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 | 811-09903 |
| |
| BNY Mellon Funds Trust | |
| (Exact name of Registrant as specified in charter) | |
| | |
| c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 | |
| (Address of principal executive offices) (Zip code) | |
| | |
| Janette E. Farragher, Esq. 200 Park Avenue New York, New York 10166 | |
| (Name and address of agent for service) | |
|
Registrant's telephone number, including area code: | (212) 922-6000 |
| |
Date of fiscal year end: | 8/31 | |
Date of reporting period: | 2/29/2012 | |
| | | | | | | |
FORM N-CSR
Item 1. Reports to Stockholders.
The BNY Mellon Funds
|
| BNY Mellon Large Cap Stock Fund |
| BNY Mellon Large Cap Market Opportunities Fund |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund |
| BNY Mellon Income Stock Fund |
| BNY Mellon Mid Cap Stock Fund |
| BNY Mellon Small Cap Stock Fund |
| BNY Mellon U.S. Core Equity 130/30 Fund |
| BNY Mellon Focused Equity Opportunities Fund |
| BNY Mellon Small/Mid Cap Fund |
| BNY Mellon International Fund |
| BNY Mellon Emerging Markets Fund |
| BNY Mellon International Appreciation Fund |
| BNY Mellon International Equity Income Fund |
| BNY Mellon Asset Allocation Fund |
| |
| SEMIANNUAL REPORT | February 29, 2012 |
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Sean P. Fitzgibbon and Jeffrey D. McGrew, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Large Cap Stock Fund’s Class M shares produced a total return of 10.35%, and Investor shares returned 10.20%.1 In comparison, the total return of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, was 13.30%.2
After a weak start to the reporting period, improving U.S. economic fundamentals and better-than-expected corporate earnings drove stocks broadly higher.While the fund largely participated in the market’s climb, shortfalls in the health care, financials and consumer discretionary sectors caused its results to lag the benchmark.
The Fund’s Investment Approach
The fund seeks capital appreciation.To pursue its goal, the fund normally invests at least 80% of its assets in stocks of large-cap companies. We choose stocks through a disciplined investment process that uses computer modeling techniques to identify and rank companies based on value, growth and other financial characteristics. Also, we use fundamental analysis, conducting independent research to select the most attractive of the higher-ranked securities. We also attempt to manage risks by diversifying the fund’s investments across companies and industries, maintaining weightings and risk characteristics that generally are similar to those of the S&P 500 Index.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to several macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Consequently, investors fled riskier assets, such as stocks, in favor of traditional safe havens.
Fortunately, most of the worries plaguing investors in September failed to materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s financial problems, and U.S. economic data showed clear signs of improvement, including more robust manufacturing activity, rising employment and greater consumer confidence. In addition, corporate earnings reports generally proved stronger than expected, and many investors responded favorably to more attractive valuations in the wake of the earlier downturn. These positive developments lifted stock prices across all capitalization ranges, including large-cap stocks, through the reporting period’s end.
Security Selections Produced Mixed Results
The market’s swings between safety and growth during the final months of 2011 created a challenging market environment for active portfolio managers, but the fund fared better when investors began to refocus on fundamentals in early 2012.
DISCUSSION OF FUND PERFORMANCE (continued)
Although the fund participated in the reporting period’s gains to a significant degree, its holdings in the health care sector trailed market averages as investors favored relatively defensive stocks over their more growth-oriented counterparts. For example, health insurer Cigna was hurt by concerns regarding a recent acquisition despite bright long-term prospects. Medical devices maker Covidien stumbled as patients delayed elective procedures during the economic downturn. Biotechnology firm Vertex Pharmaceuticals was hurt by intensifying competitive pressures.
In the financials sector, we may have been too early in establishing positions in life insurers, as the stock prices of MetLife and The Hartford Financial Services Group did not rebound as robustly as sector averages despite an improving business environment. Among consumer discretionary companies, footwear maker Deckers Outdoor suffered due to supply limitations during the 2011 holiday season and a generally warm winter, cruise operator Carnival fell sharply in the aftermath of a well-publicized accident affecting an Italian subsidiary, and Hong Kong-based casino operator Melco Crown Entertainment encountered concerns regarding an economic slowdown in China.
The fund achieved better results in other sectors. Its top performer for the reporting period was electronics innovator Apple, which continued to score successes with its smartphone and tablet computer products. Retailer Macy’s and apparel maker Michael Kors Holdings gained value as spending increased among middle- to upper-income consumers. In the industrials sector, electrical products manufacturerThomas & Betts received an acquisition offer at a premium to its stock price at the
time, and engine maker Cummins reported better-than-expected financial results as truck sales improved.Among consumer staples stocks, the fund did not own some of the sector’s greater laggards, including The Coca-Cola Companies and Procter & Gamble, while holdings such as alternative beverages producer Monster Beverage benefited from expansion into global markets.
Taking a Positive View of the Market
Although we are aware that risks remain, encouraging U.S. economic data and progress in Europe have led us to take a more positive view of the market’s prospects. Our bottom-up investment process has identified what we believe are a relatively large number of attractive opportunities meeting our criteria in the consumer discretionary, health care, industrials and information technology sectors, but fewer in the traditionally defensive telecommunications services and utilities sectors.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects the monthly reinvestment of |
| | dividends and, where applicable, capital gain distributions.The Standard & |
| | Poor’s 500 Composite Stock Price Index is a widely accepted, unmanaged |
| | index of U.S. stock market performance. Index return does not reflect fees and |
| | expenses associated with operating a mutual fund. Investors cannot invest |
| | directly in any index. |
4
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Bernard Schoenfeld, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Large Cap Market Opportunities Fund’s Class M shares produced a total return of 9.61%, and Investor shares returned 10.47%.1 In comparison, the total return of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, was 13.30% for the same period.2
After suffering pronounced weakness in September, large-cap stocks generally rallied over the remainder of the reporting period as macroeconomic concerns waned. The fund produced lower returns than its benchmark, partly due to lagging results from the U.S. Core Equity 130/30 Strategy.
The Fund’s Investment Approach
The fund seeks long-term capital appreciation. To pursue its goal, the fund normally invests at least 80% of its assets in equity securities of large-cap companies, currently defined to be those companies with total market capitalizations of $5 billion or more at the time of the purchase. The fund normally allocates its assets among multiple investment strategies, each employed by the fund’s investment adviser or its affiliates that invest primarily in equity securities issued by large-cap companies.The fund is designed to provide exposure to various large-cap equity portfolio managers and investment strategies and styles, including some or all of the following: the Focused Equity Strategy, U.S. Large Cap Equity Strategy, U.S. Core Equity 130/30 Strategy, Dynamic Large Cap Value Strategy, Large Cap Growth Strategy, U.S. Large Cap Growth Strategy, Income Stock
Strategy,Appreciation Strategy and Large Cap Dividend Strategy, all as more particularly described in the fund’s prospectus.The fund invests directly in securities or in other mutual funds advised by the fund’s investment adviser or its affiliates.
The fund’s investment adviser determines the investment strategies, sets the target allocations, monitors portfolio trading activity within the investment strategies and executes all purchases and sales of portfolio securities of the fund.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to several macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union, and uncertainties regarding the strength and sustainability of the U.S. economic recovery. As a result, equity investors fled riskier assets, such as stocks, in favor of traditional safe havens, particularly U.S.Treasury securities.
