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 |
811-06325 | |||||
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BNY Mellon Midcap Index Fund, Inc. |
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(Exact name of Registrant as specified in charter) |
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c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286 |
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(Address of principal executive offices) (Zip code) |
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Bennett A. MacDougall, Esq. 240 Greenwich Street New York, New York 10286 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
(212) 922-6400 | |||||
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Date of fiscal year end:
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10/31 |
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Date of reporting period: |
10/31/2020
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FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon Midcap Index Fund, Inc.
ANNUAL REPORT October 31, 2020 |
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Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.bnymellonim.com/us and sign up for eCommunications. It’s simple and only takes a few minutes. |
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
T H E F U N D
BNY Mellon Investment Adviser, Inc. |
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With Those of Other Funds |
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in Affiliated Issuers |
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Public Accounting Firm |
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F O R M O R E I N F O R M AT I O N
Back Cover
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The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this annual report for BNY Mellon Midcap Index Fund, Inc., covering the 12-month period from November 1, 2019 through October 31, 2020. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Accommodative rate policies from the U.S. Federal Reserve (the “Fed”) and progress towards a U.S./China trade deal stoked optimism about future economic growth prospects the final months of 2019, fueling an equity rally. As we entered 2020, optimism turned to concern as COVID-19 began to spread across portions of Asia and Europe. When the virus reached the U.S. in March 2020, stocks became volatile. U.S. equities posted historic losses during the month due to investor concern over the economic impact of a widespread quarantine. Global central banks and governments launched emergency stimulus measures to support their respective economies, and equity valuations began to rebound, trending upward until the fall. Volatility returned in September 2020 and continued through October, as concerns over rising COVID-19 infection rates, continued trade tensions, the U.S. Congress’ failure to pass additional financial assistance and anxiety over the upcoming U.S. election constrained equity valuations.
In fixed-income markets, interest rates were heavily influenced by changes in Fed policy and investor concern over COVID-19. In 2019, as stocks rallied in response to Fed rate cuts, risk-asset valuations also rose while Treasuries lagged. When COVID-19 began to emerge, a flight to quality ensued, and Treasury rates fell significantly. The Fed cut rates twice in March 2020, resulting in an overnight lending target rate of nearly zero, and the government launched a large stimulus package. Risk-asset prices began to rebound, and bond indices generally rose until September 2020, when investment-grade instrument prices stalled. Yields in the intermediate and long portions of the Treasury curve rose during October, further constraining bond prices.
We believe the near-term outlook for the U.S. will be challenging, as the country continues to battle COVID-19. As always, we will monitor relevant data for meaningful developments. We encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
November 16, 2020
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2019 through October 31, 2020, as provided by Thomas J. Durante, CFA, David France, CFA, Todd Frysinger, CFA, Vlasta Sheremeta, CFA, Michael Stoll, and Marlene Walker Smith, Portfolio Managers
Market and Fund Performance Overview
For the 12-month period ended October 31, 2020, BNY Mellon Midcap Index Fund, Inc. Class I shares produced a total return of -1.42%, and its Investor shares returned -1.66%.1 In comparison, the S&P MidCap 400® Index (the “Index”), the fund’s benchmark, produced a total return of -1.15% for the same period.2,3
Mid-cap stocks fell modestly during the reporting period, due largely to volatility brought on by the spread of COVID-19. The difference in returns between the fund and the Index during the reporting period 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 performance of the Index. To pursue its goal, the fund generally is fully invested in stocks included in the Index and in futures whose performance is tied to the Index. The fund generally invests in all 400 stocks in the Index, in proportion to their weighting in the Index.
The Index is an unmanaged index of 400 common stocks of medium-sized companies. S&P weights each company’s stock in the Index by its market capitalization (i.e., the share price times the number of shares outstanding), adjusted by the number of available float shares (i.e., those shares available to public investors). Companies included in the Index generally have market capitalizations ranging between approximately $2.4 billion and $8.2 billion, to the extent consistent with market conditions.
Central Bank Policy and COVID-19 Influence Markets
U.S. equities gained over the end of 2019, as investor optimism regarding trade and future economic growth prospects bolstered sentiment. Continued accommodative policies by the U.S. Federal Reserve (the “Fed”), coupled with encouraging economic data releases, worked to fuel a risk-on environment. Greater certainty as to the timing of Brexit was also forthcoming and aided investor optimism. In addition, as the year-end approached, both the U.S. and China indicated that a ‘Phase-One’ trade deal would be signed in early 2020.
Markets gave way to extreme risk aversion in early 2020, as the global scope of the COVID-19 pandemic became apparent. Equity valuations in the U.S. remained robust throughout January and February 2020, while markets in areas that experienced the virus earlier, such as China, began to experience volatility closer to the start of the calendar year. Financial markets also had to contend with a second major shock in the form of an oil-price war between Saudi Arabia and Russia, which caused oil prices to fall precipitously in March 2020. Worldwide, governments and central banks launched an unprecedented array of fiscal initiatives that sought to offset the economic impact of widespread lockdown measures and bolster asset prices. The intervention provided comfort to investors, and indices began to rally towards the end of March 2020. Supported by the intervention, equities generally went on to stage a recovery that lasted through August 2020. However, the recovery was company
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
and sector specific, as several industries that remained affected by COVID-19 prevention procedures did not fully participate. In September, volatility crept back into equity markets, as increasing COVID-19 infection rates began to concern investors. By October, several countries had begun to reinstitute some degree of behavioral restriction among residents in order to stem the spread of the virus. In addition, mounting political rhetoric in the U.S. due to the election, renewed trade difficulties between the U.S. and China, and other geopolitical events stoked investor anxiety. Stocks continued to exhibit volatility through the end of the period.
In this environment, mid-cap stocks produced lower returns than their large-cap counterparts but outperformed small-cap equities.
Real Estate Securities Weigh on the Market
As people sheltered in place during COVID-19 lockdowns, real estate securities suffered. Low demand for commercial real estate was a prime culprit. With people working from home, businesses are not renewing their office space leases, and new leases are not being signed. Mall REITs have also been imperiled by reduced foot traffic at retail locations. Some anchor stores have filed for bankruptcy, and others have stopped making lease payments, driving down the price of these securities. Financials stocks also struggled during the year. Mid-sized banks were particularly hard hit, and several were downgraded during the period. Lower rates generally reduce the profitability of lending products, and rates fell throughout much of the 12 months. Banks have also begun to build their loan loss reserves, bracing for widespread defaults that could damage their financial health. Insurance companies also came under pressure, as investors speculated over the possible extent of costs associated with COVID-19 claims. Utilities stocks also suffered during the period. Commercial and industrial demand fell during lockdown periods, as people did not occupy office buildings or manufacturing facilities. The financial health of several utilities companies was hurt due to the low interest-rate environment, as these organizations earned less on their investments.
There were spots of resilience within the mid-cap markets. The health care sector posted a positive return and led the Index for the period. Many smaller biotechnology companies partnered with larger drug makers to develop and distribute COVID-19 therapies and treatments, bolstering stock prices for the industry. Equipment and supplies companies, particularly those that produce diagnostic testing supplies, generally performed well. Remote body systems-monitoring companies benefited from an increase in demand, due to the shift to more medical care being provided at home through online applications. Within the information technology sector, semiconductors and semiconductor equipment companies outperformed. When the lockdown began, companies that manufacture electronics became concerned about the rate of chip production and began hoarding them, increasing demand and driving up the stock price of chip manufacturers. Demand for solar panels, which contain semiconductors, also increased during the period, expanding the consumer base for these products. Companies that provide cloud computing services and electronic equipment manufacturers also performed well during the 12 months. Internet and direct marketing retail was the best performing industry within the consumer discretionary sector for the period. As people stayed at home, they shopped online and ordered food. Companies such as Etsy and Grubhub were top performers within the sector. Domino’s Pizza and online gambling companies helped boost results within the hotels, restaurants and leisure industry.
4
Replicating the Performance of the Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that while the spread of COVID-19 and resulting economic implications continue to impact markets and the economy, the U.S. government and the Fed remain dedicated to supporting capital markets and the economy with various fiscal and monetary techniques. As always, we continue to monitor factors that affect the fund’s investments.
November 16, 2020
1 Total return includes reinvestment of dividends and any capital gains paid. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement. Had these expenses not been absorbed, returns would have been lower. 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.
2 Source: Lipper Inc. — The S&P MidCap 400® Index provides investors with a benchmark for midsized companies. The Index measures the performance of midsized companies, reflecting the distinctive risk and return characteristics of this market segment. Investors cannot invest directly in any index.
3 “Standard & Poor’s®,” “S&P®,” and “S&P MidCap 400®” are registered trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use on behalf of the fund. The fund is not sponsored, endorsed, managed, advised, sold or promoted by Standard & Poor’s and its affiliates, and Standard & Poor’s and its affiliates make no representation regarding the advisability of investing in the fund.
