N-CSRS 1 lp1763.htm SEMI-ANNUAL REPORT

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-05719
   
  BNY Mellon Stock Index Fund, Inc.  
  (Exact name of Registrant as specified in charter)  
     
 

 

c/o BNY Mellon Investment Adviser, Inc.

240 Greenwich Street

New York, New York 10286

 
  (Address of principal executive offices)        (Zip code)  
     
 

Deirdre Cunnane, Esq.

240 Greenwich Street

New York, New York 10286

 
  (Name and address of agent for service)  
 
Registrant's telephone number, including area code:   (212) 922-6400
   

Date of fiscal year end:

 

12/31  
Date of reporting period:

06/30/2021

 

 
             

 

 

 

 
 

 

FORM N-CSR

Item 1.Reports to Stockholders.

 

BNY Mellon Stock Index Fund, Inc.

 

SEMIANNUAL REPORT

June 30, 2021

 

 
 

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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds.

 

Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value

 

Contents

THE FUND

  

Discussion of Fund Performance

2

Understanding Your Fund’s Expenses

5

Comparing Your Fund’s Expenses
With Those of Other Funds

5

Statement of Investments

6

Statement of Investments
in Affiliated Issuers

21

Statement of Futures

22

Statement of Assets and Liabilities

23

Statement of Operations

24

Statement of Changes in Net Assets

25

Financial Highlights

26

Notes to Financial Statements

28

Information About the Renewal of
the Fund’s Management and
Index Management Agreements

41

Liquidity Risk Management Program

45

FOR MORE INFORMATION

 

Back Cover

 

DISCUSSION OF FUND PERFORMANCE (Unaudited)

For the period from January 1, 2021 through June 30, 2021, as provided by David France, CFA, Todd Frysinger, CFA, Vlasta Sheremeta, CFA, Michael Stoll and Marlene Walker Smith, Portfolio Managers

Market and Fund Performance Overview

For the six-month period ended June 30, 2021, BNY Mellon Stock Index Fund, Inc.’s Initial Shares produced a total return of 15.13%, and its Service Shares produced a total return of 14.98%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, produced a total return of 15.25% for the same period.2,3

U.S. equities posted strong gains over the reporting period as COVID-19 restrictions were eased, and previously stricken segments of the economy began to recover. Large-cap stocks generally underperformed their small- and mid-cap counterparts. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

The Fund’s Investment Approach

The fund seeks to match the total return of the Index. To pursue its goal, the fund generally is fully invested in stocks included in the Index. The fund generally invests in all 500 stocks in the Index in proportion to their weighting in the Index. The fund may also use stock index futures contracts, whose performance is tied to the Index, or invest in exchange-traded funds, typically when the fund’s available cash balances cannot otherwise be efficiently or effectively invested directly.

Equities Gain as the Pandemic Wanes

Stocks gained ground as the coronavirus pandemic showed signs of easing during the first quarter of 2021. Although fresh lockdowns were enforced across several major economies, the accelerating rollout of COVID-19 vaccination programs and the promising results witnessed in the countries most advanced in this process bolstered the risk appetite of investors and encouraged them to discount wider economic reopening expected later in 2021. Among equities, strength shifted from momentum to value as investors once again took notice of quality and fundamentals rather than seeking growth at any price. Cyclical sectors saw the greatest gains, with energy stocks rising sharply on increasing oil and gas prices. By contrast, the influence of monetary accommodation, which undoubtedly provided critical support for financial asset prices, took a somewhat different turn. With reflation underway and an elevated pace of growth expected in the second half of the year, investors began to anticipate a dialing back of the exceptional levels of monetary stimulus witnessed over the prior 12 months. This contributed to a sharp rise in government bond yields during the review period, with the long end of the U.S. Treasury market experiencing its worst quarter since 1980. The nature of fiscal stimulus also continued to evolve as President Biden formally announced his long-awaited $2 trillion infrastructure program to underpin and accelerate the U.S. recovery while also encompassing more strategic goals.

U.S. equity markets proceeded to deliver another quarter of gains from April through June 2021, drawing strength from an impressive slate of U.S. economic data, robust corporate earnings and further evidence that vaccination programs were paving the way for a full reopening of economies. Investors shifted focus back to growth over value without abandoning their renewed appreciation for company fundamentals. The inflation debate

2

 

remained a high-profile and contentious issue, with a series of elevated data points prompting many to question the narrative that this phase would be transitory. The inextricable linkage between interest rates and the direction of monetary policy further affected investor sentiment. Significantly, the two brief bouts of equity market weakness experienced during the review period, first at the start of May, and then toward the end of the quarter, were both prompted by the airing of more hawkish commentary from U.S. Treasury Secretary Janet Yellen, later echoed by some of her former colleagues at the Federal Reserve (Fed). Against this backdrop, markets saw a retracement in longer-dated government-bond yields, which had climbed sharply higher in the first quarter. This downward move was exacerbated in late June by Fed members’ comments, which caused investors to discount a weaker outlook for medium-term growth.

Reopening Underpins Broad Market Strength

Despite ongoing inflation concerns, transportation bottlenecks and labor market shortages, the reopening of the U.S. economy broadly bolstered the U.S. equity market, with all eleven sectors of the Index generating positive returns. Of course, some sectors appreciated more strongly than others. Energy led the market’s rise on the strength of rapidly increasing oil and gas prices. Financials also outperformed the broader market as rising interest rates and a steeper yield curve improved balance sheets and enhanced revenues for diversified, regional and investment banks. Robust housing demand supported residential real estate markets, although commercial real estate lagged as traffic in shopping centers and office towers remained below pre-pandemic levels, despite improvements. Information technology stocks, which had led the market’s rise in 2020, slowed their advance; however, the software, semiconductor and IT services subsectors continued to outperform. As the largest sector in the Index, information technology contributed most to the total return of the Index and fund during the period.

While no sectors generated negative returns, utilities significantly lagged the broader market. Several issues confronted the sector’s constituents. Many utility stocks, which had performed relatively well at the height of the pandemic, entered the period sporting relatively high valuations. The severe winter storm that hobbled much of Texas’ electric grid in March 2021 raised awareness of the infrastructure challenges facing the industry. Increasing oil and gas prices weighed on the earnings potential of many companies. Finally, rising interest rates made high dividend payouts, a feature of many of the sector’s stocks, less attractive. Consumer staples, another sector that had performed well in 2020, also lagged in the first half of 2021 as investors sought greater growth opportunities in other sectors.

Equities Positioned to Benefit from Continued Recovery

Although equity markets continue to face the challenges and uncertainties posed by COVID-19 variants, a heating domestic economy and lagging global partners, we believe the U.S. success in battling the pandemic has created a constructive environment for U.S. stocks.

3

 

DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)

We remain committed to managing the fund closely to reflect Index performance as events unfold.

July 15, 2021

1 DUE TO RECENT MARKET VOLATILITY, CURRENT PERFORMANCE MAY BE DIFFERENT THAN THE FIGURES SHOWN. Investors should note that the fund’s short-term performance is highly unusual, in part to unusually favorable market conditions, and is unlikely to be repeated or consistently achieved in the future. Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The fund’s performance does not reflect the deduction of additional charges and expenses imposed in connection with investing in variable insurance contracts, which will reduce returns.

2 Source: Lipper Inc. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Investors cannot invest directly in any index.

3 “Standard & Poor’s,” “S&P,” “Standard & Poor’s 500,”and “S&P 500” are trademarks of Standard & Poor’s Financial Services LLC (“Standard & Poor’s”) and have been licensed for use by the fund. The fund is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s does not make any representation regarding the advisability of investing in the fund.

Equities are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.

Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.

The fund may, but is not required to, use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.

The fund is only available as a funding vehicle under variable life insurance policies or variable annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund directly. A variable annuity is an insurance contract issued by an insurance company that enables investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals. The investment objective and policies of BNY Mellon Stock Index Fund, Inc. made available through insurance products may be similar to those of other funds managed by BNY Mellon Investment Adviser, Inc. However, the investment results of the fund may be higher or lower than, and may not be comparable to, those of any other BNY Mellon Investment Adviser, Inc. fund.

4

 

UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)

As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon Stock Index Fund, Inc. from January 1, 2021 to June 30, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

     

Expenses and Value of a $1,000 Investment

 

Assume actual returns for the six months ended June 30, 2021

 

 

 

 

 

 

 

 

Initial Shares

Service Shares

 

Expenses paid per $1,000

$1.44

$2.77

 

Ending value (after expenses)

$1,151.30

$1,149.80

 

COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)

Using the SEC’s method to compare expenses

The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

     

Expenses and Value of a $1,000 Investment

 

Assuming a hypothetical 5% annualized return for the six months ended June 30, 2021

 

 

 

 

 

 

 

 

Initial Shares

Service Shares

 

Expenses paid per $1,000

$1.35

$2.61

 

Ending value (after expenses)

$1,023.46

$1,022.22

 

Expenses are equal to the fund’s annualized expense ratio of .27% for Initial Shares and .52% for Service Shares, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

5

 

STATEMENT OF INVESTMENTS

June 30, 2021 (Unaudited)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9%

     

Automobiles & Components - 1.9%

     

Aptiv

   

24,026

a 

3,780,011

 

BorgWarner

   

21,472

 

1,042,251

 

Ford Motor

   

348,128

a 

5,173,182

 

General Motors

   

112,605

a 

6,662,838

 

Tesla

   

67,701

a 

46,016,370

 
    

62,674,652

 

Banks - 4.2%

     

Bank of America

   

662,136

 

27,299,867

 

Citigroup

   

181,253

 

12,823,650

 

Citizens Financial Group

   

38,700

 

1,775,169

 

Comerica

   

11,824

 

843,524

 

Fifth Third Bancorp

   

61,047

 

2,333,827

 

First Republic Bank

   

15,443

 

2,890,466

 

Huntington Bancshares

   

121,125

 

1,728,454

 

JPMorgan Chase & Co.