Fortunately, most of the worries plaguing investors did not materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s problems, and U.S. economic data showed clear signs of improvement, marked by robust manufacturing activity, rising employment and increasing consumer confidence. In addition, corporate earnings generally were stronger than many analysts had expected, and many investors responded favorably to more attractive valuations among fundamentally sound companies in
DISCUSSION OF FUND PERFORMANCE (continued)
the wake of the earlier downturn.These positive developments lifted stock prices in all capitalization ranges through the end of the reporting period.
U.S. Core Equity 130/30 Strategy Dampened Fund Results
Because we believed at the start of the reporting period that investors’ macroeconomic concerns were largely overblown, we maintained a pro-growth tilt in our asset allocation strategy.While this positioning hurt the fund’s relative performance during September, it subsequently helped the fund participate more fully in the rally that began in October.
However, the benefits of our asset allocation strategy were more than offset by lagging results from the U.S. Core Equity 130/30 Strategy, which proved relatively ineffective during the volatile transition from negative to positive market sentiment. The Strategy favored companies with good future growth prospects in an environment that principally rewarded businesses showing current growth, often without regard to underlying valuations.
The fund achieved better results from other strategies. The U.S. Large Cap Equity Strategy fared particularly well, as a relatively defensive posture during the market downturn and substantially underweighted exposure to the financials sector helped it avoid some of the market’s weaker sectors. While the Focused Equity Strategy’s growth-oriented bias proved counterproductive in September, it rebounded strongly to end the reporting period with above-average results.
Positioned for Continued Growth
We are cautiously optimistic that recent economic improvements will persist.Although risks remain, we are encouraged by credible efforts to resolve Europe’s debt crisis and signs that the U.S. labor market is gaining strength. To prepare for a generally favorable market environment, we have trimmed the fund’s exposure to the U.S. Core Equity 130/30 Strategy, redeploying assets to other strategies in order to place greater emphasis on companies with strong growth characteristics. As of the reporting period’s end, approximately 44.5% of the fund’s assets was allocated to the U.S. Large Cap Equity Strategy, 42.5% to the Focused Equity Strategy and 13% to the U.S. Core Equity 130/30 Strategy.
March 15, 2012
| |
| | Equity funds 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. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures and swaps.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects monthly reinvestment of dividends |
| | and, where applicable, capital gain distributions.The Standard & Poor’s 500 |
| | Composite Stock Price Index is a widely accepted, unmanaged index of U.S. |
| | stock market performance. Investors cannot invest directly in any index. |
6
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Bernard Schoenfeld, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund’s Class M shares produced a total return of 10.41%, and Investor shares returned 10.34%.1 In comparison, the total return of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, was 13.30% for the same period.2
After suffering pronounced weakness in September, large-cap stocks generally rallied over the remainder of the reporting period as macroeconomic concerns waned. The fund produced lower returns than its benchmark, partly due to lagging results from the U.S. Core Equity 130/30 Strategy.
The Fund’s Investment Approach
The fund seeks long-term capital appreciation. To pursue its goal, the fund normally invests at least 80% of its assets in equity securities of large-cap companies, currently defined to be those companies with total market capitalizations of $5 billion or more at the time of purchase.The fund normally allocates its assets among multiple investment strategies, each employed by the fund’s investment adviser or its affiliates, that invest primarily in equity securities issued by large-cap companies. The fund is designed to provide exposure to various large-cap equity portfolio managers and investment strategies and styles, and uses tax-sensitive strategies to reduce the impact of federal and state income taxes on its after-tax returns.The fund apportions its assets among some or
all of the following: the Large Cap Core Strategy, Large Cap Tax-Sensitive Strategy, Focused Equity Strategy, U.S. Large Cap Equity Strategy, U.S. Core Equity 130/30 Strategy, Dynamic Large Cap Value Strategy, Large Cap Growth Strategy, U.S. Large Cap Growth Strategy, Income Stock Strategy, Appreciation Strategy and Large Cap Dividend Strategy, all as more particularly described in the fund’s prospectus.The fund invests directly in securities or in other mutual funds advised by the fund’s investment adviser or its affiliates.
The fund’s investment adviser determines the investment strategies, sets the target allocations, monitors portfolio trading activity within the investment strategies and executes all purchases and sales of portfolio securities of the fund.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets floundering due to macroeconomic concerns, including an unprecedented downgrade of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other European nations, and uncertainties regarding the strength and sustainability of the U.S. economic recovery.As a result, equity investors fled riskier assets, such as stocks, in favor of traditional safe havens, particularly U.S. Treasury securities.
Fortunately, most of these worries did not materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s problems, and U.S. economic data showed clear signs of improvement. Corporate earnings generally were stronger than many
DISCUSSION OF FUND PERFORMANCE (continued)
analysts had expected, and investors responded favorably to more attractive valuations among fundamentally sound companies.These positive developments lifted stock prices in all capitalization ranges.
U.S. Core Equity 130/30 Strategy Dampened Fund Results
Because we believed at the start of the reporting period that investors’ macroeconomic concerns were largely overblown, our asset allocation strategy maintained a pro-growth tilt.While this positioning hurt the fund’s relative performance during September, it helped the fund participate more fully in the rally that began in October.
However, the benefits of our asset allocation strategy were more than offset by lagging results from the U.S. Core Equity 130/30 Strategy, which favored companies with strong future growth prospects in an environment that principally rewarded businesses showing current growth, often without regard to underlying valuations. In addition, the Large Cap Core Strategy, which attempts to reflect the performance characteristics of the S&P 500 Index, produced a mild shortfall compared to the benchmark.
The fund achieved better results from other strategies. The U.S. Large Cap Equity Strategy fared particularly well, as a relatively defensive posture during the market downturn and substantially underweighted exposure to the financials sector helped it avoid some of the market’s weaker sectors. While the Focused Equity Strategy’s growth-oriented bias proved counterproductive in September, it rebounded strongly to end the reporting period with above-average results.
Positioned for Continued Growth
We are cautiously optimistic that recent economic improvements will persist. Although risks remain, we are encouraged by credible efforts to resolve Europe’s debt crisis and signs that the U.S. labor market is gaining strength. To prepare for a generally favorable, but still volatile, market environment, we have trimmed the fund’s exposure to the U.S. Core Equity 130/30 Strategy, redeploying assets to other strategies in order to place greater emphasis on companies with strong growth characteristics.As of the reporting period’s end, approximately 24.5% of the fund’s assets was allocated to the U.S. Large Cap Equity Strategy, 21.7% to the Large Cap Core Strategy, 21.4% to the Focused Equity Strategy, 23.3% to the Large Cap Tax-Sensitive Strategy and 9.1% to the U.S. Core Equity 130/30 Strategy.
March 15, 2012
| |
| | Equity funds 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. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures and swaps.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects monthly reinvestment of dividends |
| | and, where applicable, capital gain distributions.The Standard & Poor’s 500 |
| | Composite Stock Price Index is a widely accepted, unmanaged index of U.S. |
| | stock market performance. Investors cannot invest directly in any index. |
8
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John C. Bailer, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Income Stock Fund’s Class M shares produced a total return of 11.77%, and its Investor shares returned 11.57%.1 In comparison, the fund’s benchmark, the Dow Jones U.S. Select Dividend Index, produced a total return of 10.87% for the same period.2 The fund’s previous benchmark, the Russell 1000 Value Index, produced a total return of 12.84% for the same period.3
Stocks lost ground early in the reporting period due to domestic and international macroeconomic concerns, but improving fundamentals later bolstered investor confidence, driving equity markets higher. The fund produced higher returns than its current benchmark, primarily due to relatively strong returns in the energy and technology sectors.
