071 18-Feb-16 State Street Bank (849,412) Forward foreign currency contracts US dollar Swedish krona 3,006,724 25,911,442 18-Feb-16 UBS (71,238) US dollar Australian dollar 502,910 698,802 16-Mar-16 UBS (6,205) Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) USD (1,565,570)

BNY Mellon Global Real Return Fund (USD) Net USD 4,708,531 US dollar Sterling 60,725 40,973 04-Jan-16 Royal Bank of Scotland 9 Euro US dollar 329,978 359,069 15-Jan-16 UBS 460 Euro US dollar 7,463,585 7,896,249 15-Jan-16 Royal Bank of Scotland 235,731 US dollar Euro 214,770 194,116 15-Jan-16 UBS 3,269 US dollar Euro 65,906,696 58,553,890 15-Jan-16 State Street Bank 2,109,063 US dollar Euro 1,332,609 1,207,205 15-Jan-16 Royal Bank of Scotland 17,294 US dollar Euro 737,186 673,846 15-Jan-16 Royal Bank of Scotland 2,994 US dollar Hong Kong dollar 579,783 4,493,165 15-Jan-16 State Street Bank 30 US dollar Hong Kong dollar 648,391 5,025,000 15-Jan-16 State Street Bank 15 US dollar South African rand 563,155 7,702,737 15-Jan-16 State Street Bank 70,151 US dollar Sterling 441,716 292,184 15-Jan-16 UBS 8,731 US dollar Sterling 564,970 371,551 15-Jan-16 UBS 14,370 US dollar Sterling 409,930 271,958 15-Jan-16 JPMorgan Chase 6,917 US dollar Sterling 266,939 176,482 15-Jan-16 JPMorgan Chase 5,411 US dollar Sterling 870,439 584,432 15-Jan-16 JPMorgan Chase 4,372 US dollar Sterling 296,262 195,584 15-Jan-16 UBS 6,427 US dollar Sterling 884,271 581,786 15-Jan-16 UBS 22,125 US dollar Sterling 97,233,507 63,600,151 15-Jan-16 State Street Bank 2,984,685 US dollar Sterling 200,209 130,420 15-Jan-16 State Street Bank 6,940 US dollar Sterling 726,945 480,963 15-Jan-16 JPMorgan Chase 14,208 US dollar Sterling 668,580 440,427 15-Jan-16 JPMorgan Chase 15,913 US dollar Sterling 252,584 169,028 15-Jan-16 JPMorgan Chase 2,101 US dollar Sterling 368,138 241,895 15-Jan-16 JPMorgan Chase 9,674 US dollar Sterling 553,575 365,044 15-Jan-16 State Street Bank 12,617

149 BNY MELLON JAPAN ALL CAP EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description JPY % Holdings Description JPY %

Equities Equities contd. Basic Materials - 200,411,750 Industrials contd. (31 December 2014: 61,138,300) 200,411,750 5.06 35,000 Mitsubishi Electric Corp 44,861,250 1.13 34,100 Daicel Corp 61,908,550 1.56 128,000 Mitsubishi Heavy Industries Ltd 68,300,800 1.72 7,200 Nippon Shokubai Co Ltd 61,056,000 1.54 10,200 Mitsubishi Pencil Co Ltd 57,273,000 1.45 6,200 Nitto Denko Corp 55,217,200 1.40 58,000 Nichias Corp 46,313,000 1.17 78,000 UACJ Corp 22,230,000 0.56 10,400 Nidec Corp 91,821,600 2.32 24,900 Park24 Co Ltd 72,969,450 1.84 Consumer Discretionary - 982,591,550 141,800 Penta-Ocean Construction Co Ltd 71,892,600 1.81 (31 December 2014: 206,058,350) 982,591,550 24.79 92,000 Sankyu Inc 57,040,000 1.44 20,200 Bandai Namco Holdings Inc 51,802,900 1.30 55,000 Shimizu Corp 54,505,000 1.38 11,100 Denso Corp 64,557,600 1.63 10,000 Sohgo Security Services Co Ltd 57,100,000 1.44 19,300 Fuji Heavy Industries Ltd 97,059,700 2.45 10,600 Star Micronics Co Ltd 16,801,000 0.42 36,200 Gulliver International Co Ltd 43,892,500 1.11 35,000 Temp Holdings Co Ltd 65,905,000 1.66 7,100 Hikari Tsushin Inc 58,681,500 1.48 23,900 Totetsu Kogyo Co Ltd 72,656,000 1.83 8,300 HIS Co Ltd 33,739,500 0.85 19,000 Tsubakimoto Chain Co 17,812,500 0.45 37,300 Isuzu Motors Ltd 49,049,500 1.24 6,700 Jin Co Ltd 30,032,750 0.76 Information Technology - 464,755,250 29,200 Mazda Motor Corp 73,737,300 1.86 (31 December 2014: 102,263,200) 464,755,250 11.73 15,500 Nifco Inc 87,265,000 2.20 22,300 Dexerials Corp 28,956,550 0.73 24,400 Nissan Motor Co Ltd 31,244,200 0.79 5,400 Disco Corp 62,046,000 1.57 26,600 Rakuten Inc 37,346,400 0.94 123,000 Hitachi Ltd 85,116,000 2.15 6,900 Rinnai Corp 74,485,500 1.88 10,400 Kakaku.com Inc 24,871,600 0.63 2,200 Ryohin Keikaku Co Ltd 54,252,000 1.37 600 Keyence Corp 40,281,000 1.02 1,600 Shimano Inc 29,872,000 0.75 9,300 Omron Corp 37,804,500 0.95 22,100 Toyota Motor Corp 165,573,200 4.18 24,000 Osaki Electric Co Ltd 16,440,000 0.41 7,700 Otsuka Corp 45,853,500 1.16 Consumer Staples - 184,386,200 18,600 SCSK Corp 90,907,500 2.29 (31 December 2014: 33,903,250) 184,386,200 4.65 22,200 Yokogawa Electric Corp 32,478,600 0.82 18,800 Japan Tobacco Inc 84,111,200 2.12 6,200 Pola Orbis Holdings Inc 49,755,000 1.26 Telecommunication Services - 129,434,500 4,800 Tsuruha Holdings Inc 50,520,000 1.27 (31 December 2014: 33,382,600) 129,434,500 3.27 9,000 Nippon Telegraph & Telephone Corp 43,537,500 1.10 Financials - 661,477,520 14,000 SoftBank Corp 85,897,000 2.17 (31 December 2014: 144,583,820) 661,477,520 16.69 41,000 77 Bank Ltd/The 26,896,000 0.68 Total investments in equities 3,901,163,820 98.43 34,200 Dai-ichi Life Insurance Co Ltd/The 69,648,300 1.76 61,000 Leopalace21 Corp 40,107,500 1.01 Unrealised gain on forward foreign currency contracts - 17,306,312 (see below) 20,000 Mitsubishi Estate Co Ltd 50,510,000 1.28 (31 December 2014: 2,225,658) 17,306,312 0.43 191,800 Mitsubishi UFJ Financial Group Inc 145,269,320 3.67 360,000 Mizuho Financial Group Inc 87,696,000 2.21 Total fi nancial assets 17,100 Star Mica Co Ltd 25,017,300 0.63 at fair value through profi t or loss 3,918,470,132 98.86 20,700 Sumitomo Mitsui Financial Group Inc 95,406,300 2.41 7,000 Sumitomo Realty & Development Co Ltd 24,349,500 0.61 Unrealised loss on forward foreign currency contracts - (28,656,971) (see below) 30,700 Tokai Tokyo Financial Holdings Inc 22,764,050 0.57 (31 December 2014: (6,901,949)) (28,656,971) (0.72) 9,100 Unizo Holdings Co Ltd 44,430,750 1.12 7,300 Zenkoku Hosho Co Ltd 29,382,500 0.74 Total fi nancial liabilities at fair value through profi t or loss (28,656,971) (0.72) Health Care - 267,326,000 (31 December 2014: 57,692,600) 267,326,000 6.74 Net current assets 73,440,044 1.86 49,100 Astellas Pharma Inc 85,090,300 2.15 Total net assets 3,963,253,205 100.00 18,300 Nihon Kohden Corp 53,829,450 1.36 36,100 Nikkiso Co Ltd 34,656,000 0.87 46,700 Santen Pharmaceutical Co Ltd 93,750,250 2.36 Analysis of portfolio % of Total assets Industrials - 1,010,781,050 Transferable securities and money market instruments admitted (31 December 2014: 212,808,600) 1,010,781,050 25.50 to offi cial stock exchange listing or traded on a regulated market 97.54 15,900 Aica Kogyo Co Ltd 38,001,000 0.96 OTC fi nancial derivative instruments 0.43 21,600 Anest Iwata Corp 22,226,400 0.56 Other current assets 2.03 1,300 FANUC Corp 27,391,000 0.69 31,000 Keio Corp 32,534,500 0.82 Total assets 100.00 29,000 Kubota Corp 54,708,500 1.38 13,700 METAWATER Co Ltd 40,668,450 1.03

150 BNY MELLON JAPAN ALL CAP EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Japan All Cap Equity Fund EUR H (Hedged) Share Class Euro Japanese yen 6,147 820,502 15-Jan-16 The Bank of New York Mellon (11,258)

JPY (11,258)

EUR (85)

BNY Mellon Japan All Cap Equity Fund EUR I (Hedged) Share Class Euro Japanese yen 3,226,735 430,676,131 15-Jan-16 The Bank of New York Mellon (5,909,558)

JPY (5,909,558)

EUR (44,893)

BNY Mellon Japan All Cap Equity Fund USD H (Hedged) Share Class US dollar Japanese yen 237,044 28,730,113 15-Jan-16 The Bank of New York Mellon (180,456)

JPY (180,456)

USD (1,498)

BNY Mellon Japan All Cap Equity Fund USD I (Hedged) Share Class Japanese yen US dollar 1,667,337,885 13,700,000 15-Jan-16 The Bank of New York Mellon 17,306,312

JPY 17,306,312

USD 143,645

US dollar Japanese yen 29,628,831 3,591,064,746 15-Jan-16 The Bank of New York Mellon (22,555,699)

JPY (22,555,699)

USD (187,215)

Net JPY (5,249,387)

Net USD (43,570)

151 BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description JPY % JPY %

Equities Unrealised loss on forward foreign currency contracts - (25,139,478) (see below) Basic Materials - 341,328,000 (31 December 2014: (14,928,954)) (25,139,478) (0.56) (31 December 2014: 176,111,000) 341,328,000 7.66 Total fi nancial liabilities 188,000 Dowa Holdings Co Ltd 164,688,000 3.70 at fair value through profi t or loss (25,139,478) (0.56) 184,000 Sanyo Chemical Industries Ltd 176,640,000 3.96 Net current assets 22,219,551 0.50 Communications - 516,329,750 (31 December 2014: 192,274,000) 516,329,750 11.59 Total net assets 4,454,629,125 100.00 31,800 CyberAgent Inc 159,795,000 3.59 41,800 Kakaku.com Inc 99,964,700 2.24 118,700 Vector Inc 256,570,050 5.76 Analysis of portfolio % of Total assets

Consumer, Cyclical - 768,827,500 Transferable securities and money market instruments admitted (31 December 2014: 258,201,100) 768,827,500 17.26 to offi cial stock exchange listing or traded on a regulated market 98.64 34,500 HIS Co Ltd 140,242,500 3.15 OTC fi nancial derivative instruments 0.00 62,000 Nippon Gas Co Ltd 184,791,000 4.15 Other current assets 1.36 59,900 Pal Co Ltd 174,309,000 3.91 70,400 Resorttrust Inc 225,280,000 5.06 Total assets 100.00 4,200 Tsuruha Holdings Inc 44,205,000 0.99

Consumer, Non-cyclical - 132,705,500 (31 December 2014: 135,544,000) 132,705,500 2.98 Forward foreign currency contracts 22,900 Ain Holdings Inc 132,705,500 2.98 Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss) Financials - 911,150,250 (31 December 2014: 325,477,100) 911,150,250 20.45 BNY Mellon Japan Small Cap Equity Focus Fund 256,000 77 Bank Ltd/The 167,936,000 3.77 EUR H (Hedged) Share Class 64,600 Anicom Holdings Inc 210,596,000 4.73 Japanese yen Euro 463,793 3,512 15-Jan-16 The Bank of 66,400 Financial Products Group Co Ltd 63,412,000 1.42 New York Mellon 1,510 301,500 Leopalace21 Corp 198,236,250 4.45 40,000 Unizo Holdings Co Ltd 195,300,000 4.38 JPY 1,510 18,800 Zenkoku Hosho Co Ltd 75,670,000 1.70 EUR 11 Industrials - 1,502,090,500 (31 December 2014: 430,167,700) 1,502,090,500 33.72 Euro Japanese yen 123,438 16,475,406 15-Jan-16 The Bank of 252,000 Nichias Corp 201,222,000 4.52 New York Mellon (226,069) 159,000 Nikkiso Co Ltd 152,640,000 3.43 256,000 Osaki Electric Co Ltd 175,360,000 3.94 JPY (226,069) 433,100 Penta-Ocean Construction Co Ltd 219,581,700 4.93 22,400 SHO-BOND Holdings Co Ltd 99,176,000 2.22 EUR (1,717) 102,500 Star Micronics Co Ltd 162,462,500 3.65 75,000 Tadano Ltd 110,662,500 2.48 Net JPY (224,559) 80,600 Temp Holdings Co Ltd 151,769,800 3.41 75,400 Totetsu Kogyo Co Ltd 229,216,000 5.14 Net EUR (1,706)

Information Technology - 284,948,900 (31 December 2014: 44,730,400) 284,948,900 6.40 BNY Mellon Japan Small Cap Equity Focus Fund 10,300 Itokuro Inc 23,767,250 0.54 EUR I (Hedged) Share Class 13,500 TechMatrix Corp 24,630,750 0.55 Euro Japanese yen 3,730,985 497,979,026 15-Jan-16 The Bank of New York Mellon (6,833,058) 233,400 V-Cube Inc 236,550,900 5.31 JPY (6,833,058) Total investments in equities 4,457,380,400 100.06 EUR (51,908) Unrealised gain on forward foreign currency contracts - 168,652 (see below) (31 December 2014: 2,729,521) 168,652 0.00

Total fi nancial assets at fair value through profi t or loss 4,457,549,052 100.06

152 BNY MELLON JAPAN SMALL CAP EQUITY FOCUS FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts contd. Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Japan Small Cap Equity Focus Fund USD H (Hedged) Share Class Japanese yen US dollar 26,878,956 222,198 15-Jan-16 The Bank of New York Mellon 117,384 Japanese yen US dollar 6,007,606 49,467 15-Jan-16 The Bank of New York Mellon 49,758

JPY 167,142

USD 1,387

US dollar Japanese yen 3,496,224 423,748,296 15-Jan-16 The Bank of New York Mellon (2,661,589)

JPY (2,661,589)

USD (22,091)

Net JPY (2,494,447)

Net USD (20,704)

BNY Mellon Japan Small Cap Equity Focus Fund USD I (Hedged) Share Class US dollar Japanese yen 20,253,857 2,454,801,941 15-Jan-16 The Bank of New York Mellon (15,418,762)

JPY(15,418,762)

USD (127,978)

153 BNY MELLON LONG-TERM GLOBAL EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities Equities contd. Australia - 32,173,434 United Kingdom - 44,265,763 (31 December 2014: 50,732,897) 32,173,434 2.22 (31 December 2014: 105,699,803) 44,265,763 3.05 455,000 CSL Ltd 32,173,434 2.22 744,517 Compass Group Plc 11,892,192 0.82 380,200 Reckitt Benckiser Group Plc 32,373,571 2.23 Canada - 17,217,991 (31 December 2014: 21,638,440) 17,217,991 1.19 United States of America - 673,300,422 724,740 Suncor Energy Inc 17,217,991 1.19 (31 December 2014: 648,302,698) 673,300,422 46.45 414,100 Adobe Systems Inc 35,781,942 2.47 China - 57,505,921 49,752 Alphabet Inc 34,745,795 2.40 (31 December 2014: 71,511,072) 57,505,921 3.97 572,806 Amphenol Corp 27,532,086 1.90 2,701,986 China Mobile Ltd 28,062,897 1.94 389,800 Automatic Data Processing Inc 30,389,487 2.10 30,728,646 CNOOC Ltd 29,443,024 2.03 1,140,200 Cisco Systems Inc 28,490,548 1.96 517,700 Cognizant Technology Solutions Corp 28,584,827 1.97 Denmark - 32,733,975 459,156 Colgate-Palmolive Co 28,142,952 1.94 (31 December 2014: 28,112,161) 32,733,975 2.26 369,256 EOG Resources Inc 24,051,311 1.66 610,500 Novo Nordisk A/S 32,733,975 2.26 691,040 Fastenal Co 25,946,963 1.79 274,900 Gilead Sciences Inc 25,594,071 1.76 France - 72,614,175 64,800 Intuitive Surgical Inc 32,576,467 2.25 (31 December 2014: 64,611,910) 72,614,175 5.01 309,900 Johnson & Johnson 29,284,704 2.02 167,200 Essilor International SA 19,269,800 1.33 347,700 MasterCard Inc 31,173,792 2.15 175,500 L’Oreal SA 27,303,412 1.88 621,000 Microsoft Corp 31,688,543 2.19 179,500 LVMH Moet Hennessy Louis Vuitton SA 26,040,963 1.80 128,800 MSC Industrial Direct Co Inc 6,669,624 0.46 Hong Kong - 57,354,695 574,600 Nike Inc 33,053,680 2.28 (31 December 2014: 53,349,581) 57,354,695 3.95 705,211 Oracle Corp 23,701,687 1.63 259,900 Praxair Inc 24,484,507 1.69 5,010,800 AIA Group Ltd 27,768,783 1.91 444,672 Schlumberger Ltd 28,529,770 1.97 16,393,660 Hong Kong & China Gas Co Ltd 29,585,912 2.04 559,951 Starbucks Corp 30,928,022 2.13 Japan - 168,704,622 342,100 Stryker Corp 29,252,002 2.02 (31 December 2014: 148,095,667) 168,704,622 11.64 479,800 TJX Cos Inc 31,302,313 2.16 713,800 Denso Corp 31,782,239 2.19 283,200 Walt Disney Co/The 27,380,536 1.89 186,300 FANUC Corp 30,051,139 2.07 128,800 WW Grainger Inc 24,014,793 1.66 799,800 Honda Motor Co Ltd 23,953,214 1.65 71,200 Keyence Corp 36,594,223 2.53 Total investments in equities 1,407,469,049 97.09

1,055,300 Komatsu Ltd 16,099,497 1.11 Unrealised gain on forward foreign currency contracts - 10,018 (see below) 597,000 Shin-Etsu Chemical Co Ltd 30,224,310 2.09 (31 December 2014: 1,057,766) 10,018 0.00 Singapore - 25,223,011 (31 December 2014: 30,495,435) 25,223,011 1.74 Total fi nancial assets 2,328,017 DBS Group Holdings Ltd 25,223,011 1.74 at fair value through profi t or loss 1,407,479,067 97.09

Spain - 30,235,460 Unrealised loss on forward foreign currency contracts - (1,490) (see below) (31 December 2014: 30,200,170) 30,235,460 2.08 (31 December 2014: (443,022)) (1,490) (0.00) 953,800 Inditex SA 30,235,460 2.08 Total fi nancial liabilities Sweden - 28,693,797 at fair value through profi t or loss (1,490) (0.00) (31 December 2014: 29,581,155) 28,693,797 1.98 867,600 Hennes & Mauritz AB 28,693,797 1.98 Net current assets 42,107,178 2.91

Switzerland - 137,600,519 Total net assets 1,449,584,755 100.00 (31 December 2014: 146,729,939) 137,600,519 9.49 405,000 Nestle SA 27,747,504 1.91 370,200 Novartis AG 29,529,551 2.04 Analysis of portfolio % of Total assets 106,100 Roche Holding AG 26,951,700 1.86 Transferable securities and money market instruments admitted 7,500 SGS SA 13,170,771 0.91 to offi cial stock exchange listing or traded on a regulated market 96.34 39,800 Swatch Group AG 12,803,033 0.88 OTC fi nancial derivative instruments 0.00 76,000 Syngenta AG 27,397,960 1.89 Other current assets 3.66 Taiwan - 29,845,264 Total assets 100.00 (31 December 2014: 29,996,682) 29,845,264 2.06 1,426,000 Taiwan Semiconductor Manufacturing Co Ltd ADR 29,845,264 2.06

154 BNY MELLON LONG-TERM GLOBAL EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Fair Total Fair Total Settle value netUnrealised assets value net assets BuyHoldings Description Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)% Holdings Description %

BNY Mellon Long-Term Global Equity Fund US dollar Euro 2,000,000 1,834,862 05-Jan-16 The Bank of New York Mellon 5,438

EUR 5,438

Euro US dollar 75,743 82,745 04-Jan-16 The Bank of New York Mellon (397)

EUR (397)

Net EUR 5,041

BNY Mellon Long-Term Global Equity Fund CHF W (Hedged) Share Class Swiss franc Euro 283,851 261,920 15-Jan-16 The Bank of New York Mellon (1,093)

EUR (1,093)

CHF (1,190)

BNY Mellon Long-Term Global Equity Fund USD W (Hedged) Share Class US dollar Euro 443,996 403,861 15-Jan-16 The Bank of New York Mellon 4,580

EUR 4,580

USD 4,977

155 BNY MELLON PAN EUROPEAN EQUITY FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities Equities contd. Belgium - 1,323,067 Spain - 587,612 (31 December 2014: –) 1,323,067 2.69 (31 December 2014: 578,508) 587,612 1.19 11,475 Anheuser-Busch InBev NV 1,323,067 2.69 18,506 Inditex SA 587,612 1.19

Denmark - 1,088,355 Sweden - 947,369 (31 December 2014: 363,907) 1,088,355 2.21 (31 December 2014: 741,891) 947,369 1.93 20,296 Novo Nordisk A/S 1,088,355 2.21 35,332 Svenska Cellulosa AB SCA 947,369 1.93

France - 4,834,572 Switzerland - 7,130,417 (31 December 2014: 1,530,127) 4,834,572 9.83 (31 December 2014: 3,643,628) 7,130,417 14.50 6,994 Essilor International SA 808,331 1.64 42,432 Credit Suisse Group AG 850,791 1.73 10,303 Sanofi 809,816 1.65 26,204 Nestle SA 1,806,054 3.67 26,584 Veolia Environnement SA 581,924 1.18 26,807 Novartis AG 2,151,112 4.37 14,129 Vinci SA 838,556 1.70 6,132 Roche Holding AG 1,566,994 3.19 62,803 Vivendi SA 1,242,086 2.53 3,164 Zurich Insurance Group AG 755,466 1.54 23,174 Worldline SA 144A 553,859 1.13 United Kingdom - 15,540,377 Germany - 8,942,359 (31 December 2014: 4,849,091) 15,540,377 31.60 (31 December 2014: 3,693,821) 8,942,359 18.18 19,821 Associated British Foods Plc 905,488 1.84 14,418 Bayer AG 1,675,011 3.40 438,976 Barclays Plc 1,309,951 2.66 10,823 Brenntag AG 525,863 1.07 68,944 BG Group Plc 928,275 1.89 62,732 Commerzbank AG 601,537 1.22 22,566 British American Tobacco Plc 1,159,289 2.36 18,995 Hella KGaA Hueck & Co 731,497 1.49 264,748 Centrica Plc 781,572 1.59 93,885 Infi neon Technologies AG 1,273,315 2.59 40,202 Diageo Plc 1,020,007 2.07 21,940 LEG Immobilien AG 1,657,238 3.37 140,287 Dixons Carphone Plc 950,723 1.93 10,168 MTU Aero Engines AG 915,883 1.86 63,336 GlaxoSmithKline Plc 1,182,820 2.41 10,998 SAP SE 809,728 1.65 143,652 Just Eat Plc 963,268 1.96 153,528 Telefonica Deutschland Holding AG 752,287 1.53 7,719 Next Plc 765,272 1.56 89,922 Prudential Plc 1,875,972 3.81 Ireland - 830,567 62,640 RELX Plc 1,021,331 2.08 (31 December 2014: 274,365) 830,567 1.69 44,363 Royal Dutch Shell Plc 933,960 1.90 30,975 CRH Plc 830,567 1.69 579,616 Vodafone Group Plc 1,742,449 3.54

Italy - 2,314,807 Total investments in equities 48,639,245 98.89 (31 December 2014: 612,823) 2,314,807 4.71 44,274 Atlantia SpA 1,085,156 2.21 Unrealised gain on forward foreign currency contracts - 1 (see below) 189,422 Intesa Sanpaolo SpA 585,124 1.19 (31 December 2014: –) 1 0.00 18,663 Yoox Net-A-Porter Group SpA 644,527 1.31 Total fi nancial assets Jersey - 812,464 at fair value through profi t or loss 48,639,246 98.89 (31 December 2014: –) 812,464 1.65 16,106 Wolseley Plc 812,464 1.65 Unrealised loss on forward foreign currency contracts - (4) (see below) (31 December 2014: –) (4) (0.00) Luxembourg - 316,665 (31 December 2014: –) 316,665 0.64 Total fi nancial liabilities 82,004 B&M European Value Retail SA 316,665 0.64 at fair value through profi t or loss (4) (0.00)

Netherlands - 2,712,779 Net current assets 544,058 1.11 (31 December 2014: 659,147) 2,712,779 5.52 27,361 Intertrust NV 144A 553,034 1.13 Total net assets 49,183,300 100.00 29,816 Koninklijke Ahold NV 580,741 1.18 50,601 Wolters Kluwer NV 1,579,004 3.21 Analysis of portfolio % of Total assets Norway - 552,758 (31 December 2014: 1,021,044) 552,758 1.12 Transferable securities and money market instruments admitted 48,364 DNB ASA 552,758 1.12 to offi cial stock exchange listing or traded on a regulated market 98.78 OTC fi nancial derivative instruments 0.00 Portugal - 705,077 Other current assets 1.22 (31 December 2014: 181,110) 705,077 1.43 65,074 Galp Energia SGPS SA 705,077 1.43 Total assets 100.00

156 BNY MELLON PAN EUROPEAN EQUITY FUND

Portfolio of investments – as at 31 December 2015 Forward foreign currency contracts Fair Total Fair Total Settle value netUnrealised assets value net assets BuyHoldings Description Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)% Holdings Description EUR %

BNY Mellon Pan European Equity Fund Sterling Euro 440 598 04-Jan-16 Royal Bank of Scotland 1

EUR 1

Sterling US dollar 2,268 3,364 04-Jan-16 JPMorgan Chase (4)

EUR (4)

Net EUR (3)

157 BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Equities contd. Government - 44,995 Communications contd. (31 December 2014: 164,992) 44,995 0.06 441 News Corp - Class B 6,152 0.01 40,000 United States Treasury Bill 0.000% 25-Feb-2016* 39,996 0.05 1,589 Nielsen Holdings Plc 74,055 0.10 5,000 United States Treasury Bill 0.000% 17-Mar-2016* 4,999 0.01 1,053 Omnicom Group Inc 79,633 0.10 213 priceline.com Inc 271,552 0.35 Total investments in bonds 44,995 0.06 418 Scripps Networks Interactive Inc 23,076 0.03 2,972 Symantec Corp 62,427 0.08 Equities 1,010 TEGNA Inc 25,780 0.03 Basic Materials - 1,711,862 1,207 Time Warner Cable Inc 223,742 0.29 (31 December 2014: 2,587,926) 1,711,862 2.23 3,407 Time Warner Inc 220,297 0.29 5,779 Alcoa Inc 56,981 0.07 498 TripAdvisor Inc 42,454 0.06 1,030 CF Industries Holdings Inc 42,019 0.06 4,980 Twenty-First Century Fox Inc - Class A 135,282 0.18 4,793 Dow Chemical Co/The 246,696 0.32 1,849 Twenty-First Century Fox Inc - Class B 50,358 0.07 626 Eastman Chemical Co 42,252 0.06 418 VeriSign Inc 36,512 0.05 1,131 Ecolab Inc 129,375 0.17 17,372 Verizon Communications Inc 802,847 1.04 3,736 EI du Pont de Nemours & Co 248,780 0.32 1,533 Viacom Inc 63,106 0.08 597 FMC Corp 23,364 0.03 6,493 Walt Disney Co/The 682,219 0.89 5,021 Freeport-McMoRan Inc 33,942 0.04 3,694 Yahoo! Inc 122,844 0.16 359 International Flavors & Fragrances Inc 42,942 0.06 Consumer, Cyclical - 7,933,048 1,807 International Paper Co 68,115 0.09 (31 December 2014: 9,445,104) 7,933,048 10.32 1,529 LyondellBasell Industries NV 132,855 0.17 317 Advance Auto Parts Inc 47,710 0.06 1,873 Monsanto Co 184,537 0.24 2,679 American Airlines Group Inc 113,469 0.15 1,417 Mosaic Co/The 39,102 0.05 355 AutoNation Inc 21,172 0.03 2,350 Newmont Mining Corp 42,253 0.06 129 AutoZone Inc 95,721 0.12 1,350 Nucor Corp 54,391 0.07 739 Bed Bath & Beyond Inc 35,660 0.05 1,144 PPG Industries Inc 113,039 0.15 1,253 Best Buy Co Inc 38,148 0.05 1,211 Praxair Inc 123,982 0.16 943 BorgWarner Inc 40,761 0.05 336 Sherwin-Williams Co/The 87,237 0.11 890 CarMax Inc 48,038 0.06 Chemicals - 144,843 1,955 Carnival Corp 106,479 0.14 (31 December 2014: 180,298) 144,843 0.19 137 Chipotle Mexican Grill Inc 65,737 0.09 823 Air Products & Chemicals 107,072 0.14 1,209 Coach Inc 39,565 0.05 273 Airgas Inc 37,771 0.05 1,865 Costco Wholesale Corp 301,207 0.39 4,725 CVS Health Corp 461,845 0.60 Communications - 10,096,100 487 Darden Restaurants Inc 30,995 0.04 (31 December 2014: 10,867,527) 10,096,100 13.14 1,190 Delphi Automotive Plc 102,013 0.13 1,244 Alphabet Inc - Class A 967,795 1.26 3,348 Delta Air Lines Inc 169,693 0.22 1,269 Alphabet Inc - Class C 963,127 1.25 1,234 Dollar General Corp 88,663 0.12 1,641 Amazon.com Inc 1,109,152 1.44 995 Dollar Tree Inc 76,839 0.10 26,268 AT&T Inc 903,619 1.18 1,388 DR Horton Inc 44,444 0.06 1,000 Cablevision Systems Corp 31,890 0.04 1,286 Fastenal Co 52,475 0.07 1,840 CBS Corp 86,692 0.11 16,610 Ford Motor Co 233,952 0.30 2,427 CenturyLink Inc 61,075 0.08 196 Fossil Group Inc 7,160 0.01 21,665 Cisco Systems Inc 588,313 0.77 472 GameStop Corp 13,237 0.02 10,422 Comcast Corp 588,061 0.76 1,016 Gap Inc/The 25,090 0.03 5,021 Corning Inc 91,759 0.12 6,033 General Motors 205,273 0.27 685 Discovery Communications Inc - Class A 18,269 0.02 637 Genuine Parts Co 54,696 0.07 1,121 Discovery Communications Inc - Class C 28,277 0.04 1,130 Goodyear Tire & Rubber Co/The 36,911 0.05 4,698 eBay Inc 129,078 0.17 1,653 Hanesbrands Inc 48,656 0.06 520 Expedia Inc 64,633 0.08 873 Harley-Davidson Inc 39,612 0.05 313 F5 Networks Inc 30,347 0.04 297 Harman International Industries Inc 27,979 0.04 9,695 Facebook Inc 1,014,630 1.32 501 Hasbro Inc 33,732 0.04 5,319 Frontier Communications Corp 24,866 0.03 5,412 Home Depot Inc/The 715,710 0.93 525 Harris Corp 45,622 0.06 2,751 Johnson Controls Inc 108,623 0.14 1,719 Interpublic Group of Cos Inc/The 40,027 0.05 829 Kohl’s Corp 39,481 0.05 1,573 Juniper Networks Inc 43,407 0.06 1,082 L Brands Inc 103,666 0.14 1,221 Level 3 Communications Inc 66,355 0.09 774 Lennar Corp 37,852 0.05 680 Motorola Solutions Inc 46,556 0.06 3,902 Lowe’s Cos Inc 296,650 0.39 1,821 Netfl ix Inc 208,295 0.27 1,345 Macy’s Inc 47,062 0.06 1,640 News Corp - Class A 21,919 0.03 858 Marriott International Inc 57,525 0.08

158 BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities contd. Equities contd. Consumer, Cyclical contd. Consumer, Non-cyclical contd. 1,460 Mattel Inc 39,675 0.05 1,399 Cardinal Health Inc 124,868 0.16 3,918 McDonald’s Corp 462,892 0.60 3,352 Celgene Corp 401,519 0.52 837 Michael Kors Holdings Ltd 33,526 0.04 471 Church & Dwight Co Inc 39,969 0.05 272 Mohawk Industries Inc 51,502 0.07 1,097 Cigna Corp 160,716 0.21 1,185 Newell Rubbermaid Inc 52,217 0.07 371 Cintas Corp 33,785 0.04 5,756 NIKE Inc 359,836 0.47 547 Clorox Co/The 69,365 0.09 592 Nordstrom Inc 29,485 0.04 16,710 Coca-Cola Co/The 717,778 0.93 419 O’Reilly Automotive Inc 106,196 0.14 889 Coca-Cola Enterprises Inc 43,792 0.06 1,497 PACCAR Inc 70,950 0.09 3,823 Colgate-Palmolive Co 254,650 0.33 1,323 PulteGroup Inc 23,569 0.03 1,835 ConAgra Foods Inc 77,354 0.10 386 PVH Corp 28,427 0.04 736 Constellation Brands Inc 104,821 0.14 271 Ralph Lauren Corp 30,200 0.04 313 CR Bard Inc 59,271 0.08 1,719 Ross Stores Inc 92,508 0.12 703 DaVita HealthCare Partners Inc 48,996 0.06 726 Royal Caribbean Cruises Ltd 73,482 0.10 588 DENTSPLY International Inc 35,786 0.05 335 Signet Jewelers Ltd 41,411 0.05 827 Dr Pepper Snapple Group Inc 77,068 0.10 2,765 Southwest Airlines Co 119,075 0.16 948 Edwards Lifesciences Corp 74,878 0.10 2,799 Staples Inc 26,493 0.03 4,163 Eli Lilly & Co 350,691 0.46 6,334 Starbucks Corp 380,198 0.49 915 Endo International Plc 56,007 0.07 729 Starwood Hotels & Resorts Worldwide Inc 50,491 0.07 523 Equifax Inc 58,239 0.08 2,624 Target Corp 190,489 0.25 944 Estee Lauder Cos Inc/The 83,100 0.11 497 Tiffany & Co 37,919 0.05 2,883 Express Scripts Holding Co 251,945 0.33 2,852 TJX Cos Inc 202,207 0.26 2,543 General Mills Inc 146,591 0.19 567 Tractor Supply Co 48,478 0.06 6,152 Gilead Sciences Inc 622,459 0.81 762 Under Armour Inc 61,421 0.08 990 H&R Block Inc 32,972 0.04 1,582 United Continental Holdings Inc 90,664 0.12 1,332 HCA Holdings Inc 90,077 0.12 296 Urban Outfi tters Inc 6,733 0.01 370 Henry Schein Inc 58,514 0.08 1,447 VF Corp 90,054 0.12 626 Hershey Co/The 55,889 0.07 3,715 Walgreens Boots Alliance Inc 316,351 0.41 581 Hormel Foods Corp 45,937 0.06 6,694 Wal-Mart Stores Inc 410,376 0.53 630 Humana Inc 112,430 0.15 330 Whirlpool Corp 48,461 0.06 623 Illumina Inc 119,588 0.16 244 WW Grainger Inc 49,440 0.06 159 Intuitive Surgical Inc 86,867 0.11 513 Wyndham Worldwide Corp 37,267 0.05 506 JM Smucker Co/The 62,392 0.08 340 Wynn Resorts Ltd 23,535 0.03 11,816 Johnson & Johnson 1,213,444 1.58 1,835 Yum! Brands Inc 134,019 0.17 1,081 Kellogg Co 78,129 0.10 508 Keurig Green Mountain Inc 45,715 0.06 Consumer, Non-cyclical - 19,345,852 1,546 Kimberly-Clark Corp 196,775 0.26 (31 December 2014: 21,930,635) 19,345,852 25.17 2,532 Kraft Heinz Co/The 184,190 0.24 6,360 Abbott Laboratories 285,596 0.37 4,144 Kroger Co/The 173,302 0.23 6,974 AbbVie Inc 413,035 0.54 451 Laboratory Corp of America Holdings 55,748 0.07 780 ADT Corp/The 25,721 0.03 494 Mallinckrodt Plc 36,872 0.05 1,484 Aetna Inc 160,458 0.21 4,225 MasterCard Inc 411,663 0.54 960 Alexion Pharmaceuticals Inc 183,139 0.24 491 McCormick & Co Inc 42,003 0.05 1,682 Allergan plc 525,760 0.68 1,149 McGraw Hill Financial Inc 113,263 0.15 267 Alliance Data Systems Corp 73,822 0.10 980 McKesson Corp 193,300 0.25 8,367 Altria Group Inc 487,001 0.63 834 Mead Johnson Nutrition Co 65,840 0.09 829 AmerisourceBergen Corp 85,955 0.11 6,000 Medtronic Plc 461,370 0.60 3,219 Amgen Inc 522,476 0.68 11,924 Merck & Co Inc 629,766 0.82 1,111 Anthem Inc 154,901 0.20 681 Molson Coors Brewing Co 63,963 0.08 2,532 Archer-Daniels-Midland Co 92,836 0.12 6,776 Mondelez International Inc 303,870 0.39 1,964 Automatic Data Processing Inc 166,400 0.22 637 Monster Beverage Corp 94,903 0.12 379 Avery Dennison Corp 23,746 0.03 729 Moody’s Corp 73,144 0.09 2,303 Baxalta Inc 89,875 0.12 1,753 Mylan NV 94,758 0.12 2,321 Baxter International Inc 88,511 0.11 406 Patterson Cos Inc 18,351 0.02 896 Becton Dickinson and Co 138,060 0.18 4,733 PayPal Holdings Inc 171,358 0.22 950 Biogen Inc 290,995 0.38 6,219 PepsiCo Inc 621,185 0.81 5,715 Boston Scientifi c Corp 105,413 0.14 622 Perrigo Co Plc 89,966 0.12 7,119 Bristol-Myers Squibb Co 489,752 0.64 26,356 Pfi zer Inc 850,640 1.11 452 Brown-Forman Corp 44,881 0.06 6,613 Philip Morris International Inc 581,250 0.76 802 Campbell Soup Co 42,141 0.05 11,616 Procter & Gamble Co/The 922,252 1.20

159 BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities contd. Equities contd. Consumer, Non-cyclical contd. Energy contd. 672 Quanta Services Inc 13,611 0.02 2,021 Phillips 66 165,308 0.21 632 Quest Diagnostics Inc 44,942 0.06 633 Pioneer Natural Resources Co 79,359 0.10 331 Regeneron Pharmaceuticals Inc 179,663 0.23 806 Range Resources Corp 19,840 0.03 3,529 Reynolds American Inc 162,810 0.21 5,379 Schlumberger Ltd 375,051 0.49 554 Robert Half International Inc 26,104 0.03 1,708 Southwestern Energy Co 12,152 0.02 1,221 St Jude Medical Inc 75,409 0.10 2,842 Spectra Energy Corp 68,009 0.09 1,342 Stryker Corp 124,705 0.16 508 Tesoro Corp 53,533 0.07 2,228 Sysco Corp 91,326 0.12 1,403 Transocean Ltd 17,362 0.02 389 Tenet Healthcare Corp 11,781 0.01 2,048 Valero Energy Corp 144,824 0.19 755 Total System Services Inc 37,595 0.05 3,013 Williams Cos Inc/The 77,389 0.10 1,251 Tyson Foods Inc 66,710 0.09 388 United Rentals Inc 28,147 0.04 Financials - 12,354,125 4,067 UnitedHealth Group Inc 478,483 0.62 (31 December 2014: 15,369,137) 12,354,125 16.07 399 Universal Health Services Inc 47,675 0.06 1,357 ACE Ltd 158,545 0.21 423 Varian Medical Systems Inc 34,181 0.04 1,813 Afl ac Inc 108,535 0.14 670 Verisk Analytics Inc 51,500 0.07 1,645 Allstate Corp/The 102,146 0.13 1,045 Vertex Pharmaceuticals Inc 131,508 0.17 3,566 American Express Co 247,962 0.32 8,309 Visa Inc 644,405 0.84 5,275 American International Group Inc 326,918 0.43 2,125 Western Union Co/The 38,069 0.05 1,804 American Tower Corp 174,925 0.23 1,520 Whole Foods Market Inc 50,928 0.07 738 Ameriprise Financial Inc 78,545 0.10 754 Zimmer Biomet Holdings Inc 77,345 0.10 1,163 Aon Plc 107,252 0.14 1,944 Zoetis Inc 93,147 0.12 708 Apartment Investment & Management Co 28,345 0.04 282 Assurant Inc 22,714 0.03 Diversifi ed - 24,610 582 AvalonBay Communities Inc 107,126 0.14 (31 December 2014: 35,347) 24,610 0.03 44,454 Bank of America Corp 748,383 0.97 1,416 Leucadia National Corp 24,610 0.03 4,655 Bank of New York Mellon Corp/The 191,902 0.25 3,317 BB&T Corp 125,399 0.16 Energy - 4,968,504 8,000 Berkshire Hathaway Inc 1,055,720 1.37 (31 December 2014: 7,959,458) 4,968,504 6.46 538 BlackRock Inc 183,141 0.24 2,158 Anadarko Petroleum Corp 104,846 0.14 651 Boston Properties Inc 83,035 0.11 1,667 Apache Corp 74,123 0.10 2,265 Capital One Financial Corp 163,454 0.21 1,849 Baker Hughes Inc 85,146 0.11 1,225 CBRE Group Inc 42,342 0.05 1,769 Cabot Oil & Gas Corp 31,311 0.04 5,101 Charles Schwab Corp/The 167,950 0.22 841 Cameron International Corp 53,168 0.07 965 Chubb Corp/The 127,978 0.17 2,294 Chesapeake Energy Corp 10,312 0.01 636 Cincinnati Financial Corp 37,623 0.05 8,034 Chevron Corp 722,538 0.94 12,716 Citigroup Inc 658,117 0.86 398 Cimarex Energy Co 35,567 0.05 1,439 CME Group Inc 130,345 0.17 1,719 Columbia Pipeline Group Inc 34,406 0.04 741 Comerica Inc 30,981 0.04 5,262 ConocoPhillips 245,657 0.32 1,419 Crown Castle International Corp 122,680 0.16 1,029 CONSOL Energy Inc 8,124 0.01 1,816 Discover Financial Services 97,383 0.13 1,630 Devon Energy Corp 52,152 0.07 1,290 E*TRADE Financial Corp 38,229 0.05 248 Diamond Offshore Drilling Inc 5,230 0.01 263 Equinix Inc 79,550 0.10 1,047 Ensco Plc 16,108 0.02 1,548 Equity Residential 126,278 0.16 2,341 EOG Resources Inc 165,708 0.21 288 Essex Property Trust Inc 68,989 0.09 639 EQT Corp 33,308 0.04 3,364 Fifth Third Bancorp 67,633 0.09 17,779 Exxon Mobil Corp 1,385,517 1.80 1,670 Franklin Resources Inc 61,481 0.08 953 FMC Technologies Inc 27,637 0.04 2,519 General Growth Properties Inc 68,529 0.09 3,639 Halliburton Co 123,853 0.16 1,692 Goldman Sachs Group Inc/The 304,695 0.40 484 Helmerich & Payne Inc 25,921 0.03 1,802 Hartford Financial Services Group Inc/The 78,324 0.10 1,037 Hess Corp 50,279 0.06 2,039 HCP Inc 78,002 0.10 7,778 Kinder Morgan Inc 116,009 0.15 3,257 Host Hotels & Resorts Inc 49,979 0.06 2,846 Marathon Oil Corp 35,817 0.05 3,349 Huntington Bancshares Inc 36,956 0.05 2,265 Marathon Petroleum Corp 117,406 0.15 507 Intercontinental Exchange Inc 129,888 0.17 749 Murphy Oil Corp 16,819 0.02 1,866 Invesco Ltd 62,511 0.08 1,587 National Oilwell Varco Inc 53,165 0.07 832 Iron Mountain Inc 22,468 0.03 732 Newfi eld Exploration Co 23,830 0.03 15,719 JPMorgan Chase & Co 1,037,847 1.35 1,799 Noble Energy Inc 59,232 0.08 3,652 KeyCorp 48,188 0.06 3,254 Occidental Petroleum Corp 220,036 0.29 1,743 Kimco Realty Corp 46,129 0.06 911 ONEOK Inc 22,452 0.03 452 Legg Mason Inc 17,734 0.02

160 BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities contd. Equities contd. Financials contd. Industrials contd. 1,091 Lincoln National Corp 54,828 0.07 560 FLIR Systems Inc 15,716 0.02 1,222 Loews Corp 46,931 0.06 544 Flowserve Corp 22,886 0.03 679 M&T Bank Corp 82,329 0.11 642 Fluor Corp 30,322 0.04 600 Macerich Co/The 48,420 0.06 486 Garmin Ltd 18,067 0.02 2,218 Marsh & McLennan Cos Inc 123,010 0.16 1,266 General Dynamics Corp 173,853 0.23 4,737 MetLife Inc 228,252 0.30 40,305 General Electric Co 1,254,896 1.63 6,434 Morgan Stanley 204,633 0.27 3,287 Honeywell International Inc 340,336 0.44 480 Nasdaq Inc 27,929 0.04 1,391 Illinois Tool Works Inc 128,869 0.17 1,499 Navient Corp 17,156 0.02 1,082 Ingersoll-Rand Plc 59,829 0.08 921 Northern Trust Corp 66,400 0.09 554 Jacobs Engineering Group Inc 23,238 0.03 1,475 People’s United Financial Inc 23,821 0.03 391 JB Hunt Transport Services Inc 28,680 0.04 787 Plum Creek Timber Co Inc 37,544 0.05 486 Kansas City Southern 36,280 0.05 2,164 PNC Financial Services Group Inc/The 206,272 0.27 348 L-3 Communications Holdings Inc 41,600 0.05 1,212 Principal Financial Group Inc 54,510 0.07 591 Leggett & Platt Inc 24,828 0.03 2,478 Progressive Corp/The 78,788 0.10 1,126 Lockheed Martin Corp 244,511 0.32 2,225 Prologis Inc 95,508 0.12 297 Martin Marietta Materials Inc 40,563 0.05 1,911 Prudential Financial Inc 155,527 0.20 1,462 Masco Corp 41,382 0.05 627 Public Storage 155,339 0.20 1,269 Norfolk Southern Corp 107,307 0.14 1,113 Realty Income Corp 57,470 0.07 776 Northrop Grumman Corp 146,528 0.19 5,756 Regions Financial Corp 55,229 0.07 768 Owens-Illinois Inc 13,382 0.02 1,319 Simon Property Group Inc 256,427 0.33 575 Parker-Hannifi n Corp 55,766 0.07 421 SL Green Realty Corp 47,558 0.06 778 Pentair Plc 38,538 0.05 1,715 State Street Corp 113,833 0.15 471 PerkinElmer Inc 25,234 0.03 2,163 SunTrust Banks Inc 92,652 0.12 585 Precision Castparts Corp 135,761 0.18 3,543 Synchrony Financial 107,690 0.14 1,281 Raytheon Co 159,472 0.21 1,064 T Rowe Price Group Inc 76,071 0.10 1,055 Republic Services Inc 46,415 0.06 496 Torchmark Corp 28,354 0.04 558 Rockwell Automation Inc 57,259 0.07 1,295 Travelers Cos Inc/The 146,134 0.19 564 Rockwell Collins Inc 52,046 0.07 1,063 Unum Group 35,393 0.05 428 Roper Technologies Inc 81,196 0.11 7,011 US Bancorp 299,054 0.39 214 Ryder System Inc 12,161 0.02 1,441 Ventas Inc 81,323 0.11 859 Sealed Air Corp 38,320 0.05 751 Vornado Realty Trust 75,070 0.10 244 Snap-on Inc 41,818 0.05 19,849 Wells Fargo & Co 1,078,495 1.40 663 Stanley Black & Decker Inc 70,745 0.09 1,503 Welltower Inc 102,227 0.13 358 Stericycle Inc 43,180 0.06 2,223 Weyerhaeuser Co 66,634 0.09 1,600 TE Connectivity Ltd 103,384 0.13 1,307 XL Group Plc 51,221 0.07 1,217 Textron Inc 51,120 0.07 851 Zions Bancorporation 23,237 0.03 1,701 Thermo Fisher Scientifi c Inc 241,287 0.31 1,815 Tyco International Plc 57,862 0.08 Industrials - 7,557,409 3,641 Union Pacifi c Corp 284,690 0.37 (31 December 2014: 9,809,775) 7,557,409 9.83 2,968 United Parcel Service Inc 285,551 0.37 2,627 3M Co 395,744 0.52 3,518 United Technologies Corp 337,851 0.44 239 Affi liated Managers Group Inc 38,159 0.05 564 Vulcan Materials Co 53,569 0.07 1,466 Agilent Technologies Inc 61,301 0.08 1,763 Waste Management Inc 94,065 0.12 401 Allegion Plc 26,428 0.03 363 Waters Corp 48,867 0.06 1,059 AMETEK Inc 56,747 0.07 1,085 WestRock Co 49,503 0.06 1,338 Amphenol Corp 69,890 0.09 786 Xylem Inc 28,701 0.04 581 Ball Corp 42,250 0.06 2,687 Boeing Co/The 388,392 0.51 Technology - 10,054,193 2,479 Caterpillar Inc 168,436 0.22 (31 December 2014: 12,805,881) 10,054,193 13.08 604 CH Robinson Worldwide Inc 37,454 0.05 2,664 Accenture Plc 278,361 0.36 4,142 CSX Corp 107,464 0.14 2,140 Activision Blizzard Inc 82,807 0.11 695 Cummins Inc 61,163 0.08 2,125 Adobe Systems Inc 199,548 0.26 2,540 Danaher Corp 235,864 0.31 748 Akamai Technologies Inc 39,371 0.05 1,324 Deere & Co 100,975 0.13 1,322 Analog Devices Inc 73,140 0.10 657 Dover Corp 40,271 0.05 23,816 Apple Inc 2,506,039 3.26 1,965 Eaton Corp Plc 102,229 0.13 4,876 Applied Materials Inc 91,059 0.12 2,783 Emerson Electric Co 133,097 0.17 1,004 Autodesk Inc 61,159 0.08 834 Expeditors International of Washington Inc 37,618 0.05 1,116 Avago Technologies Ltd 161,999 0.21 1,118 FedEx Corp 166,493 0.22 2,386 Broadcom Corp 137,994 0.18

161 BNY MELLON S&P 500® INDEX TRACKER

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities contd. Equities contd. Technology contd. Utilities contd. 1,308 CA Inc 37,363 0.05 1,326 NRG Energy Inc 15,587 0.02 1,291 Cerner Corp 77,686 0.10 1,088 Pepco Holdings Inc 28,293 0.04 649 Citrix Systems Inc 49,090 0.06 2,085 PG&E Corp 110,870 0.15 2,588 Cognizant Technology Solutions Corp 155,293 0.20 494 Pinnacle West Capital Corp 31,848 0.04 598 CSRA Inc 17,943 0.02 2,852 PPL Corp 97,296 0.13 145 Dun & Bradstreet Corp/The 15,076 0.02 2,198 Public Service Enterprise Group Inc 85,008 0.11 1,319 Electronic Arts Inc 90,648 0.12 640 SCANA Corp 38,704 0.05 8,260 EMC Corp 212,076 0.28 1,001 Sempra Energy 94,099 0.12 1,175 Fidelity National Information Services Inc 71,170 0.09 3,871 Southern Co/The 181,066 0.24 324 First Solar Inc 21,384 0.03 982 TECO Energy Inc 26,175 0.03 969 Fiserv Inc 88,644 0.12 1,337 WEC Energy Group Inc 68,581 0.09 7,640 Hewlett Packard Enterprise Co 116,013 0.15 2,199 Xcel Energy Inc 78,955 0.10 7,667 HP Inc 90,739 0.12 20,145 Intel Corp 693,895 0.90 Total investments in equities 76,472,300 99.491 3,809 International Business Machines Corp 524,004 0.68 1,122 Intuit Inc 108,279 0.14 Underlying Fair Total 690 KLA-Tencor Corp 47,855 0.06 exposure value net assets 701 Lam Research Corp 55,673 0.07 Holdings Description USD USD % 1,064 Linear Technology Corp 45,193 0.06 911 Microchip Technology Inc 42,412 0.06 Open futures contracts - 1,147 4,596 Micron Technology Inc 65,102 0.08 (31 December 2014: 10,548) 34,119 Microsoft Corp 1,892,069 2.46 4 E-mini S&P 500 Index 1,227 NetApp Inc 32,559 0.04 Long Futures Contracts 2,259 NVIDIA Corp 74,468 0.10 Exp Mar-2016 407,080 1,147 0.00 13,662 Oracle Corp 499,005 0.65 1,393 Paychex Inc 73,648 0.10 Total open futures contracts 1,147 0.00 809 Pitney Bowes Inc 16,710 0.02 614 Qorvo Inc 31,256 0.04 Total fi nancial assets 6,409 QUALCOMM Inc 320,354 0.42 at fair value through profi t or loss 76,518,442 99.55 773 Red Hat Inc 64,004 0.08 2,659 salesforce.com inc 208,399 0.27 Net current assets 342,570 0.45 849 SanDisk Corp 64,520 0.08 1,308 Seagate Technology Plc 47,951 0.06 Total net assets 76,861,012 100.00 841 Skyworks Solutions Inc 64,593 0.08 * Held as collateral by Goldman Sachs in respect of futures contracts held by the Fund. 591 Teradata Corp 15,608 0.02 The counterparty for futures contracts is Goldman Sachs. 4,323 Texas Instruments Inc 236,965 0.31 980 Western Digital Corp 58,854 0.08 4,095 Xerox Corp 43,509 0.06 Analysis of portfolio % of Total assets 1,122 Xilinx Inc 52,706 0.07 Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 99.34 Utilities - 2,281,754 Financial derivative instruments dealt in on a regulated market 0.00 (31 December 2014: 3,027,750) 2,281,754 2.97 Other current assets 0.66 2,809 AES Corp 26,896 0.04 509 AGL Resources Inc 32,467 0.04 Total assets 100.00 1,023 Ameren Corp 44,219 0.06 2,086 American Electric Power Co Inc 121,541 0.16 1,829 CenterPoint Energy Inc 33,571 0.04 1,175 CMS Energy Corp 42,376 0.06 1,243 Consolidated Edison Inc 79,869 0.10 2,535 Dominion Resources Inc 171,429 0.22 793 DTE Energy Co 63,575 0.08 2,932 Duke Energy Corp 209,272 0.27 1,382 Edison International 81,808 0.11 777 Entergy Corp 53,104 0.07 1,370 Eversource Energy 69,959 0.09 3,906 Exelon Corp 108,489 0.14 1,789 FirstEnergy Corp 56,783 0.07 1,962 NextEra Energy Inc 203,783 0.27 1,339 NiSource Inc 26,131 0.03

162 BNY MELLON SMALL CAP EUROLAND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description EUR % Holdings Description EUR %

Equities Equities contd. Austria - 1,172,092 Ireland - 2,748,764 (31 December 2014: 172,242) 1,172,092 1.89 (31 December 2014: 541,677) 2,748,764 4.43 70,320 UNIQA Insurance Group AG 530,072 0.85 252,502 Greencore Group Plc 1,226,680 1.98 27,522 Zumtobel Group AG 642,020 1.04 13,274 ICON Plc 952,120 1.53 24,128 Smurfi t Kappa Group Plc 569,964 0.92 Belgium - 3,411,899 (31 December 2014: 334,645) 3,411,899 5.50 Italy - 5,827,961 8,751 Cofi nimmo 865,124 1.39 (31 December 2014: 1,081,370) 5,827,961 9.40 12,549 Galapagos NV 717,364 1.16 452,829 A2A SpA 567,168 0.91 17,259 KBC Ancora 671,202 1.08 123,820 Anima Holding SpA 144A 994,894 1.60 295,493 Nyrstar NV 469,834 0.76 69,821 Banco Popolare SC 896,502 1.45 21,098 Ontex Group NV 688,375 1.11 12,222 Brembo SpA 545,346 0.88 59,624 Finmeccanica SpA 768,851 1.24 Finland - 1,070,270 602,824 Immobiliare Grande Distribuzione SIIQ SpA 536,664 0.87 (31 December 2014: 122,628) 1,070,270 1.73 36,455 Prysmian SpA 738,761 1.19 31,896 Huhtamaki OYJ 1,070,270 1.73 79,895 Societa Iniziative Autostradali e Servizi SpA 779,775 1.26

France - 17,230,733 Netherlands - 5,403,658 (31 December 2014: 2,938,974) 17,230,733 27.80 (31 December 2014: 632,445) 5,403,658 8.72 25,651 Alten SA 1,370,918 2.21 21,519 AerCap Holdings NV 848,906 1.37 36,395 APERAM SA 1,205,948 1.95 44,314 Corbion NV 988,092 1.60 26,479 Atos SE 2,033,587 3.28 27,231 Euronext NV 144A 1,290,681 2.08 107,008 Etablissements Maurel et Prom 319,954 0.52 131,899 Koninklijke BAM Groep NV 675,587 1.09 7,051 Fonciere des Regions 588,124 0.95 21,432 TKH Group NV 787,840 1.27 9,887 Gaztransport Et Technigaz SA 383,245 0.62 47,262 USG People NV 812,552 1.31 28,239 JCDecaux SA 978,905 1.58 19,242 Klepierre 787,046 1.27 Spain - 7,118,778 44,229 Lagardere SCA 1,209,553 1.95 (31 December 2014: 907,375) 7,118,778 11.48 11,198 Orpea 827,868 1.34 34,548 Almirall SA 647,084 1.04 8,353 Rubis SCA 588,051 0.95 131,840 Distribuidora Internacional de Alimentacion SA 716,682 1.16 38,424 Saft Groupe SA 1,087,207 1.75 37,911 Enagas SA 985,212 1.59 29,921 SCOR SE 1,032,424 1.67 196,225 Ence Energia y Celulosa SA 688,259 1.11 15,103 Sopra Steria Group 1,639,431 2.64 42,728 Euskaltel SA 144A 492,334 0.79 17,346 Teleperformance 1,340,846 2.16 56,479 Gamesa Corp Tecnologica SA 894,486 1.44 12,957 Valeo SA 1,837,626 2.96 17,687 Grupo Catalana Occidente SA 566,957 0.91 1,159,160 Liberbank SA 666,517 1.08 Germany - 16,176,310 104,183 Mediaset Espana Comunicacion SA 1,046,518 1.69 (31 December 2014: 2,450,188) 16,176,310 26.10 73,540 Talgo SA 144A 414,729 0.67 36,444 Aareal Bank AG 1,063,071 1.71 83,221 Alstria offi ce REIT-AG 1,030,276 1.66 Total investments in equities 60,160,465 97.05 11,895 Brenntag AG 577,948 0.93 13,560 Cewe Stiftung & Co KGAA 744,580 1.20 41,531 Dialog Semiconductor Plc 1,296,494 2.09 7,456 Duerr AG 550,178 0.89 19,768 Freenet AG 619,974 1.00 15,897 Gerresheimer AG 1,152,691 1.86 15,122 Jungheinrich AG Pfd 1,152,070 1.86 18,471 K+S AG 437,717 0.71 23,902 Nordex SE 786,017 1.27 12,406 Rheinmetall AG 764,148 1.23 29,674 STADA Arzneimittel AG 1,108,101 1.79 28,035 Stroeer SE 1,625,329 2.62 16,058 Symrise AG 988,691 1.60 94,097 TAG Immobilien AG 1,083,056 1.75 32,906 Zalando SE 144A 1,195,969 1.93

163 BNY MELLON SMALL CAP EUROLAND FUND

Portfolio of investments – as at 31 December 2015

Underlying Fair Total Fair Total exposure value net assets value net assets Holdings Description EUR EUR % Holdings Description EUR %

Open futures contracts - 15,493 (31 December 2014: (935)) 29 Euro Stoxx 50 Index Long Futures Contracts Exp Mar-2016 948,590 15,493 0.02

Total open futures contracts 15,493 0.02

Unrealised gain on forward foreign currency contracts - 319,580 (see below) (31 December 2014: –) 319,580 0.52

Total fi nancial assets at fair value through profi t or loss 60,495,538 97.59

Net current assets 1,495,641 2.41

Total net assets 61,991,179 100.00

The counterparty for futures contracts is Goldman Sachs.

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 96.89 Financial derivative instruments dealt in on a regulated market 0.02 OTC fi nancial derivative instruments 0.51 Other current assets 2.58

Total assets 100.00

Forward foreign currency contracts Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon Small Cap Euroland Fund USD I (Acc) (Hedged) Share Class US dollar Euro 200,000 182,909 15-Jan-16 The Bank of New York Mellon 652 US dollar Euro 35,047,112 31,847,548 15-Jan-16 The Bank of New York Mellon 318,928

EUR 319,580

USD 348,103

164 BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds Bonds contd. Angola - 372,400 372,400 0.40 Ireland contd. 400,000 Angolan Government International Bond 550,000 Ardagh Packaging Finance Plc / 9.500% 12-Nov-2025 372,400 0.40 Ardagh Holdings USA Inc 6.750% 31-Jan-2021 530,750 0.57 800,000 Endo Ltd / Endo Finance LLC / Endo Finco Inc Argentina - 1,575,849 1,575,849 1.68 6.000% 15-Jul-2023 802,000 0.86 2,200,000 Argentine Republic Government International Bond 500,000 MMC Norilsk Nickel OJSC via MMC Finance Ltd 4.383% 15-Dec-2035 225,500 0.24 4.375% 30-Apr-2018 501,625 0.53 780,000 Argentine Republic Government International Bond 5.830% 31-Dec-2033 VAR 323,823 0.35 Italy - 535,784 535,784 0.57 455,662 Argentine Republic Government International Bond 500,000 Intesa Sanpaolo SpA 5.250% 12-Jan-2024 535,784 0.57 8.280% 31-Dec-2033 525,151 0.56 525,000 YPF SA 8.500% 28-Jul-2025 501,375 0.53 Jamaica - 495,906 495,906 0.53 255,000 Jamaica Government International Bond Australia - 14,378,834 14,378,834 15.34 6.750% 28-Apr-2028 253,406 0.27 15,100,000 Australia Government Bond 3.250% 21-Oct-2018 11,407,721 12.17 250,000 Jamaica Government International Bond 3,925,000 Australia Government Bond 3.250% 21-Apr-2025 2,971,113 3.17 7.875% 28-Jul-2045 242,500 0.26

Bermuda - 1,373,575 1,373,575 1.47 Luxembourg - 1,635,625 1,635,625 1.74 1,645,000 Digicel Group Ltd 8.250% 30-Sep-2020 1,373,575 1.47 750,000 Altice Luxembourg SA 7.750% 15-May-2022 676,875 0.72 500,000 Beverage Packaging Holdings Luxembourg II SA / British Virgin Islands - 483,768 483,768 0.52 Beverage Packaging Holdings II Is 495,000 China Cinda Finance 2015 I Ltd 6.000% 15-Jun-2017 485,000 0.51 3.125% 23-Apr-2020 483,768 0.52 500,000 Wind Acquisition Finance SA 7.375% 23-Apr-2021 473,750 0.51

Canada - 1,290,481 1,290,481 1.38 Mexico - 2,560,604 2,560,604 2.73 525,000 Glencore Finance Canada Ltd 2.700% 25-Oct-2017 479,268 0.51 35,200,000 Mexican Bonos 10.000% 05-Dec-2024 2,560,604 2.73 450,000 Pacifi c Exploration and Production Corp 5.375% 26-Jan-2019 87,750 0.10 Netherlands - 4,481,802 4,481,802 4.78 450,000 Teck Resources Ltd 2.500% 01-Feb-2018 335,250 0.36 650,000 ABN AMRO Bank NV 4.750% 28-Jul-2025 646,334 0.69 370,000 Teck Resources Ltd 3.850% 15-Aug-2017 312,650 0.33 300,000 Allianz Finance II BV 5.750% 08-Jul-2041 VAR 379,293 0.40 75,000 Valeant Pharmaceuticals International Inc 144A 600,000 ING Groep NV 6.500% Perpetual VAR 594,375 0.63 7.500% 15-Jul-2021 75,563 0.08 275,000 Lukoil International Finance BV 4.563% 24-Apr-2023 247,397 0.26 Cayman Islands - 1,237,101 1,237,101 1.32 200,000 Lukoil International Finance BV 525,000 Brazil Minas SPE via State of Minas Gerais 6.125% 09-Nov-2020 203,853 0.22 5.333% 15-Feb-2028 397,688 0.42 450,000 Majapahit Holding BV 7.750% 20-Jan-2020 504,585 0.54 275,670 Odebrecht Offshore Drilling Finance Ltd 150,000 Mylan NV 144A 3.000% 15-Dec-2018 149,661 0.16 6.625% 01-Oct-2022 63,404 0.07 330,000 Petrobras Global Finance BV 2.000% 20-May-2016 325,875 0.35 535,560 Odebrecht Offshore Drilling Finance Ltd 695,000 Petrobras Global Finance BV 6.125% 06-Oct-2016 692,394 0.74 6.750% 01-Oct-2022 131,212 0.14 350,000 Volkswagen International Finance NV 725,000 Transocean Inc 2.500% 15-Oct-2017 644,797 0.69 1.600% 20-Nov-2017 339,408 0.36 400,000 Volkswagen International Finance NV Dominican Republic - 481,250 481,250 0.51 2.375% 22-Mar-2017 398,627 0.43 500,000 Dominican Republic International Bond 5.500% 27-Jan-2025 481,250 0.51 New Zealand - 1,525,194 1,525,194 1.63 2,200,000 New Zealand Government Bond France - 857,763 857,763 0.91 2.000% 20-Sep-2025 1,525,194 1.63 771,000 AXA SA 5.777% Perpetual VAR 857,763 0.91 Poland - 1,887,415 1,887,415 2.01 Germany - 318,953 318,953 0.34 7,200,000 Poland Government Bond 3.250% 25-Jul-2025 1,887,415 2.01 300,000 Allianz SE 3.375% Perpetual VAR 318,953 0.34 Russia - 662,369 662,369 0.71 Ghana - 708,688 708,688 0.76 58,500,000 Russian Federal Bond - OFZ 725,000 Ghana Government International Bond 7.050% 19-Jan-2028 662,369 0.71 8.500% 04-Oct-2017 708,688 0.76 Singapore - 485,013 485,013 0.52 Ireland - 2,699,531 2,699,531 2.88 575,000 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 485,013 0.52 525,000 AerCap Ireland Capital Ltd / AerCap Global Aviation Trust 5.000% 01-Oct-2021 546,656 0.58 Spain - 511,332 511,332 0.55 325,000 Ardagh Packaging Finance Plc / 500,000 Santander Issuances SAU 2.500% 18-Mar-2025 511,332 0.55 Ardagh Holdings USA Inc 3.512% 15-Dec-2019 FRN 318,500 0.34

165 BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Bonds contd. Bonds contd. Switzerland - 323,918 323,918 0.35 United States of America contd. 300,000 Credit Suisse AG 6.500% 08-Aug-2023 323,918 0.35 550,000 COMM 2015-CCRE23 Mortgage Trust 3.685% 10-May-2048 VAR 511,200 0.55 United Kingdom - 5,440,657 5,440,657 5.80 175,000 Continental Resources Inc 3.800% 01-Jun-2024 123,279 0.13 455,000 HSBC Holdings Plc 5.625% Perpetual VAR 456,138 0.49 110,000 Continental Resources Inc 5.000% 15-Sep-2022 81,950 0.09 425,000 HSBC Holdings Plc 6.375% Perpetual VAR 425,531 0.45 213 Credit Suisse First Boston Mortgage Securities Corp 525,000 International Game Technology Plc 5.500% 25-Sep-2035 183 0.00 6.250% 15-Feb-2022 493,500 0.53 580,000 Credit Suisse Mortgage Capital Trust 375,000 Interoute Finco Plc 7.375% 15-Oct-2020 426,511 0.45 4.373% 15-Sep-2037 FRN 526,072 0.56 525,000 Lloyds Banking Group Plc 4.500% 04-Nov-2024 532,846 0.57 500,000 Drive Auto Receivables Trust 3.840% 15-Jul-2021 490,929 0.52 495,000 Lloyds Banking Group Plc 7.500% Perpetual VAR 530,269 0.56 560,000 Dynegy Inc 7.375% 01-Nov-2022 490,000 0.52 450,000 Royal Bank of Scotland Group Plc 225,000 Dynegy Inc 7.625% 01-Nov-2024 193,219 0.21 7.500% Perpetual VAR 469,687 0.50 450,000 Ensemble S Merger Sub Inc 9.000% 30-Sep-2023 433,688 0.46 475,000 Royal Bank of Scotland Group Plc 275,000 Fannie Mae Connecticut Avenue Securities 8.000% Perpetual VAR 502,312 0.54 5.422% 25-Jul-2025 FRN 273,929 0.29 1,250,000 Vedanta Resources Plc 6.750% 07-Jun-2016 1,135,969 1.21 380,000 First Data Corp 7.000% 01-Dec-2023 381,706 0.41 300,000 Virgin Media Finance Plc 7.000% 15-Apr-2023 467,894 0.50 250,000 Freddie Mac Structured Agency Credit Risk Debt Notes 4.572% 25-Jan-2025 FRN 246,769 0.26 United States of America - 46,507,425 46,507,425 49.62 320,000 Freeport-McMoRan Inc 4.550% 14-Nov-2024 187,200 0.20 317,259 A10 Term Asset Financing 2013-2 LLC 1,336,000 Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc 2.620% 15-Nov-2027 318,090 0.34 6.875% 15-Feb-2023 845,020 0.90 377,567 ACE Securities Corp Home Equity Loan Trust 305,000 Frontier Communications Corp 6.250% 15-Sep-2021 260,012 0.28 Series 2006-HE2 0.582% 25-May-2036 FRN 340,884 0.36 50,000 Frontier Communications Corp 10.500% 15-Sep-2022 50,125 0.05 500,000 Acosta Inc 7.750% 01-Oct-2022 442,500 0.47 1,150,000 General Electric Capital Corp 210,000 Alcatel-Lucent USA Inc 6.450% 15-Mar-2029 213,413 0.23 6.375% 15-Nov-2067 VAR 1,203,820 1.28 825,000 Ally Financial Inc 3.600% 21-May-2018 827,062 0.88 235,000 General Motors Co 5.200% 01-Apr-2045 220,871 0.24 260,000 Ally Financial Inc 8.000% 01-Nov-2031 301,275 0.32 325,000 Genesis Energy LP / Genesis Energy Finance Corp 900,000 American International Group Inc 6.750% 01-Aug-2022 276,250 0.29 4.875% 15-Mar-2067 VAR 988,879 1.05 1,100,000 Georgetown University 0.427% 01-Apr-2029 1,007,875 1.08 225,000 Antero Resources Corp 5.625% 01-Jun-2023 176,625 0.19 350,000 Glencore Funding LLC 1.681% 15-Jan-2019 FRN 289,726 0.31 500,000 Antero Resources Corp 6.000% 01-Dec-2020 420,000 0.45 75,000 Glencore Funding LLC 2.125% 16-Apr-2018 65,775 0.07 1,470,000 Banc of America Commercial Mortgage Trust 2007-2 125,000 Glencore Funding LLC 4.000% 16-Apr-2025 85,625 0.09 5.629% 10-Apr-2049 VAR 1,479,217 1.58 500,000 Goldman Sachs Group Inc/The 4.250% 21-Oct-2025 497,415 0.53 500,000 Bank Of America Corp 4.25% 10/22/2026 368,416 GSR Mortgage Loan Trust 2005-8F 4.250% 22-Oct-2026 494,828 0.53 5.500% 25-Nov-2035 365,193 0.39 450,000 Bear Stearns Commercial Mortgage Securities 295,000 Hewlett Packard Enterprise Co 6.350% 15-Oct-2045 280,228 0.30 Trust 2006-PWR14 5.273% 11-Dec-2038 448,282 0.48 110,261 HSI Asset Securitization Corp Trust 2005-I1 925,000 Bear Stearns Commercial Mortgage Securities 0.712% 25-Nov-2035 FRN 104,323 0.11 Trust 2007-PWR16 5.722% 11-Jun-2040 VAR 924,748 0.99 400,000 Hub Holdings LLC / Hub Holdings Finance Inc 500,000 Bear Stearns Commercial Mortgage Securities 8.125% 15-Jul-2019 374,000 0.40 Trust 2007-PWR18 6.176% 11-Jun-2050 VAR 489,680 0.52 545,000 HUB International Ltd 7.875% 01-Oct-2021 490,500 0.52 600,000 Bonanza Creek Energy Inc 5.750% 01-Feb-2023 315,000 0.34 525,000 Infor Software Parent LLC / Infor Software Parent Inc 500,000 BWAY Holding Co 9.125% 15-Aug-2021 470,000 0.50 7.125% 01-May-2021 381,281 0.41 175,000 Calpine Corp 5.500% 01-Feb-2024 155,312 0.17 275,000 Infor US Inc 6.500% 15-May-2022 233,063 0.25 600,000 Calpine Corp 5.750% 15-Jan-2025 531,750 0.57 1,075,000 JBS USA LLC / JBS USA Finance Inc 259,638 Carrington Mortgage Loan Trust Series 2007-HE1 5.750% 15-Jun-2025 940,625 1.00 0.572% 25-Jun-2037 FRN 238,081 0.25 265,000 JP Morgan Chase Commercial Mortgage Securities 685,000 Carrizo Oil & Gas Inc 6.250% 15-Apr-2023 559,987 0.60 Trust 2006-CIBC17 5.464% 12-Dec-2043 266,833 0.28 40,000 Carrizo Oil & Gas Inc 7.500% 15-Sep-2020 35,150 0.04 515,000 JP Morgan Chase Commercial Mortgage Securities 275,000 Chesapeake Energy Corp 6.500% 15-Aug-2017 136,125 0.14 Trust 2014-INN 3.931% 15-Jun-2029 FRN 512,457 0.55 285,000 Cimarex Energy Co 5.875% 01-May-2022 272,846 0.29 220,000 Kinder Morgan Inc 5.300% 01-Dec-2034 174,199 0.19 595,000 Citigroup Commercial Mortgage Trust 2007-C6 250,000 Kinder Morgan Inc 5.550% 01-Jun-2045 194,838 0.21 5.710% 10-Dec-2049 VAR 515,865 0.55 400,000 Kinder Morgan Inc 7.800% 01-Aug-2031 375,455 0.40 525,000 Citigroup Inc 4.300% 20-Nov-2026 522,575 0.56 170,000 Kraft Heinz Foods Co 4.875% 15-Feb-2025 180,202 0.19 475,000 Citigroup Inc 4.400% 10-Jun-2025 479,874 0.51 350,000 Laredo Petroleum Inc 5.625% 15-Jan-2022 306,250 0.33 630,000 Citigroup Inc 4.450% 29-Sep-2027 626,087 0.67 550,000 LB-UBS Commercial Mortgage Trust 2007-C7 500,000 CNO Financial Group Inc 5.250% 30-May-2025 510,625 0.54 6.242% 15-Sep-2045 VAR 567,608 0.61 750,000 Colony American Homes Single-Family Rental 425,000 Liberty Mutual Group Inc 6.500% 01-May-2042 483,398 0.52 Pass-Through Certifi cates 201,538 Mastr Asset Backed Securities Trust 2006-AM2 4.001% 17-Jul-2032 FRN 710,627 0.76 0.592% 25-Jun-2036 FRN 163,351 0.17

166 BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31 December 2015

Fair Total Underlying Fair Total value net assets exposure value net assets Holdings Description USD % Holdings Description USD USD %

Bonds contd. Open futures contracts - 215,501 United States of America contd. 328 Australian 3 Year Bond 293,347 Merrill Lynch Mortgage Investors Trust Series Long Futures Contracts MLMI 2005-A1 2.777% 25-Dec-2034 FRN 271,437 0.29 Exp Mar-2016 26,733,578 55,560 0.06 420,000 Merrill Lynch Mortgage Trust 2006-C1 (46) Euro-Bund 5.666% 12-May-2039 VAR 419,136 0.45 Short Futures Contracts 725,000 ML-CFC Commercial Mortgage Trust 2006-4 Exp Mar-2016 (7,917,173) 13,376 0.02 5.239% 12-Dec-2049 719,404 0.77 (53) U.S. 10 Year Treasury Note 310,000 ML-CFC Commercial Mortgage Trust 2007-9 Short Futures Contracts 6.193% 12-Sep-2049 VAR 309,492 0.33 Exp Mar-2016 (6,657,297) 26,610 0.03 550,000 Morgan Stanley 3.950% 23-Apr-2027 534,379 0.57 (253) U.S. 2 Year Treasury Note 63,939 Morgan Stanley ABS Capital I Inc Trust 2006-NC4 Short Futures Contracts 0.572% 25-Jun-2036 FRN 54,844 0.06 Exp Mar-2016 (54,948,438) 76,999 0.08 275,000 Morgan Stanley Capital I Trust 2007-IQ14 (35) U.S. 5 Year Treasury Note 5.681% 15-Apr-2049 VAR 279,996 0.30 Short Futures Contracts 300,000 Neiman Marcus Group Ltd LLC 144A Exp Mar-2016 (4,136,289) 12,578 0.01 8.000% 15-Oct-2021 225,000 0.24 5 U.S. Treasury Bond 350,000 Newfi eld Exploration Co 5.750% 30-Jan-2022 311,500 0.33 Long Futures Contracts 135,000 Noble Energy Inc 5.050% 15-Nov-2044 108,856 0.12 Exp Mar-2016 766,250 2,517 0.00 90,000 Noble Energy Inc 5.250% 15-Nov-2043 71,462 0.08 (13) U.S. Treasury Ultra Bond 310,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 207,700 0.22 Short Futures Contracts 260,000 Northern Oil and Gas Inc 8.000% 01-Jun-2020 174,200 0.19 Exp Mar-2016 (2,049,938) 6,107 0.01 490,000 NRG Energy Inc 6.250% 15-Jul-2022 419,930 0.45 (28) UK Long Gilt 535,000 NRG Energy Inc 6.250% 01-May-2024 452,182 0.48 Short Futures Contracts 430,000 Prestige Auto Receivables Trust 2013-1 Exp Mar-2016 (4,848,940) 21,754 0.02 3.040% 15-Jul-2020 426,310 0.45 Total open futures contracts 215,501 0.23 695,000 Scientifi c Games International Inc 10.000% 01-Dec-2022 496,925 0.53 Unrealised gain on forward foreign currency contracts - 328,529 300,000 Springleaf Funding Trust 3.620% 15-Nov-2024 296,949 0.32 (see below) 328,529 0.35 275,000 Sprint Corp 7.875% 15-Sep-2023 206,938 0.22 500,000 Tenet Healthcare Corp 6.750% 15-Jun-2023 459,688 0.49 Total fi nancial assets 340,000 T-Mobile USA Inc 6.500% 15-Jan-2026 343,400 0.37 at fair value through profi t or loss 93,433,467 99.69 260,000 T-Mobile USA Inc 6.625% 01-Apr-2023 265,850 0.28 903,000 Unit Corp 6.625% 15-May-2021 654,675 0.70 Currency options - (21,250) 525,000 United Rentals North America Inc (2,000,000) Euro/US dollar Put 04-Mar-2016 1.130 (8,137) (0.01) 5.500% 15-Jul-2025 513,844 0.55 (2,000,000) US dollar/Euro Call 04-Mar-2016 1.060 (13,113) (0.01) 2,133,000 United States Treasury Bill 0.000% 11-Feb-2016 2,132,740 2.27 1,310,000 United States Treasury Bill 0.000% 31-Mar-2016* 1,309,450 1.40 Total currency options (21,250) (0.02) 725,000 United States Treasury Note/Bond 4.500% 15-Feb-2036 926,910 0.99 Future options - (36,375) 100,000 Valeant Pharmaceuticals International 144A (194) Euro Dollar 1 Year Mid-Curve Call 6.750% 15-Aug-2021 97,000 0.10 11-Mar-2016 99.000 (4,850) (0.01) 1,790,000 Vereit Operating Partnership LP (194) Euro Dollar 1 Year Mid-Curve Put 2.000% 06-Feb-2017 1,754,200 1.87 11-Mar-2016 98.500 (31,525) (0.03) 200,000 Volkswagen Group of America Finance LLC 1.250% 23-May-2017 195,246 0.21 Total future options (36,375) (0.04) 850,000 Wachovia Bank Commercial Mortgage Trust Series 2006-C24 5.658% 15-Mar-2045 VAR 848,504 0.90 Open futures contracts - (3,148) 34 Euro-BTP 900,000 Wachovia Bank Commercial Mortgage Trust Long Futures Contracts Series 2006-C29 5.368% 15-Nov-2048 VAR 892,545 0.95 Exp Mar-2016 5,100,208 (3,148) (0.00) 675,000 Wells Fargo & Co 4.300% 22-Jul-2027 688,780 0.73 359,100 Wendys Funding LLC 2015-1 4.080% 15-Jun-2045 356,124 0.38 Total open futures contracts (3,148) (0.00) Total investments in bonds 92,831,237 99.05

Future options - 58,200 194 Euro Dollar 1 Year Mid-Curve Put 11-Mar-2016 98.625 58,200 0.06

Total future options 58,200 0.06

167 BNY MELLON TARGETED RETURN BOND FUND

Portfolio of investments – as at 31 December 2015 Fair Total Forward foreign currency contracts Fair Total value net assets Settle value netUnrealised assets Holdings Description USD %Buy Holdings Description Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)%