   

265,903

 

41,358,553

 

KeyCorp

   

87,551

 

1,807,928

 

M&T Bank

   

11,504

 

1,671,646

 

People's United Financial

   

38,126

 

653,480

 

Regions Financial

   

86,518

 

1,745,933

 

SVB Financial Group

   

4,680

a 

2,604,092

 

The PNC Financial Services Group

   

37,182

 

7,092,838

 

Truist Financial

   

117,646

 

6,529,353

 

U.S. Bancorp

   

119,622

 

6,814,865

 

Wells Fargo & Co.

   

362,663

 

16,425,007

 

Zions Bancorp

   

13,795

 

729,204

 
    

137,127,856

 

Capital Goods - 5.7%

     

3M

   

50,795

 

10,089,411

 

A.O. Smith

   

12,199

 

879,060

 

Allegion

   

8,254

 

1,149,782

 

AMETEK

   

20,060

 

2,678,010

 

Carrier Global

   

71,865

 

3,492,639

 

Caterpillar

   

48,397

 

10,532,639

 

Cummins

   

12,719

 

3,101,019

 

Deere & Co.

   

27,331

 

9,639,917

 

Dover

   

12,921

 

1,945,903

 

Eaton

   

34,813

 

5,158,590

 

Emerson Electric

   

53,344

 

5,133,827

 

Fastenal

   

51,472

 

2,676,544

 

Fortive

   

30,232

 

2,108,380

 

Fortune Brands Home & Security

   

12,458

 

1,240,941

 

6

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Capital Goods - 5.7% (continued)

     

Generac Holdings

   

5,416

a 

2,248,452

 

General Dynamics

   

20,084

 

3,781,014

 

General Electric

   

769,279

 

10,354,495

 

Honeywell International

   

60,909

 

13,360,389

 

Howmet Aerospace

   

35,006

a 

1,206,657

 

Huntington Ingalls Industries

   

3,633

 

765,655

 

IDEX

   

6,579

 

1,447,709

 

Illinois Tool Works

   

25,127

 

5,617,392

 

Ingersoll Rand

   

33,163

a 

1,618,686

 

Johnson Controls International

   

62,539

 

4,292,052

 

L3Harris Technologies

   

18,121

 

3,916,854

 

Lockheed Martin

   

21,416

 

8,102,744

 

Masco

   

21,722

 

1,279,643

 

Northrop Grumman

   

13,070

 

4,750,030

 

Otis Worldwide

   

35,072

 

2,867,837

 

PACCAR

   

30,769

 

2,746,133

 

Parker-Hannifin

   

11,240

 

3,451,916

 

Pentair

   

14,918

b 

1,006,816

 

Quanta Services

   

11,904

 

1,078,145

 

Raytheon Technologies

   

132,811

 

11,330,106

 

Rockwell Automation

   

10,429

 

2,982,903

 

Roper Technologies

   

9,340

 

4,391,668

 

Snap-on

   

4,748

 

1,060,846

 

Stanley Black & Decker

   

14,364

 

2,944,476

 

Teledyne Technologies

   

4,172

a 

1,747,359

 

Textron

   

20,588

 

1,415,837

 

The Boeing Company

   

48,190

a 

11,544,396

 

Trane Technologies

   

21,004

 

3,867,677

 

TransDigm Group

   

4,806

a 

3,110,876

 

United Rentals

   

6,313

a 

2,013,910

 

W.W. Grainger

   

3,824

 

1,674,912

 

Westinghouse Air Brake Technologies

   

15,991

 

1,316,059

 

Xylem

   

16,161

 

1,938,674

 
    

185,058,980

 

Commercial & Professional Services - .8%

     

Cintas

   

7,674

 

2,931,468

 

Copart

   

18,651

a 

2,458,761

 

Equifax

   

10,640

 

2,548,386

 

IHS Markit

   

33,475

 

3,771,294

 

Jacobs Engineering Group

   

11,798

 

1,574,089

 

Leidos Holdings

   

11,995

 

1,212,695

 

Nielsen Holdings

   

32,535

 

802,638

 

Republic Services

   

18,861

 

2,074,899

 

7

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Commercial & Professional Services - .8% (continued)

     

Robert Half International

   

10,267

 

913,455

 

Rollins

   

20,796

 

711,223

 

Verisk Analytics

   

14,285

 

2,495,875

 

Waste Management

   

33,911

 

4,751,270

 
    

26,246,053

 

Consumer Durables & Apparel - 1.2%

     

D.R. Horton

   

28,485

 

2,574,189

 

Garmin

   

13,374

 

1,934,415

 

Hanesbrands

   

34,088

 

636,423

 

Hasbro

   

11,430

 

1,080,364

 

Leggett & Platt

   

11,447

 

593,069

 

Lennar, Cl. A

   

23,921

 

2,376,551

 

Mohawk Industries

   

5,299

a 

1,018,415

 

Newell Brands

   

34,289

 

941,919

 

NIKE, Cl. B

   

111,875

 

17,283,569

 

NVR

   

310

a 

1,541,723

 

PulteGroup

   

22,964

 

1,253,145

 

PVH

   

6,819

a 

733,656

 

Ralph Lauren

   

4,329

 

509,999

 

Tapestry

   

24,883

a 

1,081,913

 

Under Armour, Cl. A

   

16,914

a 

357,731

 

Under Armour, Cl. C

   

16,990

a 

315,504

 

VF

   

28,675

 

2,352,497

 

Whirlpool

   

5,610

 

1,223,092

 
    

37,808,174

 

Consumer Services - 2.0%

     

Booking Holdings

   

3,632

a 

7,947,143

 

Caesars Entertainment

   

17,947

a 

1,862,001

 

Carnival

   

69,567

a,b 

1,833,786

 

Chipotle Mexican Grill

   

2,492

a 

3,863,447

 

Darden Restaurants

   

11,675

 

1,704,433

 

Domino's Pizza

   

3,533

 

1,648,109

 

Expedia Group

   

12,306

a 

2,014,615

 

Hilton Worldwide Holdings

   

24,217

a 

2,921,055

 

Las Vegas Sands

   

29,452

a 

1,551,826

 

Marriott International, Cl. A

   

23,841

a 

3,254,773

 

McDonald's

   

65,457

 

15,119,912

 

MGM Resorts International

   

36,763

 

1,567,942

 

Norwegian Cruise Line Holdings

   

30,239

a,b 

889,329

 

Penn National Gaming

   

12,810

a 

979,837

 

Royal Caribbean Cruises

   

19,530

a 

1,665,518

 

Starbucks

   

103,298

 

11,549,749

 

Wynn Resorts

   

8,483

a 

1,037,471

 

8

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Consumer Services - 2.0% (continued)

     

Yum! Brands

   

25,912

 

2,980,657

 
    

64,391,603

 

Diversified Financials - 5.1%

     

American Express

   

57,006

 

9,419,101

 

Ameriprise Financial

   

10,061

 

2,503,982

 

Berkshire Hathaway, Cl. B

   

166,502

a 

46,274,236

 

BlackRock

   

12,433

 

10,878,502

 

Capital One Financial

   

39,811

 

6,158,364

 

Cboe Global Markets

   

9,693

 

1,153,952

 

CME Group

   

31,417

 

6,681,768

 

Discover Financial Services

   

26,529

 

3,138,115

 

Franklin Resources

   

24,306

 

777,549

 

Intercontinental Exchange

   

49,203

 

5,840,396

 

Invesco

   

33,793

 

903,287

 

MarketAxess Holdings

   

3,419

 

1,585,014

 

Moody's

   

14,205

 

5,147,466

 

Morgan Stanley

   

130,497

 

11,965,270

 

MSCI

   

7,187

 

3,831,246

 

Nasdaq

   

9,918

 

1,743,584

 

Northern Trust

   

18,663

 

2,157,816

 

Raymond James Financial

   

11,099

 

1,441,760

 

S&P Global

   

21,330

 

8,754,898

 

State Street

   

30,183

 

2,483,457

 

Synchrony Financial

   

48,829

 

2,369,183

 

T. Rowe Price Group

   

19,782

 

3,916,243

 

The Bank of New York Mellon

   

70,298

 

3,601,367

 

The Charles Schwab

   

131,413

 

9,568,181

 

The Goldman Sachs Group

   

29,822

 

11,318,344

 
    

163,613,081

 

Energy - 2.8%

     

APA

   

33,862

 

732,435

 

Baker Hughes

   

62,685

 

1,433,606

 

Cabot Oil & Gas

   

35,923

 

627,216

 

Chevron

   

169,598

 

17,763,695

 

ConocoPhillips

   

119,107

 

7,253,616

 

Devon Energy

   

51,656

 

1,507,839

 

Diamondback Energy

   

16,042

 

1,506,183

 

EOG Resources

   

50,917

 

4,248,514

 

Exxon Mobil

   

371,654

 

23,443,934

 

Halliburton

   

77,333

 

1,787,939

 

Hess

   

23,760

 

2,074,723

 

Kinder Morgan

   

174,552

 

3,182,083

 

Marathon Oil

   

67,602

 

920,739

 

9

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Energy - 2.8% (continued)

     

Marathon Petroleum

   