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
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.
An indexing strategy does not attempt to manage market volatility, use defensive strategies or reduce the effects of any long-term periods of poor stock performance.
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 prices of mid-cap company stocks tend to be more volatile than the prices of large company stocks, mainly because these companies have less established and more volatile earnings histories. They also tend to be less liquid than larger company stocks.
The fund may, but is not required, to use derivative instruments, such as options, futures, options on futures, forward contracts, swap agreements and other credit derivatives. 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.
5
FUND PERFORMANCE (Unaudited)
Comparison of change in value of a $10,000 investment in Investor shares and Class I shares of BNY Mellon Midcap Index Fund, Inc. with a hypothetical investment of $10,000 in the S&P MidCap 400® Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
Past performance is not predictive of future performance.
The above graph compares a hypothetical investment of $10,000 made in each of the Investor shares and Class I shares of BNY Mellon Midcap Index Fund, Inc. on 10/31/10 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index provides investors with a benchmark for mid-sized companies. The Index measures the performance of mid-sized companies, reflecting the distinctive risk and return characteristics of this market segment. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
6
Average Annual Total Returns as of 10/31/2020 |
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Inception |
1 Year |
5 Years |
10 Years | |
Investor Shares |
6/19/1991 |
-1.66% |
6.87% |
9.83% | |
Class I |
8/31/2016 |
-1.42% |
7.09%† |
9.94%† | |
S&P MidCap 400® Index |
-1.15% |
7.39% |
10.36% |
† The total return performance figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to www.bnymellonim.com/us for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
7
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) and redemption fees, 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 Midcap Index Fund, Inc. from May 1, 2020 to October 31, 2020. 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 |
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Assume actual returns for the six months ended October 31, 2020 |
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Investor Shares |
Class I |
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Expense paid per $1,000† |
$2.72 |
$1.36 |
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Ending value (after expenses) |
$1,160.20 |
$1,162.00 |
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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 |
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Assuming a hypothetical 5% annualized return for the six months ended October 31, 2020 |
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Investor Shares |
Class I |
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Expense paid per $1,000† |
$2.54 |
$1.27 |
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Ending value (after expenses) |
$1,022.62 |
$1,023.88 |
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†Expenses are equal to the fund’s annualized expense ratio of .50% for Investor Shares and .25% for Class I, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
8
STATEMENT OF INVESTMENTS
October 31, 2020
Description |
Shares |
Value ($) |
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Common Stocks - 99.1% |
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Automobiles & Components - 2.1% |
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Adient |
110,883 |
a |
2,352,937 |
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Dana |
169,726 |
2,374,467 |
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Fox Factory Holding |
49,150 |
a |
4,132,532 |
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Gentex |
290,567 |
8,039,989 |
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Harley-Davidson |
180,860 |
b |
5,946,677 |
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Lear |
64,088 |
7,742,471 |
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The Goodyear Tire & Rubber Company |
275,500 |
2,281,140 |
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Thor Industries |
64,777 |
5,478,839 |
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Visteon |
33,038 |
a |
2,961,857 |
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41,310,909 |
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Banks - 6.5% |
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Associated Banc-Corp |
180,468 |
2,470,607 |
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BancorpSouth Bank |
113,922 |
2,666,914 |
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Bank of Hawaii |
47,340 |
b |
2,870,698 |
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Bank OZK |
143,719 |
3,561,357 |
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Cathay General Bancorp |
89,437 |
2,104,453 |
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CIT Group |
115,899 |
3,413,226 |
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Commerce Bancshares |
117,905 |
b |
7,339,586 |
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Cullen/Frost Bankers |
66,211 |
4,652,647 |
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East West Bancorp |
166,069 |
6,058,197 |
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Essent Group |
132,711 |
5,288,533 |
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F.N.B. |
380,060 |
2,873,254 |
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First Financial Bankshares |
166,585 |
4,965,899 |
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First Horizon National |
653,879 |
6,806,880 |
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Fulton Financial |
189,956 |
2,087,616 |
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Glacier Bancorp |
111,786 |
4,001,939 |
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Hancock Whitney |
103,170 |
2,359,498 |
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Home BancShares |
177,710 |
2,949,986 |
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International Bancshares |
65,570 |
1,814,978 |
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New York Community Bancorp |
550,516 |
4,574,788 |
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PacWest Bancorp |
137,979 |
2,654,716 |
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Pinnacle Financial Partners |
88,859 |
4,068,854 |
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Prosperity Bancshares |
108,758 |
5,993,653 |
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Signature Bank |
63,223 |
5,104,625 |
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Sterling Bancorp |
230,028 |
3,077,775 |
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Synovus Financial |
172,686 |
4,489,836 |
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TCF Financial |
180,690 |
4,916,575 |
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Texas Capital Bancshares |
59,204 |
a |
2,664,180 |
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Trustmark |
75,499 |
1,765,922 |
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UMB Financial |
51,345 |
3,125,370 |
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Umpqua Holdings |
260,746 |
3,274,970 |
9
STATEMENT OF INVESTMENTS (continued)
Description |
Shares |
Value ($) |
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Common Stocks - 99.1% (continued) |
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Banks - 6.5% (continued) |