Unrealised loss on forward foreign currency contracts - (2,593,711) BNY Mellon Targeted Return Bond Fund (see below) (2,593,711) (2.77) Chilean peso US dollar 1,055,000,000 1,467,010 29-Jan-16 JPMorgan Chase 16,826 Indian rupee US dollar 92,430,000 1,385,653 29-Jan-16 Nomura 6,521 Total fi nancial liabilities Indian rupee US dollar 163,430,000 2,440,456 29-Jan-16 JPMorgan Chase 21,116 at fair value through profi t or loss (2,654,484) (2.83) US dollar Euro 1,985,094 1,808,000 29-Jan-16 UBS 14,481 US dollar Euro 1,508,322 1,374,000 29-Jan-16 JPMorgan Chase 10,744 Net current assets 2,946,717 3.14 US dollar Euro 674,206 614,000 29-Jan-16 Credit Suisse First Boston 4,983 Total net assets 93,725,700 100 US dollar Euro 1,316,400 1,199,000 29-Jan-16 Goldman Sachs 9,561 US dollar Korean won 984,755 1,155,000,000 29-Jan-16 JPMorgan Chase * Part of the holding is held as collateral by JPMorgan Chase in respect of future options and futures contracts 3,208 held by the Fund. US dollar Mexican peso 1,272,288 21,420,000 29-Jan-16 Goldman Sachs 41,594 The counterparty for futures contracts is JPMorgan Chase. US dollar Russian rouble 298,239 19,645,000 29-Jan-16 JPMorgan Chase 34,041 The counterparty for currency options is JPMorgan Chase. US dollar Russian rouble 191,116 12,585,000 29-Jan-16 Morgan Stanley 21,866 The counterparty for future options is JPMorgan Chase. US dollar Russian rouble 118,854 7,850,000 29-Jan-16 HSBC Bank Plc 13,282 US dollar South African rand 728,849 10,480,000 29-Jan-16 Morgan Stanley 59,835 US dollar South African rand 716,846 10,500,000 29-Jan-16 Morgan Stanley 46,555 Analysis of portfolio % of Total assets US dollar Sterling 475,946 320,000 29-Jan-16 JPMorgan Chase 1,720 Transferable securities and money market instruments admitted US dollar Taiwanese dollar 714,199 23,540,000 29-Jan-16 Deutsche Bank 132 to offi cial stock exchange listing or traded on a regulated market 95.04 US dollar Taiwanese dollar 2,467,556 81,000,000 29-Jan-16 JPMorgan Chase 10,485 US dollar Peruvian nuevo sol 1,860,465 6,600,000 21-Oct-16 JPMorgan Chase Financial derivative instruments dealt in on a regulated market 0.28 11,579 OTC fi nancial derivative instruments 0.34 Other current assets 4.34 USD 328,529

Total assets 100.00 Mexican peso US dollar 16,925,000 973,347 29-Jan-16 Deutsche Bank (916) Mexican peso US dollar 16,035,000 921,639 29-Jan-16 Deutsche Bank (343) Norwegian krone US dollar 17,030,000 1,946,842 29-Jan-16 UBS (15,603) Russian rouble US dollar 40,080,000 587,253 29-Jan-16 Credit Suisse (48,233) South African rand US dollar 6,465,000 428,827 29-Jan-16 JPMorgan Chase (16,120) US dollar Australian dollar 825,057 1,150,000 29-Jan-16 Bank of America Securities Ltd (14,766) US dollar Australian dollar 13,409,426 18,540,000 29-Jan-16 Bank of America Securities Ltd (129,990) US dollar Canadian dollar 1,412,591 1,970,000 29-Jan-16 UBS (5,780) US dollar Hungarian forint 492,756 143,800,000 29-Jan-16 Morgan Stanley (3,774) US dollar Hungarian forint 487,570 143,510,000 29-Jan-16 Morgan Stanley (7,959) US dollar Malaysian ringgit 987,142 4,330,000 29-Jan-16 JPMorgan Chase (19,991) US dollar New Zealand dollar 4,349,911 6,465,000 29-Jan-16 UBS (66,697) US dollar Polish zloty 1,889,976 7,540,000 29-Jan-16 Bank of America Securities Ltd (34,940) US dollar Taiwanese dollar 1,329,602 43,950,000 29-Jan-16 Barclays Bank plc (3,586) US dollar Taiwanese dollar 725,076 24,000,000 29-Jan-16 Goldman Sachs (2,946) US dollar Thai baht 964,586 35,000,000 29-Jan-16 Bank of America Securities Ltd (7,378) US dollar Turkish lira 961,538 2,850,000 29-Jan-16 Citigroup (6,981) Brazilian real US dollar 3,690,000 960,437 02-Feb-16 Morgan Stanley (37,553)

USD (423,556)

Net USD (95,027)

BNY Mellon Targeted Return Bond Fund Sterling W (Acc) (Hedged) Share Class Sterling US dollar 63,854,760 96,796,281 15-Jan-16 The Bank of New York Mellon (2,170,155)

USD (2,170,155)

GBP (1,464,490)

168 BNY MELLON U.S. DYNAMIC VALUE FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Equities Equities contd. Consumer Discretionary - 2,262,664 Health Care - 5,074,137 (31 December 2014: 6,193,708) 2,262,664 5.45 (31 December 2014: 12,423,164) 5,074,137 12.21 9,829 Carnival Corporation 535,337 1.29 772 Allergan plc 241,312 0.58 4,341 CBS Corp 204,526 0.49 19,344 Boston Scientifi c Corp 356,800 0.86 18,849 Interpublic Group of Cos Inc/The 438,899 1.06 4,887 Bristol-Myers Squibb Co 336,201 0.81 5,578 Omnicom Group Inc 421,836 1.02 3,185 Cardinal Health Inc 284,277 0.68 20,809 Staples Inc 196,957 0.47 7,445 Eli Lilly & Co 627,167 1.51 3,698 Time Warner Inc 239,113 0.58 6,132 Express Scripts Holding Co 535,875 1.29 5,490 Viacom 225,996 0.54 14,278 Merck & Co Inc 754,093 1.82 37,477 Pfi zer Inc 1,209,570 2.91 Consumer Staples - 4,005,380 6,195 UnitedHealth Group Inc 728,842 1.75 (31 December 2014: 4,713,862) 4,005,380 9.64 9,669 Coca-Cola Co/The 415,332 1.00 Industrials - 3,825,598 12,657 ConAgra Foods Inc 533,556 1.28 (31 December 2014: 5,939,675) 3,825,598 9.21 4,362 CVS Health Corp 426,363 1.03 8,348 Delta Air Lines Inc 423,118 1.02 8,355 Kellogg Co 603,857 1.45 2,981 Honeywell International Inc 308,653 0.74 8,922 Molson Coors Brewing Co 837,999 2.02 4,696 Northrop Grumman Corp 886,722 2.14 7,879 Mondelez International Inc 353,334 0.85 6,739 Owens Corning 316,801 0.76 8,359 PepsiCo Inc 834,939 2.01 8,564 Raytheon Co 1,066,132 2.57 8,582 United Technologies Corp 824,172 1.98 Energy - 5,049,903 (31 December 2014: 7,581,261) 5,049,903 12.15 Information Technology - 5,505,219 3,286 Anadarko Petroleum Corp 159,650 0.39 (31 December 2014: 9,704,697) 5,505,219 13.25 1,596 Cimarex Energy Co 142,627 0.34 778 Alphabet Inc 605,261 1.46 3,373 Energen Corp 138,242 0.33 3,956 Apple Inc 416,270 1.00 17,279 EOG Resources Inc 1,223,094 2.94 33,761 Applied Materials Inc 630,487 1.52 27,256 Occidental Petroleum Corp 1,843,051 4.44 52,847 Cisco Systems Inc 1,435,060 3.45 9,815 Phillips 66 802,818 1.93 2,587 Citrix Systems Inc 195,681 0.47 1,158 Pioneer Natural Resources Co 145,179 0.35 9,238 Hewlett Packard Enterprise Co 140,279 0.34 8,537 Schlumberger Ltd 595,242 1.43 15,094 HP Inc 178,637 0.43 9,343 Microchip Technology Inc 434,963 1.05 Financials - 11,782,734 12,495 Micron Technology Inc 176,992 0.43 (31 December 2014: 22,252,123) 11,782,734 28.36 20,851 Oracle Corp 761,583 1.83 5,266 ACE Ltd 615,253 1.48 9,669 Texas Instruments Inc 530,006 1.27 12,256 American International Group Inc 759,566 1.83 9,188 Capital One Financial Corp 663,052 1.60 Materials - 2,431,868 18,213 Charles Schwab Corp/The 599,663 1.44 (31 December 2014: 2,682,601) 2,431,868 5.85 21,686 Citigroup Inc 1,122,359 2.70 9,105 CF Industries Holdings Inc 371,438 0.89 15,267 Communications Sales & Leasing Inc REIT 285,417 0.69 9,746 Dow Chemical Co/The 501,627 1.21 19,837 E*TRADE Financial Corp 587,869 1.41 7,132 Mosaic Co/The 196,807 0.47 6,098 FNF Group 211,448 0.51 10,815 Newmont Mining Corp 194,454 0.47 8,600 Hartford Financial Services Group Inc 373,799 0.90 6,158 Packaging Corp of America 388,231 0.93 29,671 JPMorgan Chase & Co 1,959,028 4.71 8,205 Vulcan Materials Co 779,311 1.88 26,924 Morgan Stanley 856,318 2.06 7,687 PNC Financial Services Group Inc/The 732,725 1.76 Telecommunication Services - 1,176,239 12,591 Prudential Financial 1,024,718 2.47 (31 December 2014: –) 1,176,239 2.83 5,372 Raymond James Financial Inc 311,442 0.75 34,193 AT&T Inc 1,176,239 2.83 16,921 Synchrony Financial 514,314 1.24 11,852 TD Ameritrade Holding Corp 411,442 0.99 Total investments in equities 41,113,742 98.95 20,434 Voya Financial Inc 754,321 1.82 Total fi nancial assets at fair value through profi t or loss 41,113,742 98.95

169 BNY MELLON U.S. DYNAMIC VALUE FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Unrealised loss on forward foreign currency contracts - (6) (see below) (31 December 2014: –) (6) (0.00)

Total fi nancial liabilities at fair value through profi t or loss (6) (0.00)

Net current assets 435,963 1.05

Total net assets 41,549,699 100.00

Analysis of portfolio % of Total assets

Transferable securities and money market instruments admitted to offi cial stock exchange listing or traded on a regulated market 98.81 Other current assets 1.19

Total assets 100.00

Forward foreign currency contracts Settle Unrealised Buy Sell Amount (B) Amount (S) Date Counterparty Gain/(Loss)

BNY Mellon U.S. Dynamic Value Fund Euro US dollar 3,700 4,027 04-Jan-16 Deutsche Bank (6)

USD (6)

170 BNY MELLON US OPPORTUNITIES FUND

Portfolio of investments – as at 31 December 2015

Fair Total Fair Total value net assets value net assets Holdings Description USD % Holdings Description USD %

Collective investment schemes Equities contd. United States of America - 3,559,602 Industrials - 5,975,755 (31 December 2014: 478,168) 3,559,602 6.95 (31 December 2014: 525,762) 5,975,755 11.67 9,142 iShares Russell 1000 ETF 1,035,834 2.02 14,595 Amphenol Corp 762,370 1.49 3,749 iShares Russell 3000 ETF 450,930 0.88 29,938 Fluor Corp 1,413,972 2.76 5,097 SPDR S&P 500 ETF Trust 1,039,406 2.03 13,554 Honeywell International Inc 1,403,381 2.74 5,528 Vanguard S&P 500 ETF 1,033,432 2.02 35,651 Methode Electronics Inc 1,134,236 2.22 23,182 Universal Display Corp 1,261,796 2.46 Total investments in collective investment schemes 3,559,602 6.95 Technology - 6,607,135 Equities (31 December 2014: 1,714,103) 6,607,135 12.90 Basic Materials - 2,200,085 14,622 Apple Inc 1,538,600 3.01 (31 December 2014: 359,874) 2,200,085 4.29 64,875 Infoblox Inc 1,193,376 2.33 18,127 CF Industries Holdings Inc 739,491 1.44 11,691 Mellanox Technologies Ltd 492,600 0.96 17,606 Valspar Corp/The 1,460,594 2.85 43,938 Oracle Corp 1,604,836 3.13 38,060 Veeco Instruments Inc 782,323 1.53 Communications - 6,333,421 21,190 Xilinx Inc 995,400 1.94 (31 December 2014: 1,310,185) 6,333,421 12.36 2,389 Alphabet Inc 1,813,167 3.54 Total investments in equities 47,448,680 92.63 2,090 Amazon.com Inc 1,412,631 2.76 Total fi nancial assets 9,477 AMC Networks Inc 707,411 1.38 at fair value through profi t or loss 51,008,282 99.58 9,991 CBS Corp 470,726 0.92 44,144 Ciena Corp 913,119 1.78 Net current assets 216,321 0.42 32,602 Fortinet Inc 1,016,367 1.98 Total net assets 51,224,603 100.00 Consumer, Cyclical - 1,747,100 (31 December 2014: 1,176,014) 1,747,100 3.41 55,713 Steelcase Inc 829,845 1.62 4,958 Ulta Salon Cosmetics & Fragrance Inc 917,255 1.79 Analysis of portfolio % of Total assets Transferable securities and money market instruments admitted Consumer, Non-cyclical - 8,190,470 to offi cial stock exchange listing or traded on a regulated market 99.45 (31 December 2014: 2,366,883) 8,190,470 15.99 Other current assets 0.55 18,028 Bristol-Myers Squibb Co 1,240,236 2.42 16,656 Eli Lilly & Co 1,403,101 2.74 Total assets 100.00 38,203 Flamel Technologies SA ADR 465,313 0.91 3,447 Illumina Inc 661,669 1.29 7,019 Jazz Pharmaceuticals Plc 985,994 1.93 26,513 Mondelez International Inc 1,188,975 2.32 21,414 Mylan NV 1,157,534 2.26 10,889 PepsiCo Inc 1,087,648 2.12

Financials - 16,394,714 (31 December 2014: 3,210,250) 16,394,714 32.01 3,196 BlackRock Inc 1,087,950 2.13 58,921 Charles Schwab Corp/The 1,939,974 3.79 50,836 E*TRADE Financial Corp 1,506,525 2.94 18,490 First Republic Bank 1,220,895 2.38 49,390 FNF Group 1,712,598 3.34 9,737 Goldman Sachs Group Inc/The 1,753,439 3.42 4,844 Intercontinental Exchange Inc 1,240,984 2.42 23,437 Realogy Holdings Corp 859,318 1.68 9,341 Signature Bank 1,432,116 2.80 67,570 Synchrony Financial 2,053,790 4.01 29,210 Wells Fargo & Co 1,587,125 3.10

171 STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Asian Insight Return Bond Return Equity Bond Equity Fund Fund Fund Fund Fund

Notes EUR EUR GBP USD USD

Income Bank interest income 11,181 – – – 3,572 Dividend income 1,322,591 159,874 33,532,169 – 3,116,289 Securities lending income 14 – 70,819 70,797 – 12,572 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 95,025,810 51,112,217 23,324,156 1,067,436 11,306,453 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (91,293,845) 6,318,675 12,054,841 (443,986) (23,925,701) Total income 5,065,737 57,661,585 68,981,963 623,450 (9,486,815) Expenses Management fee 3 1,413,720 8,623,230 15,899,933 253,186 2,078,691 Performance fee 3 101,843 482,881 5,166,958 – – Custodian fee 5 220,138 350,777 204,748 30,649 135,141 Operating expenses 7 306,826 1,126,874 1,083,200 62,314 127,445 Dividend expense 1,377,769 – 29,847,169 – – Finance charges on swaps 131,934 – 4,923,806 – – Rebate due from the manager 6 1,425 – – (20,510) – Total expenses 3,553,655 10,583,762 57,125,814 325,639 2,341,277 Net income/(expense) 1,512,082 47,077,823 11,856,149 297,811 (11,828,092) Finance costs Bank interest 57,480 416,230 70,945 – – Distributions 64,614 441,622 125,455 1,296,136 844 Profit/(loss) for the year 1,389,988 46,219,971 11,659,749 (998,325) (11,828,936) Withholding taxes on dividends and other investment income (79,550) (206,793) (1,230,753) (5,990) (283,843) 1,310,438 46,013,178 10,428,996 (1,004,315) (12,112,779) Change in adjustment for differences in valuation 1 (111,881) (1,180,975) (504,740) (90,933) (504,809) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 1,198,557 44,832,203 9,924,256 (1,095,248) (12,617,588)

Other than the Funds closed during the year (as detailed in Note 20), 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 20 of the fi nancial statements.

The accompanying notes form an integral part of these financial statements.

172 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Brazil Crossover Dynamic Emerging Emerging Emerging Emerging Income Equity Credit Total Markets Markets Markets Markets Debt Fund Fund Fund Return Corporate Debt Debt Local Opportunistic Fund* Debt Fund Currency Fund Fund Fund

GBP USD EUR USD USD USD USD USD

– 1,010 – – – 965 – – 854,675 2,839,019 – 18,710 8,622 – – – – – 26,742 – 35,355 59,773 102,649 1,650

447,391 (47,407,498) 4,611,335 (642,789) 2,954,753 (15,961,938) (156,910,203) (139,148)

(2,334,464) 9,141,927 (8,303,977) (21,265) (2,642,090) 14,070,708 (140,039,640) (3,591,167) (1,032,398) (35,425,542) (3,665,900) (645,344) 356,640 (1,830,492) (296,847,194) (3,728,665)

163,836 1,284,124 623,503 13,352 184,429 1,901,256 10,975,178 862 –––––––– 7,819 126,233 83,451 27,649 45,040 75,428 1,551,070 32,147 26,341 103,587 191,476 19,949 82,671 247,952 2,055,254 32,896 –––––––– –––––––– – – 17,067 (36,177) – – – 1,992 197,996 1,513,944 915,497 24,773 312,140 2,224,636 14,581,502 67,897 (1,230,394) (36,939,486) (4,581,397) (670,117) 44,500 (4,055,128) (311,428,696) (3,796,562)

70 570 16,585 787 2,821 172 20,013 2,419 574,456 23,986 2,286,757 – 183,884 2,970,938 38,363,427 – (1,804,920) (36,964,042) (6,884,739) (670,904) (142,205) (7,026,238) (349,812,136) (3,798,981)

(84,651) (211,041) (28) (5,668) (12,838) 105,095 (3,285,443) (101,913) (1,889,571) (37,175,083) (6,884,767) (676,572) (155,043) (6,921,143) (353,097,579) (3,900,894) – (201,778) (474,423) – (335,001) (1,452,824) (4,638,763) (67,638)

(1,889,571) (37,376,861) (7,359,190) (676,572) (490,044) (8,373,967) (357,736,342) (3,968,532)

173 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Emerging Emerging Euroland European Markets Markets Markets Bond Credit Equity Equity Core Local Currency Fund Fund Fund* Fund* Investment Grade Debt Fund*

Notes USD USD USD EUR EUR

Income Bank interest income 442 4,013 486 – – Dividend income 609,101 2,939,634 – – – Securities lending income 14 3,415 45,868 1,816 645,680 857 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss (3,187,837) (24,625,442) (42,129,093) 103,751,066 4,748,757 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (822,376) 5,631,513 38,195,814 (102,389,311) (3,672,993) Total income (3,397,255) (16,004,414) (3,930,977) 2,007,435 1,076,621 Expenses Management fee 3 95,290 199,588 10,439 21,984,559 114,253 Performance fee 3 – – – – – Custodian fee 5 37,824 156,562 33,298 733,726 43,942 Operating expenses 7 6,577 110,842 40,028 2,535,031 55,046 Dividend expense – – – – – Finance charges on swaps – – – – – Rebate due from the manager 6 (4,409) (27,841) 46,504 – (28,871) Total expenses 135,282 439,151 130,269 25,253,316 184,370 Net income/(expense) (3,532,537) (16,443,565) (4,061,246) (23,245,881) 892,251 Finance costs Bank interest 1,078 4,147 239 291,980 5,599 Distributions 299,227 – – 2,823,665 121,551 Profit/(loss) for the year (3,832,842) (16,447,712) (4,061,485) (26,361,526) 765,101 Withholding taxes on dividends and other investment income (71,081) (348,126) 111,905 (104,061) 13,458 (3,903,923) (16,795,838) (3,949,580) (26,465,587) 778,559 Change in adjustment for differences in valuation 1 (23,884) (240,941) (378,484) – (212,817) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations (3,927,807) (17,036,779) (4,328,064) (26,465,587) 565,742

* Please refer to Note 20 of the fi nancial statements.

174 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global Global Global Global Global Bond Dynamic Emerging Emerging Equity Equity High Yield Opportunistic Fund Bond Markets Markets Equity Fund Income Bond Bond Fund Fund Value Fund Fund Fund (formerly Fund (formerly BNY Mellon BNY Mellon Emerging Global Equity Equity Income Higher Income Fund) Fund)

USD USD USD USD USD USD USD USD

6,070 – 319 89 11,539 3,111 – – – 110,990 485,711 593,466 5,093,366 14,047,504 81,217 – 84,652 56,543 1,097 3,086 30,475 24,917 65,396 35,096

(16,196,195) (16,061,340) (3,619,595) (8,960,101) 10,014,595 9,097,320 (2,868,651) 2,221,550

(2,059,514) 346,468 2,369,461 2,327,499 (4,136,003) (4,233,848) (7,125,845) (11,315,545) (18,164,987) (15,547,339) (763,007) (6,035,961) 11,013,972 18,939,004 (9,847,883) (9,058,899)

2,429,446 2,064,867 139,976 273,701 2,745,285 4,382,659 444,915 522,040 –––––––– 167,254 146,374 38,926 154,633 86,028 103,992 71,725 108,983 397,545 312,705 12,863 28,973 265,914 337,406 149,865 172,537 –––––––– –––––––– – – (17,789) – – – – 20,226 2,994,245 2,523,946 173,976 457,307 3,097,227 4,824,057 666,505 823,786 (21,159,232) (18,071,285) (936,983) (6,493,268) 7,916,745 14,114,947 (10,514,388) (9,882,685)

141 5,941 – 12 – – 3,803 3,342 206,152 327,072 244,666 109 – 5,305,258 7,523,538 1,780,664 (21,365,525) (18,404,298) (1,181,649) (6,493,389) 7,916,745 8,809,689 (18,041,729) (11,666,691)

27,001 (24,605) (47,984) (72,985) (911,219) (2,714,277) (27,238) (32,501) (21,338,524) (18,428,903) (1,229,633) (6,566,374) 7,005,526 6,095,412 (18,068,967) (11,699,192) (451,225) (470,126) (67,375) (18,466) (89,770) (133,894) (664,863) (261,209)

(21,789,749) (18,899,029) (1,297,008) (6,584,840) 6,915,756 5,961,518 (18,733,830) (11,960,401)

175 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global Global Opportunities Property Real Real Real Fund Securities Return Return Return Fund Fund (EUR) Fund (GBP) Fund (USD)

Notes USD EUR EUR GBP USD

Income Bank interest income 3,866 21 – 11,762 32,687 Dividend income 2,295,271 464,328 46,047,624 811,707 9,057,166 Securities lending income 14 14,001 1,295 436,419 2,232 81,506 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 7,194,370 1,338,520 (321,957) 419,299 12,332,063 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (2,743,443) (536,988) 8,036,726 (810,919) (16,490,660) Total income 6,764,065 1,267,176 54,198,812 434,081 5,012,762 Expenses Management fee 3 882,869 172,506 23,023,721 221,120 2,818,452 Performance fee 3 – – – – – Custodian fee 5 72,437 79,591 461,004 90,943 199,386 Operating expenses 7 99,252 17,847 1,769,921 29,286 481,910 Dividend expense – – – – – Finance charges on swaps – – – – – Rebate due from the manager 6 – (20,809) – – – Total expenses 1,054,558 249,135 25,254,646 341,349 3,499,748 Net income/(expense) 5,709,507 1,018,041 28,944,166 92,732 1,513,014 Finance costs Bank interest 30 287 110,552 – – Distributions – 510 98,840 543,394 159,226 Profit/(loss) for the year 5,709,477 1,017,244 28,734,774 (450,662) 1,353,788 Withholding taxes on dividends and other investment income (416,591) (101,231) (6,224,614) (109,338) (1,240,170) 5,292,886 916,013 22,510,160 (560,000) 113,618 Change in adjustment for differences in valuation 1 (26,249) (13,466) (683,797) (25,550) (173,876) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 5,266,637 902,547 21,826,363 (585,550) (60,258)

* Please refer to Note 20 of the fi nancial statements.

176 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Japan Japan Long–Term Pan S&P Small Targeted U.S. All Cap Small Cap Global European 500® Cap Return Dynamic Equity Equity Focus Equity Equity Index Euroland Bond Value Fund Fund Fund Fund Tracker Fund Fund* Fund

JPY JPY EUR EUR USD EUR USD USD

234 213 2,493 1,046 698 1,579 – 140 67,478,979 47,298,493 31,321,820 1,435,987 1,736,014 944,843 – 1,585,696 1,094,918 6,564,289 294,781 6,051 7,253 30,421 – 2,995

146,485,495 235,039,472 102,415,327 1,101,601 7,414,393 (385,490) (263,547) 6,071,961

116,625,695 (43,954,033) 65,063,978 (575,233) (7,982,445) 3,487,410 (4,390,786) (12,229,075) 331,685,321 244,948,434 199,098,399 1,969,452 1,175,913 4,078,763 (4,654,333) (4,568,283)

32,993,407 44,616,431 9,755,825 459,033 558,861 542,820 77,052 375,321 – – 129,809 – – – – – 4,693,988 4,005,649 305,425 49,832 118,220 23,980 6,991 68,868 3,691,670 5,263,141 1,039,591 30,946 81,779 30,221 14,663 74,219 –––––––– –––––––– (1,912,327) (2,303,818) – – – – – – 39,466,738 51,581,403 11,230,650 539,811 758,860 597,021 98,706 518,408 292,218,583 193,367,031 187,867,749 1,429,641 417,053 3,481,742 (4,753,039) (5,086,691)

– 2,791 10,345 – – – – 42 6,539 3,345 203,699 – – – – 756,645 292,212,044 193,360,895 187,653,705 1,429,641 417,053 3,481,742 (4,753,039) (5,843,378)

(10,065,070) (7,025,295) (6,122,647) (159,440) (609,620) (73,852) (24,562) (446,912) 282,146,974 186,335,600 181,531,058 1,270,201 (192,567) 3,407,890 (4,777,601) (6,290,290) (933,385) (3,067,500) (738,906) (9,101) (9,369) (7,920) – (4,142)

281,213,589 183,268,100 180,792,152 1,261,100 (201,936) 3,399,970 (4,777,601) (6,294,432)

177 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2015 (contd.)

BNY Mellon Total US 31 December Opportunities 2015^ Fund

Notes USD USD

Income Bank interest income 168 105,256 Dividend income 356,636 190,335,854 Securities lending income 14 1,510 2,524,981 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss (147,170) 173,884,939 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (476,659) (294,542,457) Total income (265,515) 72,308,573 Expenses Management fee 3 356,714 134,600,432 Performance fee 3 – 8,687,851 Custodian fee 5 20,190 6,759,688 Operating expenses 7 38,895 15,052,624 Dividend expense – 47,135,360 Finance charges on swaps – 7,670,014 Rebate due from the manager 6 (8,075) (115,506) Total expenses 407,724 219,790,463 Net income/(expense) (673,239) (147,481,890) Finance costs Bank interest 1 1,162,542 Distributions – 68,043,416 Profit/(loss) for the year (673,240) (216,687,848) Withholding taxes on dividends and other investment income (106,071) (27,561,410) (779,311) (244,249,258) Change in adjustment for differences in valuation 1 (2,576) (14,960,198) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations (781,887) (259,209,456)

^ The Company Total as at 31 December 2015 has been adjusted to account for cross investment by BNY Mellon Euroland Bond Fund.

178 179 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Asian Insight Return Bond Return Equity Bond Equity Fund* Fund Fund Fund* Fund

Notes EUR EUR GBP USD USD

Income Bank interest income 2,527 4,144 5,621 – 236 Dividend income 100,794 12,910 27,500,807 – 5,344,012 Securities lending income 14 – 32,904 83,214 – 18,543 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 1,666,976 24,176,957 (45,677,798) 445,648 11,655,810 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss 998,622 6,874,744 3,583,866 (106,578) (13,241,685) Total income 2,768,919 31,101,659 (14,504,290) 339,070 3,776,916 Expenses Management fee 3 483,726 4,215,278 15,391,846 1,990 3,193,034 Performance fee 3 95,910 147,319 1,666,516 – – Custodian fee 5 87,945 190,467 249,737 8,077 105,712 Operating expenses 7 167,498 642,789 1,239,944 17,277 262,166 Dividend expense – – 25,404,070 – – Finance charges on swaps 53,573 – 4,592,384 – – Rebate due from the manager 6 (86,090) – – (9,065) – Total expenses 802,562 5,195,853 48,544,497 18,279 3,560,912 Net income/(expense) 1,966,357 25,905,806 (63,048,787) 320,791 216,004 Finance costs Bank interest 4,934 14,332 9,376 28 1,345 Distributions – 936,597 – 203,318 59,947 Profit/(loss) for the year 1,961,423 24,954,877 (63,058,163) 117,445 154,712 Withholding taxes on dividends and other investment income (27,121) (51,559) (1,339,553) (9,331) (395,319) 1,934,302 24,903,318 (64,397,716) 108,114 (240,607) Movement in adjustment to revalue assets from bid market prices to trading valuation prices 111,881 617,137 187,171 90,933 (129,400) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 2,046,183 25,520,455 (64,210,545) 199,047 (370,007)

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.

* This Fund launched during the year.

The accompanying notes form an integral part of these financial statements.

180 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Brazil Crossover Emerging Emerging Emerging Emerging Emerging Income Equity Credit Markets Markets Markets Markets Debt Markets Fund* Fund Fund Corporate Debt Debt Local Opportunistic Equity Debt Fund Currency Fund Fund Fund Fund

GBP USD EUR USD USD USD USD USD

– 615 116,989 – 1,493 21,354 916 215 491,134 7,566,289 – 4,120 – – – 504,419 – – 1,379 33,418 73,813 83,958 221 3,498

21,848 (26,473,191) 5,484,425 4,213,894 12,737,733 (75,667,169) 1,104,491 179,155

602,480 5,955,881 5,904,288 (475,574) (1,125,337) (124,745,021) (1,709,080) (554,285) 1,115,462 (12,950,406) 11,507,081 3,775,858 11,687,702 (200,306,878) (603,452) 133,002

82,728 2,775,081 292,620 200,087 3,595,884 18,196,349 1,380 6,860 –––––––– 3,266 308,567 50,399 55,658 129,464 3,329,647 39,081 42,888 18,148 225,626 227,419 77,522 439,095 3,701,678 46,080 2,780 –––––––– –––––––– – – (80,562) – – – (40,915) – 104,142 3,309,274 489,876 333,267 4,164,443 25,227,674 45,626 52,528 1,011,320 (16,259,680) 11,017,205 3,442,591 7,523,259 (225,534,552) (649,078) 80,474

46 6,258 – 60 – 245,293 – 626 385,462 41,445 955,293 32,151 4,235,899 71,458,612 – 317,716 625,812 (16,307,383) 10,061,912 3,410,380 3,287,360 (297,238,457) (649,078) (237,868)

(49,741) (551,388) (9,491) 20,259 13,712 (4,583,747) (15,642) (71,321) 576,071 (16,858,771) 10,052,421 3,430,639 3,301,072 (301,822,204) (664,720) (309,189)

– (138,716) 146,877 (53,196) (131,952) (2,282,144) 3,338 (10,160)

576,071 (16,997,487) 10,199,298 3,377,443 3,169,120 (304,104,348) (661,382) (319,349)

181 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Emerging Euroland European Evolution Markets Markets Bond Credit Global Equity Core Local Currency Fund Fund Alpha Fund Investment Fund^ Grade Debt Fund

Notes USD USD EUR EUR EUR

Income Bank interest income 2,370 – – – – Dividend income 4,458,054 – – – 108 Securities lending income 14 51,324 8,291 350,892 389 – Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 2,044,175 (1,327,755) 194,053,268 3,183,798 (49,951) Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (13,179,778) (9,652,340) 98,531,269 4,222,926 (169,474) Total income (6,623,855) (10,971,804) 292,935,429 7,407,113 (219,317) Expenses Management fee 3 337,993 19,123 17,684,739 58,265 12,850 Performance fee 3 – – – – – Custodian fee 5 236,818 305,100 627,959 41,083 25,176 Operating expenses 7 194,002 205,553 1,973,266 81,718 8,113 Dividend expense – – – – – Finance charges on swaps – – – – – Rebate due from the manager 6 – – – (26,289) (28,732) Total expenses 768,813 529,776 20,285,964 154,777 17,407 Net income/(expense) (7,392,668) (11,501,580) 272,649,465 7,252,336 (236,724) Finance costs Bank interest 2,744 6,058 160,259 697 397 Distributions – – 2,398,398 330 – Profit/(loss) for the year (7,395,412) (11,507,638) 270,090,808 7,251,309 (237,121) Withholding taxes on dividends and other investment income (622,486) (230,324) 228,838 (6,838) – (8,017,898) (11,737,962) 270,319,646 7,244,471 (237,121) Movement in adjustment to revalue assets from bid market prices to trading valuation prices 32,121 (69,839) – 52,724 (146) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations (7,985,777) (11,807,801) 270,319,646 7,297,195 (237,267)

^ This Fund closed during the year.

182 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global GlobalGlobal Emerging Global GlobalGlobal Equity Global Global Bond DynamicMarkets Fund Emerging EquityIncome Fund High Yield Opportunistic Fund Bond(formerly BNY Markets Equity Fund(formerly BNY Bond Bond FundMellon Emerging ValueMellon Global Fund Fund Equity Income Fund Equity Higher Fund) Income Fund)

USD USD USD USD USD USD USD USD

15,277 4,890 506 – 6,341 2,885 – 2,173 – 1,986 1,553,109 393,561 8,081,305 14,240,245 81,217 3,301 36,128 5,942 2,173 5,567 50,781 52,439 25,200 4,057

8,756,078 2,299,688 (1,663,010) (425,483) 40,398,033 18,088,798 10,651,127 1,612,191

(9,076,711) (7,637,160) (832,983) 40,021 (30,752,088) (21,399,666) (16,094,899) (2,936,956) (269,228) (5,324,654) (940,205) 13,666 17,784,372 10,984,701 (5,337,355) (1,315,234)

3,384,832 1,047,755 303,351 200,179 2,814,351 4,305,773 333,906 18,021 –––––––– 213,977 92,725 55,918 30,454 76,642 167,199 51,687 90,449 704,223 143,385 37,405 31,016 345,129 358,554 98,812 55,346 –––––––– –––––––– – – (900) – – – – (49,174) 4,303,032 1,283,865 395,774 261,649 3,236,122 4,831,526 484,405 114,642 (4,572,260) (6,608,519) (1,335,979) (247,983) 14,548,250 6,153,175 (5,821,760) (1,429,876)

175 – 11 982 3,157 14,997 714 1,407 671,424 19,611 602,115 57 – 5,923,977 9,418,230 – (5,243,859) (6,628,130) (1,938,105) (249,022) 14,545,093 214,201 (15,240,704) (1,431,283)

92,519 (10,110) (161,981) (51,769) (1,646,001) (2,945,510) (59,858) (45,695) (5,151,340) (6,638,240) (2,100,086) (300,791) 12,899,092 (2,731,309) (15,300,562) (1,476,978)

(180,790) 304,187 3,612 (2,577) (47,029) (44,733) (44,758) 242,591

(5,332,130) (6,334,053) (2,096,474) (303,368) 12,852,063 (2,776,042) (15,345,320) (1,234,387)

183 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global Global Opportunities Property Real Real Real Fund Securities Return Return Return Fund Fund (EUR) Fund (GBP) Fund (USD)

Notes USD EUR EUR GBP USD

Income Bank interest income 2,168 249 58,603 13,976 9,495 Dividend income 2,507,350 320,190 41,094,808 1,685,975 7,563,120 Securities lending income 14 15,512 429 121,235 6,582 20,836 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 16,127,029 975,720 (26,259,065) 2,414,407 10,223,657 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (11,642,888) 1,295,200 97,075,096 (163,946) (6,103,199) Total income 7,009,171 2,591,788 112,090,677 3,956,994 11,713,909 Expenses Management fee 3 865,569 136,028 16,526,184 690,063 2,888,925 Performance fee 3 – – – – – Custodian fee 5 91,316 67,474 321,380 22,165 163,012 Operating expenses 7 107,362 14,969 1,272,692 75,624 312,539 Dividend expense – – – – – Finance charges on swaps – – – – – Rebate due from the manager 6 – (33,110) – – – Total expenses 1,064,247 185,361 18,120,256 787,852 3,364,476 Net income/(expense) 5,944,924 2,406,427 93,970,421 3,169,142 8,349,433 Finance costs Bank interest 1,671 1,267 – 7 5 Distributions – 936 80,467 1,145,529 345,248 Profit/(loss) for the year 5,943,253 2,404,224 93,889,954 2,023,606 8,004,180 Withholding taxes on dividends and other investment income (498,674) (68,222) (7,475,899) (297,945) (1,346,157) 5,444,579 2,336,002 86,414,055 1,725,661 6,658,023 Movement in adjustment to revalue assets from bid market prices to trading valuation prices (6,173) 4,871 (145,771) (43,958) 26,495 Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 5,438,406 2,340,873 86,268,284 1,681,703 6,684,518

^ This Fund closed during the year.

184 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Japan Japan Japan Latin Long-Term Pan S&P Small All Cap Equity Small Cap America Global European 500® Cap Equity Value Equity Focus Infrastructure Equity Equity Index Euroland Fund Fund^ Fund Fund^ Fund Fund Tracker Fund

JPY JPY JPY USD EUR EUR USD EUR

– 35 – 15 14,940 570 – 5 13,614,521 8,602,056 16,782,613 – 23,780,351 558,226 2,609,104 386,868 89,277 79,685 736,557 – 165,594 4,973 3,045 4,605

47,268,843 96,051,686 183,807,997 (839,776) 93,241,709 1,190,157 28,711,187 2,072,107

39,317,985 (71,497,857) 190,436,808 486,343 81,752,789 (682,065) (15,721,089) (1,513,286) 100,290,626 33,235,605 391,763,975 (353,418) 198,955,383 1,071,861 15,602,247 950,299

7,424,668 4,025,980 12,082,719 7,625 9,722,087 223,970 725,330 214,449 –––––––– 1,336,919 2,889,246 1,289,004 359 255,194 15,228 102,431 51,677 2,170,835 506,797 2,719,380 4,043 698,621 15,403 144,747 9,343 –––––––– –––––––– (2,263,506) (1,139,155) (1,391,394) (9,861) – – – – 8,668,916 6,282,868 14,699,709 2,166 10,675,902 254,601 972,508 275,469 91,621,710 26,952,737 377,064,266 (355,584) 188,279,481 817,260 14,629,739 674,830

11 1,794 33,342 – 10 – 1,311 185 – – – – 246,596 – – – 91,621,699 26,950,943 377,030,924 (355,584) 188,032,875 817,260 14,628,428 674,645

(2,090,246) (1,312,431) (2,555,033) (461) (4,742,655) (96,967) (744,328) (60,414) 89,531,453 25,638,512 374,475,891 (356,045) 183,290,220 720,293 13,884,100 614,231

58,035 (697,186) 1,705,250 (3,696) (545,740) 2,017 (18,764) 494

89,589,488 24,941,326 376,181,141 (359,741) 182,744,480 722,310 13,865,336 614,725

185 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF COMPREHENSIVE INCOME

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon Total U.S. U.S. US 31 December Dynamic Equity Opportunities 2014 Value Fund^ Fund* Fund

Notes USD USD USD USD

Income Bank interest income 196 99 – 366,138 Dividend income 1,495,126 49,932 62,930 193,610,346 Securities lending income 14 199 856 16 1,557,220 Net gains/(losses) on financial assets/liabilities at fair value through profit or loss Net realised gains/(losses) on financial assets/ liabilities at fair value through profit or loss 13,776,781 1,750,398 (198,335) 407,618,677 Net change in unrealised gains/(losses) on financial assets/liabilities at fair value through profit or loss (6,474,563) (2,016,613) 608,295 110,032,866 Total income 8,797,739 (215,328) 472,906 713,185,247 Expenses Management fee 3 105,054 29,385 57,836 137,989,317 Performance fee 3 – – – 3,065,821 Custodian fee 5 38,802 5,351 8,411 8,554,486 Operating expenses 7 67,466 11,199 12,814 16,631,817 Dividend expense – – – 41,817,399 Finance charges on swaps – – – 7,630,532 Rebate due from the manager 6 – 20,210 (11,971) (484,854) Total expenses 211,322 66,145 67,090 215,204,518 Net income/(expense) 8,586,417 (281,473) 405,816 497,980,729 Finance costs Bank interest 89 51 52 544,374 Distributions 934,840 – – 102,910,227 Profit/(loss) for the year 7,651,488 (281,524) 405,764 394,526,128 Withholding taxes on dividends and other investment income (419,693) (8,026) (16,414) (33,468,046) 7,231,795 (289,550) 389,350 361,058,082 Movement in adjustment to revalue assets from bid market prices to trading valuation prices (6,972) (1,318) 2,576 (1,896,492) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 7,224,823 (290,868) 391,926 359,161,590

^ This Fund closed during the year. * This Fund launched during the year.

186 187 STATEMENT OF FINANCIAL POSITION

As at 31 December 2015

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Insight Return Return Bond Fund Bond Equity Fund Fund Fund

Notes EUR EUR GBP USD

Assets (due within one year) Financial assets at fair value through profit or loss 203,605,536 1,878,182,652 1,869,384,940 38,698,210 Cash at bank 9 21,390,807 258,376,425 34,468,565 1,790,841 Income receivable 1,028,738 6,396,671 1,883,471 426,989 Receivable for investments sold – 2,252,122 – 100,463 Rebate receivable from management company 6 11,116 – – 24,178 Margins on derivatives contracts 9 3,019,513 34,656,816 17,630,270 – Cash collateral received from broker 269,464 843,467 5,656,836 – Subscriptions receivable 669,219 7,568,967 7,212,854 – Other receivables 9,386 5,944 103,560 103 230,003,779 2,188,283,064 1,936,340,496 41,040,784 Liabilities (due within one year) Financial liabilities at fair value through profit or loss 3,899,487 12,409,378 42,598,008 8,390 Bank overdraft 9 9,905 – 7,110 – Payable for investments purchased 205,429 – 883,067 – Redemptions payable 7,036 2,436,415 1,152,459 – Expenses payable 278,278 1,129,911 1,815,413 61,344 Performance fee payable 3 75,979 370,739 5,574,555 – Margins on derivatives contracts 9 794,926 14,828,865 – 10,180 Cash collateral payable to broker 269,464 843,467 5,656,836 – Income payable on swaps 40,279 104,965 471,104 – Finance charges payable on swaps 5,555 – 214,850 – Other payables –––– 5,586,338 32,123,740 58,373,402 79,914 Net assets attributable to redeemable participating shareholders at trading valuation 224,417,441 2,156,159,324 1,877,967,094 40,960,870

* Please refer to Note 20 of the fi nancial 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: 13 April 2016

188 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Asian Brazil Crossover Dynamic Total Emerging Emerging Emerging Equity Income Equity Credit Return Markets Markets Markets Fund Fund Fund Fund Fund* Corporate Debt Debt Local Debt Fund Currency Fund Fund

USD GBP USD EUR USD USD USD USD

90,602,594 20,866,698 52,595,016 226,341,225 11,172,142 105,177,154 66,158,871 1,273,745,947 2,090,148 174,887 4,531,294 3,185,105 1,048,184 1,581,246 3,240,685 33,192,014 43,038 – 427,980 4,074,405 1,715 1,449,207 1,196,184 27,252,556 – – – – – – 1,093,662 – – – – 36,104 7,372 – – – – – – 43,168 63,075 – – – – – – – – – – 5,342,000 717 – 3,025 40,480 – 703,047 – 200,000 3,766 124 6,627 2,929 571 6 5,600 497 92,740,263 21,041,709 57,563,942 233,723,416 12,293,059 108,910,660 71,695,002 1,339,733,014

28 – 324 23,613 121,385 163,458 33,983 8,266,542 2 – 15,303 – – – – – – – 55,130 – 538,903 – 352,626 – 36,341 – 481,392 5,030 – – 465 336,381 194,242 39,450 123,650 127,731 31,185 39,252 140,248 1,306,854 –––––––– – – – – 82,528 – – – – – – – – – – 5,342,000 –––––––– –––––––– –––––––– 230,613 39,450 675,799 156,374 774,001 202,710 527,322 15,251,777

92,509,650 21,002,259 56,888,143 233,567,042 11,519,058 108,707,950 71,167,680 1,324,481,237

189 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Emerging Emerging Emerging Markets Debt Markets Markets Markets Local Opportunistic Equity Equity Currency Fund Fund* Core Investment Fund* Grade Debt Fund*

Notes USD USD USD USD

Assets (due within one year) Financial assets at fair value through profit or loss 83,210,917 – – – Cash at bank 9 3,682,284 1,418 119,875 47,508 Income receivable 1,480,828 1,536 14,034 – Receivable for investments sold –––– Rebate receivable from management company 6 17,135 4,409 27,841 – Margins on derivatives contracts 9 – – – – Cash collateral received from broker 250,000 – – – Subscriptions receivable –––– Other receivables 2,787 – – – 88,643,951 7,363 161,750 47,508 Liabilities (due within one year) Financial liabilities at fair value through profit or loss 383,053 – – – Bank overdraft 9 – 5,551 136,195 – Payable for investments purchased – – – – Redemptions payable –––– Expenses payable 27,342 1,812 25,555 1,004 Performance fee payable 3 – – – – Margins on derivatives contracts 9 – – – – Cash collateral payable to broker 250,000 – – – Income payable on swaps –––– Finance charges payable on swaps –––– Other payables – – – 46,504 660,395 7,363 161,750 47,508 Net assets attributable to redeemable participating shareholders at trading valuation 87,983,556 – – –

* Please refer to Note 20 of the fi nancial statements.

190 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Euroland European Global Global Global Global Global Global Bond Credit Bond Dynamic Emerging Emerging Equity Equity Fund Fund Fund Bond Markets Markets Fund Income Fund Fund Equity Fund (formerly Value (formerly BNY Mellon Fund BNY Mellon Emerging Equity Global Equity Income Higher Income Fund) Fund)

EUR EUR USD USD USD USD USD USD

2,702,126,889 49,835,981 302,003,716 249,864,289 22,895,572 4,291,316 244,265,414 461,327,197 65,325,942 310,874 8,320,652 8,779,694 4,179,224 44,906,791 11,235,990 9,684,815 25,422,006 585,870 1,926,077 2,174,021 – 48,814 341,089 1,118,649 – – 5,361,369 5,303,321 – 236,095 54,989 – – 32,098 – – 29,483 – – – 291,103 723,337 – 75,690 – – – – –––––––– 2,987,401 – 310,385 55,666 45,283,886 1,145 55,051 310,174 4,705 1,499 3,817 16 82,042 – 16,227 4,388 2,796,158,046 51,489,659 317,926,016 266,252,697 72,470,207 49,484,161 255,968,760 472,445,223

25,830,909 194,215 1,472,340 2,299,462 3,737 – 16,691 1,410,107 – – 39,964 1,411 1 2 – 878 – – 5,711,853 – 3,375,850 – 208,319 – 5,435,158 – 1,137,592 7,029 – 45,296,251 13,949 1,312,928 2,168,238 49,944 289,441 232,086 153,681 61,760 319,068 523,342 –––––––– 6,399,563 489,691 – – – – – – –––––––– 2,372,958 2,546 – – – – – – –––––––– –––––––– 42,206,826 736,396 8,651,190 2,539,988 3,533,269 45,358,013 558,027 3,247,255

2,753,951,220 50,753,263 309,274,826 263,712,709 68,936,938 4,126,148 255,410,733 469,197,968

191 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global High Yield Opportunistic Opportunities Property Bond Bond Fund Securities Fund Fund Fund

Notes USD USD USD EUR

Assets (due within one year) Financial assets at fair value through profit or loss 127,361,950 214,482,376 136,321,804 13,872,098 Cash at bank 9 6,376,027 7,338,345 6,304,037 136,881 Income receivable 2,397,428 2,193,536 95,921 48,609 Receivable for investments sold – – – 90,856 Rebate receivable from management company 6 – 23,020 – 9,533 Margins on derivatives contracts 9 – 11,085 – – Cash collateral received from broker – – – – Subscriptions receivable 11,020 40,566 246,434 1,415 Other receivables – 1,345 2,026 187 136,146,425 224,090,273 142,970,222 14,159,579 Liabilities (due within one year) Financial liabilities at fair value through profit or loss 572,215 3,064,291 76,579 6,487 Bank overdraft 9 – – – – Payable for investments purchased 1,066,683 2,771,950 – 97,451 Redemptions payable 7,552 38,722 915,753 – Expenses payable 80,951 123,298 137,690 35,674 Performance fee payable 3 – – – – Margins on derivatives contracts 9 – 623,535 – – Cash collateral payable to broker –––– Income payable on swaps –––– Finance charges payable on swaps –––– Other payables –––– 1,727,401 6,621,796 1,130,022 139,612 Net assets attributable to redeemable participating shareholders at trading valuation 134,419,024 217,468,477 141,840,200 14,019,967

192 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Japan Japan Long-Term Pan S&P Real Real Real All CapSmall CapGlobal European 500® Return Return Return Equity Equity Focus Equity Equity Index Fund (EUR) Fund (GBP) Fund (USD) Fund Fund Fund Fund Tracker

EUR GBP USD JPY JPY EUR EUR USD

2,501,496,723 55,365,582 474,275,195 3,918,470,132 4,457,549,052 1,407,479,067 48,639,246 76,518,442 91,364,073 4,203,695 28,213,663 72,202,575 26,331,713 42,250,466 540,996 411,410 9,590,036 164,099 1,380,849 5,714,210 2,502,230 727,988 61,457 74,452 – – – – 30,365,005 – – – – – – 3,169,970 2,316,408 – – – 20,076,176 481,493 3,966,803 – – – – – –––––––– 3,983,966 34,381 480,000 – – 10,425,151 598 21,691 1,350 7,956 2,743 142 96 36,006 54 2,626,512,324 60,257,206 508,319,253 3,999,557,029 4,519,064,504 1,460,918,678 49,242,297 77,026,049

10,943,707 1,182,948 1,565,570 28,656,971 25,139,478 1,490 4 – 2 1 10 – – – 4,563 – 97,200 – 25,398 – 31,673,707 – – 10,249 3,088,589 – 259,144 – – 10,184,783 602 48,584 2,394,940 24,378 330,890 7,646,853 7,622,194 1,017,841 53,828 101,210 – – – – – 129,809 – – – – – – – – – 4,994 –––––––– –––––––– –––––––– –––––––– 16,524,438 1,207,327 2,181,012 36,303,824 64,435,379 11,333,923 58,997 165,037

2,609,987,886 59,049,879 506,138,241 3,963,253,205 4,454,629,125 1,449,584,755 49,183,300 76,861,012

193 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Small Targeted U.S. US Cap Return Dynamic Opportunities Euroland Bond Value Fund Fund Fund* Fund

Notes EUR USD USD USD

Assets (due within one year) Financial assets at fair value through profit or loss 60,495,538 93,433,467 41,113,742 51,008,282 Cash at bank 9 1,107,887 3,182,088 438,118 225,099 Income receivable 17,663 1,042,118 54,463 23,027 Receivable for investments sold – – – 15,092 Rebate receivable from management company 6 – – – 18,715 Margins on derivatives contracts 9 172,000 20,989 – – Cash collateral received from broker – – – – Subscriptions receivable 296,351 – – 298 Other receivables 345 – 1,733 3 62,089,784 97,678,662 41,608,056 51,290,516 Liabilities (due within one year) Financial liabilities at fair value through profit or loss – 2,654,484 6 – Bank overdraft 9 – – – – Payable for investments purchased – 938,412 – – Redemptions payable 281 – – 811 Expenses payable 74,624 74,273 58,351 65,102 Performance fee payable 3 – – – – Margins on derivatives contracts 9 23,700 285,793 – – Cash collateral payable to broker –––– Income payable on swaps –––– Finance charges payable on swaps –––– Other payables –––– 98,605 3,952,962 58,357 65,913 Net assets attributable to redeemable participating shareholders at trading valuation 61,991,179 93,725,700 41,549,699 51,224,603

* Please refer to Note 20 of the fi nancial statements. ^ The Company Total as at 31 December 2015 has been adjusted to account for cross investment by BNY Mellon Euroland Bond Fund.

194 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2015 (contd.)

Total 31 December 2015^

USD

17,000,738,853 774,973,729 100,363,528 14,963,784 294,355 94,936,400 15,141,170 86,633,496 366,699 18,088,412,014

145,037,630 225,525 17,055,550 74,584,647 15,367,939 8,844,945 25,498,168 15,141,170 3,433,884 322,784 46,504 305,558,746

17,782,853,268

195 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Insight Return Return Bond Fund* Bond Equity Fund* Fund Fund

Notes EUR EUR GBP USD

Assets (due within one year) Financial assets at fair value through profit or loss 136,743,618 1,135,974,713 1,282,963,648 30,400,057 Cash at bank 9 20,103,377 47,505,267 55,016,379 1,645,567 Income receivable 504,462 4,038,833 1,463,216 350,030 Receivable for investments sold – 1,146,428 – – Rebate receivable from management company 6 74,886 – – 13,416 Margins on derivatives contracts 9 2,286,790 33,222,366 11,513,421 – Cash collateral received from broker – 618,533 12,169,184 – Subscriptions receivable 175,492 326,637 13,222,974 – Other receivables –13– – 159,888,625 1,222,832,790 1,376,348,822 32,409,070 Liabilities (due within one year) Financial liabilities at fair value through profit or loss 3,949,333 15,779,211 63,818,119 16,359 Bank overdraft 9 – – – – Payable for investments purchased 2,000,000 – – – Redemptions payable 40,416 8,145,706 2,928,345 – Expenses payable 316,069 778,311 1,562,722 17,236 Performance fee payable 3 93,121 30,542 1,526,100 – Margins on derivatives contracts 9 741,283 14,149,501 – 2,937 Cash collateral payable to broker – 618,533 12,169,184 – Income payable on swaps 15,212 – 1,237,499 – Finance charges payable on swaps 3,496 – 407,217 – Other payables –––– 7,158,930 39,501,804 83,649,186 36,532 Net assets attributable to redeemable participating shareholders 152,729,695 1,183,330,986 1,292,699,636 32,372,538 Adjustment for valuation from bid/ask market prices to trading valuation prices 111,881 1,180,975 504,740 90,933 Net assets attributable to redeemable participating shareholders at trading valuation 152,841,576 1,184,511,961 1,293,204,376 32,463,471

* This Fund launched during the year.

The accompanying notes form an integral part of these financial statements.

196 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Asian Brazil Crossover Emerging Emerging Emerging Emerging Equity Income Equity Credit Markets Markets Markets Markets Debt Fund Fund* Fund Fund Corporate Debt Debt Local Opportunistic Debt Fund Currency Fund Fund Fund

USD GBP USD EUR USD USD USD USD

149,390,530 19,859,234 110,201,613 163,392,724 86,062,702 297,010,385 2,051,599,954 15,187,021 12,264,414 45,421 6,071,184 5,539,408 2,391,636 6,956,841 71,841,888 1,141,967 20,795 – 648,516 3,220,374 1,120,017 4,583,877 37,285,836 300,664 – 50,000 513,052 – – – – 133,726 – – – 47,421 – – – 27,230 –––––––367 – – – – 290,000 – – – 1,031 35,144 28,032 – – 161,216 450,561 – – 392 – – 2 43 213 – 161,676,770 19,990,191 117,462,397 172,199,927 89,864,357 308,712,362 2,161,178,452 16,790,975

9 – 218 – 45,769 512,401 25,277,044 158,503 132,250 – 659,112 – – – – – –––––––– 76,740 52,815 2,848,313 – – 200,494 359,657 – 326,645 38,166 260,117 102,035 48,512 360,839 2,298,338 31,313 –––––––– –––––––– – – – – 290,000 – – – –––––––– –––––––– –628–––––– 535,644 91,609 3,767,760 102,035 384,281 1,073,734 27,935,039 189,816

161,141,126 19,898,582 113,694,637 172,097,892 89,480,076 307,638,628 2,133,243,413 16,601,159

504,809 – 201,778 474,423 335,001 1,452,824 4,638,763 67,638

161,645,935 19,898,582 113,896,415 172,572,315 89,815,077 309,091,452 2,137,882,176 16,668,797

197 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Emerging Emerging Euroland Markets Markets Markets Local Bond Equity Equity Currency Fund Fund Core Investment Fund Grade Debt Fund

Notes USD USD USD EUR

Assets (due within one year) Financial assets at fair value through profit or loss 13,967,325 158,490,028 166,330,370 3,076,434,405 Cash at bank 9 308,717 1,287,065 9,908,111 99,525,960 Income receivable 33,316 494,874 3,717,581 33,826,172 Receivable for investments sold – 773,072 – – Rebate receivable from management company 6 – – – – Margins on derivatives contracts 9 – – 820,000 11,928,450 Cash collateral received from broker – – – – Subscriptions receivable – – – 9,742,355 Other receivables 101––– 14,309,459 161,045,039 180,776,062 3,231,457,342 Liabilities (due within one year) Financial liabilities at fair value through profit or loss – – 1,865,383 63,809,118 Bank overdraft 9 – – – – Payable for investments purchased – – – – Redemptions payable – – – 3,303,481 Expenses payable 20,628 99,631 77,372 2,466,256 Performance fee payable 3 – – – – Margins on derivatives contracts 9 – – – 22,968,924 Cash collateral payable to broker –––– Income payable on swaps – – – 2,474,223 Finance charges payable on swaps –––– Other payables –––– 20,628 99,631 1,942,755 95,022,002 Net assets attributable to redeemable participating shareholders 14,288,831 160,945,408 178,833,307 3,136,435,340 Adjustment for valuation from bid/ask market prices to trading valuation prices 23,884 240,941 378,484 – Net assets attributable to redeemable participating shareholders at trading valuation 14,312,715 161,186,349 179,211,791 3,136,435,340

^ This Fund closed during the year.

198 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon European Evolution Global GlobalGlobal Emerging Global Global Global Equity Credit Global Bond DynamicMarkets Fund Emerging Equity Income Fund Fund Alpha Fund Bond(formerly BNY Markets Fund (formerly BNY Fund^ FundMellon Emerging Equity Mellon Global Equity Income Value Equity Higher Fund) Fund Income Fund)

EUR EUR USD USD USD USD USD USD

101,310,393 – 551,472,471 250,170,797 27,463,703 10,661,372 232,458,711 334,927,338 3,145,596 2,564 1,121,848 17,955,798 1,648,232 245,696 7,390,227 2,704,986 1,367,963 – 4,150,865 2,184,138 36,083 29,043 316,762 961,152 – – 7,590,037 – – 248,243 – – 37,148 24 – – 59,398 – – – 587,487 – – 115,561 – – – – –––––––– – – 82,912 1,518 – 102,438 – 60,092 3,104 – – – 2,965 12,580 12,933 3 106,451,691 2,588 564,418,133 270,427,812 29,210,381 11,299,372 240,178,633 338,653,571

516,070 – 2,058,157 3,181,737 445 – 25,076 265,649 – – 874 88,355 – – 434,388 24,215 – – – 836,073 – 9,923 393,484 – – – 2,882,266 2,009,097 – 342,560 4,767 471,490 56,723 2,588 474,932 213,994 198,930 22,178 315,528 513,882 –––––––– 243,927 – – – – – – – –––––––– –––––––– –––––––– –––––––– 816,720 2,588 5,416,229 6,329,256 199,375 374,661 1,173,243 1,275,236

105,634,971 – 559,001,904 264,098,556 29,011,006 10,924,711 239,005,390 337,378,335

212,817 – 451,225 470,126 67,375 18,466 89,770 133,894

105,847,788 – 559,453,129 264,568,682 29,078,381 10,943,177 239,095,160 337,512,229

199 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global High Yield Opportunistic Opportunities Property Bond Bond Fund Securities Fund Fund Fund

Notes USD USD USD EUR

Assets (due within one year) Financial assets at fair value through profit or loss 150,821,780 110,499,408 95,942,818 11,165,673 Cash at bank 9 3,088,977 1,893,583 2,778,296 152,545 Income receivable 2,790,887 1,439,994 114,280 38,780 Receivable for investments sold – – – 89,984 Rebate receivable from management company 6 – 34,036 – 45,127 Margins on derivatives contracts 9 – 218,851 – – Cash collateral received from broker – 260,000 – – Subscriptions receivable 15,545 20,769 3,099 – Other receivables 97,389 3,557 – 329 156,814,578 114,370,198 98,838,493 11,492,438 Liabilities (due within one year) Financial liabilities at fair value through profit or loss 1,910,427 2,427,702 19,826 – Bank overdraft 9 – – 332,737 – Payable for investments purchased – 603,747 – 156,014 Redemptions payable 4,730 67,463 – – Expenses payable 80,298 54,256 117,860 65,155 Performance fee payable 3 – – – – Margins on derivatives contracts 9 – 347,782 – – Cash collateral payable to broker – 260,000 – – Income payable on swaps – 142,926 – – Finance charges payable on swaps –––– Other payables –––– 1,995,455 3,903,876 470,423 221,169 Net assets attributable to redeemable participating shareholders 154,819,123 110,466,322 98,368,070 11,271,269 Adjustment for valuation from bid/ask market prices to trading valuation prices 664,863 261,209 26,249 13,466 Net assets attributable to redeemable participating shareholders at trading valuation 155,483,986 110,727,531 98,394,319 11,284,735

^ This Fund closed during the year.

200 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Japan Japan Japan Latin Long-Term Real Real Real All CapEquity Small CapAmerica Global Return Return Return Equity Value Equity Focus Infrastructure Equity Fund (EUR) Fund (GBP) Fund (USD) Fund Fund^ Fund Fund^ Fund

EUR GBP USD JPY JPY JPY USD EUR

1,925,422,502 30,716,361 398,531,796 860,136,378 – 1,565,234,821 – 1,486,717,272 88,941,319 2,208,256 30,997,219 12,101,619 267,924 21,255,512 53 17,323,238 6,168,950 132,916 1,294,713 965,181 27,200 789,610 – 628,214 –––––––– – – – 1,923,025 872,655 1,798,988 9,621 – 29,023,672 477,932 5,859,850 – – – – – –––––––– 2,854,539 – 52,464 – – – – 7,919,298 6,627 46 4,215 – – – – – 2,052,417,609 33,535,511 436,740,257 875,126,203 1,167,779 1,589,078,931 9,674 1,512,588,022

34,898,780 890,630 4,634,096 6,901,949 – 14,928,954 – 443,022 3,313 2,669 3,046 – 208,363 – 1,885 205 – – 7,607,144 – – – – – 160,176 – 1,102,442 – – 11,054,516 – 966,707 2,036,441 53,499 351,079 2,818,658 959,416 3,452,970 7,789 1,099,716 –––––––– –––––––– –––––––– –––––––– –––––––– –––––––– 37,098,710 946,798 13,697,807 9,720,607 1,167,779 29,436,440 9,674 2,509,650

2,015,318,899 32,588,713 423,042,450 865,405,596 – 1,559,642,491 – 1,510,078,372

683,797 25,550 173,876 933,385 – 3,067,500 – 738,906

2,016,002,696 32,614,263 423,216,326 866,338,981 – 1,562,709,991 – 1,510,817,278

201 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Pan S&P Small U.S. European 500® Cap Dynamic Equity Index Euroland Value Fund Tracker Fund Fund

Notes EUR USD EUR USD

Assets (due within one year) Financial assets at fair value through profit or loss 18,986,121 94,508,946 9,393,233 72,158,997 Cash at bank 9 1,075,430 1,006,614 411,783 246,213 Income receivable 10,066 93,868 1,293 69,600 Receivable for investments sold –––– Rebate receivable from management company 6 – – – – Margins on derivatives contracts 9 – – 14,720 – Cash collateral received from broker – – – – Subscriptions receivable – 77,483 61,835 – Other receivables –48– – 20,071,617 95,686,959 9,882,864 72,474,810 Liabilities (due within one year) Financial liabilities at fair value through profit or loss – – 935 – Bank overdraft 9 2,435 – – – Payable for investments purchased – – – – Redemptions payable – 289,115 3,179 29,136 Expenses payable 27,874 123,976 38,359 45,811 Performance fee payable 3 – – – – Margins on derivatives contracts 9 – 21,479 – – Cash collateral payable to broker –––– Income payable on swaps –––– Finance charges payable on swaps –––– Other payables –––– 30,309 434,570 42,473 74,947 Net assets attributable to redeemable participating shareholders 20,041,308 95,252,389 9,840,391 72,399,863 Adjustment for valuation from bid/ask market prices to trading valuation prices 9,101 9,369 7,920 4,142 Net assets attributable to redeemable participating shareholders at trading valuation 20,050,409 95,261,758 9,848,311 72,404,005

* This Fund launched during the year. ^ This Fund closed during the year.

202 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF FINANCIAL POSITION

As at 31 December 2014 (contd.)

BNY Mellon BNY Mellon Total U.S. US 31 December Equity Opportunities 2014 Fund^ Fund*

USD USD USD

– 11,325,078 17,278,002,358 29,103 37,062 617,826,689 – 7,484 124,813,701 – – 10,832,182 – 11,861 441,505 – – 118,955,106 – – 20,265,360 – – 47,229,339 – – 146,921 29,103 11,381,485 18,218,513,161

– – 287,911,992 55 – 1,690,020 – – 12,059,258 – – 30,697,437 1,500 24,564 17,183,790 – – 2,528,220 – – 46,479,537 – – 20,265,360 – – 5,084,036 – – 638,919 27,548 – 28,527 29,103 24,564 424,567,096

– 11,356,921 17,793,946,065

– 2,576 15,322,558

– 11,359,497 17,809,268,623

203 STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Asian Insight Return Return Bond Equity Fund Bond Equity Fund Fund Fund Fund

EUR EUR GBP USD USD

Net assets attributable to redeemable participating shareholders at beginning of year 152,841,576 1,184,511,961 1,293,204,376 32,463,471 161,645,935 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 1,198,557 44,832,203 9,924,256 (1,095,248) (12,617,588) Proceeds from redeemable participating shares issued 136,110,033 1,519,428,657 1,232,602,320 71,987,922 15,277,849 Cost of redeemable participating shares redeemed (65,732,725) (592,613,497) (657,763,858) (62,395,275) (71,796,546) Net increase/(decrease) in net assets from share transactions 70,377,308 926,815,160 574,838,462 9,592,647 (56,518,697) Net assets attributable to redeemable participating shareholders at end of year 224,417,441 2,156,159,324 1,877,967,094 40,960,870 92,509,650

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Emerging Euroland European Global Markets Markets Local Bond Credit Bond Equity Currency Fund Fund Fund Core Investment Fund* Grade Debt Fund*

USD USD EUR EUR USD

Net assets attributable to redeemable participating shareholders at beginning of year 161,186,349 179,211,791 3,136,435,340 105,847,788 559,453,129 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations (17,036,779) (4,328,064) (26,465,587) 565,742 (21,789,749) Proceeds from redeemable participating shares issued 158,369 – 1,537,582,012 24,855,328 202,449,873 Cost of redeemable participating shares redeemed (144,307,939) (174,883,727) (1,893,600,545) (80,515,595) (430,838,427) Net increase/(decrease) in net assets from share transactions (144,149,570) (174,883,727) (356,018,533) (55,660,267) (228,388,554) Net assets attributable to redeemable participating shareholders at end of year – – 2,753,951,220 50,753,263 309,274,826

* Please refer to Note 20 of the financial statements.

The accompanying notes form an integral part of these financial statements.

204 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Brazil Crossover Dynamic Emerging Emerging Emerging Emerging Emerging Income Equity Credit Total Markets Markets Markets Markets DebtMarkets Fund Fund Fund Return Corporate Debt Debt Local Opportunistic Equity Fund* Debt Fund Currency Fund Fund* Fund Fund

GBP USD EUR USD USD USD USD USD USD

19,898,582 113,896,415 172,572,315 – 89,815,077 309,091,452 2,137,882,176 16,668,797 14,312,715 –––––––––

(1,889,571) (37,376,861) (7,359,190) (676,572) (490,044) (8,373,967) (357,736,342) (3,968,532) (3,927,807) 26,112,510 74,033,600 115,969,328 12,798,150 61,188,075 111,555,690 511,350,904 91,635,899 15,334,719 (23,119,262) (93,665,011) (47,615,411) (602,520) (41,805,158) (341,105,495) (967,015,501) (16,352,608) (25,719,627)

2,993,248 (19,631,411) 68,353,917 12,195,630 19,382,917 (229,549,805) (455,664,597) 75,283,291 (10,384,908)

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 –

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Global Global Global Global Global Global Dynamic Emerging Emerging Equity Equity High Yield Opportunistic Opportunities Property Bond Markets Markets Equity Fund Income Bond Bond Fund Securities Fund Fund Value Fund Fund Fund Fund (formerly Fund (formerly BNY Mellon BNY Mellon Emerging Global Equity Equity Income Higher Income Fund) Fund)

USD USD USD USD USD USD USD USD EUR

264,568,682 29,078,381 10,943,177 239,095,160 337,512,229 155,483,986 110,727,531 98,394,319 11,284,735 –––––– ––

(18,899,029) (1,297,008) (6,584,840) 6,915,756 5,961,518 (18,733,830) (11,960,401) 5,266,637 902,547 119,608,329 69,495,824 53,164,732 55,587,641 356,875,493 131,868,928 178,896,125 94,102,416 13,277,783 (101,565,273) (28,340,259) (53,396,921) (46,187,824) (231,151,272) (134,200,060) (60,194,778) (55,923,172) (11,445,098)

18,043,056 41,155,565 (232,189) 9,399,817 125,724,221 (2,331,132) 118,701,347 38,179,244 1,832,685

263,712,709 68,936,938 4,126,148 255,410,733 469,197,968 134,419,024 217,468,477 141,840,200 14,019,967

205 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Japan Japan Real Return Real Return Real Return All Cap Small Cap Fund Fund Fund Equity Equity Focus (EUR) (GBP) (USD) Fund Fund

EUR GBP USD JPY JPY

Net assets attributable to redeemable participating shareholders at beginning of year 2,016,002,696 32,614,263 423,216,326 866,338,981 1,562,709,991 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 21,826,363 (585,550) (60,258) 281,213,589 183,268,100 Proceeds from redeemable participating shares issued 1,205,710,042 36,148,474 204,087,363 5,228,172,748 7,868,100,384 Cost of redeemable participating shares redeemed (633,551,215) (9,127,308) (121,105,190) (2,412,472,113) (5,159,449,350) Net increase/(decrease) in net assets from share transactions 572,158,827 27,021,166 82,982,173 2,815,700,635 2,708,651,034 Net assets attributable to redeemable participating shareholders at end of year 2,609,987,886 59,049,879 506,138,241 3,963,253,205 4,454,629,125

* Please refer to Note 20 of the financial statements. ^ The Company Total as at 31 December 2015 has been adjusted to account for cross investment by BNY Mellon Euroland Bond Fund.

206 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2015 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Total Long-Term Pan S&P Small Targeted U.S. US 31 December Global European 500® Cap Return Dynamic Opportunities 2015^ Equity Equity Index Euroland Bond Value Fund Fund Fund Tracker Fund Fund* Fund

EUR EUR USD EUR USD USD USD USD

1,510,817,278 20,050,409 95,261,758 9,848,311 – 72,404,005 11,359,497 17,809,268,623 – – – – – – – (1,200,464,973)

180,792,152 1,261,100 (201,936) 3,399,970 (4,777,601) (6,294,432) (781,887) (259,209,456) 387,318,486 38,107,009 21,166,946 93,254,487 98,503,301 47,402,475 53,876,728 10,321,275,370 (629,343,161) (10,235,218) (39,365,756) (44,511,589) – (71,962,349) (13,229,735) (8,888,016,296)

(242,024,675) 27,871,791 (18,198,810) 48,742,898 98,503,301 (24,559,874) 40,646,993 1,433,259,074

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

207 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Absolute Absolute Absolute Asian Asian Insight Return Bond Return Equity Bond Equity Fund* Fund Fund Fund* Fund

EUR EUR GBP USD USD

Net assets attributable to redeemable participating shareholders at beginning of year – 409,557,249 859,520,991 – 244,100,755 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 2,046,183 25,520,455 (64,210,545) 199,047 (370,007) Proceeds from redeemable participating shares issued 162,529,846 1,109,292,058 1,245,154,989 32,865,585 38,746,217 Cost of redeemable participating shares redeemed (11,734,453) (359,857,801) (747,261,059) (601,161) (120,831,030) Net increase/(decrease) in net assets from share transactions 150,795,393 749,434,257 497,893,930 32,264,424 (82,084,813) Net assets attributable to redeemable participating shareholders at end of year 152,841,576 1,184,511,961 1,293,204,376 32,463,471 161,645,935

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Emerging Euroland European Evolution Global Markets Local Bond Credit Global Bond Currency Fund Fund Alpha Fund Investment Fund^ Grade Debt Fund

USD EUR EUR EUR USD

Net assets attributable to redeemable participating shareholders at beginning of year 279,940,933 2,192,260,104 76,722,635 8,929,333 634,075,040 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations (11,807,801) 270,319,646 7,297,195 (237,267) (5,332,130) Proceeds from redeemable participating shares issued 2,727,406 2,091,244,120 22,336,952 95,073 198,448,716 Cost of redeemable participating shares redeemed (91,648,747) (1,417,388,530) (508,994) (8,787,139) (267,738,497) Net increase/(decrease) in net assets from share transactions (88,921,341) 673,855,590 21,827,958 (8,692,066) (69,289,781) Net assets attributable to redeemable participating shareholders at end of year 179,211,791 3,136,435,340 105,847,788 – 559,453,129

* This Fund launched during the year. ^ This Fund closed during the year.

The accompanying notes form an integral part of these financial statements.

208 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Asian Brazil Crossover Emerging Emerging Emerging Emerging Emerging Emerging Income Equity Credit Markets Markets Markets Markets Debt Markets Markets Fund* Fund Fund Corporate Debt Debt Local Opportunistic Equity Equity Core Debt Fund Fund Currency Fund Fund Fund Fund

GBP USD EUR USD USD USD USD USD USD

– 223,626,056 121,003,764 81,470,313 386,581,900 3,289,536,714 17,080,179 18,074,683 168,405,753 –––––––––

576,071 (16,997,487) 10,199,298 3,377,443 3,169,120 (304,104,348) (661,382) (319,349) (7,985,777) 19,988,465 153,043,605 44,373,810 26,433,712 241,572,461 602,125,919 250,000 3,710,205 841,807 (665,954) (245,775,759) (3,004,557) (21,466,391) (322,232,029) (1,449,676,109) – (7,152,824) (75,434)

19,322,511 (92,732,154) 41,369,253 4,967,321 (80,659,568) (847,550,190) 250,000 (3,442,619) 766,373

19,898,582 113,896,415 172,572,315 89,815,077 309,091,452 2,137,882,176 16,668,797 14,312,715 161,186,349

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon GlobalGlobal Emerging Global GlobalGlobal Equity Global Global Global Global DynamicMarkets Fund Emerging EquityIncome Fund High Yield Opportunistic Opportunities Property Bond(formerly BNY Markets Equity Fund(formerly BNY Bond Bond Fund Securities FundMellon Emerging Value FundMellon Global Fund Fund Fund Equity Income Equity Higher Fund) Income Fund)

USD USD USD USD USD USD USD USD EUR

74,811,489 29,860,605 14,598,432 348,434,457 354,128,847 169,755,246 6,181,740 129,381,261 7,446,791 –––––––––

(6,334,053) (2,096,474) (303,368) 12,852,063 (2,776,042) (15,345,320) (1,234,387) 5,438,406 2,340,873 232,573,798 7,026,875 4,602,081 76,702,135 191,435,201 124,114,167 110,789,425 24,588,255 5,562,027 (36,482,552) (5,712,625) (7,953,968) (198,893,495) (205,275,777) (123,040,107) (5,009,247) (61,013,603) (4,064,956)

196,091,246 1,314,250 (3,351,887) (122,191,360) (13,840,576) 1,074,060 105,780,178 (36,425,348) 1,497,071

264,568,682 29,078,381 10,943,177 239,095,160 337,512,229 155,483,986 110,727,531 98,394,319 11,284,735

209 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Global Global Global Japan Japan Real Real Real All CapEquity Return Return Return Equity Value Fund (EUR) Fund (GBP) Fund (USD) Fund Fund^

EUR GBP USD JPY JPY

Net assets attributable to redeemable participating shareholders at beginning of year 1,784,474,867 71,406,477 292,390,225 770,639,402 391,452,721 Notional exchange adjustment (Note 18) – – – – – Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 86,268,284 1,681,703 6,684,518 89,589,488 24,941,326 Proceeds from redeemable participating shares issued 729,214,171 39,008,314 283,187,270 6,110,091 57,579,896 Cost of redeemable participating shares redeemed (583,954,626) (79,482,231) (159,045,687) – (473,973,943) Net increase/(decrease) in net assets from share transactions 145,259,545 (40,473,917) 124,141,583 6,110,091 (416,394,047) Net assets attributable to redeemable participating shareholders at end of year 2,016,002,696 32,614,263 423,216,326 866,338,981 –

BNY Mellon BNY Mellon BNY Mellon BNY Mellon Total Small U.S. U.S. US 31 December Cap Dynamic Equity Opportunities 2014 Euroland Value Fund^ Fund* Fund Fund

EUR USD USD USD USD

Net assets attributable to redeemable participating shareholders at beginning of year 10,554,978 89,993,979 9,412,444 – 16,620,855,402 Notional exchange adjustment (Note 18) – – – – (1,385,731,558) Increase/(decrease) in net assets attributable to redeemable participating shareholders from operations 614,725 7,224,823 (290,868) 391,926 359,161,590 Proceeds from redeemable participating shares issued 11,751,887 10,953,295 576,808 10,967,916 11,099,102,631 Cost of redeemable participating shares redeemed (13,073,279) (35,768,092) (9,698,384) (345) (8,884,119,442) Net increase/(decrease) in net assets from share transactions (1,321,392) (24,814,797) (9,121,576) 10,967,571 2,214,983,189 Net assets attributable to redeemable participating shareholders at end of year 9,848,311 72,404,005 – 11,359,497 17,809,268,623

* This Fund launched during the year. ^ This Fund closed during the year.

210 BNY MELLON GLOBAL FUNDS, PLC STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO REDEEMABLE PARTICIPATING SHAREHOLDERS

For the year ended 31 December 2014 (contd.)

BNY Mellon BNY Mellon BNY Mellon BNY Mellon BNY Mellon Japan Latin Long-Term Pan S&P Small Cap America Global European 500® Equity Focus Infrastructure Equity Equity Index Fund Fund^ Fund Fund Tracker

JPY USD EUR EUR USD

768,742,886 2,800,830 1,217,865,314 19,977,260 150,117,263 –––––

376,181,141 (359,741) 182,744,480 722,310 13,865,336 1,005,446,960 1,755 718,185,517 1,810,190 70,076,977 (587,660,996) (2,442,844) (607,978,033) (2,459,351) (138,797,818)

417,785,964 (2,441,089) 110,207,484 (649,161) (68,720,841)

1,562,709,991 – 1,510,817,278 20,050,409 95,261,758

211 BNY MELLON GLOBAL FUNDS, PLC

NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The signifi cant accounting policies and estimation techniques applied in the preparation of these fi nancial statements are set out below.

STATEMENT OF COMPLIANCE The fi nancial statements for the year ended 31 December 2015 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 in Transferable Securities) Regulations 2015 (the “Central Bank UCITS Regulations”). Effective 1 January 2015, the Company transitioned to FRS 102 as discussed below.

BASIS OF PREPARATION The fi nancial statements have been prepared on a going concern basis for the Company under the historical cost convention as modifi ed by the revaluation of fi nancial assets and liabilities held at fair value through the profi t or loss.

The format and certain wordings of the fi nancial statements has been adapted from those contained in the Companies Act 2014 so that, in the opinion of the Directors, they more appropriately refl ect 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 fl ow 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.

TRANSITION TO FRS 102 The Directors of the Company have adopted the accounting standards generally accepted in Ireland, including FRS 102, for its annual fi nancial statements effective 1 January 2015. Accordingly, these are the Company’s fi rst annual fi nancial statements presented in accordance with FRS 102. Other than those listed below, the Company has consistently applied the accounting policies used in the preparation of its opening FRS 102 Statement of Financial Position at 1 January 2014 throughout all periods presented, as if these policies had always been in effect. This note discloses the impact of transition to FRS 102 on the Company’s reported fi nancial position and fi nancial performance, including the nature and effect of signifi cant changes in accounting policies from those used in the Company’s fi nancial statements for the year ended 31 December 2014 prepared in accordance with the previous accounting standards generally accepted in Ireland (“Irish GAAP”).

The transition to FRS 102 had no impact to the Statement of Financial Position, the Statement of Comprehensive Income and the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders.

Change in accounting policies Under previous Irish GAAP, the quoted market price used for fi nancial assets held was the current bid price and the appropriate quoted market price for fi nancial liabilities was the current ask price. Under FRS 102, in accounting for all of its fi nancial instruments, an entity is required to apply either of the following:

a) the full requirements of Section 11 “Basic Financial Instruments” and Section 12 “Other Financial Instruments Issues” of FRS 102; b) the recognition and measurement provisions of International Accounting Standards (“IAS”) 39 “Financial Instruments: Recognition and Measurement” (“IAS 39”) as adopted for use in the European Union and the disclosure requirements of Sections 11 and 12 of FRS 102; or c) the recognition and measurement provisions of International Financial Reporting Standards (“IFRS”) 9 “Financial Instruments” (“IFRS 9”) and the disclosure requirements of Sections 11 and 12 of FRS 102.

212 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

TRANSITION TO FRS 102 contd. Change in accounting policies contd. The Company has elected to apply the recognition and measurement provisions of IAS 39 and the disclosure requirements of Sections 11 and 12 of FRS 102. Under IAS 39, financial assets and liabilities are valued at mid-market price, consistent with the prospectus. This policy change is recognised prospectively and therefore has no effect on each Fund’s trading net assets nor on the profit or loss for the year.

CRITICAL ACCOUNTING ESTIMATES AND JUDGEMENTS The preparation of fi nancial 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 signifi cant 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 profi t or loss – Fair value estimation”. The Funds based its assumptions and estimates on parameters available when the fi nancial 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 refl ected in the assumptions when they occur and are recognised prospectively.

FOREIGN CURRENCY TRANSLATION – FUNCTIONAL AND PRESENTATION CURRENCY Items included in the Company’s fi nancial 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 fi nancial 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 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 fi nancial assets/ liabilities at fair value through profi t or loss”.

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.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – CLASSIFICATION This category has two sub-categories: fi nancial assets and liabilities held for trading, and those designated at fair value through profi t or loss at inception.

A fi nancial asset or liability is classifi ed 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 identifi able fi nancial investments that are managed together and for which there is evidence of a recent actual pattern of short-term profi t 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 profi t or loss at inception are fi nancial instruments that are not classifi ed as held for trading but are managed, and their performance is evaluated on a fair value basis in accordance with the investment strategy of the Funds as documented in the prospectus.

213 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

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 profi t 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 fl ows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership.