55,811

 

3,372,101

 

NOV

   

36,875

a 

564,925

 

Occidental Petroleum

   

75,152

 

2,350,003

 

ONEOK

   

39,719

 

2,209,965

 

Phillips 66

   

38,117

 

3,271,201

 

Pioneer Natural Resources

   

20,553

 

3,340,274

 

Schlumberger

   

121,924

 

3,902,787

 

The Williams Companies

   

108,807

 

2,888,826

 

Valero Energy

   

36,567

 

2,855,151

 
    

91,237,755

 

Food & Staples Retailing - 1.3%

     

Costco Wholesale

   

38,782

 

15,344,874

 

Sysco

   

45,324

 

3,523,941

 

The Kroger Company

   

66,040

 

2,529,992

 

Walgreens Boots Alliance

   

62,456

 

3,285,810

 

Walmart

   

120,471

 

16,988,820

 
    

41,673,437

 

Food, Beverage & Tobacco - 3.0%

     

Altria Group

   

163,437

 

7,792,676

 

Archer-Daniels-Midland

   

50,135

 

3,038,181

 

Brown-Forman, Cl. B

   

16,370

 

1,226,768

 

Campbell Soup

   

18,615

 

848,658

 

Conagra Brands

   

41,304

 

1,502,640

 

Constellation Brands, Cl. A

   

14,810

 

3,463,911

 

General Mills

   

54,324

 

3,309,961

 

Hormel Foods

   

25,178

 

1,202,250

 

Kellogg

   

21,651

b 

1,392,809

 

Lamb Weston Holdings

   

13,124

 

1,058,582

 

McCormick & Co.

   

21,738

 

1,919,900

 

Molson Coors Beverage, Cl. B

   

16,874

a 

905,965

 

Mondelez International, Cl. A

   

124,064

 

7,746,556

 

Monster Beverage

   

33,128

a 

3,026,243

 

PepsiCo

   

121,240

 

17,964,131

 

Philip Morris International

   

136,682

 

13,546,553

 

The Coca-Cola Company

   

340,537

 

18,426,457

 

The Hershey Company

   

13,228

 

2,304,053

 

The J.M. Smucker Company

   

10,119

b 

1,311,119

 

The Kraft Heinz Company

   

56,202

 

2,291,918

 

Tyson Foods, Cl. A

   

26,616

 

1,963,196

 
    

96,242,527

 

Health Care Equipment & Services - 6.2%

     

Abbott Laboratories

   

155,925

 

18,076,385

 

ABIOMED

   

3,909

a 

1,220,038

 

10

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Health Care Equipment & Services - 6.2% (continued)

     

Align Technology

   

6,343

a 

3,875,573

 

AmerisourceBergen

   

13,128

 

1,503,025

 

Anthem

   

21,633

 

8,259,479

 

Baxter International

   

43,815

 

3,527,108

 

Becton Dickinson & Co.

   

25,436

 

6,185,781

 

Boston Scientific

   

124,171

a 

5,309,552

 

Cardinal Health

   

24,950

 

1,424,396

 

Centene

   

50,795

a 

3,704,479

 

Cerner

   

26,081

 

2,038,491

 

Cigna

   

30,030

 

7,119,212

 

CVS Health

   

116,267

 

9,701,318

 

Danaher

   

55,688

 

14,944,432

 

DaVita

   

6,555

a 

789,419

 

Dentsply Sirona

   

20,155

 

1,275,005

 

DexCom

   

8,541

a 

3,647,007

 

Edwards Lifesciences

   

54,339

a 

5,627,890

 

HCA Healthcare

   

22,948

 

4,744,270

 

Henry Schein

   

13,046

a 

967,883

 

Hologic

   

23,042

a 

1,537,362

 

Humana

   

11,269

 

4,989,012

 

IDEXX Laboratories

   

7,447

a 

4,703,153

 

Intuitive Surgical

   

10,433

a 

9,594,604

 

Laboratory Corp. of America Holdings

   

8,761

a 

2,416,722

 

McKesson

   

13,740

 

2,627,638

 

Medtronic

   

118,016

 

14,649,326

 

Quest Diagnostics

   

11,244

 

1,483,871

 

ResMed

   

12,761

 

3,145,842

 

Steris

   

8,659

 

1,786,352

 

Stryker

   

28,692

 

7,452,173

 

Teleflex

   

4,067

 

1,634,080

 

The Cooper Companies

   

4,439

 

1,759,043

 

UnitedHealth Group

   

82,879

 

33,188,067

 

Universal Health Services, Cl. B

   

7,043

 

1,031,306

 

West Pharmaceutical Services

   

6,401

 

2,298,599

 

Zimmer Biomet Holdings

   

18,407

 

2,960,214

 
    

201,198,107

 

Household & Personal Products - 1.5%

     

Church & Dwight

   

21,184

 

1,805,300

 

Colgate-Palmolive

   

75,083

 

6,108,002

 

Kimberly-Clark

   

29,823

 

3,989,721

 

The Clorox Company

   

10,755

 

1,934,932

 

The Estee Lauder Companies, Cl. A

   

20,226

 

6,433,486

 

11

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Household & Personal Products - 1.5% (continued)

     

The Procter & Gamble Company

   

214,983

 

29,007,656

 
    

49,279,097

 

Insurance - 1.8%

     

Aflac

   

54,970

 

2,949,690

 

American International Group

   

75,245

 

3,581,662

 

Aon, Cl. A

   

19,855

b 

4,740,580

 

Arthur J. Gallagher & Co.

   

17,245

 

2,415,680

 

Assurant

   

5,323

 

831,346

 

Chubb

   

39,331

 

6,251,269

 

Cincinnati Financial

   

13,422

 

1,565,274

 

Everest Re Group

   

3,592

 

905,220

 

Globe Life

   

8,525

 

812,006

 

Lincoln National

   

16,292

 

1,023,789

 

Loews

   

19,079

 

1,042,667

 

Marsh & McLennan

   

44,478

 

6,257,165

 

MetLife

   

65,317

 

3,909,222

 

Principal Financial Group

   

21,731

 

1,373,182

 

Prudential Financial

   

35,155

 

3,602,333

 

The Allstate

   

26,230

 

3,421,441

 

The Hartford Financial Services Group

   

31,275

 

1,938,112

 

The Progressive

   

51,513

 

5,059,092

 

The Travelers Companies

   

22,513

 

3,370,421

 

Unum Group

   

16,791

 

476,864

 

W.R. Berkley

   

12,445

 

926,281

 

Willis Towers Watson

   

11,558

 

2,658,571

 
    

59,111,867

 

Materials - 2.6%

     

Air Products & Chemicals

   

19,344

 

5,564,882

 

Albemarle

   

9,548

 

1,608,456

 

Amcor

   

140,644

 

1,611,780

 

Avery Dennison

   

7,441

 

1,564,396

 

Ball

   

28,465

 

2,306,234

 

Celanese

   

9,917

 

1,503,417

 

CF Industries Holdings

   

19,186

 

987,120

 

Corteva

   

64,077

 

2,841,815

 

Dow

   

65,769

 

4,161,862

 

DuPont de Nemours

   

46,666

 

3,612,415

 

Eastman Chemical

   

12,457

 

1,454,355

 

Ecolab

   

22,158

 

4,563,883

 

FMC

   

11,641

 

1,259,556

 

Freeport-McMoRan

   

129,396

 

4,801,886

 

International Flavors & Fragrances

   

21,549

 

3,219,421

 

International Paper

   

35,262

 

2,161,913

 

12

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Materials - 2.6% (continued)

     

Linde

   

45,621

 

13,189,031

 

LyondellBasell Industries, Cl. A

   

23,054

 

2,371,565

 

Martin Marietta Materials

   

5,585

 

1,964,859

 

Newmont

   

70,655

 

4,478,114

 

Nucor

   

25,969

 

2,491,206

 

Packaging Corp. of America

   

8,373

 

1,133,872

 

PPG Industries

   

20,653

 

3,506,260

 

Sealed Air

   

12,815

 

759,289

 

The Mosaic Company

   

30,949

 

987,583

 

The Sherwin-Williams Company

   

20,924

 

5,700,744

 

Vulcan Materials

   

11,989

 

2,086,925

 

WestRock

   

23,557

 

1,253,704

 
    

83,146,543

 

Media & Entertainment - 9.6%

     

Activision Blizzard

   

67,972

 

6,487,248

 

Alphabet, Cl. A

   

26,425

a 

64,524,301

 

Alphabet, Cl. C

   

25,019

a 

62,705,620

 

Charter Communications, Cl. A

   

12,063

a,b 

8,702,851

 

Comcast, Cl. A

   

402,482

 

22,949,524

 

Discovery, Cl. A

   

14,333

a,b 

439,736

 

Discovery, Cl. C

   

26,606

a 

771,042

 

DISH Network, Cl. A

   

23,159

a 

968,046

 

Electronic Arts

   

24,937

 

3,586,689

 

Facebook, Cl. A

   

210,542

a 

73,207,559

 

Fox, Cl. A

   

27,874

 

1,034,962

 

Fox, Cl. B

   

13,885

 

488,752

 

Live Nation Entertainment

   

12,512

a,b 

1,095,926

 

Netflix

   

38,919

a 

20,557,405

 

News Corporation, Cl. A

   

36,334

 

936,327

 

News Corporation, Cl. B

   

9,746

 

237,315

 

Omnicom Group

   

19,500

 

1,559,805

 

Take-Two Interactive Software

   

10,456

a 

1,850,921

 

The Interpublic Group of Companies

   

35,615

 

1,157,131

 

The Walt Disney Company

   

159,540

a 

28,042,346

 

Twitter

   

70,852

a 

4,875,326

 

ViacomCBS, Cl. B

   

50,676

 

2,290,555

 
    

308,469,387

 

Pharmaceuticals Biotechnology & Life Sciences - 6.6%

     

AbbVie

   

154,982

 

17,457,172

 

Agilent Technologies

   

26,839

 

3,967,073

 

Alexion Pharmaceuticals

   

19,256

a 

3,537,520

 

Amgen

   

50,376

 

12,279,150

 

Biogen

   

13,240

a 

4,584,615

 

13

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Pharmaceuticals Biotechnology & Life Sciences - 6.6% (continued)

     

Bio-Rad Laboratories, Cl. A

   

1,907

a 

1,228,661

 

Bristol-Myers Squibb

   

195,900

 

13,090,038

 

Catalent

   

15,375

a 

1,662,345

 

Charles River Laboratories International

   

4,454

a 

1,647,624

 

Eli Lilly & Co.