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United Bankshares |
152,003 |
b |
3,987,039 |
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Valley National Bancorp |
480,619 |
3,671,929 |
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Washington Federal |
90,439 |
1,925,446 |
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Webster Financial |
107,248 |
3,454,458 |
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Wintrust Financial |
67,404 |
3,318,299 |
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130,354,703 |
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Capital Goods - 12.6% |
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Acuity Brands |
46,451 |
b |
4,140,642 |
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AECOM |
188,452 |
a |
8,450,188 |
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AGCO |
72,068 |
5,551,398 |
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Axon Enterprise |
74,568 |
a |
7,374,775 |
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Builders FirstSource |
137,630 |
a |
4,170,189 |
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Carlisle |
64,528 |
7,993,083 |
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Colfax |
119,826 |
a,b |
3,258,069 |
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Crane |
58,617 |
2,974,813 |
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Curtiss-Wright |
49,034 |
4,136,508 |
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Donaldson |
148,130 |
7,036,175 |
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Dycom Industries |
37,387 |
a |
2,427,912 |
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EMCOR Group |
64,353 |
4,388,231 |
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EnerSys |
50,564 |
3,620,382 |
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Fluor |
146,643 |
1,664,398 |
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GATX |
41,402 |
b |
2,826,929 |
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Generac Holdings |
73,871 |
a |
15,523,991 |
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Graco |
196,046 |
12,135,247 |
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Hexcel |
99,400 |
3,327,912 |
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Hubbell |
63,734 |
9,273,934 |
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ITT |
101,437 |
6,137,953 |
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Kennametal |
96,976 |
3,006,256 |
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Lennox International |
40,931 |
11,119,315 |
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Lincoln Electric Holdings |
69,723 |
7,099,196 |
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MasTec |
66,015 |
a,b |
3,276,985 |
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Mercury Systems |
66,081 |
a |
4,551,659 |
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MSC Industrial Direct, Cl. A |
54,177 |
3,773,970 |
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Nordson |
63,473 |
12,277,582 |
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nVent Electric |
198,967 |
3,591,354 |
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Oshkosh |
79,918 |
5,383,276 |
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Owens Corning |
126,924 |
8,309,714 |
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Regal Beloit |
47,582 |
4,693,964 |
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Simpson Manufacturing |
51,290 |
4,550,449 |
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Sunrun |
181,940 |
a,b |
9,464,519 |
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Terex |
81,692 |
2,016,975 |
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The Middleby |
65,717 |
a |
6,541,470 |
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The Timken Company |
80,214 |
4,788,776 |
10
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Capital Goods - 12.6% (continued) |
|||||||
The Toro Company |
126,136 |
10,355,766 |
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Trex |
136,064 |
a,b |
9,461,891 |
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Trinity Industries |
106,491 |
b |
2,006,290 |
||||
Univar Solutions |
201,224 |
a |
3,338,306 |
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Valmont Industries |
25,160 |
3,571,462 |
|||||
Watsco |
38,572 |
8,645,528 |
|||||
Woodward |
68,069 |
5,414,889 |
|||||
253,652,321 |
|||||||
Commercial & Professional Services - 3.2% |
|||||||
ASGN |
61,523 |
a |
4,102,354 |
||||
Clean Harbors |
60,918 |
a |
3,226,826 |
||||
CoreLogic |
93,323 |
7,179,338 |
|||||
FTI Consulting |
43,439 |
a |
4,277,004 |
||||
Healthcare Services Group |
88,928 |
b |
2,034,673 |
||||
Herman Miller |
70,462 |
2,146,977 |
|||||
HNI |
51,265 |
1,668,676 |
|||||
IAA |
158,392 |
a |
8,963,403 |
||||
Insperity |
42,229 |
3,233,897 |
|||||
KAR Auction Services |
154,348 |
2,247,307 |
|||||
Manpowergroup |
68,931 |
4,678,347 |
|||||
MSA Safety |
42,706 |
5,633,775 |
|||||
Stericycle |
107,430 |
a,b |
6,692,889 |
||||
Tetra Tech |
63,269 |
6,384,475 |
|||||
The Brink's Company |
60,023 |
2,570,785 |
|||||
65,040,726 |
|||||||
Consumer Durables & Apparel - 3.5% |
|||||||
Brunswick |
92,915 |
5,919,615 |
|||||
Carter's |
51,453 |
4,190,847 |
|||||
Columbia Sportswear |
36,201 |
b |
2,700,233 |
||||
Deckers Outdoor |
32,927 |
a |
8,342,714 |
||||
Helen of Troy |
29,720 |
a,b |
5,634,912 |
||||
KB Home |
103,732 |
3,345,357 |
|||||
Mattel |
409,404 |
a |
5,637,493 |
||||
Polaris |
67,687 |
6,150,041 |
|||||
Skechers U.S.A, CI. A |
159,946 |
a |
5,071,888 |
||||
Taylor Morrison Home |
151,816 |
a |
3,279,226 |
||||
Tempur Sealy International |
56,583 |
a |
5,035,887 |
||||
Toll Brothers |
135,612 |
5,733,675 |
|||||
TopBuild |
39,086 |
a |
5,988,366 |
||||
TRI Pointe Group |
154,197 |
a,b |
2,533,457 |
||||
69,563,711 |
|||||||
Consumer Services - 5.3% |
|||||||
Adtalem Global Education |
60,193 |
a |
1,410,924 |
11
STATEMENT OF INVESTMENTS (continued)
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Consumer Services - 5.3% (continued) |
|||||||
Boyd Gaming |
94,978 |
3,012,702 |
|||||
Caesars Entertainment |
234,467 |
a |
10,508,811 |
||||
Choice Hotels International |
33,663 |
2,940,463 |
|||||
Churchill Downs |
41,939 |
6,255,202 |
|||||
Cracker Barrel Old Country Store |
27,897 |
3,175,237 |
|||||
Dunkin' Brands Group |
96,709 |
9,642,854 |
|||||
Graham Holdings, Cl. B |
4,961 |
1,886,867 |
|||||
Grand Canyon Education |
55,421 |
a |
4,343,344 |
||||
H&R Block |
228,710 |
3,947,535 |
|||||
Jack in the Box |
26,869 |
2,151,132 |
|||||
Marriott Vacations Worldwide |
48,441 |
4,679,401 |
|||||
Papa John's International |
38,848 |
2,975,757 |
|||||
Penn National Gaming |
169,308 |
a |
9,139,246 |
||||
Scientific Games |
66,606 |
a |
2,123,399 |
||||
Service Corp. International |
208,400 |
9,651,004 |
|||||
Six Flags Entertainment |
88,759 |
1,918,970 |
|||||
Strategic Education |
28,986 |
2,407,577 |
|||||
Texas Roadhouse |
76,552 |
5,360,937 |
|||||
The Wendy's Company |
212,572 |
4,644,698 |
|||||
Wingstop |
35,120 |
4,085,510 |
|||||
WW International |
55,775 |
a |
1,180,199 |
||||
Wyndham Destinations |
100,954 |
3,294,129 |
|||||
Wyndham Hotels & Resorts |
109,991 |
5,115,681 |
|||||
105,851,579 |
|||||||
Diversified Financials - 3.5% |
|||||||
Affiliated Managers Group |
54,884 |
4,136,607 |
|||||
Eaton Vance |
134,138 |
8,020,111 |
|||||
Evercore, Cl. A |
47,830 |
3,804,398 |
|||||
FactSet Research Systems |
44,689 |
13,697,178 |
|||||
Federated Hermes |
113,772 |
2,719,151 |
|||||
FirstCash |
48,398 |
2,518,632 |
|||||
Interactive Brokers Group, Cl. A |
93,233 |
4,435,094 |
|||||
Janus Henderson Group |
178,963 |
4,348,801 |
|||||
Jefferies Financial Group |
254,853 |
4,972,182 |
|||||
LendingTree |
9,352 |
a,b |
3,026,214 |
||||
Navient |
