BNY MELLON GLOBAL DYNAMIC BOND FUND

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1 QUARTERLY INVESTMENT REPORT PREPARED FOR PROFESSIONAL CLIENTS AND, IN SWITZERLAND QUALIFIED INVESTORS // AS AT 31 MARCH 2018 BNY MELLON GLOBAL DYNAMIC BOND FUND INVESTMENT MANAGER Newton Investment Management: Newton pursues a distinctive global thematic investment approach and provides added value from extensive proprietary research. PERFORMANCE NOTE Past performance is not a guide to future performance. The value of investments can fall. Investors may not get back the amount invested. Income from investments may vary and is not guaranteed. QUARTERLY HIGHLIGHTS Performance: The generated a negative return, on a net basis. Activity: We reduced high yield exposure from over 17% at the end of January to 10% by the end of March. Outlook & Strategy: Overall, we favour caution as we are at an advanced stage in the credit cycle with further interest-rate rises likely. 5 YEAR CUMULATIVE PERFORMANCE (%) FUND RATINGS Source & Copyright: Morningstar ratings 2018 Morningstar. All Rights Reserved. Ratings are collected on the first business day of the month. PERFORMANCE SUMMARY (%) Annualised 1M 3M YTD 1YR 2YR 3YR 5YR USD W (Acc.) Source: Lipper as at 31 March performance USD W calculated as total return, based on net asset value, including charges, but excluding initial charge, income reinvested gross of tax, expressed in share class currency. The impact of the initial charge, which may be up to 5%, can be material on the performance of your investment. Performance figures including the initial charge are available upon request. Performance data covering periods prior to share class launch include synthetic returns. Synthetic results do not represent actual investment returns nor costs and are not a reliable indicator of future performance. Performance data covering the period since share class launch is a record of actual returns achieved. Performance data for USD W (Acc.) is derived from USD C (Acc.) before 25/06/2014, adjusted to reflect the annual management charge of the USD W (Acc.) share class. BNY MELLON INVESTMENT MANAGEMENT EMEA LIMITED - CLIENT SERVICES Tel: Fax: internationalsales@bnymellon.com Web:

2 PERFORMANCE COMMENTARY It was very much a quarter of two halves for bond markets. Government bond yields rose from the start of the year until mid- February, delivering losses to bondholders. Risk assets were initially resilient but volatility in government bond markets then affected equity and credit markets. The losses on government bonds were largely reversed in subsequent weeks (although not in the case of US Treasuries), as yields fell back on rising risk aversion. MOST OF THE NEGATIVE RETURNS ACCRUED IN FEBRUARY, WITH VOLATILITY AFFECTING THE FUND S HIGH YIELD AND INVESTMENT GRADE CREDIT EXPOSURE However, this risk aversion caused credit spreads to widen and ultimately the worst market returns came from those bonds with higher credit-spread risk: investment grade corporate bonds and emerging market government bonds. The generated a negative return over the quarter. The chief reason was the credit market weakness in February and March, although the s focus on shorter-maturity (and therefore shorter-duration) bonds served to lessen the effect of this. Most of the negative returns accrued in February, when the spike in volatility affected the s high yield bond and investment grade credit exposure in particular. Approximately three quarters of the negative return derived from the s corporate bond exposure (which accounted for around 36% of the s exposure as at the end of the quarter). Government bonds overall made an almost flat contribution, with losses in the first half of the period reversed over subsequent weeks. Emerging market bonds generated small gains, despite volatility in February. With sterling appreciating against most of the other G10 currencies, particularly in March when the outlines of a Brexit transition deal were agreed, the s small amount of nonsterling exposure also contributed negatively. ACTIVITY REVIEW Over the period, we reduced high yield exposure from over 17% at the end of January to 10% by the end of March, with most of the reduction taking effect in February. Among the larger sales were Antero Resources, BBVA, Iron Mountain and Ziggo, while we also disposed of AA (British motoring association) subordinated debt after a profit warning. WE CUT SOME LONGER-DATED EMERGING MARKET EXPOSURE IN MARCH We also cut some longer-dated emerging market exposure in March (Mexico, Peru and an exchange traded fund). We invested some of the proceeds in shorter-dated US dollar government bonds (issued by the US government and the Bank of England). For much of the period, we had a short position in Gilts through Gilt futures but in early March we tactically covered the position, expecting technical support for Gilts, which duly occurred; we reinstated the short position at the end of the quarter on more favourable terms. Overall investment grade exposure remained fairly constant at around a quarter of the, though we did recycle some bonds into new issues such as Summit Germany (commercial real estate) and Hiscox (insurance). 2