   

69,835

 

16,028,529

 

Gilead Sciences

   

109,783

 

7,559,657

 

Illumina

   

12,768

a 

6,041,945

 

Incyte

   

16,915

a 

1,423,059

 

IQVIA Holdings

   

17,039

a 

4,128,890

 

Johnson & Johnson

   

231,303

 

38,104,856

 

Merck & Co.

   

222,176

 

17,278,628

 

Mettler-Toledo International

   

2,033

a 

2,816,396

 

Organon & Co.

   

22,483

a 

680,336

 

PerkinElmer

   

10,040

 

1,550,276

 

Perrigo

   

13,029

 

597,380

 

Pfizer

   

491,268

 

19,238,055

 

Regeneron Pharmaceuticals

   

9,146

a 

5,108,407

 

Thermo Fisher Scientific

   

34,487

 

17,397,657

 

Vertex Pharmaceuticals

   

22,594

a 

4,555,628

 

Viatris

   

108,169

 

1,545,735

 

Waters

   

5,558

a 

1,920,900

 

Zoetis

   

41,566

 

7,746,240

 
    

213,176,772

 

Real Estate - 2.6%

     

Alexandria Real Estate Equities

   

11,541

c 

2,099,770

 

American Tower

   

39,854

c 

10,766,160

 

AvalonBay Communities

   

12,516

c 

2,611,964

 

Boston Properties

   

12,701

c 

1,455,408

 

CBRE Group, Cl. A

   

29,136

a 

2,497,829

 

Crown Castle International

   

37,831

c 

7,380,828

 

Digital Realty Trust

   

24,945

c 

3,753,225

 

Duke Realty

   

33,352

c 

1,579,217

 

Equinix

   

7,835

c 

6,288,371

 

Equity Residential

   

30,712

c 

2,364,824

 

Essex Property Trust

   

5,608

c 

1,682,456

 

Extra Space Storage

   

11,590

c 

1,898,674

 

Federal Realty Investment Trust

   

5,840

c 

684,273

 

Healthpeak Properties

   

48,552

c 

1,616,296

 

Host Hotels & Resorts

   

62,747

a,c 

1,072,346

 

Iron Mountain

   

24,628

b,c 

1,042,257

 

Kimco Realty

   

40,544

c 

845,342

 

Mid-America Apartment Communities

   

10,168

c 

1,712,495

 

14

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Real Estate - 2.6% (continued)

     

Prologis

   

65,500

c 

7,829,215

 

Public Storage

   

13,519

c 

4,065,028

 

Realty Income

   

31,595

c 

2,108,650

 

Regency Centers

   

14,769

c 

946,250

 

SBA Communications

   

9,600

c 

3,059,520

 

Simon Property Group

   

29,090

c 

3,795,663

 

UDR

   

26,413

c 

1,293,709

 

Ventas

   

33,713

c 

1,925,012

 

Vornado Realty Trust

   

14,071

c 

656,694

 

Welltower

   

37,349

b,c 

3,103,702

 

Weyerhaeuser

   

66,923

c 

2,303,490

 
    

82,438,668

 

Retailing - 7.0%

     

Advance Auto Parts

   

5,625

 

1,153,913

 

Amazon.com

   

37,675

a 

129,608,028

 

AutoZone

   

1,889

a 

2,818,804

 

Best Buy

   

19,390

 

2,229,462

 

CarMax

   

14,712

a 

1,900,055

 

Dollar General

   

20,769

 

4,494,204

 

Dollar Tree

   

20,069

a 

1,996,866

 

eBay

   

56,442

 

3,962,793

 

Etsy

   

11,301

a 

2,326,198

 

Genuine Parts

   

12,937

 

1,636,142

 

L Brands

   

21,095

 

1,520,106

 

LKQ

   

25,107

a 

1,235,767

 

Lowe's

   

61,977

 

12,021,679

 

O'Reilly Automotive

   

6,077

a 

3,440,858

 

Pool

   

3,463

 

1,588,340

 

Ross Stores

   

31,088

 

3,854,912

 

Target

   

43,358

 

10,481,363

 

The Gap

   

19,500

 

656,175

 

The Home Depot

   

93,369

 

29,774,440

 

The TJX Companies

   

105,539

 

7,115,439

 

Tractor Supply

   

10,445

 

1,943,397

 

Ulta Beauty

   

4,721

a 

1,632,380

 
    

227,391,321

 

Semiconductors & Semiconductor Equipment - 5.7%

     

Advanced Micro Devices

   

107,442

a 

10,092,027

 

Analog Devices

   

32,237

 

5,549,922

 

Applied Materials

   

80,445

 

11,455,368

 

Broadcom

   

35,826

 

17,083,270

 

Enphase Energy

   

11,681

a 

2,144,982

 

Intel

   

354,412

 

19,896,690

 

15

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Semiconductors & Semiconductor Equipment - 5.7% (continued)

     

KLA

   

13,613

 

4,413,471

 

Lam Research

   

12,488

 

8,125,942

 

Maxim Integrated Products

   

23,968

a 

2,525,268

 

Microchip Technology

   

24,329

 

3,643,024

 

Micron Technology

   

99,210

a 

8,430,866

 

Monolithic Power Systems

   

3,420

 

1,277,199

 

NVIDIA

   

54,727

 

43,787,073

 

NXP Semiconductors

   

23,869

 

4,910,331

 

Qorvo

   

9,762

a 

1,909,935

 

Qualcomm

   

98,936

 

14,140,922

 

Skyworks Solutions

   

14,346

 

2,750,846

 

Teradyne

   

14,554

 

1,949,654

 

Texas Instruments

   

81,020

 

15,580,146

 

Xilinx

   

21,592

 

3,123,067

 
    

182,790,003

 

Software & Services - 13.9%

     

Accenture, Cl. A

   

55,771

 

16,440,733

 

Adobe

   

41,966

a 

24,576,968

 

Akamai Technologies

   

14,056

a 

1,638,930

 

Ansys

   

7,756

a 

2,691,797

 

Autodesk

   

19,234

a 

5,614,405

 

Automatic Data Processing

   

37,572

 

7,462,551

 

Broadridge Financial Solutions

   

10,366

 

1,674,420

 

Cadence Design Systems

   

24,811

a 

3,394,641

 

Citrix Systems

   

10,680

 

1,252,444

 

Cognizant Technology Solutions, Cl. A

   

45,911

 

3,179,796

 

DXC Technology

   

21,582

a 

840,403

 

Fidelity National Information Services

   

54,289

 

7,691,123

 

Fiserv

   

52,058

a 

5,564,480

 

FLEETCOR Technologies

   

7,501

a 

1,920,706

 

Fortinet

   

11,785

a 

2,807,069

 

Gartner

   

7,451

a 

1,804,632

 

Global Payments

   

26,109

 

4,896,482

 

International Business Machines

   

78,329

 

11,482,248

 

Intuit

   

23,957

 

11,743,003

 

Jack Henry & Associates

   

6,845

 

1,119,226

 

Mastercard, Cl. A

   

76,814

 

28,044,023

 

Microsoft

   

661,970

 

179,327,673

 

NortonLifeLock

   

52,265

 

1,422,653

 

Oracle

   

159,289

 

12,399,056

 

Paychex

   

28,685

 

3,077,901

 

Paycom Software

   

4,269

a 

1,551,653

 

16

 
        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Software & Services - 13.9% (continued)

     

PayPal Holdings

   

103,159

a 

30,068,785

 

PTC

   

8,297

a 

1,172,034

 

salesforce.com

   

81,273

a 

19,852,556

 

ServiceNow

   

17,388

a 

9,555,575

 

Synopsys

   

13,586

a 

3,746,883

 

The Western Union Company

   

36,990

 

849,660

 

Tyler Technologies

   

3,632

a 

1,643,008

 

Verisign

   

8,573

a 

1,951,986

 

Visa, Cl. A

   

148,589

b 

34,743,080

 
    

447,202,583

 

Technology Hardware & Equipment - 7.6%

     

Amphenol, Cl. A

   

52,069

 

3,562,040

 

Apple

   

1,378,729

 

188,830,724

 

Arista Networks

   

4,972

a 

1,801,405

 

CDW

   

12,331

 

2,153,609

 

Cisco Systems

   

369,861

 

19,602,633

 

Corning

   

69,268

 

2,833,061

 

F5 Networks

   

5,312

a 

991,538

 

Hewlett Packard Enterprise

   

117,102

 

1,707,347

 

HP

   

105,153

 

3,174,569

 

IPG Photonics

   