The Fund’s Investment Approach
The fund seeks total return consisting of capital appreciation and income.To pursue its goal, the fund normally invests at least 80% of its assets in stocks.The fund seeks to focus on dividend-paying stocks and other investment techniques that produce income. We choose stocks through a disciplined investment process that combines quantitative modeling techniques, fundamental analysis and risk management.While we attempt to manage risks by diversifying broadly across companies and industries, the fund may at times overweight certain sectors in an
attempt to earn higher yields. The fund may also use derivatives as a substitute for taking a position in an underlying asset, to increase returns or income, or as part of a hedging strategy.
Investor Sentiment Shifted with Economic Fundamentals
Stocks declined early in the reporting period in response to a variety of macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery.These issues led investors to favor perceived safe havens, such as dividend-paying stocks with generous yields and a record of dividend increases.
Fortunately, most of the worries plaguing investors in September failed to materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s financial problems, and U.S. economic data showed clear signs of improvement, including more robust manufacturing activity, rising employment and greater consumer confidence. In addition, corporate earnings generally proved stronger than expected, and many investors responded favorably to more attractive valuations in the wake of the earlier downturn. Dividend-paying stocks, which had outperformed the broader market when stocks retreated in 2011, produced slightly less robust gains than other equities when investors returned to riskier stocks in early 2012.
DISCUSSION OF FUND PERFORMANCE (continued)
Stock Selections Produced Mixed Results
The fund’s focus on dividend-paying stocks helped cushion market volatility early in the reporting period, when investors sought the perceived safety of equities offering steady or increasing dividend payouts. As economic conditions and investor sentiment improved, the fund’s investments in economically sensitive areas, such as the technology sector, led returns. Within the technology sector, networking equipment maker Cisco Systems and telecommunications product and service provider QUALCOMM delivered particularly notable gains powered by company-specific catalysts. In the energy sector, where the fund also generated relatively good performance, rising crude oil prices fueled gains in major integrated oil and gas companies such as Exxon Mobil, which was seen as one of the sector’s leading defensive names, and Occidental Petroleum, which reported exceptionally strong production growth.
The telecommunications sector proved to be the only industry group in which the fund significantly under-performed its benchmark. Individual stock selections detracted from the fund’s relative returns, with holdings such as Windstream and Vodafone Group plc trailing some of the sector’s larger companies that traditionally have been considered more defensive.
Monitoring Valuations Among Dividend-Paying Stocks
The flight to safety that drove up prices of many dividend-paying equities in late 2011 left some of those stocks at historically high valuations. We believe that those valuations may not prove sustainable going forward. Accordingly, we are carefully monitoring the valuations of the fund’s holdings and investment candidates with an eye toward their potential for producing an attractive level of capital appreciation and income in the more positive macroeconomic environment that currently appears to be taking shape.
As of the reporting period’s end, we have continued to find a number of what we believe are reasonably valued investments among dividend-paying stocks that appear poised to benefit from continued U.S. economic growth. We believe the fund’s current positioning gives it the potential to perform well in this environment, with large active weights in high-yielding telecommunications and health care, as well as more economically sensitive technology and consumer discretionary sectors. On the other hand, we have found what we believe are relatively few attractive investment opportunities among overval-ued utilities and consumer staples stocks.
March 15, 2012
| |
| | Equity funds 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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. – Reflects the reinvestment of dividends and, |
| | where applicable, capital gain distributions.The Dow Jones U.S. Select |
| | Dividend Index is an unmanaged index which represents the country’s leading |
| | stocks by dividend yield. One hundred U.S. stocks are selected to the index by |
| | dividend yield, subject to screens for dividend-per-share growth rate, dividend |
| | payout ratio and average daily dollar trading volume. Investors cannot invest |
| | directly in any index. Effective March 15, 2011, BNY Mellon Income Stock |
| | Fund changed its benchmark from the Russell 1000 Value Index to the Dow |
| | Jones U.S. Select Dividend Index.The Dow Jones U.S. Select Dividend Index |
| | was first calculated on November 3, 2003.Accordingly, the fund will continue |
| | to report the performance of the Russell 1000 Value Index until the Dow Jones |
| | U.S. Select Dividend Index has been calculated for a 10-year period. |
| 3 | SOURCE: LIPPER INC. — Reflects the reinvestment of dividends and, |
| | where applicable, capital gain distributions.The Russell 1000 Value Index is |
| | an unmanaged index which measures the performance of those Russell 1000 |
| | companies with lower price-to-book ratios and lower forecasted growth values. |
| | Investors cannot invest directly in any index. |
10
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Stephen A. Mozur, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Mid Cap Stock Fund’s Class M shares produced a total return of 8.65%, Investor shares returned 8.47% and Dreyfus Premier shares returned 8.13%.1 In comparison, the Standard & Poor’s MidCap 400 Index (“S&P 400 Index”), the fund’s benchmark, produced a total return of 12.54% for the same period.2
After suffering pronounced weakness in September, midcap stocks generally recovered amid heightened volatility over the remainder of the reporting period as macroeconomic concerns waned.The fund produced lower returns than its benchmark, primarily due to shortfalls in the energy and materials sectors.
The Fund’s Investment Approach
The fund seeks capital appreciation.To pursue its goal, the fund normally invests at least 80% of its assets in stocks of domestic companies with market capitalizations generally in the range of companies included in the S&P 400 Index at the time of purchase.The fund invests in growth and value stocks, which are chosen through a disciplined investment process that combines computer modeling techniques, fundamental analysis and risk management. Based on fundamental analysis, the investment adviser generally selects the most attractive securities, drawing on a variety of sources, including internal as well as Wall Street research, and company management. Finally, we manage risk by diversifying
across companies and industries. Our goal is to keep those risks at levels that are similar to those of the S&P 400 Index.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. As a result, investors fled riskier assets in favor of traditional safe havens.
Fortunately, most of the worries plaguing investors in September failed to materialize. Later in 2011, European policymakers took steps toward addressing the region’s financial problems, and U.S. economic data showed clear signs of improvement, including more robust manufacturing activity, rising employment and greater consumer confidence. In addition, corporate earnings reports generally were stronger than expected, and many investors responded favorably to more attractive valuations in the wake of the downturn.
These positive developments lifted midcap stock prices. However, correlations among individual stocks stood at historical highs during the reporting period, leaving little room for fundamental analysis to add value.
DISCUSSION OF FUND PERFORMANCE (continued)
Stock Selections Produced Mixed Results
In this environment, the fund encountered disappointments in the energy sector, where several holdings lost value due to falling natural gas prices.These included gas driller Patterson-UTI Energy and coal producer Walter Energy, the latter hurt by competition from cheaper natural gas. In the materials sector, iron ore producer Cliffs Natural Resources, rare earth minerals specialist Molycorp and gold miner Allied Nevada Gold declined sharply as a result of macroeconomic concerns.
The fund’s positions in the technology, consumer discretionary and health care sectors hurt its relative performance to a more modest degree. Network communications company Acme Packet declined due to concerns regarding delays of a large contract, while voice and video conferencing company Polycom fell after announcing poor quarterly earnings. In the consumer discretionary sector, the fund did not own Panera Bread and Life Time Fitness, both of which fared well for the benchmark. Finally, in the health care sector, hospitals Kindred Healthcare and Health Management Associates slid over concerns regarding reimbursement rates.