Subsequent to initial recognition, all fi nancial assets and liabilities at fair value through profi t or loss are measured at fair value. Gains and losses arising from changes in the fair value of the “fi nancial assets or fi nancial liabilities at fair value through profi t or loss” category are presented in the Statement of Comprehensive Income within “net gains/ losses on fi nancial assets/liabilities at fair value through profi t or loss” in the 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 refl ected in the “fi nancial assets or fi nancial liabilities at fair value through profi t 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 fi nancial assets and liabilities traded in active markets (such as publicly traded derivatives and trading securities) are based on quoted market prices at the year end date. The quoted market price used for fi nancial 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, as appropriate.

If a signifi cant movement in fair value occurs subsequent to the valuation point of the Funds on the year end date, valuation techniques will be applied to determine the fair value. A signifi cant event is any event that occurs after the 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 by that event so that they cannot be considered readily available market quotations.

The fair value of fi nancial 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 fl ow 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-specifi c 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 fi nancial 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 refl ect 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 year or at 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.

214 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – FAIR VALUE ESTIMATION contd. The main valuation techniques of the Company are as follow:

(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 on the principal exchange in the market for such investment.

(b) If the financial assets and liabilities are listed on several recognised exchanges, the quoted 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 quoted 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 “Custodian”), 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 at the 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 weekly quotation from the counterparty provided that the valuation is approved or verified monthly by an independent party appointed by the relevant investment manager and approved for the purpose by the Custodian.

(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 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 to the proceeds from the sale of the underlying security or foreign currency in determining the realised gain or loss. 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 realised gains.

(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.

215 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS – FAIR VALUE ESTIMATION contd. (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 by market 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 of a commitment 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.

(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.

LOANS Certain Funds of the Company may invest in direct debt instruments which are interests in amounts owed to lenders or lending 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 by a bank or other fi nancial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specifi ed 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 of the 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. At 31 December 2015, loans are held on the portfolio of BNY Mellon Absolute Insight Fund, BNY Mellon Absolute Return Bond Fund, BNY Mellon Global High Yield Bond Fund and BNY Mellon Global Opportunistic Bond Fund.

RECEIVABLES Receivables include 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 and other receivables.

216 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

FINANCIAL LIABILITIES AT AMORTISED COST Financial liabilities at amortised cost include bank overdraft, payable for investments purchased, redemptions payable, expenses payable, performance fee payable, margins on derivatives contracts, cash collateral payable to broker, income payable on swaps, fi nance charges payable on swaps and other payables.

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. Other income and expenditure may also qualify for offsetting, however the Company has not applied same in the fi nancial year.

CROSS INVESTMENT As at 31 December 2015, BNY Mellon Euroland Bond Fund invests in other Funds of the Company. These cross investments have been eliminated in the fi nancial 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 identifi ed 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 is identifi ed in the Statement of Financial Position as “cash collateral received from broker”. The obligation to return the cash collateral is identifi ed 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, if the 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, a disclosure of the collateral provided is made in the notes to the fi nancial statements.

TRANSACTION COSTS Transaction costs are costs incurred to acquire fi nancial assets or liabilities at fair value through profi t or loss. They include fees and commissions paid to agents, advisers, brokers and dealers. In respect of equities and fi nancial 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 fi nancial assets/liabilities at fair value through profi t or loss”. In respect of all securities, the bid ask spread is embedded in the purchase and sale price of the securities and cannot be separately verifi ed or disclosed.

DIVIDEND INCOME Dividend income from fi nancial assets at fair value through profi t 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 fi nal disposal of underlying swap instruments.

217 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

INTEREST INCOME Interest income on interest bearing fi nancial instruments is accounted for on an accruals basis and shown as a component of “net gains/losses on fi nancial assets/liabilities at fair value through profi t 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.

EXPENSES Expenses are accounted for on an accruals basis. Any costs associated with the termination of a Fund are paid for by BNY Mellon Global Management Limited (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 SA/NV (until 26 November 2015), The Bank of New York Mellon, London Branch (effective 27 November 2015) and the Custodian. The Company can lend securities with a value of up to 100% of any one line of stock, to borrowers approved by The Bank of New York Mellon. The Company receives securities, fi nancial 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 year end are contained in Note 14 to the fi nancial statements.

DISTRIBUTIONS TO REDEEMABLE PARTICIPATING SHAREHOLDERS Distributions to redeemable participating shareholders are recognised in the Statement of Comprehensive Income when they are declared to the Irish Stock Exchange, as detailed in the prospectus. The distribution to the redeemable participating shareholders is recognised as a “fi nance cost” in the Statement of Comprehensive Income.

For non-distributing share classes, all income earned and realised net capital gains after the deduction of expenses will be accumulated and refl ected 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 classifi ed as fi nancial 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 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 in determining 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.

218 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES contd.

DILUTION ADJUSTMENT contd. 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, in the case of subscriptions, or remaining shareholders, in the case of redemptions, might otherwise be adversely affected. In particular, 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 fi gure as the Directors consider represents an appropriate fi gure to meet transaction costs, including but not restricted to market 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 at which 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 3% of the Funds’ net asset value. As dilution is directly related to the infl ows and outfl ows from a Fund, it is not 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.

As at 31 December 2015, the dilution adjustment of USD 82,041 is included in “other receivables” in the Statement of Financial Position and “subscriptions” in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders.

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 unclassifi ed shares. The unclassifi ed 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 fi nancial statements by way of this note only. In the opinion of the Directors, this disclosure refl ects 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 of the 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.

219 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd. The activity on redeemable participating shares for the year ended 31 December 2015 is as follows:

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Absolute Insight Fund Class E (Acc) EUR 114,904,254 1,446,341 (11,771,530) 104,579,065 Class E (Acc) (Hedged) CHF 1,953,115 – (79,973) 1,873,142 Class E (Acc) (Hedged) USD 7,722,191 – (3,623,020) 4,099,171 Class E (Inc) EUR 4,891,000 – – 4,891,000 Sterling E (Acc) (Hedged) GBP 12,452,988 466,003 (7,234,094) 5,684,897 Class R (Acc) EUR 2,927,225 42,610,577 (27,222,551) 18,315,251 Class R (Acc) (Hedged) USD 896,037 1,285,121 (1,056,490) 1,124,668 Class R (Inc) EUR 1,628,107 3,013,867 (782,428) 3,859,546 Class S (Acc) EUR 2,002,663 11,421,114 (393,434) 13,030,343 Class T (Acc) (Hedged) USD 402,740 1,354,750 (205,408) 1,552,082 Class U (Acc) EUR 6,474 38,276,782 (7,413,451) 30,869,805 Class U (Acc) (Hedged)^ CHF – 712,357 (253,822) 458,535 Class U (Acc) (Hedged)^ USD – 2,066,022 (175,516) 1,890,506 Class U (Inc)^ EUR – 4,021,486 (336,575) 3,684,911 Sterling U (Acc) (Hedged) GBP 324,802 20,059,578 (1,531,683) 18,852,697

BNY Mellon Absolute Return Bond Fund Class C EUR 3,232,826 1,490,656 (1,093,470) 3,630,012 Class C (Inc) EUR 51 – – 51 Class I (Hedged) USD 1,857,127 487,548 (652,005) 1,692,670 Sterling I (Acc) (Hedged) GBP 1,004,659 128,818 (141,876) 991,601 Class R EUR 531,648 1,034,730 (447,171) 1,119,207 Class R (Hedged) USD 200,803 384,181 (304,021) 280,963 Class R (Inc) EUR 26,639 52,598 (22,578) 56,659 Class S EUR 2,488,180 7,926,852 (2,007,762) 8,407,270 Class S (Inc) EUR 51 2,871 (4) 2,918 Class T (Hedged) USD 171,371 650,408 (149,167) 672,612 Sterling T (Acc) (Hedged) GBP 28,280 36,222 (10,821) 53,681 Sterling W (Acc) (Hedged)^ GBP – 545,760 (55,982) 489,778 Sterling W (Inc) (Hedged)^ GBP – 34,029 (8,972) 25,057 Class X EUR 1,771,206 1,246,903 (571,237) 2,446,872 Class X (Hedged)^ USD 151,170 – (151,170) – Sterling X (Acc) (Hedged) GBP 7,100 – – 7,100

BNY Mellon Absolute Return Equity Fund Class R (Hedged) CHF 91,007,636 4,938,794 (89,253,690) 6,692,740 Class R (Hedged) EUR 556,747,518 383,240,482 (210,133,599) 729,854,401 Class R (Hedged) USD 23,389,355 28,075,350 (9,135,240) 42,329,465 Class R (Inc) (Hedged) EUR 3,536,524 9,583,905 (652,613) 12,467,816 Sterling R (Acc) GBP 4,035,424 2,118,715 (2,194,236) 3,959,903 Sterling S (Acc) GBP 116,165,307 21,656,207 (79,963,082) 57,858,432 Class T (Hedged) EUR 361,466,577 646,064,115 (239,181,530) 768,349,162 Class T (Hedged) USD 22,517,697 40,007,278 (31,046,989) 31,477,986 Class U (Hedged) EUR 21,860,518 229,143,750 (29,187,789) 221,816,479 Class U (Hedged) USD 12,742,149 21,162,192 (2,788,293) 31,116,048 Sterling U (Acc) GBP 122,405,308 74,210,783 (51,333,670) 145,282,421 Sterling X (Acc) GBP 62,913,469 7,096,981 (7,320,604) 62,689,846

220 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Asian Bond Fund Class A (Acc) USD 5,000 – – 5,000 Class A (Inc) USD 5,017 152 (50) 5,119 Class C (Acc) USD 5,000 24,672,582 (864,636) 23,812,946 Class C (Inc) USD 5,022 255 (128) 5,149 Class E (Inc)^ USD – 29,998,854 (25,854,323) 4,144,531 Class H (Acc) (Hedged) EUR 74,689 300,000 – 374,689 Class H (Inc) (Hedged) EUR 74,689 3,121 (1,560) 76,250 Class I (Acc) (Hedged) EUR 74,689 – – 74,689 Class I (Inc) (Hedged) EUR 74,689 3,897 (1,949) 76,637 Class W (Acc) USD 5,000 1,647,875 (34,225) 1,618,650 Class W (Acc) (Hedged) EUR 74,689 – – 74,689 Class W (Inc) USD 5,025 291 (145) 5,171 Class W (Inc) (Hedged) EUR 74,689 4,442 (2,221) 76,910 Class X (Acc) USD 31,432,327 12,737,024 (34,805,675) 9,363,676

BNY Mellon Asian Equity Fund Class A USD 19,293,775 727,975 (6,612,669) 13,409,081 Class A EUR 11,846,366 1,618,567 (2,884,938) 10,579,995 Class B USD 3,630,166 12,121 (195,986) 3,446,301 Class B EUR 49,870 – – 49,870 Class C USD 2,111,640 73,659 (2,063,749) 121,550 Class C EUR 16,047,784 2,776,267 (13,385,375) 5,438,676 Sterling C (Inc) GBP 16,123 33,667 (41,626) 8,164 Class M^ USD 370 499 (869) – Class W USD 8,252,760 541,267 (663,738) 8,130,289 Sterling W (Inc) GBP 5,062 158 (79) 5,141

BNY Mellon Asian Income Fund Class A (Acc) EUR 39,273 518 (34,791) 5,000 Class A (Acc) USD 5,000 220,497 – 225,497 Class A (Inc) EUR 5,057 783 (655) 5,185 Class A (Inc) USD 5,053 253 (127) 5,179 Sterling A (Acc) GBP 5,000 – – 5,000 Sterling A (Inc) GBP 5,056 251 (125) 5,182 Class B (Acc) USD 1,202,738 304,772 (553,763) 953,747 Class C (Acc) USD 5,000 30,276,802 (428,188) 29,853,614 Sterling C (Acc) GBP 50,771 – (45,771) 5,000 Class W (Inc) EUR 1,134,931 581,645 (1,316,234) 400,342 Class W (Inc) USD 6,731,301 2,679,949 (7,473,790) 1,937,460 Sterling W (Inc) GBP 13,385,648 4,190,967 (15,565,726) 2,010,889

BNY Mellon Brazil Equity Fund Class A USD 42,970,203 42,332,223 (52,375,883) 32,926,543 Class A EUR 22,630,000 25,125,465 (25,140,670) 22,614,795 Class B USD 5,193,689 29,163 (1,483,401) 3,739,451 Class B EUR 69,798 445,092 (510,192) 4,698 Sterling B (Acc) GBP 295,184 158,044 (117,832) 335,396 Class C USD 25,850,771 20,458,646 (18,408,716) 27,900,701 Class C EUR 14,198,658 5,044,515 (15,500,024) 3,743,149 Sterling C (Inc) GBP 235,911 8,740 (21,352) 223,299

221 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Brazil Equity Fund contd. Class H (Hedged) EUR 5,000 74,875 (45,208) 34,667 Class I (Hedged) EUR 5,000 2,000 – 7,000 Class M^ USD 16,691 – (16,691) – Class W (Acc) USD 2,540,691 193,608 (617,917) 2,116,382 Class W (Acc) EUR 419,522 285,000 – 704,522 Sterling W (Acc) GBP 174,875 125,307 (158,240) 141,942

BNY Mellon Crossover Credit Fund Class A EUR 59,369 6,490,852 (3,134,585) 3,415,636 Class A^ USD 5,000 – (5,000) – Class A (Inc) EUR 6,779 444,952 (187,646) 264,085 Class A (Inc)^ USD 5,019 86 (5,105) – Class C EUR 1,387,429 14,063,610 (12,537,182) 2,913,857 Class C^ USD – 26,125,323 (26,120,140) 5,183 Class C (Inc) EUR 67,492,122 43,691,389 (6,649,160) 104,534,351 Sterling C (Inc)^ GBP 5,071 117 (5,188) – Class I (Acc) (Hedged)^ USD – 25,368,247 – 25,368,247 Class X EUR 92,300,000 203,864 (75,724) 92,428,140

BNY Mellon Dynamic Total Return Fund* Class A (Acc)^ USD – 5,000 – 5,000 Class A (Acc)^ EUR – 5,000 – 5,000 Class A (Inc)^ EUR – 5,000 – 5,000 Class C (Acc)^ USD – 360,975 – 360,975 Class C (Inc)^ USD – 5,000 – 5,000 Class H (Acc) (Hedged)^ EUR – 91,212 – 91,212 Class I (Acc) (Hedged)^ EUR – 91,212 – 91,212 Class W (Acc)^ USD – 1,855,926 – 1,855,926 Class W (Acc) (Hedged)^ EUR – 91,212 – 91,212 Class W (Inc)^ USD – 5,000 – 5,000 Class W (Inc) (Hedged)^ EUR – 91,212 – 91,212 Sterling W (Acc)^ GBP – 5,000 – 5,000 Sterling W (Acc) (Hedged)^ GBP – 64,888 – 64,888 Sterling W (Inc)^ GBP – 5,000 – 5,000 Sterling W (Inc) (Hedged)^ GBP – 64,888 – 64,888 Class X (Acc)^ USD – 9,948,448 (600,000) 9,348,448

BNY Mellon Emerging Markets Corporate Debt Fund Class A USD 50 11,167 – 11,217 Class A EUR 5,303 7,793 (7,170) 5,926 Class B USD 45 135 – 180 Class C USD 27,304 120,224 (115,938) 31,590 Class C EUR 89,915 169,147 (155,048) 104,014 Class H (Hedged) EUR 50 – – 50 Class I (Hedged) EUR 50 6,938 (5,438) 1,550 Class W USD 5,340 2,018 (596) 6,762 Class W EUR 50 – – 50 Sterling W (Acc) (Hedged) GBP 30,199 1,817 (6,018) 25,998 Class X USD 543,813 135,346 (16,509) 662,650

222 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Emerging Markets Debt Fund Class A USD 15,833,124 3,452,025 (14,534,137) 4,751,012 Class A EUR 10,403,817 4,201,269 (9,563,324) 5,041,762 Class C USD 57,803,961 10,323,320 (64,262,313) 3,864,968 Class C EUR 40,030,376 31,369,849 (49,273,551) 22,126,674 Class C (Inc) USD 5,404 1,236 (618) 6,022 Class H (Acc) (Hedged) EUR 431,763 2,145,757 (1,141,495) 1,436,025 Class I (Acc) (Hedged) EUR 16,435,902 633,993 (15,448,425) 1,621,470 Class W USD 5,000 – – 5,000 Class X (Inc)^ USD 34,429,686 7,555,866 (41,985,552) –

BNY Mellon Emerging Markets Debt Local Currency Fund Class A USD 88,256,739 66,389,130 (66,087,240) 88,558,629 Class A EUR 58,618,853 56,053,035 (70,045,588) 44,626,300 Class A (Inc) USD 686,485 626 (395,984) 291,127 Class A (Inc) EUR 2,376,856 38,514 (936,376) 1,478,994 Sterling A (Acc) GBP 985,892 160,001 (559,848) 586,045 Sterling A (Inc) GBP 114,362 – (49,753) 64,609 Class B USD 5,000 – – 5,000 Class B EUR 5,000 – – 5,000 Sterling B (Acc) GBP 18,280 – (12,070) 6,210 Sterling B (Inc) GBP 11,548 – – 11,548 Class C USD 181,937,464 66,417,234 (53,346,668) 195,008,030 Class C EUR 111,007,822 6,327,488 (82,228,965) 35,106,345 Class C (Inc) USD 8,102,232 39,185 (4,677,787) 3,463,630 Class C (Inc) EUR 274,578,843 8,401,838 (160,364,543) 122,616,138 Sterling C (Acc) GBP 13,697,720 152,399 (4,132,597) 9,717,522 Sterling C (Inc) GBP 60,481,829 3,687,478 (54,828,240) 9,341,067 Class H (Hedged) EUR 10,302,206 500,116 (8,730,991) 2,071,331 Class I (Hedged) EUR 6,345,993 92,394 (2,781,105) 3,657,282 Class I (Inc) (Hedged) EUR 91,416,850 50,600,104 (39,052,041) 102,964,913 Sterling J (Inc) (Hedged) GBP 191,855 373,774 (392,100) 173,529 Class M^ USD 75,344 1,600 (76,944) – Class M (Hedged)^ EUR 2,928 – (2,928) – Sterling M (Acc) (Hedged)^ GBP 180 – (180) – Class W USD 132,724,962 9,878,398 (84,606,877) 57,996,483 Class W EUR 21,358,823 16,148,745 (36,268,165) 1,239,403 Class W (Hedged) EUR 2,462,410 68,860,562 (5,113,533) 66,209,439 Class W (Inc) USD 607,031 53,000 (629,758) 30,273 Class W (Inc) EUR 5,511 609 (305) 5,815 Sterling W (Inc) GBP 2,251,350 31,541,062 (3,205,563) 30,586,849 Sterling W (Inc) (Hedged) GBP 1,634,986 13,600 (679,437) 969,149 Class X USD 353,393,392 47,705,108 (79,023,403) 322,075,097 Class X (Inc)^ USD 43,688,854 11,383,813 (55,072,667) – Class X (Inc) CHF 282,418,584 10,290 (67,902,132) 214,526,742

223 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Emerging Markets Debt Opportunistic Fund Class A USD 5,000 – – 5,000 Class A EUR 5,000 – – 5,000 Class C USD 239,478 198,500 (234,478) 203,500 Class C EUR 5,000 – – 5,000 Class W EUR 5,000 – – 5,000 Class X USD 16,988,893 10,502,574 (8,741,451) 18,750,016 Class X (Inc)^ USD – 81,258,797 (8,180,562) 73,078,235

BNY Mellon Emerging Markets Equity Fund* Class A^ USD 3,207 – (3,207) – Class A^ EUR 83,971 74,274 (158,245) – Class C^ USD 2,644 8,579,686 (8,582,330) – Class C^ EUR 2,575 – (2,575) – Class X (Inc)^ USD 8,439,647 – (8,439,647) –

BNY Mellon Emerging Markets Equity Core Fund* Class A^ EUR 8,851 583 (9,434) – Class C^ USD 5,000 – (5,000) – Class C^ EUR 5,000 – (5,000) – Class S^ USD 150,640,129 162,979 (150,803,108) – Class W^ EUR 5,000 – (5,000) –

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* Class C^ USD 5,040 – (5,040) – Class C^ EUR 1,954,868 – (1,954,868) – Class X^ USD 204,765,250 – (204,765,250) –

BNY Mellon Euroland Bond Fund Class A EUR 471,171,057 315,800,122 (318,425,571) 468,545,608 Class A (Inc) EUR 32,353,124 12,647,449 (15,914,766) 29,085,807 Class B EUR 1,184,166 447,774 (1,259,731) 372,209 Class B (Inc) EUR 40,033 140 (70) 40,103 Class C EUR 644,810,299 277,616,046 (352,712,874) 569,713,471 Class C (Inc) EUR 88,652,053 50,820,890 (25,913,107) 113,559,836 Class H (Acc) (Hedged)^ USD – 4,855,368 (3,253,814) 1,601,554 Class H (Hedged) CHF 160,192,020 36,127,643 (55,135,622) 141,184,041 Class I (Acc) (Hedged) USD 12,100,000 13,027,337 (17,135,317) 7,992,020 Class I (Hedged) CHF 20,609,026 6,648,805 (4,091,021) 23,166,810 Class S EUR 594,599,400 200,924,695 (420,488,355) 375,035,740 Class Z (Acc)^ EUR – 11,162,550 – 11,162,550 Class Z (Acc) (Hedged)^ CHF – 100,000 – 100,000 Class Z (Acc) (Hedged)^ USD – 100,000 – 100,000

BNY Mellon European Credit Fund Class A EUR 113 1,026 (177) 962 Class C EUR 135,050 23,000 (103,000) 55,050 Class C (Inc) EUR 52 2 (1) 53 Class I (Hedged)^ USD – 201,350 (3,042) 198,308 Class X EUR 792,122 31,395 (594,206) 229,311 Class X (Inc) EUR 52 3 (2) 53

224 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Bond Fund Class A USD 43,795,580 13,371,328 (24,201,154) 32,965,754 Class A EUR 13,415,806 9,030,444 (10,817,063) 11,629,187 Class B USD 1,409,077 279,733 (496,278) 1,192,532 Class C USD 104,477,766 48,941,126 (118,128,177) 35,290,716 Class C EUR 52,781,410 22,754,917 (32,751,317) 42,785,010 Class C (Inc) USD 11,185,731 610,996 (11,155,715) 641,012 Sterling C (Inc) GBP 5,423,697 76,409 (1,939,923) 3,560,183 Class H (Hedged) EUR 4,924,969 106,970 (2,014,755) 3,017,184 Class I (Hedged) EUR 17,635,263 203,542 (337,705) 17,501,100 Class M^ USD 9,102 – (9,102) – Class X USD 9,685,909 – (65,215) 9,620,694 Class X (Hedged)^ JPY 4,799,807 – (4,799,807) –

BNY Mellon Global Dynamic Bond Fund Class A USD 290,994 1,228,362 (256,161) 1,263,195 Class A EUR 227,447 1,076,700 (841,097) 463,050 Class A (Inc) USD 5,117 119 (59) 5,177 Class C USD 89,743,699 36,596,845 (37,683,742) 88,656,802 Class H (Hedged) EUR 8,710,294 14,153,456 (11,368,097) 11,495,653 Class H (Inc) (Hedged) EUR 51,250 749,529 (127,572) 673,207 Class I (Hedged) EUR 57,590,829 14,468,242 (8,811,187) 63,247,884 Class I (Inc) (Hedged) EUR 14,081,606 7,723,353 (19,211,532) 2,593,427 Class W USD 23,303,376 12,410,859 (2,031,907) 33,682,328 Class W (Hedged) EUR 26,153,755 16,256,514 (9,048,083) 33,362,186 Sterling W (Acc) (Hedged) GBP 1,436,019 139,398 (393,041) 1,182,376

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) Class A USD 5,000 – – 5,000 Class A EUR 6,485 40,000 (41,485) 5,000 Class A (Inc) USD 5,406 330 (165) 5,571 Class A (Inc) EUR 117,535 53,924 (49,273) 122,186 Class B (Inc) USD 736,025 – (132,908) 603,117 Class B (Inc) EUR 20,279 11,291 (166) 31,404 Sterling B (Inc) GBP 5,438 335 (168) 5,605 Class C USD 17,338,997 – (17,334,299) 4,698 Class C (Acc)^ USD – 73,296,891 – 73,296,891 Class C (Inc) USD 5,393,038 336,199 (5,630,483) 98,754 Sterling C (Inc) GBP 49,437 333 (44,167) 5,603 Class H (Hedged) EUR 5,000 700 (700) 5,000 Class H (Inc) (Hedged) EUR 5,375 376,111 (946) 380,540 Class I (Hedged) EUR 5,000 82,023 – 87,023 Class I (Inc) (Hedged) EUR 5,374 331 (165) 5,540 Class W (Acc)^ USD – 5,000 – 5,000 Class W (Inc) USD 2,052,496 306,998 (2,352,961) 6,533 Class W (Inc) EUR 194,329 380 (162,152) 32,557 Sterling W (Inc) GBP 3,496,811 308,940 (3,800,148) 5,603

225 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Emerging Markets Equity Value Fund Class A USD 285,014 8,374 (126,264) 167,124 Class A EUR 1,694,115 158,276 (736,415) 1,115,976 Class B USD 11,113 – – 11,113 Class B EUR 5,000 – – 5,000 Sterling B (Acc) GBP 12,329 1,530 (8,729) 5,130 Class C USD 1,435,556 16,742,362 (17,835,281) 342,637 Class C EUR 7,088 – – 7,088

BNY Mellon Global Equity Fund Class A USD 11,896,984 1,015,341 (1,166,841) 11,745,484 Class A EUR 646,730 396,961 (479,989) 563,702 Class B USD 5,449,336 10,351 (800,557) 4,659,130 Class B EUR 5,000 – – 5,000 Class C USD 19,405,986 8,751,329 (11,172,027) 16,985,288 Class C EUR 86,546,544 17,403,460 (8,704,746) 95,245,258 Class I (Hedged) EUR 903,590 344,132 (461,237) 786,485 Class M^ USD 89 735 (824) –

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) Class A USD 6,416,343 10,612,534 (3,520,346) 13,508,531 Class A EUR 13,963,557 31,083,529 (14,792,328) 30,254,758 Class A (Inc) USD 1,176,234 5,294,917 (3,687,932) 2,783,219 Sterling A (Acc)^ GBP – 30,159 (1) 30,158 Sterling A (Inc)^ GBP – 16,978 (32) 16,946 Class B USD 25,886,371 1,574,443 (10,801,034) 16,659,780 Class B EUR 1,088,475 2,138,045 (328,319) 2,898,201 Class B (Inc) USD 21,737,738 794,506 (5,831,183) 16,701,061 Class B (Inc) EUR 807,866 21,367 (248,135) 581,098 Sterling B (Inc) GBP 7,552,308 2,199,070 (5,559,302) 4,192,076 Class C USD 4,648,658 2,553,201 (1,012,804) 6,189,055 Class C EUR 24,830,983 12,630,902 (30,066,939) 7,394,946 Class C (Inc) USD 13,233,771 3,760,154 (4,258,148) 12,735,777 Class C (Inc) EUR 5,666,914 19,321,279 (2,066,149) 22,922,044 Sterling C (Inc) GBP 21,626,622 4,042,645 (9,518,430) 16,150,837 Class H (Hedged) EUR 268,142 355,617 (202,791) 420,968 Class H (Inc) (Hedged) EUR 210,982 168,132 (33,737) 345,377 Class I (Hedged) EUR 683,401 107,246,507 (2,009,276) 105,920,632 Class I (Inc) (Hedged) EUR 5,285 29,336 (168) 34,453 Class M^ USD 83,209 – (83,209) – Class M^ EUR 28,556 – (28,556) – Class M (Inc)^ USD 60,832 1,738 (62,570) – Sterling M (Acc)^ GBP 251 – (251) – Sterling M (Inc)^ GBP 100 – (100) – Class W USD 4,815,143 1,528,394 (2,768,291) 3,575,246 Class W EUR 6,172,433 994,862 (3,665,168) 3,502,127 Class W (Inc) USD 13,475,637 2,832,379 (11,461,762) 4,846,254 Class W (Inc) EUR 9,438,503 18,120,906 (10,752,822) 16,806,587 Sterling W (Acc) GBP 1,858,669 861,739 (392,875) 2,327,533

226 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Equity Income Fund contd. Sterling W (Inc) GBP 8,564,313 11,602,681 (2,165,491) 18,001,503 Class Z (Acc) USD 5,000 52 (52) 5,000 Class Z (Acc) EUR 5,000 – – 5,000 Class Z (Inc) USD 5,000 369 (215) 5,154 Class Z (Inc)^ EUR – 5,000 – 5,000 Sterling Z (Acc)^ GBP – 285,147 – 285,147 Sterling Z (Inc) GBP 5,000 306 (153) 5,153

BNY Mellon Global High Yield Bond Fund Class A EUR 9,146,984 4,515,580 (6,809,041) 6,853,523 Class C USD 5,000 23,368,409 (8,624,609) 14,748,800 Class C EUR 2,423,366 30,233,059 (31,601,123) 1,055,302 Class H (Hedged) EUR 613,222 4,762,069 (2,344,508) 3,030,783 Class I (Hedged) EUR 1,189,122 516,337 (1,088,391) 617,068 Class X^ USD – 5,000 – 5,000 Class X (Inc) USD 51,337,898 14,221,550 (9,221,393) 56,338,055 Class X (Inc) (Hedged) EUR 60,690,277 2,787,179 (18,463,789) 45,013,667

BNY Mellon Global Opportunistic Bond Fund Class A USD 695,305 802,333 (112,395) 1,385,243 Class C USD 5,931,152 63,602,655 (6,899,045) 62,634,762 Class C (Inc)^ USD – 5,000 – 5,000 Class H (Hedged) EUR 9,936 1,473,057 (65,289) 1,417,704 Class I (Hedged) EUR 43,665 5,145,498 (406,449) 4,782,714 Sterling I (Acc) (Hedged) GBP 100,000 14,740,799 – 14,840,799 Class X USD 88,228,325 25,372,875 (43,164,239) 70,436,961 Class X (Inc)^ USD – 43,183,075 (93,917) 43,089,158

BNY Mellon Global Opportunities Fund Class A USD 8,590,626 2,194,229 (3,012,576) 7,772,279 Class A EUR 6,139,417 8,668,996 (3,824,974) 10,983,439 Class B USD 1,212,580 84,884 (229,139) 1,068,325 Class B EUR 9,148 – (4,148) 5,000 Class C USD 1,037,183 13,637,113 (14,153,297) 520,999 Class C EUR 819,531 9,301,534 (563,620) 9,557,445 Class H (Hedged) EUR 5,000 3,605,574 (50,164) 3,560,410 Class I (Hedged) EUR 621,654 1,656,800 (274,412) 2,004,042 Class X EUR 24,399,533 2,243,432 (836,709) 25,806,256

BNY Mellon Global Property Securities Fund Class A EUR 1,736,968 245,633 (1,314,581) 668,020 Class A USD 2,677,242 107,300 (1,620,240) 1,164,302 Class C EUR 2,767,998 1,116,689 (3,424,406) 460,281 Class C USD 1,936,570 9,311,690 (1,322,176) 9,926,084 Sterling I (Inc) (Hedged) GBP 40,549 41,750 (29,547) 52,752 Sterling J (Acc) (Hedged) GBP 3,055 109,037 (575) 111,517 Sterling J (Inc) (Hedged) GBP 26,539 31 (5) 26,565

227 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Real Return Fund (EUR) Class A EUR 341,702,879 421,498,024 (291,331,897) 471,869,006 Class A (Inc) EUR 2,379,648 13,214,637 (4,010,549) 11,583,736 Class C EUR 654,351,813 243,540,149 (95,665,935) 802,226,027 Class C (Inc) EUR 4,781,251 2,089,728 (745,346) 6,125,633 Class W EUR 422,040,589 274,454,843 (115,779,224) 580,716,208 Class X EUR 242,865,245 2,647,133 (777,093) 244,735,285 Class Z (Acc)^ EUR – 14,355,885 (1,484,667) 12,871,218

BNY Mellon Global Real Return Fund (GBP) Sterling B (Acc) GBP 483,776 189,139 (429,758) 243,157 Sterling B (Inc) GBP 699,824 158,892 (558,509) 300,207 Sterling C (Inc) GBP 9,237,394 320,165 (4,439,777) 5,117,782 Sterling W (Acc) GBP 3,703,091 2,482,013 (1,386,009) 4,799,095 Sterling W (Inc) GBP 10,788,154 5,450,890 (1,319,354) 14,919,690 Sterling X (Acc) GBP 5,723,797 24,708,409 (264,550) 30,167,656

BNY Mellon Global Real Return Fund (USD) Class A USD 98,675,866 19,967,824 (33,395,415) 85,248,275 Class C USD 64,917,435 23,467,520 (36,814,462) 51,570,493 Class C (Inc) USD 6,048,297 1,833,674 (3,525,605) 4,356,366 Class W (Acc) USD 9,607,751 21,179,983 (2,306,710) 28,481,024 Class W (Inc) USD 4,342,238 3,802,127 (2,577,355) 5,567,010 Class X USD 132,621,368 81,162,884 (12,635,380) 201,148,872

BNY Mellon Japan All Cap Equity Fund Class C JPY 5,000 – – 5,000 Class C^ USD – 5,000 – 5,000 Class H (Hedged) EUR 5,000 – – 5,000 Class H (Hedged) USD 47,388 146,842 – 194,230 Class I (Hedged) EUR 2,573,945 – – 2,573,945 Class I (Hedged) USD 3,489,240 24,657,542 (15,452,095) 12,694,687 Class W JPY 5,000 – – 5,000 Sterling W (Acc) GBP 5,000 13,487 (12,308) 6,179 Class X (Inc)^ JPY – 16,000,000 (929,811) 15,070,189

BNY Mellon Japan Small Cap Equity Focus Fund Class C JPY 5,000 3,600,000 (1,212,000) 2,393,000 Class C^ USD – 5,000 – 5,000 Class H (Hedged) EUR 78,669 4,995,490 (4,987,259) 86,900 Class H (Hedged) USD 343,638 11,251,621 (9,270,420) 2,324,839 Class I (Hedged) EUR 5,573,945 40,783 (3,000,000) 2,614,728 Class I (Hedged) USD 3,489,240 22,918,397 (12,089,259) 14,318,378 Class W JPY 5,000 4,662,700 – 4,667,700 Sterling W (Acc) GBP 6,064 148,282 (126,420) 27,926

228 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Long-Term Global Equity Fund Class A EUR 42,950,012 46,371,321 (12,641,877) 76,679,456 Class A USD 134,794,459 16,776,693 (63,871,033) 87,700,119 Class A (Inc) EUR 30,695 4,156,253 (6,969) 4,179,979 Sterling A (Acc) GBP 2,824,906 64,875 (1,307,312) 1,582,469 Class B EUR 1,021,335 5,714 (561) 1,026,488 Class B USD 13,715,626 – (10,425,252) 3,290,374 Sterling B (Inc) GBP 18,141 46,475 – 64,616 Class C EUR 93,366,357 57,230,063 (43,592,907) 107,003,513 Class C USD 102,115,087 18,332,993 (33,984,808) 86,463,272 Class C (Inc) EUR 734,190 – (665,690) 68,500 Class M^ USD 22,641 670 (23,311) – Class S EUR 51,278,479 11,574,157 (13,345,350) 49,507,286 Class W EUR 6,003,608 2,002,240 (5,967,117) 2,038,731 Class W USD 53,724,410 30,339,120 (38,425,370) 45,638,160 Class W (Hedged) CHF 4,735,848 148,695 (4,682,343) 202,200 Class W (Hedged) USD 31,893,494 6,039,203 (37,615,582) 317,115 Class W (Inc) USD 21,215,706 169,205 (1,088,712) 20,296,199 Sterling W (Acc) GBP 1,360,732 11,660,524 (420,045) 12,601,211 Sterling W (Inc) GBP 982,547 78,887 (89,990) 971,444 Class X EUR 88,817,311 22,825,866 (10,738,262) 100,904,915 Class X^ USD 168,371,000 – (168,371,000) – Sterling X GBP 307,494,143 172,221 (6,143,470) 301,522,894

BNY Mellon Pan European Equity Fund Class A EUR 1,376,387 549,904 (841,167) 1,085,124 Class A USD 492,346 230,568 (214,936) 507,978 Class B EUR 117,385 – – 117,385 Class C EUR 4,517 2,385,060 (2,385,060) 4,517 Class C USD 8,553,771 13,885,238 (1,890,541) 20,548,468

BNY Mellon S&P 500® Index Tracker Class A USD 24,589,860 3,367,645 (6,638,821) 21,318,684 Class A EUR 2,054,672 896,746 (1,158,786) 1,792,632 Class C USD 18,697,191 6,334,808 (12,061,812) 12,970,187 Class C EUR 4,161,147 135,000 (150,396) 4,145,751

BNY Mellon Small Cap Euroland Fund Class A EUR 2,532,893 2,954,409 (1,757,408) 3,729,894 Class A USD 5,000 51,975 (51,975) 5,000 Class B EUR 5,000 43,529 – 48,529 Class C EUR 308,465 3,054,857 (583,825) 2,779,497 Class C^ USD – 34,507,150 (34,502,150) 5,000 Class I (Acc) (Hedged)^ USD – 37,235,873 (1,827,783) 35,408,090

229 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Targeted Return Bond Fund* Class A (Acc)^ USD – 5,000 – 5,000 Sterling W (Acc) (Hedged)^ GBP – 64,822,766 – 64,822,766

BNY Mellon U.S. Dynamic Value Fund Class A USD 1,319,030 603,168 (669,799) 1,252,399 Class A EUR 669,436 2,129,744 (2,137,492) 661,688 Class B USD 36,806 115,955 – 152,761 Class B EUR 5,000 – – 5,000 Class C USD 188,069 14,870,497 (312,515) 14,746,051 Class C EUR 45,543 – – 45,543 Class X (Inc)^ USD 39,604,483 1,021,634 (40,626,117) –

BNY Mellon US Opportunities Fund Class A^ USD – 5,000 – 5,000 Class A EUR 648,797 262,871 (120,103) 791,565 Class A (Inc) EUR 5,000 3,578 – 8,578 Class C USD 10,057,971 49,699,453 (12,135,876) 47,621,548 Class C EUR 5,000 – – 5,000 Class W EUR 5,000 – – 5,000 * Please refer to Note 20 of the fi nancial statements. ^ This share class was launched or closed during the reporting year.

The activity on redeemable participating shares for the year ended 31 December 2014 was as follows:

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Absolute Insight Fund* Class E (Acc) EUR – 124,694,977 (9,790,723) 114,904,254 Class E (Acc) (Hedged) CHF – 1,953,115 – 1,953,115 Class E (Acc) (Hedged) USD – 9,222,191 (1,500,000) 7,722,191 Class E (Inc) EUR – 4,891,000 – 4,891,000 Sterling E (Acc) (Hedged) GBP – 12,851,727 (398,739) 12,452,988 Class R (Acc) EUR – 3,061,545 (134,320) 2,927,225 Class R (Acc) (Hedged) USD – 946,037 (50,000) 896,037 Class R (Inc) EUR – 1,674,980 (46,873) 1,628,107 Class S (Acc) EUR – 2,002,663 – 2,002,663 Class T (Acc) (Hedged) USD – 402,740 – 402,740 Class U (Acc) EUR – 6,474 – 6,474 Sterling U (Acc) (Hedged) GBP – 325,288 (486) 324,802

BNY Mellon Absolute Return Bond Fund Class C EUR 151,967 3,724,125 (643,266) 3,232,826 Class C (Inc) EUR 50 1 – 51 Class I (Hedged) USD – 1,887,292 (30,165) 1,857,127 Sterling I (Acc) (Hedged) GBP 714,948 444,305 (154,594) 1,004,659 Class R EUR 47,858 897,553 (413,763) 531,648 Class R (Hedged) USD 296 246,416 (45,909) 200,803 Class R (Inc) EUR 6,520 27,028 (6,909) 26,639

230 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Absolute Return Bond Fund contd. Class S EUR 1,198,310 3,033,108 (1,743,238) 2,488,180 Class S (Inc) EUR 2,030 5,333 (7,312) 51 Class T (Hedged) USD 113,845 189,328 (131,802) 171,371 Sterling T (Acc) (Hedged) GBP 51,946 39,491 (63,157) 28,280 Class X EUR 1,345,083 564,980 (138,857) 1,771,206 Class X (Hedged) USD 151,170 – – 151,170 Sterling X (Acc) (Hedged) GBP 7,327 – (227) 7,100

BNY Mellon Absolute Return Equity Fund Class R (Hedged) CHF – 100,207,000 (9,199,364) 91,007,636 Class R (Hedged) EUR 271,263,085 541,738,301 (256,253,868) 556,747,518 Class R (Hedged) USD 6,101,877 30,266,524 (12,979,046) 23,389,355 Class R (Inc) (Hedged) EUR 2,191,207 5,325,598 (3,980,281) 3,536,524 Sterling R (Acc) GBP 2,586,905 4,069,281 (2,620,762) 4,035,424 Sterling S (Acc) GBP 144,877,338 46,261,026 (74,973,057) 116,165,307 Class T (Hedged) EUR 283,392,914 449,264,014 (371,190,351) 361,466,577 Class T (Hedged) USD 10,837,144 27,567,035 (15,886,482) 22,517,697 Class U (Hedged) CHF – 100,000 (100,000) – Class U (Hedged) EUR 7,998,933 26,779,009 (12,917,424) 21,860,518 Class U (Hedged) USD 8,035,000 4,902,613 (195,464) 12,742,149 Sterling U (Acc) GBP 60,839,751 91,446,027 (29,880,470) 122,405,308 Sterling X (Acc) GBP 60,198,347 14,034,563 (11,319,441) 62,913,469

BNY Mellon Asian Bond Fund* Class A (Acc) USD – 5,000 – 5,000 Class A (Inc) USD – 5,017 – 5,017 Class C (Acc) USD – 5,000 – 5,000 Class C (Inc) USD – 5,022 – 5,022 Class H (Acc) (Hedged) EUR – 74,689 – 74,689 Class H (Inc) (Hedged) EUR – 74,959 (270) 74,689 Class I (Acc) (Hedged) EUR – 74,689 – 74,689 Class I (Inc) (Hedged) EUR – 75,023 (334) 74,689 Class W (Acc) USD – 5,000 – 5,000 Class W (Acc) (Hedged) EUR – 74,689 – 74,689 Class W (Inc) USD – 5,025 – 5,025 Class W (Inc) (Hedged) EUR – 75,069 (380) 74,689 Class X (Acc) USD – 32,032,327 (600,000) 31,432,327

BNY Mellon Asian Equity Fund Class A USD 33,673,904 813,528 (15,193,657) 19,293,775 Class A EUR 13,207,450 2,272,032 (3,633,116) 11,846,366 Class B USD 4,064,100 28,185 (462,119) 3,630,166 Class B EUR 27,038 27,832 (5,000) 49,870 Class C USD 7,323,589 1,793,489 (7,005,438) 2,111,640 Class C EUR 19,237,131 3,937,956 (7,127,303) 16,047,784 Sterling C (Inc) GBP 1,882,303 97,872 (1,964,052) 16,123 Class M USD 370 – – 370 Class W USD 5,000 10,247,760 (2,000,000) 8,252,760 Sterling W (Inc) GBP 5,000 62 – 5,062 Class X USD 1,212,150 – (1,212,150) –

231 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Asian Income Fund* Class A (Acc) EUR – 39,273 – 39,273 Class A (Acc) USD – 5,000 – 5,000 Class A (Inc) EUR – 5,114 (57) 5,057 Class A (Inc) USD – 5,105 (52) 5,053 Sterling A (Acc) GBP – 5,000 – 5,000 Sterling A (Inc) GBP – 5,112 (56) 5,056 Class B (Acc) USD – 1,202,738 – 1,202,738 Class C (Acc) USD – 5,000 – 5,000 Sterling C (Acc) GBP – 50,771 – 50,771 Class W (Inc) EUR – 1,195,391 (60,460) 1,134,931 Class W (Inc) USD – 7,144,693 (413,392) 6,731,301 Sterling W (Inc) GBP – 13,736,640 (350,992) 13,385,648

BNY Mellon Brazil Equity Fund Class A USD 68,954,648 16,198,833 (42,183,278) 42,970,203 Class A EUR 32,604,124 29,560,572 (39,534,696) 22,630,000 Class B USD 9,570,235 3,691,297 (8,067,843) 5,193,689 Class B EUR 4,698 65,100 – 69,798 Sterling B (Acc) GBP 289,316 74,908 (69,040) 295,184 Class C USD 40,901,685 56,307,831 (71,358,745) 25,850,771 Class C EUR 37,621,655 18,966,081 (42,389,078) 14,198,658 Sterling C (Inc) GBP 488,090 26,900 (279,079) 235,911 Class H (Hedged) EUR 5,000 14,100 (14,100) 5,000 Class I (Hedged) EUR 5,000 – – 5,000 Class M USD 25,049 3,500 (11,858) 16,691 Class W (Acc) USD 1,133,140 2,690,404 (1,282,853) 2,540,691 Class W (Acc) EUR 310,522 144,000 (35,000) 419,522 Sterling W (Acc) GBP 308,298 298,113 (431,536) 174,875

BNY Mellon Crossover Credit Fund Class A EUR 5,000 153,615 (99,246) 59,369 Class A USD – 5,000 – 5,000 Class A (Inc) EUR – 6,779 – 6,779 Class A (Inc) USD – 5,019 – 5,019 Class C EUR 5,000 4,101,583 (2,719,154) 1,387,429 Class C (Inc) EUR 28,700,000 38,803,813 (11,691) 67,492,122 Sterling C (Inc) GBP – 5,071 – 5,071 Class X EUR 92,300,000 – – 92,300,000

BNY Mellon Emerging Markets Corporate Debt Fund Class A USD 50 – – 50 Class A EUR 2,341 38,821 (35,859) 5,303 Class B USD 45 1,799 (1,799) 45 Class C USD 13,976 25,485 (12,157) 27,304 Class C EUR 118,796 70,485 (99,366) 89,915 Class H (Hedged) EUR 50 – – 50 Class I (Hedged) EUR 50 – – 50 Class W USD 50 5,290 – 5,340 Class W EUR 50 – – 50 Sterling W (Acc) (Hedged) GBP 3,960 27,624 (1,385) 30,199 Class X USD 531,102 14,622 (1,911) 543,813 232 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Emerging Markets Debt Fund Class A USD 39,748,048 1,587,780 (25,502,704) 15,833,124 Class A EUR 11,446,550 15,210,443 (16,253,176) 10,403,817 Class C USD 66,094,983 53,620,687 (61,911,709) 57,803,961 Class C EUR 40,478,300 33,234,200 (33,682,124) 40,030,376 Class C (Inc) USD 5,177 10,500,227 (10,500,000) 5,404 Class H (Acc) (Hedged) EUR 256,369 321,809 (146,415) 431,763 Class I (Acc) (Hedged) EUR 19,752,943 7,177,566 (10,494,607) 16,435,902 Class W USD – 10,562,231 (10,557,231) 5,000 Class X (Inc) USD 44,542,044 – (10,112,358) 34,429,686

BNY Mellon Emerging Markets Debt Local Currency Fund Class A USD 166,207,468 18,930,783 (96,881,512) 88,256,739 Class A EUR 70,855,606 30,142,752 (42,379,505) 58,618,853 Class A (Inc) USD 2,789,815 43,254 (2,146,584) 686,485 Class A (Inc) EUR 3,598,644 344,164 (1,565,952) 2,376,856 Sterling A (Acc) GBP 3,164,390 49,000 (2,227,498) 985,892 Sterling A (Inc) GBP 329,977 – (215,615) 114,362 Class B USD 5,000 – – 5,000 Class B EUR 5,000 3,990,038 (3,990,038) 5,000 Sterling B (Acc) GBP 659,470 59,714 (700,904) 18,280 Sterling B (Inc) GBP 38,757 – (27,209) 11,548 Class C USD 275,599,168 68,947,151 (162,608,855) 181,937,464 Class C EUR 141,773,664 30,318,334 (61,084,176) 111,007,822 Class C (Inc) USD 39,179,797 1,485,368 (32,562,933) 8,102,232 Class C (Inc) EUR 371,522,647 12,804,164 (109,747,968) 274,578,843 Sterling C (Acc) GBP 13,968,614 219,951 (490,845) 13,697,720 Sterling C (Inc) GBP 108,046,802 18,003,370 (65,568,343) 60,481,829 Class H (Hedged) EUR 33,234,115 10,264,272 (33,196,181) 10,302,206 Class I (Hedged) EUR 12,121,574 4,864,257 (10,639,838) 6,345,993 Class I (Inc) (Hedged) EUR 112,225,283 27,521,897 (48,330,330) 91,416,850 Sterling J (Acc) (Hedged) GBP 195,941 – (195,941) – Sterling J (Inc) (Hedged) GBP 1,677,801 – (1,485,946) 191,855 Class M USD 137,276 35,384 (97,316) 75,344 Class M (Hedged) EUR 36,057 4,107 (37,236) 2,928 Sterling M (Acc) (Hedged) GBP 6,958 – (6,778) 180 Class W USD 119,848,511 181,198,658 (168,322,207) 132,724,962 Class W EUR 141,037,421 48,311,157 (167,989,755) 21,358,823 Class W (Hedged) EUR 5,000 6,778,717 (4,321,307) 2,462,410 Class W (Inc) USD 413,770 364,734 (171,473) 607,031 Class W (Inc) EUR 5,198 313 – 5,511 Sterling W (Inc) GBP 3,038,424 1,688,959 (2,476,033) 2,251,350 Sterling W (Inc) (Hedged) GBP 387,236 1,645,330 (397,580) 1,634,986 Class X USD 352,404,892 8,216,223 (7,227,723) 353,393,392 Class X EUR 27,935,000 – (27,935,000) – Class X (Inc) USD 52,090,314 – (8,401,460) 43,688,854 Class X (Inc) CHF 282,418,583 1 – 282,418,584 Class X (Inc) EUR 60,105,461 4,067,126 (64,172,587) –

233 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Emerging Markets Debt Opportunistic Fund Class A USD 5,000 – – 5,000 Class A EUR 5,000 – – 5,000 Class C USD 5,000 234,478 – 239,478 Class C EUR 5,000 – – 5,000 Class W EUR 5,000 – – 5,000 Class X USD 16,988,893 – – 16,988,893

BNY Mellon Emerging Markets Equity Fund Class A USD 19,882 3,207 (19,882) 3,207 Class A EUR 58,999 48,764 (23,792) 83,971 Class C USD 2,644 1,673,424 (1,673,424) 2,644 Class C EUR 2,575 – – 2,575 Class X (Inc) USD 10,266,941 295,461 (2,122,755) 8,439,647

BNY Mellon Emerging Markets Equity Core Fund Class A EUR 5,000 3,851 – 8,851 Class C USD 5,000 – – 5,000 Class C EUR 5,000 – – 5,000 Class S USD 150,000,000 709,094 (68,965) 150,640,129 Class W EUR 5,000 – – 5,000

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund Class C USD 628,955 – (623,915) 5,040 Class C EUR 50,454 1,950,500 (46,086) 1,954,868 Class X USD 297,887,689 – (93,122,439) 204,765,250

BNY Mellon Euroland Bond Fund Class A EUR 519,737,151 253,167,281 (301,733,375) 471,171,057 Class A (Inc) EUR 26,165,591 15,293,295 (9,105,762) 32,353,124 Class B EUR 668,796 951,839 (436,469) 1,184,166 Class B (Inc) EUR 5,021 35,012 – 40,033 Class C EUR 610,887,901 414,264,376 (380,341,978) 644,810,299 Class C (Inc) EUR 52,926,369 41,838,302 (6,112,618) 88,652,053 Class H (Hedged) CHF 161,805,637 59,034,448 (60,648,065) 160,192,020 Class I (Acc) (Hedged) USD – 12,100,000 – 12,100,000 Class I (Hedged) CHF 5,454,238 15,731,742 (576,954) 20,609,026 Class S EUR – 682,936,541 (88,337,141) 594,599,400

BNY Mellon European Credit Fund Class A EUR 50 63 – 113 Class C EUR 70,050 65,000 – 135,050 Class C (Inc) EUR 51 1 – 52 Class W EUR 50 – (50) – Class W (Inc) EUR 51 1 (52) – Class X EUR 660,545 136,193 (4,616) 792,122 Class X (Inc) EUR 51 1 – 52

234 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Evolution Global Alpha Fund** Class A EUR 14,298 – (14,298) – Class A USD 1,108 22 (1,130) – Class C EUR 65,993 – (65,993) – Class D EUR 1,076 – (1,076) – Class H (Hedged) USD 56 – (56) – Sterling H (Acc) (Hedged) GBP 1,735 – (1,735) – Sterling I (Acc) (Hedged) GBP 53 – (53) – Class P EUR 595 – (595) – Class R EUR 5,807 870 (6,677) – Class R USD 1,476 – (1,476) – Class S EUR 44 – (44) –

BNY Mellon Global Bond Fund Class A USD 43,079,381 24,426,856 (23,710,657) 43,795,580 Class A EUR 18,716,576 2,973,055 (8,273,825) 13,415,806 Class B USD 1,407,486 37,104 (35,513) 1,409,077 Class C USD 95,679,730 27,153,760 (18,355,724) 104,477,766 Class C EUR 61,444,186 25,155,845 (33,818,621) 52,781,410 Class C (Inc) USD 40,981,275 4,038,291 (33,833,835) 11,185,731 Sterling C (Inc) GBP 22,955,130 37,233 (17,568,666) 5,423,697 Class H (Hedged) EUR 7,964,187 202,970 (3,242,188) 4,924,969 Class I (Hedged) EUR 11,460,157 9,530,673 (3,355,567) 17,635,263 Class M USD 6,767 2,335 – 9,102 Class X USD 9,818,015 – (132,106) 9,685,909 Class X (Hedged) JPY 9,241,357 – (4,441,550) 4,799,807

BNY Mellon Global Dynamic Bond Fund Class A USD 195,351 196,904 (101,261) 290,994 Class A EUR 5,317 232,130 (10,000) 227,447 Class A (Inc) USD 5,023 94 – 5,117 Class C USD 63,952,760 52,935,695 (27,144,756) 89,743,699 Class H (Hedged) EUR 222,945 8,537,777 (50,428) 8,710,294 Class H (Inc) (Hedged) EUR 5,075 46,175 – 51,250 Class I (Hedged) EUR 286,367 57,569,627 (265,165) 57,590,829 Class I (Inc) (Hedged) EUR 222,280 14,090,103 (230,777) 14,081,606 Class W USD – 26,401,934 (3,098,558) 23,303,376 Class W (Hedged) EUR – 26,641,653 (487,898) 26,153,755 Sterling W (Acc) (Hedged) GBP – 1,609,245 (173,226) 1,436,019

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) Class A USD 5,000 – – 5,000 Class A EUR 6,485 – – 6,485 Class A (Inc) USD 5,154 252 – 5,406 Class A (Inc) EUR 1,196,280 38,591 (1,117,336) 117,535 Class B (Inc) USD 1,666,612 – (930,587) 736,025 Class B (Inc) EUR 20,028 251 – 20,279 Sterling B (Inc) GBP 5,187 251 – 5,438 Class C USD 18,044,887 – (705,890) 17,338,997

235 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) contd. Class C (Inc) USD 7,559,170 471,181 (2,637,313) 5,393,038 Sterling C (Inc) GBP 49,187 250 – 49,437 Class H (Hedged) EUR 5,000 – – 5,000 Class H (Inc) (Hedged) EUR 5,125 1,478 (1,228) 5,375 Class I (Hedged) EUR 5,000 – – 5,000 Class I (Inc) (Hedged) EUR 5,124 250 – 5,374 Class W (Inc) USD 357,121 1,695,375 – 2,052,496 Class W (Inc) EUR 167,167 27,162 – 194,329 Sterling W (Inc) GBP 450,830 3,253,116 (207,135) 3,496,811

BNY Mellon Global Emerging Markets Equity Value Fund Class A USD 346,626 39,130 (100,742) 285,014 Class A EUR 2,402,961 362,538 (1,071,384) 1,694,115 Class B USD 11,113 – – 11,113 Class B EUR 5,000 – – 5,000 Sterling B (Acc) GBP 11,595 2,466 (1,732) 12,329 Class C USD 1,680,059 846,380 (1,090,883) 1,435,556 Class C EUR 7,088 28,000 (28,000) 7,088

BNY Mellon Global Equity Fund Class A USD 12,018,053 2,528,302 (2,649,371) 11,896,984 Class A EUR 1,797,497 107,111 (1,257,878) 646,730 Class B USD 5,852,515 12,291 (415,470) 5,449,336 Class B EUR 5,000 – – 5,000 Class C USD 32,489,114 8,302,397 (21,385,525) 19,405,986 Class C EUR 84,378,921 13,864,899 (11,697,276) 86,546,544 Class I (Hedged) EUR 1,738,085 4,336,390 (5,170,885) 903,590 Class M USD 1,996 – (1,907) 89 Class X USD 44,234,459 10,778,789 (55,013,248) –

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) Class A USD 6,150,225 1,851,122 (1,585,004) 6,416,343 Class A EUR 20,264,160 8,113,970 (14,414,573) 13,963,557 Class A (Inc) USD 764,867 416,613 (5,246) 1,176,234 Class B USD 22,004,543 8,729,246 (4,847,418) 25,886,371 Class B EUR 490,970 614,694 (17,189) 1,088,475 Class B (Inc) USD 17,800,688 8,351,803 (4,414,753) 21,737,738 Class B (Inc) EUR 963,547 236,978 (392,659) 807,866 Sterling B (Inc) GBP 8,401,738 1,282,803 (2,132,233) 7,552,308 Class C USD 2,260,294 2,888,237 (499,873) 4,648,658 Class C EUR 39,964,448 19,146,767 (34,280,232) 24,830,983 Class C (Inc) USD 20,619,815 2,290,139 (9,676,183) 13,233,771 Class C (Inc) EUR 8,184,207 5,794,292 (8,311,585) 5,666,914 Sterling C (Inc) GBP 23,820,965 10,098,412 (12,292,755) 21,626,622 Class H (Hedged) EUR 295,237 513,777 (540,872) 268,142 Class H (Inc) (Hedged) EUR 58,293 225,856 (73,167) 210,982 Class I (Hedged) EUR 1,549,703 167,072 (1,033,374) 683,401 Class I (Inc) (Hedged) EUR 5,104 181 – 5,285 Class M USD 92,578 9,614 (18,983) 83,209 Class M EUR 67,508 7,850 (46,802) 28,556 Class M (Inc) USD 113,597 25,498 (78,263) 60,832 236 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) contd. Sterling M (Acc) GBP 1,017 – (766) 251 Sterling M (Inc) GBP 4,270 – (4,170) 100 Class W USD 2,611,430 2,603,379 (399,666) 4,815,143 Class W EUR 571,273 12,228,265 (6,627,105) 6,172,433 Class W (Inc) USD 4,369,311 11,414,528 (2,308,202) 13,475,637 Class W (Inc) EUR 1,179,108 8,559,524 (300,129) 9,438,503 Sterling W (Acc) GBP 811,796 1,163,345 (116,472) 1,858,669 Sterling W (Inc) GBP 3,939,167 6,235,460 (1,610,314) 8,564,313 Class Z (Acc) USD – 5,000 – 5,000 Class Z (Acc) EUR – 5,000 – 5,000 Class Z (Inc) USD – 5,000 – 5,000 Sterling Z (Inc) GBP – 5,000 – 5,000

BNY Mellon Global High Yield Bond Fund Class A EUR 5,283,653 6,439,216 (2,575,885) 9,146,984 Class C USD 5,000 – – 5,000 Class C EUR 999,038 42,809,108 (41,384,780) 2,423,366 Class H (Hedged) EUR 5,000 608,222 – 613,222 Class I (Hedged) EUR 5,000 1,787,239 (603,117) 1,189,122 Class X (Inc) USD 59,777,576 1,865,432 (10,305,110) 51,337,898 Class X (Inc) (Hedged) EUR 65,026,925 1,672,791 (6,009,439) 60,690,277

BNY Mellon Global Opportunistic Bond Fund Class A USD 5,202 734,661 (44,558) 695,305 Class C USD 142,539 8,447,366 (2,658,753) 5,931,152 Class H (Hedged) EUR 4,940 4,996 – 9,936 Class I (Hedged) EUR 4,889 41,376 (2,600) 43,665 Sterling I (Acc) (Hedged) GBP – 100,000 – 100,000 Class W USD – 5,000 (5,000) – Class X USD 5,307,445 84,564,801 (1,643,921) 88,228,325

BNY Mellon Global Opportunities Fund Class A USD 17,930,296 6,440,482 (15,780,152) 8,590,626 Class A EUR 7,932,646 2,087,949 (3,881,178) 6,139,417 Class B USD 1,227,729 11,294 (26,443) 1,212,580 Class B EUR 9,148 – – 9,148 Class C USD 4,077,845 955,935 (3,996,597) 1,037,183 Class C EUR 1,078,590 349,821 (608,880) 819,531 Class H (Hedged) EUR 5,000 – – 5,000 Class I (Hedged) EUR 5,000 655,716 (39,062) 621,654 Class X EUR 27,025,779 1,106,439 (3,732,685) 24,399,533

BNY Mellon Global Property Securities Fund Class A EUR 1,864,000 78,367 (205,399) 1,736,968 Class A USD 2,504,453 1,787,722 (1,614,933) 2,677,242 Class C EUR 1,563,425 2,817,827 (1,613,254) 2,767,998 Class C USD 2,085,574 8,000 (157,004) 1,936,570 Sterling I (Inc) (Hedged) GBP 36,294 4,255 – 40,549 Sterling J (Acc) (Hedged) GBP 2,077 1,486 (508) 3,055 Sterling J (Inc) (Hedged) GBP 10,610 15,929 – 26,539

237 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Global Real Return Fund (EUR) Class A EUR 328,724,040 261,072,122 (248,093,283) 341,702,879 Class A (Inc) EUR 18,268 2,430,669 (69,289) 2,379,648 Class C EUR 619,553,092 164,527,952 (129,729,231) 654,351,813 Class C (Inc) EUR 4,239,276 1,645,497 (1,103,522) 4,781,251 Class W EUR 374,039,647 162,789,047 (114,788,105) 422,040,589 Class X EUR 221,544,008 21,321,237 – 242,865,245

BNY Mellon Global Real Return Fund (GBP) Sterling B (Acc) GBP 1,879,139 283,776 (1,679,139) 483,776 Sterling B (Inc) GBP 731,945 – (32,121) 699,824 Sterling C (Inc) GBP 59,081,209 14,324,938 (64,168,753) 9,237,394 Sterling W (Acc) GBP 1,089,654 3,584,139 (970,702) 3,703,091 Sterling W (Inc) GBP 4,198,330 13,606,977 (7,017,153) 10,788,154 Sterling X (Acc) GBP 318,630 5,414,973 (9,806) 5,723,797

BNY Mellon Global Real Return Fund (USD) Class A USD 51,311,768 74,569,032 (27,204,934) 98,675,866 Class C USD 84,566,009 26,271,618 (45,920,192) 64,917,435 Class C (Inc) USD 15,454,253 3,162,284 (12,568,240) 6,048,297 Class W (Acc) USD 37,137,262 7,162,551 (34,692,062) 9,607,751 Class W (Inc) USD 2,723,026 3,934,072 (2,314,860) 4,342,238 Class X USD 42,232,196 97,046,082 (6,656,910) 132,621,368

BNY Mellon Japan All Cap Equity Fund Class C JPY 5,000 – – 5,000 Class H (Hedged) EUR 5,000 – – 5,000 Class H (Hedged) USD 5,000 42,388 – 47,388 Class I (Hedged) EUR 2,573,945 – – 2,573,945 Class I (Hedged) USD 3,489,240 – – 3,489,240 Class W JPY 5,000 – – 5,000 Sterling W (Acc) GBP – 5,000 – 5,000

BNY Mellon Japan Equity Value Fund** Class A JPY 489 232 (721) – Class A EUR 1,588 8,469 (10,057) – Class C JPY 50,000 – (50,000) –

BNY Mellon Japan Small Cap Equity Focus Fund Class C JPY 5,000 – – 5,000 Class H (Hedged) EUR 5,000 383,029 (309,360) 78,669 Class H (Hedged) USD 5,000 338,638 – 343,638 Class I (Hedged) EUR 2,573,945 5,935,000 (2,935,000) 5,573,945 Class I (Hedged) USD 3,489,240 200,000 (200,000) 3,489,240 Class W JPY 5,000 – – 5,000 Sterling W (Acc) GBP – 6,064 – 6,064

238 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Latin America Infrastructure Fund** Class A USD 190,222 – (190,222) – Class A EUR 479,869 1,869 (481,738) – Class B USD 1,883,910 – (1,883,910) – Class B EUR 529,962 – (529,962) – Class C EUR 66,143 – (66,143) –

BNY Mellon Long-Term Global Equity Fund Class A EUR 104,668,868 21,846,114 (83,564,970) 42,950,012 Class A USD 154,325,901 32,318,677 (51,850,119) 134,794,459 Class A (Inc) EUR – 32,289 (1,594) 30,695 Sterling A (Acc) GBP 2,756,651 513,419 (445,164) 2,824,906 Class B EUR 1,426,035 – (404,700) 1,021,335 Class B USD 13,705,772 7,903,919 (7,894,065) 13,715,626 Sterling B (Inc) GBP 70,000 18,141 (70,000) 18,141 Class C EUR 117,151,749 47,655,439 (71,440,831) 93,366,357 Class C USD 191,286,926 8,970,955 (98,142,794) 102,115,087 Class C (Inc) EUR 7,549,438 734,190 (7,549,438) 734,190 Class M USD 19,471 3,340 (170) 22,641 Class S EUR 92,093,619 19,485,161 (60,300,301) 51,278,479 Class W EUR 28,697,675 461,776 (23,155,843) 6,003,608 Class W USD 55,828,420 24,638,897 (26,742,907) 53,724,410 Class W (Hedged) CHF 12,884,676 618,977 (8,767,805) 4,735,848 Class W (Hedged) USD 45,307,364 11,625,074 (25,038,944) 31,893,494 Class W (Inc) USD 21,925,437 359,659 (1,069,390) 21,215,706 Sterling W (Acc) GBP 1,390,745 51,811 (81,824) 1,360,732 Sterling W (Inc) GBP 5,001 1,033,001 (55,455) 982,547 Class X EUR 39,682,153 49,135,158 – 88,817,311 Class X USD 175,973,251 – (7,602,251) 168,371,000 Sterling X GBP – 307,494,143 – 307,494,143

BNY Mellon Pan European Equity Fund Class A EUR 1,007,733 862,198 (493,544) 1,376,387 Class A USD 477,368 81,295 (66,317) 492,346 Class B EUR 117,385 – – 117,385 Class C EUR 4,517 – – 4,517 Class C USD 9,134,812 271,695 (852,736) 8,553,771

BNY Mellon S&P 500® Index Tracker Class A USD 29,363,877 4,510,674 (9,284,691) 24,589,860 Class A EUR 1,417,360 1,306,359 (669,047) 2,054,672 Class C USD 51,116,674 32,001,547 (64,421,030) 18,697,191 Class C EUR 4,015,834 160,000 (14,687) 4,161,147

239 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

2. SHARE CAPITAL contd.

REDEEMABLE PARTICIPATING SHARES contd.

Shares Shares Shares Shares in issue issued redeemed in issue at beginning during during at end Fund Share Class Currency of year the year the year of year

BNY Mellon Small Cap Euroland Fund Class A EUR 3,047,448 1,714,313 (2,228,868) 2,532,893 Class A USD – 5,000 – 5,000 Class B EUR 5,000 – – 5,000 Class C EUR 174,186 1,584,717 (1,450,438) 308,465

BNY Mellon U.S. Dynamic Value Fund Class A USD 1,203,300 384,947 (269,217) 1,319,030 Class A EUR 553,809 407,910 (292,283) 669,436 Class B USD 36,806 – – 36,806 Class B EUR 5,000 – – 5,000 Class C USD 2,541,321 2,661,257 (5,014,509) 188,069 Class C EUR 37,671 7,872 – 45,543 Class X (Inc) USD 51,881,889 1,584,352 (13,861,758) 39,604,483

BNY Mellon U.S. Equity Fund** Class A USD 4,047,943 212,760 (4,260,703) – Class A EUR 455,945 192,492 (648,437) – Class B USD 1,637,965 – (1,637,965) – Class B EUR 5,000 – (5,000) – Class C USD 360,427 – (360,427) – Class C EUR 6,679 – (6,679) – Sterling C (Inc) GBP 22,882 – (22,882) – Class H (Hedged) EUR 223,590 61,730 (285,320) – Class I (Hedged) EUR 4,230 – (4,230) – Sterling I (Inc) (Hedged) GBP 231,148 – (231,148) –

BNY Mellon US Opportunities Fund* Class A EUR – 649,040 (243) 648,797 Class A (Inc) EUR – 5,000 – 5,000 Class C USD – 10,057,971 – 10,057,971 Class C EUR – 5,000 – 5,000 Class W EUR – 5,000 – 5,000

* This Fund launched during the year. ** This Fund closed during the year.

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 1.00% - 2.00% Class R 1.00% - 2.75% Class B 0.75% - 1.50% Class S 0.20% - 2.00% Class C 0.30% - 1.00% Class T 0.50% - 2.00% Class E 0.40% - 1.50% Class U 0.85% - 1.75% Class H 1.00% - 2.50% Class W 0.50% - 0.75% 240 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

3. MANAGEMENT AND PERFORMANCE FEES contd.

MANAGEMENT FEES contd.

Share Class Rate Share Class Rate

Class I 0.50% - 1.00% Class X None Class J 0.75% - 1.50% Class Z 0.40% - 0.65% Class M 1.00% - 2.00%

An annual management fee cap was in place on certain share classes of BNY Mellon U.S. Equity Fund (closed 16 May 2014, revoked by the Central Bank on 10 November 2015); the annual management fee was capped at 1.5% for all Class “A” and “H” shares and at 0.75% for all Class “C” and “I” shares.

Management fees accrued to the Manager and the amounts due at the year end are included in the “Management Fee” and “Expenses Payable” fi gures 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 Class E – 10.00% Class R, S, T and U – 15.00% BNY Mellon Absolute Return Bond Fund 3 month EURIBOR / USD LIBOR / GBP LIBOR / CHF LIBOR Class R, S and T – 10.00% BNY Mellon Absolute Return Equity Fund^ 1 month EURIBOR / USD LIBOR / GBP LIBOR / CHF LIBOR Class R, S, T and U – 15.00% BNY Mellon Emerging Markets Equity Core Fund* Morgan Stanley Capital International Emerging Markets (MSCI EM) Class S – 20.00% (closed 2 November 2015) Index BNY Mellon Evolution Global Alpha Fund 1 month EURIBOR Class C and P, Model A – 20.00% (closed 14 March 2014) Class R and S, Model B – 20.00% BNY Mellon Long-Term Global Equity Fund MSCI World Daily (with net dividends reinvested) in Euro/USD terms Class S and T – 15.00%

* Please refer to Note 20 of the fi nancial statements. ^ The KIID for the BNY Mellon Absolute Return Equity Fund USD U (Hedged) Share Class was corrected on 30 October 2015 to show the 15% performance fee.

Performance fees accrued to the Manager and the amounts due at the year end are included in the “Performance Fee” and “Performance Fee Payable” fi gures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively.

EQUALISATION Equalisation shall only apply to share classes operating Model A performance fees, as detailed in the relevant supplement of the prospectus of the BNY Mellon Evolution Global Alpha Fund (closed 14 March 2014, revoked by the Central Bank on 10 November 2015).

4. ADMINISTRATION FEES

The Manager pays to BNY Mellon Fund Services (Ireland) Designated Activity Company (the “Administrator”) 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 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 year end are included in the “Operating Expenses” and “Expenses Payable” fi gures in the Statement of Comprehensive Income and the Statement of Financial Position, respectively. 241 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

5. CUSTODIAN FEES

The Company pays to the Custodian 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 Custodian 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 Custodian and the amounts due at the year end are included in the “Custodian Fee” and “Expenses Payable” fi gures 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 a cap arrangement:

Fund Agreed TER Limit

BNY Mellon Absolute Insight Fund1 TER limit of AMC plus 35 basis points BNY Mellon Asian Bond Fund TER limit of AMC plus 16 basis points2 BNY Mellon Crossover Credit Fund TER limit of AMC plus 17 basis points3 BNY Mellon Dynamic Total Return Fund* (capped from launch date of 15 May 2015) TER limit of AMC plus 22 basis points4 BNY Mellon Emerging Markets Debt Opportunistic Fund TER limit of AMC plus 30 basis points5 BNY Mellon Emerging Markets Equity Fund* (capped from 12 November 2015 until closure date of 9 December 2015) TER limit of AMC plus 43 basis points BNY Mellon European Credit Fund TER limit of AMC plus 15 basis points6 BNY Mellon Evolution Global Alpha Fund (closed 14 March 2014) TER limit of AMC plus 17 basis points BNY Mellon Global Emerging Markets Fund* TER limit of AMC plus 30 basis points BNY Mellon Global Opportunistic Bond Fund TER limit of AMC plus 20 basis points7 BNY Mellon Global Property Securities Fund TER limit of AMC plus 55 basis points BNY Mellon Japan All Cap Equity Fund TER limit of AMC plus 17 basis points BNY Mellon Japan Equity Value Fund (closed 20 November 2014) TER limit of AMC plus 17 basis points8 BNY Mellon Japan Small Cap Equity Focus Fund TER limit of AMC plus 17 basis points BNY Mellon Latin America Infrastructure Fund (closed 14 March 2014) TER limit of AMC plus 50 basis points BNY Mellon U.S. Equity Fund (closed 16 May 2014) TER limit of AMC plus 17 basis points BNY Mellon US Opportunities Fund TER limit of AMC plus 16 basis points

1 Rebate arrangement ceased effective 1 June 2015. 2 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 limit 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 and USD X (Inc) share classes subject to TER limit of 25 basis points. 6 With exception for EUR X and EUR X (Inc) share classes subject to TER limit of 10 basis points. 7 With exception for USD X and USD X (Inc) share classes subject to TER limit of 15 basis points. 8 Applicable to JPY A and EUR A share classes only. * Please refer to Note 20 of the fi nancial statements.

The amount rebated to the Company during the year ended 31 December 2015 in this regard was USD 115,506 (31 December 2014: USD 484,854).

242 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

7. OPERATING EXPENSES

The operating expenses in the Statement of Comprehensive Income comprise of the following:

31 December 2015 31 December 2014 Expense USD USD

Administration fee 11,807,980 13,099,945 Audit fee 348,192 365,284 Directors’ fee 102,613 68,336 Other expenses 2,793,839 3,098,252 Total operating expenses 15,052,624 16,631,817

Fees and expenses paid/payable to the statutory auditors, Ernst & Young, in respect of the fi nancial year are as follows:

31 December 2015 31 December 2014 USD USD

Statutory audit of fi nancial statements 348,192 365,284 Taxation services – – Total 348,192 365,284

8. TRANSACTION COSTS

Transaction costs are costs incurred to acquire fi nancial assets or liabilities at fair value through profi t 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 fi nancial derivative instruments are included in the “net gains/(losses) on fi nancial assets/liabilities at fair value through profi t or loss” in the Statement of Comprehensive Income and are detailed in the table below. In respect of all securities, the bid ask spread is embedded in the purchase and sale price of the securities and cannot be separately verifi ed or disclosed.

Transaction costs Transaction costs Fund Base Currency 31 December 2015 31 December 2014

BNY Mellon Absolute Insight Fund^ EUR 32,429 113,449 BNY Mellon Absolute Return Bond Fund^ EUR 56,651 96,413 BNY Mellon Absolute Return Equity Fund GBP 680,665 336,148 BNY Mellon Asian Bond Fund^ USD 198 1,059 BNY Mellon Asian Equity Fund USD 247,703 336,058 BNY Mellon Brazil Equity Fund USD 179,882 359,633 BNY Mellon Crossover Credit Fund^ EUR 1,181 1,495 BNY Mellon Dynamic Total Return Fund* USD 593 – BNY Mellon Emerging Markets Corporate Debt Fund^ USD 13 1,269 BNY Mellon Emerging Markets Debt Fund^ USD 206 549 BNY Mellon Emerging Markets Debt Opportunistic Fund^ USD – 132 BNY Mellon Emerging Markets Equity Fund* USD 149,045 105,101 BNY Mellon Emerging Markets Equity Core Fund* USD 802,300 672,994 BNY Mellon Euroland Bond Fund^ EUR 523 177,188 BNY Mellon European Credit Fund^ EUR 3,342 3,020 BNY Mellon Evolution Global Alpha Fund**^ EUR – 1,883 BNY Mellon Global Bond Fund^ USD 244 – BNY Mellon Global Dynamic Bond Fund^ USD 10,713 10,677

243 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

8. TRANSACTION COSTS contd.

Transaction costs Transaction costs Fund Base Currency 31 December 2015 31 December 2014

BNY Mellon Global Emerging Markets Fund* USD 60,678 40,292 BNY Mellon Global Emerging Markets Equity Value Fund USD 263,954 55,530 BNY Mellon Global Equity Fund USD 110,519 273,028 BNY Mellon Global Equity Income Fund* USD 419,931 361,251 BNY Mellon Global Opportunistic Bond Fund^ USD 17,364 17,051 BNY Mellon Global Opportunities Fund USD 140,765 105,232 BNY Mellon Global Property Securities Fund EUR 26,922 19,508 BNY Mellon Global Real Return Fund (EUR)^ EUR 1,207,727 1,552,353 BNY Mellon Global Real Return Fund (GBP)^ GBP 35,156 85,845 BNY Mellon Global Real Return Fund (USD)^ USD 234,028 479,403 BNY Mellon Japan All Cap Equity Fund JPY 2,089,908 400,678 BNY Mellon Japan Equity Value Fund** JPY N/A 691,416 BNY Mellon Japan Small Cap Equity Focus Fund JPY 4,264,330 1,939,137 BNY Mellon Latin American Infrastructure Fund** USD N/A 4,269 BNY Mellon Long-Term Global Equity Fund EUR 599,938 636,748 BNY Mellon Pan European Equity Fund EUR 151,257 40,050 BNY Mellon S&P 500® Index Tracker USD 1,431 7,989 BNY Mellon Small Cap Euroland Fund EUR 122,775 37,736 BNY Mellon U.S. Dynamic Value Fund USD 103,186 54,223 BNY Mellon U.S. Equity Fund** USD N/A 6,943 BNY Mellon US Opportunities Fund USD 47,224 10,538

* Please refer to Note 20 of the fi nancial 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 or reliably gathered and cannot be separately verifi ed 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 (Goldman Sachs, JPMorgan and UBS) 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 fi nancial statements.

10. TAXATION

Under current law and practice, the Company qualifi es as an investment undertaking as defi ned in Section 739B of the Tax Consolidation Act, 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.

244 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

10. TAXATION contd.

Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to withholding 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.

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., Insight Investment Management (Global) Limited, Meriten Investment Management Gmbh*, Alcentra NY, LLC, BNY Mellon Asset Management Japan Limited and EACM Advisors LLC 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 USD 81,016,288 (31 December 2014: USD 93,918,780) were paid by the Manager to the Distributor during the year. Fees paid in respect of all material related party transactions during the year are fully disclosed in the Statement of Comprehensive Income and in Notes 3 and 5 – 7 of the fi nancial statements.

The Directors are related parties of the Company. David Dillon, David Turnbull, Greg Brisk, Jonathan Lubran and Michael Meagher are Directors of the Manager. Jonathan Lubran held 657 shares of the Sterling W (Acc) (Hedged) share class of BNY Mellon Emerging Markets Corporate Debt Fund as at 31 December 2014, valued at USD 114,854, which were subsequently redeemed on 9 July 2015. David Dillon was a partner in Dillon Eustace solicitors, which provide legal services to the Company, until 31 October 2015 and thereafter acts as a consultant to Dillon Eustace. Legal fees of USD 42,867 (31 December 2014: USD 52,515) were paid during the reporting year.

Enrico Floridi is a consultant to BNY Mellon Investment Management EMEA Limited. With effect from 31 March 2015, Enrico Floridi has resigned as a Director of the Company. Greg Brisk and David Turnbull have waived their right to receive a fee for their services as Directors. Directors’ fees incurred during the year are disclosed in Note 7 of the fi nancial statements. Greg Brisk is a Director of BNY Mellon Investment Management Seed Capital Limited, a related entity of the Company. He is also a trustee of Mellon Retirement Benefi ts Plan, a pension scheme for BNY Mellon staff. These entities held a material benefi cial interest in the share classes of the Funds listed below as at 31 December 2015 and 31 December 2014:

Base 31 December 31 December Investor Name Fund Currency 2015 2014

BNY Mellon Investment Management Seed Capital Limited BNY Mellon Asian Bond Fund USD 524,638 32,460,918 BNY Mellon Dynamic Total Return Fund* USD 9,443,248 N/A BNY Mellon Global Emerging Markets Fund* USD 4,194,433 4,774,487 BNY Mellon Global Opportunistic Bond Fund USD 4,881 49,207,671 BNY Mellon Global Property Securities Fund EUR 2,254,475 N/A BNY Mellon Japan All Cap Equity Fund JPY 458,554,112 858,108,946 BNY Mellon Japan Small Cap Equity Focus Fund JPY 546,834,920 965,606,406 BNY Mellon US Opportunities Fund USD 26,304 10,376,917 Mellon Retirement Benefits Plan BNY Mellon Emerging Markets Debt Local Currency Fund USD N/A 20,053,715

* Please refer to Note 20 of the fi nancial statements.

During the year, companies related to the Custodian 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, London were counterparties to forward foreign currency contracts open at 31 December 2015 as disclosed in appendices to the Portfolio of Investments.

245 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

11. RELATED PARTIES contd.

The counterparties were selected by the Investment Managers and the terms of such transactions were negotiated by the Investment Managers with such companies.

There are no directed brokerage services or similar arrangements affecting the Funds during the year ended 31 December 2015 and 31 December 2014.

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 Currency 31 December 2015 31 December 2014

BNY Mellon Absolute Insight Fund Insight Liquidity Funds Plc - EUR Cash Fund EUR 14,499,289 12,202,456 Insight Liquidity Funds Plc - GBP Liquidity Plus Fund EUR 2,947,347 – BNY Mellon Absolute Return Bond Fund Insight Global Funds II Plc - Insight Emerging Markets Debt Fund EUR 182,294,501 106,784,212 Insight Liquidity Funds Plc - EUR Cash Fund EUR 16,127,105 5,930,119 BNY Mellon Absolute Return Equity Fund Insight Liquidity Funds Plc - GBP Liquidity Fund GBP 173,867,074 125,870,165 BNY Mellon Asian Income Fund BNY Mellon Investments Funds - Newton Asian Income Fund GBP 20,866,698 19,859,164 BNY Mellon Emerging Markets Corporate Debt Fund Insight Liquidity Funds Plc - USD Liquidity Fund USD 9,065,938 7,855,288 BNY Mellon Euroland Bond Fund BNY Mellon Global Funds Plc - Global Opportunistic Bond Fund EUR 26,294,449 – BNY Mellon Global Funds Plc - Asian Bond Fund EUR 9,028,928 – BNY Mellon European Credit Fund Insight Global Funds II Plc - Insight Emerging Markets Debt Fund EUR 1,718,154 3,148,640 Insight Global Funds II Plc - Short High Yield Bond Fund EUR 1,296,474 1,788,038

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 above. The Master Fund is a sub-fund of BNY Mellon Investments 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. The annual and semi-annual fi nancial statements of the Master Fund are published on the website of BNY Mellon Investment Management EMEA Limited (www.bnymellonim.com).