3,099

a 

653,176

 

Juniper Networks

   

29,613

 

809,916

 

Keysight Technologies

   

16,062

a 

2,480,133

 

Motorola Solutions

   

15,177

 

3,291,132

 

NetApp

   

20,237

 

1,655,791

 

Seagate Technology Holdings

   

18,047

 

1,586,873

 

TE Connectivity

   

29,458

 

3,983,016

 

Trimble

   

20,716

a 

1,695,190

 

Western Digital

   

27,282

a 

1,941,660

 

Zebra Technologies, Cl. A

   

4,781

a 

2,531,492

 
    

245,285,305

 

Telecommunication Services - 1.5%

     

AT&T

   

626,552

 

18,032,167

 

Lumen Technologies

   

88,546

 

1,203,340

 

T-Mobile US

   

51,296

a 

7,429,200

 

Verizon Communications

   

363,376

 

20,359,957

 
    

47,024,664

 

Transportation - 1.9%

     

Alaska Air Group

   

11,811

a 

712,321

 

American Airlines Group

   

58,039

a,b 

1,231,007

 

C.H. Robinson Worldwide

   

12,193

 

1,142,118

 

CSX

   

200,404

 

6,428,960

 

Delta Air Lines

   

57,176

a 

2,473,434

 

17

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 98.9% (continued)

     

Transportation - 1.9% (continued)

     

Expeditors International of Washington

   

15,200

 

1,924,320

 

FedEx

   

21,575

 

6,436,470

 

J.B. Hunt Transport Services

   

7,549

 

1,230,110

 

Kansas City Southern

   

7,946

 

2,251,658

 

Norfolk Southern

   

21,876

 

5,806,109

 

Old Dominion Freight Line

   

8,234

 

2,089,789

 

Southwest Airlines

   

52,923

a 

2,809,682

 

Union Pacific

   

58,252

 

12,811,362

 

United Airlines Holdings

   

26,794

a,b 

1,401,058

 

United Parcel Service, Cl. B

   

63,851

 

13,279,092

 
    

62,027,490

 

Utilities - 2.4%

     

Alliant Energy

   

22,394

 

1,248,689

 

Ameren

   

22,213

 

1,777,929

 

American Electric Power

   

44,187

 

3,737,778

 

American Water Works

   

15,747

 

2,427,085

 

Atmos Energy

   

11,178

 

1,074,318

 

CenterPoint Energy

   

48,866

 

1,198,194

 

CMS Energy

   

25,378

 

1,499,332

 

Consolidated Edison

   

30,239

 

2,168,741

 

Dominion Energy

   

71,242

 

5,241,274

 

DTE Energy

   

17,353

 

2,248,949

 

Duke Energy

   

67,296

 

6,643,461

 

Edison International

   

34,401

 

1,989,066

 

Entergy

   

18,170

 

1,811,549

 

Evergy

   

20,340

 

1,229,146

 

Eversource Energy

   

29,795

 

2,390,751

 

Exelon

   

86,867

 

3,849,077

 

FirstEnergy

   

48,943

 

1,821,169

 

NextEra Energy

   

171,997

 

12,603,940

 

NiSource

   

35,072

 

859,264

 

NRG Energy

   

21,813

 

879,064

 

Pinnacle West Capital

   

10,098

 

827,733

 

PPL

   

68,929

 

1,927,944

 

Public Service Enterprise Group

   

45,353

 

2,709,388

 

Sempra Energy

   

27,973

 

3,705,863

 

The AES

   

58,092

 

1,514,458

 

The Southern Company

   

92,535

 

5,599,293

 

WEC Energy Group

   

28,259

 

2,513,638

 

Xcel Energy

   

47,685

 

3,141,488

 
    

78,638,581

 

Total Common Stocks (cost $771,811,745)

   

3,193,254,506

 

18

 
        
 

Description

   

Principal Amount ($)

 

Value ($)

 

Short-Term Investments - .0%

     

U.S. Treasury Bills - .0%

     

0.03%, 5/19/2022

   

241,000

d,e 

240,862

 

0.01%, 12/2/2021

   

260,000

d,e 

259,948

 

Total Short-Term Investments (cost $500,910)

   

500,810

 
  

1-Day
Yield (%)

 

Shares

   

Investment Companies - .0%

     

Registered Investment Companies - .0%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $39,051)

 

0.05

 

39,051

f 

 39,051

 
        

Investment of Cash Collateral for Securities Loaned - .1%

     

Registered Investment Companies - .1%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares
(cost $1,067,323)

 

0.01

 

1,067,323

f 

 1,067,323

 

Total Investments (cost $773,419,029)

 

99.0%

 

3,194,861,690

 

Cash and Receivables (Net)

 

1.0%

 

33,052,684

 

Net Assets

 

100.0%

 

3,227,914,374

 

a Non-income producing security.

b Security, or portion thereof, on loan. At June 30, 2021, the value of the fund’s securities on loan was $61,980,014 and the value of the collateral was $63,834,712, consisting of cash collateral of $1,067,323 and U.S. Government & Agency securities valued at $62,767,389.

c Investment in real estate investment trust within the United States.

d Held by a counterparty for open exchange traded derivative contracts.

e Security is a discount security. Income is recognized through the accretion of discount.

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

19

 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

  

Portfolio Summary (Unaudited)

Value (%)

Information Technology

27.0

Health Care

12.8

Consumer Discretionary

12.2

Financials

11.2

Communication Services

11.0

Industrials

8.5

Consumer Staples

5.8

Energy

2.8

Materials

2.6

Real Estate

2.6

Utilities

2.4

Investment Companies

.1

Government

.0

 

99.0

 Based on net assets.

See notes to financial statements.

20

 

STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)

          

Investment Companies

Value
12/31/20 ($)

Purchases ($)

Sales ($)

Value
6/30/21 ($)

Net
Assets(%)

Dividends/
Distributions ($)

Registered Investment Companies;

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares

25,721,600

213,640,217

(239,322,766)

39,051

.0

7,561

Investment of Cash Collateral for Securities Loaned;

Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares

1,462,673

13,032,374

(13,427,724)

1,067,323

.1

69,103††

Total

27,184,273

226,672,591

(252,750,490)

1,106,374

.1

76,664

 Included reinvested dividends/distributions.

†† Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

See notes to financial statements.

21

 

STATEMENT OF FUTURES

June 30, 2021 (Unaudited)

       

Description

Number of
Contracts

Expiration

Notional
Value ($)

Market
Value ($)

Unrealized Appreciation ($)

 

Futures Long

  

Standard & Poor's 500 E-mini

163

9/17/2021

34,943,845

34,952,090

8,245

 

Gross Unrealized Appreciation

 

8,245

 

See notes to financial statements.

22

 

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2021 (Unaudited)

       

 

 

 

 

 

 

 

 

 

 

Cost

 

Value

 

Assets ($):

 

 

 

 

Investments in securities—See Statement of Investments
(including securities on loan, valued at $61,980,014)—Note 1(c):

 

 

 

Unaffiliated issuers

772,312,655

 

3,193,755,316

 

Affiliated issuers

 

1,106,374

 

1,106,374

 

Receivable for investment securities sold

 

45,518,554

 

Dividends and securities lending income receivable

 

1,896,749

 

Receivable for shares of Common Stock subscribed

 

934,529

 

Cash collateral held by broker—Note 4

 

200,000

 

Receivable for futures variation margin—Note 4

 

10,974

 

Prepaid expenses

 

 

 

 

16,429

 

 

 

 

 

 

3,243,438,925

 

Liabilities ($):

 

 

 

 

Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c)

 

700,246

 

Cash overdraft due to Custodian

 

 

 

 

12,392

 

Note payable—Note 2

 

12,600,000

 

Liability for securities on loan—Note 1(c)

 

1,067,323

 

Payable for shares of Common Stock redeemed

 

990,436

 

Directors’ fees and expenses payable

 

15,665

 

Interest payable—Note 2

 

420

 

Other accrued expenses

 

 

 

 

138,069

 

 

 

 

 

 

15,524,551

 

Net Assets ($)

 

 

3,227,914,374

 

Composition of Net Assets ($):

 

 

 

 

Paid-in capital

 

 

 

 

766,310,136

 

Total distributable earnings (loss)

 

 

 

 

2,461,604,238

 

Net Assets ($)

 

 

3,227,914,374

 

    

Net Asset Value Per Share

Initial Shares

Service Shares

 

Net Assets ($)

3,022,415,791

205,498,583

 

Shares Outstanding

43,080,001

2,924,273

 

Net Asset Value Per Share ($)

70.16

70.27

 

 

 

 

 

See notes to financial statements.