The fund achieved better results in other sectors. In the financials sector, real estate investment trusts (REITs) bounced back strongly as economic sentiment improved. Performance was especially robust among some of the more economically sensitive cyclical holdings, including Host Hotels and Resorts, Macerich and CB Richard Ellis Group.The utilities sector also added value, primarily due to an underweighted position in gas utilities.
Positioned for Moderate Economic Growth
As of the reporting period’s end, we have been encouraged by signs of economic improvement in the United States and progress in resolving Europe’s financial crisis.
Consequently, we have maintained a pro-growth investment posture.We have found a relatively large number of companies meeting our investment criteria in the energy, technology and consumer discretionary sectors, but fewer in the consumer staples and utilities sectors.
In addition, we have identified what we believe to be attractive opportunities among footwear and accessories companies in the consumer discretionary sector, companies in the technology sector that are engaged in cloud computing and wireless connectivity, regional banks in the financials sector that are starting to see loan growth after a long lull, and industrial companies that tend to benefit in the early stages of economic recoveries, including construction firms, aerospace companies and diversified industrial conglomerates.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | Stocks of small- and/or midcap companies often experience sharper price |
| | fluctuations than stocks of large-cap companies. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid, and |
| | does not take into consideration the contingent deferred sales charges imposed |
| | on redemptions in the case of Dreyfus Premier shares. Had these charges been |
| | reflected, 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. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Standard & Poor’s MidCap 400 |
| | Index is a widely accepted, unmanaged total return index measuring the |
| | performance of the midsize company segment of the U.S. stock market. Index |
| | return does not reflect the fees and expenses associated with operating a mutual |
| | fund. Investors cannot invest directly in any index. |
12
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Stephen A. Mozur, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Small Cap Stock Fund’s Class M shares produced a total return of 9.35%, and Investor shares returned 9.14%.1 In comparison, the fund’s benchmark, the Standard & Poor’s SmallCap 600 Index (the “Index”), produced a total return of 14.40% for the same period.2
After suffering pronounced weakness in September, small-cap stocks generally recovered amid heightened volatility over the remainder of the reporting period as macroeconomic concerns waned.The fund produced lower returns than its benchmark, primarily due to shortfalls in the consumer discretionary, information technology, energy and health care sectors.
The Fund’s Investment Approach
The fund seeks capital appreciation.To pursue its goal, the fund normally invests at least 80% of its assets in stocks of small-cap companies.We choose stocks through a disciplined investment process that uses computer modeling techniques to identify and rank companies based on value, growth and other financial characteristics.Also, we use fundamental analysis, conducting independent research to select the most attractive of the higher-ranked securities.We also attempt to manage risks by diversifying the fund’s investments across companies and industries, maintaining weightings and risk characteristics that generally are similar to those of the S&P 600 Index.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to macroeconomic concerns, including an unprecedented
downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. As a result, investors fled riskier assets in favor of traditional safe havens.
Fortunately, most of the worries plaguing investors in September failed to materialize. Later in 2011, European policymakers took steps toward addressing the region’s financial problems, and U.S. economic data showed clear signs of improvement, including robust manufacturing activity, rising employment and greater consumer confidence. In addition, corporate earnings reports generally were stronger than expected, and many investors responded favorably to more attractive valuations in the wake of the downturn.
These positive developments lifted small cap stock prices. However, correlations among individual stocks stood at historical highs during the reporting period, leaving little room for fundamental analysis to add value.
Stock Selections Produced Mixed Results
In this environment, most market sectors produced a combination of strong and weak performers as volatility created substantial stock price movements. While the number of positive performers was greater than decliners, the impact of the laggards was larger. For example, the fund encountered disappointments in the consumer discretionary sector, where apparel manufacturer Perry Ellis International declined after the company reduced earnings guidance. Footwear maker Crocs fell sharply due to European concerns and a mistimed product mix. Smartphone/tablet accessories maker Zagg slid amid competitive pressures. In the information technology sector, network communications company Acme Packet declined when a large contract was delayed, and family
DISCUSSION OF FUND PERFORMANCE (continued)
history research website Ancestry.com fell as the company experimented with its pricing strategy. In the energy sector, Carbo Ceramics, C&J Energy and Pioneer Drilling experienced double-digit declines due to falling natural gas prices. In the health care sector,Amarin was hurt by a setback in extending the patent for its triglyceride drug, and medical devices maker NuVasive suffered lower revenue growth due to a slowdown in orders.
The fund achieved better results in the consumer staples sector, where food producer Smart Balance achieved strong earnings related to new customer contracts.Among individual stocks, construction machinery rental company United Rentals more than doubled in value due to a successful acquisition, record capacity utilization rates and greater pricing power. Medical devices producer Abiomed climbed after reporting better-than-expected revenues. Security software developer Sourcefire rose sharply due to strong order growth and new customer acquisitions. Premium mattress manufacturer Select Comfort surged higher amid increased sales. Gaming equipment manufacturer Shuffle Master benefited from strong order growth and better-than-expected earnings.
Positioned for Moderate Economic Growth
As of the reporting period’s end, we have been encouraged by signs of economic improvement in the United States and progress in resolving Europe’s financial crisis. Consequently, we have maintained a pro-growth investment posture, with a focus on companies with
above-average revenue-and earnings-growth prospects. We have found a number of companies meeting our criteria in the energy, consumer discretionary, health care and information technology sectors, but fewer in the consumer staples and utilities sectors. In addition, we have identified what we believe to be attractive opportunities among financial institutions that are starting to see loan growth after a long lull, and among construction firms, aerospace companies and diversified industrial conglomerates that tend to benefit in the early stages of economic recoveries.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | Stocks of small- and/or midcap companies often experience sharper price |
| | fluctuations than stocks of large-cap companies. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects the reinvestment of dividends and, |
| | where applicable, capital gain distributions.The Standard & Poor’s SmallCap |
| | 600 Index is a broad-based index and a widely accepted, unmanaged index of |
| | overall small-cap stock market performance.The index does not take into |
| | account fees and expenses to which the fund is subject. Investors cannot invest |
| | directly in any index. |
14
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Sean P. Fitzgibbon and Jeffrey D. McGrew, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon U.S. Core Equity 130/30 Fund’s Class M shares produced a total return of 9.12%, and Investor shares produced 9.08%.1 In comparison, the total return of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, was 13.30%.2
After a weak start to the reporting period, improving U.S. economic conditions drove stocks broadly higher. While the fund largely participated in the market’s climb, shortfalls in the health care, financials and consumer discretionary sectors caused its results to lag the benchmark.
The Fund’s Investment Approach
The fund seeks capital appreciation, normally investing at least 80% of its assets in stocks of large-cap companies. We choose stocks through a disciplined investment process that uses computer modeling techniques to identify and rank companies based on value, growth and other financial characteristics. The portfolio managers supplement and confirm this information using fundamental analysis, and generally buy “long” the most attractive of the higher-ranked securities and sell “short” those stocks identified by the computer model and fundamental analysis as being likely to underperform. Normally, up to 130% of the fund’s assets will be in long positions, and approximately 30% of the fund’s assets will be in short positions. However, the fund’s short positions may range in value from approximately 25% to 35% of
the fund’s assets.We also attempt to mitigate risks by diversifying the fund’s investments across companies and industries, maintaining weightings and risk characteristics that generally are similar to those of the S&P 500 Index.