At 31 December 2015, BNY Mellon Brazil Equity Fund held an equity position, Aliansce Shopping Centers SA (“Aliansce”), valued at USD 1,169,569 (31 December 2014: USD 4,929,140). Bruno Garcia was elected to the Board of Aliansce on 28 April 2014. He is also a Director of ARX Investimentos, the Investment Manager of BNY Mellon Brazil Equity Fund.

During the year ended 31 December 2014 at the launch of BNY Mellon Asian Bond Fund, there was an in-specie subscription to USD X (Acc) share class from Mellon International Holdings Sarl, in the amount of USD 32,027,900, split between securities and accrued income valued at USD 29,405,091 and cash of USD 2,622,809. The shares were later transferred to BNY Mellon Investment Management Seed Capital.

The Manager owns 38,085 of the Company’s subscriber shares as disclosed in Note 2 of the fi nancial statements. There was no ultimate controlling party of the Company during the year ended 31 December 2015 or 31 December 2014.

246 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

12. SOFT COMMISSION ARRANGEMENTS

During the year, CenterSquare Investment Management Inc., The Boston Company Asset Management LLC and ARX Investimentos Ltda (“Investment Managers”) have entered into soft commission arrangements (also referred to as soft 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 payments 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-broking research providers. The goods and services utilised for the Company include economic and political analysis, industry, sector or company specifi c, investment related research and broker provide active order management. The Investment Managers consider these arrangements to be of benefi t to its clients and the brokerage rates are not in excess of customary institutional full service brokerage rates.

During the year, Insight Investment Management (Global) Limited, Newton Investment Management Limited and Blackfriars Asset Management Limited, Investment Managers, delegated investment manager and connected persons have entered into commission sharing arrangements with brokers in respect of which 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 of their allocated research commission away to other brokers or non-broking research providers. The goods and services utilised for the Company can include economic and political analysis, industry, sector or company specifi c analysis, investment related research and broker provide active order management. The Investment Managers consider these arrangements to be of benefi t to investors and the brokerage rates are not in excess of customary institutional full service brokerage rates.

13. EXCHANGE RATES

The fi nancial 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 31 December 2015 31 December 2014

Argentinian peso 12.9240 8.4645 Australian dollar 1.3723 1.2249 Brazilian real 3.9563 2.6582 Canadian dollar 1.3837 1.1618 Chilean peso 708.5600 606.9000 Chinese yuan 6.4936 6.2040 Colombian peso 3,174.5000 2,376.5000 Czech koruna 24.8645 22.8925 Danish krone 6.8672 6.1545 Egyptian pound 7.8301 7.1501 Euro 0.9202 0.8264 Hong Kong dollar 7.7501 7.7547 Hungarian forint 290.2002 261.5884 Icelandic krona 130.0250 127.5250 Indian rupee 66.1563 63.1225 Indonesian rupiah 13,785.0000 12,385.0000 Israeli shekel 3.8910 3.9005 Japanese yen 120.1950 119.7800 Korean won 1,172.5500 1,099.1500 Malaysian ringgit 4.2935 3.4965 Mexican peso 17.2345 14.7538 New Zealand dollar 1.4621 1.2820 Nigerian naira 199.0500 183.0000 Norwegian krone 8.8517 7.4530 Peruvian nuevo sol 3.4145 2.9795

247 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

13. EXCHANGE RATES contd.

Currency 31 December 2015 31 December 2014

Philippine peso 47.0550 44.7325 Polish zloty 3.9227 3.5406 Romanian leu 4.1583 3.7046 Russian rouble 73.0000 60.7500 Singapore dollar 1.4179 1.3247 Saudi Arabian riyal 3.7540 3.7526 Slovak koruna 27.7212 24.8965 South African rand 15.4650 11.5678 Sterling 0.6783 0.6416 Swedish krona 8.4415 7.7956 Swiss franc 1.0016 0.9942 Taiwanese dollar 32.8470 31.6020 Thai baht 35.9850 32.9000 Turkish lira 2.9164 2.3346 Uruguayan peso 29.9150 24.3150 Vietnamese dong 22,485.0000 21,387.5000

In respect of the aggregation of the Funds’ fi nancial statements, the following exchange rates against the US dollar were used in the preparation of the accounts:

31 December 2015 31 December 2014 Closing Rate Average Rate Closing Rate Average Rate

Euro 0.9202 0.9014 0.8264 0.7540 Japanese yen 120.1950 121.0519 119.3300 105.9000 Sterling 0.6783 0.6544 0.6416 0.6075

14. EFFICIENT PORTFOLIO MANAGEMENT

The Company and each Fund may invest in Financial Derivative Instruments (“FDIs”) for investment purposes where specifi ed in the relevant supplement to the prospectus. In addition, each Fund may utilise techniques and instruments for effi cient 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, stock lending arrangements, repurchase/reverse repurchase agreements, forward foreign currency contracts and when issued and/or delayed delivery securities.

Effi cient 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 and forward foreign currency contracts, as evidenced in the relevant Portfolio of Investments. Details of all open transactions at the 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 SA/NV (until 26 November 2015), The Bank of New York Mellon, London Branch (effective 27 November 2015) and the Custodian. The securities lending income is currently split between the Company and The Bank of New York Mellon SA/NV or The Bank of New York Mellon, London Branch in the proportion 80%:20%.

248 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

The Company earned revenue from securities lending during the year ended 31 December 2015, as detailed in the table below:

Direct Costs (Paid to The Bank of New York Net Earnings Base Gross Mellon SA/NV) to Company Fund Currency Earnings (20%) (80%)^

BNY Mellon Absolute Return Bond Fund EUR 88,524 (17,705) 70,819 BNY Mellon Absolute Return Equity Fund GBP 88,496 (17,699) 70,797 BNY Mellon Asian Equity Fund USD 15,715 (3,143) 12,572 BNY Mellon Crossover Credit Fund EUR 33,428 (6,686) 26,742 BNY Mellon Emerging Markets Corporate Debt Fund USD 44,194 (8,839) 35,355 BNY Mellon Emerging Markets Debt Fund USD 74,716 (14,943) 59,773 BNY Mellon Emerging Markets Debt Local Currency Fund USD 128,311 (25,662) 102,649 BNY Mellon Emerging Markets Debt Opportunistic Fund USD 2,063 (413) 1,650 BNY Mellon Emerging Markets Equity Fund* USD 4,269 (854) 3,415 BNY Mellon Emerging Markets Equity Core Fund* USD 57,335 (11,467) 45,868 BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* USD 2,270 (454) 1,816 BNY Mellon Euroland Bond Fund EUR 807,100 (161,420) 645,680 BNY Mellon European Credit Fund EUR 1,071 (214) 857 BNY Mellon Global Bond Fund USD 105,815 (21,163) 84,652 BNY Mellon Global Dynamic Bond Fund USD 70,679 (14,136) 56,543 BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD 1,371 (274) 1,097 BNY Mellon Global Emerging Markets Equity Value Fund USD 3,858 (772) 3,086 BNY Mellon Global Equity Fund USD 38,094 (7,619) 30,475 BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD 31,146 (6,229) 24,917 BNY Mellon Global High Yield Bond Fund USD 81,745 (16,349) 65,396 BNY Mellon Global Opportunistic Bond Fund USD 43,870 (8,774) 35,096 BNY Mellon Global Opportunities Fund USD 17,501 (3,500) 14,001 BNY Mellon Global Property Securities Fund EUR 1,619 (324) 1,295 BNY Mellon Global Real Return Fund (EUR) EUR 545,524 (109,105) 436,419 BNY Mellon Global Real Return Fund (GBP) GBP 2,790 (558) 2,232 BNY Mellon Global Real Return Fund (USD) USD 101,883 (20,377) 81,506 BNY Mellon Japan All Cap Equity Fund JPY 1,368,648 (273,730) 1,094,918 BNY Mellon Japan Small Cap Equity Focus Fund JPY 8,205,361 (1,641,072) 6,564,289 BNY Mellon Long-Term Global Equity Fund EUR 368,476 (73,695) 294,781 BNY Mellon Pan European Equity Fund EUR 7,564 (1,513) 6,051 BNY Mellon S&P 500® Index Tracker USD 9,066 (1,813) 7,253 BNY Mellon Small Cap Euroland Fund EUR 38,026 (7,605) 30,421 BNY Mellon U.S. Dynamic Value Fund USD 3,744 (749) 2,995 BNY Mellon US Opportunities Fund USD 1,888 (378) 1,510

^ Disclose as “Securities lending income” on the Statement of Comprehensive Income. * Please refer to Note 20 of the fi nancial statements.

249 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

The Company earned revenue from securities lending during the year ended 31 December 2014, as detailed in the table below:

Direct Costs (Paid to The Bank of New York Net Earnings Base Gross Mellon SA/NV) to Company Fund Currency Earnings (20%) (80%)^

BNY Mellon Absolute Return Bond Fund EUR 41,130 (8,226) 32,904 BNY Mellon Absolute Return Equity Fund GBP 104,018 (20,804) 83,214 BNY Mellon Asian Equity Fund USD 23,179 (4,636) 18,543 BNY Mellon Crossover Credit Fund EUR 1,724 (345) 1,379 BNY Mellon Emerging Markets Corporate Debt Fund USD 41,773 (8,355) 33,418 BNY Mellon Emerging Markets Debt Fund USD 92,266 (18,453) 73,813 BNY Mellon Emerging Markets Debt Local Currency Fund USD 104,948 (20,990) 83,958 BNY Mellon Emerging Markets Debt Opportunistic Fund USD 276 (55) 221 BNY Mellon Emerging Markets Equity Fund USD 4,373 (875) 3,498 BNY Mellon Emerging Markets Equity Core Fund USD 64,155 (12,831) 51,324 BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund USD 10,364 (2,073) 8,291 BNY Mellon Euroland Bond Fund EUR 438,615 (87,723) 350,892 BNY Mellon European Credit Fund EUR 486 (97) 389 BNY Mellon Global Bond Fund USD 45,160 (9,032) 36,128 BNY Mellon Global Dynamic Bond Fund USD 7,428 (1,486) 5,942 BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD 2,716 (543) 2,173 BNY Mellon Global Emerging Markets Equity Value Fund USD 6,959 (1,392) 5,567 BNY Mellon Global Equity Fund USD 63,476 (12,695) 50,781 BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD 65,549 (13,110) 52,439 BNY Mellon Global High Yield Bond Fund USD 31,500 (6,300) 25,200 BNY Mellon Global Opportunistic Bond Fund USD 5,071 (1,014) 4,057 BNY Mellon Global Opportunities Fund USD 19,390 (3,878) 15,512 BNY Mellon Global Property Securities Fund EUR 536 (107) 429 BNY Mellon Global Real Return Fund (EUR) EUR 151,544 (30,309) 121,235 BNY Mellon Global Real Return Fund (GBP) GBP 8,228 (1,646) 6,582 BNY Mellon Global Real Return Fund (USD) USD 26,045 (5,209) 20,836 BNY Mellon Japan All Cap Equity Fund JPY 111,596 (22,319) 89,277 BNY Mellon Japan Equity Value Fund* JPY 99,606 (19,921) 79,685 BNY Mellon Japan Small Cap Equity Focus Fund JPY 920,696 (184,139) 736,557 BNY Mellon Long-Term Global Equity Fund EUR 206,993 (41,399) 165,594 BNY Mellon Pan European Equity Fund EUR 6,216 (1,243) 4,973 BNY Mellon S&P 500® Index Tracker USD 3,806 (761) 3,045 BNY Mellon Small Cap Euroland Fund EUR 5,756 (1,151) 4,605 BNY Mellon U.S. Dynamic Value Fund USD 249 (50) 199 BNY Mellon U.S. Equity Fund* USD 1,070 (214) 856 BNY Mellon US Opportunities Fund USD 20 (4) 16

^ Disclose as “Securities lending income” on the Statement of Comprehensive Income. * This Fund closed during the year.

250 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

The value of securities on loan by counterparty and the value and type of collateral held by the Company in respect of those securities as at 31 December 2015 are detailed as follows:

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Absolute Return Bond Fund BNP Paribas Arbitrage Government Debt & Supranationals (TriParty) 5,516,597 6,099,632 110.57% Barclays Bank Plc Government Debt & Supranationals (Euroclear TriParty) 2,321,000 2,438,792 105.08% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 1,695,044 1,782,188 105.14% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 1,371,500 1,445,854 105.42% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 5,094,083 5,196,284 102.01% Goldman Sachs International Government Debt & Supranationals (TriParty) 5,795,618 6,086,434 105.02% HSBC Bank Plc Equity Indices 41,457,690 45,605,315 110.00% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 9,188,639 9,471,691 103.08% Morgan Stanley & Co. International Plc Government Debt & Supranationals (Euroclear TriParty) 3,737,641 3,847,465 102.94% RBC Europe Limited Government Debt & Supranationals (Euroclear TriParty) 577,036 608,401 105.44% Societe Generale Government Debt & Supranationals (Euroclear TriParty) 7,063,391 7,416,763 105.00% UBS AG Government Debt & Supranationals (Euroclear TriParty) 2,367,393 2,586,695 109.26%

86,185,632 92,585,514 107.43%

BNY Mellon Absolute Return Equity Fund BNP Paribas Arbitrage Equity Indices (TriParty) 4,784,686 5,786,745 120.94% Barclays Capital Securities Ltd. G10 Debt (TriParty) 441,249 471,774 106.92% Citigroup Global Markets Limited Equity Indices 2,443,730 2,688,854 110.03% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 4,787,619 5,330,591 111.34% ING Bank NV Equity Indices (TriParty) 10,979 14,777 134.59% Merrill Lynch International G10 Debt (TriParty) 563,654 594,630 105.50% Societe Generale Equity Indices (TriParty) 5,364,232 5,979,709 111.47% UBS AG Equity Indices (TriParty) 113,205 126,495 111.74% UBS AG G10 Debt (TriParty) 3,622,030 3,812,211 105.25%

22,131,384 24,805,786 112.08%

251 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Crossover Credit Fund BNP Paribas Arbitrage Government Debt & Supranationals (TriParty) 443,214 490,056 110.57% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 2,563,329 2,695,113 105.14% Credit Suisse Securities (Europe) Limited G10 Debt (TriParty) 331,969 348,808 105.07% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 1,163,772 1,198,528 102.99% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 4,980,061 5,229,747 105.01% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 12,678,511 13,245,985 104.48% RBC Europe Limited Government Debt & Supranationals (Euroclear TriParty) 746,486 778,780 104.33% UBS AG Government Debt & Supranationals (Euroclear TriParty) 5,106,248 5,504,960 107.81%

28,013,590 29,491,977 105.28%

BNY Mellon Emerging Markets Corporate Debt Fund Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 5,241,092 5,523,882 105.40% Goldman Sachs International Government Debt & Supranationals (TriParty) 1,405,634 1,476,167 105.02% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 6,155,461 6,464,436 105.02%

12,802,187 13,464,485 105.17%

BNY Mellon Emerging Markets Debt Fund Barclays Bank Plc Government Debt & Supranationals (Euroclear TriParty) 716,630 752,999 105.08% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 1,874,887 1,976,532 105.42% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 576,520 605,679 105.06% Deutsche Bank, AG Government Debt & Supranationals (Euroclear TriParty) 1,309,588 1,375,615 105.04% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 252,353 265,006 105.01% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 2,968,160 3,117,147 105.02% UBS AG Government Debt & Supranationals (Euroclear TriParty) 63,943 69,866 109.26%

7,762,081 8,162,844 105.16%

BNY Mellon Emerging Markets Debt Local Currency Fund BNP Paribas Arbitrage G10 minus Belgium (Euroclear Triparty) 2,518,137 2,646,648 105.10% JP Morgan Securities, Plc G10 Debt (TriParty) 2,080,859 2,184,939 105.00% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 87,471,771 91,862,439 105.02%

92,070,767 96,694,026 105.02%

252 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Emerging Markets Debt Opportunistic Fund Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 763,034 804,401 105.42% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 1,121,149 1,177,855 105.06% JP Morgan Securities, Plc G10 Debt (TriParty) 379,411 398,388 105.00% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 196,742 206,607 105.01% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 5,142,415 5,400,540 105.02%

7,602,751 7,987,791 105.06%

BNY Mellon Euroland Bond Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 5,278,935 5,386,894 102.05% Barclays Capital Inc U.S. Government Debt (Bilateral) 5,106,816 5,209,135 102.00% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 6,908,565 7,215,932 104.45% Citigroup Global Markets Inc. U.S. Government Debt (Bilateral) 349,928 363,530 103.89% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 6,394,513 6,522,803 102.01% Deutsche Bank, AG Government Debt & Supranationals (Euroclear TriParty) 22,247,598 22,693,347 102.00% Goldman, Sachs & Co. U.S. Government Debt (Bilateral) 1,135,180 1,157,930 102.00% Goldman Sachs International Government Debt & Supranationals (TriParty) 43,733,460 45,922,181 105.00% JP Morgan Clearing Corp U.S. Government Debt (Bilateral) 4,618,921 4,711,303 102.00% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 26,427,514 27,773,583 105.09% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 57,120,799 58,333,421 102.12% Nomura International Plc Government Debt & Supranationals (Euroclear TriParty) 2,946,737 3,005,913 102.01% Societe Generale Government Debt & Supranationals (Euroclear TriParty) 554,179 581,903 105.00% UBS AG Government Debt & Supranationals (TriParty) 215,250 226,171 105.07% UBS AG Government Debt & Supranationals (Euroclear TriParty) 1,608,448 1,709,570 106.29%

184,646,843 190,813,616 103.34%

BNY Mellon European Credit Fund Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 786,753 826,545 105.06% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 203,756 207,844 102.01% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 223,462 234,666 105.01% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 610,636 641,288 105.02% UBS AG Government Debt & Supranationals (TriParty) 188,569 198,136 105.07% UBS AG Government Debt & Supranationals (Euroclear TriParty) 488,062 517,633 106.06%

2,501,238 2,626,112 104.99%

253 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Global Bond Fund Citigroup Global Markets Limited Equity Indices 9,242,532 10,169,622 110.03% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 2,115,090 2,157,452 102.00% HSBC Bank Plc Equity Indices 26,233,653 28,858,193 110.00%

37,591,275 41,185,267 109.56%

BNY Mellon Global Dynamic Bond Fund Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 1,489,062 1,518,885 102.00% HSBC Bank Plc Equity Indices 25,423,721 27,967,231 110.00% Merrill Lynch International G10 Debt (TriParty) 2,106 2,222 105.51%

26,914,889 29,488,338 109.56%

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) Deutsche Bank Securities Inc. U.S. Government Debt (Bilateral) 48,229 49,203 102.02% Deutsche Bank, AG Equity Indices (TriParty) 99,493 111,895 112.47%

147,722 161,098 109.05%

BNY Mellon Global Equity Fund Citigroup Global Markets Limited Equity Indices (TriParty) 115,020 134,000 116.50% Societe Generale Equity Indices (TriParty) 4,377,651 4,879,930 111.47%

4,492,671 5,013,930 111.60%

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) Citigroup Global Markets Limited Equity Indices (TriParty) 6,991,400 8,145,060 116.50% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 4,122,056 4,204,755 102.01% Goldman, Sachs & Co U.S. Government Debt (Bilateral) 235,953 240,681 102.00% Merrill Lynch International Equity Indices (TriParty) 2,348,436 2,513,095 107.01% Societe Generale Equity Indices (TriParty) 132 147 111.36%

13,697,977 15,103,738 110.26%

254 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Global High Yield Bond Fund Barclays Bank Plc Government Debt & Supranationals (Euroclear TriParty) 462,542 472,001 102.05% Barclays Capital Inc. U.S. Government Debt (Bilateral) 5,092,798 5,194,836 102.00% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 1,861,129 1,929,555 103.68% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 1,094,593 1,152,170 105.26% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 3,023,695 3,112,341 102.93% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 2,709,874 2,764,241 102.01% Goldman, Sachs & Co U.S. Government Debt (Bilateral) 862,658 879,946 102.00% Goldman Sachs International Government Debt & Supranationals (TriParty) 348,320 365,798 105.02% Morgan Stanley & Co. International Plc Government Debt & Supranationals (Euroclear TriParty) 647,342 660,398 102.02% RBC Europe Limited Government Debt & Supranationals (Euroclear TriParty) 592,916 625,144 105.44% UBS AG Government Debt & Supranationals (Euroclear TriParty) 283,113 309,339 109.26%

16,978,980 17,465,769 102.87%

BNY Mellon Global Opportunistic Bond Fund Barclays Capital Inc. U.S. Government Debt (Bilateral) 1,465,046 1,494,399 102.00% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 815,180 859,374 105.42% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 2,061,522 2,102,882 102.01% Goldman Sachs International Government Debt & Supranationals (TriParty) 1,086,907 1,141,447 105.02% JP Morgan Clearing Corp U.S. Government Debt (Bilateral) 777,464 793,013 102.00% JP Morgan Securities, Plc Government Debt & Supranationals (TriParty) 1,016,451 1,067,413 105.01% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 3,021,731 3,173,408 105.02% Nomura International Plc Government Debt & Supranationals (TriParty) 271,727 290,564 106.93% Societe Generale Equity Indices-Expanded 8,338,959 9,176,007 110.04% Societe Generale Government Debt & Supranationals (Euroclear TriParty) 546,143 573,466 105.00% UBS AG Government Debt & Supranationals (TriParty) 126,417 132,830 105.07%

19,527,547 20,804,803 106.54%

BNY Mellon Global Opportunities Fund Societe Generale Equity Indices (TriParty) 1,596,331 1,779,489 111.47% UBS Securities LLC U.S. Government Debt (Bilateral) 3,097,705 3,159,752 102.00%

4,694,036 4,939,241 105.22%

255 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Global Property Securities Fund Barclays Capital Inc. U.S. Government Debt (Bilateral) 149,659 152,657 102.00% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 128,821 131,405 102.01% Deutsche Bank, AG Equity Indices (TriParty) 258,434 290,649 112.47% JP Morgan Securities, Plc Equity Indices (TriParty) 50,663 55,817 110.17% JP Morgan Securities, Plc G10 Debt (TriParty) 35,276 37,049 105.03% UBS AG Equity Indices (TriParty) 153,411 170,455 111.11% UBS AG G10 Debt (TriParty) 55,149 58,044 105.25%

831,413 896,076 107.78%

BNY Mellon Global Real Return Fund (EUR) Barclays Capital Securities Ltd. Equity Indices 141,859,436 156,048,524 110.00% Citigroup Global Markets Limited Equity Indices (TriParty) 913,848 1,064,643 116.50% HSBC Bank Plc Equity Indices 92,621,094 101,887,350 110.00% JP Morgan Securities, Plc Equity Indices (TriParty) 10,136,846 11,151,388 110.01% Morgan Stanley & Co. International Plc Equity Indices (TriParty) 2,008,839 2,209,830 110.01% Societe Generale Equity Indices (TriParty) 17,574 19,590 111.47%

247,557,637 272,381,325 110.03%

BNY Mellon Global Real Return Fund (GBP) JP Morgan Securities, Plc Equity Indices (TriParty) 328,563 361,447 110.01% Morgan Stanley & Co. International Plc Equity Indices (TriParty) 105,651 116,222 110.01%

434,214 477,669 110.01%

BNY Mellon Global Real Return Fund (USD) Barclays Capital Securities Ltd. Equity Indices 26,372,960 29,010,840 110.00% HSBC Bank Plc Equity Indices 14,936,140 16,430,422 110.00% JP Morgan Securities, Plc Equity Indices (TriParty) 1,799,285 1,979,366 110.01% Morgan Stanley & Co. International Plc Equity Indices (TriParty) 602,071 662,311 110.01% UBS AG G10 Debt (TriParty) 32,353 34,052 105.25%

43,742,809 48,116,991 110.00%

BNY Mellon Japan All Cap Equity Fund BNP Paribas Arbitrage Equity Indices (TriParty) 395,289 478,074 120.94% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 335,423 373,464 111.34% Deutsche Bank, AG Equity Indices (TriParty) 1,539,360 1,731,245 112.47% Deutsche Bank, AG G10 Debt (TriParty) 123,295 130,168 105.57% JP Morgan Securities, Plc Equity Indices (TriParty) 498,706 549,432 110.17% JP Morgan Securities, Plc G10 Debt (TriParty) 9,322 9,791 105.03% UBS AG Equity Indices (TriParty) 1,966,756 2,197,637 111.74%

4,868,151 5,469,811 112.36%

256 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Japan Small Cap Equity Focus Fund Deutsche Bank, AG Equity Indices (TriParty) 1,741,681 1,958,786 112.47% JP Morgan Securities, Plc Equity Indices (TriParty) 489,000 538,739 110.17% Morgan Stanley & Co. International Plc G10 Debt (TriParty) 177,407 186,400 105.07% Merrill Lynch International Equity Indices (TriParty) 5,972 6,563 109.90% Merrill Lynch International G10 Debt (TriParty) 477,233 503,460 105.50% Societe Generale Equity Indices (TriParty) 179,149 199,704 111.47% UBS AG Equity Indices (TriParty) 1,878,168 2,098,649 111.74%

4,948,610 5,492,301 110.99%

BNY Mellon Long-Term Global Equity Fund Barclays Capital Securities Ltd. Equity Indices (TriParty) 1,740,302 1,914,942 110.04% Citigroup Global Markets Limited Equity Indices (TriParty) 56,100,953 64,635,727 115.21% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 11,299,931 11,526,637 102.01% Deutsche Bank, AG Equity Indices (TriParty) 24,639,969 27,711,400 112.47% HSBC Bank Plc Equity Indices (TriParty) 3,228,482 3,551,869 110.02% Morgan Stanley & Co. International Plc Equity Indices (TriParty) 2,445,123 2,689,766 110.01% Nomura International Plc Equity Indices (TriParty) 75,214 88,828 118.10% Skandinaviska Enskilda Banken AB Equity Indices (TriParty) 2,826,462 3,109,463 110.01% Societe Generale Equity Indices (TriParty) 1,359,868 1,515,895 111.47% UBS AG Equity Indices (TriParty) 6,401,136 7,105,966 111.01% UBS AG G10 Debt (TriParty) 705,882 742,945 105.25%

110,823,322 124,593,438 112.43%

BNY Mellon Pan European Equity Fund JP Morgan Securities, Plc Equity Indices (TriParty) 959,724 1,055,777 110.01% UBS AG Equity Indices (TriParty) 394,180 440,454 111.74%

1,353,904 1,496,231 110.51%

BNY Mellon S&P 500® Index Tracker Barclays Capital Inc. U.S. Government Debt (Bilateral) 161,176 164,406 102.00% Citigroup Global Markets Limited Equity Indices (TriParty) 4,047,968 4,715,928 116.50% Citigroup Global Markets Inc. U.S. Government Debt (Bilateral) 5,115 5,228 102.21% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 36,843 41,021 111.34% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 401,176 409,225 102.01% Deutsche Bank Securities Inc. U.S. Government Debt (Bilateral) 13,443 13,714 102.02% Deutsche Bank, AG Equity Indices (TriParty) 1,699,138 1,910,939 112.47% Goldman, Sachs & Co. U.S. Government Debt (Bilateral) 96,733 98,671 102.00% JP Morgan Clearing Corp U.S. Government Debt (Bilateral) 401,892 409,930 102.00% JP Morgan Securities, Plc Equity Indices (TriParty) 104,042 114,625 110.17% Merrill Lynch International Equity Indices (TriParty) 36,480 39,038 107.01% Merrill Lynch International G10 Debt (TriParty) 26,278 27,722 105.50% Societe Generale Equity Indices (TriParty) 748,185 834,030 111.47% UBS AG Equity Indices (TriParty) 402,335 449,566 111.74% UBS Securities LLC U.S. Government Debt (Bilateral) 51,932 52,972 102.00%

8,232,736 9,287,015 112.81%

257 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2015 31 December 2015 31 December 2015

USD USD % BNY Mellon Small Cap Euroland Fund BNP Paribas Arbitrage Equity Indices (TriParty) 893,461 1,080,579 120.94% Barclays Capital Securities Ltd. Equity Indices (TriParty) 108,623 119,523 110.03% Barclays Capital Securities Ltd. G10 Debt (TriParty) 1,463,527 1,564,772 106.92% Citigroup Global Markets Limited G10 Debt (TriParty) 46,952 49,341 105.09% Deutsche Bank, AG Equity Indices (TriParty) 3,187,310 3,584,615 112.47% Deutsche Bank, AG G10 Debt (TriParty) 29,852 31,516 105.57% Goldman Sachs International G10 Debt (TriParty) 602,425 633,172 105.10% HSBC Bank Plc Equity Indices (TriParty) 862,984 949,427 110.02% Merrill Lynch International Equity Indices (TriParty) 294,501 323,661 109.90% Merrill Lynch International G10 Debt (TriParty) 396,772 418,577 105.50% Nomura International Plc Equity Indices (TriParty) 24 28 116.67% Societe Generale Equity Indices (TriParty) 658,937 734,542 111.47% UBS AG Equity Indices (TriParty) 177,419 195,884 110.41%

8,722,787 9,685,637 111.04%

BNY Mellon U.S. Dynamic Value Fund Citigroup Global Markets Limited Equity Indices (TriParty) 1,702,022 1,982,874 116.50% Deutsche Bank, AG Equity Indices (TriParty) 729,703 820,663 112.47% JP Morgan Clearing Corp U.S. Government Debt (Bilateral) 78,679 80,253 102.00%

2,510,404 2,883,790 114.87%

BNY Mellon US Opportunities Fund Deutsche Bank, AG Equity Indices (TriParty) 3,902,145 4,388,556 112.47% Societe Generale Equity Indices (TriParty) 1,221,157 1,361,269 111.47%

5,123,302 5,749,825 112.23%

* Please refer to Note 20 of the fi nancial statements

258 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

The value of securities on loan by counterparty and the value and type of collateral held by the Company in respect of those securities as at 31 December 2014 are detailed as follows:

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Absolute Return Bond Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 7,060,133 7,209,022 102.11% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 1,189,084 1,212,890 102.00% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 322,248 341,893 106.10% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 4,421,787 4,675,153 105.73% Goldman Sachs International Government Debt & Supranationals (TriParty) 1,016,994 1,069,970 105.21% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 608,632 644,079 105.82% Morgan Stanley & Co. International PLC Government Debt & Supranationals (Euroclear TriParty) 2,994,141 3,073,021 102.63%

17,613,019 18,226,028 103.48%

BNY Mellon Absolute Return Equity Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 936,707 984,017 105.05% BNP Paribas Arbitrage Equity Indices (TriParty) 2,344,968 2,579,748 110.01% Citigroup Global Markets Limited G10 Debt (TriParty) 11,056,898 11,625,382 105.14% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 2,187,578 2,300,831 105.18% Credit Suisse Securities (Europe) Limited G10 Debt (TriParty) 468,353 497,166 106.15% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 1,382,874 1,522,150 110.07% Deutsche Bank, AG G10 Debt (TriParty) 70,092 73,659 105.09% Deutsche Bank, AG Equity Indices (TriParty) 5,855,330 6,462,610 110.37% Societe Generale Equity Indices (TriParty) 19,886 21,889 110.07% UBS AG Equity Indices (TriParty) 1,206,618 1,351,405 112.00%

25,529,304 27,418,857 107.40%

BNY Mellon Asian Equity Fund Goldman Sachs International Equity Indices (TriParty) 216,409 241,574 111.63% HSBC Bank PLC Equity Indices (TriParty) 2,463,975 2,720,095 110.39% Macquarie Bank Limited Equity Indices (TriParty) 591,793 651,212 110.04%

3,272,177 3,612,881 110.41%

259 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Emerging Markets Corporate Debt Fund Credit Suisse Securities (Europe) Limited G10 minus Belgium (Triparty) 1,251,583 1,377,064 110.03% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 2,000,042 2,114,643 105.73% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 9,150,417 9,664,698 105.62% Morgan Stanley & Co. International PLC Government Debt & Supranationals (Euroclear TriParty) 1,846,899 1,943,973 105.26%

14,248,941 15,100,378 105.98%

BNY Mellon Emerging Markets Debt Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 9,318,730 9,789,394 105.05% Credit Suisse Securities (Europe) Limited G10 Debt (TriParty) 1,969,312 2,090,462 106.15% Credit Suisse Securities (Europe) Limited G10 minus Belgium (Triparty) 1,587,457 1,746,612 110.03% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 1,300,382 1,374,893 105.73% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 15,152,032 16,034,485 105.82% Merrill Lynch, Pierce, Fenner & Smith Inc. U.S. Government Debt (Bilateral) 261,945 283,482 108.22% Morgan Stanley & Co. International PLC G10 Debt (TriParty) 410,170 430,937 105.06% Morgan Stanley & Co. International PLC Government Debt & Supranationals (Euroclear TriParty) 6,034,556 6,351,734 105.26% Nomura International PLC G10 Debt (TriParty) 1,889,492 1,993,456 105.50% Nomura International PLC Government Debt & Supranationals (Euroclear TriParty) 1,982,897 2,083,816 105.09% UBS AG G10 Debt (TriParty) 564,752 598,782 106.03% UBS AG Government Debt & Supranationals (Euroclear TriParty) 685,260 761,562 111.13%

41,156,985 43,539,615 105.79%

BNY Mellon Emerging Markets Debt Local Currency Fund JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 1,574,918 1,666,641 105.82%

1,574,918 1,666,641 105.82%

BNY Mellon Emerging Markets Equity Fund Credit Suisse Securities (Europe) Limited G10 Debt (TriParty) 142,010 150,037 105.65% UBS AG G10 Debt (TriParty) 27,152 28,815 106.12%

169,162 178,852 105.73%

260 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Emerging Markets Equity Core Fund Credit Suisse Securities (Europe) Limited G10 Debt (TriParty) 573,196 605,596 105.65% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 2,046,404 2,275,834 111.21% Deutsche Bank, AG Equity Indices (TriParty) 40,376 44,563 110.37% HSBC Bank PLC Equity Indices (TriParty) 3,130,200 3,455,571 110.39% JP Morgan Securities, Plc Equity Indices (TriParty) 478,524 528,251 110.39% Merrill Lynch International G10 Debt (TriParty) 1,494,400 1,582,288 105.88% UBS AG G10 Debt (TriParty) 480,955 510,411 106.12% UBS AG Equity Indices (TriParty) 3,649,332 4,087,230 112.00%

11,893,387 13,089,744 110.06%

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund RBC Europe Limited Govt Debt & Supranationals (Euroclear TriParty) 3,024,473 3,179,699 105.13%

3,024,473 3,179,699 105.13%

BNY Mellon Euroland Bond Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 10,428,109 10,648,024 102.11% Barclays Capital Inc. U.S. Government Debt (Bilateral) 21,216,454 21,643,567 102.01% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 15,862,097 16,179,669 102.00% Citigroup Global Markets Limited Equity Indices 11,246,422 12,374,573 110.03% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 17,170,206 18,056,358 105.16% Deutsche Bank, AG Equity Indices 251,354,380 276,535,192 110.02% Goldman Sachs International Government Debt & Supranationals (TriParty) 53,196,956 55,858,707 105.00% JP Morgan Securities, Plc Government Debt & Supranationals (Euroclear TriParty) 19,177,921 20,193,643 105.30% Morgan Stanley & Co. International PLC Government Debt & Supranationals (Euroclear TriParty) 9,083,997 9,276,169 102.12% Nomura International PLC Government Debt & Supranationals (Euroclear TriParty) 10,342,816 10,550,715 102.01% Nomura International PLC Equity/FTSE/S&P/NIKKEI 137,020,229 150,728,820 110.00% UBS AG G10 Debt (TriParty) 14,064,585 14,925,990 106.12%

570,164,172 616,971,427 108.21%

BNY Mellon European Credit Fund Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (TriParty) 628,886 667,224 106.10%

628,886 667,224 106.10%

261 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Global Bond Fund Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 888,575 939,490 105.73% Deutsche Bank, AG Equity Indices 14,476,126 15,926,352 110.02% Goldman Sachs International Government Debt & Supranationals (TriParty) 8,263,732 8,677,214 105.00% HSBC Bank PLC Equity Indices 51,297,912 56,430,985 110.01% Morgan Stanley & Co. International PLC Government Debt & Supranationals (Euroclear TriParty) 5,333,886 5,614,236 105.26%

80,260,231 87,588,277 109.13%

BNY Mellon Global Dynamic Bond Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 346,808 364,325 105.05% Barclays Capital Inc. U.S. Government Debt (Bilateral) 526,689 537,291 102.01% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 660,020 694,190 105.18% Citigroup Global Markets Limited UK Gilt Delivery-by-Value (DBV) 581,014 595,540 102.50% HSBC Bank PLC Equity Indices 3,860,229 4,246,499 110.01% Merrill Lynch International UK Gilt Delivery-by-Value (DBV) 2,035,487 2,086,374 102.50%

8,010,247 8,524,219 106.42%

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) Deutsche Bank, AG Equity Indices (TriParty) 371,260 409,765 110.37% UBS AG Equity Indices (TriParty) 704,925 787,333 111.69%

1,076,185 1,197,098 111.24%

BNY Mellon Global Emerging Markets Equity Value Fund Barclays Capital Securities Ltd. Equity Indices (TriParty) 100,037 110,077 110.04% Barclays Capital Securities Ltd. G10 Debt (TriParty) 3,197 3,468 108.47% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 113,011 126,439 111.88% Deutsche Bank, AG Equity Indices (TriParty) 42,611 47,031 110.37% Deutsche Bank, AG G10 Debt (TriParty) 11,829 12,431 105.09% UBS AG Equity Indices (TriParty) 55,149 61,766 112.00%

325,834 361,212 110.86%

BNY Mellon Global Equity Fund Deutsche Bank, AG Equity Indices (TriParty) 6,253,517 6,902,096 110.37% Goldman Sachs International Equity Indices (TriParty) 3,172,927 3,541,901 111.63% JP Morgan Securities, Plc Equity Indices (TriParty) 3,283,344 3,635,902 110.74%

12,709,788 14,079,899 110.78%

262 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) HSBC Bank PLC Equity Indices (TriParty) 6,318,647 6,975,443 110.39% Societe Generale Equity Indices (TriParty) 5,632,291 6,199,407 110.07% UBS AG Equity Indices (TriParty) 5,055,349 5,661,960 112.00%

17,006,287 18,836,810 110.76%

BNY Mellon Global High Yield Bond Fund Barclays Capital Inc. U.S. Government Debt (Bilateral) 3,020,055 3,080,853 102.01% BNP Prime Brokerage, Inc. U.S. Government Debt (Bilateral) 764,638 782,938 102.39% Citigroup Global Markets Inc. U.S. Government Debt (Bilateral) 799,874 818,326 102.31% Citigroup Global Markets Limited Government Debt & Supranationals (Euroclear TriParty) 368,883 387,980 105.18% Credit Suisse Securities (Europe) Limited Government Debt & Supranationals (Euroclear TriParty) 630,742 666,883 105.73% Credit Suisse Securities (USA) LLC U.S. Government Debt (Bilateral) 278,178 284,865 102.40%

5,862,370 6,021,845 102.72%

BNY Mellon Global Opportunistic Bond Fund Barclays Bank PLC Government Debt & Supranationals (Euroclear TriParty) 933,461 980,608 105.05% Barclays Capital Inc. U.S. Government Debt (Bilateral) 322,507 329,000 102.01% Deutsche Bank, AG Government Debt & Supranationals (TriParty) 842,178 888,153 105.46% Goldman Sachs International Government Debt & Supranationals (TriParty) 211,363 222,372 105.21%

2,309,509 2,420,133 104.79%

BNY Mellon Global Opportunities Fund HSBC Bank PLC Equity Indices (TriParty) 1,143,676 1,262,556 110.39% JP Morgan Securities, Plc Equity Indices (TriParty) 1,910,389 2,115,523 110.74% UBS AG Equity Indices (TriParty) 324,758 363,727 112.00%

3,378,823 3,741,806 110.74%

BNY Mellon Global Property Securities Fund Barclays Capital Securities Ltd. Equity Indices (TriParty) 73,131 80,471 110.04% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 38,379 42,939 111.88% JP Morgan Securities, Plc Equity Indices (TriParty) 92,884 102,536 110.39% Morgan Stanley & Co. International PLC G10 Debt (TriParty) 100,992 107,000 105.95% UBS AG Equity Indices (TriParty) 216,642 242,638 112.00% UBS AG G10 Debt (TriParty) 28,569 30,318 106.12%

550,597 605,902 110.04%

263 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Global Real Return Fund (EUR) HSBC Bank PLC Equity Indices 254,359,178 279,811,367 110.01% JP Morgan Securities, Plc Equity Indices (TriParty) 13,317,148 14,747,115 110.74% Societe Generale Equity Indices (TriParty) 36,264,051 39,915,481 110.07% Societe Generale Equity/FTSE/S&P/NIKKEI 16,128,944 17,743,441 110.01% UBS AG Equity Indices (TriParty) 3,542,376 3,967,440 112.00%

323,611,697 356,184,844 110.07%

BNY Mellon Global Real Return Fund (GBP) Societe Generale Equity Indices (TriParty) 744,511 819,476 110.07%

744,511 819,476 110.07%

BNY Mellon Global Real Return Fund (USD) HSBC Bank PLC Equity Indices 29,888,668 32,879,447 110.01% JP Morgan Securities, Plc Equity Indices (TriParty) 53,920 59,710 110.74% Societe Generale Equity Indices (TriParty) 6,110,695 6,725,981 110.07% Societe Generale Equity/FTSE/S&P/NIKKEI 8,121,033 8,933,943 110.01%

44,174,316 48,599,081 110.02%

BNY Mellon Japan All Cap Equity Fund Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 190,638 213,289 111.88% Deutsche Bank, AG Equity Indices (TriParty) 216,417 238,862 110.37% Deutsche Bank, AG G10 Debt (TriParty) 25,256 26,542 105.09% Merrill Lynch International G10 Debt (TriParty) 124,893 132,238 105.88% UBS AG Equity Indices (TriParty) 473,354 530,154 112.00%

1,030,558 1,141,085 110.72%

BNY Mellon Japan Small Cap Equity Focus Fund BNP Paribas Arbitrage G10 Debt (TriParty) 93,097 97,889 105.15% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 868,370 971,549 111.88% Deutsche Bank, AG Equity Indices (TriParty) 377,697 416,870 110.37% JP Morgan Securities, Plc Equity Indices (TriParty) 55,007 60,722 110.39% Merrill Lynch International G10 Debt (TriParty) 24,581 26,027 105.88% Morgan Stanley & Co. International PLC G10 Debt (TriParty) 123,676 131,032 105.95% Nomura International PLC Equity Indices (TriParty) 408,302 455,181 111.48% UBS AG Equity Indices (TriParty) 378,414 423,821 112.00%

2,329,144 2,583,091 110.90%

264 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

14. EFFICIENT PORTFOLIO MANAGEMENT contd.

Aggregate value Aggregate value Value of collateral of securities of collateral as % of securities on loan at held at on loan at Fund Counterparty Collateral Type 31 December 2014 31 December 2014 31 December 2014

USD USD % BNY Mellon Long-Term Global Equity Fund BNP Paribas Arbitrage Equity Indices (TriParty) 1,144,750 1,259,364 110.01% Credit Suisse Securities (Europe) Limited Equity Indices (TriParty) 3,200,427 3,580,699 111.88% Deutsche Bank, AG Equity Indices (TriParty) 20,773,983 22,928,538 110.37% Merrill Lynch International Equity Indices (TriParty) 4,493,450 4,943,648 110.02% Morgan Stanley & Co. International PLC G10 Debt (TriParty) 314,458 333,161 105.95% Nomura International PLC Equity Indices (TriParty) 493,218 549,848 111.48% Societe Generale Equity Indices (TriParty) 9,531,508 10,491,236 110.07% UBS AG Equity Indices (TriParty) 35,727,776 40,014,894 112.00%

75,679,570 84,101,388 111.13%

BNY Mellon Pan European Equity Fund JP Morgan Securities, Plc Equity Indices (TriParty) 851,931 940,462 110.39% Merrill Lynch International G10 Debt (TriParty) 245,180 259,599 105.88%

1,097,111 1,200,061 109.38%

BNY Mellon S&P 500® Index Tracker Barclays Capital Inc. U.S. Government Debt (Bilateral) 194,558 198,475 102.01% Deutsche Bank Securities Inc. U.S. Government Debt (Bilateral) 48,728 49,719 102.03% Deutsche Bank, AG Equity Indices (TriParty) 594,715 656,395 110.37% Goldman Sachs International Equity Indices (TriParty) 73,460 82,003 111.63% Goldman Sachs & Co. U.S. Government Debt (Bilateral) 19,452 19,844 102.01% HSBC Bank PLC Equity Indices (TriParty) 406,070 448,280 110.39% JP Morgan Clearing Corp U.S. Government Debt (Bilateral) 178,188 181,756 102.00% Merrill Lynch International G10 Debt (TriParty) 302,387 320,170 105.88% Scotia Capital (USA) Inc U.S. Government Debt (Bilateral) 45,175 46,141 102.14% Societe Generale Equity Indices (TriParty) 879,569 968,133 110.07% UBS AG Equity Indices (TriParty) 1,032,522 1,156,418 112.00% UBS Securities LLC U.S. Government Debt (Bilateral) 76,780 78,343 102.04%

3,851,604 4,205,677 109.19%

BNY Mellon Small Cap Euroland Fund Barclays Capital Securities Ltd. G10 Debt (TriParty) 7,503 8,138 108.47% Deutsche Bank, AG Equity Indices (TriParty) 399,893 441,367 110.37% Merrill Lynch International G10 Debt (TriParty) 141,018 149,311 105.88% Nomura International PLC Equity Indices (TriParty) 5,882 6,558 111.48% UBS AG Equity Indices (TriParty) 1,034,860 1,158,585 111.96%

1,589,156 1,763,959 111.00%

BNY Mellon U.S. Dynamic Value Fund Societe Generale Equity Indices (TriParty) 913,084 1,005,023 110.07%

913,084 1,005,023 110.07%

265 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE

The net asset value of each class of redeemable participating shares 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 year end.

The published net asset value of each class of redeemable participating shares is as follows:

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Absolute Insight Fund Total net assets EUR 224,417,441 152,841,576 – Net asset value per: Class E (Acc) EUR 1.0114 1.0063 – Class E (Acc) (Hedged) CHF 1.0001 1.0038 – Class E (Acc) (Hedged) USD 1.0155 1.0072 – Class E (Inc) EUR 1.0095 1.0045 – Sterling E (Acc) (Hedged) GBP 1.0191 1.0077 – Class R (Acc) EUR 0.9959 1.0015 – Class R (Acc) (Hedged) USD 1.0004 1.0020 – Class R (Inc) EUR 0.9961 1.0012 – Class S (Acc) EUR 1.0030 1.0036 – Class T (Acc) (Hedged) USD 1.0062 1.0036 – Class U (Acc) EUR 1.0049 1.0046 – Class U (Acc) (Hedged)^ CHF 0.9769 – – Class U (Acc) (Hedged)^ USD 0.9868 – – Class U (Inc)^ EUR 0.9833 – – Sterling U (Acc) (Hedged) GBP 1.0128 1.0065 –

BNY Mellon Absolute Return Bond Fund Total net assets EUR 2,156,159,324 1,184,511,961 409,557,249 Net asset value per: Class C EUR 103.6759 102.6163 101.9020 Class C (Inc) EUR 102.3427 101.5342 101.6215 Class I (Hedged) USD 100.4807 99.0360 – Sterling I (Acc) (Hedged) GBP 102.8416 101.1454 100.1020 Class R EUR 103.8774 103.2877 103.0360 Class R (Hedged) USD 102.6019 101.6116 101.3426 Class R (Inc) EUR 103.6250 103.0539 103.0179 Class S EUR 108.6252 107.4987 106.6877 Class S (Inc) EUR 102.8894 102.1349 102.2271 Class T (Hedged) USD 109.9164 108.3046 107.4354 Sterling T (Acc) (Hedged) GBP 110.8220 108.9644 107.7380 Sterling W (Acc) (Hedged)^ GBP 100.5530 – – Sterling W (Inc) (Hedged)^ GBP 100.4839 – – Class X EUR 112.4932 110.6028 109.0848 Class X (Hedged)^ USD – 103.2370 101.7525 Sterling X (Acc) (Hedged) GBP 114.4492 111.8119 109.9012

BNY Mellon Absolute Return Equity Fund Total net assets GBP 1,877,967,094 1,293,204,376 859,520,991 Net asset value per: Class R (Hedged) CHF 0.9931 0.9804 – Class R (Hedged) EUR 1.1548 1.1310 1.1239 Class R (Hedged) USD 1.0526 1.0273 1.0208 Class R (Inc) (Hedged) EUR 1.0399 1.0194 1.0129 Sterling R (Acc) GBP 1.1790 1.1467 1.1345 Sterling S (Acc) GBP 1.2086 1.1681 1.1501 Class T (Hedged) EUR 1.1810 1.1516 1.1393 Class T (Hedged) USD 1.0658 1.0359 1.0246

266 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Absolute Return Equity Fund contd. Net asset value per: Class U (Hedged) EUR 1.0444 1.0191 1.0062 Class U (Hedged) USD 1.0484 1.0174 1.0040 Sterling U (Acc) GBP 1.2117 1.1716 1.1526 Sterling X (Acc) GBP 1.3042 1.2452 1.2103

BNY Mellon Asian Bond Fund Total net assets USD 40,960,870 32,463,471 – Net asset value per: Class A (Acc) USD 1.0252 1.0077 – Class A (Inc) USD 1.0007 1.0040 – Class C (Acc) USD 1.0321 1.0097 – Class C (Inc) USD 1.0020 1.0053 – Class E (Inc)^ USD 0.9745 – – Class H (Acc) (Hedged) EUR 1.0201 1.0066 – Class H (Inc) (Hedged) EUR 0.9955 1.0029 – Class I (Acc) (Hedged) EUR 1.0275 1.0087 – Class I (Inc) (Hedged) EUR 0.9967 1.0042 – Class W (Acc) USD 1.0373 1.0113 – Class W (Acc) (Hedged) EUR 1.0327 1.0102 – Class W (Inc) USD 1.0028 1.0062 – Class W (Inc) (Hedged) EUR 0.9975 1.0051 – Class X (Acc) USD 1.0479 1.0144 –

BNY Mellon Asian Equity Fund Total net assets USD 92,509,650 161,645,935 244,100,755 Net asset value per: Class A USD 2.7215 3.0670 3.1314 Class A EUR 2.2013 2.2230 2.0030 Class B USD 2.8845 3.2344 3.2843 Class B EUR 1.1293 1.1347 1.0172 Class C USD 3.2082 3.5796 3.6168 Class C EUR 2.1950 2.1946 1.9578 Sterling C (Inc) GBP 1.9617 2.1066 2.0298 Class M^ USD – 178.62 182.29 Class W USD 0.8883 0.9886 0.9966 Sterling W (Inc) GBP 0.9396 1.0089 0.9722 Class X USD – – 3.3959

BNY Mellon Asian Income Fund Total net assets GBP 21,002,259 19,898,582 – Net asset value per: Class A (Acc) EUR 1.0056 1.0496 – Class A (Acc) USD 0.8081 0.9394 – Class A (Inc) EUR 0.9811 1.0489 – Class A (Inc) USD 0.7812 0.9296 – Sterling A (Acc) GBP 0.9372 1.0305 – Sterling A (Inc) GBP 0.9050 1.0189 – Class B (Acc) USD 0.8022 0.9279 – Class C (Acc) USD 0.8442 0.9717 – Sterling C (Acc) GBP 0.9035 0.9839 – Class W (Inc) EUR 1.0270 1.0942 – Class W (Inc) USD 0.8112 0.9637 – Sterling W (Inc) GBP 0.9300 1.0422 –

267 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Brazil Equity Fund Total net assets USD 56,888,143 113,896,415 223,626,056 Net asset value per: Class A USD 0.5300 0.8468 0.9781 Class A EUR 0.6777 0.9680 0.9871 Class B USD 0.4443 0.7062 0.8116 Class B EUR 0.5785 0.8223 0.8344 Sterling B (Acc) GBP 0.4489 0.6740 0.7315 Class C USD 0.5762 0.9113 1.0421 Class C EUR 0.7370 1.0422 1.0522 Sterling C (Inc) GBP 0.5555 0.8555 0.9500 Class H (Hedged) EUR 0.5232 0.8483 0.9788 Class I (Hedged) EUR 0.5376 0.8601 0.9839 Class M^ USD – 139.85 161.53 Class W (Acc) USD 0.4942 0.7798 0.8895 Class W (Acc) EUR 0.5948 0.8391 0.8450 Sterling W (Acc) GBP 0.5406 0.8056 0.8678

BNY Mellon Crossover Credit Fund Total net assets EUR 233,567,042 172,572,315 121,003,764 Net asset value per: Class A EUR 1.0428 1.0683 0.9992 Class A^ USD – 0.9235 – Class A (Inc) EUR 0.9930 1.0371 – Class A (Inc)^ USD – 0.9091 – Class C EUR 1.0537 1.0743 0.9996 Class C^ USD 0.9308 – – Class C (Inc) EUR 1.0123 1.0559 0.9996 Sterling C (Inc)^ GBP – 0.9843 – Class I (Acc) (Hedged)^ USD 0.9577 – – Class X EUR 1.0656 1.0805 1.0000

BNY Mellon Dynamic Total Return Fund* Total net assets USD 11,519,058 – – Net asset value per: Class A (Acc)^ USD 0.9334 – – Class A (Acc)^ EUR 0.9832 – – Class A (Inc)^ EUR 0.9832 – – Class C (Acc)^ USD 0.9393 – – Class C (Inc)^ USD 0.9393 – – Class H (Acc) (Hedged)^ EUR 0.9397 – – Class I (Acc) (Hedged)^ EUR 0.9454 – – Class W (Acc)^ USD 0.9407 – – Class W (Acc) (Hedged)^ EUR 0.9468 – – Class W (Inc)^ USD 0.9408 – – Class W (Inc) (Hedged)^ EUR 0.9468 – – Sterling W (Acc)^ GBP 1.0041 – – Sterling W (Acc) (Hedged)^ GBP 0.9449 – – Sterling W (Inc)^ GBP 1.0042 – – Sterling W (Inc) (Hedged)^ GBP 0.9449 – – Class X (Acc)^ USD 0.9455 – –

268 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Emerging Markets Corporate Debt Fund Total net assets USD 108,707,950 89,815,077 81,470,313 Net asset value per: Class A USD 106.0477 106.3978 102.9282 Class A EUR 123.6597 111.1761 94.9155 Class B USD 115.8427 115.9313 111.8397 Class C USD 116.5712 116.1929 111.6265 Class C EUR 135.2970 120.8506 102.5065 Class H (Hedged) EUR 107.0378 107.7056 104.2146 Class I (Hedged) EUR 108.7738 108.7594 104.5612 Class W USD 117.3775 116.7629 111.9732 Class W EUR 142.7798 127.2598 107.7164 Sterling W (Acc) (Hedged) GBP 113.0298 112.2026 107.3103 Class X USD 124.2625 122.7895 116.9264

BNY Mellon Emerging Markets Debt Fund Total net assets USD 71,167,680 309,091,452 386,581,900 Net asset value per: Class A USD 1.8250 1.8820 1.8409 Class A EUR 1.6794 1.5554 1.3383 Class C USD 1.9250 1.9752 1.9225 Class C EUR 1.7666 1.6280 1.3937 Class C (Inc) USD 0.7719 0.8825 0.8969 Class H (Acc) (Hedged) EUR 1.0068 1.0490 1.0246 Class I (Acc) (Hedged) EUR 1.0186 1.0537 1.0265 Class W USD 0.9613 0.9837 – Class X (Inc)^ USD – 1.3118 1.3335

BNY Mellon Emerging Markets Debt Local Currency Fund Total net assets USD 1,324,481,237 2,137,882,176 3,289,536,714 Net asset value per: Class A USD 0.9272 1.1125 1.2194 Class A EUR 1.0621 1.1444 1.1034 Class A (Inc) USD 0.5896 0.7404 0.8533 Class A (Inc) EUR 0.8828 0.9956 1.0093 Sterling A (Acc) GBP 0.8213 0.9321 0.9617 Sterling A (Inc) GBP 0.6478 0.7694 0.8346 Class B USD 0.7175 0.8585 0.9389 Class B EUR 0.8810 0.9469 0.9109 Sterling B (Acc) GBP 0.8398 0.9507 0.9784 Sterling B (Inc) GBP 0.6768 0.8039 0.8721 Class C USD 1.2072 1.4412 1.5719 Class C EUR 1.1111 1.1913 1.1429 Class C (Inc) USD 0.6331 0.7952 0.9165 Class C (Inc) EUR 0.8306 0.9369 0.9499 Sterling C (Acc) GBP 1.2130 1.3697 1.4061 Sterling C (Inc) GBP 0.8517 1.0119 1.0978 Class H (Hedged) EUR 0.8731 1.0583 1.1645 Class I (Hedged) EUR 0.8731 1.0537 1.1525 Class I (Inc) (Hedged) EUR 0.6050 0.7598 0.8824 Sterling J (Acc) (Hedged) GBP – – 0.9681 Sterling J (Inc) (Hedged) GBP 0.5814 0.7341 0.8449 Class M^ USD – 136.92 150.08 Class M (Hedged)^ EUR – 93.80 102.75 Sterling M (Acc) (Hedged)^ GBP – 94.03 103.18

269 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Emerging Markets Debt Local Currency Fund contd. Class W USD 0.7122 0.8473 0.9209 Class W EUR 0.8475 0.9054 0.8656 Class W (Hedged) EUR 0.7542 0.9039 0.9899 Class W (Inc) USD 0.6118 0.7686 0.8860 Class W (Inc) EUR 0.7281 0.8213 0.8326 Sterling W (Inc) GBP 0.6650 0.7901 0.8572 Sterling W (Inc) (Hedged) GBP 0.6470 0.8139 0.9333 Class X USD 1.3319 1.5740 1.6991 Class X EUR – – 1.1600 Class X (Inc)^ USD – 0.9841 1.1345 Class X (Inc) CHF 0.6480 0.8083 0.8361 Class X (Inc) EUR – – 0.8446

BNY Mellon Emerging Markets Debt Opportunistic Fund Total net assets USD 87,983,556 16,668,797 17,080,179 Net asset value per: Class A USD 0.8351 0.9254 0.9762 Class A EUR 1.0608 1.0557 0.9795 Class C USD 0.8650 0.9536 1.0008 Class C EUR 1.0728 1.0623 0.9808 Class W EUR 1.0813 1.0670 0.9816 Class X USD 0.8856 0.9663 1.0036 Class X (Inc)^ USD 0.9740 – –

BNY Mellon Emerging Markets Equity Fund* Total net assets USD – 14,312,715 18,074,683 Net asset value per: Class A^ USD – 1.5431 1.6094 Class A^ EUR – 1.6818 1.5482 Class C^ USD – 1.7291 1.7851 Class C^ EUR – 1.9445 1.7726 Class X (Inc)^ USD – 1.6737 1.7440

BNY Mellon Emerging Markets Equity Core Fund* Total net assets USD – 161,186,349 168,405,753 Net asset value per: Class A^ EUR – 0.9783 0.9229 Class C^ USD – 0.9309 0.9847 Class C^ EUR – 0.9960 0.9303 Class S^ USD – 1.0698 1.1225 Class W^ EUR – 1.1151 1.0388

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* Total net assets USD – 179,211,791 279,940,933 Net asset value per: Class C^ USD – 0.8313 0.9125 Class C^ EUR – 1.0350 0.9989 Class X^ USD – 0.8632 0.9376

BNY Mellon Euroland Bond Fund Total net assets EUR 2,753,951,220 3,136,435,340 2,192,260,104 Net asset value per: Class A EUR 1.8318 1.8544 1.6756 Class A (Inc) EUR 1.1675 1.1951 1.1001 Class B EUR 1.2734 1.2859 1.1590 Class B (Inc) EUR 1.1740 1.2018 1.1063

270 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Euroland Bond Fund contd. Class C EUR 1.9473 1.9616 1.7636 Class C (Inc) EUR 1.2753 1.3056 1.2017 Class H (Acc) (Hedged)^ USD 0.9845 – – Class H (Hedged) CHF 1.1942 1.2203 1.1058 Class I (Acc) (Hedged) USD 0.9903 1.0032 – Class I (Hedged) CHF 1.2371 1.2585 1.1355 Class S EUR 1.0826 1.0895 – Class Z (Acc)^ EUR 0.9676 – – Class Z (Acc) (Hedged)^ CHF 0.9445 – – Class Z (Acc) (Hedged)^ USD 0.9542 – –

BNY Mellon European Credit Fund Total net assets EUR 50,753,263 105,847,788 76,722,635 Net asset value per: Class A EUR 111.9740 112.0957 104.0586 Class C EUR 113.5695 113.1286 104.5167 Class C (Inc) EUR 107.9592 109.5960 103.3138 Class I (Hedged)^ USD 98.4456 – – Class W EUR – – 104.5848 Class W (Inc) EUR – – 103.3323 Class X EUR 115.3858 114.3078 105.0271 Class X (Inc) EUR 108.1038 109.7437 103.4566

BNY Mellon Evolution Global Alpha Fund** Total net assets EUR – – 8,929,333 Net asset value per: Class A EUR – – 86.528 Class A USD – – 119.354 Class C EUR – – 98.288 Class D EUR – – 92.922 Class H (Hedged) USD – – 85.636 Sterling H (Acc) (Hedged) GBP – – 88.396 Sterling I (Acc) (Hedged) GBP – – 93.103 Class P EUR – – 93.276 Class R EUR – – 110.022 Class R USD – – 109.478 Class S EUR – – 113.983

BNY Mellon Global Bond Fund Total net assets USD 309,274,826 559,453,129 634,075,040 Net asset value per: Class A USD 2.0594 2.1629 2.1673 Class A EUR 1.6868 1.5875 1.4044 Class B USD 2.0957 2.1977 2.1988 Class C USD 2.1880 2.2866 2.2798 Class C EUR 1.8033 1.6887 1.4865 Class C (Inc) USD 0.8834 0.9348 0.9450 Sterling C (Inc) GBP 1.1921 1.1981 1.1444 Class H (Hedged) EUR 1.2056 1.2775 1.2835 Class I (Hedged) EUR 1.2452 1.3117 1.3105 Class M^ USD – 126.20 126.46 Class X USD 2.2564 2.3458 2.3263 Class X (Hedged)^ JPY – 205.6456 192.7047

271 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Global Dynamic Bond Fund Total net assets USD 263,712,709 264,568,682 74,811,489 Net asset value per: Class A USD 1.1228 1.1383 1.1133 Class A EUR 1.1997 1.0899 0.9412 Class A (Inc) USD 0.9901 1.0154 1.0122 Class C USD 1.1715 1.1817 1.1501 Class H (Hedged) EUR 1.0047 1.0229 1.0010 Class H (Inc) (Hedged) EUR 0.9604 0.9895 0.9907 Class I (Hedged) EUR 1.0218 1.0349 1.0079 Class I (Inc) (Hedged) EUR 0.9632 0.9934 0.9922 Class W USD 0.9957 1.0018 – Class W (Hedged) EUR 0.9939 1.0044 – Sterling W (Acc) (Hedged) GBP 1.0022 1.0052 –

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) Total net assets USD 68,936,938 29,078,381 29,860,605 Net asset value per: Class A USD 0.7408 0.8533 0.9068 Class A EUR 0.9347 0.9647 0.9051 Class A (Inc) USD 0.6650 0.7894 0.8795 Class A (Inc) EUR 0.8367 0.8901 0.8754 Class B (Inc) USD 0.7305 0.8629 0.9566 Class B (Inc) EUR 0.8529 0.9028 0.8837 Sterling B (Inc) GBP 0.7842 0.8793 0.9208 Class C USD 0.8390 0.9565 1.0063 Class C (Acc)^ USD 0.9256 – – Class C (Inc) USD 0.7422 0.8723 0.9623 Sterling C (Inc) GBP 0.7968 0.8890 0.9261 Class H (Hedged) EUR 0.7550 0.8699 0.9270 Class H (Inc) (Hedged) EUR 0.6772 0.8089 0.9040 Class I (Hedged) EUR 0.7772 0.8853 0.9338 Class I (Inc) (Hedged) EUR 0.6989 0.8227 0.9108 Class W (Acc)^ USD 1.0680 – – Class W (Inc) USD 0.7481 0.8769 0.9648 Class W (Inc) EUR 0.8620 0.9092 0.8885 Sterling W (Inc) GBP 0.8034 0.8937 0.9287

BNY Mellon Global Emerging Markets Equity Value Fund Total net assets USD 4,126,148 10,943,177 14,598,432 Net asset value per: Class A USD 2.4593 3.0417 3.1613 Class A EUR 2.2379 2.4804 2.2761 Class B USD 0.7460 0.9179 0.9492 Class B EUR 0.9693 1.0689 0.9760 Sterling B (Acc) GBP 0.7073 0.8265 0.8072 Class C USD 2.7952 3.4227 3.5219 Class C EUR 2.3896 2.6223 2.3823

272 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Global Equity Fund Total net assets USD 255,410,733 239,095,160 348,434,457 Net asset value per: Class A USD 1.9327 1.8938 1.8314 Class A EUR 1.6007 1.4056 1.2002 Class B USD 2.0409 1.9898 1.9147 Class B EUR 1.8564 1.6219 1.3780 Class C USD 2.1729 2.1079 2.0182 Class C EUR 1.7769 1.5448 1.3058 Class I (Hedged) EUR 1.1114 1.0757 1.0517 Class M^ USD – 173.25 167.58 Class X USD – – 2.0828

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) Total net assets USD 469,197,968 337,512,229 354,128,847 Net asset value per: Class A USD 1.3065 1.2721 1.2573 Class A EUR 1.7812 1.5541 1.3563 Class A (Inc) USD 1.1082 1.1151 1.1407 Sterling A (Acc)^ GBP 1.0545 – – Sterling A (Inc)^ GBP 1.0475 – – Class B USD 1.5580 1.5094 1.4844 Class B EUR 1.7232 1.4960 1.2986 Class B (Inc) USD 1.3178 1.3192 1.3430 Class B (Inc) EUR 1.5706 1.4091 1.2655 Sterling B (Inc) GBP 1.3911 1.3223 1.2711 Class C USD 1.4370 1.3852 1.3555 Class C EUR 1.8265 1.5778 1.3631 Class C (Inc) USD 1.3466 1.3413 1.3585 Class C (Inc) EUR 1.5280 1.3639 1.2191 Sterling C (Inc) GBP 1.4192 1.3422 1.2846 Class H (Hedged) EUR 1.1317 1.1063 1.0955 Class H (Inc) (Hedged) EUR 1.0376 1.0479 1.0737 Class I (Hedged) EUR 1.1636 1.1255 1.1033 Class I (Inc) (Hedged) EUR 1.0606 1.0617 1.0792 Class M^ USD – 134.28 132.72 Class M^ EUR – 143.25 125.01 Class M (Inc)^ USD – 114.61 117.20 Sterling M (Acc)^ GBP – 135.32 126.32 Sterling M (Inc)^ GBP – 119.21 114.97 Class W USD 1.2500 1.2019 1.1732 Class W EUR 1.5007 1.2931 1.1144 Class W (Inc) USD 1.1312 1.1240 1.1356 Class W (Inc) EUR 1.3626 1.2132 1.0785 Sterling W (Acc) GBP 1.3593 1.2409 1.1441 Sterling W (Inc) GBP 1.2302 1.1606 1.1075 Class Z (Acc) USD 1.0437 1.0024 – Class Z (Acc) EUR 1.1952 1.0287 – Class Z (Inc) USD 1.0117 1.0024 – Class Z (Inc)^ EUR 1.0110 – – Sterling Z (Acc)^ GBP 1.0002 – – Sterling Z (Inc) GBP 1.0850 1.0207 –

273 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Global High Yield Bond Fund Total net assets USD 134,419,024 155,483,986 169,755,246 Net asset value per: Class A EUR 2.0159 1.8703 1.6158 Class C USD 1.0362 1.0702 1.0450 Class C EUR 2.0739 1.9186 1.6530 Class H (Hedged) EUR 1.0241 1.0630 1.0408 Class I (Hedged) EUR 1.0326 1.0690 1.0443 Class X^ USD 0.9629 – – Class X (Inc) USD 0.9218 1.0052 1.0349 Class X (Inc) (Hedged) EUR 0.9319 1.0179 1.0482

BNY Mellon Global Opportunistic Bond Fund Total net assets USD 217,468,477 110,727,531 6,181,740 Net asset value per: Class A USD 1.0530 1.1010 1.0805 Class C USD 1.0879 1.1307 1.1031 Class C (Inc)^ USD 0.9761 – – Class H (Hedged) EUR 1.0529 1.0993 1.0801 Class I (Hedged) EUR 1.0750 1.1264 1.0992 Sterling I (Acc) (Hedged) GBP 0.9652 1.0057 – Class X USD 1.1314 1.1677 1.1313 Class X (Inc)^ USD 0.9218 – –

BNY Mellon Global Opportunities Fund Total net assets USD 141,840,200 98,394,319 129,381,261 Net asset value per: Class A USD 2.3574 2.2464 2.1523 Class A EUR 1.9369 1.6540 1.3992 Class B USD 2.4939 2.3646 2.2542 Class B EUR 1.9144 1.6267 1.3692 Class C USD 2.6129 2.4652 2.3383 Class C EUR 2.1429 1.8116 1.5171 Class H (Hedged) EUR 1.2517 1.1915 1.1430 Class I (Hedged) EUR 1.2811 1.2088 1.1488 Class X EUR 2.3604 1.9754 1.6374

BNY Mellon Global Property Securities Fund Total net assets EUR 14,019,967 11,284,735 7,446,791 Net asset value per: Class A EUR 1.5715 1.4483 1.1361 Class A USD 1.0728 1.1032 0.9801 Class C EUR 1.6971 1.5484 1.2025 Class C USD 1.1584 1.1794 1.0374 Sterling I (Inc) (Hedged) GBP 2.4444 2.2454 1.7555 Sterling J (Acc) (Hedged) GBP 1.6571 1.5228 1.1848 Sterling J (Inc) (Hedged) GBP 1.6357 1.5044 1.1775

BNY Mellon Global Real Return Fund (EUR) Total net assets EUR 2,609,987,886 2,016,002,696 1,784,474,867 Net asset value per: Class A EUR 1.2388 1.2247 1.1734 Class A (Inc) EUR 1.0472 1.0452 1.0047 Class C EUR 1.2750 1.2543 1.1957 Class C (Inc) EUR 1.1048 1.1025 1.0701 Class W EUR 1.1528 1.1312 1.0757 Class X EUR 1.2331 1.2007 1.1329 Class Z (Acc)^ EUR 0.9664 – –

274 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Global Real Return Fund (GBP) Total net assets GBP 59,049,879 32,614,263 71,406,477 Net asset value per: Sterling B (Acc) GBP 1.0916 1.0902 1.0645 Sterling B (Inc) GBP 1.0465 1.0545 1.0413 Sterling C (Inc) GBP 1.0681 1.0764 1.0629 Sterling W (Acc) GBP 1.0892 1.0797 1.0464 Sterling W (Inc) GBP 1.0500 1.0581 1.0448 Sterling X (Acc) GBP 1.0644 1.0471 1.0068

BNY Mellon Global Real Return Fund (USD) Total net assets USD 506,138,241 423,216,326 292,390,225 Net asset value per: Class A USD 1.2885 1.2963 1.2744 Class C USD 1.3307 1.3321 1.3030 Class C (Inc) USD 1.1100 1.1259 1.1201 Class W (Acc) USD 1.0767 1.0752 1.0490 Class W (Inc) USD 1.0375 1.0524 1.0469 Class X USD 1.4238 1.4109 1.3660

BNY Mellon Japan All Cap Equity Fund Total net assets JPY 3,963,253,205 866,338,981 770,639,402 Net asset value per: Class C JPY 126.7942 109.3984 103.9352 Class C^ USD 1.0713 – – Class H (Hedged) EUR 1.2339 1.0750 1.0383 Class H (Hedged) USD 1.2253 1.0737 1.0382 Class I (Hedged) EUR 1.2589 1.0859 1.0388 Class I (Hedged) USD 1.2486 1.0833 1.0388 Class W JPY 127.4470 109.6916 103.9496 Sterling W (Acc) GBP 1.2270 1.0157 – Class X (Inc)^ JPY 105.7885 – –

BNY Mellon Japan Equity Value Fund** Total net assets JPY – – 391,452,721 Net asset value per: Class A JPY – – 7,023.166 Class A EUR – – 48.593 Class C JPY – – 7,536.999

BNY Mellon Japan Small Cap Equity Focus Fund Total net assets JPY 4,454,629,125 1,562,709,991 768,742,886 Net asset value per: Class C JPY 146.5065 122.9218 103.6636 Class C^ USD 1.0740 – – Class H (Hedged) EUR 1.4095 1.2080 1.0357 Class H (Hedged) USD 1.4164 1.2078 1.0357 Class I (Hedged) EUR 1.4583 1.2208 1.0362 Class I (Hedged) USD 1.4459 1.2201 1.0362 Class W JPY 147.2666 123.2472 103.6776 Sterling W (Acc) GBP 1.3796 1.1104 –

275 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Latin America Infrastructure Fund** Total net assets USD – – 2,800,830 Net asset value per: Class A USD – – 0.8037 Class A EUR – – 0.7406 Class B USD – – 0.8172 Class B EUR – – 0.7530 Class C EUR – – 0.7656

BNY Mellon Long-Term Global Equity Fund Total net assets EUR 1,449,584,755 1,510,817,278 1,217,865,314 Net asset value per: Class A EUR 1.8731 1.7081 1.4859 Class A USD 1.2828 1.3025 1.2881 Class A (Inc) EUR 1.2014 1.0956 – Sterling A (Acc) GBP 1.6184 1.5543 1.4468 Class B EUR 1.7190 1.5598 1.3500 Class B USD 1.3190 1.3326 1.3114 Sterling B (Inc) GBP 1.3588 1.2985 1.2040 Class C EUR 2.0226 1.8261 1.5726 Class C USD 1.3861 1.3934 1.3644 Class C (Inc) EUR 1.6672 1.5115 1.3101 Class M^ USD – 148.08 146.45 Class S EUR 2.0419 1.8367 1.5739 Class W EUR 1.4704 1.3241 1.1375 Class W USD 1.2319 1.2353 1.2065 Class W (Hedged) CHF 1.3962 1.2742 1.0981 Class W (Hedged) USD 1.3941 1.2618 1.0886 Class W (Inc) USD 1.2115 1.2244 1.2062 Sterling W (Acc) GBP 1.3416 1.2724 1.1696 Sterling W (Inc) GBP 1.3190 1.2610 1.1695 Class X EUR 1.8326 1.6378 1.3960 Class X^ USD – 1.3030 1.2626 Sterling X GBP 1.1553 1.0874 –

BNY Mellon Pan European Equity Fund Total net assets EUR 49,183,300 20,050,409 19,977,260 Net asset value per: Class A EUR 1.4970 1.3496 1.3139 Class A USD 1.8019 1.8127 1.9992 Class B EUR 1.5714 1.4095 1.3654 Class C EUR 1.6223 1.4479 1.3957 Class C USD 2.4663 2.4564 2.6816

BNY Mellon S&P 500® Index Tracker Total net assets USD 76,861,012 95,261,758 150,117,263 Net asset value per: Class A USD 1.8391 1.8498 1.6560 Class A EUR 1.6915 1.5280 1.2032 Class C USD 2.0330 2.0305 1.8051 Class C EUR 1.7736 1.5910 1.2441

276 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

15. NET ASSET VALUE contd.

Fund Share Class Currency 31 December 2015 31 December 2014 31 December 2013

BNY Mellon Small Cap Euroland Fund Total net assets EUR 61,991,179 9,848,311 10,554,978 Net asset value per: Class A EUR 4.2824 3.4228 3.2572 Class A USD 1.0000 0.8918 – Class B EUR 2.1231 1.6885 1.5987 Class C EUR 4.7798 3.7824 3.5637 Class C^ USD 1.0497 – – Class I (Acc) (Hedged)^ USD 1.0035 – –

BNY Mellon Targeted Return Bond Fund* Total net assets USD 93,725,700 – – Net asset value per: Class A (Acc)^ USD 0.9756 – – Sterling W (Acc) (Hedged)^ GBP 0.9757 – –

BNY Mellon U.S. Dynamic Value Fund Total net assets USD 41,549,699 72,404,005 89,993,979 Net asset value per: Class A USD 2.2676 2.3651 2.1735 Class A EUR 2.0538 1.9238 1.5551 Class B USD 1.6295 1.6910 1.5463 Class B EUR 2.1242 1.9799 1.5925 Class C USD 2.4991 2.5806 2.3478 Class C EUR 2.4290 2.2526 1.8028 Class X (Inc)^ USD – 1.6928 1.5432

BNY Mellon U.S. Equity Fund** Total net assets USD – – 9,412,444 Net asset value per: Class A USD – – 1.3231 Class A EUR – – 0.8809 Class B USD – – 1.3384 Class B EUR – – 1.3975 Class C USD – – 1.5021 Class C EUR – – 0.9298 Sterling C (Inc) GBP – – 1.2656 Class H (Hedged) EUR – – 0.8307 Class I (Hedged) EUR – – 1.2778 Sterling I (Inc) (Hedged) GBP – – 1.1528

BNY Mellon US Opportunities Fund Total net assets USD 51,224,603 11,359,497 – Net asset value per: Class A^ USD 1.0183 – – Class A EUR 1.2932 1.1568 – Class A (Inc) EUR 1.2720 1.1378 – Class C USD 1.0516 1.0370 – Class C EUR 1.3135 1.1631 – Class W EUR 1.3185 1.1647 –

* Please refer to Note 20 of the fi nancial statements. ** This Fund closed during 2014, hence only one year of NAV information. ^ This share class was launched or closed during the reporting year.

277 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

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 fi nancial 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’ fi nancial 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).

The Funds may use FDI for effi cient 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”) to calculate its global exposure. VaR for a pre-defi ned time horizon measures the threshold loss in value of a portfolio of fi nancial instruments that may be exceeded for a given probability (either Absolute[1] or Relative[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 of fi nancial variables.

For a more detailed discussion, the RMP for each of the Funds is available on request.

[1] This is defi ned as the VaR of the Fund capped as a percentage of NAV. [2] This is defi ned 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 fi nancial assets and liabilities. As a consequence, the Company is exposed to market price risk, interest rate risk, currency risk, credit risk and liquidity risk arising from the fi nancial instruments it holds. The Company’s overall risk management programme focuses on the unpredictability of fi nancial markets and seeks to minimise potential adverse effects on the Company’s fi nancial 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 fi nancial risks: market risk (including market price risk, interest rate risk and currency risk), credit risk and liquidity risk. Each type of risk is discussed in turn and quantitative analyses are provided when relevant.

MARKET RISK Market risk is the risk that the fair value of a fi nancial instrument will fl uctuate 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 fi nancial instrument will fl uctuate because of changes in market prices (other than those arising from interest rate risk and currency risk), whether those changes are caused by factors specifi c to individual fi nancial instruments or its issuer, or other factors affecting similar fi nancial instruments traded in the market.

Many of the Funds trade in fi nancial instruments, taking positions in traded securities in the equity and equity derivative markets. The investment of the Fund is subject to market fl uctuations and there can be no assurances that investments will appreciate in value, therefore presenting a risk of loss of capital.

278 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd. The Investment Managers manage market price risk through building diversifi ed 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 Portfolios 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 a quarterly basis by the Directors.

The following table provides a comparative analysis of exposures to market price risk for the closed Funds as at 31 December 2014:

BNY Mellon Emerging Markets Equity Fund* 2014 Analysis by Geographic Location Total net assets % Brazil 8.77 Chile 1.30 China 22.10 Colombia 0.78 Czech Republic 0.34 Hungary 0.53 India 7.96 Indonesia 2.60 Malaysia 3.21 Mexico 3.32 Philippines 0.56 Poland 1.40 Qatar 0.47 Russia 4.53 South Africa 7.82 South Korea 14.30 Taiwan 12.38 Thailand 2.64 Turkey 2.11 United Arab Emirates 0.47

97.59

Other current assets 2.41

Total net assets 100.00

279 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd.

BNY Mellon Emerging Markets Equity Core Fund* 2014 Analysis by Geographic Location Total net assets % Brazil 11.47 Chile 0.50 China 24.16 Colombia 0.98 Greece 0.75 Hong Kong 0.84 India 12.43 Indonesia 1.63 Malaysia 0.38 Mexico 1.01 Peru 0.98 Philippines 2.03 Poland 0.53 Russia 3.12 South Africa 5.05 South Korea 13.49 Taiwan 9.40 Thailand 4.39 Turkey 1.97 United Arab Emirates 0.53 United States of America 2.69

98.33

Other current assets 1.67

Total net assets 100.00

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* 2014 Analysis by Geographic Location Total net assets % Brazil 15.52 Colombia 7.53 Indonesia 0.47 Malaysia 7.21 Mexico 14.05 Philippines 0.44 Poland 13.97 Romania 0.98 Russia 6.05 South Africa 14.37 Thailand 2.99 Turkey 7.54

91.12

Derivatives fi nancial assets, net 0.65 Other current assets 8.23

Total net assets 100.00

* Please refer to note 20 of the fi nancial statements. 280 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd. The Company’s market risk strategy is driven by the Company’s investment risk and return objectives. The Board of Directors has instructed the Investment Managers to manage each of the risks in accordance with an established risk management system.

In calculating global exposure, the Company adopts a commitment approach in managing risks, unless otherwise stated in the Funds’ supplements to the prospectus. The commitment approach will be applied to all positions in FDI, including embedded derivatives, whether used as part of the Fund’s general investment policy, for purposes of risk reduction or for the purpose of effi cient portfolio management.

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 of market 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 signifi cantly and the table is meant for illustrative purposes only.

As at 31 December 2015 and 31 December 2014, 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 year is shown.