 

 

 

23

 

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2021 (Unaudited)

       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Income ($):

 

 

 

 

Income:

 

 

 

 

Cash dividends (net of $2,014 foreign taxes withheld at source):

 

Unaffiliated issuers

 

 

22,210,081

 

Affiliated issuers

 

 

7,561

 

Income from securities lending—Note 1(c)

 

 

69,103

 

Interest

 

 

258

 

Total Income

 

 

22,287,003

 

Expenses:

 

 

 

 

Management fee—Note 3(a)

 

 

3,732,809

 

Distribution fees—Note 3(b)

 

 

248,549

 

Directors’ fees and expenses—Note 3(d)

 

 

88,379

 

Professional fees

 

 

55,718

 

Prospectus and shareholders’ reports

 

 

46,485

 

Loan commitment fees—Note 2

 

 

41,027

 

Chief Compliance Officer fees—Note 3(c)

 

 

7,862

 

Shareholder servicing costs—Note 3(c)

 

 

5,945

 

Registration fees

 

 

3,897

 

Interest expense—Note 2

 

 

843

 

Miscellaneous

 

 

64,193

 

Total Expenses

 

 

4,295,707

 

Investment Income—Net

 

 

17,991,296

 

Realized and Unrealized Gain (Loss) on Investments—Note 4 ($):

 

 

Net realized gain (loss) on investments

63,108,828

 

Net realized gain (loss) on futures

4,351,687

 

Net Realized Gain (Loss)

 

 

67,460,515

 

Net change in unrealized appreciation (depreciation) on investments

347,444,490

 

Net change in unrealized appreciation (depreciation) on futures

(440,628)

 

Net Change in Unrealized Appreciation (Depreciation)

 

 

347,003,862

 

Net Realized and Unrealized Gain (Loss) on Investments

 

 

414,464,377

 

Net Increase in Net Assets Resulting from Operations

 

432,455,673

 

 

 

 

 

 

 

 

See notes to financial statements.

     

24

 

STATEMENT OF CHANGES IN NET ASSETS

          

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
June 30, 2021 (Unaudited)

 

Year Ended
December 31, 2020

 

Operations ($):

 

 

 

 

 

 

 

 

Investment income—net

 

 

17,991,296

 

 

 

39,743,050

 

Net realized gain (loss) on investments

 

67,460,515

 

 

 

142,547,472

 

Net change in unrealized appreciation
(depreciation) on investments

 

347,003,862

 

 

 

254,958,429

 

Net Increase (Decrease) in Net Assets
Resulting from Operations

432,455,673

 

 

 

437,248,951

 

Distributions ($):

 

Distributions to shareholders:

 

 

 

 

 

 

 

 

Initial Shares

 

 

(148,166,160)

 

 

 

(190,467,079)

 

Service Shares

 

 

(10,118,268)

 

 

 

(13,439,481)

 

Total Distributions

 

 

(158,284,428)

 

 

 

(203,906,560)

 

Capital Stock Transactions ($):

 

Net proceeds from shares sold:

 

 

 

 

 

 

 

 

Initial Shares

 

 

218,922,144

 

 

 

531,679,211

 

Service Shares

 

 

892,060

 

 

 

7,861,241

 

Distributions reinvested:

 

 

 

 

 

 

 

 

Initial Shares

 

 

148,166,160

 

 

 

190,467,079

 

Service Shares

 

 

10,118,268

 

 

 

13,439,481

 

Cost of shares redeemed:

 

 

 

 

 

 

 

 

Initial Shares

 

 

(319,215,566)

 

 

 

(668,391,379)

 

Service Shares

 

 

(19,244,930)

 

 

 

(35,899,939)

 

Increase (Decrease) in Net Assets
from Capital Stock Transactions

39,638,136

 

 

 

39,155,694

 

Total Increase (Decrease) in Net Assets

313,809,381

 

 

 

272,498,085

 

Net Assets ($):

 

Beginning of Period

 

 

2,914,104,993

 

 

 

2,641,606,908

 

End of Period

 

 

3,227,914,374

 

 

 

2,914,104,993

 

Capital Share Transactions (Shares):

 

Initial Shares

 

 

 

 

 

 

 

 

Shares sold

 

 

3,301,694

 

 

 

9,433,682

 

Shares issued for distributions reinvested

 

 

2,275,000

 

 

 

4,161,926

 

Shares redeemed

 

 

(4,793,247)

 

 

 

(12,123,173)

 

Net Increase (Decrease) in Shares Outstanding

783,447

 

 

 

1,472,435

 

Service Shares

 

 

 

 

 

 

 

 

Shares sold

 

 

13,357

 

 

 

154,812

 

Shares issued for distributions reinvested

 

 

155,246

 

 

 

294,503

 

Shares redeemed

 

 

(286,676)

 

 

 

(640,318)

 

Net Increase (Decrease) in Shares Outstanding

(118,073)

 

 

 

(191,003)

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements.

        

25

 

FINANCIAL HIGHLIGHTS

The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts. These figures have been derived from the fund’s financial statements.

       
   

Six Months Ended

 
 

June 30, 2021

Year Ended December 31,

Initial Shares

(Unaudited)

2020

2019

2018

2017

2016

Per Share Data ($):

      

Net asset value,
beginning of period

64.27

59.95

48.98

53.48

45.86

43.42

Investment Operations:

      

Investment income—neta

.40

.88

.96

.89

.85

.83

Net realized and unrealized
gain (loss) on investments

9.04

8.01

13.79

(3.27)

8.79

4.04

Total from
Investment Operations

9.44

8.89

14.75

(2.38)

9.64

4.87

Distributions:

      

Dividends from
investment income—net

(.39)

(.90)

(.95)

(.90)

(.85)

(.88)

Dividends from net realized
gain on investments

(3.16)

(3.67)

(2.83)

(1.22)

(1.17)

(1.55)

Total Distributions

(3.55)

(4.57)

(3.78)

(2.12)

(2.02)

(2.43)

Net asset value, end of period

70.16

64.27

59.95

48.98

53.48

45.86

Total Return (%)

15.13b

18.01

31.18

(4.63)

21.53

11.71

Ratios/Supplemental Data (%):

     

Ratio of total expenses
to average net assets

.27c

.27

.27

.27

.27

.27

Ratio of net investment income
to average net assets

1.20c

1.57

1.75

1.65

1.71

1.91

Portfolio Turnover Rate

2.47b

3.58

2.94

3.69

2.90

3.87

Net Assets,
end of period ($ x 1,000)

3,022,416

2,718,274

2,447,498

2,089,485

2,344,944

2,001,468

a Based on average shares outstanding.

b Not annualized.

c Annualized.

See notes to financial statements.

26

 
       
   
 

Six Months Ended

 
 

June 30, 2021

Year Ended December 31,

Service Shares

(Unaudited)

2020

2019

2018

2017

2016

Per Share Data ($):

      

Net asset value,
beginning of period

64.37

60.03

49.05

53.54

45.91

43.47

Investment Operations:

      

Investment income—neta

.32

.74

.82

.76

.72

.72

Net realized and unrealized
gain (loss) on investments

9.05

8.02

13.80

(3.27)

8.81

4.04

Total from
Investment Operations

9.37

8.76

14.62

(2.51)

9.53

4.76

Distributions:

      

Dividends from
investment income—net

(.31)

(.75)

(.81)

(.76)

(.73)

(.77)

Dividends from net realized
gain on investments

(3.16)

(3.67)

(2.83)

(1.22)

(1.17)

(1.55)

Total Distributions

(3.47)

(4.42)

(3.64)

(1.98)

(1.90)

(2.32)

Net asset value, end of period

70.27

64.37

60.03

49.05

53.54

45.91

Total Return (%)

14.98b

17.71

30.84

(4.85)

21.22

11.44

Ratios/Supplemental Data (%):

      

Ratio of total expenses
to average net assets

.52c

.52

.52

.52

.52

.52

Ratio of net investment income
to average net assets

.95c

1.32

1.50

1.40

1.46

1.66

Portfolio Turnover Rate

2.47b

3.58

2.94

3.69

2.90

3.87

Net Assets,
end of period ($ x 1,000)

205,499

195,831

194,109

172,424

208,762

200,670

a Based on average shares outstanding.

b Not annualized.

c Annualized.

See notes to financial statements.

27

 

NOTES TO FINANCIAL STATEMENTS (Unaudited)

NOTE 1—Significant Accounting Policies:

BNY Mellon Stock Index Fund, Inc. (the “fund”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), is a non-diversified open-end management investment company. The fund is only offered to separate accounts established by insurance companies to fund variable annuity contracts and variable life insurance policies. The fund’s investment objective is to seek to match the total return of the S&P 500® Index. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Mellon Investments Corporation, a wholly-owned subsidiary of BNY Mellon and an affiliate of the Adviser, which serves as the fund’s index manager (the “Index Manager”).

BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold without a sales charge. The fund is authorized to issue 400 million shares of $.001 par value Common Stock in each of the following classes of shares: Initial shares (250 million shares authorized) and Service shares (150 million shares authorized). Initial shares are subject to a Shareholder Services Plan fee and Service shares are subject to a Distribution Plan fee. Each class of shares has identical rights and privileges, except with respect to the Distribution Plan, Shareholder Services Plan and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

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

The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The

28

 

fund does not anticipate recognizing any loss related to these arrangements.

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

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

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

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

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

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

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

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

Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset

29

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.

Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the fund’s Board of Directors (the “Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.

The Service is engaged under the general oversight of the Board.

Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.

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

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

Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.

The following is a summary of the inputs used as of June 30, 2021 in valuing the fund’s investments:

30

 
       
 

Level 1-Unadjusted Quoted Prices

Level 2- Other Significant Observable Inputs

 

Level 3-Significant Unobservable Inputs

Total

 

Assets ($)

  

Investments In Securities:

  

Equity Securities - Common Stocks

3,193,254,506

-

 

-

3,193,254,506

 

Investment Companies

1,106,374

-

 

-

1,106,374

 

U.S. Treasury Securities

-

500,810

 

-

500,810

 

Other Financial Instruments:

  

Futures††

8,245

-

 

-

8,245

 

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

†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.

(b) Foreign taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invests. These foreign taxes, if any, are paid by the fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred or those subject to reclaims as of June 30, 2021, if any, are disclosed in the fund’s Statement of Assets and Liabilities.

(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.

Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on

31

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended June 30, 2021, The Bank of New York Mellon earned $9,421 from the lending of the fund’s portfolio securities, pursuant to the securities lending agreement.