228,894 |
1,833,441 |
|||||
SEI Investments |
143,706 |
7,063,150 |
|||||
SLM |
445,021 |
4,089,743 |
|||||
Stifel Financial |
81,368 |
4,756,773 |
|||||
69,421,475 |
|||||||
Energy - 1.1% |
|||||||
Antero Midstream |
337,412 |
b |
1,933,371 |
||||
ChampionX |
221,977 |
a |
1,937,859 |
12
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Energy - 1.1% (continued) |
|||||||
Cimarex Energy |
121,274 |
3,076,721 |
|||||
CNX Resources |
263,367 |
a |
2,554,660 |
||||
EQT |
320,434 |
4,851,371 |
|||||
Equitrans Midstream |
479,104 |
3,478,295 |
|||||
Murphy Oil |
171,931 |
1,327,307 |
|||||
World Fuel Services |
76,697 |
1,614,472 |
|||||
WPX Energy |
482,687 |
a |
2,225,187 |
||||
22,999,243 |
|||||||
Food & Staples Retailing - 1.0% |
|||||||
BJ's Wholesale Club Holdings |
161,952 |
a,b |
6,201,142 |
||||
Casey's General Stores |
43,351 |
7,307,678 |
|||||
Grocery Outlet Holding |
97,709 |
a |
4,301,150 |
||||
Sprouts Farmers Market |
137,819 |
a |
2,625,452 |
||||
20,435,422 |
|||||||
Food, Beverage & Tobacco - 2.5% |
|||||||
Darling Ingredients |
191,508 |
a |
8,234,844 |
||||
Flowers Foods |
230,913 |
5,444,929 |
|||||
Ingredion |
78,609 |
5,572,592 |
|||||
Lancaster Colony |
23,034 |
3,826,869 |
|||||
Pilgrim's Pride |
57,291 |
a |
959,051 |
||||
Post Holdings |
74,393 |
a |
6,390,359 |
||||
Sanderson Farms |
23,421 |
2,997,185 |
|||||
The Boston Beer Company, Cl. A |
10,711 |
a |
11,130,657 |
||||
The Hain Celestial Group |
99,424 |
a |
3,057,288 |
||||
Tootsie Roll Industries |
19,829 |
b |
592,491 |
||||
TreeHouse Foods |
66,384 |
a |
2,578,355 |
||||
50,784,620 |
|||||||
Health Care Equipment & Services - 6.9% |
|||||||
Acadia Healthcare |
104,682 |
a,b |
3,731,913 |
||||
Amedisys |
38,161 |
a |
9,883,699 |
||||
Avanos Medical |
55,747 |
a |
1,970,656 |
||||
Cantel Medical |
44,001 |
b |
2,105,008 |
||||
Chemed |
18,707 |
8,947,932 |
|||||
Encompass Health |
116,809 |
7,161,560 |
|||||
Globus Medical, Cl. A |
89,412 |
a |
4,660,153 |
||||
Haemonetics |
59,883 |
a |
6,053,572 |
||||
HealthEquity |
89,919 |
a |
4,629,929 |
||||
Hill-Rom Holdings |
78,231 |
7,124,497 |
|||||
ICU Medical |
22,818 |
a |
4,056,812 |
||||
Integra LifeSciences Holdings |
82,886 |
a |
3,655,273 |
||||
LHC Group |
37,345 |
a |
8,087,060 |
||||
LivaNova |
56,916 |
a |
2,865,151 |
||||
Masimo |
59,457 |
a |
13,307,666 |
13
STATEMENT OF INVESTMENTS (continued)
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Health Care Equipment & Services - 6.9% (continued) |
|||||||
MEDNAX |
98,978 |
a |
1,261,969 |
||||
Molina Healthcare |
69,743 |
a |
13,004,977 |
||||
Neogen |
62,532 |
a |
4,360,982 |
||||
NuVasive |
60,288 |
a |
2,678,596 |
||||
Patterson |
103,678 |
b |
2,578,990 |
||||
Penumbra |
39,478 |
a,b |
10,304,942 |
||||
Quidel |
44,892 |
a,b |
12,044,075 |
||||
Tenet Healthcare |
123,285 |
a |
3,025,414 |
||||
137,500,826 |
|||||||
Household & Personal Products - .4% |
|||||||
Coty, Cl. A |
341,493 |
990,330 |
|||||
Edgewell Personal Care |
63,212 |
a |
1,657,419 |
||||
Energizer Holdings |
68,053 |
2,677,886 |
|||||
Nu Skin Enterprises, Cl. A |
60,454 |
2,983,405 |
|||||
8,309,040 |
|||||||
Insurance - 4.4% |
|||||||
Alleghany |
16,929 |
9,258,978 |
|||||
American Financial Group |
84,194 |
6,309,498 |
|||||
Brighthouse Financial |
109,529 |
a |
3,625,410 |
||||
Brown & Brown |
276,035 |
12,010,283 |
|||||
CNO Financial Group |
165,717 |
2,941,477 |
|||||
First American Financial |
130,904 |
5,837,009 |
|||||
Genworth Financial, Cl. A |
593,315 |
a |
2,331,728 |
||||
Kemper |
72,438 |
4,466,527 |
|||||
Mercury General |
31,540 |
1,283,993 |
|||||
Old Republic International |
331,759 |
5,401,037 |
|||||
Primerica |
46,657 |
5,143,468 |
|||||
Reinsurance Group of America |
79,814 |
8,062,810 |
|||||
RenaissanceRe Holdings |
60,207 |
9,736,676 |
|||||
RLI |
46,637 |
4,043,428 |
|||||
Selective Insurance Group |
70,475 |
3,668,928 |
|||||
The Hanover Insurance Group |
44,483 |
4,255,244 |
|||||
88,376,494 |
|||||||
Materials - 5.9% |
|||||||
AptarGroup |
76,241 |
8,698,336 |
|||||
Ashland Global Holdings |
64,598 |
4,507,002 |
|||||
Avient |
108,788 |
3,380,043 |
|||||
Cabot |
65,938 |
2,506,303 |
|||||
Commercial Metals |
139,195 |
2,874,377 |
|||||
Compass Minerals International |
40,275 |
2,431,804 |
|||||
Domtar |
66,485 |
1,587,662 |
|||||
Eagle Materials |
48,937 |
4,171,879 |
|||||
Greif, Cl. A |
31,036 |
1,259,751 |
14
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Materials - 5.9% (continued) |
|||||||
Ingevity |
48,851 |
a |
2,680,943 |
||||
Louisiana-Pacific |
132,363 |
3,782,935 |
|||||
Minerals Technologies |
40,027 |
2,189,077 |
|||||
NewMarket |
8,665 |
3,099,384 |
|||||
O-I Glass |
182,647 |
1,722,361 |
|||||
Olin |
168,590 |
2,790,164 |
|||||
Reliance Steel & Aluminum |
74,910 |
8,164,441 |
|||||
Royal Gold |
77,087 |
9,158,706 |
|||||
RPM International |
152,861 |
12,942,741 |
|||||
Sensient Technologies |
50,356 |
3,294,793 |
|||||
Silgan Holdings |
93,303 |
3,214,288 |
|||||
Sonoco Products |
117,810 |
5,759,731 |
|||||
Steel Dynamics |
236,198 |
7,435,513 |
|||||
The Chemours Company |
193,594 |
3,898,983 |
|||||
The Scotts Miracle-Gro Company |
48,115 |
7,219,656 |
|||||
United States Steel |
258,626 |
b |
2,498,327 |
||||
Valvoline |
218,156 |
4,291,129 |
|||||
Worthington Industries |
43,007 |
2,116,374 |
|||||
117,676,703 |
|||||||
Media & Entertainment - 1.5% |
|||||||
AMC Networks, Cl. A |
33,890 |
a,b |
720,162 |
||||
Cable One |
6,370 |
11,031,948 |
|||||
Cinemark Holdings |
128,663 |
b |
1,053,750 |
||||
John Wiley & Sons, Cl. A |
50,969 |
1,578,000 |
|||||
TEGNA |
256,127 |
3,081,208 |
|||||
The New York Times Company, Cl. A |
169,543 |
6,724,075 |
|||||
TripAdvisor |
115,074 |
a |
2,199,064 |
||||
World Wrestling Entertainment, Cl. A |
55,303 |
2,010,817 |
|||||
Yelp |
80,319 |
a |
1,579,875 |
||||
29,978,899 |
|||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.6% |
|||||||
Arrowhead Pharmaceuticals |
120,869 |
a,b |
6,925,794 |
||||
Bio-Techne |
45,330 |
11,441,745 |
|||||
Charles River Laboratories International |
58,431 |
a |
13,304,739 |
||||
Emergent BioSolutions |
53,087 |
a |
4,776,237 |
||||
Exelixis |
365,258 |
a |
7,480,484 |
||||
Jazz Pharmaceuticals |
65,185 |
a |
9,393,158 |
||||
Ligand Pharmaceuticals |
18,935 |
a,b |
1,561,191 |
||||
Medpace Holdings |
32,326 |
a |
3,586,246 |
||||
Nektar Therapeutics |
211,993 |
a,b |
3,357,969 |
||||
PRA Health Sciences |
75,618 |
a |
7,368,218 |
||||
Prestige Consumer Healthcare |
58,464 |
a |
1,931,066 |
||||
Repligen |
57,396 |
a |
9,560,452 |
15
STATEMENT OF INVESTMENTS (continued)
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.6% (continued) |
|||||||
Syneos Health |
82,776 |
a,b |
4,393,750 |
||||
United Therapeutics |
52,153 |
a |
7,000,497 |
||||
92,081,546 |
|||||||
Real Estate - 8.8% |
|||||||
American Campus Communities |
161,553 |
c |
6,051,775 |
||||
Brixmor Property Group |
347,285 |
c |
3,806,244 |
||||
Camden Property Trust |
114,491 |
c |
10,560,650 |
||||
CoreSite Realty |
49,925 |
c |
5,959,048 |
||||
Corporate Office Properties Trust |
133,467 |
c |
2,993,665 |
||||
Cousins Properties |
176,338 |
c |
4,493,092 |
||||
CyrusOne |
137,385 |
c |
9,761,204 |
||||
Douglas Emmett |
193,275 |
c |
4,561,290 |
||||
EastGroup Properties |
46,459 |
c |
6,182,764 |
||||
EPR Properties |
87,900 |
c |
2,095,536 |
||||
First Industrial Realty Trust |
149,315 |
c |
5,944,230 |
||||
Healthcare Realty Trust |
160,495 |
c |
4,461,761 |
||||
Highwoods Properties |
121,668 |
c |
3,622,056 |
||||
Hudson Pacific Properties |
180,641 |
c |
3,479,146 |
||||
JBG SMITH Properties |
131,441 |
c |
3,069,147 |
||||
Jones Lang LaSalle |
60,808 |
6,862,791 |
|||||
Kilroy Realty |
123,782 |
c |
5,827,657 |
||||
Lamar Advertising, Cl. A |
101,418 |
c |
6,283,859 |
||||
Life Storage |
55,082 |
c |
6,287,610 |
||||