Improving Economic Fundamentals Buoyed U.S. Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Consequently, investors fled riskier assets, such as stocks, in favor of traditional safe havens.
Fortunately, most of these worries failed to materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s problems, and the U.S. economy benefited from more robust manufacturing activity, rising employment and greater consumer confidence. Corporate earnings reports generally were stronger than expected, and investors responded favorably to more attractive valuations after the downturn. These developments lifted large-cap stock prices through the reporting period’s end.
Security Selections Produced Mixed Results
The market’s swings between safety and growth during the final months of 2011 created a challenging market environment for active portfolio managers, but the fund fared better when investors began to refocus on fundamentals in early 2012.
DISCUSSION OF FUND PERFORMANCE (continued)
Although the fund participated in the reporting period’s gains to a significant degree, its holdings in the health care sector trailed market averages as investors favored relatively defensive stocks over their more growth-oriented counterparts. For example, despite bright long-term prospects, health insurer CIGNA was hurt by concerns regarding a recent acquisition. Biotechnology firmVertex Pharmaceuticals was hurt by intensifying competitive pressures. Medical devices maker St. Jude Medical lagged in spite of promising new products as patients delayed elective procedures.
In the financials sector, the stock prices of MetLife, The Hartford Financial Services Group and Lincoln National did not rebound as robustly as sector averages despite an improving business environment. Among consumer discretionary companies, footwear maker Deckers Outdoor suffered due to supply limitations during the 2011 holiday season and a generally warm winter, and Hong Kong-based casino operator Melco Crown Entertainment encountered concerns regarding an economic slowdown in China.
The fund achieved better results in the information technology sector, where electronics innovator Apple continued to score successes with its smartphone and tablet computer products, F5 Networks and Skyworks benefited from the trend toward cloud computing, and short positions in Research In Motion and Netflix fared well as those former high flyers stumbled. In the industrials sector, electrical products manufacturer Thomas & Betts received an acquisition offer at a premium to its stock price at the time, tire producer Goodrich advanced as automobile sales rebounded and engine maker Cummins reported better-than-expected financial results. Among consumer staples stocks, alternative beverages producer Monster Beverage benefited from expansion into global markets, while a short position in pharmacy chainWalgreen gained value as investors turned to companies showing more robust growth.
Taking a Positive View of the Market
Although risks remain, encouraging U.S. economic data and progress in Europe have led us to take a more positive view of the market’s prospects. Our bottom-up investment process has identified what we believe are a relatively large number of attractive opportunities meeting our criteria in the consumer discretionary, financials, health care and industrials sectors, but fewer in the traditionally defensive consumer staples, telecommunications services and utilities sectors.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | The use of leverage may magnify the fund’s gains or losses. For derivatives |
| | with a leveraging component, adverse changes in the value or level of the |
| | underlying asset can result in a loss that is much greater than the original |
| | investment in the derivative. |
| | Short sales involve selling a security the fund does not own in anticipation that |
| | the security’s price will decline. Short sales may involve substantial risk and |
| | leverage, and expose the fund to the risk that it will be required to buy the |
| | security sold short at a time when the security has appreciated in value, thus |
| | resulting in a loss to the fund. Short positions in stocks involve more risk than |
| | long positions in stocks because the maximum sustainable loss on a stock |
| | purchased is limited to the amount paid for the stock plus the transaction costs, |
| | whereas there is no maximum attainable price on the shorted stock. In theory, |
| | stocks sold short have unlimited risk. It is possible that the market value of |
| | securities the fund holds in long positions will decline at the same time that |
| | the market value of the securities in the fund has sold short increases, thereby |
| | increasing the fund’s potential volatility. Leveraging occurs when the fund |
| | increases its assets available for investment using borrowing or similar |
| | transactions. Short sales effectively leverage the fund’s assets.The use of leverage |
| | may magnify the fund’s gains or losses. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects the monthly reinvestment of |
| | dividends and, where applicable, capital gain distributions.The Standard & |
| | Poor’s 500 Composite Stock Price Index is a widely accepted, unmanaged |
| | index of U.S. stock market performance. Index return does not reflect fees and |
| | expenses associated with operating a mutual fund. Investors cannot invest |
| | directly in any index. |
16
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Irene D. O’Neill, Portfolio Manager
Market and Fund Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Focused Equity Opportunities Fund’s Class M shares produced a total return of 7.90%, and Investor shares returned 7.65%.1 In comparison, the total return of the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark effective September 15, 2011, was 13.30%.2 The fund’s previous benchmark, the Russell 1000 Index, returned 13.31% for the reporting period.3
After a weak start, improving U.S. economic fundamentals drove stocks broadly higher by the reporting period’s end.While the fund participated to a degree in the market’s climb, investors’ early preference for traditional safe havens caused it to lag the benchmark.
The Fund’s Investment Approach
The fund seeks capital appreciation.To pursue its goal, the fund normally invests at least 80% of its net assets in equity securities.We begin with a top-down assessment of broad economic, political and social trends.We strive to determine those sectors and industries most likely to benefit from identified trends, focusing on sectors we believe present the most attractive growth outlook. Within those sectors and industries, we then employ a bottom-up, fundamental approach to find individual companies with:
Unrecognized or underestimated earnings power
Sustainable revenue and cash flow
Positive operational or financial catalysts
Attractive valuation based on growth prospects
Strong or improving financial conditions
Finally, we select for investment the 25 to 30 best opportunities from the companies meeting these criteria.
Improving Economic Fundamentals Buoyed Stocks
The reporting period began on a negative note, with stock markets throughout the world floundering due to an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, the possibility that a sovereign debt crisis in Greece might spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Consequently, investors fled riskier assets, such as stocks, in favor of traditional safe havens, including U.S. Treasury securities and precious metals.
Fortunately, most of these worries failed to materialize. During the fall of 2011, European policymakers took steps toward addressing the region’s financial problems, and U.S. economic data showed more robust manufacturing activity, rising employment and greater consumer confidence. In addition, corporate earnings generally were stronger than expected, and investors responded favorably to more attractive valuations after the downturn.These positive developments lifted stock prices through reporting period’s end.
Security Selections Produced Mixed Results
The market’s swings between safety and growth during the final months of 2011 created a challenging market environment, but the fund fared better when investors began to refocus on fundamentals in early 2012.
Shortfalls were especially severe in the information technology sector, where digital entertainment solutions provider Rovi delivered a disappointing forecast for 2012 revenues, and the stock fell despite bright long-term growth prospects. Chinese search engine developer Baidu reported relatively good financial results, but the stock was hurt by investors’ concerns regarding a slowdown in China. The fund also did
DISCUSSION OF FUND PERFORMANCE (continued)
not own many of the very large, slower growing technology companies that benefited from the flight to perceived safety.
Similarly, the fund’s results in the health care sector were undermined by lack of exposure to large pharmaceutical companies that did not meet our growth criteria. In addition, medical devices maker Covidien lagged amid concerns about its European presence and low health care utilization. Generic drug producer Watson Pharmaceuticals slid due to regulatory issues surrounding a new product. In the energy sector, lack of exposure to large integrated oil companies dampened returns compared to the fund’s benchmark. Moreover, exploration-and-production company Newfield Exploration suffered delays in new production, and oil services giant Halliburton was hurt by the effects of declining natural gas prices on customer demand.