(d) Affiliated issuers: Investments in other investment companies advised by the Adviser are considered “affiliated” under the Act.

(e) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide.  Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.

(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and paid quarterly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not

32

 

to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.

As of and during the period ended June 30, 2021, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended June 30, 2021, the fund did not incur any interest or penalties.

Each tax year in the three-year period ended December 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.

The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2020 was as follows: ordinary income $43,438,887 and long-term capital gains $160,467,673. The tax character of current year distributions will be determined at the end of the current fiscal year.

NOTE 2—Bank Lines of Credit:

The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.

33

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The average amount of borrowings outstanding under the Facilities during the period ended June 30, 2021 was approximately $138,674 with a related weighted average annualized rate of 1.23%.

NOTE 3—Management Fee, Index-Management Fee and Other Transactions with Affiliates:

(a) Pursuant to a management agreement (the “Agreement”) with the Adviser, the management fee is computed at the annual rate of .245% of the value of the fund’s average daily net assets and is payable monthly.

Pursuant to an index-management agreement (the “Index Agreement”), the Adviser has agreed to pay the Index Manager a monthly index-management fee at the annual rate of .095% of the value of the fund’s average daily net assets. Pursuant to the Index Agreement, the Index Manager pays the custodian for its services to the fund.

(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Service shares pay the Distributor for distributing its shares, for servicing and/or maintaining Service shares’ shareholder accounts and for advertising and marketing for Service shares. The Distribution Plan provides for payments to be made at an annual rate of .25% of the value of the Service shares’ average daily net assets. The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products. The fees payable under the Distribution Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2021, Service shares were charged $248,549 pursuant to the Distribution Plan.

(c) Under the Shareholder Services Plan, Initial shares reimburse the Distributor at an amount not to exceed an annual rate of .25% of the value of its average daily net assets for certain allocated expenses with respect to servicing and/or maintaining Initial shares’ shareholder accounts. During the period ended June 30, 2021, Initial shares were charged 4,282 pursuant to the Shareholder Services Plan.

The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the fund includes net earnings credits, if any, as shareholder servicing costs in the Statement of Operations.

The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this

34

 

interest income and overdraft fees, if any, as interest income in the Statement of Operations.

The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended June 30, 2021, the fund was charged $1,530 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.

During the period ended June 30, 2021, the fund was charged $7,862 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.

The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $645,869, Distribution Plan fees of $41,795, Shareholder Services Plan fees of $1,000, Chief Compliance Officer fees of $7,862 and transfer agency fees of $3,720.

(d) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.

NOTE 4—Securities Transactions:

The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended June 30, 2021, amounted to $74,602,389 and $130,104,885, respectively.

Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended June 30, 2021 is discussed below.

Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of

35

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at June 30, 2021 are set forth in the Statement of Futures.

The following summarizes the average market value of derivatives outstanding during the period ended June 30, 2021:

   

 

 

Average Market Value ($)

Equity futures

 

24,997,036

At June 30, 2021, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $2,421,450,906, consisting of $2,440,447,400 gross unrealized appreciation and $18,996,494 gross unrealized depreciation.

At June 30, 2021, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

NOTE 5—Pending Legal Matters:

The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”).

The State Law Cases: In 2008, approximately one year after the Tribune LBO concluded, Tribune filed for bankruptcy protection under Chapter 11 of the Bankruptcy Code (the “Code”). Beginning in June 2011, Tribune creditors filed complaints in various courts, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances” under state and/or federal law, and that the shareholders must return the payments they received for their shares (collectively, “the state law cases”). The state law cases were consolidated for pre-trial proceedings in the United States District Court for the Southern District of New York, under the caption In re Tribune Company Fraudulent Conveyance Litigation (S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (RJS) (“Tribune MDL”)). On September 23, 2013, the Court dismissed 50 cases, including at least one case in which the fund was a defendant. On September 30, 2013, plaintiffs appealed the District Court’s decision to the U.S. Court of Appeals for the

36

 

Second Circuit. On March 29, 2016, the Second Circuit affirmed the dismissal on the ground that the plaintiffs’ claims were preempted by section 546(e) of the Code, which exempts qualified transfers that were made “by or to (or for the benefit of) . . . a financial institution.” The fund is a registered investment company, which the Code defines as a “financial institution.”

On September 9, 2016, Plaintiffs filed a petition for certiorari to the U.S. Supreme Court. During the pendency of the plaintiffs’ cert. petition, the Supreme Court ruled in another case, Merit Management Group, LP v. FTI Consulting, Inc. (“Merit Management”), that Section 546(e) does not exempt qualified transfers from avoidance that merely passed through “financial institutions,” though it does exempt “financial institutions” themselves, like the fund.

On May 15, 2018, in response to the Merit Management decision, the Second Circuit issued an Order in the state law cases that “the mandate in this case is recalled in anticipation of further panel review.”

On December 19, 2019, the Second Circuit issued an Amended and Corrected Opinion affirming dismissal of the constructive fraudulent transfer claims notwithstanding Merit Mgmt., because there is an alternate basis for finding that the payments are safe-harbored under Section 546(e); namely, that, with respect to LBO payments, the Tribune Company is itself a “financial institution” because it was the customer of Computershare – a trust company and bank that acted as Tribune’s agent – and because all payments were made in connection with a securities contract.

On January 2, 2020, plaintiffs petitioned the Second Circuit for rehearing by the same panel of judges and/or rehearing en banc by all judges on the Court of Appeals for the Second Circuit. Plaintiffs sought this relief on numerous grounds, including that the panel rendered its decision using an incorrect construction of Section 546(e), improperly considered evidence, and an insufficiently developed factual record. Second Circuit rules state that parties opposing a petition for rehearing and rehearing en banc are not permitted to file a response unless requested by the Court. The Second Circuit did not request any oppositions to plaintiffs’ motion, instead issuing an order on February 6, 2020, denying plaintiffs’-appellants’ petition for rehearing and/or rehearing en banc.

In July 2020, plaintiffs filed a petition for certiorari to the U.S. Supreme Court seeking review of the Second Circuit’s Amended and Corrected Opinion affirming the dismissal of the constructive fraudulent transfer claims. Plaintiffs’ cert. petition identifies three purported errors allegedly justifying Supreme Court review; namely, that the Second Circuit erred in

37

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

its application of the “presumption against preemption” in the context of the Bankruptcy Code, in its conclusion that the 546(e) safe harbor pre-empts claims brought by creditors, and in its conclusion that the Tribune Company was a “financial institution.” Plaintiffs also formally abandoned their claims against certain defendants believed to have created a financial conflict that precluded a quorum among the Supreme Court justices. In August 2020, defendants opposed the petition for certiorari to the U.S. Supreme Court, arguing that none of the Second Circuit’s findings and holdings warrant review, particularly since its decision does not conflict with the decision of any other court of appeals. In October 2020, the Supreme Court issued an order inviting the Solicitor General of the United States to file a brief expressing the views of the United States on the certiorari petition filed in the state law cases.

In March 2021, the Acting Solicitor General (“ASG”) filed a brief expressing the views of the United States on the cert. petition filed in the state law cases. Although the ASG’s position was that the Second Circuit erred when holding that the Section 546(e) safe harbor in the bankruptcy code preempted the plaintiffs’ state-law  fraudulent transfer claims, and that the Second Circuit’s interpretation of “financial institution” as used in Section 546(e) would likely render the Supreme Court’s decision in Merit Management a practical nullity, the ASG nonetheless recommended denying certiorari as to both issues. Regarding the preemption issue, the ASG recommended denying certiorari primarily because it believed the issue would arise very infrequently, and because there is no circuit split regarding the general presumption against preemption.  Regarding the “financial institution” issue, the ASG recommended denying certiorari primarily to allow other courts to analyze the issue before it is taken up by the Supreme Court, and because the state law cases present a poor vehicle for deciding the issue due to the lack of a factual record pertaining to the “financial institution” issue.

In April 2021, the United States Supreme Court denied Plaintiffs’ petition for a writ of certiorari, thus bringing a permanent end to the state law cases as pleaded. As a result, we will not report on the state law cases going forward.

The FitzSimons Litigation: On November 1, 2010, a case now styled, Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust v. FitzSimons, et al., S.D.N.Y. No. 12-cv-2652 (RJS) was filed (“the FitzSimons Litigation”). Among other things, the complaint sought recovery of alleged “fraudulent conveyances” from more than 5,000 Tribune shareholders (“Shareholder Defendants”), including the fund, that participated in the Tribune LBO. On May 23, 2014, the defendants filed a motion to dismiss, which the

38

 

Court granted on January 9, 2017. The plaintiff then sought leave to file an interlocutory appeal. On February 23, 2017, the Court entered an order stating that it would permit the plaintiff to file an interlocutory appeal after the Court decided other pending motions.

Effective November 1, 2018, Judge Denise Cote was assigned to the case when Judge Richard Sullivan was elevated to the Second Circuit.

On November 30, 2018, the Court issued an Opinion and Order resolving the remaining motions by dismissing most, but not all, of the claims asserted against the individual defendants.

In January 2019, various state law claims asserted against certain individual defendants were dismissed.

Between February and early April 2019, plaintiffs and certain defendants attempted to resolve the dispute through mediation, but ultimately decided to await the Second Circuit’s review of its May 29, 2016 decision before attempting to negotiate a settlement.

On April 4, 2019, plaintiff filed a motion to amend the FitzSimons complaint to add a claim for constructive fraudulent transfer from defendants subject to clawback under the Bankruptcy Code. On April 10, 2019, the affected defendants opposed the motion.