Medical Properties Trust |
621,799 |
c |
11,080,458 |
||||
National Retail Properties |
205,059 |
c |
6,563,939 |
||||
Omega Healthcare Investors |
266,653 |
c |
7,682,273 |
||||
Park Hotels & Resorts |
278,639 |
b,c |
2,766,885 |
||||
Pebblebrook Hotel Trust |
153,277 |
b,c |
1,836,258 |
||||
Physicians Realty Trust |
245,409 |
c |
4,137,596 |
||||
Potlatchdeltic |
78,761 |
c |
3,272,520 |
||||
PS Business Parks |
23,437 |
c |
2,672,521 |
||||
Rayonier |
161,960 |
c |
4,110,545 |
||||
Rexford Industrial Realty |
146,267 |
b,c |
6,795,565 |
||||
Sabra Health Care REIT |
244,624 |
c |
3,219,252 |
||||
Service Properties Trust |
198,715 |
c |
1,432,735 |
||||
Spirit Realty Capital |
120,673 |
b,c |
3,626,224 |
||||
STORE Capital |
269,575 |
c |
6,928,077 |
||||
Taubman Centers |
72,928 |
c |
2,437,254 |
||||
The GEO Group |
144,462 |
b,c |
1,279,933 |
||||
The Macerich Company |
131,880 |
b,c |
917,885 |
||||
Urban Edge Properties |
126,925 |
c |
1,193,095 |
16
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Real Estate - 8.8% (continued) |
|||||||
Weingarten Realty Investors |
141,288 |
c |
2,240,828 |
||||
176,497,368 |
|||||||
Retailing - 3.7% |
|||||||
Aaron's Holdings |
79,187 |
4,138,313 |
|||||
American Eagle Outfitters |
173,872 |
b |
2,383,785 |
||||
AutoNation |
68,887 |
a |
3,907,959 |
||||
Dick's Sporting Goods |
76,828 |
4,352,306 |
|||||
Five Below |
65,623 |
a,b |
8,750,171 |
||||
Foot Locker |
122,954 |
4,534,544 |
|||||
Grubhub |
109,115 |
a |
8,070,145 |
||||
Kohl's |
187,006 |
3,981,358 |
|||||
Lithia Motors, Cl. A |
30,091 |
6,907,991 |
|||||
Murphy USA |
32,176 |
3,934,803 |
|||||
Nordstrom |
129,002 |
b |
1,560,924 |
||||
Ollie's Bargain Outlet Holdings |
66,763 |
a |
5,814,390 |
||||
RH |
18,234 |
a,b |
6,112,584 |
||||
Urban Outfitters |
81,661 |
a,b |
1,824,307 |
||||
Williams-Sonoma |
91,417 |
8,338,145 |
|||||
74,611,725 |
|||||||
Semiconductors & Semiconductor Equipment - 5.1% |
|||||||
Cirrus Logic |
68,875 |
a |
4,743,421 |
||||
CMC Materials |
34,076 |
4,845,266 |
|||||
Cree |
129,711 |
a,b |
8,249,620 |
||||
Enphase Energy |
148,234 |
a |
14,540,273 |
||||
First Solar |
100,219 |
a |
8,723,563 |
||||
MKS Instruments |
65,148 |
7,061,392 |
|||||
Monolithic Power Systems |
49,668 |
15,873,893 |
|||||
Semtech |
76,827 |
a |
4,217,034 |
||||
Silicon Laboratories |
51,385 |
a |
5,264,907 |
||||
SolarEdge Technologies |
58,963 |
a |
15,194,175 |
||||
Synaptics |
40,045 |
a,b |
3,070,250 |
||||
Universal Display |
50,384 |
9,991,651 |
|||||
101,775,445 |
|||||||
Software & Services - 6.0% |
|||||||
ACI Worldwide |
137,215 |
a |
4,002,561 |
||||
Alliance Data Systems |
56,655 |
2,919,999 |
|||||
Blackbaud |
58,993 |
2,910,715 |
|||||
CACI International, Cl. A |
29,459 |
a |
6,143,085 |
||||
CDK Global |
142,671 |
6,149,120 |
|||||
Ceridian HCM Holding |
152,688 |
a |
13,164,759 |
||||
Commvault Systems |
54,789 |
a |
2,169,096 |
||||
Fair Isaac |
34,108 |
a |
13,351,577 |
||||
J2 Global |
52,703 |
a,b |
3,577,480 |
17
STATEMENT OF INVESTMENTS (continued)
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Software & Services - 6.0% (continued) |
|||||||
KBR |
167,793 |
3,740,106 |
|||||
Liveramp Holdings |
77,283 |
a |
5,107,633 |
||||
Manhattan Associates |
74,582 |
a |
6,376,761 |
||||
MAXIMUS |
72,330 |
4,888,061 |
|||||
Paylocity Holding |
43,627 |
a |
8,093,681 |
||||
Perspecta |
160,742 |
2,882,104 |
|||||
PTC |
122,861 |
a |
10,305,581 |
||||
Qualys |
40,022 |
a |
3,515,933 |
||||
Sabre |
372,575 |
2,429,189 |
|||||
SailPoint Technologies Holdings |
106,500 |
a |
4,420,815 |
||||
Science Applications International |
68,646 |
5,242,495 |
|||||
Teradata |
130,477 |
a |
2,396,862 |
||||
WEX |
52,118 |
a |
6,595,533 |
||||
120,383,146 |
|||||||
Technology Hardware & Equipment - 4.8% |
|||||||
Arrow Electronics |
91,751 |
a |
7,146,485 |
||||
Avnet |
116,222 |
2,867,197 |
|||||
Belden |
52,057 |
1,607,520 |
|||||
Ciena |
180,440 |
a |
7,107,532 |
||||
Cognex |
203,540 |
13,413,286 |
|||||
Coherent |
28,853 |
a |
3,610,664 |
||||
II-VI |
122,402 |
a,b |
5,565,619 |
||||
InterDigital |
36,490 |
2,042,710 |
|||||
Jabil |
158,988 |
5,268,862 |
|||||
Littelfuse |
28,739 |
5,688,598 |
|||||
Lumentum Holdings |
88,877 |
a |
7,349,239 |
||||
National Instruments |
155,146 |
4,852,967 |
|||||
NCR |
152,827 |
a |
3,105,445 |
||||
NETSCOUT Systems |
85,423 |
a |
1,752,880 |
||||
SYNNEX |
48,366 |
6,366,900 |
|||||
Trimble |
294,325 |
a |
14,165,862 |
||||
Viasat |
76,131 |
a |
2,580,841 |
||||
Vishay Intertechnology |
154,823 |
2,511,229 |
|||||
97,003,836 |
|||||||
Telecommunication Services - .1% |
|||||||
Telephone & Data Systems |
117,424 |
1,996,208 |
|||||
Transportation - 1.8% |
|||||||
Avis Budget Group |
60,753 |
a |
2,045,553 |
||||
JetBlue Airways |
322,985 |
a |
3,866,130 |
||||
Kirby |
71,007 |
a |
2,733,059 |
||||
Knight-Swift Transportation Holdings |
147,796 |
5,614,770 |
|||||
Landstar System |
45,038 |
5,616,239 |
|||||
Ryder System |
63,327 |
3,119,488 |
18
Description |
Shares |
Value ($) |
|||||
Common Stocks - 99.1% (continued) |
|||||||
Transportation - 1.8% (continued) |
|||||||
Werner Enterprises |
68,676 |
2,611,062 |
|||||
XPO Logistics |
107,344 |
a,b |
9,660,960 |
||||
35,267,261 |
|||||||
Utilities - 3.8% |
|||||||
ALLETE |
61,706 |
3,182,795 |
|||||
Black Hills |
73,537 |
4,166,606 |
|||||
Essential Utilities |
262,298 |
10,806,678 |
|||||
Hawaiian Electric Industries |
127,948 |
4,227,402 |
|||||
IDACORP |
59,198 |
5,193,441 |
|||||
MDU Resources Group |
236,738 |
5,624,895 |
|||||
National Fuel Gas |
107,270 |
4,286,509 |
|||||
New Jersey Resources |
114,088 |
3,329,088 |
|||||
NorthWestern |
59,157 |
3,083,854 |
|||||
OGE Energy |
235,108 |
7,234,273 |
|||||
ONE Gas |
62,026 |
4,282,275 |
|||||
PNM Resources |
93,952 |
4,697,600 |
|||||
Southwest Gas Holdings |
65,937 |
4,333,380 |
|||||
Spire |
60,988 |
3,417,768 |
|||||
UGI |
244,742 |
7,914,956 |
|||||
75,781,520 |
|||||||
Total Common Stocks (cost $1,449,556,301) |
1,986,654,726 |
||||||
Principal Amount ($) |
|||||||
Short-Term Investments - .0% |
|||||||
U.S. Treasury Bills - .0% |
|||||||
0.20%, 2/25/21 |
759,000 |
d,e |
758,770 |
||||
1-Day |
Shares |
||||||
Investment Companies - .3% |
|||||||
Registered Investment Companies - .3% |
|||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
0.10 |
6,698,779 |
f |
6,698,779 |
19
STATEMENT OF INVESTMENTS (continued)
Description |
1-Day |
Shares |
Value ($) |
||||
Investment of Cash Collateral for Securities Loaned - .5% |
|||||||
Registered Investment Companies - .5% |
|||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
0.10 |
8,924,121 |
f |
8,924,121 |
|||
Total Investments (cost $1,465,937,721) |
99.9% |
2,003,036,396 |
|||||
Cash and Receivables (Net) |
.1% |
2,745,738 |
|||||
Net Assets |
100.0% |
2,005,782,134 |
REIT—Real Estate Investment Trust
a Non-income producing security.
b Security, or portion thereof, on loan. At October 31, 2020, the value of the fund’s securities on loan was $132,189,676 and the value of the collateral was $138,022,764, consisting of cash collateral of $8,924,121 and U.S. Government & Agency securities valued at $129,098,643.
c Investment in real estate investment trust within the United States.
d Held by a counterparty for open exchange traded derivative contracts.
e Security is a discount security. Income is recognized through the accretion of discount.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † |
Value (%) |
Industrials |
17.7 |
Information Technology |
15.9 |
Consumer Discretionary |
14.5 |
Financials |
14.4 |
Health Care |
11.4 |
Real Estate |
8.8 |
Materials |
5.9 |
Consumer Staples |
4.0 |
Utilities |
3.8 |
Communication Services |
1.6 |
Energy |
1.1 |
Investment Companies |
.8 |
Government |
.0 |
99.9 |
† Based on net assets.
See notes to financial statements.