The fund achieved better relative performance in the financials sector, where asset manager Invesco benefited from asset inflows as stocks rebounded. Commercial bank BB&T achieved improving loan growth and faces a relatively benign regulatory environment. Insurer MetLife bounced back from earlier weakness after investors concluded the company could manage through a low interest rate environment. In the industrials sector, heavy equipment maker Caterpillar achieved strong earnings growth after improving its production methods and made several accretive acquisitions. Diversified manufacturer Honeywell International announced accelerating earnings growth and higher profit margins. Among individual stocks, electronics innovator Apple continued to score success with its smartphone and tablet computer products, and enterprise software developer Teradata encountered robust demand for its data management solutions.
A Positive View of the Market
Although we are aware that risks remain, encouraging U.S. economic data and progress in Europe have led us to take a positive view of the market’s prospects. As always, we have maintained our growth-oriented investment process, which we believe will return to effectiveness as investors refocus on the underlying business fundamentals likely to drive future growth.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | The fund is non-diversified, which means that a relatively high percentage of |
| | the fund’s assets may be invested in a limited number of issuers.Therefore, the |
| | fund’s performance may be more vulnerable to changes in the market value of |
| | a single issuer or group of issuers and more susceptible to risks associated with |
| | a single economic, political or regulatory occurrence than a diversified fund. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects the monthly reinvestment of |
| | dividends and, where applicable, capital gain distributions.The Standard & |
| | Poor’s 500 Composite Stock Price Index is a widely accepted, unmanaged |
| | index of U.S. stock market performance. Index return does not reflect fees and |
| | expenses associated with operating a mutual fund. Investors cannot invest |
| | directly in any index. |
| 3 | SOURCE: LIPPER INC. — Reflects the monthly reinvestment of |
| | dividends and, where applicable, capital gain distributions.The Russell 1000 |
| | Index is a widely accepted, unmanaged index of U.S. stock market |
| | performance. Index return does not reflect fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
| | Effective September 15, 2011, BNY Mellon Focused Equity Opportunities |
| | Fund changed its benchmark from the Russell 1000 Index to the S&P 500 |
| | Index. In future annual reports, the fund’s performance will no longer be |
| | compared to the Russell 1000 Index because the S&P 500 Index is more |
| | reflective of the fund’s portfolio investment profile. |
18
DISCUSSION OF
FUND PERFORMANCE
For the period from September 1, 2011, through February 29, 2012, as provided by John M. Chambers, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Small/Mid Cap Stock Fund’s Class M shares produced a total return of 4.35%, and Investor shares returned 4.11%.1 In comparison, the Russell 2500 Index (the “Index”), the fund’s benchmark, produced a total return of 12.98% for the same period.2
Stocks fell sharply at the beginning of the reporting period in response to a variety of macroeconomic concerns, but improving fundamentals later bolstered investor confidence, driving equity markets higher.The fund produced lower returns than its benchmark, largely due to the market’s preference early in the reporting period for traditionally defensive stocks that did not meet our growth-focused investment criteria.
The Fund’s Investment Approach
The fund seeks capital appreciation.To pursue its goal, the fund normally invests at least 80% of its net assets in equity securities of small-cap and midcap companies with total market capitalizations of between $200 million and $7 billion at the time of investment.The fund invests in growth and value stocks, which are chosen through a disciplined investment process that combines computer modeling techniques, fundamental analysis and risk management to identify and rank stocks within an industry or sector based on several characteristics, including value, growth and the company’s financial profile. Using fundamental analysis, the investment adviser generally selects the most attractive securities. Finally, we seek to manage risk by diversifying across
companies and industries.The fund is structured so that its sector weightings and risk characteristics are generally similar to those of the Russell 2500 Index.
Investor Sentiment Shifted with Economic Trends
Stocks lost ground early in the reporting period in response to macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. These issues led many investors to largely ignore valuations and company fundamentals in favor of perceived defensive characteristics, such as high dividend yields. Declines were particularly severe among stocks in economically sensitive areas, such as the consumer discretionary and technology sectors.
The opening months of 2012 saw a major shift in market sentiment as investors responded to positive economic developments, including credible steps by the European Union to address the region’s problems and improving U.S. economic data. Most broad equity markets quickly regained positive territory and moved steadily higher.
Changes in Sentiment Detracted from Results
The fund’s growth-focused investment style hurt its relative performance in late 2011 when investors engaged in a flight to perceived safety. At that time, a disproportionate number of our larger holdings declined sharply, despite no changes to their underlying fundamentals or our investment thesis.Although many
DISCUSSION OF FUND PERFORMANCE (continued)
of those same stocks performed well in early 2012, their earlier declines hurt the fund’s relative returns for the reporting period overall. For example, electronic accessories maker Zagg, one of the fund’s larger holdings, dropped by half during the last four months of 2011 despite unchanged fundamentals, recouping some, but not all, of those losses in early 2012.
A few of the fund’s most notably weak performers were in the health care sector, where disappointing drug trial results caused biotechnology developers Targacept and Cadence Pharmaceuticals to plummet, and where Amarin fell amid concerns regarding the future patent status of its lead drug candidate. In the consumer discretionary sector, advertising agency MDC Partners dropped when the company reported a brief delay in commencement of work on new contracts. Arcos Dorados Holdings, a Latin and South American franchiser of McDonald’s restaurants, slid after reporting disappointing earnings. Finally, in the technology sector, Internet network equipment maker Acme Packet slid when a large customer order was delayed, and website operator Ancestory.com was hurt when the company experimented with its pricing strategy.
On a more positive note, several industrial holdings performed particularly well, including equipment rental company United Rentals, machinery producer Terex, and aircraft cabin interior product maker BE Aerospace. Other notably strong performers included drug developer Achillion Pharmaceuticals, cybersecurity services provider Sourcefire, network optimization specialist F5 Networks, and oil and gas equipment and services company Energy XXI. Pharmasset, a biotechnology holding, was acquired during the reporting period and has more than doubled in value.
Remaining Focused on Growth
We have continued to focus on companies we believe can grow revenues and earnings faster than average. Historically, such companies have been relatively highly valued in times of lower overall growth. Consequently, as of the end of the reporting period, the fund held overweighted exposure to the technology, consumer discretionary and healthcare sectors, and correspondingly underweighted exposure to more defensive sectors with lower growth prospects, including utilities, staples and financials.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | Stocks of small- and/or midcap companies often experience sharper price |
| | fluctuations than stocks of large-cap companies. |
| | Part of the fund’s recent performance is attributable to positive returns from its |
| | initial public offering (IPO) investments.There can be no guarantee that IPOs |
| | will have or continue to have a positive effect on fund performance. Currently, |
| | the fund is relatively small in asset size. IPOs tend to have a reduced effect on |
| | performance as a fund’s asset base grows. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects the reinvestment of dividends and, |
| | where applicable, capital gain distributions.The Russell 2500 Index is a |
| | widely accepted, unmanaged index, which measures the performance of those |
| | Russell 2500 companies with lower price-to-book ratios and lower forecasted |
| | growth value. Investors cannot invest directly in any index. |
20
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by D. Kirk Henry, Sean P. Fitzgibbon and Mark A. Bogar, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon International Fund’s Class M shares produced a total return of 2.14%, and Investor shares produced a total return of 2.11%.1 In comparison, the fund’s benchmark, the Morgan Stanley Capital International Europe,Australasia, Far East Index (“MSCI EAFE Index”), produced a total return of 4.13% for the same period.2
International stocks suffered steep losses early in the reporting period due to a variety of macroeconomic concerns, but they later rebounded when investors’ worries eased.The fund produced lower returns than its benchmark, as the valuation factors considered by our investment process fared poorly in this turbulent market environment.