3 INVESTMENT STRATEGY AND OUTLOOK Although credit market spreads rose over the quarter and are now closer to the average of the past five years, we still favour caution. We are at an advanced stage in the credit cycle; underlying bond market volatility has increased, with further interest-rate rises likely; some further fiscal loosening is a possibility; and corporate bond liquidity is not as good as it was. Yet corporate bond yields remain at the lower end of their post-crisis range. WE BELIEVE DIVERGENCE IN THE PACE OF CENTRAL BANKS POLICY TIGHTENING WILL PRESENT OPPORTUNITIES Meanwhile, government bond yields and net supply dynamics remain under upward pressure. This should open up the prospect of reinvestment at higher yields (and the potential for higher returns) in the medium term. In the short term, however, our focus is on preserving capital, rather than taking too much credit or interest-rate risk in the hunt for yield. That said, all central banks are not moving at the same pace, or even in the same hawkish direction, and we believe this divergence should continue to throw up opportunities in selected geographies (such as Australia and some local currency emerging market issuance). Meanwhile, currency markets remain in a somewhat confused state, with politics, twin deficits and the perceived unattractiveness of US financial assets (rising Treasury yields and already high US equity valuations) weighing on the US dollar, despite US Federal Reserve policy tightening. Nonetheless, we believe further escalation of US-China trade tensions could see renewed safe-haven support for the greenback. Currently, however, selective emerging market currencies offering attractive yields and valuations (the Mexican peso and Brazilian real, for example) remain favoured versus lower-yielding developed market currencies exposed to a global growth slowdown (such as the Australian dollar and the New Zealand dollar). 3

4 CREDIT QUALITY BREAKDOWN (%) CURRENCY BREAKDOWN (%) DURATION DISTRIBUTION (%) AAA 29.2 AA 29.9 A 10.9 BBB 13.0 BB 9.2 B 4.4 NR 3.4 (after hedging) Dollar Bloc 97.0 Emerging Markets 3.6 Dev Asia 1.9 Euro -1.0 Sterling -1.4 US 0.9 Europe 0.5 United Kingdom 0.4 Others 1.0 Source: BNY Mellon Investment Management EMEA Limited MATURITY DISTRIBUTION (%) Years 0-3 yrs yrs yrs yrs yrs yrs yrs 0.1 REGIONAL BOND ALLOCATION (%) United States 21.2 United Kingdom 14.0 Netherlands 4.5 Canada 3.3 Germany 3.0 Australia 3.0 Ireland 2.5 Brazil 2.3 Supranational 2.2 Italy 2.1 New Zealand 2.1 Others 39.8 TOP 10 HOLDINGS (%) PORTFOLIO CHARACTERISTICS USA Treasury Notes 2.375% Tii 15/1/ 2025 Usd USA Treasury Notes 1.625% 15/08/ 2022 Usd Option Exposure on US 10yr Note (cbt) Jun USA Treasury Notes 3.5% 15/05/2020 Usd Euro - Btp Jun 2018 Future -3.0 Italy (republic Of) 3.75% Bds 01/03/ 2021 Eur USA Treasury Notes 2.125% 31/07/ 2024 Usd New Zealand Local Govt 3% Bds 15/04/2020 Nzd 1.7 Canada Housing Trust No1 2% Bds 15/ 12/2019 Cad Bny Mfm Ltd Newton Gbl High Yld 'x' (acc) 1.5 Duration (in years) 2.8 No. of issuers Average maturity (in years) 3.7 Annual yield (%) 2.8 4

5 KEY RISKS ASSOCIATED WITH THIS FUND There is no guarantee that the will achieve its objectives. This invests in international markets which means it is exposed to changes in currency rates which could affect the value of the. Derivatives are highly sensitive to changes in the value of the asset from which their value is derived. A small movement in the value of the underlying asset can cause a large movement in the value of the derivative. This can increase the sizes of losses and gains, causing the value of your investment to fluctuate. When using derivatives, the can lose significantly more than the amount it has invested in derivatives. Investments in bonds/money market securities are affected by interest rates and inflation trends which may negatively affect the value of the. Bonds with a low credit rating or unrated bonds have a greater risk of default. These investments may negatively affect the value of the. The issuer of a security held by the may not pay income or repay capital to the when due. Emerging Markets have additional risks due to less-developed market practices. The insolvency of any institutions providing services such as custody of assets or acting as a counterparty to derivatives or other contractual arrangements, may expose the to financial loss. Certain share classes are denominated in a different currency from the base currency (i.e. the reporting currency) of the. Changes in the exchange rate between the shareclass currency and the base currency may affect the value of your investment. Certain share classes use techniques to try to reduce the effects of changes in the exchange rate between the share class currency and the base currency of the. These techniques may not eliminate all the currency risk. A complete description of risk factors is set out in the Prospectus in the section entitled "Risk Factors".