20
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Investment Companies |
Value |
Purchases ($)† |
Sales ($) |
Value |
Net |
Dividends/ |
Registered Investment |
||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
11,652,384 |
583,413,341 |
(588,366,946) |
6,698,779 |
.3 |
133,051 |
Investment of Cash |
||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund |
40,453,746 |
173,527,921 |
(205,057,546) |
8,924,121 |
.5 |
- |
Total |
52,106,130 |
756,941,262 |
(793,424,492) |
15,622,900 |
.8 |
133,051 |
† Includes reinvested dividends/distributions.
See notes to financial statements.
21
STATEMENT OF FUTURES
October 31, 2020
Description |
Number of |
Expiration |
Notional |
Market |
Unrealized (Depreciation) ($) |
|
Futures Long |
||||||
Standard & Poor's Midcap 400 E-mini |
109 |
12/18/2020 |
21,135,754 |
20,662,040 |
(473,714) |
|
Gross Unrealized Depreciation |
(473,714) |
See notes to financial statements.
22
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2020
|
|
|
|
|
|
|
|
|
|
Cost |
|
Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers |
1,450,314,821 |
|
1,987,413,496 |
| ||
Affiliated issuers |
|
15,622,900 |
|
15,622,900 |
| |
Cash |
|
|
|
|
73,611 |
|
Receivable for investment securities sold |
|
12,863,753 |
| |||
Receivable for shares of Common Stock subscribed |
|
1,304,108 |
| |||
Dividends and securities lending income receivable |
|
952,034 |
| |||
|
|
|
|
|
2,018,229,902 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
|
746,590 |
| |||
Liability for securities on loan—Note 1(c) |
|
8,924,121 |
| |||
Payable for shares of Common Stock redeemed |
|
2,386,097 |
| |||
Payable for investment securities purchased |
|
245,648 |
| |||
Directors’ fees and expenses payable |
|
86,496 |
| |||
Payable for futures variation margin—Note 4 |
|
58,816 |
| |||
|
|
|
|
|
12,447,768 |
|
Net Assets ($) |
|
|
2,005,782,134 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
|
1,260,309,622 |
|
Total distributable earnings (loss) |
|
|
|
|
745,472,512 |
|
Net Assets ($) |
|
|
2,005,782,134 |
|
Net Asset Value Per Share |
Investor Shares |
Class I |
|
Net Assets ($) |
1,466,328,247 |
539,453,887 |
|
Shares Outstanding |
48,434,817 |
17,860,600 |
|
Net Asset Value Per Share ($) |
30.27 |
30.20 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
23
STATEMENT OF OPERATIONS
Year Ended October 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $2,396 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
|
36,241,989 |
| ||
Affiliated issuers |
|
|
131,269 |
| ||
Income from securities lending—Note 1(c) |
|
|
575,877 |
| ||
Interest |
|
|
42,422 |
| ||
Total Income |
|
|
36,991,557 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
|
5,648,583 |
| ||
Shareholder servicing costs—Note 3(b) |
|
|
4,051,745 |
| ||
Directors’ fees—Note 3(a,c) |
|
|
276,500 |
| ||
Loan commitment fees—Note 2 |
|
|
73,039 |
| ||
Interest expense—Note 2 |
|
|
884 |
| ||
Total Expenses |
|
|
10,050,751 |
| ||
Less—Directors’ fees reimbursed by |
|
|
(276,500) |
| ||
Net Expenses |
|
|
9,774,251 |
| ||
Investment Income—Net |
|
|
27,217,306 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments |
265,043,783 |
| ||||
Net realized gain (loss) on futures |
(2,106,643) |
| ||||
Capital gain distributions from affiliated issuers |
1,782 |
| ||||
Net Realized Gain (Loss) |
|
|
262,938,922 |
| ||
Net change in unrealized appreciation (depreciation) on investments |
(353,721,221) |
| ||||
Net change in unrealized appreciation (depreciation) on futures |
(682,616) |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
|
(354,403,837) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
|
(91,464,915) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
|
(64,247,609) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
24
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
Year Ended October 31, | |||||
|
|
|
|
2020 |
|
2019 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
|
27,217,306 |
|
|
|
37,051,583 |
| |
Net realized gain (loss) on investments |
|
262,938,922 |
|
|
|
247,223,893 |
| ||
Net change in unrealized appreciation |
|
(354,403,837) |
|
|
|
(72,617,980) |
| ||
Net Increase (Decrease) in Net Assets |
(64,247,609) |
|
|
|
211,657,496 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
|
(194,638,217) |
|
|
|
(244,574,349) |
| |
Class I |
|
|
(81,299,384) |
|
|
|
(108,705,932) |
| |
Total Distributions |
|
|
(275,937,601) |
|
|
|
(353,280,281) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
|
176,665,684 |
|
|
|
256,644,043 |
| |
Class I |
|
|
140,593,279 |
|
|
|
177,856,734 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
|
189,969,095 |
|
|
|
239,293,099 |
| |
Class I |
|
|
41,048,264 |
|
|
|
54,360,648 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
|
(604,536,723) |
|
|
|
(662,985,612) |
| |
Class I |
|
|
(341,157,493) |
|
|
|
(483,237,429) |
| |
Increase (Decrease) in Net Assets |
(397,417,894) |
|
|
|
(418,068,517) |
| |||
Total Increase (Decrease) in Net Assets |
(737,603,104) |
|
|
|
(559,691,302) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
|
2,743,385,238 |
|
|
|
3,303,076,540 |
| |
End of Period |
|
|
2,005,782,134 |
|
|
|
2,743,385,238 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
|
6,241,855 |
|
|
|
7,777,767 |
| |
Shares issued for distributions reinvested |
|
|
5,842,156 |
|
|
|
8,423,823 |
| |
Shares redeemed |
|
|
(20,501,751) |
|
|
|
(20,116,492) |
| |
Net Increase (Decrease) in Shares Outstanding |
(8,417,740) |
|
|
|
(3,914,902) |
| |||
Class Ia,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
|
5,239,754 |
|
|
|
5,505,556 |
| |
Shares issued for distributions reinvested |
|
|
1,268,434 |
|
|
|
1,921,187 |
| |
Shares redeemed |
|
|
(12,212,580) |
|
|
|
(14,807,228) |
| |
Net Increase (Decrease) in Shares Outstanding |
(5,704,392) |
|
|
|
(7,380,485) |
| |||
|
|
|
|
|
|
|
|
|
|
aDuring the period ended October 31, 2019, 27,964 Class I shares representing $957,373 were automatically converted to 27,900 Investor shares. |
|||||||||
bDuring the period ended October 31, 2020, 11,406 Class I shares representing $284,760 were exchanged for 11,365 Class Investor shares. |
|||||||||
See notes to financial statements. |
25
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | |||||||||
Investor Shares |
2020 |
2019 |
2018 |
2017 |
2016a | ||||
Per Share Data ($): |
|||||||||
Net asset value, beginning of period |
34.13 |
36.02 |
39.03 |
35.17 |
37.70 | ||||
Investment Operations: |
|||||||||
Investment income—netb |
.34 |
.40 |
.42 |
.32 |
.42 | ||||
Net realized and unrealized |
(.67) |
1.82 |
(.11) |
7.30 |
1.45 | ||||
Total from Investment |
(.33) |
2.22 |
.31 |
7.62 |
1.87 | ||||
Distributions: |
|||||||||
Dividends from investment |
(.43) |
(.44) |
(.35) |
(.38) |
(.43) | ||||
Dividends from net realized |
(3.10) |
(3.67) |
(2.97) |
(3.38) |
(3.97) | ||||
Total Distributions |
(3.53) |
(4.11) |
(3.32) |
(3.76) |
(4.40) | ||||
Net asset value, end of period |
30.27 |
34.13 |
36.02 |
39.03 |
35.17 | ||||
Total Return (%) |
(1.66) |
8.48 |
.52 |
22.89 |
5.79 | ||||
Ratios/Supplemental Data (%): |
|||||||||
Ratio of total expenses |
.52 |
.51 |
.51 |
.51 |
.51 | ||||
Ratio of net expenses |
.50 |
.50 |
.50 |
.50 |
.50 | ||||
Ratio of net investment income |
1.13 |
1.19 |
1.09 |
.88 |
1.23 | ||||
Portfolio Turnover Rate |
17.90 |
15.37 |
15.73 |
24.48 |
21.68 | ||||
Net Assets, end of period ($ x 1,000) |
1,466,328 |
1,940,533 |
2,189,027 |
2,711,092 |
3,191,813 |
a On August 31, 2016, the fund redesignated existing shares as Investor shares.
b Based on average shares outstanding.
See notes to financial statements.