The Fund’s Investment Approach
The fund seeks long-term capital growth. To pursue this goal, the fund normally invests at least 65% of its total assets in equity securities of foreign issuers.
The fund allocates its assets between a core investment style and a value investment style at the discretion of the investment advisor.The fund is not managed to a specific target duration between these investment styles. However, under normal conditions, at least 30% of the fund’s assets will be invested in each of the core and value investment styles. Pursuant to the core investment style, under normal circumstances, at least 80% of the fund’s cash inflows allocated to this style are invested in equity securities of companies located
in the foreign countries represented in the MSCI EAFE Index and Canada.
The fund will continue to invest in stocks that appear to be undervalued (as measured by their price/earnings ratios), but stocks purchased pursuant to the core investment style may have value and/or growth char-acteristics.The core investment style portfolio manager employs a “bottom-up” investment approach, which emphasizes individual stock selection. The core investment style stock selection process is designed to produce a diversified portfolio that, relative to the MSCI EAFE Index, has a below-average price/earnings ratio and an above-average earnings growth trend.
The fund’s investment approach for the portion of the fund using the value-oriented investment style is research-driven and risk-averse.When selecting stocks, we identify potential investments through valuation screening and extensive fundamental research. Emphasizing individual stock selection over economic or industry trends, the fund focuses on three key factors: value, business health and business momentum.
Macroeconomic Developments Fueled Market Volatility
When the reporting period began, international markets were reeling from the impact of a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, uncertainties regarding the strength of the U.S. economy and the potential effects of inflation-fighting efforts in certain emerging markets. These concerns led investors to flock to traditional safe havens, with little consideration for underlying valuations. Consequently, global equity markets moved sharply lower in September 2011.
DISCUSSION OF FUND PERFORMANCE (continued)
After a series of volatile swings, international markets began a steady advance in late December, when the European Central Bank initiated a program to shore up the region’s troubled banks.The rebound was bolstered in early 2012 by encouraging U.S. economic news and signs of lower inflation and continued growth in emerging markets.
Valuations Disregarded During the Downturn
Early in the reporting period, when investors sought safety at any cost, stocks in companies facing even minor or temporary business setbacks plunged, regardless of underlying fundamentals. Most notably, in Italy, oil refiner Saras was hurt by unrest in Libya, a source of much of their crude oil, while aerospace contractor Finmeccanica faced tightening defense budgets in Europe and the United States. In Finland, Nokia suffered during the transition to a new operating system in its smartphone business. In Hong Kong, apparel maker Esprit Holdings underwent a significant restructuring under new management and did not report positive results until early 2012.
As macroeconomic concerns eased and markets rose later in the reporting period, the performance of the fund’s valuation strategies improved, joining our growth and momentum strategies in adding value. Several of the fund’s top performers were based in Japan, including pharmaceutical distributor Medipal Holdings, diversified financial firm Nomura Holdings, automobile manufacturer Toyota Motor and retailer Seven & I Holdings. In Israel, generic drug maker Teva Pharmaceutical Industries rose on better-than-expected quarterly earnings. In the Netherlands, insurer and asset manager Aegon rallied along with equity markets, while animal nutritional products and fish feed maker Nutreco benefited from strong fundamentals and solid earnings.
Finding Attractive Opportunities Across the Globe
As of the reporting period’s end, we have been encouraged by signs that investors are paying greater attention to the company fundamentals that lie at the heart of our stock selection process. Although European financial conditions have remained unsettled, we have found what we believe are attractive investment opportunities throughout the world in companies exhibiting the kinds of valuation, business growth and momentum factors we seek.
March 15, 2012
| |
| | Please note, the position in any security highlighted with italicized typeface |
| | was sold during the reporting period. |
| | Equity funds 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. |
| | The portfolio’s performance will be influenced by political, social and economic |
| | factors affecting investments in foreign companies. Special risks associated with |
| | investments in foreign companies include exposure to currency fluctuations, less |
| | liquidity, less developed or less efficient trading markets, lack of comprehensive |
| | company information, political instability and differing auditing and legal |
| | standards.These risks are enhanced in emerging market countries. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of net dividends and, |
| | where applicable, capital gain distributions.The Morgan Stanley Capital |
| | International Europe,Australasia, Far East (MSCI EAFE) Index is an |
| | unmanaged index composed of a sample of companies representative of the |
| | market structure of European and Pacific Basin countries. Index return does |
| | not reflect fees and expenses associated with operating a mutual fund. Investors |
| | cannot invest directly in any index. |
22
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by D. Kirk Henry, Sean P. Fitzgibbon and Jay Malikowski, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Emerging Markets Fund’s Class M shares produced a total return of 3.63%, and Investor shares returned 3.55%.1 This compares with a 5.35% total return produced by the Morgan Stanley Capital International Emerging Markets Index (“MSCI EM Index”), the fund’s benchmark, for the same period.2
Emerging market stocks suffered steep losses early in the reporting period due to a variety of macroeconomic concerns, but they later rebounded when investors’ worries eased.The valuation factors considered by our investment process fared poorly in this turbulent market environment, causing the fund to lag its benchmark.
The Fund’s Investment Approach
The fund seeks long-term capital growth.To pursue its goal, the fund invests at least 80% of its assets in equity securities of companies organized, or with a majority of assets or operations, in countries considered to be emerging markets.
The fund allocates its assets between a core investment style and a value investment style at the discretion of the investment advisor. The fund is not managed to a specific target duration between these investment styles. However, under normal conditions at least 30% of the fund’s assets will be invested in each of the core and value investment styles. Pursuant to the core investment style, under normal circumstances at least 80% of the fund’s cash inflows allocated to this style are invested in equity securities of companies located in the foreign countries represented in the MSCI EM Index.
The fund will continue to invest in stocks that appear to be undervalued (as measured by their price/earnings ratios), but stocks purchased pursuant to the core investment style may have value and/or growth char-acteristics.The core investment style portfolio manager employs a “bottom-up” investment approach, which emphasizes individual stock selection. The core investment style stock selection process is designed to produce a diversified portfolio that, relative to the MSCI EM Index, has a below-average price/earnings ratio and an above-average earnings growth trend.
When choosing stocks for the portion of the fund using the value-oriented investment style, we use a research-driven and risk-averse approach. We identify potential investments through valuation screening and extensive fundamental research. Emphasizing individual stock selection rather than economic and industry trends, we focus on three key factors: value, business health and business momentum.
Macroeconomic Developments Fueled Market Volatility
When the reporting period began, emerging markets were reeling from the impact of a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, uncertainties regarding the strength of the U.S. economy, and inflationary pressures in some emerging markets. These concerns led investors to flock to traditional safe havens, often regardless of their underlying valuations. After a series of volatile swings, however, emerging markets advanced steadily from late December through the end of the reporting period, bolstered by quantitative easing in Europe, encouraging U.S. economic news and signs of lower inflation and continued growth in the emerging markets.
DISCUSSION OF FUND PERFORMANCE (continued)
Valuations Disregarded During the Downturn
Early in the reporting period, as investors sought safety at virtually any cost, stocks in companies facing even minor or temporary business setbacks plunged, often without regard to underlying business fundamentals. In India, companies suffered steep losses in a variety of sectors, including materials producer Sterlite Industries (India); financial institution Oriental Bank of Commerce and small-cap medical firm Jubilant Life Sciences. Although these companies later regained much of their lost ground, their overall performance still detracted from the fund’s relative returns. Other notable disappointments included a few South African based companies, including mobile telephone operators MTN Group and Telkom, steel producer ArcelorMittal South Africa and metals mining group Anglo American Platinum.