On April 23, 2019, Judge Cote denied plaintiff’s motion to amend the complaint to add a new constructive fraudulent transfer claim because such amendment would be futile and would result in substantial prejudice to the shareholder defendants given that the only claim against the shareholder defendants in FitzSimons has been dismissed for over two years, subject to appeal. Judge Cote considered the amendment futile on the ground that constructive fraudulent transfer claims are barred by the safe harbor provision of Section 546(e), which defines “financial institution” to include, in certain circumstances, the customers of traditional financial institutions, including Tribune.

On July 12, 2019, the Trustee filed a notice of appeal to the Second Circuit from the April 23, 2019, decision denying leave to amend the complaint to add constructive fraudulent transfer claims. On July 15, 2019, the Trustee filed a corrected notice of appeal to remedy technical errors with the notice filed on July 12, 2019. Briefing on these matters began in January 2020, and was completed and fully submitted to the Second Circuit by June 2020. Oral argument occurred in August 2020. In December 2020, Second Circuit Judge and panel member Ralph Winter, Jr., passed away. A decision is still expected in 2021, though it is unknown whether a third panel member will be sought to decide the pending appeal, whether additional

39

 

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

briefing or oral argument will be requested or required by a third panel member, if any, or whether any such request will impact the timing to a final decision.

In April 2021, the United States Supreme Court denied Plaintiffs’ petition for a writ of certiorari to review legal issues raised in cases filed by Tribune creditors beginning in June 2011, arising under state and/or federal law, and alleging that payments made to shareholders in the LBO were “fraudulent conveyances,” which payments should have been returned to the shareholders for their shares (collectively, “the state law cases”). The state law cases had been consolidated for pre-trial proceedings in the United States District Court for the Southern District of New York, under the caption In re Tribune Company Fraudulent Conveyance Litigation (S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (RJS). The Tribune defendants advised the Second Circuit of the denial of cert in the state law cases, and urged the Second Circuit to affirm denial of the Trustee’s motion for leave to amend in light of the Supreme Court’s decision.

As of April 2021, the Trustee’s assertion of intentional fraudulent transfer claims (which were dismissed by the trial court) and the Trustee’s request for leave to amend its complaint to add constructive fraudulent transfer claims (which was also denied by the trial court) are still pending on appeal before the Second Circuit.

At this stage in the proceedings, management does not believe that a loss is probable and, in any event, is unable to reasonably estimate the possible loss that may result.

40

 

INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND INDEX MANAGEMENT AGREEMENTS (Unaudited)

At a meeting of the fund’s Board of Directors held on March 8-9, 2021, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”), and the Index Management Agreement (together, the “Agreements”), pursuant to which Mellon Investments Corporation (the “Index Manager”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser and the Index Manager. In considering the renewal of the Agreements, the Board considered several factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex, including the fund. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.

The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures, as well as the Adviser’s supervisory activities over the Index Manager. The Board also considered portfolio management’s brokerage policies and practices (including that there are no soft dollar arrangements in place for the fund) and the standards applied in seeking best execution.

Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper, which included information comparing (1) the performance of the fund’s Initial shares with the performance of a group of pure index S&P 500 index funds underlying variable insurance products (“VIPs”) selected by Broadridge as comparable to the fund (the “Performance Group”)

41

 

INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND INDEX MANAGEMENT AGREEMENTS (Unaudited) (continued)

and with a broader group of funds consisting of all S&P 500 index funds underlying VIPs (the “Performance Universe”), all for various periods ended December 31, 2020, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of all other S&P 500 index funds underlying VIPs with similar
12b-1/non-12b-1 structures, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.

Performance Comparisons. Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds and the end date selected. The Board discussed with representatives of the Adviser and the Index Manager the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and Performance Universe medians for all periods (highest in the Performance Group for the three-,
four-, five- and ten-year periods), except the one-year period when the fund’s total return performance was one basis point below the Performance Universe median. The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.

Management Fee and Expense Ratio Comparisons. The Board reviewed and considered the contractual management fee rate payable by the fund to the Adviser in light of the nature, extent and quality of the management and index management services provided by the Adviser and the Index Manager, respectively. In addition, the Board reviewed and considered the actual management fee rate paid by the fund over the fund’s last fiscal year. The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons.

The Board considered that the fund’s contractual management fee was higher than the Expense Group median contractual management fee, the fund’s actual management fee was higher than the Expense Group median and the Expense Universe median actual management fee and the fund’s total expenses were lower than the Expense Group median (lowest in the Expense Group) and approximately equal to the Expense Universe median total expenses.

Representatives of the Adviser reviewed with the Board the management or investment advisory fees paid to the Adviser or the Index Manager or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s

42

 

management fee. Representatives of the Adviser noted that there were no other funds advised or administered by the Adviser that are in the same Lipper category as the fund.

The Board considered the fee payable to the Index Manager in relation to the fee payable to the Adviser by the fund and the respective services provided by the Index Manager and the Adviser. The Board also took into consideration that the Index Manager’s fee is paid by the Adviser, out of its fee from the fund, and not the fund.

Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.

The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by the Adviser and the Index Manager, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since the Adviser, and not the fund, pays the Index Manager pursuant to the Index Management Agreement, the Board did not consider the Index Manager’s profitability to be relevant to its deliberations. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser and the Index Manager from acting as investment adviser and index manager, respectively, and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.

· The Board concluded that the nature, extent and quality of the services provided by the Adviser and the Index Manager are adequate and appropriate.

43

 

INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND INDEX MANAGEMENT AGREEMENTS (Unaudited) (continued)

· The Board was satisfied with the fund’s performance.

· The Board concluded that the fees paid to the Adviser and the Index Manager continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.

· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.

In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates and the Index Manager, of the Adviser and the Index Manager and the services provided to the fund by the Adviser and the Index Manager. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreements.

44

 

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

Effective June 1, 2019, the fund adopted a liquidity risk management program (the “Liquidity Risk Management Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended. Rule 22e-4 requires registered open-end funds, including mutual funds and exchange-traded funds but not money market funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and shareholder redemptions. The rule is designed to mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the fund to assess, manage and review their liquidity risk at least annually considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-end fund and whether the fund has a relatively concentrated portfolio or large positions in particular issuers. The fund must also assess its use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.

The rule also requires the fund to classify its investments as highly liquid, moderately liquid, less liquid or illiquid based on the number of days the fund expects it would take to liquidate the investment, and to review these classifications at least monthly or more often under certain conditions. The periods range from three or fewer business days for a highly liquid investment to greater than seven calendar days for settlement of a less liquid investment. Illiquid investments are those a fund does not expect to be able to sell or dispose of within seven calendar days without significantly changing the market value. The fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. In addition, if a fund permits redemptions in-kind, the rule requires the fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.

Pursuant to the rule’s requirements, the Liquidity Risk Management Program has been reviewed and approved by the Board. Furthermore, the Board has received a written report prepared by the Program’s Administrator that addresses the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program.

Assessment of Program

In the opinion of the Program Administrator, the Program approved by the Board continues to be adequate for the fund and the Program has been implemented effectively. The Program Administrator has monitored the fund’s liquidity risk and the liquidity classification of the securities held by the fund and has determined that the Program is operating effectively.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Program and no material liquidity events that impacted the fund. During the period, the fund held sufficient highly liquid assets to meet fund redemptions.

Under normal expected foreseeable fund redemption forecasts and foreseeable stressed fund redemption forecasts, the Program Administrator believes that the fund maintains sufficient highly liquid assets to meet expected fund redemptions.

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For More Information

BNY Mellon Stock Index Fund, Inc.

240 Greenwich Street

New York, NY 10286

Adviser

BNY Mellon Investment Adviser, Inc.

240 Greenwich Street

New York, NY 10286

Index Manager

Mellon Investments Corporation

BNY Mellon Center
One Boston Place
Boston, MA 02108-4408

Custodian

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

Transfer Agent &
Dividend Disbursing Agent

BNY Mellon Transfer, Inc.

240 Greenwich Street

New York, NY 10286

Distributor

BNY Mellon Securities Corporation

240 Greenwich Street

New York, NY 10286


Telephone 1-800-258-4260 or 1-800-258-4261

Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 Attn: Institutional Services Department

E-mail Send your request to info@bnymellon.com

Internet Information can be viewed online or downloaded at www.im.bnymellon.com

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.

A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.

  

© 2021 BNY Mellon Securities Corporation
0763SA0621

 

 

 
 
Item 2.Code of Ethics.

Not applicable.

Item 3.Audit Committee Financial Expert.

Not applicable.

Item 4.Principal Accountant Fees and Services.

Not applicable.

Item 5.Audit Committee of Listed Registrants.

Not applicable.

Item 6.Investments.

(a)        Not applicable.

Item 7.Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10.Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures applicable to Item 10.

Item 11.Controls and Procedures.

(a)       The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b)       There were no changes to the Registrant's internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12.Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

 
 
Item 13.Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3) Not applicable.

(b)       Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.

 
 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

BNY Mellon Stock Index Fund, Inc.

By: /s/ David DiPetrillo

        David DiPetrillo

        President (Principal Executive Officer)

 

Date: August 5, 2021

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By: /s/ David DiPetrillo

        David DiPetrillo

        President (Principal Executive Officer)

 

Date: August 5, 2021

 

 

By: /s/ James Windels

        James Windels

       Treasurer (Principal Financial Officer)

 

Date: August 5, 2021

 

 

 

 
 

EXHIBIT INDEX

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)

(b)       Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)