Increase/(decrease) in financial assets & liabilities at fair value Fund Benchmark Index Currency Volatility through profit and loss 2015 2014 2015 2014

BNY Mellon Asian Equity Fund MSCI All-Country Asia Pacifi c ex Japan USD 5.00% 5.00% 3,669,404 6,722,573 BNY Mellon Asian Income Fund FTSE All-World Asia Pacifi c ex Japan GBP 5.00% 5.00% 1,043,335^ 992,962 ^ BNY Mellon Brazil Equity Fund MSCI Brazil 10/40 USD 5.00% 5.00% 2,130,085 4,903,962 BNY Mellon Emerging Markets Equity Fund* MSCI Emerging Markets USD N/A 5.00% N/A 705,350 BNY Mellon Emerging Markets Equity Core Fund* MSCI Emerging Markets USD N/A 5.00% N/A 7,924,501^ BNY Mellon Global Emerging Markets Fund* MSCI Emerging Markets+ USD 5.00% 5.00% 1,144,592 1,373,163^ BNY Mellon Global Emerging Markets Equity Value Fund MSCI Emerging Markets USD 5.00% 5.00% 248,896 607,698 BNY Mellon Global Equity Fund MSCI All-Country World USD 5.00% 5.00% 11,357,566 9,645,996 BNY Mellon Global Equity Income Fund* FTSE World Index USD 5.00% 5.00% 18,856,601 12,884,475 BNY Mellon Global Opportunities Fund MSCI All-Country World+ USD 5.00% 5.00% 5,926,667 3,693,035 BNY Mellon Global Property Securities Fund FTSE EPRA/NAREIT Developed EUR 5.00% 5.00% 679,415 530,369 BNY Mellon Global Real Return Fund (EUR) 1 Month EURIBOR EUR 5.00% 5.00% 124,527,651 94,526,186 BNY Mellon Global Real Return Fund (GBP) 1 Month LIBOR GBP GBP 5.00% 5.00% 2,709,132 1,491,287^ BNY Mellon Global Real Return Fund (USD) 1 Month LIBOR USD USD 5.00% 5.00% 23,635,481 19,694,885 BNY Mellon Japan All Cap Equity Fund Tokyo Stock Price Index (TOPIX) JPY 5.00% 5.00% 194,490,658^ 42,661,721 ^ BNY Mellon Japan Small Cap Equity Focus Fund Russell Nomura Small Cap Index JPY 5.00% 5.00% 221,620,479^ 77,515,293 ^ BNY Mellon Long-Term Global Equity Fund MSCI World Index EUR 5.00% 5.00% 66,855,185 70,598,027 BNY Mellon Pan European Equity Fund FTSEurofi rst 300 EUR 5.00% 5.00% 2,164,446 797,417 BNY Mellon S&P 500® Index Tracker S&P 500 USD 5.00% 5.00% 3,864,181 4,725,447 BNY Mellon Small Cap Euroland Fund S&P EuroZone Small Cap EUR 5.00% 5.00% 3,024,777 446,134 BNY Mellon U.S. Dynamic Value Fund Russell 1000 Value USD 5.00% 5.00% 2,220,142 3,860,506 BNY Mellon US Opportunities Fund S&P 500 USD 5.00% 5.00% 2,550,414^ 566,254 ^ * Please refer to Note 20 of the fi nancial statements. ^ As the Fund is in existance for less than three years, a statistically signifi cant 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. + This Fund changed its Benchmark Index in the current year.

For the bond Funds, the likelihood of a decrease in net asset value as a consequence of a downward movement in market prices is defi ned as follows.

281 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd. As at 31 December 2015 and 31 December 2014, for bond Funds utilising the Investment Managers’ VaR risk model (VaR is 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 2015 and 31 December 2014 calculated at the 99th percentile confi dence level over the holding period listed below.

Confidence Holding VaR Regulatory VaR VaR Fund Level Period Type Limit 2015 2014

BNY Mellon Absolute Insight Fund 99% Five days Absolute 10.00% 0.64% 0.59% BNY Mellon Absolute Return Bond Fund 99% Five days Absolute 10.00% 0.78% 0.91% BNY Mellon Absolute Return Equity Fund 99% Five days Absolute 10.00% 1.05% 1.06% BNY Mellon Asian Bond Fund 99% Twenty days Relative 200.00% 105.43% 105.58% BNY Mellon Crossover Credit Fund 99% Ten days Relative 200.00% 131.66% 108.97% BNY Mellon Dynamic Total Return Fund* 99% Five days Absolute 10.00% 3.61% N/A BNY Mellon Emerging Markets Debt Fund 99% Twenty days Relative 200.00% 120.35% 104.53% BNY Mellon Emerging Markets Debt Local Currency Fund 99% Twenty days Relative 200.00% 103.95% 99.08% BNY Mellon Emerging Markets Debt Opportunistic Fund 99% Twenty days Relative 200.00% 108.00% 111.43% BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund*+ 99% Twenty days Relative 200.00% 3.01% 98.56% BNY Mellon Euroland Bond Fund 99% Twenty days Relative 200.00% 110.44% 102.24% BNY Mellon European Credit Fund 99% Five days Relative 200.00% 104.00% 107.00% BNY Mellon Global High Yield Bond Fund 99% One day Relative 200.00% 113.10% 97.00% BNY Mellon Global Opportunistic Bond Fund 99% Twenty days Absolute 20.00% 2.62% 1.73% BNY Mellon Targeted Return Bond Fund* 99% Twenty days Absolute 20.00% 2.78% N/A

* Please refer to Note 20 of the fi nancial statements. + The fi gures for 2015 relates to the period from 1 January 2015 to 16 June 2015 (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 table above and the prospectus. VaR is calculated on a daily basis using a one-tailed 99% confi dence level and pre-determined holding period on either an absolute (where the fi gure 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 justifi ed.

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 no relation to historical patterns; – the market price risk information is a relative estimate of risk rather than a precise and accurate number; – the market price information represents a hypothetical outcome and is not intended to be predictive; and – future market conditions could vary signifi cantly from those experienced in the past.

282 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd. The minimum, average and maximum utilisation of the Regulatory limit calculated during the year ended 31 December 2015 are as follows:

Fund Minimum utilisation Average utilisation Maximum utilisation

BNY Mellon Absolute Insight Fund 4.70% 6.52% 19.30% BNY Mellon Absolute Return Bond Fund 4.10% 8.33% 12.20% BNY Mellon Absolute Return Equity Fund 4.60% 12.57% 17.40% BNY Mellon Asian Bond Fund 45.61% 51.78% 63.37% BNY Mellon Crossover Credit Fund 46.43% 63.57% 97.69% BNY Mellon Dynamic Total Return Fund* 15.36% 24.57% 40.71% BNY Mellon Emerging Markets Debt Fund 38.58% 49.63% 61.72% BNY Mellon Emerging Markets Debt Local Currency Fund 43.94% 49.23% 52.74% BNY Mellon Emerging Markets Debt Opportunistic Fund 47.12% 51.76% 74.14% BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund*+ 1.51% 50.72% 55.40% BNY Mellon Euroland Bond Fund 50.34% 59.23% 70.43% BNY Mellon European Credit Fund 26.00% 51.22% 65.00% BNY Mellon Global High Yield Bond Fund 36.85% 47.26% 57.15% BNY Mellon Global Opportunistic Bond Fund 7.52% 10.53% 13.97% BNY Mellon Targeted Return Bond Fund* 12.56% 13.53% 17.41%

* Please refer to Note 20 of the fi nancial statements. + The fi gures for 2015 relates to the period from 1 January 2015 to 16 June 2015 (date of closure).

The minimum, average and maximum utilisation of the Regulatory limit calculated during the year ended 31 December 2014 were as follows:

Fund Minimum utilisation Average utilisation Maximum utilisation

BNY Mellon Absolute Insight Fund 4.30% 6.71% 9.00% BNY Mellon Absolute Return Bond Fund 1.80% 9.13% 29.90% BNY Mellon Absolute Return Equity Fund 5.20% 11.53% 20.60% BNY Mellon Asian Bond Fund 52.70% 56.74% 60.61% BNY Mellon Crossover Credit Fund 38.71% 64.01% 81.82% BNY Mellon Emerging Markets Debt Fund 48.71% 51.37% 56.25% BNY Mellon Emerging Markets Debt Local Currency Fund 48.65% 51.13% 53.47% BNY Mellon Emerging Markets Debt Opportunistic Fund 49.95% 53.56% 58.23% BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund 41.79% 51.22% 54.21% BNY Mellon Euroland Bond Fund 44.51% 49.22% 54.01% BNY Mellon European Credit Fund 14.00% 53.81% 64.00% BNY Mellon Evolution Global Alpha Fund+ 19.40% 26.20% 37.70% BNY Mellon Global High Yield Bond Fund 39.30% 44.04% 52.45% BNY Mellon Global Opportunistic Bond Fund 5.78% 9.43% 13.20%

+ The fi gures for 2014 relates to the period from 1 January 2014 to 14 March 2014 (date of closure).

283 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

MARKET PRICE RISK contd. 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 year ended 31 December 2015 and 31 December 2014 is as follows:

Average Level Average Level of Leverage of Leverage Fund 2015 2014

BNY Mellon Absolute Insight Fund 186.25% 209.29% BNY Mellon Absolute Return Bond Fund 129.26% 136.25% BNY Mellon Absolute Return Equity Fund 146.62% 124.05% BNY Mellon Asian Bond Fund 9.84% 7.01% BNY Mellon Crossover Credit Fund 5.49% 3.32% BNY Mellon Dynamic Total Return Fund* 330.64% N/A BNY Mellon Emerging Markets Debt Fund 2.93% 0.88% BNY Mellon Emerging Markets Debt Local Currency Fund 60.31% 44.60% BNY Mellon Emerging Markets Debt Opportunistic Fund 42.07% 37.93% BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund*+ 71.78% 36.46% BNY Mellon Euroland Bond Fund 156.72% 139.83% BNY Mellon European Credit Fund 70.76% 66.39% BNY Mellon Evolution Global Alpha Fund^ N/A 2,491.74% BNY Mellon Global High Yield Bond Fund 32.23% 29.86% BNY Mellon Global Opportunistic Bond Fund 660.02% 545.56% BNY Mellon Targeted Return Bond Fund* 293.00% N/A

* Please refer to Note 20 of the fi nancial statements. ^ This Fund closed in the prior year. + The fi gures for 2015 relates to the period from 1 January 2015 to 16 June 2015 (date of closure).

INTEREST RATE RISK Interest rate risk is defi ned as the risk that the fair value of a fi nancial instrument will fl uctuate because of changes in market interest rates. This risk arises on fi nancial instruments whose fair value is affected by changes in interest rates.

The majority of the Company’s fi nancial 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 signifi cant amounts of risk due to fl uctuations 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 2015. It includes the Company’s assets and liabilities at fair value, categorised by the earlier of contractual repricing or maturity dates:

284 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Absolute Insight Fund Less than Over Non interest Total 1 month 1-3 months 3 months bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 21,390,807 – – – 21,390,807 Debtors – – – 1,987,923 1,987,923 Margins on derivative contracts 3,019,513 – – – 3,019,513 Financial assets at fair value through profi t or loss 23,103,408 33,312,627 117,628,163 29,561,338 203,605,536

Total assets 47,513,728 33,312,627 117,628,163 31,549,261 230,003,779

Liabilities Bank overdraft 9,905 – – – 9,905 Creditors – amount falling due within one year – – – 882,020 882,020 Financial liabilities at fair value through profi t or loss 83,233 373,012 935,620 2,507,622 3,899,487 Margins on derivative contracts 794,926 – – – 794,926

Total liabilities 888,064 373,012 935,620 3,389,642 5,586,338

Total interest sensitivity gap 46,625,664 32,939,615 116,692,543

BNY Mellon Absolute Return Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 258,376,425 – – – 258,376,425 Debtors – – – 17,067,171 17,067,171 Margins on derivative contracts 34,656,816 – – – 34,656,816 Financial assets at fair value through profi t or loss 716,829,118 342,382,087 612,585,987 206,385,460 1,878,182,652

Total assets 1,009,862,359 342,382,087 612,585,987 223,452,631 2,188,283,064

Liabilities Creditors – amount falling due within one year – – – 4,885,497 4,885,497 Financial liabilities at fair value through profi t or loss 57,292 6,855,343 – 5,496,743 12,409,378 Margins on derivative contracts 14,828,865 – – – 14,828,865

Total liabilities 14,886,157 6,855,343 – 10,382,240 32,123,740

Total interest sensitivity gap 994,976,202 335,526,744 612,585,987

285 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Absolute Return Equity Fund Less than Over Non interest Total 1 month 1-3 months 3 months bearing 2015 GBP GBP GBP GBP GBP Assets Cash and bank balances 34,468,565 – – – 34,468,565 Debtors – – – 14,856,721 14,856,721 Margins on derivative contracts 17,630,270 – – – 17,630,270 Financial assets at fair value through profi t or loss 350,002,055 390,191,527 662,198,640 466,992,718 1,869,384,940

Total assets 402,100,890 390,191,527 662,198,640 481,849,439 1,936,340,496

Liabilities Bank overdraft 7,110 – – – 7,110 Creditors – amount falling due within one year – – – 15,768,284 15,768,284 Financial liabilities at fair value through profi t or loss 495,844 4,049,382 – 38,052,782 42,598,008

Total liabilities 502,954 4,049,382 – 53,821,066 58,373,402

Total interest sensitivity gap 401,597,936 386,142,145 662,198,640

BNY Mellon Asian Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 1,790,841 – – – 1,790,841 Debtors – – – 551,733 551,733 Financial assets at fair value through profi t or loss 110,153 16,015,250 22,572,807 – 38,698,210

Total assets 1,900,994 16,015,250 22,572,807 551,733 41,040,784

Liabilities Creditors – amount falling due within one year – – – 61,344 61,344 Financial liabilities at fair value through profi t or loss – – – 8,390 8,390 Margins on derivative contracts 10,180 – – – 10,180

Total liabilities 10,180 – – 69,734 79,914

Total interest sensitivity gap 1,890,814 16,015,250 22,572,807

286 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Crossover Credit Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 3,185,105 – – – 3,185,105 Debtors – – – 4,153,918 4,153,918 Margins on derivative contracts 43,168 – – – 43,168 Financial assets at fair value through profi t or loss – 102,515,207 123,573,988 252,030 226,341,225

Total assets 3,228,273 102,515,207 123,573,988 4,405,948 233,723,416

Liabilities Creditors – amount falling due within one year – – – 132,761 132,761 Financial liabilities at fair value through profi t or loss 23,613 – – – 23,613

Total liabilities 23,613 – – 132,761 156,374

Total interest sensitivity gap 3,204,660 102,515,207 123,573,988

BNY Mellon Dynamic Total Return Fund* Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 1,048,184 – – – 1,048,184 Debtors – – – 9,658 9,658 Margins on derivative contracts 63,075 – – – 63,075 Financial assets at fair value through profi t or loss 10,057,775 – – 1,114,367 11,172,142

Total assets 11,169,034 – – 1,124,025 12,293,059

Liabilities Creditors – amount falling due within one year – – – 570,088 570,088 Financial liabilities at fair value through profi t or loss 98,006 – – 23,379 121,385 Margins on derivative contracts 82,528 – – – 82,528

Total liabilities 180,534 – – 593,467 774,001

Total interest sensitivity gap 10,988,500 – –

287 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Emerging Markets Corporate Debt Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 1,581,246 – – – 1,581,246 Debtors – – – 2,152,260 2,152,260 Financial assets at fair value through profi t or loss 992,500 41,382,040 53,717,916 9,084,698 105,177,154

Total assets 2,573,746 41,382,040 53,717,916 11,236,958 108,910,660

Liabilities Creditors – amount falling due within one year – – – 39,252 39,252 Financial liabilities at fair value through profi t or loss – – – 163,458 163,458

Total liabilities – – – 202,710 202,710

Total interest sensitivity gap 2,573,746 41,382,040 53,717,916

BNY Mellon Emerging Markets Debt Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 3,240,685 – – – 3,240,685 Debtors – – – 2,295,446 2,295,446 Financial assets at fair value through profi t or loss – 11,092,146 55,066,305 420 66,158,871

Total assets 3,240,685 11,092,146 55,066,305 2,295,866 71,695,002

Liabilities Creditors – amount falling due within one year – – – 493,339 493,339 Financial liabilities at fair value through profi t or loss – – – 33,983 33,983

Total liabilities – – – 527,322 527,322

Total interest sensitivity gap 3,240,685 11,092,146 55,066,305

288 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Emerging Markets Debt Local Currency Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 33,192,014 – – – 33,192,014 Debtors – – – 32,795,053 32,795,053 Financial assets at fair value through profi t or loss 193,143,805 245,474,373 816,572,606 18,555,163 1,273,745,947

Total assets 226,335,819 245,474,373 816,572,606 51,350,216 1,339,733,014

Liabilities Creditors – amount falling due within one year – – – 6,985,235 6,985,235 Financial liabilities at fair value through profi t or loss – – – 8,266,542 8,266,542

Total liabilities – – – 15,251,777 15,251,777

Total interest sensitivity gap 226,335,819 245,474,373 816,572,606

BNY Mellon Emerging Markets Debt Opportunistic Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 3,682,284 – – – 3,682,284 Debtors – – – 1,750,750 1,750,750 Financial assets at fair value through profi t or loss 6,869,884 20,085,387 55,511,726 743,920 83,210,917

Total assets 10,552,168 20,085,387 55,511,726 2,494,670 88,643,951

Liabilities Creditors – amount falling due within one year – – – 277,342 277,342 Financial liabilities at fair value through profi t or loss – – – 383,053 383,053

Total liabilities – – – 660,395 660,395

Total interest sensitivity gap 10,552,168 20,085,387 55,511,726

289 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Euroland Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 65,325,942 – – – 65,325,942 Debtors – – – 28,414,112 28,414,112 Margins on derivative contracts 291,103 – – – 291,103 Financial assets at fair value through profi t or loss 183,038,332 1,016,152,892 1,466,288,787 36,646,878 2,702,126,889

Total assets 248,655,377 1,016,152,892 1,466,288,787 65,060,990 2,796,158,046

Liabilities Creditors – amount falling due within one year – – – 9,976,354 9,976,354 Financial liabilities at fair value through profi t or loss 733,381 8,686,785 1,878,152 14,532,591 25,830,909 Margins on derivative contracts 6,399,563 – – – 6,399,563

Total liabilities 7,132,944 8,686,785 1,878,152 24,508,945 42,206,826

Total interest sensitivity gap 241,522,433 1,007,466,107 1,464,410,635

BNY Mellon European Credit Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 310,874 – – – 310,874 Debtors – – – 619,467 619,467 Margins on derivative contracts 723,337 – – – 723,337 Financial assets at fair value through profi t or loss 928,901 18,253,514 27,262,517 3,391,049 49,835,981

Total assets 1,963,112 18,253,514 27,262,517 4,010,516 51,489,659

Liabilities Creditors – amount falling due within one year – – – 52,490 52,490 Financial liabilities at fair value through profi t or loss 35,745 153,092 – 5,378 194,215 Margins on derivative contracts 489,691 – – – 489,691

Total liabilities 525,436 153,092 – 57,868 736,396

Total interest sensitivity gap 1,437,676 18,100,422 27,262,517

290 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 8,320,652 – – – 8,320,652 Debtors – – – 7,601,648 7,601,648 Financial assets at fair value through profi t or loss 39,871,295 115,851,613 143,882,528 2,398,280 302,003,716

Total assets 48,191,947 115,851,613 143,882,528 9,999,928 317,926,016

Liabilities Bank overdraft 39,964 – – – 39,964 Creditors – amount falling due within one year – – – 7,138,886 7,138,886 Financial liabilities at fair value through profi t or loss – – – 1,472,340 1,472,340

Total liabilities 39,964 – – 8,611,226 8,651,190

Total interest sensitivity gap 48,151,983 115,851,613 143,882,528

BNY Mellon Global Dynamic Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 8,779,694 – – – 8,779,694 Debtors – – – 7,533,024 7,533,024 Margins on derivative contracts 75,690 – – – 75,690 Financial assets at fair value through profi t or loss 64,721,641 124,768,734 58,625,669 1,748,245 249,864,289

Total assets 73,577,025 124,768,734 58,625,669 9,281,269 266,252,697

Liabilities Bank overdraft 1,411 – – – 1,411 Creditors – amount falling due within one year – – – 239,115 239,115 Financial liabilities at fair value through profi t or loss – – – 2,299,462 2,299,462

Total liabilities 1,411 – – 2,538,577 2,539,988

Total interest sensitivity gap 73,575,614 124,768,734 58,625,669

291 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global High Yield Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 6,376,027 – – – 6,376,027 Debtors – – – 2,408,448 2,408,448 Financial assets at fair value through profi t or loss – 52,036,859 74,258,504 1,066,587 127,361,950

Total assets 6,376,027 52,036,859 74,258,504 3,475,035 136,146,425

Liabilities Creditors – amount falling due within one year – – – 1,155,186 1,155,186 Financial liabilities at fair value through profi t or loss – – – 572,215 572,215

Total liabilities – – – 1,727,401 1,727,401

Total interest sensitivity gap 6,376,027 52,036,859 74,258,504

BNY Mellon Global Opportunistic Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 7,338,345 – – – 7,338,345 Debtors – – – 2,258,467 2,258,467 Margins on derivative contracts 11,085 – – – 11,085 Financial assets at fair value through profi t or loss 10,142,403 69,689,866 133,913,418 736,689 214,482,376

Total assets 17,491,833 69,689,866 133,913,418 2,995,156 224,090,273

Liabilities Creditors – amount falling due within one year – – – 2,933,970 2,933,970 Financial liabilities at fair value through profi t or loss 108,161 – 1,324,238 1,631,892 3,064,291 Margins on derivative contracts 623,535 – – – 623,535

Total liabilities 731,696 – 1,324,238 4,565,862 6,621,796

Total interest sensitivity gap 16,760,137 69,689,866 132,589,180

292 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Real Return Fund (EUR) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 EUR EUR EUR EUR EUR Assets Cash and bank balances 91,364,073 – – – 91,364,073 Debtors – – – 13,575,352 13,575,352 Margins on derivative contracts 20,076,176 – – – 20,076,176 Financial assets at fair value through profi t or loss 500,344,191 143,640,958 400,259,790 1,457,251,784 2,501,496,723

Total assets 611,784,440 143,640,958 400,259,790 1,470,827,136 2,626,512,324

Liabilities Bank overdraft 2 – – – 2 Creditors – amount falling due within one year – – – 5,580,729 5,580,729 Financial liabilities at fair value through profi t or loss – – – 10,943,707 10,943,707

Total liabilities 2 – – 16,524,436 16,524,438

Total interest sensitivity gap 611,784,438 143,640,958 400,259,790

BNY Mellon Global Real Return Fund (GBP) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 GBP GBP GBP GBP GBP Assets Cash and bank balances 4,203,695 – – – 4,203,695 Debtors – – – 206,436 206,436 Margins on derivative contracts 481,493 – – – 481,493 Financial assets at fair value through profi t or loss 9,730,628 3,227,247 9,144,974 33,262,733 55,365,582

Total assets 14,415,816 3,227,247 9,144,974 33,469,169 60,257,206

Liabilities Bank overdraft 1 – – – 1 Creditors – amount falling due within one year – – – 24,378 24,378 Financial liabilities at fair value through profi t or loss 359 – – 1,182,589 1,182,948

Total liabilities 360 – – 1,206,967 1,207,327

Total interest sensitivity gap 14,415,456 3,227,247 9,144,974

293 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Real Return Fund (USD) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 28,213,663 – – – 28,213,663 Debtors – – – 1,863,592 1,863,592 Margins on derivative contracts 3,966,803 – – – 3,966,803 Financial assets at fair value through profi t or loss 77,705,413 28,099,246 79,023,586 289,446,950 474,275,195

Total assets 109,885,879 28,099,246 79,023,586 291,310,542 508,319,253

Liabilities Bank overdraft 10 – – – 10 Creditors – amount falling due within one year – – – 615,432 615,432 Financial liabilities at fair value through profi t or loss – – – 1,565,570 1,565,570

Total liabilities 10 – – 2,181,002 2,181,012

Total interest sensitivity gap 109,885,869 28,099,246 79,023,586

BNY Mellon Targeted Return Bond Fund* Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2015 USD USD USD USD USD Assets Cash and bank balances 3,182,088 – – – 3,182,088 Debtors – – – 1,042,118 1,042,118 Margins on derivative contracts 20,989 – – – 20,989 Financial assets at fair value through profi t or loss 5,870,129 28,762,847 58,471,962 328,529 93,433,467

Total assets 9,073,206 28,762,847 58,471,962 1,370,647 97,678,662

Liabilities Creditors – amount falling due within one year – – – 1,012,685 1,012,685 Financial liabilities at fair value through profi t or loss 39,523 – – 2,614,961 2,654,484 Margins on derivative contracts 285,793 – – – 285,793

Total liabilities 325,316 – – 3,627,646 3,952,962

Total interest sensitivity gap 8,747,890 28,762,847 58,471,962

* Please refer to Note 20 of the financial statements.

294 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd. The table below summarises the Company’s exposure to interest rate risk as at 31 December 2014:

BNY Mellon Absolute Insight Fund Less than Over Non interest Total 1 month 1-3 months 3 months bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 20,103,377 – – – 20,103,377 Debtors – – – 754,840 754,840 Margins on derivative contracts 2,286,790 – – – 2,286,790 Financial assets at fair value through profi t or loss 34,794,907 21,854,950 61,678,540 18,415,221 136,743,618

Total assets 57,185,074 21,854,950 61,678,540 19,170,061 159,888,625

Liabilities Creditors – amount falling due within one year – – – 2,468,314 2,468,314 Financial liabilities at fair value through profi t or loss 143,459 468,056 999,149 2,338,669 3,949,333 Margins on derivative contracts 741,283 – – – 741,283

Total liabilities 884,742 468,056 999,149 4,806,983 7,158,930

Total interest sensitivity gap 56,300,332 21,386,894 60,679,391

BNY Mellon Absolute Return Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 47,505,267 – – – 47,505,267 Debtors – – – 6,130,444 6,130,444 Margins on derivative contracts 33,222,366 – – – 33,222,366 Financial assets at fair value through profi t or loss 349,207,666 278,942,382 387,088,736 120,735,929 1,135,974,713

Total assets 429,935,299 278,942,382 387,088,736 126,866,373 1,222,832,790

Liabilities Creditors – amount falling due within one year – – – 9,573,092 9,573,092 Financial liabilities at fair value through profi t or loss 7,586,204 1,412,092 – 6,780,915 15,779,211 Margins on derivative contracts 14,149,501 – – – 14,149,501

Total liabilities 21,735,705 1,412,092 – 16,354,007 39,501,804

Total interest sensitivity gap 408,199,594 277,530,290 387,088,736

295 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Absolute Return Equity Fund Less than Over Non interest Total 1 month 1-3 months 3 months bearing 2014 GBP GBP GBP GBP GBP Assets Cash and bank balances 55,016,379 – – – 55,016,379 Debtors – – – 26,855,374 26,855,374 Margins on derivative contracts 11,513,421 – – – 11,513,421 Financial assets at fair value through profi t or loss 245,004,376 379,808,139 358,777,077 299,374,056 1,282,963,648

Total assets 311,534,176 379,808,139 358,777,077 326,229,430 1,376,348,822

Liabilities Creditors – amount falling due within one year – – – 19,831,067 19,831,067 Financial liabilities at fair value through profi t or loss 928,596 1,624,016 12,948,472 48,317,035 63,818,119

Total liabilities 928,596 1,624,016 12,948,472 68,148,102 83,649,186

Total interest sensitivity gap 310,605,580 378,184,123 345,828,605

BNY Mellon Asian Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 1,645,567 – – – 1,645,567 Debtors – – – 363,446 363,446 Financial assets at fair value through profi t or loss 436,588 12,998,404 16,965,064 1 30,400,057

Total assets 2,082,155 12,998,404 16,965,064 363,447 32,409,070

Liabilities Creditors – amount falling due within one year – – – 17,236 17,236 Financial liabilities at fair value through profi t or loss 5,000 – – 11,359 16,359 Margins on derivative contracts 2,937 – – – 2,937

Total liabilities 7,937 – – 28,595 36,532

Total interest sensitivity gap 2,074,218 12,998,404 16,965,064

296 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Crossover Credit Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 5,539,408 – – – 5,539,408 Debtors – – – 3,267,795 3,267,795 Financial assets at fair value through profi t or loss 2,106,904 77,142,072 84,143,748 – 163,392,724

Total assets 7,646,312 77,142,072 84,143,748 3,267,795 172,199,927

Liabilities Creditors – amount falling due within one year – – – 102,035 102,035

Total liabilities – – – 102,035 102,035

Total interest sensitivity gap 7,646,312 77,142,072 84,143,748

BNY Mellon Emerging Markets Corporate Debt Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 2,391,636 – – – 2,391,636 Debtors – – – 1,410,019 1,410,019 Financial assets at fair value through profi t or loss – 37,168,375 40,782,596 8,111,731 86,062,702

Total assets 2,391,636 37,168,375 40,782,596 9,521,750 89,864,357

Liabilities Creditors – amount falling due within one year – – – 338,512 338,512 Financial liabilities at fair value through profi t or loss – 12,796 – 32,973 45,769

Total liabilities – 12,796 – 371,485 384,281

Total interest sensitivity gap 2,391,636 37,155,579 40,782,596

297 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Emerging Markets Debt Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 6,956,841 – – – 6,956,841 Debtors – – – 4,745,136 4,745,136 Financial assets at fair value through profi t or loss 64,999 53,192,783 243,719,473 33,130 297,010,385

Total assets 7,021,840 53,192,783 243,719,473 4,778,266 308,712,362

Liabilities Creditors – amount falling due within one year – – – 561,333 561,333 Financial liabilities at fair value through profi t or loss – – – 512,401 512,401

Total liabilities – – – 1,073,734 1,073,734

Total interest sensitivity gap 7,021,840 53,192,783 243,719,473

BNY Mellon Emerging Markets Debt Local Currency Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 71,841,888 – – – 71,841,888 Debtors – – – 37,736,610 37,736,610 Financial assets at fair value through profi t or loss 174,623,560 559,497,666 1,283,116,998 34,361,730 2,051,599,954

Total assets 246,465,448 559,497,666 1,283,116,998 72,098,340 2,161,178,452

Liabilities Creditors – amount falling due within one year – – – 2,657,995 2,657,995 Financial liabilities at fair value through profi t or loss 423,675 – – 24,853,369 25,277,044

Total liabilities 423,675 – – 27,511,364 27,935,039

Total interest sensitivity gap 246,041,773 559,497,666 1,283,116,998

298 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Emerging Markets Debt Opportunistic Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 1,141,967 – – – 1,141,967 Debtors – – – 461,620 461,620 Margins on derivative contracts 367 – – – 367 Financial assets at fair value through profi t or loss 363,871 3,462,483 11,242,771 117,896 15,187,021

Total assets 1,506,205 3,462,483 11,242,771 579,516 16,790,975

Liabilities Creditors – amount falling due within one year – – – 31,313 31,313 Financial liabilities at fair value through profi t or loss 19,527 – – 138,976 158,503

Total liabilities 19,527 – – 170,289 189,816

Total interest sensitivity gap 1,486,678 3,462,483 11,242,771

BNY Mellon Emerging Markets Local Currency Investment Less than Over Non interest Total Grade Debt Fund 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 9,908,111 – – – 9,908,111 Debtors – – – 3,717,581 3,717,581 Margins on derivative contracts 820,000 – – – 820,000 Financial assets at fair value through profi t or loss 21,853,786 46,513,148 94,994,747 2,968,689 166,330,370

Total assets 32,581,897 46,513,148 94,994,747 6,686,270 180,776,062

Liabilities Creditors – amount falling due within one year – – – 77,372 77,372 Financial liabilities at fair value through profi t or loss 34,738 – – 1,830,645 1,865,383

Total liabilities 34,738 – – 1,908,017 1,942,755

Total interest sensitivity gap 32,547,159 46,513,148 94,994,747

299 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Euroland Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 99,525,960 – – – 99,525,960 Debtors – – – 43,568,527 43,568,527 Margins on derivative contracts 11,928,450 – – – 11,928,450 Financial assets at fair value through profi t or loss 107,560,735 1,104,832,372 1,851,791,864 12,249,434 3,076,434,405

Total assets 219,015,145 1,104,832,372 1,851,791,864 55,817,961 3,231,457,342

Liabilities Creditors – amount falling due within one year – – – 8,243,960 8,243,960 Financial liabilities at fair value through profi t or loss 6,707,984 6,913,587 21,775,259 28,412,288 63,809,118 Margins on derivative contracts 22,968,924 – – – 22,968,924

Total liabilities 29,676,908 6,913,587 21,775,259 36,656,248 95,022,002

Total interest sensitivity gap 189,338,237 1,097,918,785 1,830,016,605

BNY Mellon European Credit Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 3,145,596 – – – 3,145,596 Debtors – – – 1,408,215 1,408,215 Margins on derivative contracts 587,487 – – – 587,487 Financial assets at fair value through profi t or loss 1,417,117 37,781,619 57,139,298 4,972,359 101,310,393

Total assets 5,150,200 37,781,619 57,139,298 6,380,574 106,451,691

Liabilities Creditors – amount falling due within one year – – – 56,723 56,723 Financial liabilities at fair value through profi t or loss 136,061 20,030 – 359,979 516,070 Margins on derivative contracts 243,927 – – – 243,927

Total liabilities 379,988 20,030 – 416,702 816,720

Total interest sensitivity gap 4,770,212 37,761,589 57,139,298

300 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 1,121,848 – – – 1,121,848 Debtors – – – 11,823,814 11,823,814 Financial assets at fair value through profi t or loss 27,520,150 232,004,896 288,409,312 3,538,113 551,472,471

Total assets 28,641,998 232,004,896 288,409,312 15,361,927 564,418,133

Liabilities Bank overdraft 874 – – – 874 Creditors – amount falling due within one year – – – 3,357,198 3,357,198 Financial liabilities at fair value through profi t or loss – – – 2,058,157 2,058,157

Total liabilities 874 – – 5,415,355 5,416,229

Total interest sensitivity gap 28,641,124 232,004,896 288,409,312

BNY Mellon Global Dynamic Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 17,955,798 – – – 17,955,798 Debtors – – – 2,185,656 2,185,656 Margins on derivative contracts 115,561 – – – 115,561 Financial assets at fair value through profi t or loss 55,296,696 100,259,115 92,994,475 1,620,511 250,170,797

Total assets 73,368,055 100,259,115 92,994,475 3,806,167 270,427,812

Liabilities Bank overdraft 88,355 – – – 88,355 Creditors – amount falling due within one year – – – 3,059,164 3,059,164 Financial liabilities at fair value through profi t or loss – – – 3,181,737 3,181,737

Total liabilities 88,355 – – 6,240,901 6,329,256

Total interest sensitivity gap 73,279,700 100,259,115 92,994,475

301 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global High Yield Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 3,088,977 – – – 3,088,977 Debtors – – – 2,903,821 2,903,821 Financial assets at fair value through profi t or loss – 63,193,080 85,627,523 2,001,177 150,821,780

Total assets 3,088,977 63,193,080 85,627,523 4,904,998 156,814,578

Liabilities Creditors – amount falling due within one year – – – 85,028 85,028 Financial liabilities at fair value through profi t or loss – – – 1,910,427 1,910,427

Total liabilities – – – 1,995,455 1,995,455

Total interest sensitivity gap 3,088,977 63,193,080 85,627,523

BNY Mellon Global Opportunistic Bond Fund Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 1,893,583 – – – 1,893,583 Debtors – – – 1,758,356 1,758,356 Margins on derivative contracts 218,851 – – – 218,851 Financial assets at fair value through profi t or loss 3,802,348 30,336,290 74,312,280 2,048,490 110,499,408

Total assets 5,914,782 30,336,290 74,312,280 3,806,846 114,370,198

Liabilities Creditors – amount falling due within one year – – – 1,128,392 1,128,392 Financial liabilities at fair value through profi t or loss 934,561 19,753 536,296 937,092 2,427,702 Margins on derivative contracts 347,782 – – – 347,782

Total liabilities 1,282,343 19,753 536,296 2,065,484 3,903,876

Total interest sensitivity gap 4,632,439 30,316,537 73,775,984

302 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Real Return Fund (EUR) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 EUR EUR EUR EUR EUR Assets Cash and bank balances 88,941,319 – – – 88,941,319 Debtors – – – 9,030,116 9,030,116 Margins on derivative contracts 29,023,672 – – – 29,023,672 Financial assets at fair value through profi t or loss 39,756,217 184,022,054 278,541,263 1,423,102,968 1,925,422,502

Total assets 157,721,208 184,022,054 278,541,263 1,432,133,084 2,052,417,609

Liabilities Bank overdraft 3,313 – – – 3,313 Creditors – amount falling due within one year – – – 2,196,617 2,196,617 Financial liabilities at fair value through profi t or loss 10,111,639 – – 24,787,141 34,898,780

Total liabilities 10,114,952 – – 26,983,758 37,098,710

Total interest sensitivity gap 147,606,256 184,022,054 278,541,263

BNY Mellon Global Real Return Fund (GBP) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 GBP GBP GBP GBP GBP Assets Cash and bank balances 2,208,256 – – – 2,208,256 Debtors – – – 132,962 132,962 Margins on derivative contracts 477,932 – – – 477,932 Financial assets at fair value through profi t or loss 8,375 2,975,035 4,534,490 23,198,461 30,716,361

Total assets 2,694,563 2,975,035 4,534,490 23,331,423 33,535,511

Liabilities Bank overdraft 2,669 – – – 2,669 Creditors – amount falling due within one year – – – 53,499 53,499 Financial liabilities at fair value through profi t or loss 163,802 – – 726,828 890,630

Total liabilities 166,471 – – 780,327 946,798

Total interest sensitivity gap 2,528,092 2,975,035 4,534,490

303 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd.

BNY Mellon Global Real Return Fund (USD) Less than Over Non interest Total 1 year 1-6 years 6 years bearing 2014 USD USD USD USD USD Assets Cash and bank balances 30,997,219 – – – 30,997,219 Debtors – – – 1,351,392 1,351,392 Margins on derivative contracts 5,859,850 – – – 5,859,850 Financial assets at fair value through profi t or loss 101,745 36,343,280 58,746,071 303,340,700 398,531,796

Total assets 36,958,814 36,343,280 58,746,071 304,692,092 436,740,257

Liabilities Bank overdraft 3,046 – – – 3,046 Creditors – amount falling due within one year – – – 9,060,665 9,060,665 Financial liabilities at fair value through profi t or loss 2,046,211 – – 2,587,885 4,634,096

Total liabilities 2,049,257 – – 11,648,550 13,697,807

Total interest sensitivity gap 34,909,557 36,343,280 58,746,071

For those Funds holding primarily interest bearing securities and as such exposed to the risk of fl uctuations in the prevailing levels of market interest rates, the Investment Managers monitor the Funds’ exposure to interest fl uctuations on a daily basis. Whilst primarily an investment decision, the Investment Managers employ proprietary systems and processes to best position the Funds to benefi t from or limit the risk of any fl uctuations 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 diffi culties in disposing of assets at their fair price due to adverse market conditions leading to limited liquidity. The fi nancial markets of emerging market countries in general, are less liquid than those of the 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.

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.

At 31 December 2015 and 31 December 2014, 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).

Funds Total Return (%) Funds Total Return (%) Functional – Instantaneous Shift – Instantaneous Shift Fund Currency 2015 2014

BNY Mellon Emerging Markets Corporate Debt Fund USD 1.075 1.175 BNY Mellon Global Bond Fund USD 1.600 1.725 BNY Mellon Global Dynamic Bond Fund USD 0.675 0.750 BNY Mellon Global Real Return Fund (EUR) EUR 0.660 0.404 BNY Mellon Global Real Return Fund (GBP) GBP 0.599 0.374 BNY Mellon Global Real Return Fund (USD) USD 0.602 0.360

304 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

INTEREST RATE RISK contd. It should be noted that the future market conditions could vary signifi cantly 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 of market price risk.

CURRENCY RISK Currency risk is the risk that a fair value of a fi nancial instrument will fl uctuate because of changes in foreign exchange rates. The risk arises on fi nancial instruments that are denominated in a currency other than the functional currency in which 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 fi nancial instruments denominated in the functional currency.

The following tables set out the Company’s material exposures to foreign currency risk as at 31 December 2015:

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR EUR Australian dollar (701,737) 121,047 – – (822,784) Brazilian real (847,113) – – – (847,113) Canadian dollar (75,915) – – – (75,915) Chilean peso (798,832) – – – (798,832) Colombian peso (68,288) 1,173,611 – – (1,241,899) Hong Kong dollar (5,302) 909,120 (9,783) – (904,639) Hungarian forint (801,379) 781,533 – – (1,582,912) Indonesian rupiah 174,750 955,165 (201) – (780,214) Israeli shekel (1,407,150) 1,138,969 – – (2,546,119) Japanese yen 13,906 430,861 (78,089) – (338,866) Korean won (3,748,475) – – – (3,748,475) Malaysian ringgit (2,139) – – – (2,139) Mexican peso 937,046 2,318,852 (221) – (1,381,585) New Zealand dollar (2,028) – – – (2,028) Peruvian nuevo sol 185,571 185,571 – – – Polish zloty 1,075,142 1,211,420 – – (136,278) Romanian leu 38,544 1,218,177 – – (1,179,633) Russian rouble 7,905 728,721 – – (720,816) South African rand (1,006,123) 641,761 – – (1,647,884) Sterling 33,942,964 11,377,253 (798,194) 6,961,688 16,402,217 Swedish krona 8,484 13,534 (5,050) – – Swiss franc 2,533,647 81,287 (8,425) 388,795 2,071,990 Thai baht (823,217) 1,246,229 – – (2,069,446) Turkish lira (39,133) 772,883 (9,704) – (802,312) US dollar 16,945,564 28,666,536 (366,593) 1,161,090 (12,515,469)

45,536,692 53,972,530 (1,276,260) 8,511,573 (15,671,151)

305 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR EUR Australian dollar (2,246,753) 1,806,385 – – (4,053,138) Brazilian real (3,411,735) – – – (3,411,735) Canadian dollar 655,495 – – – 655,495 Hong Kong dollar 141,323 4,974,809 – – (4,833,486) Japanese yen 5,985,869 467,971 – – 5,517,898 Korean won (3,786,598) – – – (3,786,598) New Zealand dollar 5,229 – – – 5,229 Norwegian krone 103,491 3,974,390 – – (3,870,899) South African rand (76,017) 228,062 – – (304,079) Sterling 1,248,772 96,408,100 – 182,294,501 (277,453,829) Swedish krona 51,227 1,849,380 – – (1,798,153) US dollar 16,776,619 306,303,000 (962,407) – (288,563,974)

15,446,922 416,012,097 (962,407) 182,294,501 (581,897,269)

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP GBP Euro (45,606,989) 15,099,371 (19,984,348) 15,856,114 (56,578,126) Swedish krona 351,563 547,175 (195,612) – – Swiss franc 15,193,859 3,068,656 (291,650) 15,795,574 (3,378,721) US dollar 47,940,964 32,806 (58,330) 47,072,336 894,152

17,879,397 18,748,008 (20,529,940) 78,724,024 (59,062,695)

BNY Mellon Asian Bond Fund USD USD USD USD USD Euro 838,353 534 – – 837,819

838,353 534 – – 837,819

BNY Mellon Asian Equity Fund USD USD USD USD USD Australian dollar 14,630,839 – (2) 14,630,841 – Euro 9,557 70 – – 9,487 Hong Kong dollar 18,847,442 7 – 18,847,435 – Indian rupee 13,991,854 24,226 – 13,967,628 – Indonesian rupiah 2,505,670 – – 2,505,670 – Korean won 3,591,395 – – 3,591,395 – Malaysian ringgit 3,356,236 – – 3,356,236 – New Zealand dollar 1,295,604 – – 1,295,604 – Philippine peso 13,223,824 – – 13,223,824 – Taiwanese dollar 5,742,637 247,341 – 5,495,296 – Thai baht 3,705,155 – – 3,705,155 –

80,900,213 271,644 (2) 80,619,084 9,487

BNY Mellon Asian Income Fund GBP GBP GBP GBP GBP Euro 32 32 – – –

32 32 – – –

306 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Brazil Equity Fund USD USD USD USD USD Brazilian real 43,529,675 2,130,116 – 41,399,559 – Euro 114,273 114,273 – – – Sterling 12,939 12,939 – – –

43,656,887 2,257,328 – 41,399,559 –

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR EUR Sterling 626 626 – – – US dollar 22,492,104 8,045 – – 22,484,059

22,492,730 8,671 – – 22,484,059

BNY Mellon Dynamic Total Return Fund* EUR EUR EUR EUR EUR Australian dollar 992,076 22,178 - - 969,898 Canadian dollar 645,850 5,166 (21,005) - 661,689 Euro (1,151,223) 43,169 (7,915) - (1,186,477) Hong Kong dollar (3,391) - (3,391) - - Japanese yen 778,707 2,123 (23,141) - 799,725 New Zealand dollar 322,749 - - - 322,749 Norwegian krone (454,399) - - - (454,399) Sterling (1,556,315) 1,147 (23,601) - (1,533,861) Swedish krona 46,180 - - - 46,180 Swiss franc (150,827) 7,816 - - (158,643)

(530,593) 81,599 (79,053) – (533,139)

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD USD Euro (929,549) 2,502,460 – – (3,432,009) Mexican peso (893) 511,259 – – (512,152) Sterling 587 587 – – – Turkish lira 1,929 154,482 – – (152,553)

(927,926) 3,168,788 – – (4,096,714)

BNY Mellon Emerging Markets Debt Fund USD USD USD USD USD Euro 34,544 34,544 – – – Hungarian forint 4 4 – – – Sterling 5,493 5,493 – – –

40,041 40,041 – – –

307 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD USD Argentinian peso 3,429,494 3,429,494––– Brazilian real 126,784,352 256,362,107 – – (129,577,755) Chilean peso 27,661,925 – – – 27,661,925 Colombian peso 76,596,515 117,635,574 – – (41,039,059) Euro 41,680 106,865 – – (65,185) Hungarian forint 54,629,880 35,746,931 – – 18,882,949 Indian rupee 20,549,765 – – – 20,549,765 Indonesian rupiah 123,746,977 113,193,632 – – 10,553,345 Korean won (13,886,062) – – – (13,886,062) Malaysian ringgit 108,459,088 43,399,997 – – 65,059,091 Mexican peso 182,394,646 111,030,911 – – 71,363,735 Peruvian nuevo sol (15,230,668) – – – (15,230,668) Philippine peso 6,722,757 12,833,807 – – (6,111,050) Polish zloty 137,173,903 141,579,726 – – (4,405,823) Romanian leu 12,104,615 3,734,938 – – 8,369,677 Russian rouble 66,527,523 89,189,556 – – (22,662,033) South African rand 68,517,739 99,337,009 – – (30,819,270) Sterling 73,226 86,713 – – (13,487) Swiss franc 6,495 6,495 – – – Taiwanese dollar (27,221,159) – – – (27,221,159) Thai baht 85,129,767 61,994,812 – – 23,134,955 Turkish lira 104,011,520 150,096,954 – – (46,085,434)

1,148,223,978 1,239,765,521 – – (91,541,543)

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD USD Argentinian peso 153,788 153,788––– Brazilian real 3,847,639 8,260,728 – – (4,413,089) Chilean peso 2,071,433 – – – 2,071,433 Colombian peso 2,492,050 4,490,014 – – (1,997,964) Euro 1,121 1,121 – – – Hungarian forint 1,343,591 1,343,591 – – – Indonesian rupiah 4,225,232 3,964,309 – – 260,923 Korean won (1,004,914) – – – (1,004,914) Malaysian ringgit 3,082,097 1,843,760 – – 1,238,337 Mexican peso 7,981,940 5,040,425 – – 2,941,515 Peruvian nuevo sol (2,003,006) – – – (2,003,006) Philippine peso 268,327 – – – 268,327 Polish zloty 4,624,567 4,754,502 – – (129,935) Romanian leu (562,789) – – – (562,789) Russian rouble 2,258,580 3,132,195 – – (873,615) South African rand 2,487,353 2,145,925 – – 341,428 Sterling 1,474 1,474 – – – Taiwanese dollar (1,809,832) – – – (1,809,832) Thai baht 1,734,395 2,516,409 – – (782,014) Turkish lira 2,990,671 3,967,483 – – (976,812)

34,183,717 41,615,724 – – (7,432,007)

308 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR EUR Australian dollar (27,980,818) 1,546,840 – – (29,527,658) Brazilian real (953,988) – (953,988) – – Canadian dollar 4,325,461 2,401,372 – – 1,924,089 Indian rupee 56,282,869 – – – 56,282,869 Japanese yen 2,889,436 – – – 2,889,436 Korean won (291,975) 65,238,488 – – (65,530,463) Mexican peso 89,100,698 – – – 89,100,698 New Zealand dollar (31,107,148) – – – (31,107,148) Norwegian krone 27,434,158 1 – – 27,434,157 Polish zloty (2,720,093) – – – (2,720,093) Russian rouble 26,168,878 – – – 26,168,878 Singapore dollar 6,487 6,487 – – – South African rand 389 389 – – – Sterling 1,038,797 22,439,600 – – (21,400,803) Swedish krona 28,345,595 – – – 28,345,595 Swiss franc (810,051) 2,806,133 – – (3,616,184) Taiwanese dollar (55,870,440) – – – (55,870,440) US dollar (84,051,988) 538,836,110 (9,883,784) 35,323,376 (648,327,690)

31,806,267 633,275,420 (10,837,772) 35,323,376 (625,954,757)

BNY Mellon European Credit Fund EUR EUR EUR EUR EUR Sterling 68,061 2,934,119 – 3,014,628 (5,880,686) US dollar 18,256,485 6,258,954 (25,577) – 12,023,108

18,324,546 9,193,073 (25,577) 3,014,628 6,142,422

BNY Mellon Global Bond Fund USD USD USD USD USD Australian dollar (4,523,040) 12,172,358 – – (16,695,398) Canadian dollar 3,692,269 1 – – 3,692,268 Chinese yuan 83,603 3,405,847 – – (3,322,244) Danish krone 7,530,996 5,204,383 (3) – 2,326,616 Euro 81,906,535 74,444,926 – – 7,461,609 Indonesian rupiah (3,034,367) – – – (3,034,367) Japanese yen 65,746,380 – – – 65,746,380 Korean won (3,062,380) – – – (3,062,380) Mexican peso (96,702) 4,930,302 – – (5,027,004) New Zealand dollar (3,458,195) 12,163,042 – – (15,621,237) Norwegian krone 3,053,344 – – – 3,053,344 Peruvian nuevo sol (71,213) 1,561,569 – – (1,632,782) Polish zloty 90,241 4 – – 90,237 Singapore dollar (3,083,796) – – – (3,083,796) Sterling 22,937,074 21,490,408 – – 1,446,666 Swedish krona 1,140,490 – – – 1,140,490

168,851,239 135,372,840 (3) – 33,478,402

309 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Global Dynamic Bond Fund USD USD USD USD USD Australian dollar (7,831,052) 8,324,401 – – (16,155,453) Canadian dollar 28,995 – – – 28,995 Chinese yuan 41,713 2,923,119 – – (2,881,406) Danish krone 5,013,088 – – – 5,013,088 Euro (618,698) 36,494,330 – – (37,113,028) Indonesian rupiah (2,478,833) – – – (2,478,833) Japanese yen (27,470) – – – (27,470) Korean won (2,533,144) – – – (2,533,144) Mexican peso 3,665,371 2,524,824 – – 1,140,547 New Zealand dollar (2,871,995) 8,040,047 – – (10,912,042) Norwegian krone 2,456,986 370,528 – – 2,086,458 Polish zloty 24,324 – – – 24,324 Singapore dollar (2,519,257) – – – (2,519,257) South African rand (3,608,541) – – – (3,608,541) Sterling (942,590) 46,792,629 (1,411) – (47,733,808) Swedish krona (88,493) 864,033 – – (952,526)

(12,289,596) 106,333,911 (1,411) – (118,622,096)

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD USD Australian dollar 95,011 – – 82,169 12,842 Euro 132,928 – (1) 114,893 18,036 Hong Kong dollar 3,486,164 – – 3,012,291 473,873 Indian rupee 1,012,328 – – 1,012,328 – Indonesian rupiah 106,775 – – 103,196 3,579 Malaysian ringgit 356,760 – – 346,608 10,152 Mexican peso 1,036,217 – – 895,196 141,021 Philippine peso 1,648,290 – – 1,648,290 – South African rand 2,956,730 – – 2,555,664 401,066 Sterling 203,935 – – 175,921 28,014 Taiwanese dollar 1,616,219 225,985 – 1,390,234 – Turkish lira 113,601 – – 97,879 15,722

12,764,958 225,985 (1) 11,434,669 1,104,305

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD USD Brazilian real 25,864 25,864 – – – Euro 172 172 – – – Hong Kong dollar 250,455 – (2) 250,457 – Indian rupee 16,767 9,662 – 7,105 – Korean won 1,104 1,104 – – – Qatari riyal 1,484 1,484 – – –

295,846 38,286 (2) 257,562 –

310 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Global Equity Fund USD USD USD USD USD Brazilian real 432,632 232,631 – 200,001 – Canadian dollar 5,143,134 11,525 – 5,143,134 (11,525) Euro 29,994,409 7,617 – 29,998,718 (11,926) Hong Kong dollar 5,021,479 – – 5,076,468 (54,989) Indian rupee 2,754,066 269 – 3,256,911 (503,114) Japanese yen 20,674,334 – – 20,674,334 – Norwegian krone 2,623,662 – – 2,623,662 – Sterling 22,669,086 1 – 22,669,085 – Swiss franc 15,543,844 – – 15,543,844 –

104,856,646 252,043 – 105,186,157 (581,554)

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD USD Australian dollar 4,589,426 – – 4,589,426 – Danish krone 2,888,739 – – 2,888,739 – Euro 50,572,567 – (878) 50,641,556 (68,111) Hong Kong dollar 5,672,079 – – 5,672,079 – Japanese yen 33,040,734 – – – 33,040,734 Korean won 4,349,399 – – 4,349,399 – New Zealand dollar 1,879,591 – – 1,879,591 – Norwegian krone 9,183,501 – – 9,183,501 – Sterling 37,689,769 101,044 – 69,156,072 (31,567,347) Swedish krona 4,842,834 – – 4,842,834 – Swiss franc 42,420,760 – – 42,420,760 – Taiwanese dollar 1,527 1,527 – – –

197,130,926 102,571 (878) 195,623,957 1,405,276

BNY Mellon Global High Yield Bond Fund USD USD USD USD USD Euro (171,353) 15,561,939 – – (15,733,292) Sterling 37,681 8,833,082 – – (8,795,401)

(133,672) 24,395,021 – – (24,528,693)

311 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD USD Argentinian peso 591,468 591,468 – – – Australian dollar 721,409 12,516,998 (272) – (11,795,317) Brazilian real 1,988,791 1,988,791 – – – Canadian dollar (3,128,337) – – – (3,128,337) Chilean peso 2,887,333 – – – 2,887,333 Colombian peso 104 104 – – – Euro (4,476,816) 7,520,710 (27,808) – (11,969,718) Hungarian forint (2,228,396) – – – (2,228,396) Indian rupee 8,740,816 – – – 8,740,816 Japanese yen 620 620 – – – Korean won (1,784,896) 5,197,759 – – (6,982,655) Malaysian ringgit (1,657,234) – – – (1,657,234) Mexican peso 6,577,237 5,624,915 – – 952,322 New Zealand dollar (6,904,410) 3,342,939 – – (10,247,349) Norwegian krone 3,885,725 – – – 3,885,725 Peruvian nuevo sol (3,962,498) – – – (3,962,498) Polish zloty (175,193) 4,141,827 – – (4,317,020) Russian rouble 1,477,592 1,477,592 – – – South African rand (2,140,772) 8 – – (2,140,780) Sterling (23,370) 1,095,506 – – (1,118,876) Taiwanese dollar (11,849,604) – – – (11,849,604) Thai baht (2,221,631) – – – (2,221,631) Turkish lira (2,180,350) 1,369 – – (2,181,719)

(15,862,412) 43,500,606 (28,080) – (59,334,938)

BNY Mellon Global Opportunities Fund USD USD USD USD USD Canadian dollar 1,652,606 – – 1,652,606 – Euro 22,838,892 5,893,772 – 16,818,336 126,784 Hong Kong dollar 2,821,835 – – 2,821,835 – Israeli shekel 1,444,994 – – 1,444,994 – Japanese yen 4,734,802 – – 4,734,802 – Norwegian krone 2,827,667 – – 2,827,667 – Sterling 14,235,890 1 – 14,235,889 – Swiss franc 8,736,772 – – 8,736,772 – Taiwanese dollar 855 855 – – –

59,294,313 5,894,628 – 53,272,901 126,784

312 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR EUR Australian dollar 822,080 6,513 – 815,567 – Canadian dollar 301,004 638 – 300,366 – Hong Kong dollar 915,792 7,680 – 903,374 4,738 Japanese yen 1,452,437 2,070 – 1,450,367 – Norwegian krone 32,437 69 – 32,368 – Singapore dollar 239,307 1,086 – 238,221 – Sterling 928,691 1,427 – 927,264 – Swedish krona 176,290 – – 176,290 – Swiss franc 99,467 159 – 99,308 – US dollar 7,768,456 102,607 – 7,670,587 (4,738)

12,735,961 122,249 – 12,613,712 –

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR EUR Australian dollar 1,703,779 148,229,647 – 36,612,902 (183,138,770) Canadian dollar (2,282,268) – – 50,872,899 (53,155,167) Danish krone 9,407,449 – – 9,407,449 – Hong Kong dollar 1,236 – – 7,277,622 (7,276,386) Israeli shekel (1,060,614) – – 6,150,026 (7,210,640) Japanese yen 81,917,894 – – 81,917,894 – New Zealand dollar (3,074,734) 54,677,150 – 18,772,256 (76,524,140) Norwegian krone 26,017,437 – – – 26,017,437 South African rand 610,658 3 – 3,199,075 (2,588,420) Sterling 19,260,687 63,581,456 – 297,724,264 (342,045,033) Swedish krona (693,875) – – 13,255,453 (13,949,328) Swiss franc 92,892,337 – – 92,892,337 – US dollar (18,690,819) 669,853,059 (2) 542,393,176 (1,230,937,052)

206,009,167 936,341,315 (2) 1,160,475,353 (1,890,807,499)

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP GBP Australian dollar (170,635) 3,411,979 – 830,813 (4,413,427) Canadian dollar (66,029) – – 1,219,058 (1,285,087) Danish krone 216,341 – – 216,341 – Euro (857,671) 297,413 – 5,340,997 (6,496,081) Hong Kong dollar 1,588 – – 164,175 (162,587) Israeli shekel (10,412) – – 139,963 (150,375) Japanese yen 1,864,454 – – 1,864,454 – New Zealand dollar (61,505) 1,303,057 – 425,736 (1,790,298) Norwegian krone 359,533 – – – 359,533 South African rand 22,715 – – 81,524 (58,809) Swedish krona (14,250) – – 310,304 (324,554) Swiss franc 2,103,829 – – 2,103,829 – US dollar 405,552 15,339,063 (360) 12,375,096 (27,308,247)

3,793,510 20,351,512 (360) 25,072,290 (41,629,932)

313 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Global Real Return Fund (USD) USD USD USD USD USD Australian dollar (11,914,642) 28,602,068 – 7,040,108 (47,556,818) Canadian dollar (686,553) – – 10,173,823 (10,860,376) Danish krone 1,744,981 – (10) 1,744,991 – Euro (11,814,136) 2,419,226 – 45,510,589 (59,743,951) Hong Kong dollar 184,594 – – 1,412,724 (1,228,130) Israeli shekel (473,107) – – 1,172,815 (1,645,922) Japanese yen 15,968,631 – – 15,968,631 – New Zealand dollar (7,980,904) 11,412,346 – 3,645,704 (23,038,954) South African rand 175,178 – – 668,181 (493,003) Sterling (8,314,679) 12,855,279 – 57,425,320 (78,595,278) Swedish krona (480,021) – – 2,597,941 (3,077,962) Swiss franc 18,040,107 – – 18,040,107 –

(5,550,551) 55,288,919 (10) 165,400,934 (226,240,394)

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY JPY Sterling 1,314,935 1,314,935 – – – US dollar 1,809,811 1,809,811 – – –

3,124,746 3,124,746 – – –

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY JPY Sterling 6,917,745 6,917,745 – – – US dollar 8,066,895 8,066,895 – – –

14,984,640 14,984,640 – – –

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR EUR Australian dollar 32,173,435 1 – 32,173,434 – Canadian dollar 17,217,991 – – 17,217,991 – Danish krone 32,733,975 – – 32,733,975 – Hong Kong dollar 114,860,616 – – 114,860,616 – Japanese yen 168,704,622 – – 168,704,622 – Singapore dollar 25,223,011 – – 25,223,011 – Sterling 44,316,392 50,629 – 44,265,763 – Swedish krona 28,693,813 16 – 28,693,797 – Swiss franc 137,644,553 44,034 – 137,600,519 – US dollar 705,812,041 902,194 – 703,145,686 1,764,161

1,307,380,449 996,874 – 1,304,619,414 1,764,161

314 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR EUR Danish krone 1,088,355 – – 1,088,355 – Norwegian krone 552,758 – – 552,758 – Sterling 18,040,809 537,777 (724) 17,500,073 3,683 Swedish krona 947,369 – – 947,369 – Swiss franc 7,130,417 – – 7,130,417 – US dollar 130 3,219 – – (3,089)

27,759,838 540,996 (724) 27,218,972 594

BNY Mellon S&P 500® Index Tracker USD USD USD USD USD Euro 56,437 56,437–––

56,437 56,437 – – –

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR EUR Sterling 1,232,317 5,637 – 1,226,680 – US dollar 34,159,703 8,639 – 1,801,026 32,350,038

35,392,020 14,276 – 3,027,706 32,350,038

BNY Mellon Targeted Return Bond Fund* USD USD USD USD USD Argentinian peso 332,864 332,864 – – – Australian dollar 57,229 14,436,468 – – (14,379,239) Brazilian real 922,885 – – – 922,885 Canadian dollar (1,418,372) – – – (1,418,372) Chilean peso 1,483,835 – – – 1,483,835 Euro (1,951,294) 3,496,107 (3,148) – (5,444,253) Hungarian forint (992,059) – – – (992,059) Indian rupee 3,853,746 – – – 3,853,746 Korean won (981,548) – – – (981,548) Malaysian ringgit (1,007,133) – – – (1,007,133) Mexican peso 3,326,073 2,663,038 – – 663,035 New Zealand dollar (2,884,427) 1,532,180 – – (4,416,607) Norwegian krone 1,931,239 – – – 1,931,239 Peruvian nuevo sol (1,848,886) – – – (1,848,886) Polish zloty (37,501) 1,887,415 – – (1,924,916) Russian rouble 662,369 662,369 – – – South African rand (926,597) – – – (926,597) Sterling 94,641,548 489,648 – – 94,151,900 Taiwanese dollar (5,232,348) – – – (5,232,348) Thai baht (971,964) – – – (971,964) Turkish lira (968,520) – – – (968,520)

87,991,139 25,500,089 (3,148) – 62,494,198

315 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2015 assets liabilities assets Hedging

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD USD Euro 4,412 391 – – 4,021 Sterling 2,106 2,106 – – –

6,518 2,497 – – 4,021

BNY Mellon US Opportunities Fund USD USD USD USD USD Euro 18,411 18,411 – – –

18,411 18,411 – – –

* Please refer to Note 20 of the fi nancial statements.

The following tables set out the Company’s material exposures to foreign currency risk as at 31 December 2014:

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR EUR Australian dollar (2,395,067) 101,312 – – (2,496,379) Brazilian real 340,982 1,650,295 – – (1,309,313) Colombian peso 1,460,178 – – – 1,460,178 Hong Kong dollar 3,061 3,061 – – – Hungarian forint (806,241) 298,014 – – (1,104,255) Indonesian rupiah 4,962 943,021 – – (938,059) Israeli shekel 756,076 365,181 – – 390,895 Japanese yen (1,036,485) 277,576 (3,415) – (1,310,646) Korean won (1,069,456) 3,740 – – (1,073,196) Malaysian ringgit (721,365) – (3,598) – (717,767) Mexican peso 7,986 909,103 – – (901,117) New Zealand dollar (1,251,245) 5,730 – – (1,256,975) Nigerian naira 135,330 135,330 – – – Peruvian nuevo sol (524,618) 361,263 – – (885,881) Polish zloty (788,217) 484,156 – – (1,272,373) Romanian leu 10,386 665,197 – – (654,811) Singapore dollar (467,668) – – – (467,668) South African rand (220,573) 664,002 – – (884,575) Sterling 17,951,773 7,722,229 (1,140,693) 2,763,626 8,606,611 Swedish krona 4,984 112,812 (1,835) – (105,993) Swiss franc (756,307) 24,246 (36,156) – (744,397) Thai baht (825,175) 595,995 – – (1,421,170) Turkish lira 468,208 741,761 – – (273,553) US dollar 18,713,559 15,072,617 (317,049) 321,857 3,636,134

28,995,068 31,136,641 (1,502,746) 3,085,483 (3,724,310)

316 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR EUR Australian dollar (8,654,918) 1,984,136 – – (10,639,054) Japanese yen 864,390 190,049 (1,274,840) – 1,949,181 New Zealand dollar (4,864,683) 21,286 – – (4,885,969) Norwegian krone 481,512 5,300,468 – – (4,818,956) Polish zloty 568,817 – – – 568,817 South African rand (2,016,183) – – – (2,016,183) Sterling 3,320,868 85,222,061 (112,610) 106,784,212 (188,572,795) Swedish krona 27,054 735,161 – – (708,107) Swiss franc (8,878,859) – – – (8,878,859) Turkish lira (2,208,858) 33,706 – – (2,242,564) US dollar 42,063,284 124,076,000 (4,053,960) – (77,958,756)

20,702,424 217,562,867 (5,441,410) 106,784,212 (298,203,245)

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP GBP Euro (7,606,321) 15,921,381 (13,041,716) 17,422,667 (27,908,653) Swedish krona 368,237 429,218 (60,981) – – Swiss franc (36,018) 299,396 (1,278,385) 13,106,480 (12,163,509) US dollar 8,949,224 80,076 – 13,163,301 (4,294,153)

1,675,122 16,730,071 (14,381,082) 43,692,448 (44,366,315)

BNY Mellon Asian Bond Fund USD USD USD USD USD Chinese yuan 80,394 80,394 – – – Euro 549,663 66 – – 549,597

630,057 80,460 – – 549,597

BNY Mellon Asian Equity Fund USD USD USD USD USD Australian dollar 25,115,371 – (2) 25,115,373 – Chinese yuan 134,752 134,752 – – – Euro 8,481 – – – 8,481 Hong Kong dollar 24,843,027 7 – 24,843,020 – Indian rupee 20,399,598 25,390 – 20,374,208 – Indonesian rupiah 5,347,734 – – 5,347,734 – Korean won 4,147,979 – – 4,147,979 – Malaysian ringgit 4,845,984 – – 4,845,984 – New Zealand dollar 3,971,906 – – 3,971,906 – Philippine peso 20,770,175 – – 20,770,175 – Singapore dollar 8,247,360 – – 8,247,360 – Sterling 7,435,877 12 – 7,435,865 – Taiwanese dollar 8,806,031 3,149 – 8,802,882 – Thai baht 11,705,389 – – 11,705,389 –

145,779,664 163,310 (2) 145,607,875 8,481

317 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Asian Income Fund GBP GBP GBP GBP GBP US dollar 64,419 11,850 – – 52,569

64,419 11,850 – – 52,569

BNY Mellon Brazil Equity Fund USD USD USD USD USD Brazilian real 86,860,650 649,842 – 86,210,808 – Euro 1,590,088 1,590,088 – – – Sterling 11,363 11,363 – – –

88,462,101 2,251,293 – 86,210,808 –

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR EUR Sterling 6,440 6,440 – – – US dollar 9,778 9,778 – – –

16,218 16,218 – – –

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD USD Colombian peso (6,750) 498,300 – – (505,050) Euro (714,875) 5,241,535 – – (5,956,410) Mexican peso 14,929 618,353 – – (603,424) Sterling 618 618 – – – Turkish lira 39,301 193,842 – – (154,541)

(666,777) 6,552,648 – – (7,219,425)

BNY Mellon Emerging Markets Debt Fund USD USD USD USD USD Euro 230,302 86,626 – – 143,676 Hungarian forint 80 80 – – – Sterling 12,881 12,881 – – –

243,263 99,587 – – 143,676

318 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD USD Brazilian real 288,398,943 353,161,984 – – (64,763,041) Colombian peso 155,569,465 214,770,422 – – (59,200,957) Euro 21,578,781 529,472 – – 21,049,309 Hungarian forint 78,877,082 – – – 78,877,082 Indian rupee 66,800,294 – – – 66,800,294 Indonesian rupiah 185,902,960 193,917,708 – – (8,014,748) Korean won (65,792,210) – – – (65,792,210) Malaysian ringgit 221,822,022 174,858,030 – – 46,963,992 Mexican peso 261,659,979 205,404,575 – – 56,255,404 Nigerian naira 805,690 805,690 – – – Peruvian nuevo sol (22,076,204) – – – (22,076,204) Philippine peso 10,018,549 15,791,468 – – (5,772,919) Polish zloty 218,126,531 242,769,957 – – (24,643,426) Romanian leu 11,430,047 6,432,118 – – 4,997,929 Russian rouble 81,591,047 115,639,747 – – (34,048,700) Singapore dollar (21,660,637) – – – (21,660,637) South African rand 133,577,973 253,316,341 – – (119,738,368) Sterling 25,335 25,335––– Thai baht 118,754,784 73,859,101 – – 44,895,683 Turkish lira 182,913,936 179,614,811 – – 3,299,125

1,928,324,367 2,030,896,759 – – (102,572,392)

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD USD Brazilian real 1,307,517 1,067,012 – – 240,505 Colombian peso 552,012 1,068,032 – – (516,020) Euro 169,498 38 – – 169,460 Hungarian forint 158,148 20,385 – – 137,763 Indian rupee 492,393 – – – 492,393 Indonesian rupiah 671,272 742,324 – – (71,052) Korean won (528,071) – – – (528,071) Malaysian ringgit 846,147 – – – 846,147 Mexican peso 1,130,736 1,130,736 – – – Peruvian nuevo sol (179,915) – – – (179,915) Philippine peso 44,191 – – – 44,191 Polish zloty 816,710 160,910 – – 655,800 Romanian leu (118,741) – – – (118,741) Russian rouble 340,548 377,649 – – (37,101) Singapore dollar (173,496) – – – (173,496) South African rand 234,412 946,902 – – (712,490) Thai baht 311,056 235,184 – – 75,872 Turkish lira 598,517 228,402 – – 370,115

6,672,934 5,977,574 – – 695,360

319 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Emerging Markets Equity Fund USD USD USD USD USD Brazilian real 601,786 3,137 – 598,649 – Czech koruna 49,212 258 – 48,954 – Egyptian pound 186 186 – – – Euro 1,345 1,345 – – – Hong Kong dollar 3,163,767 129 – 3,163,638 – Hungarian forint 75,262 4 – 75,258 – Indonesian rupiah 373,254 404 – 372,850 – Korean won 1,729,008 – – 1,729,008 – Malaysian ringgit 458,845 – – 458,845 – Mexican peso 173,784 68 – 173,716 – Philippine peso 80,394 – – 80,394 – Polish zloty 200,589 284 – 200,305 – Qatari riyal 67,128 275 – 66,853 – Russian rouble 719 719 – – – South African rand 1,118,856 87 – 1,118,769 – Sterling 1,561 1,561 – – – Taiwanese dollar 1,792,365 20,964 – 1,771,401 – Thai baht 377,645 – – 377,645 – Turkish lira 302,408 430 – 301,978 – UAE dirham 67,476 272 – 67,204 –

10,635,590 30,123 – 10,605,467 –

BNY Mellon Emerging Markets Equity Core Fund USD USD USD USD USD Brazilian real 16,324,737 110,084 – 16,214,653 – Euro 1,222,716 20,473 – 1,202,243 – Hong Kong dollar 33,735,744 31,422 – 33,704,322 – Indonesian rupiah 2,681,019 51,949 – 2,629,070 – Korean won 21,755,967 10,407 – 21,745,560 – Malaysian ringgit 637,771 23,803 – 613,968 – Mexican peso 1,634,145 6,903 – 1,627,242 – Philippine peso 3,312,133 38,814 – 3,273,319 – Polish zloty 866,601 17,107 – 849,494 – Russian rouble 42,406 42,406 – – – Singapore dollar 929,411 7,029 – 922,382 – South African rand 8,154,261 21,513 – 8,132,748 – Sterling 8 8 – – – Taiwanese dollar 12,141,061 15,971 – 12,125,090 – Thai baht 6,163,599 13,578 – 6,150,021 – Turkish lira 3,202,858 24,028 – 3,178,830 – UAE dirham 861,151 – – 861,151 –

113,665,588 435,495 – 113,230,093 –

320 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund USD USD USD USD USD Brazilian real 31,643,433 27,821,450 – – 3,821,983 Colombian peso 12,484,734 13,498,871 – – (1,014,137) Euro 1,869,864 259,994 – – 1,609,870 Hungarian forint (3,033,995) – – – (3,033,995) Indian rupee 5,346,723 – – – 5,346,723 Indonesian rupiah (14,330) 844,291 – – (858,621) Korean won (5,717,109) – – – (5,717,109) Malaysian ringgit 18,298,504 12,925,330 – – 5,373,174 Mexican peso 30,325,139 25,184,962 – – 5,140,177 Peruvian nuevo sol (1,682,536) – – – (1,682,536) Philippine peso 786,672 786,672 – – – Polish zloty 23,712,225 25,029,467 – – (1,317,242) Romanian leu 830,469 1,753,413 – – (922,944) Russian rouble 6,435,039 10,833,397 – – (4,398,358) Singapore dollar (1,885,829) – – – (1,885,829) South African rand 12,939,151 25,749,777 – – (12,810,626) Sterling 320 320 – – – Thai baht 9,122,825 5,365,484 – – 3,757,341 Turkish lira 18,006,750 13,710,018 – – 4,296,732

159,468,049 163,763,446 – – (4,295,397)

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR EUR Australian dollar (61,220,951) 18 – – (61,220,969) Brazilian real 1,426,729 1,965,020 (538,291) – – Danish krone 33,724 33,724 – – – Indian rupee 29,999,184 – – – 29,999,184 Japanese yen (30,646,277) 36,481 – – (30,682,758) Korean won (32,021,237) – – – (32,021,237) Mexican peso (5,496,426) 581,369 – – (6,077,795) New Zealand dollar 1,540,002 746,587 – – 793,415 Polish zloty (2,705,463) – – – (2,705,463) South African rand (31,990,093) 463 – – (31,990,556) Sterling 1,276,311 78,905,193 (2,685,498) – (74,943,384) Swedish krona 1,033 1,033 – – – Swiss franc (185,084) 16,189,810 – – (16,374,894) US dollar 164,251,919 624,173,889 (10,397,783) – (449,524,187)

34,263,371 722,633,587 (13,621,572) – (674,748,644)

BNY Mellon European Credit Fund EUR EUR EUR EUR EUR Sterling (163,443) 5,792,754 (99,622) 4,936,678 (10,793,253) US dollar 2,171,533 9,574,934 (14,989) – (7,388,412)

2,008,090 15,367,688 (114,611) 4,936,678 (18,181,665)

321 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Global Bond Fund USD USD USD USD USD Australian dollar 7,473,284 29,562,580 – – (22,089,296) Brazilian real 266,729 13,374,240 – – (13,107,511) Canadian dollar 6,929,172 5,702,774 – – 1,226,398 Euro 134,851,349 151,770,326 – – (16,918,977) Japanese yen 100,886,980 – – – 100,886,980 Mexican peso 8,526,455 10,622,380 – – (2,095,925) New Zealand dollar 328,545 14,636,293 (744) – (14,307,004) Norwegian krone (57,396) 8,288,129 – – (8,345,525) Polish zloty (114,823) 12,718,307 – – (12,833,130) Singapore dollar (99,273) 8,246,114 – – (8,345,387) Sterling 26,435,307 45,303,695 – – (18,868,388) Swedish krona 2,848,452 10,925,956 – – (8,077,504) Turkish lira 220,126 2,578,875 – – (2,358,749)

288,494,907 313,729,669 (744) – (25,234,018)

BNY Mellon Global Dynamic Bond Fund USD USD USD USD USD Australian dollar 288,333 9,994,022 – – (9,705,689) Brazilian real 61,019 5,381,165 – – (5,320,146) Canadian dollar (18,391) 4,789,683 – – (4,808,074) Chinese yuan 20,625 20,625 – – – Czech koruna 18 18 – – – Euro (8,273,366) 31,588,760 – – (39,862,126) Japanese yen (5,306,182) – – – (5,306,182) Mexican peso 2,637,779 4,252,651 – – (1,614,872) New Zealand dollar 22,689 1,912,035 – – (1,889,346) Norwegian krone (6,990) 803,105 – – (810,095) Polish zloty (39,318) 3,756,963 – – (3,796,281) Singapore dollar (57,800) 3,383,832 – – (3,441,632) Sterling (5,194,775) 65,268,355 – – (70,463,130) Swedish krona 15,939 651,515 – – (635,576)

(15,850,420) 131,802,729 – – (147,653,149)

322 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD USD Brazilian real 1,551,805 2,678 – 1,549,127 – Chilean peso 476,420 – – 476,420 – Chinese yuan 570,486 – – 570,486 – Czech koruna 829,847 – – 829,847 – Euro 163,839 68 – 163,771 – Hong Kong dollar 4,507,810 7,092 – 4,507,810 (7,092) Indonesian rupiah 277,080 – – 277,080 – Malaysian ringgit 2,358,210 – – 2,358,210 – Mexican peso 2,413,112 – – 2,413,112 – Philippine peso 1,433,073 – – 1,433,073 – Polish zloty 880,509 – – 880,509 – South African rand 3,261,583 – – 3,261,583 – Sterling 773,882 – – 773,882 – Swedish krona 436,951 – – 436,951 – Taiwanese dollar 3,573,302 1,991 – 3,571,311 – Thai baht 2,741,991 – – 2,741,991 –

26,249,900 11,829 – 26,245,163 (7,092)

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD USD Brazilian real 718,740 10,547 – 708,193 – Chilean peso 178,949 1,237 – 177,712 – Chinese yuan 3,785 3,785 – – – Czech koruna 2,122 2,122 – – – Euro 56,277 5,878 – 50,399 – Hong Kong dollar 2,862,729 2,486 – 2,860,243 – Hungarian forint 181,586 1,779 – 179,807 – Indian rupee 1,327,877 8,251 – 1,319,626 – Indonesian rupiah 14,685 176 – 14,509 – Korean won 2,167,839 1,178 – 2,166,661 – Malaysian ringgit 102,384 1,332 – 101,052 – Mexican peso 108,242 654 – 107,588 – Polish zloty 120,882 1,484 – 119,398 – Qatari riyal 36,136 – – 36,136 – Russian rouble 723 723 – – – South African rand 241,753 1,046 – 240,707 – Sterling 2,513 2,513 – – – Taiwanese dollar 910,458 1,062 – 909,396 – Thai baht 323,418 593 – 322,825 – Turkish lira 130,451 1,661 – 128,790 – UAE dirham 31,258 4,613 – 26,645 –

9,522,807 53,120 – 9,469,687 –

323 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Global Equity Fund USD USD USD USD USD Australian dollar 41,896 – – 41,896 – Brazilian real 866,009 – – 866,009 – Canadian dollar 5,531,409 27,757 – 5,531,409 (27,757) Euro 30,784,894 156 – 33,613,110 (2,828,372) Hong Kong dollar 4,566,783 – – 4,566,783 – Indian rupee 2,481,340 281 – 3,008,457 (527,398) Japanese yen 18,739,772 – – 18,739,772 – Norwegian krone 2,490,532 – – 2,490,532 – Sterling 18,886,084 2 – 18,886,082 – Swedish krona 2,728,987 – – 2,728,987 – Swiss franc 16,352,926 – – 16,352,926 –

103,470,632 28,196 – 106,825,963 (3,383,527)

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD USD Australian dollar 3,216,003 – – 3,216,003 – Brazilian real 1,477,317 – – 1,477,317 – Canadian dollar 1,763,033 – – 1,763,033 – Danish krone 6,530,246 – – 6,530,246 – Euro 41,193,066 – (24,215) 54,440,324 (13,223,043) Hong Kong dollar 4,052,527 – – 4,052,527 – Japanese yen 6,847,895 – – – 6,847,895 Korean won 2,944,917 – – 2,944,917 – Norwegian krone 11,468,930 – – 11,468,930 – Singapore dollar 2,786,459 – – 2,786,459 – Sterling 42,199,800 – – 49,150,847 (6,951,047) Swedish krona 6,322,848 – – 6,322,848 – Swiss franc 34,979,482 – – 34,979,482 – Taiwanese dollar 1,587 1,587 – – – Thai baht 2,990,222 – – 2,990,222 –

168,774,332 1,587 (24,215) 182,123,155 (13,326,195)

BNY Mellon Global High Yield Bond Fund USD USD USD USD USD Euro 964,227 17,463,648 – – (16,499,421) Sterling (276,767) 6,612,415 – – (6,889,182)

687,460 24,076,063 – – (23,388,603)

324 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD USD Australian dollar (4,348,692) 5,746,393 – – (10,095,085) Brazilian real 1,409,019 1,942,463 – – (533,444) Colombian peso (241,867) 2,520,030 – – (2,761,897) Euro (3,067,252) 6,025,137 – – (9,092,389) Indian rupee 5,208,838 – – – 5,208,838 Japanese yen (3,257,068) 625 – – (3,257,693) Mexican peso 1,745,744 2,618,559 (19,753) – (853,062) New Zealand dollar (4,305,871) 5,006,228 – – (9,312,099) Norwegian krone 1,063,206 – – – 1,063,206 Polish zloty 60,343 2,094,965 – – (2,034,622) South African rand (2,067,725) 11 – – (2,067,736) Sterling (159,663) 3,741,039 (194,743) – (3,705,959) Swedish krona (1,052,874) – – – (1,052,874) Swiss franc (2,088,560) – – – (2,088,560)

(11,102,422) 29,695,450 (214,496) – (40,583,376)

BNY Mellon Global Opportunities Fund USD USD USD USD USD Canadian dollar 1,947,119 7,868 – 1,947,119 (7,868) Euro 15,592,176 22,149 – 15,600,321 (30,294) Hong Kong dollar 1,861,910 – – 1,861,910 – Indian rupee 255 255 – – – Israeli shekel 1,201,965 – – 1,201,965 – Japanese yen 3,195,230 – – 3,195,230 – Sterling 8,251,453 1 – 8,251,452 – Swiss franc 6,599,012 – – 6,599,012 – Taiwanese dollar 888 888 – – –

38,650,008 31,161 – 38,657,009 (38,162)

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR EUR Australian dollar 670,418 9,739 – 660,679 – Canadian dollar 307,240 2,717 – 304,523 – Hong Kong dollar 727,437 6,658 – 720,779 – Japanese yen 1,323,737 21,334 – 1,302,403 – Norwegian krone 19,214 58 – 19,156 – Singapore dollar 349,062 8,556 – 340,506 – Sterling 712,555 9,258 – 703,297 – Swedish krona 188,868 17,852 – 171,016 – US dollar 6,146,418 63,094 – 6,083,324 –

10,444,949 139,266 – 10,305,683 –

325 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR EUR Australian dollar 2,030,640 149,681,779 – 34,915,068 (182,566,207) Canadian dollar (663,908) 47,307 – 30,583,758 (31,294,973) Danish krone 7,353,197 – – 22,438,258 (15,085,061) Israeli shekel (157,950) – – 5,835,686 (5,993,636) Japanese yen 59,596,572 – – 59,596,572 – New Zealand dollar 46,881,179 25,542,332 (1,122) 21,339,969 – Norwegian krone (2,191) – (2,191) – – South African rand 10,508,957 – – 10,508,957 – Sterling 10,774,142 29,239,884 (2,027,290) 272,817,552 (289,256,004) Swedish krona (61,853) – – 60,881,759 (60,943,612) Swiss franc 80,474,458 – – 105,865,263 (25,390,805) US dollar 80,612,690 260,596,776 (7,959,786) 422,731,460 (594,755,760)

297,345,933 465,108,078 (9,990,389) 1,047,514,302 (1,205,286,058)

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP GBP Australian dollar 29,224 2,375,286 – 553,069 (2,899,131) Canadian dollar 3,016 – – 490,254 (487,238) Danish krone (72,733) – – 359,360 (432,093) Euro (449,924) – (3,126) 5,157,432 (5,604,230) Israeli shekel 11,120 108 – 95,533 (84,521) Japanese yen 945,415 – – 945,415 – New Zealand dollar 735,468 397,601 (301) 338,168 – South African rand 160,569 – – 160,569 – Swedish krona 129,355 – – 889,172 (759,817) Swiss franc 1,156,252 – – 1,685,987 (529,735) US dollar 1,169,168 4,265,526 (127,066) 6,667,093 (9,636,385)

3,816,930 7,038,521 (130,493) 17,342,052 (20,433,150)

BNY Mellon Global Real Return Fund (USD) USD USD USD USD USD Australian dollar 1,414,856 31,103,264 – 6,679,888 (36,368,296) Canadian dollar (992,364) 9,620 – 6,648,587 (7,650,571) Danish krone (687,664) – – 4,005,925 (4,693,589) Euro 1,931,705 177,005 (24,661) 67,041,733 (65,262,372) Israeli shekel (207,607) – – 1,207,971 (1,415,578) Japanese yen 12,233,232 – – 12,233,232 – New Zealand dollar 447,734 5,452,603 – 4,497,280 (9,502,149) Norwegian krone (3,046) – (3,046) – – South African rand 342,843 1 – 2,223,995 (1,881,153) Sterling 1,985,028 6,484,319 (406,669) 57,708,807 (61,801,429) Swedish krona (298,831) – – 12,031,663 (12,330,494) Swiss franc (279,936) – – 22,025,595 (22,305,531)

15,885,950 43,226,812 (434,376) 196,304,676 (223,211,162)

326 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY JPY Sterling 927,596 927,596 – – – US dollar 121,811 121,811 – – –

1,049,407 1,049,407 – – –

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY JPY Euro 3,045 3,045 – – – Sterling 1,137,170 1,137,170 – – – US dollar 931,531 931,531 – – –

2,071,746 2,071,746 – – –

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR EUR Australian dollar 50,732,898 1 – 50,732,897 – Canadian dollar 21,638,440 – – 21,638,440 – Danish krone 28,112,161 – – 28,112,161 – Hong Kong dollar 124,860,653 – – 124,860,653 – Japanese yen 148,095,667 – – 148,095,667 – Singapore dollar 30,495,435 – – 30,495,435 – Sterling 106,061,019 361,216 – 105,699,803 – Swedish krona 29,581,155 – – 29,581,155 – Swiss franc 146,986,648 256,709 – 146,729,939 – US dollar 706,070,973 356,887 – 704,901,276 812,810

1,392,635,049 974,813 – 1,390,847,426 812,810

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR EUR Danish krone 363,907 – – 363,907 – Norwegian krone 1,018,614 – (2,430) 1,021,044 – Sterling 5,123,461 5 – 5,123,456 – Swedish krona 741,891 – – 741,891 – Swiss franc 3,643,628 – – 3,643,628 – US dollar 571 650 – – (79)

10,892,072 655 (2,430) 10,893,926 (79)

BNY Mellon S&P 500® Index Tracker USD USD USD USD USD Euro 21,939 21,939 – – –

21,939 21,939 – – –

327 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Net Exposure Monetary Monetary Non-monetary Fund Currency 31 December 2014 assets liabilities assets Hedging

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR EUR Sterling 294,834 884 – 293,950 – Swiss franc 1 1 – – – US dollar 292,892 2,335 – 290,557 –

587,727 3,220 – 584,507 –

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD USD Euro 7,496 7,496 – – – Sterling 10 10 – – –

7,506 7,506 – – –

BNY Mellon US Opportunities Fund USD USD USD USD USD Euro 121 121 – – –

121 121 – – –

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 of providing 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).