6 INVESTMENT OBJECTIVE To maximize the total return from income and capital growth by investment primarily (meaning at least three-quarters of the s total assets) in a globally diversified portfolio of predominantly corporate and government fixed interest securities. GENERAL INFORMATION Total net assets (million) $ Lipper sector Lipper Global - Bond Global type ICVC domicile Ireland manager Paul Brain Alternate Howard Cunningham / Parmeshwar Chadha Base currency USD Currencies available EUR, USD, GBP launch 05 Aug 2010 DEALING 09:00 to 17:00 each business day Valuation point: 12:00 Dublin time USD W (ACC.) SHARE CLASS DETAILS Inception date 25 Jun 2014 Min. initial investment $ 15,000,000 Ongoing charge 0.64% Annual mgmt charge 0.50% Max. initial charge 5.00% ISIN IE00B8FCYG03 Registered for sale in: AT, BE, CL, DK, DE, FR, FI, GG, IE, IT, JE, LU, NL, NO, PT, SG, ES, SE, CH, GB Source: BNY Mellon Investment Management EMEA Limited Any views and opinions are those of the investment manager, unless otherwise noted. IMPORTANT INFORMATION For Professional Clients and, in Switzerland, for Qualified Investors only. This is a financial promotion and is not investment advice. For a full list of risks applicable to this fund, please refer to the Prospectus. Before subscribing, investors should read the most recent Prospectus, financial reports and KIID for each fund in which they want to invest. Go to Investment Managers are appointed by BNY Mellon Investment Management EMEA Limited (BNYMIM EMEA) or affiliated fund operating companies to undertake portfolio management activities in relation to contracts for products and services entered into by clients with BNYMIM EMEA or the BNY Mellon funds. Portfolio holdings are subject to change, for information only and are not investment recommendations. To help continually improve our service and in the interest of security, we may monitor and/or record your telephone calls with us. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and its subsidiaries. Investments should not be regarded as short-term and should normally be held for at least five years. The is a sub-fund of BNY Mellon Global s, plc, an open-ended investment company with variable capital (ICVC), with segregated liability between sub-funds. Incorporated with limited liability under the laws of Ireland and authorised by the Central Bank of Ireland as a UCITS. The Management Company is BNY Mellon Global Management Limited (BNY MGM), approved and regulated by the Central Bank of Ireland. Registered address: 33 Sir John Rogerson s Quay, Dublin 2, Ireland. In Austria, the current Prospectus and the Key Investor Information Document are available free of charge from Raiffeisen Zentralbank Österreich Aktiengesellschaft, Am Stadtpark 9, A-1030 Vienna. In Belgium, the KIID, Prospectus, articles of association and latest annual report are freely available upon request to from the paying agent : JP Morgan Chase Bank, 1 Boulevard du Roi Albert II, B-1210 Bruxelles, Belgium. The Prospectus, KIIDs, articles of association, annual and half-yearly financial reports are available in French. In France, the KIID, Prospectus, articles and latest annual report are freely available upon request to the centralising agent: BNP Paribas Securities Services, 3 rue d'antin, Paris, tél: Consent under the Control of Borrowing (Jersey) Order 1958 (the COBO Order ) has not been obtained for the circulation of this document. Accordingly, the offer that is the subject of this document may only be made in Jersey where the offer is valid in the United Kingdom or Guernsey and is circulated in Jersey only to persons similar to those to whom, and in a manner similar to that in which, it is for the time being circulated in the United Kingdom or Guernsey as the case may be. The Directors may, but are not obliged to, apply for such consent in the future. In Germany, this is for marketing purposes only. In Germany, the prospectus is available from BNYMIM EMEA, German branch, MesseTurm Friedrich-Ebert-Anlage 49, Frankfurt am Main, Germany. In Spain, BNY Mellon Global s is registered with the CNMV, Registration No In Switzerland, the Company is established as an open-ended umbrella type investment company under Irish law and the Sub-s are authorised by FINMA for distribution to non-qualified investors in or from Switzerland. The Swiss representative is Carnegie Services S.A., 11, rue du Général-Dufour, 1204 Geneva. The Swiss paying agent is Banque Cantonale de Genève, 17, quai de l Ile, 1204 Geneva. Investors in Switzerland can obtain the documents of the Company, such as the Prospectus, the KIIDs, the Memorandum and Articles of Association, the semi-annual and annual reports, each in their latest version as approved by FINMA, in German, and further information free of charge from the Swiss representative. BNYMIM EMEA, BNY MGM, and any other BNY Mellon entity mentioned are all ultimately owned by The Bank of New York Mellon Corporation. Issued in UK and Europe (excluding Switzerland) by BNY Mellon Investment Management EMEA Limited, BNY Mellon Centre, 160 Queen Victoria Street, London EC4V 4LA. Registered in England No Authorised and regulated by the Financial Conduct Authority. Issued in Switzerland by BNY Mellon Investments Switzerland GmbH, Talacker 29, CH-8001 Zürich, Switzerland. Authorised and regulated by the FINMA. The Bank of New York Mellon, DIFC Branch (the Authorised Firm ) is communicating these materials on behalf of BNYMIM EMEA. BNYMIM EMEA is owned by The Bank of New York Mellon Corporation. This material is intended for Professional Clients only and no other person should act upon it. The Authorised Firm is regulated by the Dubai Financial Services Authority MIS MIC Issued on 18/04/2018