26
Year Ended October 31, | ||||||||
Class I Shares |
2020 |
2019 |
2018 |
2017 |
2016a | |||
Per Share Data ($): |
||||||||
Net asset value, beginning of period |
34.07 |
36.00 |
39.01 |
35.18 |
36.39 | |||
Investment Operations: |
||||||||
Investment income—netb |
.42 |
.48 |
.50 |
.42 |
.02 | |||
Net realized and unrealized |
(.67) |
1.81 |
(.08) |
7.28 |
(1.23) | |||
Total from Investment Operations |
(.25) |
2.29 |
.42 |
7.70 |
(1.21) | |||
Distributions: |
||||||||
Dividends from investment |
(.52) |
(.55) |
(.46) |
(.49) |
- | |||
Dividends from net realized |
(3.10) |
(3.67) |
(2.97) |
(3.38) |
- | |||
Total Distributions |
(3.62) |
(4.22) |
(3.43) |
(3.87) |
- | |||
Net asset value, end of period |
30.20 |
34.07 |
36.00 |
39.01 |
35.18 | |||
Total Return (%) |
(1.42) |
8.76 |
.79 |
23.17 |
(3.33)c | |||
Ratios/Supplemental Data (%): |
||||||||
Ratio of total expenses |
.27 |
.26 |
.26 |
.26 |
.26d | |||
Ratio of net expenses |
.25 |
.25 |
.25 |
.25 |
.25d | |||
Ratio of net investment income |
1.40 |
1.46 |
1.31 |
1.10 |
.70d | |||
Portfolio Turnover Rate |
17.90 |
15.37 |
15.73 |
24.48 |
21.68 | |||
Net Assets, end of period ($ x 1,000) |
539,454 |
802,852 |
1,114,049 |
1,024,602 |
5,867 |
a From August 31, 2016 (commencement of initial offering) to October 31, 2016.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
BNY Mellon Midcap 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’s investment objective is to seek to match the performance of the S&P’s MidCap 400® 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.
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 300 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Investor shares (200 million shares authorized) and Class I (100 million shares authorized). Investor shares are sold primarily to retail investors through financial intermediaries and bear Shareholder Services Plan fees. Class I shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, 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 Securities and Exchange Commission (“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 fund does not anticipate recognizing any loss related to these arrangements.
28
(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 value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
29
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2020 in valuing the fund’s investments:
30
Level 1 - |
Level 2 – Other |
Level 3 - |
Total | |
Assets ($) |
||||
Investments in Securities: † |
||||
Equity Securities— |
1,986,654,726 |
- |
- |
1,986,654,726 |
Investment |
15,622,900 |
- |
- |
15,622,900 |
U.S. Treasury Securities |
- |
758,770 |
- |
758,770 |
Liabilities ($) |
||||
Other Financial Instruments: |
||||
Futures†† |
(473,714) |
- |
- |
(473,714) |
† 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 fund’s understanding of 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. Foreign taxes payable or deferred as of October 31, 2020, 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
31
NOTES TO FINANCIAL STATEMENTS (continued)
fund is entitled to receive all dividends, interest and distributions on 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 October 31, 2020, The Bank of New York Mellon earned $113,524 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 worldwide. 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 and 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
32
capital loss carryovers, it is the policy of the fund not 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 October 31, 2020, 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 October 31, 2020, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2020 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2020, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $20,483,220, undistributed capital gains $209,242,745 and unrealized appreciation $515,746,547.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2020 and October 31, 2019 were as follows: ordinary income $35,453,303 and $57,653,854, and long-term capital gains $240,484,298 and $295,626,427, respectively.
During the period ended October 31, 2020, as a result of permanent book to tax differences, primarily due to the tax treatment for treating a portion of the proceeds from redemptions as a distribution for tax purposes, the fund decreased total distributable earnings (loss) by $48,589,702 and increased paid-in capital by the same amount. Net assets and net asset value per share were not affected by this reclassification.
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
33
NOTES TO FINANCIAL STATEMENTS (continued)
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. Prior to September 30, 2020, the Citibank Credit Facility was $927 million with Tranche A available in an amount equal to $747 million and Tranche B available in an amount equal to $180 million. Prior to March 11, 2020, the Citibank Credit Facility was $1.030 billion with Tranche A available in an amount equal to $830 million and Tranche B available in an amount equal to $200 million. 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.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2020 was approximately $69,126 with a related weighted average annualized interest rate of 1.28%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .25% of the value of the fund’s average daily net assets and is payable monthly. Out of its fee, the Adviser pays all of the expenses of the fund except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of the interested Directors (including counsel fees) and extraordinary expenses. In addition, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2020, fees reimbursed by the Adviser amounted to $276,500.
(b) Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service
34
Agents. During the period ended October 31, 2020, the fund was charged $4,051,745 pursuant to the Shareholder Services Plan.
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 interest income and overdraft fees, if any, as interest income 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 $445,291 and Shareholder Services Plan fees of $325,799, which are offset against an expense reimbursement currently in effect in the amount of $24,500.
(c) 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 October 31, 2020, amounted to $401,478,741 and $1,057,368,679, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2020 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the
35
NOTES TO FINANCIAL STATEMENTS (continued)
exchange guarantees the futures against default. Futures open at October 31, 2020 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2020:
|
|
Average Market Value ($) |
Equity futures |
|
19,515,582 |
|
|
|
At October 31, 2020, the cost of investments for federal income tax purposes was $1,487,289,849; accordingly, accumulated net unrealized appreciation on investments was $515,746,547, consisting of $728,641,580 gross unrealized appreciation and $212,895,033 gross unrealized depreciation.
36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Directors of BNY Mellon Midcap Index Fund, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of BNY Mellon Midcap Index Fund, Inc. (the “Fund”), including the statements of investments, investments in affiliated issuers and futures, as of October 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at October 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies in the BNY Mellon Family of Funds since at least 1957, but we are unable to determine the specific year.
New York, New York
December 23, 2020
37
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports 77.25% of the ordinary dividends paid during the fiscal year ended October 31, 2020 as qualifying for the corporate dividends received deduction. Also, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $19,468,518 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2021 of the percentage applicable to the preparation of their 2020 income tax returns. The fund also hereby reports $.0290 per share as a long-term capital gain distribution paid on March 24, 2020 and also $3.0734 per share as a long-term capital gain distribution paid on December 26, 2019.
38
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 funds 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 fund’s 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 fund 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 June 1, 2019 to March 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.
39
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) (continued)
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.
40
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Joseph S. DiMartino (77)
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)
No. of Portfolios for which Board Member Serves: 110
———————
Peggy C. Davis (77)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 39
———————
Gina D. France (62)
Board Member (2019)
Principal Occupation During Past 5 Years:
· Founder, President and Chief Executive Officer, France Strategic Partners, a strategy and advisory firm serving corporate clients across the United States (2003 –Present)
· Corporate Director and Trustee (2004 – Present)
Other Public Company Board Memberships During Past 5 Years:
· Huntington Bancshares, a bank holding company headquartered in Columbus, Ohio, Director (2016 – Present)
· Cedar Fair, L.P., a publicly-traded partnership that owns and operates amusement parks and hotels in the U.S. and Canada, Director (2011 – Present)
· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (2015 – Present)
· Baldwin Wallace University, Trustee (2013- 2019)
· FirstMerit Corporation, a diversified financial services company, Director (2004 – 2016)
No. of Portfolios for which Board Member Serves: 25
———————
41
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Joan Gulley (73)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014), Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
· Director, Nantucket Library (2015-Present)
No. of Portfolios for which Board Member Serves: 43
———————
Robin A. Melvin (57)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Trustee, Westover School, a private girls’ boarding school in Middlebury, Connecticut (2019 – Present); Co-chairman, Mentor Illinois, a non-profit organization dedicated to increasing the quality of mentoring services in Illinois (2014 – 2020); Board member, Mentor Illinois (2013 – 2020)
No. of Portfolios for which Board Member Serves: 88
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.
David P. Feldman, Emeritus Board Member
James F. Henry, Emeritus Board Member
Ehud Houminer, Emeritus Board Member
Lynn Martin, Emeritus Board Member
Dr. Martin Peretz, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
42
OFFICERS OF THE FUND (Unaudited)
RENEE LAROCHE-MORRIS, President since May 2019.
President and a director of BNY Mellon Investment Adviser, Inc. since January 2018. She is an officer of 61 investment companies (comprised of 110 portfolios) managed by the Adviser. She is 49 years old and has been an employee of BNY Mellon since 2003.
JAMES WINDELS, Treasurer since November 2001.
Director-BNY Mellon Fund Administration, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 62 years old and has been an employee of the Adviser since April 1985.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Adviser and Associate General Counsel and Managing Director of BNY Mellon since June 2015; Director and Associate General Counsel of Deutsche Bank–Asset & Wealth Management Division from June 2005 to June 2015, and as Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 49 years old and has been an employee of the Adviser since June 2015.
DAVID DIPETRILLO, Vice President since May 2019.