As at 31 December 2015 and 31 December 2014, 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.

Functional Increase/(decrease) Increase/(decrease) Fund currency in net asset value in net asset value 2015 2014

BNY Mellon Asian Equity Fund USD 4,045,011 7,288,983 BNY Mellon Asian Income Fund GBP 2 3,221 BNY Mellon Brazil Equity Fund USD 2,182,844 4,423,105 BNY Mellon Emerging Markets Corporate Debt Fund USD (46,396) (33,339) BNY Mellon Emerging Markets Equity Fund* USD N/A 531,780 BNY Mellon Emerging Markets Equity Core Fund* USD N/A 5,683,279 BNY Mellon Global Bond Fund USD 8,442,562 14,424,745 BNY Mellon Global Dynamic Bond Fund USD (614,480) (792,521) BNY Mellon Global Emerging Markets Fund* USD 638,248 1,312,495 BNY Mellon Global Emerging Markets Equity Value Fund USD 14,792 476,140 BNY Mellon Global Equity Fund USD 5,242,832 5,173,532 BNY Mellon Global Equity Income Fund* USD 9,856,546 8,438,717 BNY Mellon Global Opportunities Fund USD 2,964,716 1,932,500 BNY Mellon Global Property Securities Fund EUR 636,798 522,247

328 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CURRENCY RISK contd.

Functional Increase/(decrease) Increase/(decrease) Fund currency in net asset value in net asset value 2015 2014

BNY Mellon Global Real Return Fund (EUR) EUR 10,300,458 14,867,297 BNY Mellon Global Real Return Fund (GBP) GBP 189,676 190,847 BNY Mellon Global Real Return Fund (USD) USD (277,528) 794,298 BNY Mellon Japan All Cap Equity Fund JPY 156,237 52,470 BNY Mellon Japan Small Cap Equity Focus Fund JPY 749,232 103,587 BNY Mellon Long-Term Global Equity Fund EUR 65,369,022 69,631,752 BNY Mellon Pan European Equity Fund EUR 1,387,992 544,604 BNY Mellon S&P 500® Index Tracker USD 2,822 1,097 BNY Mellon Small Cap Euroland Fund EUR 1,769,601 29,386 BNY Mellon U.S. Dynamic Value Fund USD 326 375 BNY Mellon US Opportunities Fund USD 921 6

* Please refer to Note 20 of the fi nancial statements.

For those Funds which use VaR, the currency risk sensitivity analysis has been incorporated into the calculation of market price risk.

CREDIT RISK Credit risk is the risk that one party to a fi nancial instrument will cause a fi nancial loss for the other party by failing to discharge 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, fi nancial 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 fi nancial assets approximates their carrying values as recorded in the Statement of Financial Position.

The Investment Managers manage issuer risk through building diversifi ed portfolios with a limited concentration of exposure (10%) to any one issuer in accordance with the Central Bank UCITS Regulations and the investment objectives 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 of the Funds.

Substantially all of the assets of the Company are held by the Custodian. Bankruptcy or insolvency of the Custodian may cause the Company’s rights with respect to securities and other positions held by the Custodian to be delayed or limited.

The Company only transacts with custodians 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 Custodian on a quarterly basis in order to mitigate risk. The Custodian 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 2014: AA-) as at the end of the year.

The Company’s securities and other positions are segregated from the assets of either the Custodian or its agents. Thus in the event of insolvency or bankruptcy of the Custodian, the Company’s securities and other positions are segregated from those of the Custodian or its agents. The Company will, however, be exposed to the credit risk of the Custodian, or any depository used by the Custodian, in relation to the Company’s cash held by the Custodian. In the event of insolvency or bankruptcy of the Custodian, the Company will be treated as a general creditor of the Custodian in relation to cash holdings of the Company.

329 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd. 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 2015 are listed in the table below (rating for 31 December 2014 is the same except where stated):

Counterparty Rating Counterparty Rating

Bank of America Merrill Lynch A Morgan Stanley & Co. LLC A Bank of Montreal A+ Nomura Holdings Inc BBB+ Bank of New York Mellon Corporation A (31 December 2014: A+) RBC Capital Markets LLC AA- Barclays Bank Plc A- (31 December 2014: A) Royal Bank of Canada AA- BNP Paribas A+ Royal Bank of Scotland Plc BBB+ (31 December 2014: A-) Credit Suisse AG A Societe Generale A Citibank N.A. A Standard Chartered Bank A+ Commonwealth Bank of Australia AA- State Street Corp A (31 December 2014: A+) Deutsche Bank AG BBB+ (31 December 2014: A) Toronto Dominion Bank AA- Goldman Sachs & Co. A UBS AG A HSBC Bank Plc AA- Westpac Banking Corp AA- J.P. Morgan AG A+

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 by Standard & 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 2015 and 31 December 2014:

Fund Base Currency 31 December 2015 31 December 2014

BNY Mellon Asian Equity Fund USD 1,806,854 12,101,103 BNY Mellon Brazil Equity Fund USD 2,273,966 3,819,891 BNY Mellon Emerging Markets Equity Core Fund* USD – 851,571 BNY Mellon Global Bond Fund USD 8,302,380 1,113,939 BNY Mellon Global Dynamic Bond Fund USD 5,823,844 17,905,224 BNY Mellon Global Emerging Markets Fund* USD – 1,636,403 BNY Mellon Global Equity Fund USD 10,975,622 7,362,030 BNY Mellon Global Equity Income Fund* USD 8,413,422 1,820,772 BNY Mellon Global Opportunities Fund USD 6,286,398 2,747,134 BNY Mellon Global Property Securities Fund EUR 12,007 12,392 BNY Mellon Global Real Return Fund (EUR) EUR 86,744,096 86,163,176

330 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd.

Fund Base Currency 31 December 2015 31 December 2014

BNY Mellon Global Real Return Fund (GBP) GBP 1,775,781 1,632,903 BNY Mellon Global Real Return Fund (USD) USD 27,316,379 21,997,602 BNY Mellon Long-Term Global Equity Fund EUR – 16,348,425 BNY Mellon Pan European Equity Fund EUR 537,777 1,074,775 BNY Mellon US Opportunities Fund USD 178,459 35,085

* Please refer to Note 20 of the fi nancial statements.

Details of Standard & Poor’s credit rating carried by all investments in interest bearing securities such as bonds and similar fi nancial instruments as at 31 December 2015 and 31 December 2014 are listed in the table below and further analytics may be sourced from the Company’s Datafi le, produced by BNY Mellon Investment Management EMEA Limited.

Fund Rating 31 December 2015 31 December 2014 %%

BNY Mellon Absolute Insight Fund AAA to AA- 12.90 22.90 A+ to BBB+ 8.50 8.30 BBB to BBB- 13.40 12.00 BB+ to BB- 7.90 6.40 B+ to B- 4.20 5.40 CCC+ to D 1.70 1.50

BNY Mellon Absolute Return Bond Fund AAA 5.63 5.61 AA 14.19 17.78 A 37.99 33.05 BBB 15.11 17.47 BB 9.74 14.44 B 0.46 4.94 CCC – 0.27 Unrated 0.95 2.12

BNY Mellon Absolute Return Equity Fund AAA – 3.79 AAA- – 11.34 AA+ – 2.42 AA – 2.25 AA- – 15.71 A+ – 10.60 A 0.63 15.82 A1+ 23.09 7.89 A1 17.15 25.68 A-1+ 32.75 – A-1 26.38 – Unrated – 4.50

BNY Mellon Asian Bond Fund AAA 6.80 14.90 AA 10.90 13.80 A 30.70 17.90 BBB 38.20 37.00 BB 6.90 12.70 B 5.80 3.70 Unrated 0.70 –

331 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd.

Fund Rating 31 December 2015 31 December 2014 %%

BNY Mellon Crossover Credit Fund A 2.90 1.70 BBB 53.10 56.10 BB 40.00 36.60 B 2.60 2.40

Bny Mellon Dynamic Total Return Fund* AA+ 86.00 –

BNY Mellon Emerging Markets Corporate Debt Fund IG 57.60 64.80 BB 23.50 18.20 B 7.60 3.20 CCC & below 0.90 1.80 Unrated – 0.40

BNY Mellon Emerging Markets Debt Fund AAA 5.60 – AA 1.80 – AA- – 0.30 A 4.40 12.80 BBB 44.80 60.50 BB 27.90 14.90 B 7.60 6.10 CCC 7.60 2.60 D 0.30 0.50

BNY Mellon Emerging Markets Debt Local Currency Fund AAA 4.50 0.90 A 22.50 29.20 A- 4.70 3.40 BBB+ 15.50 41.00 BBB 14.10 10.60 BBB- 33.30 11.20 BB+ 4.40 – CCC+ 0.20 –

BNY Mellon Emerging Markets Debt Opportunistic Fund AAA 4.70 – AA 2.70 – A 21.20 11.20 BBB 52.60 53.20 BB 15.30 18.90 B 1.30 5.30 CCC 1.50 2.10 D 0.30 0.00 Unrated – 1.30

BNY Mellon Emerging Markets Local Currency Investment AAA – 1.20 Grade Debt Fund* A – 35.70 A- – 3.00 BBB+ – 40.60 BBB – 11.50 BBB- – 1.60

332 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd.

Fund Rating 31 December 2015 31 December 2014 %%

BNY Mellon Euroland Bond Fund AAA 13.60 17.20 AA 13.40 17.00 A 9.60 12.40 BBB 54.20 41.60 BB 3.70 6.30 B 5.40 5.60

BNY Mellon European Credit Fund AAA 0.20 1.60 AA 6.00 7.60 A 34.70 39.60 BBB 39.90 38.60 BB & below 8.40 4.30 Insight EMD Fund 3.40 3.00 Insight Short Dated HY Fund 2.60 1.70

BNY Mellon Global Bond Fund AAA 71.50 57.30 AA 10.40 22.80 A 4.60 10.80 BBB 13.60 9.00

BNY Mellon Global Dynamic Bond Fund AAA 39.30 31.20 AA 24.10 23.80 A 7.40 11.80 BBB 19.00 16.30 BB 5.10 6.80 B 3.90 7.70 CCC 0.20 0.90 Unrated 1.00 1.40

BNY Mellon Global High Yield Bond Fund BBB 1.00 3.20 BB 32.10 31.30 B 48.00 45.40 CCC & below 14.90 18.10

BNY Mellon Global Opportunistic Bond Fund AAA 11.70 9.40 AA 5.90 7.50 A 12.60 11.30 BBB 24.30 28.50 BB 12.60 11.60 B & below 32.90 31.70

BNY Mellon Global Real Return Fund (EUR) AAA 81.80 – AA 8.62 6.10 A 1.95 27.80 BBB 1.05 17.80 BB 2.63 48.30 B 3.95 –

333 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd.

Fund Rating 31 December 2015 31 December 2014 %%

BNY Mellon Global Real Return Fund (GBP) AAA 81.76 – AA 8.12 – A 1.48 23.10 BBB 1.28 19.40 BB 3.46 – B 3.90 57.50

BNY Mellon Global Real Return Fund (USD) AAA 83.05 – AA 6.88 5.90 A 1.45 23.60 BBB 0.94 21.50 BB 3.36 – B 4.32 49.00

BNY Mellon Targeted Return Bond Fund* AAA 23.68 – AA 1.60 – A 8.47 – BBB 19.32 – BB 14.18 – B 17.44 – CCC 14.15 – D1.16–

* Please refer to Note 20 of the fi nancial statements.

All transactions in listed securities are settled or paid upon delivery using approved brokers. The risk of broker default is considered 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 specifi ed in the contract and are intended to identify the occurrence of a signifi cant 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 fi xed 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 to investment 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.

334 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd. The maximum exposure for the Funds listed as a seller of protection is detailed below.

31 December 2015 31 December 2014 Fund Base Currency Maximum Exposure Maximum Exposure

BNY Mellon Absolute Insight Fund EUR 3,200,000 1,100,000 BNY Mellon Absolute Return Bond Fund EUR 97,015,138 32,796,000 BNY Mellon Crossover Credit Fund EUR 3,500,000 N/A BNY Mellon Emerging Markets Debt Opportunistic Fund USD N/A 400,000 BNY Mellon Euroland Bond Fund EUR 218,155,963 N/A BNY Mellon European Credit Fund EUR 1,400,000 N/A BNY Mellon Global Opportunistic Bond Fund USD 23,700,000 6,600,000

Where possible the Company restricts its exposure to credit losses on the trading derivative instruments it holds by entering into master netting arrangements with counterparties (approved brokers) with whom it undertakes a signifi cant volume of transactions. 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 on a gross basis. However, the credit risk associated with favourable contracts is reduced by a master netting arrangement to the 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.

The Company employs a risk management process which will enable it to measure, monitor and manage the risks attached to fi nancial 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 fi nancial 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 in respect of transactions in fi nancial derivative instruments and may bear the risk of counterparty default.

The Funds may receive cash and eligible non-cash collateral in relation to derivative trading to reduce counterparty exposure. Cash collateral received by the Funds is shown as an asset in the Statement of Financial Position, which is offset by a corresponding liability.

At 31 December 2015, non-cash collateral provided by brokers is as follows:

Fund Counterparty Currency Fair Value

BNY Mellon Emerging Markets Debt Local Currency Fund Goldman Sachs & Co. USD 5,848,459 BNY Mellon Euroland Bond Fund Citibank N.A. EUR 3,139,403 BNY Mellon Euroland Bond Fund J.P. Morgan AG EUR 6,485,022 BNY Mellon Euroland Bond Fund Citibank N.A. EUR 583,020

At 31 December 2014, non-cash collateral provided by brokers was as follows:

Fund Counterparty Currency Fair Value

BNY Mellon Emerging Markets Debt Local Currency Fund J.P. Morgan AG USD 2,193,248 BNY Mellon Emerging Markets Debt Local Currency Fund Citibank N.A. USD 5,495,906 BNY Mellon Global Opportunistic Bond Fund J.P. Morgan AG USD 803,031

335 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

CREDIT RISK contd. Those Funds entering into securities lending arrangements are also open 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 fi nancial statements.

BNY Mellon Absolute Insight Fund, BNY Mellon Absolute Return Bond Fund, BNY Mellon Global High Yield Bond Fund and BNY Mellon Global Opportunistic 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 Custodian 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 suffi cient 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 of redeemable 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 suffi cient 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 Custodian 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.

The Company’s fi nancial 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 fl ow that may be required to dispose of the securities. Future cash fl ows of the Funds and realised liabilities may differ from current liabilities based on changes in market conditions.

All fi nancial liabilities are realisable within three months except those noted in the table below.

336 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd. The table below summarises fi nancial liabilities for Funds with derivative exposures, into relevant maturity groupings based on the remaining period as at 31 December 2015 to the contractual maturity date. The tables have been prepared based on the undiscounted gross cash outfl ows relating to its fi nancial liabilities:

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR EUR Futures 12,330 129,618 2,157 53,918 198,023 Options 103,602 450,790 258,010 – 812,402 Swaps – – 876,022 730,271 1,606,293 Forward contracts 75,382,595 1,300,404 – – 76,682,999

Financial liabilities at fair value through profit or loss 75,498,527 1,880,812 1,136,189 784,189 79,299,717

Liabilities Bank overdraft 9,905 – – – 9,905 Accrued expenses 278,278 – – – 278,278 Other payables 603,742 – – – 603,742 Margins on derivative contracts 794,926 – – – 794,926 Redeemable participating shares 224,417,441 – – – 224,417,441

Total financial liabilities 301,602,819 1,880,812 1,136,189 784,189 305,404,009

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR EUR Options – 57,292 – – 57,292 Swaps – – – 6,855,343 6,855,343 Forward contracts 265,394,338 289,752,495 – – 555,146,833

Financial liabilities at fair value through profit or loss 265,394,338 289,809,787 – 6,855,343 562,059,468

Liabilities Accrued expenses 1,129,911 – – – 1,129,911 Other payables 3,755,586 – – – 3,755,586 Margins on derivative contracts 14,828,865 – – – 14,828,865 Redeemable participating shares 2,156,159,324 – – – 2,156,159,324

Total financial liabilities 2,441,268,024 289,809,787 – 6,855,343 2,737,933,154

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP GBP Futures 495,844 4,049,382 – – 4,545,226 Swaps – – 29,705,750 7,138,665 36,844,415 Forward contracts 36,670,642 63,690,850 – – 100,361,492

Financial liabilities at fair value through profit or loss 37,166,486 67,740,232 29,705,750 7,138,665 141,751,133

Liabilities Bank overdraft 7,110 – – – 7,110 Accrued expenses 1,815,413 – – – 1,815,413 Other payables 13,952,871 – – – 13,952,871 Redeemable participating shares 1,877,967,094 – – – 1,877,967,094

Total financial liabilities 1,930,908,974 67,740,232 29,705,750 7,138,665 2,035,493,621

337 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Asian Bond Fund USD USD USD USD USD Forward contracts 846,209 – – – 846,209

Financial liabilities at fair value through profit or loss 846,209 – – – 846,209

Liabilities Accrued expenses 61,344 – – – 61,344 Margins on derivative contracts 10,180 – – – 10,180 Redeemable participating shares 40,960,870 – – – 40,960,870

Total financial liabilities 41,878,603 – – – 41,878,603

BNY Mellon Asian Equity Fund USD USD USD USD USD Forward contracts 9,515 – – – 9,515

Financial liabilities at fair value through profit or loss 9,515 – – – 9,515

Liabilities Bank overdraft 2 – – – 2 Accrued expenses 194,242 – – – 194,242 Other payables 36,341 – – – 36,341 Redeemable participating shares 92,509,650 – – – 92,509,650

Total financial liabilities 92,749,750 – – – 92,749,750

BNY Mellon Asian Income Fund GBP GBP GBP GBP GBP Liabilities Accrued expenses 39,450 – – – 39,450 Redeemable participating shares 21,002,259 – – – 21,002,259

Total financial liabilities 21,041,709 – – – 21,041,709

BNY Mellon Brazil Equity Fund USD USD USD USD USD Forward contracts 35,611 – – – 35,611

Financial liabilities at fair value through profit or loss 35,611 – – – 35,611

Liabilities Bank overdraft 15,303 – – – 15,303 Accrued expenses 123,650 – – – 123,650 Other payables 536,522 – – – 536,522 Redeemable participating shares 56,888,143 – – – 56,888,143

Total financial liabilities 57,599,229 – – – 57,599,229

338 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR EUR Futures – 18,000 – – 18,000 Swaps – – 5,613 – 5,613

Financial liabilities at fair value through profit or loss – 18,000 5,613 – 23,613

Liabilities Accrued expenses 127,731 – – – 127,731 Other payables 5,030 – – – 5,030 Redeemable participating shares 233,567,042 – – – 233,567,042

Total financial liabilities 233,699,803 18,000 5,613 – 233,723,416

BNY Mellon Dynamic Total Return Fund* USD USD USD USD USD Futures 8,955 89,051 – – 98,006 Forward contracts 564,445 1,905,509 – – 2,469,954

Financial liabilities at fair value through profit or loss 573,400 1,994,560 – – 2,567,960

Liabilities Accrued expenses 31,185 – – – 31,185 Other payables 538,903 – – – 538,903 Margins on derivative contracts 82,528 – – – 82,528 Redeemable participating shares 11,519,058 – – – 11,519,058

Total financial liabilities 12,745,074 1,994,560 – – 14,739,634

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD USD Forward contracts 8,119,010 – – – 8,119,010

Financial liabilities at fair value through profit or loss 8,119,010 – – – 8,119,010

Liabilities Accrued expenses 39,252 – – – 39,252 Redeemable participating shares 108,707,950 – – – 108,707,950

Total financial liabilities 116,866,212 – – – 116,866,212

BNY Mellon Emerging Markets Debt Fund USD USD USD USD USD Forward contracts 3,486,902 – – – 3,486,902

Financial liabilities at fair value through profit or loss 3,486,902 – – – 3,486,902

Liabilities Accrued expenses 140,248 – – – 140,248 Other payables 353,091 – – – 353,091 Redeemable participating shares 71,167,680 – – – 71,167,680

Total financial liabilities 75,147,921 – – – 75,147,921

339 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD USD Options 1,615,125 771,793 – – 2,386,918 Forward contracts 287,237,713 – – – 287,237,713

Financial liabilities at fair value through profit or loss 288,852,838 771,793 – – 289,624,631

Liabilities Accrued expenses 1,306,854 – – – 1,306,854 Other payables 5,678,381 – – – 5,678,381 Redeemable participating shares 1,324,481,237 – – – 1,324,481,237

Total financial liabilities 1,620,319,310 771,793 – – 1,621,091,103

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD USD Options 78,267 29,522 – – 107,789 Forward contracts 10,359,649 – – – 10,359,649

Financial liabilities at fair value through profit or loss 10,437,916 29,522 – – 10,467,438

Liabilities Accrued expenses 27,342 – – – 27,342 Other payables 250,000 – – – 250,000 Redeemable participating shares 87,983,556 – – – 87,983,556

Total financial liabilities 98,698,814 29,522 – – 98,728,336

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR EUR Futures – 733,381 – – 733,381 Swaps – – – 10,564,937 10,564,937 Forward contracts 1,175,104,147 9,186,375 – – 1,184,290,522

Financial liabilities at fair value through profit or loss 1,175,104,147 9,919,756 – 10,564,937 1,195,588,840

Liabilities Accrued expenses 2,168,238 – – – 2,168,238 Other payables 7,808,116 – – – 7,808,116 Margins on derivative contracts 6,399,563 – – – 6,399,563 Redeemable participating shares 2,753,951,220 – – – 2,753,951,220

Total financial liabilities 3,945,431,284 9,919,756 – 10,564,937 3,965,915,977

340 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon European Credit Fund EUR EUR EUR EUR EUR Futures – 35,745 – – 35,745 Swaps – – – 153,092 153,092 Forward contracts 307,743 – – – 307,743

Financial liabilities at fair value through profit or loss 307,743 35,745 – 153,092 496,580

Liabilities Accrued expenses 49,944 – – – 49,944 Other payables 2,546 – – – 2,546 Margins on derivative contracts 489,691 – – – 489,691 Redeemable participating shares 50,753,263 – – – 50,753,263

Total financial liabilities 51,603,187 35,745 – 153,092 51,792,024

BNY Mellon Global Bond Fund USD USD USD USD USD Forward contracts 33,686,720 92,563,603 – – 126,250,323

Financial liabilities at fair value through profit or loss 33,686,720 92,563,603 – – 126,250,323

Liabilities Bank overdraft 39,964 – – – 39,964 Accrued expenses 289,441 – – – 289,441 Other payables 6,849,445 – – – 6,849,445 Redeemable participating shares 309,274,826 – – – 309,274,826

Total financial liabilities 350,140,396 92,563,603 – – 442,703,999

BNY Mellon Global Dynamic Bond Fund USD USD USD USD USD Forward contracts 131,678,837 99,748,348 – – 231,427,185

Financial liabilities at fair value through profit or loss 131,678,837 99,748,348 – – 231,427,185

Liabilities Bank overdraft 1,411 – – – 1,411 Accrued expenses 232,086 – – – 232,086 Other payables 7,029 – – – 7,029 Redeemable participating shares 263,712,709 – – – 263,712,709

Total financial liabilities 395,632,072 99,748,348 – – 495,380,420

341 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD USD Forward contracts 923,158 – – – 923,158

Financial liabilities at fair value through profit or loss 923,158 – – – 923,158

Liabilities Bank overdraft 1 – – – 1 Accrued expenses 153,681 – – – 153,681 Other payables 3,375,850 – – – 3,375,850 Redeemable participating shares 68,936,938 – – – 68,936,938

Total financial liabilities 73,389,628 – – – 73,389,628

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD USD Liabilities Bank overdraft 2 – – – 2 Accrued expenses 61,760 – – – 61,760 Other payables 45,296,251 – – – 45,296,251 Redeemable participating shares 4,126,148 – – – 4,126,148

Total financial liabilities 49,484,161 – – – 49,484,161

BNY Mellon Global Equity Fund USD USD USD USD USD Forward contracts 993,002 503,114 – – 1,496,116

Financial liabilities at fair value through profit or loss 993,002 503,114 – – 1,496,116

Liabilities Accrued expenses 319,068 – – – 319,068 Other payables 222,268 – – – 222,268 Redeemable participating shares 255,410,733 – – – 255,410,733

Total financial liabilities 256,945,071 503,114 – – 257,448,185

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD USD Forward contracts 134,277,335 – – – 134,277,335

Financial liabilities at fair value through profit or loss 134,277,335 – – – 134,277,335

Liabilities Bank overdraft 878 – – – 878 Accrued expenses 523,342 – – – 523,342 Other payables 1,312,928 – – – 1,312,928 Redeemable participating shares 469,197,968 – – – 469,197,968

Total financial liabilities 605,312,451 – – – 605,312,451

342 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Global High Yield Bond Fund USD USD USD USD USD Forward contracts 67,887,385 – – – 67,887,385

Financial liabilities at fair value through profit or loss 67,887,385 – – – 67,887,385

Liabilities Accrued expenses 80,951 – – – 80,951 Other payables 1,074,235 – – – 1,074,235 Redeemable participating shares 134,419,024 – – – 134,419,024

Total financial liabilities 203,461,595 – – – 203,461,595

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD USD Futures – 26,223 – – 26,223 Options 178,067 172,562 – – 350,629 Swaps – – – 1,324,238 1,324,238 Forward contracts 87,069,731 – – – 87,069,731

Financial liabilities at fair value through profit or loss 87,247,798 198,785 – 1,324,238 88,770,821

Liabilities Accrued expenses 123,298 – – – 123,298 Other payables 2,810,672 – – – 2,810,672 Margins on derivative contracts 623,535 – – – 623,535 Redeemable participating shares 217,468,477 – – – 217,468,477

Total financial liabilities 308,273,780 198,785 – 1,324,238 309,796,803

BNY Mellon Global Opportunities Fund USD USD USD USD USD Forward contracts 7,837,439 – – – 7,837,439

Financial liabilities at fair value through profit or loss 7,837,439 – – – 7,837,439

Liabilities Accrued expenses 137,690 – – – 137,690 Other payables 915,753 – – – 915,753 Redeemable participating shares 141,840,200 – – – 141,840,200

Total financial liabilities 150,731,082 – – – 150,731,082

343 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR EUR Forward contracts 487,175 – – – 487,175

Financial liabilities at fair value through profit or loss 487,175 – – – 487,175

Liabilities Accrued expenses 35,674 – – – 35,674 Other payables 97,451 – – – 97,451 Redeemable participating shares 14,019,967 – – – 14,019,967

Total financial liabilities 14,640,267 – – – 14,640,267

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR EUR Forward contracts 537,688,606 492,719,234 – – 1,030,407,840

Financial liabilities at fair value through profit or loss 537,688,606 492,719,234 – – 1,030,407,840

Liabilities Bank overdraft 2 – – – 2 Accrued expenses 2,394,940 – – – 2,394,940 Other payables 3,185,789 – – – 3,185,789 Redeemable participating shares 2,609,987,886 – – – 2,609,987,886

Total financial liabilities 3,153,257,223 492,719,234 – – 3,645,976,457

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP GBP Futures – 359 – – 359 Forward contracts 1,942,827 36,695,756 – – 38,638,583

Financial liabilities at fair value through profit or loss 1,942,827 36,696,115 – – 38,638,942

Liabilities Bank overdraft 1 – – – 1 Accrued expenses 24,378 – – – 24,378 Redeemable participating shares 59,049,879 – – – 59,049,879

Total financial liabilities 61,017,085 36,696,115 – – 97,713,200

BNY Mellon Global Real Return Fund (USD) USD USD USD USD USD Forward contracts 26,665,610 32,299,378 – – 58,964,988

Financial liabilities at fair value through profit or loss 26,665,610 32,299,378 – – 58,964,988

Liabilities Bank overdraft 10 – – – 10 Accrued expenses 330,890 – – – 330,890 Other payables 284,542 – – – 284,542 Redeemable participating shares 506,138,241 – – – 506,138,241

Total financial liabilities 533,419,293 32,299,378 – – 565,718,671

344 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY JPY Forward contracts 4,052,463,113 – – – 4,052,463,113

Financial liabilities at fair value through profit or loss 4,052,463,113 – – – 4,052,463,113

Liabilities Accrued expenses 7,646,853 – – – 7,646,853 Redeemable participating shares 3,963,253,205 – – – 3,963,253,205

Total financial liabilities 8,023,363,171 – – – 8,023,363,171

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY JPY Forward contracts 3,393,932,049 – – – 3,393,932,049

Financial liabilities at fair value through profit or loss 3,393,932,049 – – – 3,393,932,049

Liabilities Accrued expenses 7,622,194 – – – 7,622,194 Other payables 31,673,707 – – – 31,673,707 Redeemable participating shares 4,454,629,125 – – – 4,454,629,125

Total financial liabilities 7,887,857,075 – – – 7,887,857,075

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR EUR Forward contracts 338,008 – – – 338,008

Financial liabilities at fair value through profit or loss 338,008 – – – 338,008

Liabilities Accrued expenses 1,017,841 – – – 1,017,841 Other payables 10,314,592 – – – 10,314,592 Redeemable participating shares 1,449,584,755 – – – 1,449,584,755

Total financial liabilities 1,461,255,196 – – – 1,461,255,196

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR EUR Forward contracts 3,089 – – – 3,089

Financial liabilities at fair value through profit or loss 3,089 – – – 3,089

Liabilities Bank overdraft 4,563 – – – 4,563 Accrued expenses 53,828 – – – 53,828 Other payables 602 – – – 602 Redeemable participating shares 49,183,300 – – – 49,183,300

Total financial liabilities 49,245,382 – – – 49,245,382

345 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon S&P 500® Index Tracker USD USD USD USD USD Liabilities Bank overdraft – – – – – Accrued expenses 101,210 – – – 101,210 Other payables 58,833 – – – 58,833 Margins on derivative contracts 4,994 – – – 4,994 Redeemable participating shares 76,861,012 – – – 76,861,012

Total financial liabilities 77,026,049 – – – 77,026,049

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR EUR Liabilities Accrued expenses 74,624 – – – 74,624 Other payables 281 – – – 281 Margins on derivative contracts 23,700 – – – 23,700 Redeemable participating shares 61,991,179 – – – 61,991,179

Total financial liabilities 62,089,784 – – – 62,089,784

BNY Mellon Targeted Return Bond Fund* USD USD USD USD USD Futures – 3,148 – – 3,148 Options – 57,625 – – 57,625 Forward contracts 129,794,209 960,437 – – 130,754,646

Financial liabilities at fair value through profit or loss 129,794,209 1,021,210 – – 130,815,419

Liabilities Accrued expenses 74,273 – – – 74,273 Other payables 938,412 – – – 938,412 Margins on derivative contracts 285,793 – – – 285,793 Redeemable participating shares 93,725,700 – – – 93,725,700

Total financial liabilities 224,818,387 1,021,210 – – 225,839,597

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD USD Forward contracts 4,027 – – – 4,027

Financial liabilities at fair value through profit or loss 4,027 – – – 4,027

Liabilities Accrued expenses 58,351 – – – 58,351 Redeemable participating shares 41,549,699 – – – 41,549,699

Total financial liabilities 41,612,077 – – – 41,612,077

346 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2015

BNY Mellon US Opportunities Fund USD USD USD USD USD Liabilities Accrued expenses 65,102 – – – 65,102 Other payables 811 – – – 811 Redeemable participating shares 51,224,603 – – – 51,224,603

Total financial liabilities 51,290,516 – – – 51,290,516

* Please refer to Note 20 of the fi nancial statements.

The table below summarises fi nancial liabilities for Funds with derivative exposures, into relevant maturity groupings based on the remaining period as at 31 December 2014 to the contractual maturity date.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR EUR Futures 22,716 127,076 19,653 – 169,445 Options 120,743 340,980 18,286 181,453 661,462 Swaps – – 1,090,057 588,746 1,678,803 Forward contracts 70,954,887 6,051,621 – – 77,006,508

Financial liabilities at fair value through profit or loss 71,098,346 6,519,677 1,127,996 770,199 79,516,218

Liabilities Accrued expenses 316,069 – – – 316,069 Other payables 2,152,245 – – – 2,152,245 Margins on derivative contracts 741,283 – – – 741,283 Redeemable participating shares 152,841,576 – – – 152,841,576

Total financial liabilities 227,149,519 6,519,677 1,127,996 770,199 235,567,391

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR EUR Futures – 7,553,972 – – 7,553,972 Options 32,232 – – – 32,232 Swaps – – – 1,412,092 1,412,092 Forward contracts 427,858,805 9,821,585 – – 437,680,390

Financial liabilities at fair value through profit or loss 427,891,037 17,375,557 – 1,412,092 446,678,686

Liabilities Accrued expenses 778,311 – – – 778,311 Other payables 8,794,781 – – – 8,794,781 Margins on derivative contracts 14,149,501 – – – 14,149,501 Redeemable participating shares 1,184,511,961 – – – 1,184,511,961

Total financial liabilities 1,636,125,591 17,375,557 – 1,412,092 1,654,913,240

347 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP GBP Futures 928,596 1,624,016 – – 2,552,612 Swaps – – 40,061,768 5,679,534 45,741,302 Forward contracts 942,486,091 9,568,775 – – 952,054,866

Financial liabilities at fair value through profit or loss 943,414,687 11,192,791 40,061,768 5,679,534 1,000,348,780

Liabilities Accrued expenses 1,562,722 – – – 1,562,722 Other payables 18,268,345 – – – 18,268,345 Redeemable participating shares 1,293,204,376 – – – 1,293,204,376

Total financial liabilities 2,256,450,130 11,192,791 40,061,768 5,679,534 2,313,384,223

BNY Mellon Asian Bond Fund USD USD USD USD USD Futures – 312 4,688 – 5,000 Forward contracts 562,158 – – – 562,158

Financial liabilities at fair value through profit or loss 562,158 312 4,688 – 567,158

Liabilities Accrued expenses 17,236 – – – 17,236 Margins on derivative contracts 2,937 – – – 2,937 Redeemable participating shares 32,463,471 – – – 32,463,471

Total financial liabilities 33,045,802 312 4,688 – 33,050,802

BNY Mellon Asian Equity Fund USD USD USD USD USD Forward contracts 8,491 – – – 8,491

Financial liabilities at fair value through profit or loss 8,491 – – – 8,491

Liabilities Bank overdraft 132,250 – – – 132,250 Accrued expenses 326,645 – – – 326,645 Other payables 76,740 – – – 76,740 Redeemable participating shares 161,645,935 – – – 161,645,935

Total financial liabilities 162,190,061 – – – 162,190,061

BNY Mellon Asian Income Fund GBP GBP GBP GBP GBP Liabilities Accrued expenses 37,721 – – – 37,721 Other payables 53,888 – – – 53,888 Redeemable participating shares 19,898,582 – – – 19,898,582

Total financial liabilities 19,990,191 – – – 19,990,191

348 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Brazil Equity Fund USD USD USD USD USD Forward contracts 11,011 – – – 11,011

Financial liabilities at fair value through profit or loss 11,011 – – – 11,011

Liabilities Bank overdraft 659,112 – – – 659,112 Accrued expenses 260,117 – – – 260,117 Other payables 2,848,313 – – – 2,848,313 Redeemable participating shares 113,896,415 – – – 113,896,415

Total financial liabilities 117,674,968 – – – 117,674,968

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR EUR Liabilities Accrued expenses 102,035 – – – 102,035 Redeemable participating shares 172,572,315 – – – 172,572,315

Total financial liabilities 172,674,350 – – – 172,674,350

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD USD Swaps – – – 12,796 12,796 Forward contracts 5,349,124 – – – 5,349,124

Financial liabilities at fair value through profit or loss 5,349,124 – – 12,796 5,361,920

Liabilities Accrued expenses 48,512 – – – 48,512 Other payables 290,000 – – – 290,000 Redeemable participating shares 89,815,077 – – – 89,815,077

Total financial liabilities 95,502,713 – – 12,796 95,515,509

BNY Mellon Emerging Markets Debt Fund USD USD USD USD USD Forward contracts 22,591,369 – – – 22,591,369

Financial liabilities at fair value through profit or loss 22,591,369 – – – 22,591,369

Liabilities Accrued expenses 360,839 – – – 360,839 Other payables 200,494 – – – 200,494 Redeemable participating shares 309,091,452 – – – 309,091,452

Total financial liabilities 332,244,154 – – – 332,244,154

349 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD USD Options 416,454 7,221 – – 423,675 Forward contracts 685,906,865 – – – 685,906,865

Financial liabilities at fair value through profit or loss 686,323,319 7,221 – – 686,330,540

Liabilities Accrued expenses 2,298,338 – – – 2,298,338 Other payables 359,657 – – – 359,657 Redeemable participating shares 2,137,882,176 – – – 2,137,882,176

Total financial liabilities 2,826,863,490 7,221 – – 2,826,870,711

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD USD Futures – 586 – – 586 Options 3,740 – – – 3,740 Swaps – – 15,201 – 15,201 Forward contracts 3,946,100 251,242 – – 4,197,342

Financial liabilities at fair value through profit or loss 3,949,840 251,828 15,201 – 4,216,869

Liabilities Accrued expenses 31,313 – – – 31,313 Redeemable participating shares 16,668,797 – – – 16,668,797

Total financial liabilities 20,649,950 251,828 15,201 – 20,916,979

BNY Mellon Emerging Markets Equity Fund USD USD USD USD USD Liabilities Accrued expenses 20,628 – – – 20,628 Redeemable participating shares 14,312,715 – – – 14,312,715

Total financial liabilities 14,333,343 – – – 14,333,343

BNY Mellon Emerging Markets Equity Core Fund USD USD USD USD USD Liabilities Accrued expenses 99,631 – – – 99,631 Redeemable participating shares 161,186,349 – – – 161,186,349

Total financial liabilities 161,285,980 – – – 161,285,980

350 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund USD USD USD USD USD Options 34,166 572 – – 34,738 Forward contracts 44,453,975 3,993,191 – – 48,447,166

Financial liabilities at fair value through profit or loss 44,488,141 3,993,763 – – 48,481,904

Liabilities Accrued expenses 77,372 – – – 77,372 Redeemable participating shares 179,211,791 – – – 179,211,791

Total financial liabilities 223,777,304 3,993,763 – – 227,771,067

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR EUR Futures – 6,707,984 – – 6,707,984 Swaps – – – 28,688,846 28,688,846 Forward contracts 1,435,257,925 – – – 1,435,257,925

Financial liabilities at fair value through profit or loss 1,435,257,925 6,707,984 – 28,688,846 1,470,654,755

Liabilities Accrued expenses 2,466,256 – – – 2,466,256 Other payables 5,777,704 – – – 5,777,704 Margins on derivative contracts 22,968,924 – – – 22,968,924 Redeemable participating shares 3,136,435,340 – – – 3,136,435,340

Total financial liabilities 4,602,906,149 6,707,984 – 28,688,846 4,638,302,979

BNY Mellon European Credit Fund EUR EUR EUR EUR EUR Futures – 136,061 – – 136,061 Swaps – – – 20,030 20,030 Forward contracts 20,218,915 – – – 20,218,915

Financial liabilities at fair value through profit or loss 20,218,915 136,061 – 20,030 20,375,006

Liabilities Accrued expenses 56,723 – – – 56,723 Margins on derivative contracts 243,927 – – – 243,927 Redeemable participating shares 105,847,788 – – – 105,847,788

Total financial liabilities 126,367,353 136,061 – 20,030 126,523,444

351 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Global Bond Fund USD USD USD USD USD Forward contracts 38,709,105 95,944,985 – – 134,654,090

Financial liabilities at fair value through profit or loss 38,709,105 95,944,985 – – 134,654,090

Liabilities Bank overdraft 874 – – – 874 Accrued expenses 474,932 – – – 474,932 Other payables 2,882,266 – – – 2,882,266 Redeemable participating shares 559,453,129 – – – 559,453,129

Total financial liabilities 601,520,306 95,944,985 – – 697,465,291

BNY Mellon Global Dynamic Bond Fund USD USD USD USD USD Forward contracts 137,795,582 34,995,520 – – 172,791,102

Financial liabilities at fair value through profit or loss 137,795,582 34,995,520 – – 172,791,102

Liabilities Bank overdraft 88,355 – – – 88,355 Accrued expenses 213,994 – – – 213,994 Other payables 2,845,170 – – – 2,845,170 Redeemable participating shares 264,568,682 – – – 264,568,682

Total financial liabilities 405,511,783 34,995,520 – – 440,507,303

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD USD Forward contracts 28,989 – – – 28,989

Financial liabilities at fair value through profit or loss 28,989 – – – 28,989

Liabilities Accrued expenses 198,930 – – – 198,930 Redeemable participating shares 29,078,381 – – – 29,078,381

Total financial liabilities 29,306,300 – – – 29,306,300

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD USD Liabilities Accrued expenses 22,178 – – – 22,178 Other payables 352,483 – – – 352,483 Redeemable participating shares 10,943,177 – – – 10,943,177

Total financial liabilities 11,317,838 – – – 11,317,838

352 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Global Equity Fund USD USD USD USD USD Forward contracts 1,544,823 – – – 1,544,823

Financial liabilities at fair value through profit or loss 1,544,823 – – – 1,544,823

Liabilities Bank overdraft 434,388 – – – 434,388 Accrued expenses 315,528 – – – 315,528 Other payables 398,251 – – – 398,251 Redeemable participating shares 239,095,160 – – – 239,095,160

Total financial liabilities 241,788,150 – – – 241,788,150

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD USD Forward contracts 4,238,899 5,793,162 – – 10,032,061

Financial liabilities at fair value through profit or loss 4,238,899 5,793,162 – – 10,032,061

Liabilities Bank overdraft 24,215 – – – 24,215 Accrued expenses 513,882 – – – 513,882 Other payables 471,490 – – – 471,490 Redeemable participating shares 337,512,229 – – – 337,512,229

Total financial liabilities 342,760,715 5,793,162 – – 348,553,877

BNY Mellon Global High Yield Bond Fund USD USD USD USD USD Forward contracts 91,509,626 – – – 91,509,626

Financial liabilities at fair value through profit or loss 91,509,626 – – – 91,509,626

Liabilities Accrued expenses 80,298 – – – 80,298 Other payables 4,730 – – – 4,730 Redeemable participating shares 155,483,986 – – – 155,483,986

Total financial liabilities 247,078,640 – – – 247,078,640

353 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD USD Futures – 259,354 38,450 – 297,804 Options 28,953 232,895 374,909 – 636,757 Swaps – – – 556,049 556,049 Forward contracts 43,457,660 524,050 – – 43,981,710

Financial liabilities at fair value through profit or loss 43,486,613 1,016,299 413,359 556,049 45,472,320

Liabilities Accrued expenses 54,256 – – – 54,256 Other payables 1,074,136 – – – 1,074,136 Margins on derivative contracts 347,782 – – – 347,782 Redeemable participating shares 110,727,531 – – – 110,727,531

Total financial liabilities 155,690,318 1,016,299 413,359 556,049 157,676,025

BNY Mellon Global Opportunities Fund USD USD USD USD USD Forward contracts 990,099 – – – 990,099

Financial liabilities at fair value through profit or loss 990,099 – – – 990,099

Liabilities Bank overdraft 332,737 – – – 332,737 Accrued expenses 117,860 – – – 117,860 Redeemable participating shares 98,394,319 – – – 98,394,319

Total financial liabilities 99,835,015 – – – 99,835,015

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR EUR Liabilities Accrued expenses 65,155 – – – 65,155 Other payables 156,014 – – – 156,014 Redeemable participating shares 11,284,735 – – – 11,284,735

Total financial liabilities 11,505,904 – – – 11,505,904

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR EUR Futures – 10,111,639 – – 10,111,639 Forward contracts 361,834,917 863,479,014 – – 1,225,313,931

Financial liabilities at fair value through profit or loss 361,834,917 873,590,653 – – 1,235,425,570

Liabilities Bank overdraft 3,313 – – – 3,313 Accrued expenses 2,036,441 – – – 2,036,441 Other payables 160,176 – – – 160,176 Redeemable participating shares 2,016,002,696 – – – 2,016,002,696

Total financial liabilities 2,380,037,543 873,590,653 – – 3,253,628,196

354 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP GBP Futures – 163,802 – – 163,802 Forward contracts 11,038,045 32,508,796 – – 43,546,841

Financial liabilities at fair value through profit or loss 11,038,045 32,672,598 – – 43,710,643

Liabilities Bank overdraft 2,669 – – – 2,669 Accrued expenses 53,499 – – – 53,499 Redeemable participating shares 32,614,263 – – – 32,614,263

Total financial liabilities 43,708,476 32,672,598 – – 76,381,074

BNY Mellon Global Real Return Fund (USD) USD USD USD USD USD Futures – 2,046,211 – – 2,046,211 Forward contracts 92,472,025 42,703,391 – – 135,175,416

Financial liabilities at fair value through profit or loss 92,472,025 44,749,602 – – 137,221,627

Liabilities Bank overdraft 3,046 – – – 3,046 Accrued expenses 351,079 – – – 351,079 Other payables 8,709,586 – – – 8,709,586 Redeemable participating shares 423,216,326 – – – 423,216,326

Total financial liabilities 524,752,062 44,749,602 – – 569,501,664

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY JPY Forward contracts 490,617,966 – – – 490,617,966

Financial liabilities at fair value through profit or loss 490,617,966 – – – 490,617,966

Liabilities Accrued expenses 2,818,658 – – – 2,818,658 Redeemable participating shares 866,338,981 – – – 866,338,981

Total financial liabilities 1,359,775,605 – – – 1,359,775,605

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY JPY Forward contracts 1,057,461,532 – – – 1,057,461,532

Financial liabilities at fair value through profit or loss 1,057,461,532 – – – 1,057,461,532

Liabilities Accrued expenses 3,452,970 – – – 3,452,970 Other payables 11,054,516 – – – 11,054,516 Redeemable participating shares 1,562,709,991 – – – 1,562,709,991

Total financial liabilities 2,634,679,009 – – – 2,634,679,009

355 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR EUR Forward contracts 24,061,376 – – – 24,061,376

Financial liabilities at fair value through profit or loss 24,061,376 – – – 24,061,376

Liabilities Bank overdraft 205 – – – 205 Accrued expenses 1,099,716 – – – 1,099,716 Other payables 966,707 – – – 966,707 Redeemable participating shares 1,510,817,278 – – – 1,510,817,278

Total financial liabilities 1,536,945,282 – – – 1,536,945,282

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR EUR Forward contracts 79 – – – 79

Financial liabilities at fair value through profit or loss 79 – – – 79

Liabilities Bank overdraft 2,435 – – – 2,435 Accrued expenses 27,874 – – – 27,874 Redeemable participating shares 20,050,409 – – – 20,050,409

Total financial liabilities 20,080,797 – – – 20,080,797

BNY Mellon S&P 500® Index Tracker USD USD USD USD USD Liabilities Accrued expenses 123,976 – – – 123,976 Other payables 289,115 – – – 289,115 Margins on derivative contracts 21,479 – – – 21,479 Redeemable participating shares 95,261,758 – – – 95,261,758

Total financial liabilities 95,696,328 – – – 95,696,328

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR EUR Futures – 935 – – 935

Financial liabilities at fair value through profit or loss – 935 – – 935

Liabilities Accrued expenses 38,359 – – – 38,359 Other payables 3,179 – – – 3,179 Redeemable participating shares 9,848,311 – – – 9,848,311

Total financial liabilities 9,889,849 935 – – 9,890,784

356 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Less than 3 months Greater Total Fund 1 month 2-3 months to 1 year than 1 year 31 December 2014

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD USD Liabilities Accrued expenses 45,811 – – – 45,811 Other payables 29,136 – – – 29,136 Redeemable participating shares 72,404,005 – – – 72,404,005

Total financial liabilities 72,478,952 – – – 72,478,952

BNY Mellon US Opportunities Fund USD USD USD USD USD Liabilities Accrued expenses 24,564 – – – 24,564 Redeemable participating shares 11,359,497 – – – 11,359,497

Total financial liabilities 11,384,061 – – – 11,384,061

Redeemable shares are redeemed on demand at the holders’ option. However, the Directors do not envisage that the contractual maturity disclosed in the table above will be representative of the actual cash outfl ows, 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.

The number of investors that held more than 10% of the net assets at trading valuation of the Fund at the end of the year are as follows:

Fund 31 December 2015 31 December 2014

BNY Mellon Absolute Insight Fund 22 BNY Mellon Absolute Return Bond Fund –1 BNY Mellon Asian Bond Fund 21 BNY Mellon Asian Equity Fund 32 BNY Mellon Asian Income Fund 11 BNY Mellon Brazil Equity Fund 21 BNY Mellon Crossover Credit Fund 32 BNY Mellon Dynamic Total Return Fund* 2N/A BNY Mellon Emerging Markets Corporate Debt Fund 32 BNY Mellon Emerging Markets Debt Fund 22 BNY Mellon Emerging Markets Debt Local Currency Fund 22 BNY Mellon Emerging Markets Debt Opportunistic Fund 22 BNY Mellon Emerging Markets Equity Fund* N/A 1 BNY Mellon Emerging Markets Equity Core Fund* N/A 1 BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* N/A 1 BNY Mellon Euroland Bond Fund 12 BNY Mellon European Credit Fund 44 BNY Mellon Global Bond Fund 11 BNY Mellon Global Dynamic Bond Fund 33 BNY Mellon Global Emerging Markets Fund* 23 BNY Mellon Global Emerging Markets Equity Value Fund 32

357 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

LIQUIDITY RISK contd.

Fund 31 December 2015 31 December 2014

BNY Mellon Global Equity Fund 11 BNY Mellon Global Equity Income Fund* 21 BNY Mellon Global High Yield Bond Fund 21 BNY Mellon Global Opportunistic Bond Fund 42 BNY Mellon Global Opportunities Fund 22 BNY Mellon Global Property Securities Fund 23 BNY Mellon Global Real Return Fund (EUR) 11 BNY Mellon Global Real Return Fund (GBP) 13 BNY Mellon Global Real Return Fund (USD) 12 BNY Mellon Japan All Cap Equity Fund 31 BNY Mellon Japan Small Cap Equity Focus Fund 32 BNY Mellon Long-Term Global Equity Fund 12 BNY Mellon Pan European Equity Fund 12 BNY Mellon S&P 500® Index Tracker 22 BNY Mellon Small Cap Euroland Fund 22 BNY Mellon Targeted Return Bond Fund* 1N/A BNY Mellon U.S. Dynamic Value Fund 11 BNY Mellon US Opportunities Fund 11

* Please refer to Note 20 of the fi nancial statements.

NUMBER OF SHAREHOLDERS The Company did not have less than 10 redeemable participating shareholders at the end of the year.

CAPITAL RISK MANAGEMENT The capital of the Funds is represented by the net assets at the end of the year. The amount of net assets can change signifi cantly 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 benefi ts 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 early 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 IFRS as adopted for use in the European Union. These amendments did not have any impact on the Funds’ fi nancial 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).

358 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd. Investments whose values are based on quoted market prices in active markets, and therefore classifi ed within level 1, include active listed equities, exchange traded derivatives 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 classifi ed within level 2. These include government treasury bills, investment-grade corporate bonds and certain listed equities and over-the- counter derivatives. 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 refl ect illiquidity and/or non-transferability, which are generally based on available market information.

Investments classifi ed within level 3 have signifi cant 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 to the 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 refl ect 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.

The following table provides an analysis of fi nancial instruments as at 31 December 2015 that are measured at fair value in accordance with FRS 102.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR Bonds 11,904,006 58,957,447 1,193,358 72,054,811 Certifi cate of deposits 19,004,220 – – 19,004,220 Collective investment schemes – 20,772,790 – 20,772,790 Commercial paper – 32,008,375 – 32,008,375 Credit default swaps – 761,384 – 761,384 Equities 5,636,025 – – 5,636,025 Equity index swaps – 32,158 – 32,158 Equity swaps – 1,005,549 – 1,005,549 Floating rate notes – 46,422,565 1,677,039 48,099,604 Forward contracts – 1,894,510 – 1,894,510 Futures 222,269 – – 222,269 Interest rate swaps – 35,403 – 35,403 Leveraged loans – 634,984 710,795 1,345,779 Options 512,353 220,306 – 732,659

Financial assets 37,278,873 162,745,471 3,581,192 203,605,536

Credit default swaps – (621,314) – (621,314) Equity index swaps – (201,705) – (201,705) Equity swaps – (783,053) – (783,053) Forward contracts – (1,282,769) – (1,282,769) Futures (198,023) – – (198,023) Interest rate swaps – (221) – (221) Options (530,023) (282,379) – (812,402)

Financial liabilities (728,046) (3,171,441) – (3,899,487)

359 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR Bonds 183,100,553 1,402,374,593 21,192,574 1,606,667,720 Collective investment schemes – 198,421,606 – 198,421,606 Credit default swaps – 905,190 – 905,190 Forward contracts – 7,963,854 – 7,963,854 Futures 3,888,724 – – 3,888,724 Leveraged loans – 22,646,382 37,381,661 60,028,043 Options – 307,515 – 307,515

Financial assets 186,989,277 1,632,619,140 58,574,235 1,878,182,652

Credit default swaps – (6,855,343) – (6,855,343) Forward contracts – (5,496,743) – (5,496,743) Options – (57,292) – (57,292)

Financial liabilities – (12,409,378) – (12,409,378)

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP Bonds 79,991,725 – – 79,991,725 Certifi cate of deposits 809,761,482 – – 809,761,482 Collective investment schemes – 209,688,783 – 209,688,783 Commercial paper – 168,858,392 – 168,858,392 Equities 200,111,392 – – 200,111,392 Equity index swaps – 894,465 – 894,465 Equity swaps – 37,475,862 – 37,475,862 Floating rate notes – 343,780,623 – 343,780,623 Forward contracts – 18,822,216 – 18,822,216

Financial assets 1,089,864,599 779,520,341 – 1,869,384,940

Equity index swaps – (8,014,071) – (8,014,071) Equity swaps – (28,830,344) – (28,830,344) Forward contracts – (1,208,367) – (1,208,367) Futures (4,545,226) – – (4,545,226)

Financial liabilities (4,545,226) (38,052,782) – (42,598,008)

360 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Asian Bond Fund USD USD USD USD Bonds 894,464 37,793,592 – 38,688,056 Futures 10,154 – – 10,154

Financial assets 904,618 37,793,592 – 38,698,210

Forward contracts – (8,390) – (8,390)

Financial liabilities – (8,390) – (8,390)

BNY Mellon Asian Equity Fund USD USD USD USD Equities 86,897,439 3,705,155 – 90,602,594

Financial assets 86,897,439 3,705,155 – 90,602,594

Forward contracts – (28) – (28)

Financial liabilities – (28) – (28)

BNY Mellon Asian Income Fund GBP GBP GBP GBP Collective investment schemes – 20,866,698 – 20,866,698

Financial assets – 20,866,698 – 20,866,698

BNY Mellon Brazil Equity Fund USD USD USD USD Equities 32,013,275 20,581,708 – 52,594,983 Forward contracts – 33 – 33

Financial assets 32,013,275 20,581,741 – 52,595,016

Forward contracts – (324) – (324)

Financial liabilities – (324) – (324)

361 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR Bonds – 226,089,195 – 226,089,195 Forward contracts – 252,030 – 252,030

Financial assets – 226,341,225 – 226,341,225

Credit default swaps – (5,613) – (5,613) Futures (18,000) – – (18,000)

Financial liabilities (18,000) (5,613) – (23,613)

BNY Mellon Dynamic Total Return Fund* USD USD USD USD Bonds 9,906,592 – – 9,906,592 Collective investment schemes 1,036,100 – – 1,036,100 Forward contracts – 78,267 – 78,267 Futures 80,738 – – 80,738 Options 70,445 – – 70,445

Financial assets 11,093,875 78,267 – 11,172,142

Forward contracts – (23,379) – (23,379) Futures (98,006) – – (98,006)

Financial liabilities (98,006) (23,379) – (121,385)

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD Bonds – 96,092,456 – 96,092,456 Collective investment schemes – 9,065,938 – 9,065,938 Forward contracts – 18,760 – 18,760

Financial assets – 105,177,154 – 105,177,154

Forward contracts – (163,458) – (163,458)

Financial liabilities – (163,458) – (163,458)

362 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Emerging Markets Debt Fund USD USD USD USD Bonds – 66,158,451 – 66,158,451 Forward contracts – 420 – 420

Financial assets – 66,158,871 – 66,158,871

Forward contracts – (33,983) – (33,983)

Financial liabilities – (33,983) – (33,983)

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD Bonds 18,828,248 1,236,362,536 – 1,255,190,784 Forward contracts – 18,555,163 – 18,555,163

Financial assets 18,828,248 1,254,917,699 – 1,273,745,947

Forward contracts – (5,879,624) – (5,879,624) Options – (2,386,918) – (2,386,918)

Financial liabilities – (8,266,542) – (8,266,542)

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD Bonds 249,899 82,217,098 – 82,466,997 Forward contracts – 743,920 – 743,920

Financial assets 249,899 82,961,018 – 83,210,917

Forward contracts – (275,264) – (275,264) Options – (107,789) – (107,789)

Financial liabilities – (383,053) – (383,053)

363 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR Bonds 974,629,097 1,673,108,073 – 2,647,737,170 Collective investment schemes – 35,323,377 – 35,323,377 Credit default swaps – 2,060,111 – 2,060,111 Forward contracts – 1,323,501 – 1,323,501 Futures 5,269,584 – – 5,269,584 Interest rate swaps – 10,413,146 – 10,413,146

Financial assets 979,898,681 1,722,228,208 – 2,702,126,889

Credit default swaps – (2,882,562) – (2,882,562) Forward contracts – (14,532,591) – (14,532,591) Futures (733,381) – – (733,381) Interest rate swaps – (7,682,375) – (7,682,375)

Financial liabilities (733,381) (25,097,528) – (25,830,909)

BNY Mellon European Credit Fund EUR EUR EUR EUR Bonds – 46,365,211 – 46,365,211 Collective investment schemes – 3,014,628 – 3,014,628 Credit default swaps – 49,177 – 49,177 Forward contracts – 376,421 – 376,421 Futures 30,544 – – 30,544

Financial assets 30,544 49,805,437 – 49,835,981

Credit default swaps – (153,092) – (153,092) Forward contracts – (5,378) – (5,378) Futures (35,745) – – (35,745)

Financial liabilities (35,745) (158,470) – (194,215)

BNY Mellon Global Bond Fund USD USD USD USD Bonds 150,437,987 149,167,449 – 299,605,436 Forward contracts – 2,398,280 – 2,398,280

Financial assets 150,437,987 151,565,729 – 302,003,716

Forward contracts – (1,472,340) – (1,472,340)

Financial liabilities – (1,472,340) – (1,472,340)

364 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Dynamic Bond Fund USD USD USD USD Bonds 68,433,678 179,640,971 14,599 248,089,248 Collective investment schemes 53,263 – – 53,263 Forward contracts – 1,694,982 – 1,694,982 Futures 26,796 – – 26,796

Financial assets 68,513,737 181,335,953 14,599 249,864,289

Forward contracts – (2,299,462) – (2,299,462)

Financial liabilities – (2,299,462) – (2,299,462)

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD Collective investment schemes 1,483,708 – – 1,483,708 Equities 21,411,320 – – 21,411,320 Forward contracts – 544 – 544

Financial assets 22,895,028 544 – 22,895,572

Forward contracts – (3,737) – (3,737)

Financial liabilities – (3,737) – (3,737)

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD Collective investment schemes 4,033,753 – – 4,033,753 Equities 257,563 – – 257,563

Financial assets 4,291,316 – – 4,291,316

BNY Mellon Global Equity Fund USD USD USD USD Equities 244,265,332 – – 244,265,332 Forward contracts – 82 – 82

Financial assets 244,265,332 82 – 244,265,414

Forward contracts – (16,691) – (16,691)

Financial liabilities – (16,691) – (16,691)

365 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD Equities 460,032,005 – – 460,032,005 Forward contracts – 1,295,192 – 1,295,192

Financial assets 460,032,005 1,295,192 – 461,327,197

Forward contracts – (1,410,107) – (1,410,107)

Financial liabilities – (1,410,107) – (1,410,107)

BNY Mellon Global High Yield Bond Fund USD USD USD USD Bonds – 125,235,263 – 125,235,263 Equities 1,014,794 – – 1,014,794 Forward contracts – 51,793 – 51,793 Leveraged loans – 1,060,100 – 1,060,100

Financial assets 1,014,794 126,347,156 – 127,361,950

Forward contracts – (572,215) – (572,215)

Financial liabilities – (572,215) – (572,215)

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD Bonds 6,837,537 197,753,683 2,107,375 206,698,595 Forward contracts – 736,689 – 736,689 Futures 503,275 – – 503,275 Interest rate swaps – 54,404 – 54,404 Leveraged loans – 6,358,313 – 6,358,313 Options 131,100 – – 131,100

Financial assets 7,471,912 204,903,089 2,107,375 214,482,376

Credit default swaps – (1,324,238) – (1,324,238) Forward contracts – (1,363,201) – (1,363,201) Futures (26,223) – – (26,223) Options (81,938) (268,691) – (350,629)

Financial liabilities (108,161) (2,956,130) – (3,064,291)

366 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Opportunities Fund USD USD USD USD Bonds 6,803,817 – – 6,803,817 Equities 129,517,451 – – 129,517,451 Forward contracts – 536 – 536

Financial assets 136,321,268 536 – 136,321,804

Forward contracts – (76,579) – (76,579)

Financial liabilities – (76,579) – (76,579)

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR Equities 13,872,097 – – 13,872,097 Forward contracts – 1 – 1

Financial assets 13,872,097 1 – 13,872,098

Forward contracts – (6,487) – (6,487)

Financial liabilities – (6,487) – (6,487)

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR Bonds 641,089,436 402,376,561 – 1,043,465,997 Collective investment schemes 109,660,081 136,033,338 – 245,693,419 Equities 1,200,575,973 – – 1,200,575,973 Forward contracts – 10,982,392 – 10,982,392 Futures 531,598 – – 531,598 Options 247,344 – – 247,344

Financial assets 1,952,104,432 549,392,291 – 2,501,496,723

Forward contracts – (10,943,707) – (10,943,707)

Financial liabilities – (10,943,707) – (10,943,707)

367 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP Bonds 15,091,414 7,006,050 – 22,097,464 Collective investment schemes 2,565,249 3,143,640 – 5,708,889 Equities 27,442,888 – – 27,442,888 Forward contracts – 110,956 – 110,956 Options 5,385 – – 5,385

Financial assets 45,104,936 10,260,646 – 55,365,582

Forward contracts – (1,182,589) – (1,182,589) Futures (359) – – (359)

Financial liabilities (359) (1,182,589) – (1,182,948)

BNY Mellon Global Real Return Fund (USD) USD USD USD USD Bonds 123,995,710 60,681,014 – 184,676,724 Collective investment schemes 21,610,535 25,680,059 – 47,290,594 Equities 235,882,255 – – 235,882,255 Forward contracts – 6,274,101 – 6,274,101 Futures 104,021 – – 104,021 Options 47,500 – – 47,500

Financial assets 381,640,021 92,635,174 – 474,275,195

Forward contracts – (1,565,570) – (1,565,570)

Financial liabilities – (1,565,570) – (1,565,570)

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY Equities 3,901,163,820 – – 3,901,163,820 Forward contracts – 17,306,312 – 17,306,312

Financial assets 3,901,163,820 17,306,312 – 3,918,470,132

Forward contracts – (28,656,971) – (28,656,971)

Financial liabilities – (28,656,971) – (28,656,971)

368 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY Equities 4,457,380,400 – – 4,457,380,400 Forward contracts – 168,652 – 168,652

Financial assets 4,457,380,400 168,652 – 4,457,549,052

Forward contracts – (25,139,478) – (25,139,478)

Financial liabilities – (25,139,478) – (25,139,478)

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR Equities 1,407,469,049 – – 1,407,469,049 Forward contracts – 10,018 – 10,018

Financial assets 1,407,469,049 10,018 – 1,407,479,067

Forward contracts – (1,490) – (1,490)

Financial liabilities – (1,490) – (1,490)

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR Equities 48,639,245 – – 48,639,245 Forward contracts – 1 – 1

Financial assets 48,639,245 1 – 48,639,246

Forward contracts – (4) – (4)

Financial liabilities – (4) – (4)

BNY Mellon S&P 500® Index Tracker USD USD USD USD Bonds 44,995 – – 44,995 Equities 76,472,300 – – 76,472,300 Futures 1,147 – – 1,147

Financial assets 76,518,442 – – 76,518,442

369 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR Equities 60,160,465 – – 60,160,465 Forward contracts – 319,580 – 319,580 Futures 15,493 – – 15,493

Financial assets 60,175,958 319,580 – 60,495,538

BNY Mellon Targeted Return Bond Fund* USD USD USD USD Bonds 4,369,100 87,454,262 1,007,875 92,831,237 Forward contracts – 328,529 – 328,529 Futures 215,501 – – 215,501 Options 58,200 – – 58,200

Financial assets 4,642,801 87,782,791 1,007,875 93,433,467

Forward contracts – (2,593,711) – (2,593,711) Futures (3,148) – – (3,148) Options (36,375) (21,250) – (57,625)

Financial liabilities (39,523) (2,614,961) – (2,654,484)

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD Equities 41,113,742 – – 41,113,742

Financial assets 41,113,742 – – 41,113,742

Forward contracts – (6) – (6)

Financial liabilities – (6) – (6)

BNY Mellon US Opportunities Fund USD USD USD USD Collective investment schemes 3,559,602 – – 3,559,602 Equities 47,448,680 – – 47,448,680

Financial assets 51,008,282 – – 51,008,282

* Please refer to Note 20 of the fi nancial statements.

370 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd. The following table provides an analysis of fi nancial instruments as at 31 December 2014 that are measured at fair value in accordance with FRS 102.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Absolute Insight Fund EUR EUR EUR EUR Bonds 24,631,577 20,723,636 – 45,355,213 Certifi cate of deposits – 24,500,475 – 24,500,475 Collective investment schemes – 14,731,293 – 14,731,293 Commercial paper – 18,896,469 – 18,896,469 Credit default swaps – 307,998 – 307,998 Equities 556,646 – – 556,646 Equity index swaps – 521 – 521 Equity swaps – 1,445,812 – 1,445,812 Floating rate notes – 23,775,100 2,241,536 26,016,636 Forward contracts – 1,681,470 – 1,681,470 Futures 72,737 – – 72,737 Interest rate swaps – 5,439 – 5,439 Leveraged loans – – 2,082,568 2,082,568 Options 597,823 492,518 – 1,090,341

Financial assets 25,858,783 106,560,731 4,324,104 136,743,618

Credit default swaps – (420,863) – (420,863) Equity index swaps – (355,296) – (355,296) Equity swaps – (899,046) – (899,046) Forward contracts – (1,439,623) – (1,439,623) Futures (169,445) – – (169,445) Interest rate swaps – (3,598) – (3,598) Options (410,800) (250,662) – (661,462)

Financial liabilities (580,245) (3,369,088) – (3,949,333)

BNY Mellon Absolute Return Bond Fund EUR EUR EUR EUR Bonds 159,422,720 739,556,225 25,837,213 924,816,158 Collective investment schemes – 112,714,331 – 112,714,331 Credit default swaps – 3,745,217 – 3,745,217 Forward contracts – 8,021,598 – 8,021,598 Leveraged loans – 50,643,593 34,810,277 85,453,870 Options 964,263 259,276 – 1,223,539

Financial assets 160,386,983 914,940,240 60,647,490 1,135,974,713

Credit default swaps – (1,412,092) – (1,412,092) Forward contracts – (6,780,915) – (6,780,915) Futures (7,553,972) – – (7,553,972) Options – (32,232) – (32,232)

Financial liabilities (7,553,972) (8,225,239) – (15,779,211)

371 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Absolute Return Equity Fund GBP GBP GBP GBP Certifi cate of deposits – 606,939,867 – 606,939,867 Collective investment schemes – 139,678,194 – 139,678,194 Commercial paper – 204,800,646 – 204,800,646 Discounted note securities 19,980,300 – – 19,980,300 Equities 103,166,656 – – 103,166,656 Equity swaps – 55,364,779 – 55,364,779 Floating rate notes – 151,868,779 – 151,868,779 Forward contracts – 1,164,427 – 1,164,427

Financial assets 123,146,956 1,159,816,692 – 1,282,963,648

Equity index swaps – (12,948,472) – (12,948,472) Equity swaps – (32,792,830) – (32,792,830) Forward contracts – (15,524,205) – (15,524,205) Futures (2,552,612) – – (2,552,612)

Financial liabilities (2,552,612) (61,265,507) – (63,818,119)

BNY Mellon Asian Bond Fund USD USD USD USD Bonds 1,647,907 28,745,212 – 30,393,119 Forward contracts – 1 – 1 Futures 6,937 – – 6,937

Financial assets 1,654,844 28,745,213 – 30,400,057

Forward contracts – (11,359) – (11,359) Futures (5,000) – – (5,000)

Financial liabilities (5,000) (11,359) – (16,359)

BNY Mellon Asian Equity Fund USD USD USD USD Equities 137,685,141 11,705,389 – 149,390,530

Financial assets 137,685,141 11,705,389 – 149,390,530

Forward contracts – (9) – (9)

Financial liabilities – (9) – (9)

372 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Asian Income Fund USD USD USD USD Collective investment schemes – 19,859,164 – 19,859,164 Forward contracts – 70 – 70

Financial assets – 19,859,234 – 19,859,234

BNY Mellon Brazil Equity Fund USD USD USD USD Equities 59,529,783 50,671,813 – 110,201,596 Forward contracts – 17 – 17

Financial assets 59,529,783 50,671,830 – 110,201,613

Forward contracts – (218) – (218)

Financial liabilities – (218) – (218)

BNY Mellon Crossover Credit Fund EUR EUR EUR EUR Bonds – 163,392,724 – 163,392,724

Financial assets – 163,392,724 – 163,392,724

BNY Mellon Emerging Markets Corporate Debt Fund USD USD USD USD Bonds – 77,638,255 – 77,638,255 Collective investment schemes – 7,855,288 – 7,855,288 Credit default swaps – 312,716 – 312,716 Forward contracts – 256,443 – 256,443

Financial assets – 86,062,702 – 86,062,702

Credit default swaps – (12,796) – (12,796) Forward contracts – (32,973) – (32,973)

Financial liabilities – (45,769) – (45,769)

373 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Emerging Markets Debt Fund USD USD USD USD Bonds 64,999 296,912,256 – 296,977,255 Forward contracts – 33,130 – 33,130

Financial assets 64,999 296,945,386 – 297,010,385

Forward contracts – (512,401) – (512,401)

Financial liabilities – (512,401) – (512,401)

BNY Mellon Emerging Markets Debt Local Currency Fund USD USD USD USD Bonds 5,584,806 2,010,899,311 – 2,016,484,117 Forward contracts – 34,361,730 – 34,361,730 Options – 754,107 – 754,107

Financial assets 5,584,806 2,046,015,148 – 2,051,599,954

Forward contracts – (24,853,369) – (24,853,369) Options – (423,675) – (423,675)

Financial liabilities – (25,277,044) – (25,277,044)

BNY Mellon Emerging Markets Debt Opportunistic Fund USD USD USD USD Bonds 15,000 15,048,702 – 15,063,702 Forward contracts – 117,896 – 117,896 Options – 5,423 – 5,423

Financial assets 15,000 15,172,021 – 15,187,021

Credit default swaps – (15,201) – (15,201) Forward contracts – (138,976) – (138,976) Futures (586) – – (586) Options – (3,740) – (3,740)

Financial liabilities (586) (157,917) – (158,503)

BNY Mellon Emerging Markets Equity Fund USD USD USD USD Equities 13,505,701 461,624 – 13,967,325

Financial assets 13,505,701 461,624 – 13,967,325

374 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Emerging Markets Equity Core Fund USD USD USD USD Collective investment schemes 4,332,140 6,752,228 – 11,084,368 Equities 129,477,372 17,928,288 – 147,405,660

Financial assets 133,809,512 24,680,516 – 158,490,028

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund USD USD USD USD Bonds – 163,301,268 – 163,301,268 Forward contracts – 2,968,689 – 2,968,689 Options – 60,413 – 60,413

Financial assets – 166,330,370 – 166,330,370

Forward contracts – (1,830,645) – (1,830,645) Options – (34,738) – (34,738)

Financial liabilities – (1,865,383) – (1,865,383)

BNY Mellon Euroland Bond Fund EUR EUR EUR EUR Bonds 634,707,022 2,396,397,244 – 3,031,104,266 Forward contracts – 12,249,434 – 12,249,434 Futures 15,638,385 – – 15,638,385 Interest rate swaps – 16,088,736 – 16,088,736 Options – 1,353,584 – 1,353,584

Financial assets 650,345,407 2,426,088,998 – 3,076,434,405

Forward contracts – (28,412,288) – (28,412,288) Futures (6,707,984) – – (6,707,984) Interest rate swaps – (28,688,846) – (28,688,846)

Financial liabilities (6,707,984) (57,101,134) – (63,809,118)

375 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon European Credit Fund EUR EUR EUR EUR Bonds 127,620 96,037,225 – 96,164,845 Collective investment schemes – 4,936,678 – 4,936,678 Forward contracts – 35,681 – 35,681 Futures 173,189 – – 173,189

Financial assets 300,809 101,009,584 – 101,310,393

Credit default swaps – (20,030) – (20,030) Forward contracts – (359,979) – (359,979) Futures (136,061) – – (136,061)

Financial liabilities (136,061) (380,009) – (516,070)

BNY Mellon Global Bond Fund USD USD USD USD Bonds 204,088,603 343,845,755 – 547,934,358 Forward contracts – 3,538,113 – 3,538,113

Financial assets 204,088,603 347,383,868 – 551,472,471

Forward contracts – (2,058,157) – (2,058,157)

Financial liabilities – (2,058,157) – (2,058,157)

BNY Mellon Global Dynamic Bond Fund USD USD USD USD Bonds 82,111,360 166,406,886 – 248,518,246 Forward contracts – 1,620,511 – 1,620,511 Futures 32,040 – – 32,040

Financial assets 82,143,400 168,027,397 – 250,170,797

Forward contracts – (3,181,737) – (3,181,737)

Financial liabilities – (3,181,737) – (3,181,737)

BNY Mellon Global Emerging Markets Fund (formerly BNY Mellon Emerging Equity Income Fund) USD USD USD USD Equities 24,721,712 2,741,991 – 27,463,703

Financial assets 24,721,712 2,741,991 – 27,463,703

Forward contracts – (445) – (445)

Financial liabilities – (445) – (445)

376 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Emerging Markets Equity Value Fund USD USD USD USD Equities 10,003,966 657,406 – 10,661,372

Financial assets 10,003,966 657,406 – 10,661,372

BNY Mellon Global Equity Fund USD USD USD USD Equities 232,318,254 – – 232,318,254 Forward contracts – 140,457 – 140,457

Financial assets 232,318,254 140,457 – 232,458,711

Forward contracts – (25,076) – (25,076)

Financial liabilities – (25,076) – (25,076)

BNY Mellon Global Equity Income Fund (formerly BNY Mellon Global Equity Higher Income Fund) USD USD USD USD Equities 331,352,779 2,990,222 – 334,343,001 Forward contracts – 584,337 – 584,337

Financial assets 331,352,779 3,574,559 – 334,927,338

Forward contracts – (265,649) – (265,649)

Financial liabilities – (265,649) – (265,649)

BNY Mellon Global High Yield Bond Fund USD USD USD USD Bonds – 148,820,603 – 148,820,603 Equities – 1,052,379 – 1,052,379 Forward contracts – 948,798 – 948,798

Financial assets – 150,821,780 – 150,821,780

Forward contracts – (1,910,427) – (1,910,427)

Financial liabilities – (1,910,427) – (1,910,427)

377 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Opportunistic Bond Fund USD USD USD USD Bonds 4,977,760 101,117,536 564,963 106,660,259 Credit default swaps – 203,528 – 203,528 Forward contracts – 2,048,490 – 2,048,490 Futures 411,353 – – 411,353 Interest rate swaps – 174,687 – 174,687 Leveraged loans – 357,500 – 357,500 Options 167,391 476,200 – 643,591

Financial assets 5,556,504 104,377,941 564,963 110,499,408

Credit default swaps – (42,719) – (42,719) Forward contracts – (937,092) – (937,092) Futures (297,804) – – (297,804) Interest rate swaps – (513,330) – (513,330) Options (236,805) (399,952) – (636,757)

Financial liabilities (534,609) (1,893,093) – (2,427,702)

BNY Mellon Global Opportunities Fund USD USD USD USD Bonds 6,726,958 – – 6,726,958 Equities 89,215,025 – – 89,215,025 Forward contracts – 835 – 835

Financial assets 95,941,983 835 – 95,942,818

Forward contracts – (19,826) – (19,826)

Financial liabilities – (19,826) – (19,826)

BNY Mellon Global Property Securities Fund EUR EUR EUR EUR Equities 11,161,020 – – 11,161,020 Forward contracts – 2,493 – 2,493 Warrants – 2,160 – 2,160

Financial assets 11,161,020 4,653 – 11,165,673

378 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Global Real Return Fund (EUR) EUR EUR EUR EUR Bonds 273,627,399 228,181,355 – 501,808,754 Collective investment schemes 90,501,035 101,115,800 – 191,616,835 Equities 1,225,617,897 – – 1,225,617,897 Forward contracts – 5,868,236 – 5,868,236 Options 510,780 – – 510,780

Financial assets 1,590,257,111 335,165,391 – 1,925,422,502

Forward contracts – (24,787,141) – (24,787,141) Futures (10,111,639) – – (10,111,639)

Financial liabilities (10,111,639) (24,787,141) – (34,898,780)

BNY Mellon Global Real Return Fund (GBP) GBP GBP GBP GBP Bonds 3,621,449 3,888,076 – 7,509,525 Collective investment schemes 1,445,005 2,044,615 – 3,489,620 Equities 19,194,219 – – 19,194,219 Forward contracts – 514,622 – 514,622 Options 8,375 – – 8,375

Financial assets 24,269,048 6,447,313 – 30,716,361

Forward contracts – (726,828) – (726,828) Futures (163,802) – – (163,802)

Financial liabilities (163,802) (726,828) – (890,630)

BNY Mellon Global Real Return Fund (USD) USD USD USD USD Bonds 46,577,082 48,512,269 – 95,089,351 Collective investment schemes 18,795,216 21,115,694 – 39,910,910 Equities 253,077,528 – – 253,077,528 Forward contracts – 10,352,262 – 10,352,262 Options 101,745 – – 101,745

Financial assets 318,551,571 79,980,225 – 398,531,796

Forward contracts – (2,587,885) – (2,587,885) Futures (2,046,211) – – (2,046,211)

Financial liabilities (2,046,211) (2,587,885) – (4,634,096)

379 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon Japan All Cap Equity Fund JPY JPY JPY JPY Equities 857,910,720 – – 857,910,720 Forward contracts – 2,225,658 – 2,225,658

Financial assets 857,910,720 2,225,658 – 860,136,378

Forward contracts – (6,901,949) – (6,901,949)

Financial liabilities – (6,901,949) – (6,901,949)

BNY Mellon Japan Small Cap Equity Focus Fund JPY JPY JPY JPY Equities 1,562,505,300 – – 1,562,505,300 Forward contracts – 2,729,521 – 2,729,521

Financial assets 1,562,505,300 2,729,521 – 1,565,234,821

Forward contracts – (14,928,954) – (14,928,954)

Financial liabilities – (14,928,954) – (14,928,954)

BNY Mellon Long-Term Global Equity Fund EUR EUR EUR EUR Equities 1,485,659,506 – – 1,485,659,506 Forward contracts – 1,057,766 – 1,057,766

Financial assets 1,485,659,506 1,057,766 – 1,486,717,272

Forward contracts – (443,022) – (443,022)

Financial liabilities – (443,022) – (443,022)

BNY Mellon Pan European Equity Fund EUR EUR EUR EUR Equities 18,955,496 – – 18,955,496 Options 30,625 – – 30,625

Financial assets 18,986,121 – – 18,986,121

Forward contracts – (0) – (0)

Financial liabilities – (0) – (0)

380 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

16. RISK MANAGEMENT OBJECTIVES AND POLICIES contd.

FAIR VALUE ESTIMATION contd.

Fund Classification Level 1 Level 2 Level 3 Total

BNY Mellon S&P 500® Index Tracker USD USD USD USD Bonds 164,992 – – 164,992 Equities 94,333,406 – – 94,333,406 Futures 10,548 – – 10,548

Financial assets 94,508,946 – – 94,508,946

BNY Mellon Small Cap Euroland Fund EUR EUR EUR EUR Equities 9,251,162 142,071 – 9,393,233

Financial assets 9,251,162 142,071 – 9,393,233

Futures (935) – – (935)

Financial liabilities (935) – – (935)

BNY Mellon U.S. Dynamic Value Fund USD USD USD USD Equities 72,158,997 – – 72,158,997

Financial assets 72,158,997 – – 72,158,997

BNY Mellon US Opportunites Fund USD USD USD USD Collective investment schemes 478,168 – – 478,168 Equities 10,846,910 – – 10,846,910

Financial assets 11,325,078 – – 11,325,078

17. COMMITMENTS AND CONTINGENCIES

There are no commitments or contingencies as at 31 December 2015 or 31 December 2014.

18. NOTIONAL EXCHANGE ADJUSTMENT

For aggregation purposes, all assets and liabilities together with income and expenses for all Funds 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 year end exchange rates. This method of allocation has no effect on the value of net assets allocated to the individual Funds.

381 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

19. 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.

20. SIGNIFICANT EVENTS

The Company transitioned to FRS 102 effective 1 January 2015.

With effect from 2 February 2015, BNY Mellon Absolute Return Bond Fund made changes to its investment policy for the addition of total return swaps for investment and effi cient portfolio management purposes and the inclusion of the ability to enter into repurchase and reverse repurchase agreements for effi cient portfolio management purposes. A copy of the latest supplement can be obtained from the Administrator.

With effect from 31 March 2015, Enrico Floridi resigned as a Director of the Company.

The Class I (Acc) (Hedged) USD share class of BNY Mellon European Credit Fund was launched on 26 March 2015 with the incorrect initial net asset value of $1.0000 instead of $100.0000 as stated in the prospectus. This was corrected as of 21 May 2015.

Effective 31 July 2015, Meriten Investment Management Gmbh, the investment manager of BNY Mellon Crossover Credit Fund, was sold and became Oddo Meriten Asset Management GmbH.

BNY Mellon Dynamic Total Return Fund was launched on 15 May 2015 and BNY Mellon Targeted Return Bond Fund was launched on 16 November 2015.

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund was closed on 16 June 2015, BNY Mellon Emerging Markets Equity Core Fund was closed on 2 October 2015 and BNY Mellon Emerging Markets Equity Fund was closed on 9 December 2015.

BNY Mellon Emerging Equity Income Fund changed its name to BNY Mellon Global Emerging Markets Fund as well as its distribution frequency from quarterly to annual with effect from 4 August 2015.

BNY Mellon Alpha Equity Select Fund and BNY Mellon Global Leaders Fund were approved by the Central Bank on 15 September 2015.

Effective 1 November 2015, the Company became subject to the Central Bank UCITS Regulations, which consolidated all of the Central Bank’s UCITS Notices and Guidance Notes. These regulations replaced the Central Bank UCITS Notices and Guidance Notes.

The valuation point of BNY Mellon Brazil Equity Fund was changed from 12.00 (Dublin time) to 22.00 (Dublin time) on 30 November 2015.

BNY Mellon Global Equity Higher Income Fund changed its name to BNY Mellon Global Equity Income Fund with effect from 30 November 2015.

U.S. VOLCKER RULE The Prospectus has been updated to include disclosure in relation to the U.S. “Volcker Rule” which imposes a number of restrictions on fi nancial organizations like The Bank of New York Mellon Corporation and its affi liates (“BNY Mellon”), but also provides various exemptions. The Volcker Rule excludes “foreign public funds”, such as the sub-funds of the Company, that meet certain criteria, including, in the case of the sub-funds, that ownership interests in the sub-funds be sold predominantly to persons other than BNY Mellon and its directors and employees (the regulators expect at least 85% of sub-funds to be held by non-U.S. persons who are neither affi liated with, nor directors or employees, of BNY Mellon).

382 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

20. SIGNIFICANT EVENTS contd.

U.S. VOLCKER RULE contd. Therefore, to the extent BNY Mellon provides seed capital to a sub-fund of the Company, it will take steps to raise enough fund assets through investments by third parties and/or reduce its seed capital investments so that its investments will constitute less than 15% of the sub-fund within, generally three years of the establishment of the sub-fund.

If BNY Mellon is required to divest some or all of its seed capital investments in a particular sub-fund of the Company, it will involve sales of portfolio holdings to raise cash. Such sales entail the following risks: BNY Mellon may initially own a larger percentage of the sub-fund and any mandatory reductions may increase sub-fund portfolio turnover rates with corresponding increased brokerage and transfer costs and expenses and tax consequences. Details of BNY Mellon’s investment in each sub-fund, where applicable, are available upon request.

Other than disclosed above, there were no other signifi cant events affecting the Company during the year.

21. SUBSEQUENT EVENTS

BNY Mellon Global Property Securities Fund changed its distribution frequency from annual to quarterly with effect from 1 January 2016.

The Company declared the following distributions on 5 January 2016 and 4 April 2016:

Fund Share Class Currency 5 January 2016 4 April 2016

BNY Mellon Absolute Insight Fund Class E (Acc) EUR 0.0030 – Class E (Acc) (Hedged) USD 0.0018 – Class E (Acc) (Hedged) CHF 0.0031 – Class E (Inc) EUR 0.0036 – Sterling E (Acc) (Hedged) GBP 0.0032 – Class U (Acc) (Hedged) CHF 0.0003 – Class U (Acc) (Hedged) USD 0.0001 – Sterling U (Acc) (Hedged) GBP 0.0001 – BNY Mellon Absolute Return Bond Fund Class C (Inc) EUR 0.0708 0.0316 Sterling I (Acc) (Hedged) GBP 0.0580 0.0420 Class S (Inc) EUR 0.0477 0.0772 Sterling T (Acc) (Hedged) GBP 0.0722 0.0862 Sterling W (Acc) (Hedged) GBP 0.0314 0.0164 Sterling W (Inc) (Hedged) GBP 0.0314 0.0164 Sterling X (Acc) (Hedged) GBP 0.2539 0.2397 BNY Mellon Absolute Return Equity Fund Sterling X (Acc) GBP 0.0044 – BNY Mellon Asian Bond Fund Class A (Acc) USD 0.0054 0.0050 Class A (Inc) USD 0.0052 0.0049 Class C (Acc) USD 0.0067 0.0064 Class C (Inc) USD 0.0065 0.0061 Class E (Acc)^ USD – 0.0033 Class E (Inc) USD 0.0078 0.0074 Class H (Acc) (Hedged) EUR 0.0054 0.0048 Class H (Inc) (Hedged) EUR 0.0053 0.0046 Class I (Acc) (Hedged) EUR 0.0068 0.0061 Class I (Inc) (Hedged) EUR 0.0066 0.0059 Class W (Acc) USD 0.0076 0.0073 Class W (Acc) (Hedged) EUR 0.0077 0.0070 Class W (Inc) USD 0.0073 0.0070 Class W (Inc) (Hedged) EUR 0.0075 0.0067 Class X (Acc) USD 0.0096 0.0092 BNY Mellon Asian Equity Fund Sterling C (Inc) GBP 0.0202 – Class W USD 0.0115 – Sterling W (Inc) GBP 0.0124 –

383 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

21. SUBSEQUENT EVENTS contd.

Fund Share Class Currency 5 January 2016 4 April 2016

BNY Mellon Brazil Equity Fund Sterling B (Acc) GBP 0.0080 – Sterling C (Inc) GBP 0.0135 – Class W (Acc) EUR 0.0163 – Class W (Acc) USD 0.0136 – Sterling W (Acc) GBP 0.0149 – BNY Mellon Crossover Credit Fund Class A (Inc) EUR 0.0070 0.0065 Class C (Inc) EUR 0.0071 0.0067 Class I (Acc) (Hedged) USD 0.0066 0.0066 BNY Mellon Dynamic Total Return Fund* Class X (Acc) USD 0.0003 – BNY Mellon Emerging Markets Corporate Debt Fund Sterling W (Acc) (Hedged) GBP 1.1509 1.2824 BNY Mellon Emerging Markets Debt Fund Class C (Inc) USD 0.0114 0.0102 Class H (Acc) (Hedged) EUR 0.0138 0.0124 Class I (Acc) (Hedged) EUR 0.0151 0.0136 BNY Mellon Emerging Markets Debt Local Currency Fund Class A (Inc) USD 0.0078 0.0084 Class A (Inc) EUR 0.0117 0.0120 Sterling A (Acc) GBP 0.0108 0.0123 Sterling A (Inc) GBP 0.0085 0.0096 Sterling B (Acc) GBP 0.0116 0.0130 Sterling B (Inc) GBP 0.0093 0.0104 Class C (Inc) USD 0.0092 0.0098 Class C (Inc) EUR 0.0120 0.0122 Sterling C (Acc) GBP 0.0175 0.0197 Sterling C (Inc) GBP 0.0123 0.0138 Class I (Inc) (Hedged) EUR 0.0093 0.0098 Sterling J (Inc) (Hedged) GBP 0.0081 0.0088 Class W USD 0.0109 0.0118 Class W EUR 0.0131 0.0134 Class W (Inc) USD 0.0096 0.0098 Class W (Inc) EUR 0.0113 0.0113 Sterling W (Inc) GBP 0.0102 0.0112 Sterling W (Inc) (Hedged) GBP 0.0100 0.0107 Class X (Inc) CHF 0.0111 0.0112 BNY Mellon Emerging Markets Debt Opportunistic Fund Class X (Inc) USD 0.0115 0.0124 BNY Mellon Euroland Bond Fund Class A (Inc) EUR 0.0035 0.0024 Class B (Inc) EUR 0.0043 0.0031 Class C (Inc) EUR 0.0055 0.0042 Class H (Acc) (Hedged) USD 0.0029 0.0020 Class I (Acc) (Hedged) USD 0.0042 0.0033 Class Z (Acc) EUR 0.0044 0.0034 Class Z (Acc) (Hedged) CHF 0.0038 0.0030 Class Z (Acc) (Hedged) USD 0.0043 0.0034 BNY Mellon European Credit Fund Class C (Inc) EUR 0.4735 0.3202 Class I (Hedged) USD 0.4228 0.3103 Class X (Inc) EUR 0.6159 0.4685 BNY Mellon Global Bond Fund Class C (Inc) USD 0.0025 0.0019 Sterling C (Inc) GBP 0.0071 – BNY Mellon Global Dynamic Bond Fund Class A (Inc) USD 0.0019 0.0016 Class H (Inc) (Hedged) EUR 0.0019 0.0016 Class I (Inc) (Hedged) EUR 0.0032 0.0028 Sterling W (Acc) (Hedged) GBP 0.0038 0.0036 BNY Mellon Global Emerging Markets Fund* Sterling C (Inc) GBP 0.0013 – Class I (Inc) (Hedged) EUR 0.0012 – Class W (Inc) USD 0.0013 – Class W (Inc) EUR 0.0060 – Sterling W (Inc) GBP 0.0032 –

384 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

21. SUBSEQUENT EVENTS contd.

Fund Share Class Currency 5 January 2016 4 April 2016

BNY Mellon Global Equity Income Fund* Class A EUR 0.0577 – Class A (Inc) USD 0.0076 0.0082 Sterling A (Acc) GBP 0.0073 0.0082 Sterling A (Inc) GBP 0.0072 0.0081 Class B USD 0.0504 – Class B (Inc) USD 0.0091 0.0098 Class B (Inc) EUR 0.0108 0.0112 Sterling B (Inc) GBP 0.0096 0.0107 Class C (Inc) USD 0.0093 0.0100 Class C (Inc) EUR 0.0106 0.0109 Sterling C (Inc) GBP 0.0098 0.0110 Class H (Inc) (Hedged) EUR 0.0073 0.0077 Class I (Inc) (Hedged) EUR 0.0073 0.0079 Class W USD 0.0086 0.0094 Class W EUR 0.0103 0.0108 Class W (Inc) USD 0.0078 0.0084 Class W (Inc) EUR 0.0094 0.0097 Sterling W (Acc) GBP 0.0094 0.0106 Sterling W (Inc) GBP 0.0085 0.0095 Class Z (Acc) USD 0.0072 0.0078 Class Z (Acc) EUR 0.0083 0.0086 Class Z (Inc) USD 0.0070 0.0075 Class Z (Inc) EUR 0.0016 0.0072 Sterling Z (Acc) GBP 0.0069 0.0079 Sterling Z (Inc) GBP 0.0075 0.0084 BNY Mellon Global High Yield Bond Fund Class X USD 0.0138 0.0129 Class X (Inc) USD 0.0161 0.0155 Class X (Inc) (Hedged) EUR 0.0166 0.0157 BNY Mellon Global Opportunistic Bond Fund Class C (Inc) USD 0.0115 0.0099 Sterling I (Acc) (Hedged) GBP 0.0114 0.0103 Class X (Inc) USD 0.0124 0.0094 BNY Mellon Global Opportunities Fund Class X EUR 0.0352 – BNY Mellon Global Property Securities Fund Sterling I (Inc) (Hedged) GBP 0.0253 0.0175 Sterling J (Acc) (Hedged) GBP 0.0097 0.0119 Sterling J (Inc) (Hedged) GBP 0.0088 0.0117 BNY Mellon Global Real Return Fund (EUR) Class A EUR 0.0077 – Class A (Inc) EUR 0.0066 – Class C EUR 0.0143 – Class C (Inc) EUR 0.0124 – Class Z (Acc) EUR 0.0062 – BNY Mellon Global Real Return Fund (GBP) Sterling B (Acc) GBP 0.0043 – Sterling B (Inc) GBP 0.0039 – Sterling C (Inc) GBP 0.0095 – Sterling W (Acc) GBP 0.0126 – Sterling W (Inc) GBP 0.0121 – Sterling X (Acc) GBP 0.0205 – BNY Mellon Global Real Return Fund (USD) Class A USD 0.0071 – Class C USD 0.0141 – Class C (Inc) USD 0.0117 – Class W (Acc) USD 0.0141 – Class W (Inc) USD 0.0136 – BNY Mellon Japan All Cap Equity Fund Sterling W (Acc) GBP 0.0077 – Class X (Inc) JPY 0.1139 – BNY Mellon Japan Small Cap Equity Focus Fund Sterling W (Acc) GBP 0.0045 –

385 BNY MELLON GLOBAL FUNDS, PLC NOTES TO THE FINANCIAL STATEMENTS

21. SUBSEQUENT EVENTS contd.

Fund Share Class Currency 5 January 2016 4 April 2016

BNY Mellon Long-Term Global Equity Fund Sterling B (Inc) GBP 0.0005 – Class C (Inc) EUR 0.0088 – Class W EUR 0.0113 – Class W USD 0.0096 – Class W (Inc) USD 0.0094 – Sterling W (Acc) GBP 0.0105 – Sterling W (Inc) GBP 0.0103 – Sterling X GBP 0.0180 – BNY Mellon Small Cap Euroland Fund Class I (Acc) (Hedged) USD 0.0068 – BNY Mellon Targeted Return Bond Fund* Class A (Acc) USD 0.0066 0.0114 Sterling W (Acc) (Hedged) GBP 0.0068 0.0117

* Please refer to Note 20 of the fi nancial statements. ^ This share class was launched in the fi rst quarter of 2016.

The Company declared the following distributions on 6 January 2016 and 5 April 2016:

Fund Share Class Currency 6 January 2016 5 April 2016

BNY Mellon Asian Income Fund Class A (Acc) EUR 0.0025 0.0078 Class A (Acc) USD 0.0019 0.0065 Class A (Inc) EUR 0.0025 0.0076 Class A (Inc) USD 0.0019 0.0063 Sterling A (Acc) GBP 0.0023 0.0078 Sterling A (Inc) GBP 0.0022 0.0075 Class B (Acc) USD 0.0028 0.0074 Class C (Acc) USD 0.0046 0.0087 Sterling C (Acc) GBP 0.0045 0.0098 Class W (Inc) EUR 0.0059 0.0106 Class W (Inc) USD 0.0044 0.0088 Sterling W (Inc) GBP 0.0049 0.0102

On 28 January 2016, the Administrator, BNY Mellon Fund Services (Ireland) Limited converted to a designated activity company under the Companies Act 2014 and changed its name to BNY Mellon Fund Services (Ireland) Designated Activity Company.

BNY Mellon Global Emerging Market Equity Value Fund closed on 26 February 2016.

BNY Mellon Global Credit Fund launched on 29 February 2016.

Other than disclosed above, there were no other signifi cant events affecting the Company since the year end.

22. APPROVAL OF FINANCIAL STATEMENTS

The fi nancial statements were approved by the Directors on 13 April 2016.

386 BNY MELLON GLOBAL FUNDS, PLC

SIGNIFICANT PORTFOLIO MOVEMENTS

BNY Mellon Absolute Insight Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales and Maturities Nominal EUR Insight Liquidity Funds Plc - EUR Cash Fund 25,293,629 25,295,799 Insight Liquidity Funds Plc - EUR Cash Fund 22,989,303 22,990,906 Unibail-Rodamco SE 0.000% 14-Mar-2016 CP 6,000,000 6,001,214 France Treasury Bill BTF 0.000% 14-Jan-2015 8,000,000 8,000,000 Unibail-Rodamco SE 0.000% 14-Dec-2015 CP 6,000,000 6,000,150 Bundesschatzanweisungen 0.250% 13-Mar-2015 7,000,000 7,000,000 BNP Paribas SA 2.625% 16-Sep-2016 5,500,000 5,614,400 France Treasury Bill BTF 0.000% 28-Jan-2015 7,000,000 7,000,000 DekaBank 0.000% 07-Aug-2015 CP 5,500,000 5,500,134 Unibail-Rodamco SE 0.000% 14-Dec-2015 CP 6,000,000 6,000,000 Bundesschatzanweisungen 0.250% 13-Mar-2015 5,300,000 5,300,462 DekaBank 0.000% 07-Aug-2015 CP 5,500,000 5,500,000 ING Bank NV 4.000% 23-Dec-2016 5,025,000 5,227,960 BNP Paribas SA 0.137% 03-Dec-2015 FRN 4,900,000 4,900,000 Norinchukin Bank 0.000% 12-Jan-2016 CD 5,000,000 4,999,960 Nationwide Building Society 0.000% 21-Aug-2015 CP 4,500,000 4,500,000 Nationwide Building Society 0.000% 21-Aug-2015 CP 4,500,000 4,500,000 SA de Gestion de Stocks de Securite 0.000% 15-Dec-2015 CP 4,000,000 4,000,000 Societe Generale SA 0.371% 29-Mar-2016 4,200,000 4,209,837 Air Liquide SA 0.000% 22-Oct-2015 CP 4,000,000 4,000,000 National Australia Bank Ltd 0.349% 16-Jan-2018 4,000,000 4,008,160 Sumitomo Trust and Banking Co Ltd 0.000% 15-Oct-2015 CD 4,000,000 4,000,000 SA de Gestion de Stocks de Securite 0.000% 15-Dec-2015 CP 4,000,000 4,000,467 SA de Gestion de Stocks de Securite 0.000% 15-Sep-2015 CP 4,000,000 4,000,000 Sumitomo Trust and Banking Co Ltd 0.000% 15-Oct-2015 CD 4,000,000 4,000,409 Unibail-Rodamco SE 0.000% 14-Sep-2015 CP 4,000,000 4,000,000 Engie SA 0.000% 22-Apr-2016 CP 4,000,000 4,000,321 L’Oreal SA 0.000% 15-Jul-2015 CP 4,000,000 4,000,000 SA de Gestion de Stocks de Securite 0.000% 15-Sep-2015 CP 4,000,000 4,000,307 Credit Agricole Corp 0.090% 14-Jul-2015 CD 4,000,000 4,000,000 L’Oreal SA 0.000% 15-Jul-2015 CP 4,000,000 4,000,250 Unibail-Rodamco SE 0.000% 07-Jul-2015 CP 4,000,000 4,000,000 Air Liquide SA 0.000% 22-Oct-2015 CP 4,000,000 4,000,085 JP Morgan Securities Plc 0.150% 11-Jun-2015 CD 4,000,000 4,000,000 Sumitomo Trust and Banking Co Ltd 0.000% 15-Apr-2016 CD 4,000,000 4,000,000 DekaBank 0.000% 07-Apr-2015 CP 4,000,000 4,000,000 Unibail-Rodamco SE 0.000% 14-Sep-2015 CP 4,000,000 4,000,000 Bayerische Motoren Werke AG 0.000% 27-Mar-2015 CP 4,000,000 4,000,000 Credit Agricole Corp 0.090% 14-Jul-2015 CD 4,000,000 4,000,000 ING Bank NV 0.060% 02-Mar-2015 CD 4,000,000 4,000,000

BNY Mellon Absolute Return Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales and Maturities Nominal EUR United Kingdom Gilt 2.000% 22-Jul-2020 321,010,000 457,654,091 United Kingdom Gilt 2.000% 22-Jul-2020 321,010,000 454,784,723 Bundesrepublik Deutschland 2.500% 04-Jul-2044 164,674,000 208,672,440 Bundesrepublik Deutschland 2.500% 04-Jul-2044 164,674,000 208,072,536 Italy Buoni Poliennali Del Tesoro 144A 3.250% 01-Sep-2046 67,839,000 77,141,966 Italy Buoni Poliennali Del Tesoro 4.750% 01-Sep-2044 95,794,000 151,989,050 Insight Global Funds II plc - Insight Emerging Markets Debt Fund 3,727,954 73,444,865 BNP Paribas SA 0.291% 13-Nov-2015 FRN 57,800,000 57,800,000 Spain Government Bond 144A 5.150% 31-Oct-2044 41,077,000 58,019,165 United Kingdom Gilt 3.500% 22-Jan-2045 27,268,000 44,686,698 United States Treasury Inflation Indexed Bonds 0.750% Commonwealth Bank of Australia 0.386% 17-Sep-2015 FRN 37,300,000 37,300,000 15-Feb-2045 69,741,900 55,646,140 Spain Government Bond 144A 5.150% 31-Oct-2044 24,249,000 35,753,717 United Kingdom Gilt 3.500% 22-Jan-2045 27,268,000 45,381,869 Lloyds Bank Plc 0.312% 14-Oct-2015 FRN 35,294,000 35,294,000 Insight Liquidity Funds Plc - EUR Cash Fund 42,911,739 42,915,000 Japan Government Thirty Year Bond 1.500% 20-Dec-2044 4,800,000,000 34,754,811 Japan Government Thirty Year Bond 1.500% 20-Dec-2044 4,800,000,000 37,566,222 Insight Liquidity Funds Plc - EUR Cash Fund 32,708,243 32,709,999 BNP Paribas SA 0.349% 13-Nov-2015 FRN 37,000,000 37,065,738 Deutsche Bank AG 0.305% 22-Apr-2015 FRN 32,600,000 32,607,586 Banque Federative du Credit Mutuel SA 0.156% 23-Mar-2017 33,400,000 33,406,404 France Government Bond OAT 4.000% 25-Apr-2060 19,921,000 31,420,697 Credit Suisse AG/London 0.259% 19-Feb-2016 FRN 31,400,000 31,468,930 Deutsche Bank AG 0.192% 28-May-2015 FRN 29,800,000 29,801,200 France Government Bond OAT 4.000% 25-Apr-2060 19,921,000 31,290,699 JPMorgan Chase & Co 0.332% 02-Mar-2015 FRN 29,800,000 29,800,000 Lloyds Bank Plc 0.511% 21-Aug-2017 28,900,000 29,066,508 Credit Agricole SA/London 0.367% 28-Aug-2015 FRN 28,400,000 28,400,000 Barclays Bank Plc 0.360% 02-Jun-2016 FRN 27,000,000 27,072,440 United States Treasury Inflation Indexed Bonds 0.625% Italy Buoni Poliennali Del Tesoro 4.750% 01-Sep-2044 17,272,000 24,781,749 15-Feb-2043 32,524,701 24,838,237 Morgan Stanley 0.382% 13-Apr-2016 24,150,000 24,196,280 Credit Suisse AG/London 0.281% 19-Jan-2015 FRN 21,600,000 21,600,000 JPMorgan Chase & Co 0.282% 03-May-2016 FRN 24,000,000 24,068,605 Goldman Sachs Group Inc/The 0.536% 02-Feb-2015 FRN 19,000,000 19,000,000 Morgan Stanley 0.412% 13-Apr-2016 FRN 23,500,000 23,545,510 Societe Generale SA 0.529% 14-Jan-2015 FRN 17,700,000 17,700,000 Societe Generale SA 0.648% 18-Jan-2016 FRN 22,800,000 22,869,699 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 0.190% 19-Aug-2015 FRN 16,800,000 16,800,000

387 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Absolute Return Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal GBP Major Sales and Maturities Nominal GBP Lloyds Bank Plc 0.410% 09-Mar-2015 TD 68,000,000 68,000,000 Lloyds Bank Plc 0.410% 09-Mar-2015 TD 68,000,000 68,000,000 Lloyds Bank Plc 0.410% 11-Aug-2015 TD 65,000,000 65,000,000 Lloyds Bank Plc 0.410% 11-Aug-2015 TD 65,000,000 65,000,000 Lloyds Bank Plc 0.410% 29-Jan-2015 TD 63,000,000 63,000,000 Lloyds Bank Plc 0.410% 29-Jan-2015 TD 63,000,000 63,000,000 Lloyds Bank Plc 0.410% 06-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 06-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 05-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 05-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 02-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 02-Feb-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 30-Jan-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 30-Jan-2015 TD 62,000,000 62,000,000 Lloyds Bank Plc 0.410% 14-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 14-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 13-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 13-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 12-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 12-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 10-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 10-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 07-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 07-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 06-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 06-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 05-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 05-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 04-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 04-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 03-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 03-Aug-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 31-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 31-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 30-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 30-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 28-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 28-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 27-Jul-2015 TD 60,000,000 60,000,000 Lloyds Bank Plc 0.410% 27-Jul-2015 TD 60,000,000 60,000,000

BNY Mellon Asian Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD United States Treasury Note/Bond 1.375% 31-Mar-2020 3,250,000 3,257,305 United States Treasury Note/Bond 1.375% 31-Mar-2020 3,250,000 3,250,410 Korean Reinsurance Co 4.500% 21-Oct-2044 VAR 3,000,000 3,043,500 Korean Reinsurance Co 4.500% 21-Oct-2044 VAR 3,000,000 3,055,700 Petronas Capital Ltd 7.875% 22-May-2022 1,850,000 2,377,969 United States Treasury Note/Bond 2.000% 15-Feb-2025 2,150,000 2,132,154 United States Treasury Note/Bond 2.000% 15-Feb-2025 2,150,000 2,126,297 Indonesia Government International Bond 5.375% 17-Oct-2023 1,800,000 1,890,000 Philippine Government International Bond 7.750% 14-Jan-2031 1,200,000 1,770,495 China Cinda Finance 2015 I Ltd 3.125% 23-Apr-2020 1,750,000 1,714,810 China Cinda Finance 2015 I Ltd 3.125% 23-Apr-2020 1,750,000 1,731,030 United States Treasury Note/Bond 3.000% 15-Nov-2044 1,200,000 1,275,836 Vedanta Resources Plc 9.500% 18-Jul-2018 1,650,000 1,691,958 Petronas Capital Ltd 7.875% 22-May-2022 1,000,000 1,266,950 Country Garden Holdings Co Ltd 7.500% 09-Mar-2020 1,500,000 1,532,375 Vedanta Resources Plc 9.500% 18-Jul-2018 1,250,000 1,264,625 CNOOC Nexen Finance 2014 ULC 4.250% 30-Apr-2024 1,350,000 1,375,060 Philippine Government International Bond 7.750% 14-Jan-2031 850,000 1,249,405 Indonesia Government International Bond 4.125% 15-Jan-2025 1,400,000 1,373,700 Link Finance Cayman 2009 Ltd/The 3.600% 03-Sep-2024 1,200,000 1,185,302 Shimao Property Holdings Ltd 8.375% 10-Feb-2022 1,300,000 1,335,350 Sri Lanka Government International Bond 6.000% 14-Jan-2019 1,150,000 1,165,000 Swire Properties MTN Financing Ltd 4.375% 18-Jun-2022 1,200,000 1,302,672 PTTEP Canada International Finance Ltd 5.692% 05-Apr-2021 1,000,000 1,127,195 United States Treasury Note/Bond 3.000% 15-Nov-2044 1,200,000 1,282,928 Indonesia Government International Bond 5.125% 15-Jan-2045 1,150,000 1,102,875 Link Finance Cayman 2009 Ltd/The 3.600% 03-Sep-2024 1,200,000 1,220,755 Export-Import Bank of Korea 4.375% 15-Sep-2021 1,000,000 1,089,000 Reliance Industries Ltd 4.125% 28-Jan-2025 1,200,000 1,206,210 CMT MTN Pte Ltd 3.731% 21-Mar-2018 1,000,000 1,043,400 Hutchison Whampoa International 14 Ltd 3.625% 31-Oct-2024 1,200,000 1,196,178 State Bank of India/London 4.125% 01-Aug-2017 1,000,000 1,034,103 Sri Lanka Government International Bond 6.000% 14-Jan-2019 1,152,000 1,177,668 Shimao Property Holdings Ltd 8.375% 10-Feb-2022 1,000,000 1,031,100 Indonesia Government International Bond 5.125% 15-Jan-2045 1,150,000 1,172,609 Country Garden Holdings Co Ltd 7.500% 09-Mar-2020 1,000,000 1,026,590 PTTEP Canada International Finance Ltd 5.692% 05-Apr-2021 1,000,000 1,130,880 China Cinda Finance 2014 Ltd 4.000% 14-May-2019 1,000,000 1,023,080 Philippine Government International Bond 4.200% 21-Jan-2024 950,000 1,068,550 Pertamina Persero PT 6.450% 30-May-2044 1,000,000 1,015,000 BOC Aviation Pte Ltd 3.000% 30-Mar-2020 1,050,000 1,046,174 United States Treasury Note/Bond 1.375% 30-Apr-2020 1,000,000 996,086 State Bank of India/London 4.125% 01-Aug-2017 1,000,000 1,041,300 CNOOC Finance 2015 Australia Pty Ltd 2.625% 05-May-2020 1,000,000 983,390 China Cinda Finance 2014 Ltd 4.000% 14-May-2019 1,000,000 1,019,013 Hutchison Whampoa International 14 Ltd 3.625% 31-Oct-2024 1,000,000 982,000 Oversea-Chinese Banking Corp Ltd 3.150% 11-Mar-2023 VAR 1,000,000 1,017,145 KWG Property Holding Ltd 8.975% 14-Jan-2019 900,000 895,000 Indonesia Government International Bond 5.375% 17-Oct-2023 900,000 1,002,375 ICICI Bank Ltd/Hong Kong 5.750% 16-Nov-2020 800,000 892,608 CNOOC Finance 2015 Australia Pty Ltd 2.625% 05-May-2020 1,000,000 997,160 United States Treasury Note/Bond 1.375% 30-Apr-2020 1,000,000 996,953 China Construction Bank Corp 3.875% 13-May-2025 VAR 1,000,000 994,698

388 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Asian Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Baidu Inc ADR 23,105 4,859,481 Apollo Hospitals Enterprise Ltd 360,000 7,503,618 China Mobile Ltd 275,000 3,884,143 Noble Group Ltd 9,700,000 5,858,878 MYOB Group Ltd 1,009,552 2,905,517 BHP Billiton Plc 261,000 5,541,834 Incitec Pivot Ltd 929,800 2,573,212 First Gen Corp 6,551,000 4,209,739 Energy Development Corp 12,171,000 2,212,933 Taiwan Semiconductor Manufacturing Co Ltd 873,000 3,887,571 Axis Bank Ltd 241,057 2,014,260 AIA Group Ltd 549,400 3,459,552 Orora Ltd 1,076,000 1,757,742 Australia & New Zealand Banking Group Ltd 120,000 2,934,326 Domino's Pizza Enterprises Ltd 50,200 1,689,625 Amcor Ltd 300,000 2,872,622 Alibaba Group Holding Ltd ADR 18,900 1,607,901 Intouch Holdings PCL 1,180,000 2,624,985 Maruti Suzuki India Ltd 21,500 1,503,184 Belle International Holdings Ltd 2,090,000 2,343,050 21Vianet Group Inc ADR 65,507 1,299,048 GT Capital Holdings Inc 71,000 2,083,322 Samsung Electronics Co Ltd 1,040 1,266,962 IHH Healthcare Bhd 1,330,000 2,063,187 Man Wah Holdings Ltd 1,065,600 1,233,013 Meridian Energy Ltd 1,670,000 2,023,280 Amcor Ltd 85,000 895,793 Bangkok Bank PCL 390,000 1,948,561 China Biologic Products Inc 8,700 890,178 Oil Search Ltd 342,000 1,872,264 Genesis Energy Ltd 500,000 851,316 Indofood CBP Sukses Makmur Tbk PT 1,840,000 1,824,150 Yum! Brands Inc 9,600 823,907 Veda Group Ltd 960,000 1,777,281 3SBio Inc 144A 699,000 800,924 MYOB Group Ltd 602,552 1,712,615 Catcher Technology Co Ltd 71,000 741,054 Standard Chartered Plc 120,000 1,710,939 Bangkok Bank PCL 115,000 660,094 ITC Ltd 320,000 1,640,113 Insurance Australia Group Ltd 138,000 657,236 Advanced Info Service PCL 225,000 1,635,429 Ctrip.com International Ltd ADR 7,000 522,553 Hero MotoCorp Ltd 42,000 1,619,758 Security Bank Corp 180,000 511,695 LT Group Inc 4,883,100 1,597,842 Tencent Holdings Ltd 24,000 499,183 China Mobile Ltd 112,500 1,376,734 21Vianet Group Inc 65,507 1,307,935 Matahari Department Store Tbk PT 1,023,000 1,303,795 Universal Robina Corp 294,000 1,258,710 Sands China Ltd 306,000 1,180,816 Spotless Group Holdings Ltd 890,971 1,132,245 Tencent Holdings Ltd 56,000 1,079,661 Mesoblast Ltd 380,000 1,070,486 Hengan International Group Co Ltd 93,500 1,045,014 Robinson Department Store PCL 680,000 912,639

389 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Asian Income Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal GBP Major Sales Nominal GBP BNY Mellon Investments Funds - Newton Asian Income Fund 12,941,110 25,036,667 BNY Mellon Investments Funds - Newton Asian Income Fund 11,046,611 22,133,803

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 for the Fund during the reporting year.

BNY Mellon Brazil Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Fibria Celulose SA 448,309 6,251,390 Suzano Papel e Celulose SA Pfd 1,760,962 8,300,525 Petroleo Brasileiro SA Pfd 1,865,528 3,894,397 Lojas Americanas SA Pfd 889,580 4,781,707 Suzano Papel e Celulose SA Pfd 796,792 3,712,135 BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 1,313,909 4,487,629 Metalurgica Gerdau SA Pfd 4,133,433 3,406,249 Banco Bradesco SA Pfd 503,900 4,464,750 Banco Bradesco SA Pfd 400,801 3,143,198 Ultrapar Participacoes SA 225,357 4,339,530 Cia Paranaense de Energia Pfd 301,394 2,862,708 Cia Paranaense de Energia Pfd 408,037 4,047,821 Itausa - Investimentos Itau SA Pfd 1,148,682 2,807,860 Petroleo Brasileiro SA Pfd 1,702,635 3,809,357 CETIP SA - Mercados Organizados 260,956 2,774,051 EDP - Energias do Brasil SA 1,119,031 3,629,596 EDP - Energias do Brasil SA 769,808 2,366,288 Fibria Celulose SA 252,460 3,476,322 BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 638,087 2,042,613 Marfrig Global Foods SA 1,996,185 3,311,779 Banco do Estado do Rio Grande do Sul SA Pfd 731,350 1,889,308 Gerdau SA Pfd 1,428,161 3,230,139 Itau Unibanco Holding SA Pfd 187,445 1,822,360 Aliansce Shopping Centers SA 631,212 3,229,452 Marfrig Global Foods SA 999,504 1,623,180 Itausa - Investimentos Itau SA Pfd 1,253,600 3,164,273 Lojas Americanas SA 384,932 1,565,992 Petroleo Brasileiro SA ADR 486,650 3,043,686 Ultrapar Participacoes SA 79,320 1,525,267 Itau Unibanco Holding SA Pfd 214,200 2,163,517 Cosan SA Industria e Comercio 153,164 1,379,737 Telefonica Brasil SA ADR 96,600 1,756,403 Telefonica Brasil SA Pfd 120,885 1,333,516 Metalurgica Gerdau SA Pfd 1,655,936 1,696,518 Lojas Americanas SA Pfd 239,100 1,236,122 Bradespar SA Pfd 451,864 1,684,182 Gerdau SA Pfd 505,912 1,213,092 Banco do Brasil SA 246,289 1,402,621 Fibria Celulose SA ADR 82,000 1,140,930 Telefonica Brasil SA Pfd 104,200 1,286,569 Tractebel Energia SA 106,569 1,055,462 Tractebel Energia SA 116,900 1,202,780 Aliansce Shopping Centers SA 252,204 1,048,070 AES Tiete SA 251,500 1,123,703 AES Tiete SA 229,070 968,040 Embraer SA 124,000 989,860 Banco do Brasil SA 157,687 948,582 Santos Brasil Participacoes SA 239,428 957,522 CPFL Energia SA 226,955 929,392 Sonae Sierra Brasil SA 159,150 927,415 Santos Brasil Participacoes SA 210,086 819,067 CETIP SA - Mercados Organizados 80,000 800,978 Embraer SA 97,669 721,405 Embraer SA ADR 18,900 589,450

390 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Crossover Credit Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Santos Finance Ltd 8.250% 22-Sep-2070 VAR 3,050,000 3,281,473 Enel Finance International NV 4.875% 11-Mar-2020 2,200,000 2,579,095 AT&T Inc 2.600% 17-Dec-2029 2,900,000 3,137,712 Veolia Environnement SA 4.247% 06-Jan-2021 2,050,000 2,502,743 AT&T Inc 2.650% 17-Dec-2021 2,800,000 3,092,316 Petroleos Mexicanos 3.125% 27-Nov-2020 2,400,000 2,404,960 Volkswagen International Finance NV 3.875% Perpetual VAR 2,700,000 2,856,622 Astaldi SpA 7.125% 01-Dec-2020 1,900,000 2,003,180 SoftBank Group Corp 4.625% 15-Apr-2020 2,600,000 2,806,685 Renault SA 3.625% 19-Sep-2018 1,800,000 1,972,647 EDP Finance BV 2.625% 15-Apr-2019 2,500,000 2,611,925 Oi Brasil Holdings Cooperatief UA 5.625% 22-Jun-2021 2,600,000 1,955,150 Oi Brasil Holdings Cooperatief UA 5.625% 22-Jun-2021 2,600,000 2,372,350 Volkswagen International Finance NV 3.875% Perpetual VAR 2,000,000 1,847,500 EDP Finance BV 4.125% 20-Jan-2021 2,000,000 2,217,850 Lafarge SA 5.875% 09-Jul-2019 1,400,000 1,665,576 RWE AG 2.750% 21-Apr-2075 VAR 2,250,000 2,175,493 EDP Finance BV 4.625% 13-Jun-2016 1,550,000 1,626,725 Finmeccanica Finance SA 4.500% 19-Jan-2021 1,950,000 2,162,585 Celanese US Holdings LLC 3.250% 15-Oct-2019 1,580,000 1,623,450 Enel Finance International NV 1.966% 27-Jan-2025 2,000,000 2,111,622 Vodafone Group Plc 1.000% 11-Sep-2020 1,600,000 1,614,684 Deutsche Telekom International Finance BV 4.250% 13-Jul-2022 1,600,000 1,921,854 Telemar Norte Leste SA 5.125% 15-Dec-2017 1,800,000 1,602,048 Total SA 2.250% Perpetual VAR 1,890,000 1,904,640 Abengoa SA 8.500% 31-Mar-2016 2,100,000 1,546,000 Volkswagen Leasing GmbH 0.750% 11-Aug-2020 1,930,000 1,848,832 Enel Finance International NV 5.750% 24-Oct-2018 1,300,000 1,534,910 Kinder Morgan Inc/DE 1.500% 16-Mar-2022 1,970,000 1,805,195 BP Capital Markets Plc 1.109% 16-Feb-2023 1,490,000 1,474,113 Darling Global Finance BV 4.750% 30-May-2022 1,830,000 1,789,400 Abertis Infraestructuras SA 2.500% 27-Feb-2025 1,400,000 1,472,865 EnBW Energie Baden-Wuerttemberg AG 3.625% 02-Apr-2076 VAR 1,800,000 1,702,585 EDP Finance BV 2.625% 18-Jan-2022 1,360,000 1,382,032 ZF North America Capital Inc 2.250% 26-Apr-2019 1,700,000 1,692,217 Petrobras Global Finance BV 5.875% 07-Mar-2022 1,429,000 1,321,687 Wind Acquisition Finance SA 4.000% 15-Jul-2020 1,650,000 1,684,410 Lafarge SA 6.625% 29-Nov-2018 1,120,000 1,289,635 Telemar Norte Leste SA 5.125% 15-Dec-2017 1,800,000 1,632,000 Sinopec Group Overseas Development 2015 Ltd 0.500% 27-Apr-2018 1,280,000 1,276,147

BNY Mellon Dynamic Total Return Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD United States Treasury Bill 0.000% 17-Mar-2016 2,040,000 2,039,791 United States Treasury Bill 0.000% 22-Oct-2015 1,850,000 1,850,000 United States Treasury Bill 0.000% 10-Mar-2016 1,850,000 1,849,964 United States Treasury Bill 0.000% 19-Nov-2015 1,850,000 1,849,994 United States Treasury Bill 0.000% 19-Nov-2015 1,850,000 1,849,793 United States Treasury Bill 0.000% 01-Oct-2015 1,625,000 1,625,000 United States Treasury Bill 0.000% 22-Oct-2015 1,850,000 1,849,793 United States Treasury Bill 0.000% 10-Dec-2015 1,610,000 1,609,983 United States Treasury Bill 0.000% 11-Feb-2016 1,625,000 1,624,970 United States Treasury Bill 0.000% 24-Sep-2015 1,388,000 1,388,000 United States Treasury Bill 0.000% 01-Oct-2015 1,625,000 1,624,882 United States Treasury Bill 0.000% 03-Dec-2015 925,000 925,001 United States Treasury Bill 0.000% 10-Dec-2015 1,610,000 1,609,838 United States Treasury Bill 0.000% 27-Aug-2015 925,000 925,000 United States Treasury Bill 0.000% 24-Sep-2015 1,388,000 1,387,924 United States Treasury Bill 0.000% 20-Aug-2015 925,000 925,000 United States Treasury Bill 0.000% 07-Apr-2016 1,276,000 1,275,477 United States Treasury Bill 0.000% 03-Sep-2015 925,000 925,000 United States Treasury Bill 0.000% 04-Feb-2016 925,000 925,000 United States Treasury Bill 0.000% 13-Aug-2015 925,000 925,000 United States Treasury Bill 0.000% 06-Aug-2015 925,000 924,992 United States Treasury Bill 0.000% 10-Sep-2015 925,000 925,000 United States Treasury Bill 0.000% 13-Aug-2015 925,000 924,974 United States Treasury Bill 0.000% 06-Aug-2015 925,000 925,000 United States Treasury Bill 0.000% 20-Aug-2015 925,000 924,972 United States Treasury Bill 0.000% 17-Sep-2015 855,000 855,000 United States Treasury Bill 0.000% 27-Aug-2015 925,000 924,957 United States Treasury Bill 0.000% 17-Dec-2015 700,000 699,994 United States Treasury Bill 0.000% 03-Sep-2015 925,000 924,945 United States Treasury Bill 0.000% 31-Dec-2015 688,000 687,973 United States Treasury Bill 0.000% 03-Dec-2015 925,000 924,942 S&P GSCI Capped Component 35/20 THEAM Easy UCITS ETF 19,714 637,471 United States Treasury Bill 0.000% 10-Sep-2015 925,000 924,941 United States Treasury Bill 0.000% 25-Feb-2016 225,000 224,911 United States Treasury Bill 0.000% 24-Mar-2016 925,000 924,884 The above constitutes the full list of sales and maturities for the Fund United States Treasury Bill 0.000% 17-Sep-2015 855,000 854,956 during the reporting year. United States Treasury Bill 0.000% 17-Dec-2015 700,000 700,000 S&P GSCI Capped Component 35/20 THEAM Easy UCITS ETF 19,714 697,610 United States Treasury Bill 0.000% 31-Dec-2015 688,000 688,000 United States Treasury Bill 0.000% 03-Mar-2016 688,000 687,963 United States Treasury Bill 0.000% 25-Feb-2016 625,000 624,927 SPDR Barclays Short Term High Yield Bond ETF 19,265 563,082 iShares $ TIPS UCITS ETF 2,841 538,903

391 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Emerging Markets Corporate Debt Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Insight Liquidity Funds Plc - USD Liquidity Fund 84,811,867 84,811,867 Insight Liquidity Funds Plc - USD Liquidity Fund 83,601,217 83,601,217 Colombia Telecomunicaciones SA ESP 5.375% 27-Sep-2022 7,850,000 7,388,325 Colombia Telecomunicaciones SA ESP 5.375% 27-Sep-2022 4,400,000 4,288,125 Oi Brasil Holdings Cooperatief UA 5.625% 22-Jun-2021 5,500,000 5,334,227 JBS Investments GmbH 7.250% 03-Apr-2024 4,000,000 4,063,750 OCP SA 4.500% 22-Oct-2025 5,300,000 5,144,170 OCP SA 5.625% 25-Apr-2024 3,500,000 3,721,700 Pertamina Persero PT 6.450% 30-May-2044 4,900,000 4,753,750 Pertamina Persero PT 6.450% 30-May-2044 3,400,000 3,514,610 Southern Copper Corp 3.875% 23-Apr-2025 3,950,000 3,827,841 OCP SA 6.875% 25-Apr-2044 3,000,000 3,222,750 Minerva Luxembourg SA 7.750% 31-Jan-2023 3,600,000 3,640,500 Marfrig Holdings Europe BV 6.875% 24-Jun-2019 3,550,000 3,171,250 OCP SA 6.875% 25-Apr-2044 3,300,000 3,435,140 Minerva Luxembourg SA 7.750% 31-Jan-2023 3,000,000 2,921,750 Turkiye Vakiflar Bankasi TAO 6.875% 03-Feb-2025 VAR 3,350,000 3,336,155 AngloGold Ashanti Holdings Plc 8.500% 30-Jul-2020 2,700,000 2,902,500 Marfrig Holdings Europe BV 6.875% 24-Jun-2019 3,500,000 3,243,550 OCP SA 4.500% 22-Oct-2025 3,000,000 2,880,400 Cencosud SA 5.500% 20-Jan-2021 2,850,000 3,011,025 DP World Ltd 6.850% 02-Jul-2037 2,700,000 2,789,913 DP World Ltd 6.850% 02-Jul-2037 2,700,000 2,941,660 Oi Brasil Holdings Cooperatief UA 5.625% 22-Jun-2021 3,200,000 2,764,736 JBS Investments GmbH 7.250% 03-Apr-2024 2,700,000 2,803,550 Adani Ports & Special Economic Zone Ltd 3.500% 29-Jul-2020 2,700,000 2,678,940 Adani Ports & Special Economic Zone Ltd 3.500% 29-Jul-2020 2,700,000 2,687,148 Noble Group Ltd 6.750% 29-Jan-2020 2,600,000 2,627,038 PTT Global Chemical PCL 4.250% 19-Sep-2022 2,600,000 2,676,446 KazMunayGas National Co JSC 6.000% 07-Nov-2044 3,050,000 2,610,875 KazMunayGas National Co JSC 6.000% 07-Nov-2044 3,050,000 2,589,632 MAF Global Securities Ltd 4.750% 07-May-2024 2,200,000 2,266,500 State Oil Co of the Azerbaijan Republic 5.450% 09-Feb-2017 2,400,000 2,452,500 PTT Global Chemical PCL 4.250% 19-Sep-2022 2,200,000 2,251,956 Egypt Government International Bond 5.875% 11-Jun-2025 2,400,000 2,377,680 Vimpel Communications Via VIP Finance Ireland Ltd OJSC 9.125% Southern Copper Corp 5.875% 23-Apr-2045 2,700,000 2,297,140 30-Apr-2018 2,000,000 2,100,000 Korea Gas Corp 2.250% 25-Jul-2017 2,250,000 2,276,965 Fibria Overseas Finance Ltd 5.250% 12-May-2024 2,100,000 2,045,125 Poland Government International Bond 3.000% 17-Mar-2023 2,000,000 2,021,000

BNY Mellon Emerging Markets Debt Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Perusahaan Gas Negara Persero Tbk PT 5.125% 16-May-2024 5,300,000 5,636,260 Comision Federal de Electricidad 4.875% 15-Jan-2024 8,375,000 8,729,080 Petroleos Mexicanos 4.500% 23-Jan-2026 5,340,000 5,306,625 Indonesia Government International Bond 8.500% 12-Oct-2035 5,580,000 7,502,904 Corp Financiera de Desarrollo SA 4.750% 15-Jul-2025 3,740,000 3,714,031 Turkey Government International Bond 8.000% 14-Feb-2034 5,570,000 7,234,534 Turkey Government International Bond 7.375% 05-Feb-2025 2,870,000 3,598,588 Pertamina Persero PT 4.300% 20-May-2023 6,950,000 6,770,865 Indonesia Government International Bond 4.125% 15-Jan-2025 3,370,000 3,361,625 Eurasian Development Bank 4.767% 20-Sep-2022 7,220,000 6,654,800 South Africa Government International Bond 5.875% 16-Sep-2025 2,880,000 3,337,200 Russian Agricultural Bank OJSC Via RSHB Capital SA 7.750% Comision Federal de Electricidad 4.875% 15-Jan-2024 3,120,000 3,295,688 29-May-2018 6,195,000 6,288,279 YPF SA 8.500% 28-Jul-2025 3,250,000 3,235,525 Petroleos Mexicanos 6.625% 15-Jun-2035 5,645,000 5,810,875 Banco Nacional de Desenvolvimento Economico e Social 5.750% Export Credit Bank of Turkey 5.875% 24-Apr-2019 5,340,000 5,592,650 26-Sep-2023 2,995,000 3,115,306 Petroleos Mexicanos 4.500% 23-Jan-2026 5,340,000 5,238,540 Corp Financiera de Desarrollo SA 4.750% 08-Feb-2022 2,940,000 3,111,384 Philippine Government International Bond 9.500% 02-Feb-2030 3,100,000 5,177,000 King Power Capital Ltd 5.625% 03-Nov-2024 2,910,000 3,057,590 Vnesheconombank Via VEB Finance Plc 6.800% 22-Nov-2025 6,115,000 4,947,896 Poland Government International Bond 4.000% 22-Jan-2024 2,780,000 3,027,420 Corp Financiera de Desarrollo SA 4.750% 08-Feb-2022 4,625,000 4,896,475 Brazilian Government International Bond 8.250% 20-Jan-2034 2,170,000 2,940,350 Ecopetrol SA 5.875% 18-Sep-2023 4,435,000 4,682,106 Brazil Minas SPE Via State of Minas Gerais 5.333% 15-Feb-2028 3,030,000 2,939,098 Brazil Minas SPE Via State of Minas Gerais 5.333% 15-Feb-2028 5,670,000 4,599,404 Petroleos Mexicanos 6.375% 23-Jan-2045 2,465,000 2,650,861 Lithuania Government International Bond 6.625% 01-Feb-2022 3,715,000 4,516,283 Vedanta Resources Plc 8.250% 07-Jun-2021 2,600,000 2,580,500 SUAM Finance BV 4.875% 17-Apr-2024 4,260,000 4,357,440 China Cinda Finance 2014 Ltd 5.625% 14-May-2024 2,255,000 2,431,731 Philippine Government International Bond 7.750% 14-Jan-2031 2,825,000 4,229,281 Dominican Republic International Bond 5.875% 18-Apr-2024 2,185,000 2,265,350 Comision Federal de Electricidad 5.750% 14-Feb-2042 4,150,000 4,160,800 DP World Ltd 6.850% 02-Jul-2037 2,030,000 2,228,000 Perusahaan Gas Negara Persero Tbk PT 5.125% 16-May-2024 4,205,000 4,152,566 Cencosud SA 4.875% 20-Jan-2023 2,155,000 2,189,975 Prosperous Ray Ltd 4.625% 12-Nov-2023 3,790,000 4,071,296 Jamaica Government International Bond 6.750% 28-Apr-2028 2,115,000 2,151,963 Venezuela Government International Bond 7.750% 13-Oct-2019 5,480,000 2,145,420 Colombia Government International Bond 5.625% 26-Feb-2044 2,100,000 2,122,825 Republic of Serbia 7.250% 28-Sep-2021 1,750,000 2,007,346 Petroleos de Venezuela SA 5.500% 12-Apr-2037 5,450,000 1,983,200

392 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Emerging Markets Debt Local Currency Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 264,260,000 62,110,479 Malaysia Government Bond 4.262% 15-Sep-2016 290,965,000 73,972,355 Brazil Letras do Tesouro Nacional 0.000% 01-Apr-2016 208,550,000 59,711,727 South Africa Government Bond 7.000% 28-Feb-2031 851,105,000 49,143,478 Poland Government Bond 3.250% 25-Jul-2025 179,655,000 51,801,009 Mexican Bonos 8.500% 31-May-2029 573,089,300 46,317,510 Turkey Government Bond 10.500% 15-Jan-2020 95,940,302 46,399,970 Mexican Bonos 10.000% 05-Dec-2024 504,079,800 41,611,872 Turkey Government Bond 10.400% 20-Mar-2024 104,265,000 41,879,573 Malaysia Government Bond 3.835% 12-Aug-2015 145,875,000 41,072,040 Colombian TES 7.750% 18-Sep-2030 83,787,200,000 35,472,749 Turkey Government Bond 9.000% 27-Jan-2016 102,895,000 37,994,645 Mexican Bonos 10.000% 05-Dec-2024 346,479,800 29,769,742 South Africa Government Bond 10.500% 21-Dec-2026 451,005,000 37,710,973 Hungary Government Bond 5.500% 24-Jun-2025 6,879,290,000 28,595,602 Colombian TES 7.000% 04-May-2022 82,098,200,000 34,788,230 Turkey Government Bond 8.800% 27-Sep-2023 54,300,000 25,948,267 Brazil Letras do Tesouro Nacional 0.000% 01-Apr-2015 106,000,000 33,396,871 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 1,928,990,000 24,856,147 Turkey Government Bond 10.000% 17-Jun-2015 73,500,000 27,930,447 Peruvian Government International Bond 6.950% 12-Aug-2031 61,130,000 19,761,486 Poland Government Bond 6.250% 24-Oct-2015 100,832,000 26,816,323 Indonesia Treasury Bond 8.375% 15-Mar-2024 212,250,000,000 18,524,446 Brazil Letras do Tesouro Nacional 0.000% 01-Jul-2015 74,800,000 23,448,603 Comision Federal de Electricidad 7.350% 25-Nov-2025 266,700,000 16,564,460 Poland Government Bond 5.750% 23-Sep-2022 67,510,000 22,317,312 United States Treasury Bill 0.000% 31-Mar-2016 15,620,000 15,616,322 Colombian TES 7.750% 18-Sep-2030 55,778,200,000 21,257,473 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 36,400,000 12,981,454 Poland Government Bond 5.000% 25-Apr-2016 75,800,000 21,036,582 Mexican Bonos 8.500% 31-May-2029 146,000,000 12,893,560 Peruvian Government International Bond 6.950% 12-Aug-2031 61,130,000 20,656,429 United States Treasury Bill 0.000% 13-Aug-2015 12,317,000 12,315,446 Indonesia Treasury Bond 8.375% 15-Mar-2024 228,157,000,000 18,775,969 Malaysia Government Bond 4.262% 15-Sep-2016 41,600,000 11,659,038 Colombian TES 10.000% 24-Jul-2024 36,778,000,000 18,576,653 South Africa Government Bond 10.500% 21-Dec-2026 129,145,000 11,197,184 Poland Government Bond 5.250% 25-Oct-2017 64,400,000 18,076,773 Thailand Government Bond 3.875% 13-Jun-2019 272,000,000 8,938,679 Brazil Letras do Tesouro Nacional 0.000% 01-Apr-2016 76,540,000 17,984,521 Colombian TES 10.000% 24-Jul-2024 17,000,000,000 8,878,755 Poland Government Bond 4.000% 25-Oct-2023 56,280,000 17,030,898 Brazil Notas do Tesouro Nacional Serie B 6.000% 15-May-2023 11,000,000 7,384,837 South Africa Government Bond 8.000% 21-Dec-2018 186,660,000 16,296,027 Turkey Government Bond 9.000% 24-Jul-2024 20,245,000 7,232,606 Indonesia Treasury Bond 7.875% 15-Apr-2019 207,153,000,000 15,455,090 Hungary Government Bond 3.000% 26-Jun-2024 2,053,100,000 7,041,052 Russian Federal Bond - OFZ 7.500% 27-Feb-2019 1,303,315,000 14,923,571 Brazil Notas do Tesouro Nacional Serie B 6.000% 15-Aug-2024 10,400,000 6,613,079 Brazil Letras do Tesouro Nacional 0.000% 01-Jan-2016 42,800,000 14,311,339 United States Treasury Bill 0.000% 21-May-2015 6,610,000 6,609,464 Mexican Bonos 7.750% 29-May-2031 211,990,000 14,299,894 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 73,070,000 13,924,357 Russian Federal Bond - OFZ 8.150% 03-Feb-2027 1,228,960,000 13,124,301 Mexican Bonos 10.000% 20-Nov-2036 150,675,000 12,754,717 Poland Government Bond 3.250% 25-Jul-2025 45,020,000 12,410,259 United States Treasury Bill 0.000% 13-Aug-2015 12,317,000 12,317,000 Russian Federal Bond - OFZ 7.600% 14-Apr-2021 1,129,000,000 12,302,742 Malaysia Government Bond 4.181% 15-Jul-2024 49,105,000 12,162,025 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 40,225,000 11,867,194 Indonesia Treasury Bond 8.375% 15-Mar-2034 150,592,000,000 10,637,912

393 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Emerging Markets Debt Opportunistic Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Brazil Letras do Tesouro Nacional 0.000% 01-Jul-2016 14,480,000 3,371,574 South Africa Government Bond 10.500% 21-Dec-2026 31,940,000 2,347,332 South Africa Government Bond 10.500% 21-Dec-2026 38,735,000 3,364,147 Turkey Government Bond 10.400% 20-Mar-2024 4,470,000 1,596,483 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 13,075,000 2,816,265 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 7,700,000 1,561,656 Brazil Minas SPE Via State of Minas Gerais 5.333% 15-Feb-2028 3,130,000 2,709,567 South Africa Government Bond 7.000% 28-Feb-2031 20,595,000 1,240,262 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 11,320,000 2,201,751 Indonesia Government International Bond 8.500% 12-Oct-2035 900,000 1,172,213 Petroleos Mexicanos 7.190% 12-Sep-2024 35,930,000 2,060,676 Uruguay Government International Bond 4.375% 27-Oct-2027 1,070,000 1,049,670 Poland Government Bond 5.750% 23-Sep-2022 6,105,000 1,990,372 Poland Government Bond 3.250% 25-Jul-2025 3,800,000 990,825 Thailand Government Bond 1.200% 14-Jul-2021 69,547,774 1,826,462 Export Credit Bank of Turkey 5.875% 24-Apr-2019 865,000 902,778 Poland Government Bond 3.250% 25-Jul-2025 6,025,000 1,686,258 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 4,700,000 894,913 Turkey Government Bond 10.400% 20-Mar-2024 4,470,000 1,615,481 Vnesheconombank Via VEB Finance Plc 6.800% 22-Nov-2025 820,000 821,830 MFB Magyar Fejlesztesi Bank RT 6.250% 21-Oct-2020 1,345,000 1,509,169 Russian Foreign Bond - Eurobond 7.500% 31-Mar-2030 710,675 778,132 Turkey Government Bond 10.500% 15-Jan-2020 3,825,336 1,461,029 Nacional Financiera SNC 3.375% 05-Nov-2020 780,000 775,825 Turkey Government Bond 8.800% 27-Sep-2023 4,105,000 1,411,302 Banco Nacional de Desenvolvimento Economico e Social 5.750% South Africa Government Bond 7.000% 28-Feb-2031 20,225,000 1,297,551 26-Sep-2023 805,000 754,324 Poland Government Bond 4.000% 25-Oct-2023 4,280,000 1,254,764 Mexican Bonos 10.000% 05-Dec-2024 7,460,000 631,131 Empresas Publicas de Medellin ESP 8.375% 01-Feb-2021 3,566,000,000 1,241,010 Petroleos Mexicanos 6.625% 15-Jun-2038 600,000 579,000 Perusahaan Gas Negara Persero Tbk 5.125% 16-May-2024 1,215,000 1,199,768 Arcelik AS 5.000% 03-Apr-2023 605,000 573,540 Indonesia Government International Bond 8.500% 12-Oct-2035 900,000 1,186,875 TC Ziraat Bankasi AS 4.250% 03-Jul-2019 550,000 545,930 Colombian TES 7.000% 04-May-2022 3,440,600,000 1,174,655 Vietnam Government International Bond 4.800% 19-Nov-2024 550,000 545,875 Petroleos Mexicanos 6.625% 15-Jun-2035 1,115,000 1,123,140 Panama Bonos del Tesoro 5.625% 25-Jul-2022 455,000 493,788 Turkey Government International Bond 8.000% 14-Feb-2034 380,000 491,720 Jamaica Government International Bond 6.750% 28-Apr-2028 485,000 489,850 Petroleos de Venezuela SA 5.500% 12-Apr-2037 1,435,000 487,249 Turkey Government Bond 8.800% 27-Sep-2023 1,500,000 481,663 Sri Lanka Government International Bond 6.850% 03-Nov-2025 490,000 476,770 Turkey Government International Bond 6.875% 17-Mar-2036 410,000 476,625 MFB Magyar Fejlesztesi Bank RT 6.250% 21-Oct-2020 420,000 473,760 Alibaba Group Holding Ltd 3.600% 28-Nov-2024 470,000 456,336

394 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Emerging Markets Equity Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Samsung Electronics Co Ltd 655 823,777 Taiwan Semiconductor Manufacturing Co Ltd 259,400 1,078,932 db x-trackers MSCI Emerging Markets Index UCITS ETF 17,000 701,395 Samsung Electronics Co Ltd 971 1,065,940 Taiwan Semiconductor Manufacturing Co Ltd 146,000 696,124 China Mobile Ltd 85,000 1,030,755 China Mobile Ltd 51,500 678,524 Tencent Holdings Ltd 54,900 1,013,933 Naspers Ltd 3,821 591,189 Naspers Ltd 5,226 734,759 FirstRand Ltd 131,867 582,050 China Construction Bank Corp - H 1,010,000 715,276 China Construction Bank Corp - H 631,000 550,738 db x-trackers MSCI Emerging Markets Index UCITS ETF 17,000 696,295 MTN Group Ltd 29,551 528,212 FirstRand Ltd 174,370 642,922 Sberbank of Russia ADR 89,286 522,142 Industrial & Commercial Bank of China - H 1,005,000 613,526 Tencent Holdings Ltd 27,400 515,389 Do & Co AG 6,802 600,849 Do & Co AG 5,466 487,774 Hon Hai Precision Industry Co Ltd 201,040 532,281 Industrial & Commercial Bank of China - H 645,000 484,034 Bank of China Ltd - H 1,166,000 528,813 SK Hynix Inc 12,415 477,627 Luxoft Holding Inc 8,300 498,990 IJM Corp Bhd 270,800 465,953 Dr Reddy's Laboratories Ltd ADR 7,850 495,955 Hon Hai Precision Industry Co Ltd 149,000 452,605 SK Hynix Inc 16,284 491,895 KRUK SA 9,981 438,623 Infosys Technologies Ltd ADR 24,594 487,388 Banco Bradesco SA ADR 42,968 432,576 Shanghai Electric Group Co Ltd 450,000 486,588 Surgutneftegaz-Pfd 58,489 431,122 KRUK SA 9,981 467,759 Alrosa Ao 350,600 423,881 Alrosa Ao 469,430 458,302 Bank of China Ltd - H 702,000 419,538 Hermes Microvision Inc 10,500 456,195 CCR SA 76,800 389,052 ICICI Bank Ltd ADR 51,348 450,912 Luxoft Holding Inc 6,400 379,740 Korea Electric Power Corp 10,313 442,753 Hermes Microvision Inc 8,000 374,842 Sberbank of Russia ADR 89,286 439,086 Jiangnan Group Ltd 1,164,000 369,859 MTN Group Ltd 36,921 429,668 CT Environmental Group Ltd 254,000 360,741 LG Household & Health Care Ltd 554 425,299 E-Mart Co Ltd 1,692 354,143 KB Financial Group Inc ADR 13,584 416,645 Universal Robina Corp 75,950 343,457 Aspen Pharmacare Holdings Ltd 13,902 406,729 KB Financial Group Inc ADR 10,544 340,345 Samsung Electronics Co Ltd GDR 893 405,531 Eo Technics Co Ltd 3,103 319,567 AIA Group Ltd 68,400 400,761 Lenovo Group Ltd 228,000 310,892 E.Sun Financial Holding Co Ltd 647,252 394,175 Mexico Real Estate Management SA de CV 190,400 307,770 IJM Corp Bhd 517,600 390,156 Korea Electric Power Corp 7,341 301,812 CNOOC Ltd 239,000 381,864 Grupo Televisa SAB ADR 8,365 282,227 Advanced Semiconductor Engineering Inc 198,000 281,858 Localiza Rent a Car SA 28,500 280,163

* Please refer to Note 20 of the financial statements.

395 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Emerging Markets Equity Core Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD iShares MSCI Emerging Markets ETF 682,548 26,439,520 iShares MSCI Emerging Markets ETF 792,921 30,555,457 China Mobile Ltd 397,000 5,321,471 Tencent Holdings Ltd 423,300 7,717,844 iShares MSCI South Africa ETF 44,132 3,059,844 Samsung Electronics Co Ltd 7,529 7,658,537 Barclays Africa Group Ltd 160,644 2,514,500 WisdomTree India Earnings Fund 330,214 7,012,135 Tencent Holdings Ltd 131,400 2,443,286 China Mobile Ltd 397,000 4,892,509 Tupras Turkiye Petrol Rafinerileri AS 98,398 2,328,277 China Construction Bank Corp - H 5,939,000 4,658,335 Agricultural Bank of China Ltd - H 4,159,000 2,276,160 Alibaba Group Holding Ltd ADR 42,693 3,675,351 Walmart de México 988,200 2,221,561 CNOOC Ltd 2,811,000 3,664,076 KGHM Polska Miedz SA 66,768 2,171,296 ICICI Bank Ltd ADR 378,095 3,518,632 Taiwan Semiconductor Manufacturing Co Ltd 534,000 2,074,246 Taiwan Semiconductor Manufacturing Co Ltd ADR 135,050 2,972,337 Turkiye Halk Bankasi AS 318,461 1,990,045 Lenovo Group Ltd 2,146,000 2,956,111 Sinotrans Ltd - H 2,518,000 1,855,356 China Life Insurance Co Ltd 3,068,661 2,875,278 Ping An Insurance Group Co of China Ltd - H 185,000 1,814,297 iShares MSCI South Africa ETF 44,132 2,868,788 Great Wall Motor Co Ltd - H 239,500 1,714,898 Metropolitan Bank & Trust Co 1,466,643 2,850,261 Samsung Electronics Co Ltd 1,311 1,612,671 MTN Group Ltd 155,131 2,761,159 Rosneft OAO GDR 304,148 1,513,633 Pegatron Corp 1,031,000 2,703,746 Advanced Semiconductor Engineering Inc 1,148,000 1,476,999 MMC Norilsk Nickel OJSC ADR 138,908 2,668,987 PICC Property & Casualty Co Ltd 700,000 1,444,323 Korea Electric Power Corp 63,477 2,621,203 Eclat Textile Co Ltd 130,000 1,381,784 Banco Bradesco SA Pfd 335,600 2,577,327 Telefonica Brasil SA Pfd 82,600 1,338,439 Fubon Financial Holding Co 1,487,400 2,573,766 CTBC Financial Holding Co Ltd 2,050,000 1,333,128 Sansung Life & Science Co Ltd 12,727 1,330,948 Siliconware Precision Industries Co Ltd 776,000 1,314,006 LG Display Co Ltd 41,061 1,295,497 Credicorp Ltd 8,740 1,284,625 Industrial & Commercial Bank of China Ltd - H 1,434,000 1,269,826 Novetek Microelectronics Corp 200,000 1,217,708 Foschini Group Ltd 85,159 1,207,982

* Please refer to Note 20 of the financial statements.

BNY Mellon Emerging Markets Local Currency Investment Grade Debt Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Poland Government Bond 4.750% 25-Oct-2016 9,100,000 2,598,332 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2017 45,850,000 16,178,748 Brazil Notas do Tesouro Nacional Serie F 9.761% 01-Jan-2025 7,770,000 2,156,718 South Africa Government Bond 10.500% 21-Dec-2026 148,045,000 14,246,955 Petroleos Mexicanos 7.650% 24-Nov-2021 28,595,000 1,960,739 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 34,150,000 10,027,135 Mexican Bonos 10.000% 05-Dec-2024 22,883,500 1,959,571 Poland Government Bond 5.500% 25-Apr-2015 33,850,000 9,319,768 Turkey Government Bond 10.400% 20-Mar-2024 4,105,000 1,664,148 Poland Government Bond 5.750% 23-Sep-2022 25,040,000 8,058,876 Poland Government Bond 5.250% 25-Oct-2020 5,132,000 1,647,013 Mexican Bonos 8.500% 31-May-2029 89,760,000 7,497,699 Mexican Bonos 6.250% 16-Jun-2016 21,000,000 1,440,189 Poland Government Bond 5.250% 25-Oct-2020 20,337,000 6,212,021 Brazil Letras do Tesouro Nacional 0.000% 01-Jul-2016 3,400,000 994,689 Malaysia Government Bond 4.262% 15-Sep-2016 20,045,000 5,605,106 Malaysia Government Bond 4.262% 15-Sep-2016 3,500,000 990,723 Colombian TES 7.000% 04-May-2022 12,851,600,000 5,509,197 Turkey Government Bond 10.500% 15-Jan-2020 2,065,000 982,845 South Africa Government Bond 13.500% 15-Sep-2015 61,700,000 5,068,957 Peruvian Government International Bond 6.950% 12-Aug-2031 2,880,000 931,017 Turkey Government Bond 6.300% 14-Feb-2018 10,500,000 4,459,227 Comision Federal de Electricidad 7.350% 25-Nov-2025 13,300,000 826,049 Malaysia Government Bond 4.181% 15-Jul-2024 16,061,000 4,385,670 Malaysia Government Bond 4.181% 15-Jul-2024 2,700,000 776,681 South Africa Government Bond 7.000% 28-Feb-2031 54,855,000 4,347,139 South Africa Government Bond 10.500% 21-Dec-2026 7,530,000 754,089 Turkey Government Bond 8.300% 20-Jun-2018 11,170,000 4,200,028 Turkey Government Bond 8.800% 27-Sep-2023 1,540,000 740,823 Petroleos Mexicanos 7.190% 12-Sep-2024 62,670,000 4,143,940 Poland Government Bond 3.250% 25-Jul-2025 1,860,000 514,546 Mexican Bonos 10.000% 05-Dec-2024 43,183,500 3,739,197 Poland Government Bond 5.000% 25-Apr-2016 1,700,000 484,124 Mexican Bonos 8.000% 17-Dec-2015 49,000,000 3,495,752 Hungary Government Bond 3.250% 22-Oct-2031 67,480,000 232,105 Turkey Government Bond 7.100% 08-Mar-2023 10,605,000 3,396,129 Argentine Republic Government International Bond 5.830% Malaysia Government Bond 3.814% 15-Feb-2017 11,665,000 3,260,293 31-Dec-2033 200,000 75,776 Mexican Bonos 10.000% 20-Nov-2036 31,517,000 2,935,767 Thailand Government Bond 1.200% 14-Jul-2021 97,527,720 2,790,210 Russian Federal Bond - OFZ 6.880% 15-Jul-2015 194,565,000 2,768,689 Poland Government Bond 4.750% 25-Oct-2016 9,100,000 2,564,696 Mexican Bonos 7.750% 29-May-2031 34,895,000 2,523,038 Thailand Government Bond 1.250% 12-Mar-2028 93,065,360 2,465,948 Colombian TES 6.000% 28-Apr-2028 6,591,600,000 2,287,729 Brazil Notas do Tesouro Nacional Serie F 9.761% 01-Jan-2025 7,770,000 2,185,036 Petroleos Mexicanos 7.650% 24-Nov-2021 28,595,000 1,882,680 Russian Federal Bond - OFZ 7.600% 14-Apr-2021 171,400,000 1,840,748

The above constitutes the full list of purchases for the Fund during the reporting year.