Head of North America Product, BNY Mellon Investment Management since January 2018, Director of Product Strategy, BNY Mellon Investment Management from January 2016 to December 2017; Head of US Retail Product and Channel Marketing, BNY Mellon Investment Management from January 2014 to December 2015. He is an officer of 62 investment companies (comprised of 118 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 42 years old and has been an employee of BNY Mellon since 2005.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Senior Managing Counsel of BNY Mellon since December 2019; Managing Counsel of BNY Mellon from April 2014 to December 2019; Secretary of the Adviser, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since December 1996.
SONALEE CROSS, Vice President and Assistant Secretary since March 2018.
Counsel of BNY Mellon since October 2016; Associate at Proskauer Rose LLP from April 2016 to September 2016; Attorney at EnTrust Capital from August 2015 to February 2016; Associate at Sidley Austin LLP from September 2013 to August 2015. She is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 33 years old and has been an employee of the Adviser since October 2016.
DEIRDRE CUNNANE, Vice President and Assistant Secretary since March 2019.
Counsel of BNY Mellon since August 2018; Senior Regulatory Specialist at BNY Mellon Investment Management Services from February 2016 to August 2018; Trustee Associate at BNY Mellon Trust Company (Ireland) Limited from August 2013 to February 2016. She is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 30 years old and has been an employee of the Adviser since August 2018.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Managing Counsel of BNY Mellon since December 2017, Senior Counsel of BNY Mellon from March 2013 to December 2017. She is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 45 years old and has been an employee of the Adviser since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since October 1990.
AMANDA QUINN, Vice President and Assistant Secretary since March 2020.
Counsel of BNY Mellon since June 2019; Regulatory Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019; Senior Regulatory Specialist at BNY Mellon Investment Management Services from April 2015 to August 2018. She is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 35 years old and has been an employee of the Adviser since June 2019.
43
OFFICERS OF THE FUND (Unaudited) (continued)
PETER M. SULLIVAN, Vice President and Assistant Secretary since March 2019.
Managing Counsel of BNY Mellon since March 2009, Senior Counsel of BNY Mellon from April 2004 to March 2009, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 52 years old and has been an employee of the Adviser since January 2019.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Managing Counsel of BNY Mellon since December 2019; Counsel of BNY Mellon from May 2016 to December 2019; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 to May 2016 and Assistant General Counsel at RCS Advisory Services from July 2014 to November 2015. She is an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 35 years old and has been an employee of the Adviser since May 2016.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager-BNY Mellon Fund Administration, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 52 years old and has been an employee of the Adviser since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager-BNY Mellon Fund Administration, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 56 years old and has been an employee of the Adviser since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 63 investment companies (comprised of 141 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Adviser, the BNY Mellon Family of Funds and BNY Mellon Funds Trust (62 investment companies, comprised of 133 portfolios). He is 63 years old and has served in various capacities with the Adviser since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor. She is an officer of 56 investment companies (comprised of 134 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 52 years old and has been an employee of the Distributor since 1997.
44
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45
BNY Mellon Midcap Index Fund, Inc.
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
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
Ticker Symbols: Investor: PESPX Class I: DMIDX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.bnymellonim.com/us
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.bnymellonim.com/us and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2020 BNY Mellon Securities Corporation |
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Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that Joseph S. DiMartino, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. DiMartino is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $36,338 in 2019 and $34,853 in 2020.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $7,803 in 2019 and $7,066 in 2020. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2019 and $0 in 2020.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $3,440 in 2019 and $3,317 in 2020. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2019 and $0 in 2020.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $1,442 in 2019 and $0 in 2020. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2019 and $0 in 2020.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $616,767 in 2019 and $1,174,149 in 2020.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
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 second fiscal quarter of 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) Code of ethics referred to in Item 2.
(a)(3) Not applicable.
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 Midcap Index Fund, Inc.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: December 22, 2020
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/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: December 22, 2020
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: December 22, 2020
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(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)
THE BNY MELLON FAMILY OF FUNDS
BNY MELLON FUNDS TRUST
Principal Executive Officer and Senior Financial Officer
Code of Ethics
This code of ethics (the "Code"), adopted by the funds in the BNY Mellon Family of Funds and BNY Mellon Funds Trust (each, a "Fund"), applies to each Fund's Principal Executive Officer, Principal Financial Officer, Principal Accounting Officer or Controller, or other persons performing similar functions, each of whom is listed on Exhibit A (the "Covered Officers"), for the purpose of promoting:
· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fund files with, or submits to, the Securities and Exchange Commission (the "SEC") and in other public communications made by the Fund;
· compliance with applicable laws and governmental rules and regulations;
· the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and
· accountability for adherence to the Code.
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
Overview. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fund.
Certain conflicts of interest arise out of the relationships between Covered Officers and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "Investment Company Act"), and the Investment Advisers Act of 1940, as amended (the "Investment Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as "affiliated persons" of the Fund. The compliance programs and procedures of the Fund and the Fund's investment adviser (the "Adviser") are designed to prevent, or identify and correct, violations of these provisions. The Code does not, and is not intended to, repeat or replace these programs and procedures, and the circumstances they cover fall outside of the parameters of the Code.
Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fund and the Adviser of which the Covered Officers are also officers or employees. As a result, the Code recognizes that the Covered Officers, in the ordinary course of their duties (whether formally for the Fund or for the Adviser, or for both), will be involved in establishing policies and implementing decisions that will have different effects on the Adviser and the Fund. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fund and the Adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Fund and, if addressed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, will be deemed to have been handled ethically. In addition, it is recognized by the Fund's Board that the Covered Officers also may be officers or employees of one or more other investment companies covered by this or other codes of ethics.
Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. Covered Officers should keep in mind that the Code cannot enumerate every possible scenario. The overarching principle of the Code is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Fund.
Each Covered Officer must:
· not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally to the detriment of the Fund;
· not cause the Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund; and
· not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith.
· Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fund within his area of responsibility;
· each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund's Board members and auditors, and to governmental regulators and self-regulatory organizations;
· each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Fund and the Adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fund files with, or submits to, the SEC and in other public communications made by the Fund; and
· it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.
Each Covered Officer must:
· upon adoption of the Code (or thereafter, as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he has received, read, and understands the Code;
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· annually thereafter affirm to the Board that he has complied with the requirements of the Code; and
· notify the Adviser's General Counsel (the "General Counsel") promptly if he knows of any violation of the Code. Failure to do so is itself a violation of the Code.
The General Counsel is responsible for applying the Code to specific situations in which questions are presented under it and has the authority to interpret the Code in any particular situation. However, waivers sought by any Covered Officer will be considered by the Fund's Board.
The Fund will follow these procedures in investigating and enforcing the Code:
· the General Counsel will take all appropriate action to investigate any potential violations reported to him;
· if, after such investigation, the General Counsel believes that no violation has occurred, the General Counsel is not required to take any further action;
· any matter that the General Counsel believes is a violation will be reported to the Board;
· if the Board concurs that a violation has occurred, it will consider appropriate action, which may include: review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the Adviser or its board; or dismissal of the Covered Officer;
· the Board will be responsible for granting waivers, as appropriate; and
· any waivers of or amendments to the Code, to the extent required, will be disclosed as provided by SEC rules.
The Code shall be the sole code of ethics adopted by the Fund for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. The Fund's, its principal underwriter's and the Adviser's codes of ethics under Rule 17j-1 under the Investment Company Act and the Adviser's additional policies and procedures, including its Code of Conduct, are separate requirements applying to the Covered Officers and others, and are not part of the Code.
Except as to Exhibit A, the Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Fund's Board, including a majority of independent Board members.
All reports and records prepared or maintained pursuant to the Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or the Code, such matters shall not be disclosed to anyone other than the appropriate Funds and their counsel, the appropriate Boards (or Committees) and their counsel and the Adviser.
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The Code is intended solely for the internal use by the Fund and does not constitute an admission, by or on behalf of the Fund, as to any fact, circumstance, or legal conclusion.
Dated as of: June 3, 2019
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Exhibit A
Persons Covered by the Code of Ethics
Renee LaRoche-Morris |
President |
(Principal Executive Officer, BNY Mellon Family of Funds) |
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Patrick T. Crowe |
President |
(Principal Executive Officer, BNY Mellon Funds Trust) |
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James M. Windels |
Treasurer |
(Principal Financial and Accounting Officer) |
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[EX-99.CERT]—Exhibit (a)(2)
SECTION 302 CERTIFICATION
I, Renee LaRoche-Morris, certify that:
1. I have reviewed this report on Form N-CSR of BNY Mellon Midcap Index Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: December 22, 2020
SECTION 302 CERTIFICATION
I, James Windels, certify that:
1. I have reviewed this report on Form N-CSR of BNY Mellon Midcap Index Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: December 22, 2020
[EX-99.906CERT]
Exhibit (b)
SECTION 906 CERTIFICATIONS
In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and
(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President
(Principal Executive Officer)
Date: December 22, 2020
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: December 22, 2020
This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
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