* Please refer to Note 20 of the financial statements. 396 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Euroland Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales and Maturities Nominal EUR Bundesrepublik Deutschland 0.500% 15-Feb-2025 529,660,000 534,413,270 Bundesrepublik Deutschland 0.500% 15-Feb-2025 529,660,000 526,399,324 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2019 237,500,400 206,717,233 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2019 237,500,400 211,471,612 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2044 110,390,000 163,305,329 Deutsche Bundesrepublik Inflation Linked Bond 0.100% France Government Bond OAT 2.250% 25-May-2024 131,100,000 152,951,234 15-Apr-2023 171,003,285 181,450,298 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 165,748,317 148,642,600 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2044 108,860,000 148,543,287 Spain Government Bond 0.500% 31-Oct-2017 143,000,000 144,067,619 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 165,748,317 146,831,166 Spain Government Bond 2.750% 30-Apr-2019 119,705,000 130,437,163 France Government Bond OAT 2.250% 25-May-2024 109,085,000 124,951,799 Italy Buoni Poliennali Del Tesoro 144A 2.350% 15-Sep-2024 99,368,734 113,032,649 Spain Government Bond 3.750% 31-Oct-2018 105,435,000 117,517,533 France Government Bond OAT 1.750% 25-Nov-2024 97,600,000 108,001,336 France Government Bond OAT 0.500% 25-Nov-2019 112,000,000 114,016,640 Italy Buoni Poliennali Del Tesoro 1.050% 01-Dec-2019 104,715,000 106,554,410 Italy Buoni Poliennali Del Tesoro 4.750% 01-Sep-2021 89,025,000 109,751,608 Italy Buoni Poliennali Del Tesoro 1.350% 15-Apr-2022 106,000,000 106,412,340 Deutsche Bundesrepublik Inflation Linked Bond 1.750% 15-Apr-2020 95,721,584 106,319,839 United States Treasury Bill 0.000% 13-Aug-2015 102,968,000 93,683,239 France Government Bond OAT 1.750% 25-Nov-2024 97,600,000 105,524,297 Spain Government Bond 144A 5.150% 31-Oct-2044 51,900,000 84,677,560 United States Treasury Bill 0.000% 13-Aug-2015 102,968,000 93,933,748 Spain Government Bond 1.400% 31-Jan-2020 81,635,000 84,295,067 United Kingdom Gilt 3.250% 22-Jan-2044 56,600,000 88,254,654 Deutsche Bundesrepublik Inflation Linked Bond 0.100% 15-Apr-2023 79,180,017 83,976,911 France Government Bond OAT 4.500% 25-Apr-2041 41,835,000 74,995,592 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 294,850,000 78,002,157 United States Treasury Bill 0.000% 21-May-2015 82,643,000 72,671,563 Korea Treasury Bond 2.250% 10-Jun-2025 85,440,000,000 69,937,988 Italy Buoni Poliennali Del Tesoro 2.100% 15-Sep-2016 71,960,370 70,316,571 France Government Bond OAT 0.500% 25-Nov-2019 67,600,000 68,782,816 Spain Government Bond 144A 4.400% 31-Oct-2023 55,000,000 68,739,497 Canadian Government Bond 1.500% 01-Mar-2020 91,000,000 65,908,375 Spain Government Bond 144A 5.150% 31-Oct-2044 44,300,000 67,970,185 United States Treasury Bill 0.000% 21-May-2015 75,193,000 65,053,548 Canadian Government Bond 1.500% 01-Mar-2020 91,000,000 67,724,385 Australia Government Bond 3.250% 21-Apr-2025 91,625,000 64,088,435 Spain Government Bond 1.400% 31-Jan-2020 63,200,000 65,228,996 United States Treasury Inflation Indexed Bonds 0.375% 15-Jul-2025 72,942,655 63,842,797 Romanian Government International Bond 2.875% 28-Oct-2024 58,850,000 63,978,574 France Government Bond OAT 0.100% 01-Mar-2025 61,788,156 62,286,280 Australia Government Bond 3.250% 21-Apr-2025 91,625,000 63,028,437 United States Treasury Bill 0.000% 31-Mar-2016 62,910,000 57,756,611 United States Treasury Inflation Indexed Bonds 0.375% 15-Jul-2025 72,942,655 62,307,415 United Kingdom Gilt 3.250% 22-Jan-2044 34,500,000 55,401,653 Netherlands Government Bond 144A 1.250% 15-Jan-2018 57,050,000 58,925,804 Spain Government Bond 5.750% 30-Jul-2032 35,150,000 54,838,218 Ireland Government Bond 3.400% 18-Mar-2024 47,565,000 57,456,512 Bundesrepublik Deutschland 2.500% 15-Aug-2046 39,115,000 51,164,183 Bundesrepublik Deutschland 2.500% 15-Aug-2046 39,115,000 52,300,221

BNY Mellon European Credit Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Bundesrepublik Deutschland 0.500% 15-Feb-2025 1,740,000 1,733,719 Bundesrepublik Deutschland 0.500% 15-Feb-2025 1,740,000 1,737,542 Credit Suisse AG/London FRN 0.351% 30-Mar-2017 FRN 1,250,000 1,250,125 Insight Global Funds II plc - Insight Emerging Markets Debt Fund 84,600 1,635,071 Prologis LP 1.375% 13-May-2021 1,260,000 1,248,811 Credit Suisse AG/London 0.351% 30-Mar-2017 FRN 1,250,000 1,252,408 Bundesrepublik Deutschland 4.000% 04-Jan-2037 720,000 1,029,744 Bundesrepublik Deutschland 4.000% 04-Jan-2037 720,000 1,077,840 Volkswagen International Finance NV 2.500% Perpetual VAR 820,000 808,632 Enel Finance International NV 4.875% 11-Mar-2020 850,000 1,066,283 ALD International SA 0.750% 26-Jan-2018 800,000 799,666 Banque Federative du Credit Mutuel SA 2.000% 19-Sep-2019 1,000,000 1,056,198 Credit Suisse Group Funding Guernsey Ltd 1.250% 14-Apr-2022 810,000 795,240 Prologis LP 1.375% 13-May-2021 1,010,000 1,002,363 Bankia SA 3.500% 17-Jan-2019 700,000 759,870 Yorkshire Building Society 2.125% 18-Mar-2019 940,000 989,087 Enel Finance International NV 1.966% 27-Jan-2025 674,000 725,124 Societe Fonciere Lyonnaise SA 1.875% 26-Nov-2021 900,000 915,720 Caterpillar International Finance Ltd 0.141% 13-May-2018 FRN 700,000 700,000 Caterpillar International Finance Ltd 0.409% 27-Sep-2017 FRN 900,000 903,915 Bankinter SA 0.625% 09-Oct-2020 700,000 696,339 Aviva Plc 5.700% Perpetual VAR 900,000 898,626 Yorkshire Building Society 1.250% 17-Mar-2022 700,000 695,213 RSA Insurance Group Plc 5.125% 10-Oct-2045 630,000 896,139 Commonwealth Bank of Australia 2.000% 22-Apr-2027 VAR 690,000 687,502 BNP Paribas SA 2.875% 24-Oct-2022 770,000 880,189 Bank of Ireland 2.000% 08-May-2017 640,000 652,432 Koninklijke KPN NV 4.250% 01-Mar-2022 690,000 843,314 Bank of America Corp 4.200% 26-Aug-2024 675,000 623,717 Williams Partners LP / ACMP Finance Corp 4.875% 15-May-2023 933,000 836,630 GE Capital European Funding 0.800% 21-Jan-2022 620,000 617,402 Thermo Fisher Scientific Inc 2.000% 15-Apr-2025 810,000 821,705 Koninklijke KPN NV 6.875% 14-Mar-2073 VAR 400,000 596,605 Corp Nacional del Cobre de Chile 2.250% 09-Jul-2024 780,000 804,830 EP Energy AS 5.875% 01-Nov-2019 500,000 573,735 Telefonica Europe BV 5.875% 31-Mar-2049 700,000 802,600 Credit Agricole SA 4.375% 17-Mar-2025 620,000 572,360 Assicurazioni Generali SpA 5.125% 16-Sep-2024 600,000 778,199 Intesa Sanpaolo SpA 1.125% 04-Mar-2022 560,000 557,296 Intesa Sanpaolo SpA 6.625% 13-Sep-2023 610,000 765,360

397 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD United States Treasury Note/Bond 1.500% 31-Oct-2019 69,390,000 69,744,060 United States Treasury Note/Bond 2.875% 15-May-2043 71,950,000 73,410,949 United States Treasury Note/Bond 2.875% 15-May-2043 64,740,000 65,118,831 United States Treasury Note/Bond 1.500% 31-Oct-2019 69,390,000 69,810,994 United States Treasury Note/Bond 1.625% 15-Aug-2022 52,170,000 51,352,570 United States Treasury Note/Bond 1.625% 15-Aug-2022 48,790,000 47,374,276 United States Treasury Note/Bond 2.000% 15-Feb-2025 37,707,100 37,001,136 United States Treasury Note/Bond 1.125% 31-May-2019 29,920,000 29,723,650 United States Treasury Note/Bond 0.875% 28-Feb-2017 28,500,000 28,626,602 United States Treasury Note/Bond 0.875% 28-Feb-2017 29,550,000 29,716,885 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 27,992,483 27,906,973 United States Treasury Note/Bond 2.000% 15-Feb-2025 25,827,100 25,277,792 United States Treasury Bill 0.000% 07-May-2015 22,015,000 22,014,672 France Government Bond OAT 6.000% 25-Oct-2025 13,605,000 23,088,657 United States Treasury Note/Bond 3.500% 15-May-2020 19,880,000 21,569,358 Poland Government Bond 5.750% 23-Sep-2022 70,080,000 22,787,040 Italy Buoni Poliennali Del Tesoro 6.500% 01-Nov-2027 11,890,000 19,733,377 United States Treasury Bill 0.000% 07-May-2015 22,015,000 22,014,832 United States Treasury Bill 0.000% 19-Mar-2015 17,000,000 17,000,000 United Kingdom Gilt 1.750% 07-Sep-2022 13,845,000 21,581,280 Bundesrepublik Deutschland 6.500% 04-Jul-2027 9,020,000 16,479,209 Bundesrepublik Deutschland 6.500% 04-Jul-2027 11,450,000 20,932,732 United Kingdom Gilt 1.750% 07-Sep-2022 10,125,000 15,678,451 United States Treasury Inflation Indexed Bonds 3.375% 15-Apr-2032 14,490,852 20,577,930 Denmark Government Bond 1.750% 15-Nov-2025 81,010,000 13,975,004 Ireland Government Bond 5.400% 13-Mar-2025 12,300,000 19,386,710 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 10,825,303 12,620,621 United States Treasury Note/Bond 6.000% 15-Feb-2026 12,860,000 17,746,143 Poland Government Bond 5.750% 23-Sep-2022 33,790,000 11,379,809 United States Treasury Bill 0.000% 19-Mar-2015 17,000,000 17,000,000 United States Treasury Note/Bond 1.125% 31-May-2019 11,310,000 11,194,249 United Kingdom Gilt 3.250% 22-Jan-2044 9,380,000 16,729,905 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2028 7,810,000 10,902,401 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 15,622,110 15,583,279 France Government Bond OAT 5.500% 25-Apr-2029 5,860,000 10,254,250 United States Treasury Note/Bond 3.500% 15-May-2020 13,020,000 14,052,985 United Kingdom Gilt 2.000% 22-Jan-2016 6,670,000 10,146,274 Treasury Corp of Victoria 5.500% 17-Nov-2026 13,870,000 12,842,107 United Kingdom Gilt 5.000% 07-Mar-2025 4,800,000 9,576,857 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2028 7,810,000 11,533,141 France Government Bond OAT 6.000% 25-Oct-2025 5,760,000 9,527,718 United Kingdom Gilt 1.750% 22-Jul-2019 7,190,000 11,222,390 United States Treasury Bill 0.000% 28-Apr-2016 9,300,000 9,290,021 Asian Development Bank 0.169% 29-May-2015 FRN 11,020,000 11,019,189 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 7,750,938 9,227,832 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 9,184,963 10,765,957 United Kingdom Gilt 3.250% 22-Jan-2044 4,910,000 8,557,577 Brazil Letras do Tesouro Nacional 0.000% 01-Jan-2018 51,000,000 10,240,542 Netherlands Government Bond 5.500% 15-Jan-2028 4,785,000 8,108,436 Caisse d'Amortissement de la Dette Sociale 1.375% 29-Jan-2018 9,900,000 9,970,678 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 7,576,744 7,804,333 France Government Bond OAT 3.250% 25-May-2045 6,490,000 9,802,744

BNY Mellon Global Dynamic Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD United States Treasury Note/Bond 2.875% 15-May-2043 31,755,000 32,136,505 United States Treasury Note/Bond 2.000% 15-Feb-2025 31,825,700 31,181,176 United States Treasury Note/Bond 2.000% 15-Feb-2025 31,825,700 31,304,289 United States Treasury Note/Bond 2.875% 15-May-2043 29,710,000 30,235,980 United States Treasury Note/Bond 0.875% 28-Feb-2017 27,000,000 27,113,762 United States Treasury Bill 0.000% 19-Mar-2015 23,000,000 22,999,898 United States Treasury Inflation Indexed Bonds 0.125% 15-Apr-2020 25,879,099 25,811,025 United States Treasury Note/Bond 1.625% 15-Aug-2022 22,500,000 21,898,881 United States Treasury Bill 0.000% 27-Aug-2015 16,300,000 16,299,252 United States Treasury Inflation Indexed Bonds 0.125% United States Treasury Note/Bond 1.625% 15-Aug-2022 15,700,000 15,210,002 15-Apr-2020 16,860,304 16,820,208 United States Treasury Bill 0.000% 28-Apr-2016 14,500,000 14,486,044 United States Treasury Bill 0.000% 27-Aug-2015 16,300,000 16,299,943 United States Treasury Note/Bond 0.875% 15-Oct-2017 13,010,000 13,032,366 United States Treasury Bill 0.000% 05-Mar-2015 15,500,000 15,499,873 United States Treasury Note/Bond 1.000% 31-Oct-2016 11,520,000 11,547,648 United States Treasury Note/Bond 0.875% 15-Oct-2017 13,010,000 13,011,872 Poland Government Bond 5.750% 23-Sep-2022 28,510,000 9,631,731 Poland Government Bond 5.750% 23-Sep-2022 39,230,000 12,660,149 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 7,736,032 9,058,545 United States Treasury Note/Bond 0.875% 28-Feb-2017 12,490,000 12,529,526 United States Treasury Bill 0.000% 05-Nov-2015 8,900,000 8,899,740 United Kingdom Gilt Inflation Linked 1.250% 22-Nov-2017 6,211,995 9,825,805 iShares JP Morgan $ Emerging Markets Bond UCITS ETF 76,586 8,551,301 United States Treasury Inflation Indexed Bonds 2.375% United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2041 6,716,965 7,991,983 15-Jan-2025 7,736,032 9,067,624 United States Treasury Note/Bond 3.500% 15-May-2020 6,200,000 6,679,289 United States Treasury Bill 0.000% 05-Nov-2015 8,900,000 8,899,991 Spain Government Bond 4.850% 31-Oct-2020 4,500,000 5,907,621 iShares JP Morgan $ Emerging Markets Bond UCITS ETF 76,329 8,502,214 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 5,383,476 5,545,184 United Kingdom Gilt 8.750% 25-Aug-2017 4,391,000 7,990,319 Portugal Obrigacoes do Tesouro OT 5.650% 15-Feb-2024 3,660,000 5,429,245 United States Treasury Inflation Indexed Bonds 3.375% New South Wales Treasury Corp 5.000% 20-Aug-2024 6,180,000 5,270,984 15-Apr-2032 5,080,474 7,229,885 United Kingdom Gilt 8.750% 25-Aug-2017 2,851,000 5,185,461 United States Treasury Note/Bond 3.500% 15-May-2020 6,200,000 6,702,472 Spain Government Bond 4.850% 31-Oct-2020 4,500,000 6,034,875 United States Treasury Inflation Indexed Bonds 0.750% 15-Feb-2045 5,383,476 5,363,527 Portugal Obrigacoes do Tesouro OT 5.650% 15-Feb-2024 3,660,000 5,333,480 New South Wales Treasury Corp 5.000% 20-Aug-2024 6,180,000 5,197,590 United Kingdom Gilt 3.500% 29-Dec-2049 3,300,000 4,983,498

398 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Emerging Markets Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD AIA Group Ltd 193,200 1,171,513 Taiwan Semiconductor Manufacturing Co Ltd 247,000 1,153,382 Baidu Inc ADR 6,380 1,128,255 Kimberly-Clark de Mexico SAB de CV 510,695 1,092,308 Naspers Ltd 7,904 1,095,213 Komercni banka as 4,067 903,179 Taiwan Semiconductor Manufacturing Co Ltd 221,000 947,208 Globe Telecom Inc 17,330 865,632 Tata Motors Ltd ADR 32,409 917,699 Powszechny Zaklad Ubezpieczen SA 6,620 822,228 Alibaba Group Holding Ltd ADR 10,485 832,889 MediaTek Inc 64,000 783,259 Vipshop Holdings Ltd ADR 46,977 804,672 British American Tobacco Plc 14,108 772,532 Amundi ETF MSCI India UCITS ETF 1,644 802,436 Life Healthcare Group Holdings Ltd 229,617 769,855 Lyxor ETF MSCI India USD 51,647 801,827 Old Mutual Plc 224,148 766,531 Axis Bank Ltd GDR 20,781 786,794 Philippine Long Distance Telephone Co 12,205 763,149 British American Tobacco Plc 13,374 744,129 Intouch Holdings PCL 315,871 752,628 China Biologic Products Inc 6,142 742,112 Merida Industry Co Ltd 102,000 734,151 Cognizant Technology Solutions Corp 11,473 713,842 Fibra Shop Portafolios Inmobiliarios SAPI de CV 637,878 731,566 HDFC Bank Ltd ADR 11,525 697,091 Pico Far East Holdings Ltd 2,860,000 725,142 Dr Reddy's Laboratories Ltd ADR 11,918 658,149 Fibra Uno Administracion SA de CV 271,624 721,875 TAL Education Group ADR 14,643 596,036 Bangkok Expressway PCL 600,000 717,717 Yum! Brands Inc 7,672 592,640 PetroChina Co Ltd 656,000 685,042 Universal Robina Corp 139,370 572,284 Bangkok Bank PCL 120,700 652,210 Grupo Financiero Santander Mexico SAB de CV ADR 55,271 476,754 Transmissora Alianca de Energia Eletrica SA 96,491 627,219 Mahindra & Mahindra Ltd GDR 22,199 439,429 BGEO Group Plc 23,256 622,052 Ctrip.com International Ltd ADR 7,546 431,854 Link REIT 101,500 612,870 Tencent Holdings Ltd 22,639 428,926 Hui Xian Real Estate Investment Trust 1,077,000 585,852 Sands China Ltd 109,200 390,801 Sunway Real Estate Investment Trust 1,408,300 585,424 Arca Continental SAB de CV 60,946 371,348 IGB Real Estate Investment Trust 1,608,800 577,284 IHH Healthcare Bhd 234,700 350,662 Ambev SA 91,209 536,443 GT Capital Holdings Inc 11,940 339,583 Taiwan Mobile Co Ltd 153,000 526,029 Metropolitan Bank & Trust Co 189,450 339,027 Sands China Ltd 127,200 525,054 Cie Financiere Richemont SA 42,389 329,357 Aguas Andinas SA 905,505 515,145 Hengan International Group Co Ltd 31,000 310,661 Delta Electronics Inc 89,000 512,775 Fibra Shop Portafolios Inmobiliarios SAPI de CV 267,197 305,887 BHP Billiton Plc 22,289 488,702 Kimberly-Clark de Mexico SAB de CV 126,273 292,152 Man Wah Holdings Ltd 503,200 483,459 Larsen & Toubro Ltd GDR 11,983 280,530 Grupo Financiero Santander Mexico SAB de CV ADR 46,026 451,859 Catcher Technology Co Ltd 27,000 256,770 Tesco Lotus Retail Growth Freehold & Leasehold Property Fund 1,106,700 442,923 Millicom International Cellular SA 6,000 440,599 * Please refer to Note 20 of the financial statements. NWS Holdings Ltd 275,000 439,783 Alupar Investimento SA 80,500 434,883 MTN Group Ltd 24,526 424,220 Pavilion Real Estate Investment Trust 1,000,000 407,446 CCR SA 83,366 405,062 Wynn Macau Ltd 189,200 388,606 Lafarge Malaysia Bhd 140,000 376,671 Axiata Group Bhd 182,700 338,252 BTS Rail Mass Transit Growth Infrastructure Fund 1,005,000 311,863 China Shenhua Energy Co Ltd 126,500 298,470 TBC Bank JSC 27,166 297,525

399 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Emerging Markets Equity Value Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD iShares MSCI Emerging Markets ETF 181,481 6,549,674 Samsung Electronics Co Ltd 2,678 2,924,252 Samsung Electronics Co Ltd 2,297 2,820,608 iShares MSCI Emerging Markets ETF 56,539 2,226,906 China Construction Bank Corp - H 2,167,000 1,637,605 China Construction Bank Corp - H 2,562,620 1,808,134 KB Financial Group Inc 42,074 1,398,014 Reliance Industries Ltd 110,589 1,640,590 Industrial & Commercial Bank of China - H 2,042,000 1,345,750 Industrial & Commercial Bank of China - H 2,410,265 1,498,586 Reliance Industries Ltd 92,908 1,341,146 KB Financial Group Inc 49,977 1,462,203 China Mobile Ltd 94,500 1,146,863 China Mobile Ltd 108,900 1,257,632 Shanghai Industrial Holdings Ltd 403,000 1,109,300 Shanghai Industrial Holdings Ltd 464,000 1,220,247 Hyundai Motor Co 6,278 931,515 Hyundai Motor Co 7,506 982,471 China Resources Power Holdings Co Ltd 374,645 856,264 China Communications Services Corp Ltd - H 2,340,000 901,436 China Communications Services Corp Ltd - H 2,030,000 847,758 State Bank of India 249,021 888,774 State Bank of India 217,684 835,212 Hyundai Mobis Co Ltd 3,832 814,453 Weichai Power Co Ltd 577,000 833,552 Ping An Insurance Group Co of China Ltd - H 120,500 811,920 Bangkok Bank PCL 154,500 765,046 India Cements Ltd 620,923 811,419 Powszechna Kasa Oszczednosci Bank Polski SA 95,268 758,833 Anhui Conch Cement Co Ltd 260,500 809,177 MediaTek Inc 78,000 751,368 Bangkok Bank PCL 181,960 804,030 Hyundai Mobis Co Ltd 3,426 733,750 China Resources Power Holdings Co Ltd 404,645 797,048 Grupo Financiero Santander Mexico SAB de CV ADR 79,532 709,925 Taiwan Semiconductor Manufacturing Co Ltd 182,907 781,985 CNOOC Ltd 596,000 704,798 Hon Hai Precision Industry Co Ltd 306,402 778,379 Barclays Africa Group Ltd 55,023 694,020 Korea Electric Power Corp 18,392 771,813 India Cements Ltd 516,715 693,262 Powszechna Kasa Oszczednosci Bank Polski SA 107,046 769,694 Hon Hai Precision Industry Co Ltd 245,000 690,023 Weichai Power Co Ltd 689,000 757,792 Bank of India 285,076 683,454 COSCO Pacific Ltd 670,039 742,683 Itau Unibanco Holding SA Pfd 84,600 679,447 Lotte Shopping Co Ltd 3,526 737,798 Taiwan Semiconductor Manufacturing Co Ltd 152,000 678,615 CNOOC Ltd 702,000 726,024 Lotte Shopping Co Ltd 3,175 678,157 Petroleo Brasileiro SA 151,658 716,088 Anhui Conch Cement Co Ltd 211,500 677,926 Grupo Financiero Santander Mexico SAB de CV ADR 79,532 687,927 COSCO Pacific Ltd 551,681 663,220 Gazprom OAO ADR 164,148 636,979 Petroleo Brasileiro SA 123,224 658,469 Cia de Saneamento Basico do Estado de Sao Paulo ADR 132,439 625,231 Itau Unibanco Holding SA Pfd 92,735 622,406 China Life Insurance Co Ltd - H 182,000 622,190 MediaTek Inc 78,000 620,786

400 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Merck & Co Inc 78,699 4,544,111 Pfizer Inc 162,829 5,644,658 Wolseley Plc 70,011 4,114,787 Continental AG 18,580 4,112,655 Altria Group Inc 70,907 3,732,569 Royal Dutch Shell Plc 132,291 3,788,090 TripAdvisor Inc 45,604 3,461,728 Willis Group Holdings Plc 72,585 3,377,338 Medtronic Plc 66,134 3,013,574 Alphabet Inc 4,980 3,163,825 CA Inc 89,826 2,559,294 Kraft Heinz Co/The 39,658 2,849,745 Express Scripts Holding Co 28,779 2,399,436 Medtronic Plc 63,637 2,833,487 Cerner Corp 34,713 2,338,148 TeliaSonera AB 434,888 2,477,491 Trimble Navigation Ltd 107,781 2,326,676 Altria Group Inc 44,537 2,411,170 Teva Pharmaceutical Industries Ltd ADR 34,544 2,142,578 Roche Holding AG 8,891 2,319,698 Toyota Motor Corp 28,700 1,948,674 Jardine Matheson Holdings Ltd 40,000 2,203,575 Bayer AG 15,120 1,947,510 Eastman Chemical Co 31,196 2,170,647 Google Inc - Class A 3,237 1,810,307 Kraft Foods Group Inc 25,663 2,113,047 eBay Inc 56,711 1,668,132 Apple Inc 16,303 1,929,065 Dollar General Corp 23,220 1,610,228 Marathon Oil Corp 69,774 1,879,733 United Technologies Corp 15,306 1,512,121 SoftBank Corp 34,000 1,805,949 Centrica Plc 373,776 1,452,127 Don Quijote Holdings Co Ltd 22,600 1,799,506 Abbott Laboratories 32,037 1,416,422 Mattel Inc 62,784 1,752,308 Vodafone Group Plc 366,560 1,255,094 Walt Disney Co/The 13,467 1,535,794 PayPal Holdings Inc 33,427 1,149,599 Walgreens Boots Alliance Inc 17,247 1,484,747 Discovery Communications Inc 33,249 1,072,365 Abbott Laboratories 32,224 1,445,732 Microsoft Corp 20,854 1,050,172 Accenture Plc 11,407 1,136,290 Vivendi SA 46,040 1,015,029 TJX Cos Inc/The 14,473 1,021,284 ITC Ltd 156,947 958,432 Prudential Plc 48,790 1,010,153 Dun & Bradstreet Corp/The 7,903 929,747 GlaxoSmithKline Plc 49,347 992,964 Apple Inc 7,775 877,296 Alphabet Inc 1,139 753,568 Eastman Chemical Co 10,591 838,961 Apollo Hospitals Enterprise Ltd 31,866 658,137 Accenture Plc 8,169 807,602 SoftBank Corp 12,200 715,489 Japan Tobacco Inc 21,800 707,516 Principal Financial Group Inc 13,738 701,092

401 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Equity Income Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Philip Morris International Inc 154,495 13,270,237 Reynolds American Inc 245,157 14,015,337 Procter & Gamble Co/The 168,722 12,767,066 Microsoft Corp 178,690 8,830,953 Microsoft Corp 227,414 11,517,655 Pfizer Inc 233,009 7,813,863 CMS Energy Corp 328,689 11,290,475 Clorox Co/The 53,557 6,326,275 Western Union Co/The 599,002 11,278,590 Deutsche Post AG 206,898 6,244,368 Johnson & Johnson 104,592 10,792,893 Total SA 114,865 5,590,036 McDonald's Corp 103,375 10,629,695 Statoil ASA 288,929 5,181,871 Emerson Electric Co 197,568 10,317,710 CRH Plc 153,713 4,002,993 Reynolds American Inc 202,408 9,899,183 Suez Environnement Co 214,579 3,971,251 Eversource Energy 167,752 8,343,265 Centrica Plc 946,421 3,772,910 Roche Holding AG 27,559 7,554,203 Philip Morris International Inc 43,028 3,558,338 Sysco Corp 172,555 6,999,277 TDC A/S 604,662 3,492,534 Imperial Tobacco Group Plc 128,801 6,543,826 SES SA 98,437 3,434,651 SSE Plc 274,343 6,365,751 Balfour Beatty Plc 916,061 3,272,542 Koninklijke Ahold NV 306,909 5,999,513 Paychex Inc 64,026 3,163,048 Cisco Systems Inc 217,547 5,956,756 Roche Holding AG 10,957 3,117,524 Zurich Insurance Group AG 21,333 5,895,059 Tesco Plc 857,643 3,042,387 GlaxoSmithKline Plc 284,408 5,854,303 Orkla ASA 387,247 3,033,083 Royal Mail Plc 799,957 5,834,360 Vodafone Group Plc 856,996 2,989,055 Principal Financial Group Inc 113,378 5,739,966 Sanofi 28,739 2,877,553 Mattel Inc 221,874 5,541,103 Novartis AG 29,339 2,865,007 Centrica Plc 1,522,699 5,255,291 TeliaSonera AB 537,889 2,773,538 Cobham Plc 1,142,735 5,208,202 Singapore Technologies Engineering Ltd 1,086,000 2,753,202 Atlantia SpA 202,051 5,130,003 Credit Suisse Group AG 112,214 2,650,576 Sanofi 55,706 5,080,568 Bangkok Bank PCL 534,500 2,629,324 Merck & Co Inc 94,184 5,060,637 Zurich Insurance Group AG 6,349 2,397,324 Novartis AG 55,927 5,049,275 Sysco Corp 59,986 2,365,613 Altria Group Inc 85,530 4,878,130 Procter & Gamble Co/The 29,059 2,275,329 Royal Dutch Shell Plc 179,110 4,734,984 RELX NV 103,458 2,085,049 CA Inc 161,330 4,645,579 GlaxoSmithKline Plc 95,741 2,025,998 Vodafone Group Plc 1,387,578 4,602,569 Royal Dutch Shell Plc 68,889 1,951,532 Wolters Kluwer NV 129,689 4,359,087 Eversource Energy 39,454 1,936,426 RELX NV 244,304 4,191,436 SSE Plc 78,911 1,880,587 Orkla ASA 491,762 3,992,083 PDL BioPharma Inc 223,854 1,656,332 Paychex Inc 73,144 3,781,269 Husky Energy Inc 75,000 1,627,962 Las Vegas Sands Corp 76,159 3,656,370 Merck & Co Inc 28,351 1,577,073 Verizon Communications Inc 71,784 3,279,475 TeliaSonera AB 532,867 2,880,973

* Please refer to Note 20 of the financial statements.

402 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global High Yield Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Scientific Games International Inc 10.000% 01-Dec-2022 1,815,000 1,659,522 Scientific Games International Inc 10.000% 01-Dec-2022 1,815,000 1,659,522 DISH DBS Corp 5.875% 15-Jul-2022 1,615,000 1,589,829 Cleopatra Finance Ltd 6.250% 15-Feb-2022 1,420,000 1,419,719 CCO Holdings LLC / CCO Holdings Capital Corp 5.750% 01-Sep-2023 1,410,000 1,446,152 INEOS Group Holdings SA 6.125% 15-Aug-2018 1,370,000 1,405,706 Cleopatra Finance Ltd 6.250% 15-Feb-2022 1,420,000 1,419,719 Ferrellgas LP / Ferrellgas Finance Corp 6.750% 15-Jan-2022 1,350,000 1,358,063 Rite Aid Corp 144A 6.125% 01-Apr-2023 1,400,000 1,400,000 Cequel Communications Holdings I LLC / Cequel Capital Corp 6.375% Royal Bank of Scotland Group Plc 8.000% Perpetual VAR 1,365,000 1,393,329 15-Sep-2020 1,215,000 1,277,276 International Game Technology Plc 144A 6.250% 15-Feb-2022 1,355,000 1,352,669 Royal Bank of Scotland Group Plc 5.500% Perpetual 1,090,000 1,198,388 Audatex North America Inc 144A 6.125% 01-Nov-2023 1,290,000 1,342,765 Taylor Morrison Communities Inc / Monarch Communities Inc 7.750% Ferrellgas LP / Ferrellgas Finance Corp 6.750% 15-Jan-2022 1,285,000 1,314,921 15-Apr-2020 1,092,000 1,155,478 Bank of Ireland 7.375% Perpetual VAR 1,135,000 1,268,649 MPG Holdco I Inc 7.375% 15-Oct-2022 1,120,000 1,140,818 Argos Merger Sub Inc 144A 7.125% 15-Mar-2023 1,160,000 1,182,963 LBG Capital No.2 Plc 6.385% 12-May-2020 885,000 1,124,583 MPG Holdco I Inc 7.375% 15-Oct-2022 1,120,000 1,140,818 Rite Aid Corp 144A 6.125% 01-Apr-2023 1,070,000 1,112,744 INEOS Group Holdings SA 144A 5.875% 15-Feb-2019 1,105,000 1,124,644 Albea Beauty Holdings SA 8.750% 01-Nov-2019 950,000 1,101,643 Lloyds Banking Group Plc 7.500% Perpetual VAR 1,074,000 1,106,024 Kindred Escrow Corp II 144A 8.750% 15-Jan-2023 1,040,000 1,095,293 Talen Energy Supply LLC 144A 6.500% 01-Jun-2025 1,060,000 1,056,913 Algeco Scotsman Global Finance Plc 9.000% 15-Oct-2018 995,000 1,092,719 Viridian Group FundCo II Ltd 7.500% 01-Mar-2020 930,000 1,055,047 SGD Group SAS 5.625% 15-May-2019 945,000 1,087,564 Quicken Loans Inc 144A 5.750% 01-May-2025 1,040,000 1,037,669 Consolidated Energy Finance SA 144A 6.750% 15-Oct-2019 1,130,000 1,072,500 First Data Corp 144A 7.000% 01-Dec-2023 1,035,000 1,036,225 T-Mobile USA Inc 6.500% 15-Jan-2024 1,050,000 1,050,538 TES Finance Plc 6.750% 15-Jul-2020 680,000 1,000,943 Jones Energy Holdings LLC / Jones Energy Finance Corp 6.750% Jones Energy Holdings LLC / Jones Energy Finance Corp 6.750% 01-Apr-2022 985,000 998,426 01-Apr-2022 985,000 998,426 DISH DBS Corp 6.750% 01-Jun-2021 935,000 996,324 Clear Channel Worldwide Holdings Inc 6.500% 15-Nov-2022 960,000 985,854 Lowell Group Financing Plc 5.875% 01-Apr-2019 605,000 985,220

BNY Mellon Global Opportunistic Bond Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Australia Government Bond 3.250% 21-Apr-2025 54,700,000 44,274,541 Australia Government Bond 3.250% 21-Apr-2025 46,300,000 36,703,264 Australia Government Bond 3.250% 21-Oct-2018 23,200,000 17,693,838 United States Treasury Inflation Indexed Bonds 1.375% United States Treasury Inflation Indexed Bonds 1.375% 15-Jan-2020 16,083,254 16,971,912 15-Jan-2020 16,083,254 17,135,440 United States Treasury Note/Bond 0.375% 31-Jan-2016 15,000,000 15,013,289 United States Treasury Note/Bond 0.375% 31-Jan-2016 15,000,000 15,016,992 Australia Government Bond 2.750% 21-Apr-2024 17,775,000 13,827,981 United States Treasury Note/Bond 2.000% 15-Feb-2025 13,900,000 13,602,348 United States Treasury Note/Bond 2.000% 15-Feb-2025 13,900,000 13,479,195 Australia Government Bond 2.750% 21-Apr-2024 15,175,000 12,002,305 Australia Government Bond 3.250% 21-Oct-2018 15,525,000 11,659,928 United States Treasury Note/Bond 2.125% 15-May-2025 11,170,000 10,979,991 United Kingdom Gilt 3.250% 22-Jan-2044 6,300,000 11,282,537 United Kingdom Gilt 3.250% 22-Jan-2044 4,650,000 8,237,293 United States Treasury Note/Bond 2.125% 15-May-2025 11,170,000 11,019,943 Government National Mortgage Association 3.000% 15-May-2044 7,900,000 8,141,938 New Zealand Government Bond 3.000% 15-Apr-2020 14,635,000 10,709,531 Federal National Mortgage Association 3.000% 15-May-2044 7,900,000 8,096,883 Government National Mortgage Association 3.000% 15-May-2044 7,900,000 8,162,922 Federal National Mortgage Association 3.000% 15-May-2044 7,900,000 8,091,328 Government National Mortgage Association 3.000% 15-May-2044 7,900,000 8,160,762 Government National Mortgage Association 3.000% 15-May-2044 7,900,000 8,047,117 Federal National Mortgage Association 3.000% 15-May-2044 7,900,000 8,077,750 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2044 4,480,000 7,484,868 Federal National Mortgage Association 3.000% 15-May-2044 7,900,000 7,997,875 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 30,250,000 7,445,376 Italy Buoni Poliennali Del Tesoro 144A 4.750% 01-Sep-2044 4,480,000 7,026,717 Government National Mortgage Association 3.000% 15-May-2044 6,800,000 6,936,266 Government National Mortgage Association 3.000% 15-May-2044 6,800,000 6,931,484 Federal National Mortgage Association 3.000% 15-May-2044 6,800,000 6,890,313 Federal National Mortgage Association 3.000% 15-May-2044 6,800,000 6,886,063 New Zealand Government Bond 3.000% 15-Apr-2020 8,225,000 6,148,366 Colombian TES 10.000% 24-Jul-2024 13,404,200,000 6,393,369 Portugal Obrigacoes do Tesouro OT 144A 4.750% 14-Jun-2019 4,400,000 5,672,553 Italy Buoni Poliennali Del Tesoro 1.500% 01-Jun-2025 5,350,000 5,562,860 Italy Buoni Poliennali Del Tesoro 1.500% 01-Jun-2025 5,350,000 5,643,384 Portugal Obrigacoes do Tesouro OT 144A 4.750% 14-Jun-2019 4,400,000 5,521,717 Turkey Government Bond 9.000% 24-Jul-2024 15,200,000 5,474,558 Ireland Government Bond 5.400% 13-Mar-2025 3,550,000 5,472,978 Korea Treasury Bond 2.250% 10-Jun-2025 6,000,000,000 5,408,437 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2025 19,250,000 5,360,366 Ireland Government Bond 5.400% 13-Mar-2025 3,550,000 5,360,109 United States Treasury Inflation Indexed Bonds 0.125% Mexican Bonos 10.000% 05-Dec-2024 62,050,000 5,296,233 15-Jan-2022 5,231,450 5,112,595 United States Treasury Inflation Indexed Bonds 0.125% Spain Government Bond 5.750% 30-Jul-2032 2,750,000 4,790,694 15-Jan-2022 5,231,450 5,219,189 Turkey Government Bond 9.000% 24-Jul-2024 15,200,000 4,640,311 United States Treasury Note/Bond 1.625% 31-Dec-2019 4,000,000 4,050,938 United States Treasury Note/Bond 2.500% 15-Feb-2045 4,235,000 3,977,677

403 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Opportunities Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD United States Treasury Bill 0.000% 11-Feb-2016 6,887,000 6,886,072 United States Treasury Bill 0.000% 11-Feb-2016 5,976,300 5,974,656 France Treasury Bill BTF 0.000% 06-Jan-2016 5,615,000 5,952,371 PNC Financial Services Group Inc/The 46,479 4,426,744 Vivendi SA 235,739 5,551,249 United States Treasury Bill 0.000% 05-Nov-2015 4,200,000 4,199,983 TripAdvisor Inc 62,416 4,761,829 United States Treasury Bill 0.000% 30-Jul-2015 3,916,100 3,916,100 Trimble Navigation Ltd 193,981 4,372,311 United States Treasury Bill 0.000% 19-Mar-2015 3,601,300 3,601,300 United States Treasury Bill 0.000% 05-Nov-2015 4,200,000 4,199,543 United States Treasury Bill 0.000% 07-May-2015 3,600,000 3,600,000 Hershey Co/The 46,097 4,183,981 United States Treasury Bill 0.000% 15-Oct-2015 3,360,000 3,360,000 United States Treasury Bill 0.000% 30-Jul-2015 3,916,100 3,915,616 United States Treasury Bill 0.000% 27-Aug-2015 3,358,800 3,358,800 Wolseley Plc 68,869 3,864,998 United States Treasury Bill 0.000% 05-Mar-2015 3,217,000 3,217,000 Merck & Co Inc 69,372 3,752,311 Anheuser-Busch InBev NV 25,363 3,031,475 Emerson Electric Co 76,569 3,750,224 Accenture Plc 25,629 2,562,253 United States Treasury Bill 0.000% 07-May-2015 3,600,000 3,599,865 AGCO Corp 51,786 2,520,448 CH Robinson Worldwide Inc 54,917 3,558,211 Microsoft Corp 50,206 2,517,677 Microsoft Corp 73,720 3,487,809 CH Robinson Worldwide Inc 35,871 2,444,806 Centrica Plc 908,903 3,404,486 Medtronic Plc 43,597 2,355,322 United States Treasury Bill 0.000% 15-Oct-2015 3,360,000 3,359,973 SoftBank Corp 36,700 2,211,815 United States Treasury Bill 0.000% 27-Aug-2015 3,358,800 3,358,643 Vodafone Group Plc 591,745 2,146,115 Mattel Inc 142,703 3,293,914 Equifax Inc 20,221 2,057,064 Medtronic Plc 55,093 3,236,962 Continental AG 8,499 2,003,516 DNB ASA 235,570 3,084,480 Walgreens Boots Alliance Inc 22,195 1,934,512 Discovery Communications Inc 97,554 2,997,580 Express Scripts Holding Co 21,730 1,894,600 Express Scripts Holding Co 33,710 2,959,997 Trimble Navigation Ltd 83,422 1,838,265 Accenture Plc 28,141 2,823,310 British American Tobacco Plc 30,731 1,704,367 RELX NV 142,360 2,561,737 Kraft Foods Group Inc 23,867 1,684,700 SAP AG 34,079 2,537,943 United Technologies Corp 16,593 1,610,521 Japan Tobacco Inc 73,700 2,506,375 Walt Disney Co/The 14,726 1,606,359 British American Tobacco Plc 42,272 2,417,293 Google Inc - Class A 2,431 1,592,678 Johnson Matthey Plc 63,175 2,346,500 TJX Cos Inc 22,094 1,541,736 Intuit Inc 24,013 2,284,077 Japan Tobacco Inc 42,500 1,535,809 Dollar General Corp 35,928 2,251,873 Mattel Inc 62,146 1,519,992 Baidu Inc ADR 12,606 2,185,321 SAP AG 20,811 1,506,721 Apple Inc 17,520 2,031,985 Citigroup Inc 27,757 1,475,861 Nestle SA 26,270 1,989,315 Apple Inc 12,440 1,434,115 Google Inc - Class A 3,511 1,972,361 Brenntag AG 23,705 1,347,030 Citigroup Inc 34,957 1,906,386 TripAdvisor Inc 16,716 1,343,288 Stratasys Ltd 57,349 1,824,358 Teva Pharmaceutical Industries Ltd ADR 19,534 1,306,283 Roche Holding AG 6,402 1,779,444 L'Oreal SA 6,885 1,291,681 Equifax Inc 17,044 1,716,650 Yum! Brands Inc 15,829 1,274,394 PNC Financial Services Group Inc/The 18,191 1,715,229 Intuit Inc 13,147 1,263,953 Novartis AG 17,333 1,685,908 RenaissanceRe Holdings Ltd 11,865 1,206,568 Bayer AG 12,120 1,682,041 Vivendi SA 47,313 1,193,210 Yum! Brands Inc 20,342 1,629,522 Nestle SA 15,870 1,192,565 AIA Group Ltd 259,600 1,626,970 Bayer AG 8,332 1,172,543 TJX Cos Inc 22,652 1,580,341 Kraft Heinz Co/The 15,153 1,165,667 United Technologies Corp 14,503 1,521,765

404 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Property Securities Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Host Hotels & Resorts Inc 17,990 315,722 UDR Inc 10,170 309,659 Simon Property Group Inc 1,620 286,442 General Growth Properties Inc 11,890 299,584 Cheung Kong Property Holdings Ltd 41,500 282,903 Simon Property Group Inc 1,740 297,310 AvalonBay Communities Inc 1,610 253,529 Public Storage 1,380 273,950 General Growth Properties Inc 9,270 249,479 SL Green Realty Corp 1,610 180,159 Health Care REIT Inc 3,610 240,882 Retail Opportunity Investments Corp 12,090 179,063 Hudson Pacific Properties Inc 8,320 236,324 DDR Corp 11,980 176,560 Apartment Investment & Management Co 6,630 228,622 Essex Property Trust Inc 870 174,219 Boston Properties Inc 1,770 212,265 Prologis Inc 4,500 168,986 Public Storage 1,130 200,250 Strategic Hotels & Resorts Inc 13,760 165,520 British Land Co Plc 18,064 199,468 Mitsubishi Estate Co Ltd 8,000 161,019 Equity Residential 2,690 188,841 Hudson Pacific Properties Inc 5,760 155,752 Sun Hung Kai Properties Ltd 13,300 186,974 Kilroy Realty Corp 2,460 154,669 Weingarten Realty Investors 5,970 178,386 Health Care REIT Inc 2,220 148,179 Mitsui Fudosan Co Ltd 6,600 175,233 Mitsui Fudosan Co Ltd 5,600 146,431 Vonovia SE 6,045 167,221 Sunstone Hotel Investors Inc 10,710 145,323 Welltower Inc 2,790 160,713 Global Logistic Properties Ltd 92,200 143,078 Empire State Realty Trust Inc 9,700 156,882 HCP Inc 3,450 140,161 Essex Property Trust Inc 750 156,245 Sun Hung Kai Properties Ltd 9,800 136,460 Unibail-Rodamco SE 630 154,459 Klepierre 3,230 136,260

BNY Mellon Global Real Return Fund (EUR) for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales and Maturities Nominal EUR United States Treasury Note/Bond 1.000% 31-Oct-2016 432,884,100 395,547,195 France Treasury Bill BTF 0.000% 08-Jul-2015 265,676,952 265,723,930 France Treasury Bill BTF 0.000% 08-Jul-2015 265,676,952 265,783,838 United States Treasury Note/Bond 0.875% 15-Oct-2017 203,379,400 185,119,895 United States Treasury Note/Bond 0.875% 15-Oct-2017 203,379,400 184,061,988 France Treasury Bill BTF 0.000% 06-Jan-2016 149,715,000 149,746,971 France Treasury Bill BTF 0.000% 06-Jan-2016 149,715,000 149,843,034 France Treasury Bill BTF 0.000% 28-Oct-2015 96,627,000 96,678,844 United States Treasury Note/Bond 3.000% 15-May-2045 151,411,400 134,762,034 United States Treasury Note/Bond 2.000% 30-Sep-2020 98,749,600 88,650,912 France Treasury Bill BTF 0.000% 28-Oct-2015 96,627,000 96,691,386 United States Treasury Note/Bond 2.375% 15-Aug-2024 89,522,100 80,952,944 France Treasury Bill BTF 0.000% 25-Nov-2015 80,744,000 80,800,098 France Treasury Bill BTF 0.000% 25-Nov-2015 80,744,000 80,773,704 France Treasury Bill BTF 0.000% 25-Jun-2015 77,544,000 77,578,425 France Treasury Bill BTF 0.000% 25-Jun-2015 77,544,000 77,552,093 Abbey National Treasury Service 3.375% 08-Jun-2015 75,050,000 75,379,237 Abbey National Treasury Service 3.375% 08-Jun-2015 75,050,000 75,050,000 United States Treasury Note/Bond 2.875% 15-May-2043 71,746,100 67,140,255 Nationwide Building Society 2.875% 14-Sep-2015 66,499,000 66,499,000 Nationwide Building Society 2.875% 14-Sep-2015 66,499,000 66,884,780 United States Treasury Note/Bond 1.500% 31-Aug-2018 73,660,700 65,453,628 Clerical Medical Finance Plc 4.250% Perpetual VAR 47,886,000 47,933,886 United States Treasury Note/Bond 2.875% 15-May-2043 71,746,100 60,059,729 United States Treasury Note/Bond 2.000% 30-Sep-2020 48,332,400 41,956,647 Clerical Medical Finance Plc 4.250% Perpetual VAR 47,886,000 47,886,000 CMS Energy Corp 1,209,283 37,768,112 Sanofi 504,682 45,134,170 Banco Espanol de Credito SA 3.500% 18-Jan-2016 30,000,000 30,357,000 German Treasury Bill 0.000% 15-Apr-2015 39,227,000 39,227,000 United States Treasury Note/Bond 1.500% 31-Aug-2018 31,806,500 29,521,544 Total SA 794,281 36,951,749 Telefonica Deutschland Holding AG 5,539,734 29,071,350 Bayer AG 249,676 31,593,679 New Zealand Government Bond 4.500% 15-Apr-2027 39,126,000 28,222,065 Royal Dutch Shell Plc 1,207,657 31,154,222 Microsoft Corp 655,444 26,100,082 CRH Plc 1,252,330 30,390,302 Danske Bank OYJ 2.625% 02-Dec-2015 25,000,000 25,320,782 Novartis AG 342,081 30,205,038 Accenture Plc 374,575 30,148,460 Willis Group Holdings Plc 649,184 26,223,041 Microsoft Corp 621,029 25,857,198 SoftBank Corp 541,700 25,800,396 Danske Bank OYJ 2.625% 02-Dec-2015 25,000,000 25,000,000 TeliaSonera AB 4,527,551 24,873,456 Millicom International Cellular SA 431,689 24,413,797 Australia Government Bond 4.750% 21-Apr-2027 31,414,000 23,874,466 ETFS Physical Gold 237,842 23,390,694

405 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Global Real Return Fund (GBP) for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal GBP Major Sales and Maturities Nominal GBP United States Treasury Note/Bond 1.000% 31-Oct-2016 13,580,000 8,985,495 United Kingdom Gilt 4.750% 07-Sep-2015 5,700,157 5,711,357 United Kingdom Gilt 4.750% 07-Sep-2015 5,700,157 5,795,317 United Kingdom Gilt 2.000% 22-Jan-2016 4,756,000 4,767,259 United Kingdom Gilt 2.000% 22-Jan-2016 4,756,000 4,780,859 United States Treasury Note/Bond 0.875% 15-Oct-2017 6,530,200 4,304,491 United States Treasury Note/Bond 0.875% 15-Oct-2017 6,530,200 4,244,968 United Kingdom Treasury Bill 0.000% 07-Dec-2015 1,993,000 1,993,000 United States Treasury Note/Bond 3.000% 15-May-2045 4,714,800 3,056,983 United Kingdom Treasury Bill 0.000% 07-Mar-2016 1,650,445 1,648,765 United Kingdom Treasury Bill 0.000% 07-Mar-2016 2,062,700 2,057,007 United States Treasury Note/Bond 2.375% 15-Aug-2024 2,232,800 1,471,315 United Kingdom Treasury Bill 0.000% 07-Dec-2015 1,993,000 1,988,152 United States Treasury Note/Bond 2.000% 30-Sep-2020 2,063,600 1,379,793 United States Treasury Note/Bond 1.500% 31-Aug-2018 2,096,300 1,380,861 United States Treasury Note/Bond 1.500% 31-Aug-2018 1,672,900 1,119,007 iShares Physical Gold ETC 83,673 1,255,103 United States Treasury Note/Bond 2.875% 15-May-2043 1,777,800 1,093,114 United States Treasury Note/Bond 2.875% 15-May-2043 1,777,800 1,188,088 Sanofi 12,805 837,823 Microsoft Corp 28,621 838,988 Sprint Corp 222,562 756,085 CMS Energy Corp 37,821 836,075 SoftBank Corp 17,200 601,366 GlaxoSmithKline Plc 49,856 712,407 Royal Dutch Shell Plc 30,993 568,871 United States Treasury Note/Bond 2.000% 30-Sep-2020 1,048,600 709,432 Australia Government Bond 4.750% 21-Apr-2027 940,000 522,241 Australia Government Bond 4.500% 21-Apr-2033 1,184,000 677,785 Accenture Plc 8,388 507,265 Wolters Kluwer NV 32,853 675,867 Total SA 14,514 497,660 Vivendi SA 39,890 658,444 Novartis AG 7,687 497,603 Merck & Co Inc 17,516 652,471 Willis Group Holdings Plc 16,739 491,153 Japan Tobacco Inc 27,900 645,366 Bayer AG 5,221 488,372 Roche Holding AG 3,437 636,779 CRH Plc 26,987 481,966 Microsoft Corp 15,026 466,243 TeliaSonera AB 107,830 427,302

BNY Mellon Global Real Return Fund (USD) for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales and Maturities Nominal USD United States Treasury Note/Bond 1.000% 31-Oct-2016 76,713,200 76,897,329 United States Treasury Bill 0.000% 30-Jul-2015 44,058,000 44,057,421 United States Treasury Bill 0.000% 30-Jul-2015 44,058,000 44,050,577 United States Treasury Bill 0.000% 07-Jan-2016 38,925,200 38,921,337 United States Treasury Bill 0.000% 07-Jan-2016 38,925,200 38,913,842 United States Treasury Note/Bond 0.875% 15-Oct-2017 36,901,500 36,850,059 United States Treasury Note/Bond 0.875% 15-Oct-2017 36,901,500 36,937,165 United States Treasury Bill 0.000% 27-Aug-2015 23,985,600 23,984,973 United States Treasury Note/Bond 3.000% 15-May-2045 27,068,200 27,022,109 United States Treasury Bill 0.000% 05-Nov-2015 22,964,800 22,964,734 United States Treasury Bill 0.000% 27-Aug-2015 23,985,600 23,982,047 United States Treasury Note/Bond 2.000% 30-Sep-2020 17,534,800 17,929,868 United States Treasury Bill 0.000% 05-Nov-2015 22,964,800 22,961,658 United States Treasury Bill 0.000% 11-Feb-2016 16,320,500 16,316,475 United States Treasury Bill 0.000% 11-Feb-2016 16,320,500 16,319,991 United States Treasury Note/Bond 2.375% 15-Aug-2024 15,049,700 15,119,070 United States Treasury Note/Bond 2.875% 15-May-2043 11,975,100 12,369,746 United States Treasury Note/Bond 1.500% 31-Aug-2018 12,500,400 12,694,496 United States Treasury Note/Bond 2.000% 30-Sep-2020 9,213,500 9,435,552 United States Treasury Note/Bond 2.875% 15-May-2043 11,975,100 11,358,713 United States Treasury Note/Bond 1.500% 31-Aug-2018 7,304,400 7,381,910 Sanofi 78,727 7,915,619 CMS Energy Corp 206,006 7,040,601 Total SA 132,147 6,777,913 New Zealand Government Bond 4.500% 15-Apr-2027 6,946,000 5,631,996 CRH Plc 212,404 5,826,136 Telefonica Deutschland Holding AG 966,506 5,445,376 Accenture Plc 62,797 5,786,406 GlaxoSmithKline Plc 227,623 5,094,601 Bayer AG 39,100 5,601,431 Microsoft Corp 103,032 4,445,261 Royal Dutch Shell Plc 191,811 5,491,231 iShares Physical Gold ETC 200,557 4,436,887 Willis Group Holdings Plc 116,863 5,294,313 Merck & Co Inc 75,549 4,364,312 ETFS Physical Gold 47,852 5,249,415 Procter & Gamble Co/The 58,873 4,215,696 SoftBank Corp 97,100 5,185,265 Eversource Energy 77,161 3,855,119 Novartis AG 49,131 4,848,910 Australia Government Bond 4.750% 21-Apr-2027 5,254,000 4,589,416 British American Tobacco Plc 78,938 4,448,890 TeliaSonera AB 691,621 4,259,918 Millicom International Cellular SA 64,872 4,198,704 Microsoft Corp 85,839 4,017,991

406 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Japan All Cap Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal JPY Major Sales Nominal JPY Toyota Motor Corp 30,700 251,801,776 Toyota Motor Corp 14,300 110,701,848 Mitsubishi UFJ Financial Group Inc 243,700 190,725,593 Sohgo Security Services Co Ltd 15,800 78,319,600 Sumitomo Mitsui Financial Group Inc 26,400 127,884,984 Mitsubishi UFJ Financial Group Inc 98,200 77,316,321 SoftBank Corp 18,600 127,369,179 Mitsui & Co Ltd 41,800 64,034,707 Mitsubishi Heavy Industries Ltd 191,000 124,994,862 Penta-Ocean Construction Co Ltd 115,200 60,295,861 Hitachi Ltd 157,000 122,272,765 IHI Corp 106,000 56,127,846 Astellas Pharma Inc 62,900 114,878,418 ORIX Corp 29,900 54,155,650 Fuji Heavy Industries Ltd 25,500 109,910,797 NSK Ltd 35,500 53,186,477 Nidec Corp 13,400 109,629,162 Fuji Heavy Industries Ltd 10,500 52,410,848 Mizuho Financial Group Inc 463,600 107,651,891 Sumitomo Mitsui Financial Group Inc 11,100 52,179,876 Mazda Motor Corp 43,000 105,711,128 Daicel Corp 29,400 50,698,432 Santen Pharmaceutical Co Ltd 33,900 103,524,593 Ryohin Keikaku Co Ltd 2,000 50,302,631 Penta-Ocean Construction Co Ltd 213,500 100,609,547 SCSK Corp 10,600 50,156,372 Dai-ichi Life Insurance Co Ltd/The 51,200 99,164,006 Fujitsu Ltd 83,000 49,675,667 SCSK Corp 25,600 95,805,008 Santen Pharmaceutical Co Ltd 25,100 49,271,667 Japan Tobacco Inc 24,200 95,116,733 KDDI Corp 17,500 49,218,583 Nifco Inc 21,100 94,605,097 Nidec Corp 5,400 49,006,878 Nippon Shokubai Co Ltd 39,200 91,777,736 Kakaku.com Inc 22,900 48,317,977 Denso Corp 16,000 90,678,116 Nifco Inc 9,200 48,132,136 Sohgo Security Services Co Ltd 19,700 89,939,132 Hitachi Ltd 66,000 47,863,938 Totetsu Kogyo Co Ltd 31,600 85,478,384 Chubu Electric Power Co Inc 26,500 45,797,825

Rinnai Corp 8,900 83,620,708 Pola Orbis Holdings Inc 5,900 45,563,188 Disco Corp 7,200 82,667,012 Mizuho Financial Group Inc 181,900 45,454,557 Shimizu Corp 81,000 82,503,260 Japan Tobacco Inc 9,900 44,738,912 Park24 Co Ltd 33,800 80,652,812 Nippon Shokubai Co Ltd 9,800 44,566,957 Sankyu Inc 137,000 79,092,743 Astellas Pharma Inc 25,000 43,359,434 Isuzu Motors Ltd 49,700 77,921,021 SoftBank Corp 6,800 43,073,645 Bandai Namco Holdings Inc 29,400 76,779,785 Mitsubishi Pencil Co Ltd 7,800 42,933,790 Daicel Corp 50,500 76,693,558 Denso Corp 7,200 42,366,632 Kubota Corp 40,000 76,254,389 Park24 Co Ltd 15,200 39,916,245 Nitto Denko Corp 9,100 75,677,030 Nissan Motor Co Ltd 32,000 38,791,739 Hikari Tsushin Inc 8,900 75,473,326 Disco Corp 3,300 38,131,907 Mitsubishi Estate Co Ltd 27,000 73,885,288 Temp Holdings Co Ltd 17,200 37,830,047 Mitsubishi Pencil Co Ltd 15,300 73,406,013 Mitsubishi Heavy Industries Ltd 63,000 37,279,309 Temp Holdings Co Ltd 16,200 73,289,084 United Arrows Ltd 9,700 37,260,167 Rakuten Inc 36,700 69,923,349 Honda Motor Co Ltd 8,800 36,659,753 Ryohin Keikaku Co Ltd 3,500 69,262,882 Dai-ichi Life Insurance Co Ltd/The 17,000 36,566,448 Pola Orbis Holdings Inc 10,500 69,163,879 Rinnai Corp 3,300 35,232,671 Nihon Kohden Corp 16,300 65,118,102 Mazda Motor Corp 13,800 35,204,675 Aica Kogyo Co Ltd 24,000 63,936,136 Zenkoku Hosho Co Ltd 7,900 34,227,280 Mitsubishi Electric Corp 45,000 61,360,715 Totetsu Kogyo Co Ltd 12,100 34,007,220 METAWATER Co Ltd 20,100 61,149,814 Tsuruha Holdings Inc 3,200 32,559,763 Tsuruha Holdings Inc 6,400 61,087,860 FANUC Corp 1,500 32,314,525 Unizo Holdings Co Ltd 12,800 60,394,712 Aica Kogyo Co Ltd 12,800 31,769,199 Omron Corp 12,000 60,098,697 Nippon Steel & Sumitomo Metal Corp 102,000 30,615,573 Gulliver International Co Ltd 54,700 58,427,412 Isuzu Motors Ltd 21,400 30,304,644 Kubota Corp 15,000 30,238,745 Hikari Tsushin Inc 3,500 29,317,821

407 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Japan Small Cap Equity Focus Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal JPY Major Sales Nominal JPY Vector Inc 151,900 295,634,878 Financial Products Group Co Ltd 173,500 233,756,750 Leopalace21 Corp 441,600 291,827,889 Tsuruha Holdings Inc 21,800 220,577,297 Osaki Electric Co Ltd 382,000 287,174,438 Unizo Holdings Co Ltd 37,200 194,106,671 Unizo Holdings Co Ltd 58,100 278,887,966 Ain Holdings Inc 36,800 186,798,009 Star Micronics Co Ltd 145,500 275,541,820 Temp Holdings Co Ltd 49,000 165,852,096 Resorttrust Inc 84,900 269,529,726 Kakaku.com Inc 82,700 164,844,671 Pal Co Ltd 77,900 265,345,015 Leopalace21 Corp 255,300 158,942,023 Nippon Gas Co Ltd 81,700 262,738,385 Tsukishima Kikai Co Ltd 136,600 158,738,856 V-Cube Inc 149,200 261,862,951 CyberAgent Inc 25,100 136,088,627 Nichias Corp 341,000 261,814,670 V-Cube Inc 61,100 130,821,112 Totetsu Kogyo Co Ltd 91,200 249,242,595 Itoham Foods Inc 206,000 129,984,268 CyberAgent Inc 42,500 246,490,315 Penta-Ocean Construction Co Ltd 239,200 126,333,294 Penta-Ocean Construction Co Ltd 492,600 244,653,906 77 Bank Ltd/The 174,000 118,516,812 Anicom Holdings Inc 113,700 239,606,916 Anicom Holdings Inc 49,100 117,090,576 77 Bank Ltd/The 333,000 236,354,074 Aiphone Co Ltd 59,100 116,469,932 Dowa Holdings Co Ltd 214,000 225,630,592 Pal Co Ltd 32,300 114,542,985 Nikkiso Co Ltd 194,500 210,578,201 Resorttrust Inc 36,400 111,497,132 Sanyo Chemical Industries Ltd 221,000 207,498,670 Totetsu Kogyo Co Ltd 39,000 99,294,980 Temp Holdings Co Ltd 54,400 201,643,743 Nippon Gas Co Ltd 27,000 97,326,017 Ain Holdings Inc 37,200 193,666,292 Toyo Denki Seizo KK 197,000 89,596,342 Kakaku.com Inc 88,900 173,868,186 HIS Co Ltd 22,901 89,522,827 Financial Products Group Co Ltd 94,300 164,180,792 Osaki Electric Co Ltd 126,000 84,624,332 HIS Co Ltd 39,501 162,659,522 Dowa Holdings Co Ltd 82,000 84,072,921 Tsuruha Holdings Inc 15,700 141,206,019 Sanyo Chemical Industries Ltd 96,000 82,826,181 Tadano Ltd 84,000 138,793,758 Daicel Corp 50,000 77,715,048 SHO-BOND Holdings Co Ltd 26,500 135,847,812 Nikkiso Co Ltd 81,100 76,754,133 Tsukishima Kikai Co Ltd 99,000 127,412,904 Star Micronics Co Ltd 43,000 73,777,344 Zenkoku Hosho Co Ltd 19,800 84,725,986 Nichias Corp 89,000 66,703,485 Itoham Foods Inc 114,000 78,235,433 Vector Inc 33,200 59,096,339 Aiphone Co Ltd 37,900 70,835,996 SHO-BOND Holdings Co Ltd 11,900 58,206,514 Tadano Ltd 37,000 57,478,020 COLOPL Inc 22,300 55,904,641 Zenkoku Hosho Co Ltd 11,500 47,668,422

408 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Long-Term Global Equity Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Cognizant Technology Solutions Corp 589,100 32,789,102 BG Group Plc 2,566,100 41,815,975 Walt Disney Co/The 283,200 29,423,701 Precision Castparts Corp 181,628 36,775,923 Starbucks Corp 625,651 28,796,492 HSBC Holdings Plc 3,802,000 30,527,296 Intuitive Surgical Inc 30,900 14,400,298 Qualcomm Inc 490,602 27,252,433 LVMH Moet Hennessy Louis Vuitton SA 79,200 13,424,335 Wal-Mart Stores Inc 427,500 23,233,986 Compass Group Plc 744,517 10,472,181 Woodside Petroleum Ltd 801,800 19,153,955 Amphenol Corp 200,500 10,244,978 Standard Chartered Plc 1,798,822 15,852,749 Gilead Sciences Inc 107,300 9,327,514 Syngenta AG 38,200 15,020,875 CNOOC Ltd 8,597,000 9,160,232 China Shenhua Energy Co Ltd 5,652,502 13,193,589 Hong Kong & China Gas Co Ltd 4,362,001 8,214,770 Inditex SA 320,200 10,161,664 Schlumberger Ltd 113,500 8,109,096 Novo Nordisk A/S 194,100 9,696,715 Denso Corp 200,700 8,093,648 Gilead Sciences Inc 91,400 9,494,200 Keyence Corp 17,200 7,097,846 Nike Inc 85,300 9,075,668 Shin-Etsu Chemical Co Ltd 128,800 6,084,715 AIA Group Ltd 1,502,000 8,793,233 BG Group Plc 436,500 5,726,111 Microsoft Corp 168,600 7,890,831 Precision Castparts Corp 22,900 4,198,841 Oracle Corp 191,600 7,624,912 Hennes & Mauritz AB 114,400 4,087,046 L'Oreal SA 42,200 7,228,655 DBS Group Holdings Ltd 241,800 3,261,469 Nestle SA 100,800 7,090,388 Novartis AG 36,100 2,932,212 MasterCard Inc 84,000 7,068,125 Alphabet Inc 8,600 6,113,417

The above constitutes the full list of purchases for the reporting year.

409 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Pan European Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Novartis AG 21,060 1,949,514 Nokia OYJ 298,989 1,957,122 Royal Dutch Shell Plc 76,225 1,859,309 Statoil ASA 92,555 1,531,891 Nestle SA 25,423 1,824,502 Royal Dutch Shell Plc 53,228 1,385,508 Prudential Plc 69,418 1,617,285 Inditex SA 40,742 1,189,603 Intesa Sanpaolo SpA 491,738 1,530,015 Unilever Plc 28,681 1,181,474 Bayer AG 10,939 1,514,018 Nestle SA 16,047 1,116,984 Atlantia SpA 64,165 1,505,318 Entra ASA 144A 131,720 1,053,540 Anheuser-Busch InBev NV 12,831 1,417,978 Pirelli & C. SpA 67,906 1,024,731 Vodafone Group Plc 453,778 1,415,232 Intesa Sanpaolo SpA 302,316 984,369 GlaxoSmithKline Plc 69,054 1,393,094 Continental AG 4,748 974,382 Statoil ASA 79,730 1,330,047 Telefonaktiebolaget LM Ericsson 96,014 948,647 Telefonica Deutschland Holding AG 246,487 1,302,768 Zurich Insurance Group AG 3,379 931,784 Roche Holding AG 4,953 1,302,190 TeliaSonera AB 154,036 852,362 Barclays Plc 358,754 1,291,021 Roche Holding AG 3,343 838,165 Nokia OYJ 176,118 1,280,530 Old Mutual Plc 241,359 747,875 Svenska Cellulosa AB SCA 55,622 1,261,773 MTU Aero Engines AG 9,225 739,552 Novo Nordisk A/S 27,183 1,244,907 Veolia Environnement SA 36,556 735,022 Vivendi SA 54,258 1,243,884 Novo Nordisk A/S 13,357 683,860 Zurich Insurance Group AG 4,027 1,235,303 British American Tobacco Plc 12,226 623,645 LEG Immobilien AG 16,699 1,205,267 Novartis AG 6,712 618,239 Wolters Kluwer NV 38,554 1,175,435 Atlantia SpA 25,297 618,055 Veolia Environnement SA 63,140 1,142,298 Vivendi SA 25,717 607,144 MTU Aero Engines AG 12,446 1,095,331 Galp Energia SGPS SA 49,038 558,503 Centrica Plc 306,942 1,072,525 Deutsche Telekom AG 33,226 518,253 Inditex SA 34,997 1,062,490 TDC A/S 104,700 512,697 British American Tobacco Plc 20,682 1,055,244 Centrica Plc 139,116 495,304 Infineon Technologies AG 94,660 1,046,776 Commerzbank AG 45,348 486,293 Wolseley Plc 18,511 1,031,772 Svenska Cellulosa AB SCA 20,290 484,814 Credit Suisse Group AG 43,144 1,027,782 Telefonica Deutschland Holding AG 92,959 481,649 Diageo Plc 40,202 999,377 RELX Plc 31,240 477,868 Galp Energia SGPS SA 92,605 981,289 Vallourec SA 32,213 470,896 Just Eat Plc 145,591 921,716 DNB ASA 32,994 432,117 Vinci SA 16,380 913,448 Wacker Chemie AG 4,616 430,161 BG Group Plc 63,224 909,725 Bayer AG 3,163 408,744 Dixons Carphone Plc 150,059 903,203 Infineon Technologies AG 29,635 360,126 Associated British Foods Plc 22,172 895,850 Nexans SA 10,991 344,398 Next Plc 8,927 883,387 CRH Plc 14,179 344,015 Hella KGaA Hueck & Co 19,363 870,729 Vodafone Group Plc 100,502 340,807 Sanofi 9,149 865,412 Essilor International SA 8,184 860,546 RELX Plc 52,834 851,741 Telefonaktiebolaget LM Ericsson 70,854 818,882 DNB ASA 56,114 811,332 SAP SE 10,998 777,253 Vallourec SA 32,213 769,985 CRH Plc 31,324 768,815 Pirelli & C. SpA 49,246 724,731 Commerzbank AG 56,162 707,054 TDC A/S 104,700 700,031 Unilever Plc 16,784 673,819 Entra ASA 144A 69,799 664,747

410 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon S&P 500® Index Tracker for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD Medtronic Plc 5,296 266,600 Apple Inc 8,576 1,011,369 Apple Inc 2,062 241,806 Microsoft Corp 11,525 540,551 American Airlines Group Inc 3,539 193,018 Exxon Mobil Corp 5,725 495,483 Facebook Inc 1,680 165,329 General Electric Co 15,963 435,623 Microsoft Corp 3,032 159,163 Johnson & Johnson 3,767 381,011 Berkshire Hathaway Inc 1,019 136,728 Berkshire Hathaway Inc 2,445 348,259 Exxon Mobil Corp 1,603 131,240 Wells Fargo & Co 6,339 343,868 HCA Holdings Inc 1,753 128,900 Medtronic Plc 6,257 339,629 General Electric Co 4,360 126,609 JPMorgan Chase & Co 4,952 305,404 Amazon.com Inc 196 116,351 Comcast Corp 5,242 302,842 Synchrony Financial 3,707 113,683 Pfizer Inc 8,959 298,832 Illumina Inc 644 113,593 Procter & Gamble Co/The 3,470 287,075 Johnson & Johnson 1,105 110,356 Verizon Communications Inc 5,839 278,237 United Continental Holdings Inc 1,697 97,508 Chevron Corp 2,572 263,165 Wells Fargo & Co 1,758 96,553 Bank of America Corp 14,030 261,476 AT&T Inc 2,813 93,939 AT&T Inc 7,414 252,241 Comcast Corp 1,620 93,028 Facebook Inc 2,790 239,157 Pfizer Inc 2,710 90,430 Intel Corp 6,955 235,074 Perrigo Co Plc 674 88,479 Amazon.com Inc 516 232,163 JPMorgan Chase & Co 1,329 88,274 Walt Disney Co/The 2,208 231,845

411 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Small Cap Euroland Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Atos SE 26,479 1,891,285 TUI AG 85,680 1,337,478 Dialog Semiconductor Plc 38,717 1,529,341 Recordati SpA 52,179 998,654 Valeo SA 10,766 1,472,184 Rhoen Klinikum AG 39,685 998,497 Lagardere SCA 46,388 1,253,577 HUGO BOSS AG 9,957 995,504 Teleperformance 18,433 1,244,486 DCC Plc 12,674 916,626 SCOR SE 37,077 1,189,451 A2A SpA 744,457 891,244 Almirall SA 71,295 1,156,833 Altran Technologies SA 86,928 891,214 Aareal Bank AG 30,285 1,146,923 Rheinmetall AG 14,169 812,988 TAG Immobilien AG 94,097 1,135,461 Stroeer SE 17,026 741,194 Stroeer SE 31,511 1,116,848 Bankinter SA 106,862 737,754 TUI AG 68,356 1,106,577 Ipsen SA 11,629 693,372 APERAM SA 30,461 1,092,853 Almirall SA 36,747 622,029 Mediaset Espana Comunicacion SA 104,183 1,083,588 Draegerwerk AG & Co KGAA Pfd 6,674 615,769 Saft Groupe SA 31,930 1,075,615 Koninklijke Ten Cate NV 22,943 560,901 Enagas SA 39,549 1,075,526 SCOR SE 15,542 522,377 STADA Arzneimittel AG 33,668 1,069,771 BE Semiconductor Industries NV 17,854 521,519 Rheinmetall AG 21,435 1,036,280 Neopost SA 15,821 506,770 Sopra Steria Group 12,551 1,023,841 Plastic Omnium SA 20,201 479,578 Banco Popolare SC 71,517 1,020,174 Brembo SpA 12,540 450,832 Societa Iniziative Autostradali e Servizi SpA 96,724 984,553 Wacker Chemie AG 4,955 446,300 Zalando SE 144A 32,906 980,586 Air France-KLM 69,333 424,183 A2A SpA 961,976 978,379 STADA Arzneimittel AG 11,614 382,774 JCDecaux SA 29,480 975,306 Teleperformance 5,208 347,797 Alten SA 21,315 961,190 Lagardere SCA 12,509 298,362 Greencore Group Plc 209,832 960,347 Beni Stabili SpA SIIQ 422,652 293,456 Gerresheimer AG 15,897 945,659 Enagas SA 10,453 288,082 Euronext NV 144A 23,138 913,948 Gesco AG 4,249 286,375 Symrise AG 16,058 909,553 DMG Mori AG 9,492 274,069 HUGO BOSS AG 7,867 908,312 Societa Iniziative Autostradali e Servizi SpA 23,349 251,053 Corbion NV 44,314 902,610 Banco Popolare SC 18,086 250,395 ICON Plc 13,519 896,696 UNIQA Insurance Group AG 26,058 220,021 Alstria office REIT-AG 69,156 882,933 Duerr AG 2,620 214,642 Rhoen Klinikum AG 36,635 842,005 Duerr AG 8,836 821,998 Jungheinrich AG Pfd 12,566 800,009 Huhtamaki OYJ 26,505 794,102 Cofinimmo 7,516 789,431 Brembo SpA 19,841 770,045 Draegerwerk AG & Co KGAA Pfd 6,674 754,491 Distribuidora Internacional de Alimentacion SA 109,894 737,589 AerCap Holdings NV 17,883 731,064 Anima Holding SpA 144A 101,449 726,011 Klepierre 15,990 721,504 Recordati SpA 39,269 706,099 Gamesa Corp Tecnologica SA 56,479 702,992 Prysmian SpA 36,455 695,567 Altran Technologies SA 73,625 688,078 Etablissements Maurel et Prom 119,074 685,614

412 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon Targeted Return Bond Fund* for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal EUR Major Sales Nominal EUR Australia Government Bond 3.250% 21-Oct-2018 15,100,000 11,081,768 United States Treasury Note/Bond 2.125% 15-May-2025 2,275,000 2,253,938 Australia Government Bond 3.250% 21-Apr-2025 3,925,000 2,887,055 FBR Securitization Trust 0.877% 25-Oct-2035 1,083,871 938,564 Mexican Bonos 10.000% 05-Dec-2024 35,200,000 2,682,712 Turkey Government Bond 8.000% 12-Mar-2025 1,800,000 568,657 United States Treasury Note/Bond 2.125% 15-May-2025 2,275,000 2,251,450 Saxon Asset Securities Trust 2007-3 0.517% 25-Sep-2047 625,000 544,922 United States Treasury Bill 0.000% 11-Feb-2016 2,133,000 2,132,369 ArcelorMittal 5.125% 01-Jun-2020 575,000 517,125 Poland Government Bond 3.250% 25-Jul-2025 7,200,000 1,913,760 ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP3 Vereit Operating Partnership LP 2.000% 06-Feb-2017 1,790,000 1,763,150 0.337% 25-Jun-2036 582,015 457,609 Banc of America Commercial Mortgage Trust 2007-2 5.629% ACE Securities Corp Home Equity Loan Trust Series 2005-ASAP1 10-Apr-2049 VAR 1,470,000 1,482,289 0.877% 25-Sep-2035 557,535 440,627 Digicel Group Ltd 8.250% 30-Sep-2020 1,645,000 1,468,163 ABJA Investment Co Pte Ltd 5.950% 31-Jul-2024 425,000 351,688 New Zealand Government Bond 2.000% 20-Sep-2025 2,200,000 1,447,372 Springleaf Funding Trust 2.580% 15-Sep-2021 299,478 299,478 United States Treasury Bill 0.000% 31-Mar-2016 1,310,000 1,308,938 Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.875% Vedanta Resources Plc 6.750% 07-Jun-2016 1,250,000 1,225,000 01-Feb-2022 250,000 254,063 General Electric Capital Corp 6.375% 15-Nov-2067 VAR 1,150,000 1,224,750 Chesapeake Energy Corp 6.625% 15-Aug-2020 385,000 182,875 Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc 6.875% Credit Suisse First Boston Mortgage Securities Corp 5.500% 15-Feb-2023 1,336,000 1,146,555 25-Sep-2035 202,918 177,808 JBS USA LLC / JBS USA Finance Inc 5.750% 15-Jun-2025 1,075,000 1,032,000 Argent Securities Trust 2006-M1 0.287% 25-Jul-2036 433,235 174,377 Georgetown University 0.427% 01-Apr-2029 1,100,000 1,007,875 Wells Fargo & Co 4.650% 04-Nov-2044 150,000 146,588 American International Group Inc 4.875% 15-Mar-2067 VAR 900,000 975,360 NovaStar Mortgage Funding Trust Series 2006-4 0.447% 25-Sep-2036 141,914 69,715 FBR Securitization Trust 0.877% 25-Oct-2035 1,083,871 939,383 Morgan Stanley Home Equity Loan Trust 2006-3 0.357% 25-Apr-2036 74,478 51,390 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 Intelsat Luxembourg SA 7.750% 01-Jun-2021 110,000 46,200 5.722% 11-Jun-2040 VAR 925,000 938,986 GSR Mortgage Loan Trust 2005-8F 5.500% 25-Nov-2035 21,015 20,542 United States Treasury Note/Bond 4.500% 15-Feb-2036 725,000 925,734 Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A1 2.777% 25-Dec-2034 FRN 17,272 17,272 Odebrecht Offshore Drilling Finance Ltd 6.750% 01-Oct-2022 8,100 8,100

* Please refer to Note 20 of the financial statements.

413 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon U.S. Dynamic Value Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD iShares Russell 1000 Value Index Fund ETF 58,972 5,952,045 iShares Russell 1000 Value Index Fund ETF 61,919 6,275,732 EOG Resources Inc 42,403 3,768,213 Wells Fargo & Co 75,817 4,253,768 JPMorgan Chase & Co 51,875 3,273,300 Occidental Petroleum Corp 52,178 3,669,936 AT&T Inc 85,001 2,919,560 Cisco Systems Inc 121,670 3,274,376 Occidental Petroleum Corp 35,156 2,602,885 Berkshire Hathaway Inc 23,996 3,183,291 Cisco Systems Inc 88,082 2,530,228 JPMorgan Chase & Co 50,662 3,136,423 United Technologies Corp 19,957 2,318,228 Goldman Sachs Group 14,727 2,831,103 Citigroup Inc 42,537 2,272,175 Bank of America Corp 151,233 2,697,130 Prudential Financial 26,749 2,266,900 Citigroup Inc 50,974 2,613,800 Wells Fargo & Co 40,635 2,230,566 CVS Health Corp 25,721 2,609,137 PepsiCo Inc 22,898 2,220,100 Pfizer Inc 77,228 2,519,397 Capital One Financial Corp 26,883 2,157,943 Cardinal Health Inc 29,866 2,450,966 Valero Energy Corp 37,665 2,098,733 Martin Marietta Materials Inc 15,693 2,424,625 Oracle Corp 48,803 2,096,228 Apple Inc 20,119 2,382,483 Pfizer Inc 60,541 2,057,409 UnitedHealth Group Inc 19,316 2,249,580 UnitedHealth Group Inc 16,146 1,944,243 Valero Energy Corp 37,665 2,248,108 Merck & Co Inc 29,863 1,760,163 PepsiCo Inc 21,997 2,108,897 Schlumberger Ltd 20,428 1,718,024 EOG Resources Inc 25,124 1,980,237 Charles Schwab Corp/The 49,728 1,576,018 EMC Corp 72,898 1,875,448 Google Inc - Class A 2,686 1,569,746 Voya Financial Inc 44,927 1,851,718 E*TRADE Financial Corp 52,807 1,535,508 Schlumberger Ltd 24,480 1,838,873 Raytheon Co 13,986 1,525,112 Honeywell International Inc 18,308 1,820,211 CVS Health Corp 14,675 1,507,187 Coca-Cola Enterprises Inc 35,676 1,802,848 Apple Inc 12,042 1,459,310 United Technologies Corp 18,536 1,791,309 Viacom 24,889 1,442,118 Anadarko Petroleum Corp 25,860 1,778,240 Interpublic Group of Cos Inc/The 67,827 1,433,332 Merck & Co Inc 33,974 1,756,988 American International Group Inc 23,393 1,415,648 AT&T Inc 50,808 1,667,047 Kellogg Co 20,743 1,382,164 Vulcan Materials Co 17,864 1,643,976 Applied Materials Inc 61,768 1,361,290 Prudential Financial 21,127 1,637,780 Express Scripts Holding Co 15,286 1,351,910 Phillips 66 20,111 1,613,251 Vulcan Materials Co 14,619 1,305,509 Carnival Corporation 32,058 1,601,151 ACE Ltd 11,711 1,293,272 Ameriprise Financial Inc 12,157 1,551,430 Phillips 66 16,621 1,289,427 Raytheon Co 14,288 1,543,114 Berkshire Hathaway Inc 8,487 1,228,716 PVH Corp 14,871 1,509,236 Mosaic Co/The 25,991 1,227,721 Eli Lilly & Co 18,764 1,494,485 Eli Lilly & Co 16,112 1,206,778

414 BNY MELLON GLOBAL FUNDS, PLC Significant Portfolio Movements

BNY Mellon US Opportunities Fund for the year ended 31 December 2015

Cost Proceeds Major Purchases Nominal USD Major Sales Nominal USD iShares Russell 1000 ETF 46,332 5,317,650 iShares Russell 1000 ETF 37,485 4,315,067 Vanguard S&P 500 ETF 26,176 4,985,223 Vanguard S&P 500 ETF 21,828 4,155,465 SPDR S&P 500 ETF Trust 18,509 3,862,153 SPDR S&P 500 ETF Trust 14,492 3,039,072 iShares Russell 3000 ETF 18,173 2,222,863 iShares Russell 3000 ETF 14,424 1,785,511 Charles Schwab Corp/The 69,237 2,171,455 Citigroup Inc 30,263 1,559,621 Synchrony Financial 67,570 2,079,485 Dealertrack Technologies Inc 20,687 1,288,507 Oracle Corp 48,119 2,010,617 SVB Financial Group 9,797 1,239,524 Goldman Sachs Group Inc/The 9,600 1,874,213 Steelcase Inc 58,302 1,031,042 Steelcase Inc 93,475 1,807,866 Akamai Technologies Inc 16,595 1,010,937 Apple Inc 14,548 1,783,327 Parker Hannifin Corp 9,018 1,008,852 Citigroup Inc 30,263 1,727,483 Realogy Holdings Corp 22,381 1,006,745 FNF Group 46,315 1,677,379 Discover Financial Services 17,209 1,006,635 Honeywell International Inc 15,643 1,593,809 Vertex Pharmaceuticals Inc 7,388 955,310 Realogy Holdings Corp 37,298 1,587,473 Actavis Plc 3,154 941,642 Eli Lilly & Co 21,212 1,578,454 Fortinet Inc 20,896 930,379 Infoblox Inc 69,162 1,561,008 Illumina Inc 4,357 793,298 Wells Fargo & Co 28,035 1,551,831 PepsiCo Inc 7,972 776,822 E*TRADE Financial Corp 54,035 1,522,075 VMware Inc 9,731 775,438 Valspar Corp/The 18,690 1,514,958 Biogen Idec Inc 2,546 756,029 Fluor Corp 32,657 1,493,729 McKesson Corp 3,729 748,367 Jazz Pharmaceuticals Plc 8,938 1,492,640 Kirby Corp 11,239 744,984 Fortinet Inc 43,196 1,483,755 Martin Marietta Materials Inc 4,204 671,913 Signature Bank 10,523 1,440,322 E*TRADE Financial Corp 23,309 668,915 Illumina Inc 6,604 1,380,049 EMC Corp/MA 26,277 664,927 PepsiCo Inc 14,251 1,377,201 Halliburton Co 17,154 659,373 Mondelez International Inc 32,934 1,354,270 Mosaic Co/The 15,930 655,403 First Republic Bank 21,206 1,271,565 Cardinal Health Inc 7,502 646,370 Google Inc - Class C 2,225 1,259,935 Michael Kors Holdings Ltd 10,371 644,959 Veeco Instruments Inc 41,967 1,258,955 SLM Corp 61,524 615,911 Akamai Technologies Inc 16,595 1,239,043 Raymond James Financial Inc 10,432 608,568 Bristol-Myers Squibb Co 18,100 1,225,021 Apple Inc 4,941 604,971 Amazon.com Inc 2,689 1,195,300 Boston Scientific Corp 30,713 562,421 Mylan NV 21,414 1,138,746 Arrow Electronics Inc 8,979 552,935 Intercontinental Exchange Inc 4,694 1,109,863 Isis Pharmaceuticals Inc 8,748 539,687 Methode Electronics Inc 35,651 1,104,887 Universal Display Corp 25,915 1,103,615 CF Industries Holdings Inc 19,773 1,004,566 Xilinx Inc 21,190 999,918 BlackRock Inc 3,196 981,883 Amphenol Corp 16,865 969,535 Ulta Salon Cosmetics & Fragrance Inc 5,913 945,586 Ciena Corp 45,299 940,895

415 MANAGER AND OTHER INFORMATION

REGISTERED OFFICE Center Square Investment Management, Inc 630 W. Germanstown Pike Guild House, Guild Street Suite 300 IFSC, Dublin 1 Plymouth Meeting PA 19462 Ireland United States of America

THE DIRECTORS* Oddo Meriten Asset Management GmbH* Herzogstraße 15 The Directors of the Company are as follows: 40217 Duesseldorf David Dillon (Irish)** Germany David Turnbull (New Zealand) Enrico Floridi (Italian) * Please refer to Note 20 of the financial statements (resigned 31 March 2015)^+ Greg Brisk (British) Insight Investment Management (Global) Limited Jonathan Lubran (British) BNY Mellon Centre Michael Meagher (Irish)^ 160 Queen Victoria Street London EC4V 4LA * All Directors are non-executive Directors United Kingdom ** Chairman of the Board of Directors ^ Independent Director Alcentra NY, LLC + Please refer to Note 20 of the financial statements 200 Park Avenue 7th floor, New York MANAGER NY 10166 United States of America BNY Mellon Global Management Limited 33 Sir John Rogerson’s Quay EACM Advisors LLC Dublin 2, Ireland 200 Connecticut Avenue, Suite 700 INVESTMENT MANAGERS, SUB-INVESTMENT MANAGERS Norwalk CT 06854-1958 AND DELEGATED INVESTMENT MANAGERS United States of America

Mellon Capital Management Corporation ADMINISTRATOR, REGISTRAR & TRANSFER AGENT 50 Fremont Street Suite 3900 BNY Mellon Fund Services (Ireland) San Francisco CA 94105 Designated Activity Company^ United States of America Guild House, Guild Street IFSC, Dublin 1 The Boston Company Asset Management, LLC Ireland One Boston Place 14th Floor, Suite 024-0141 ^ Please refer to Note 21 of the financial statements Boston MA 02108-4408 United States of America SECRETARY Newton Investment Management Limited BNY Mellon Centre Tudor Trust Limited 160 Queen Victoria Street 33 Sir John Rogerson’s Quay London EC4V 4LA Dublin 2, Ireland United Kingdom LEGAL ADVISOR TO THE COMPANY Standish Mellon Asset Management Company, LLC BNY Mellon Centre Dillon Eustace 201 Washington Street, Suite 2900 33 Sir John Rogerson’s Quay Boston MA 02108-4408 Dublin 2, Ireland United States of America INDEPENDENT AUDITORS Walter Scott & Partners Limited One Charlotte Square Ernst & Young Edinburgh EH2 4DR Chartered Accountants & Registered Auditors Scotland Harcourt Centre United Kingdom Harcourt Street Dublin 2, Ireland ARX Investimentos Ltda Avenida Borges de Medeiros, 633, CUSTODIAN 4th floor, Leblon Rio de Janeiro, R.J. 22430-041 BNY Mellon Trust Company (Ireland) Limited Brazil Guild House, Guild Street IFSC, Dublin 1 BNY Mellon Asset Management Japan Limited Ireland Maranouchi Trust Tower Main 1-8-3 Maranouchi GLOBAL DISTRIBUTOR AND PROMOTER Chiyoda-ku Tokyo 100-005 BNY Mellon Investment Management EMEA Limited Japan BNY Mellon Centre 160 Queen Victoria Street Blackfriars Asset Management Limited London EC4V 4LA 9 Cloak Lane United Kingdom London EC4R 2RU United Kingdom

416 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 to the “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 or implied, to any purchaser or any prospective purchaser of the 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, or by a direct or indirect holding of more than 10% of the 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.

417

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