When macroeconomic concerns later eased and markets rose, the performance of the fund’s valuation strategies improved, joining our growth and momentum strategies in adding value. In Taiwan, positive economic developments particularly benefited technology firms, such as electronic component assembler Hon Hai Precision Industry and semiconductor equipment maker Taiwan Semiconductor Manufacturing. In China, industrial construction companies China Railway Construction and China Railway Group and power generating utility Huaneng Power International bounced back from earlier weakness. In Russia, rising energy prices generated strong results at oil-and-gas producers Gazprom and Lukoil. Other top performers included Hong Kong port operator NWS Holding, Indian sugar producer Shree Renuka Sugars and Korean beverage manufacturer Hite-Jinro.
Finding Attractive Opportunities Throughout the World
As of the end of the reporting period, we have been encouraged by signs that investors are paying greater attention to the company fundamentals that lie at the heart of our stock selection process.We have found what we believe are a relatively large number of attractive investment opportunities in Brazil, China, India and South Africa, but relatively few in Taiwan, Thailand, Mexico and Malaysia.
March 15, 2012
Please note, the position in any security highlighted with italicized typeface was sold during the reporting period.
Equity funds 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.
The fund’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.These risks are enhanced in emerging markets countries.
| |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of gross dividends and, |
| | where applicable, capital gain distributions.The Morgan Stanley Capital |
| | International Emerging Markets Index is a market capitalization-weighted |
| | index composed of companies representative of the market structure of select |
| | designated emerging market countries in Europe, Latin America and the Pacific |
| | Basin. Index return does not reflect fees and expenses associated with operating |
| | a mutual fund. Investors cannot invest directly in any index. |
24
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided byThomas J. Durante, Richard A. Brown and Karen Q.Wong, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon International Appreciation Fund’s Class M shares produced a total return of 3.87%, and Investor shares returned 3.70%.1 In comparison, the fund’s benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East Index (“MSCI EAFE Index”), produced a total return of 4.13% for the same period.2
International stocks suffered early in the reporting period from a variety of macroeconomic concerns, but they later rebounded when investors’ worries eased. The fund’s return lagged the benchmark, primarily due to expenses and pricing disparities between the stocks of the companies comprising the MSCI EAFE Index and the related Depository Receipts (DRs) in which the fund invests.
The Fund’s Investment Approach
The fund seeks long-term capital appreciation.To pursue its goal, the fund normally invests at least 80% of its net assets in equity securities, including DRs, common stocks, preferred stocks, convertible securities, equity securities in foreign investment funds or trusts and other equity investments.
The fund invests primarily in DRs representing the local shares of non-U.S. companies, in particular, American Depositary Receipts (ADRs). In selecting securities, we screen the MSCI EAFE Index universe of approximately 1,000 issuers for the availability of issuers with a DR facility.The investment adviser then uses a proprietary mathematical algorithm to reflect the
characteristics of the developed markets that takes into consideration risk characteristics, including country weights and sector weights within each country. As a result of this process, we expect to hold ADRs representing 200 to 300 foreign issuers.The fund’s country allocation is expected to be within 5% of that of the MSCI EAFE Index, and under normal circumstances, the fund will invest in at least 10 different countries. The fund generally will not invest in securities from developing countries because they are not included in the MSCI EAFE Index.
Macroeconomic Developments Fueled Market Volatility
International markets floundered early in the reporting period due to a variety of negative developments, including a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, uncertainties regarding the U.S. economic recovery, and the potentially dampening effects of inflation-fighting efforts in some emerging markets. These concerns led investors to flock to traditional safe havens with little consideration for underlying business fundamentals, causing global equity markets to move sharply lower and remain volatile through mid-December.
The first two months of 2012 brought better news, and international markets staged a steady rebound when European policymakers made credible progress toward resolving the region’s debt crisis, encouraging economic data erased U.S. recession fears, and inflationary pressures eased amid continued economic growth in emerging markets.The resulting rally drove the MSCI EAFE Index into positive territory by the reporting period’s end.
DISCUSSION OF FUND PERFORMANCE (continued)
Mixed Results Across Regions and Industry Groups
Equity market returns varied across geographic regions during the reporting period. In Europe, for example, countries along the Mediterranean coast were punished by the sovereign debt crisis, while Scandinavian countries fared relatively well due to their healthier balance sheets and housing markets.
From an industry group perspective, global insurance companies benefited from rising demand in Asia from an expanding middle class of consumers. Australian banks generally flourished amid a robust domestic economy fueled by exports of commodities to the emerging markets, and aerospace and defense firms throughout the world encountered rising orders for aircraft. In addition, our index sampling process produced underweighted exposure to Spanish banks hurt by Europe’s sovereign debt crisis.
International markets also benefited from robust demand for dividend-paying stocks, many of which exhibit the defensive characteristics investors sought in 2011. The flight to perceived safety was especially beneficial to integrated oil producers and global telecommunications providers. Finally, a number of high-end retailers advanced as Asian consumers spent more freely on luxury goods and services.
The fund received more disappointing results in other sectors. Our sampling strategy led to an overweighted position in a Japanese health care company that was embroiled in an accounting scandal, and relatively light exposure to tobacco companies hurt the fund’s results in the consumer staples sector. Utilities also lagged, mainly due to weakness among Japanese power producers in the aftermath of 2011’s natural and nuclear disasters and a corresponding shift away from nuclear power in other countries.
Macroeconomic Headwinds Remain
In light of current macroeconomic challenges, we believe that heightened market volatility is likely to persist until the direction and strength of the global economy becomes clearer. We continue to monitor the factors comprising the fund’s investment model in light of current market conditions. In our experience, we believe the fund’s investment approach can help investors manage risks through broad diversification, potentially limiting the impact on the overall portfolio of unexpected losses in any sector or holding.
March 15, 2012
Equity funds 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.
The fund’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.These risks are enhanced in emerging market countries.
| |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of net dividends and, |
| | where applicable, capital gain distributions.The Morgan Stanley Capital |
| | International Europe,Australasia, Far East (MSCI EAFE) Index is an |
| | unmanaged index composed of a sample of companies representative of the |
| | market structure of European and Pacific Basin countries. Index return does |
| | not reflect fees and expenses associated with operating a mutual fund. Investors |
| | cannot invest directly in any index. |
26
DISCUSSION OF
FUND PERFORMANCE
For the period between the fund’s inception on December 15, 2011, through February 29, 2012, as provided by Jocelin A. Reed, CFA, C. Wesley Boggs, Warren Chiang, CFA, and Ronald Gala, CFA, Primary Portfolio Managers
Market and Fund Performance Overview
For the period between the fund’s inception on December 15, 2011, and the end of its semiannual reporting period on February 29, 2012, BNY Mellon International Equity Income Fund’s Class M shares produced a total return of 11.12%, and it’s Investor shares returned 11.12%.1 In comparison, the fund’s benchmark, Morgan Stanley Capital International All Country World Index Ex-U.S. (MSCI ACWI Ex-US Index), provided a total return of 12.78% from December 31, 2011, through February 29, 2012.2
In the wake of earlier, widespread stock market declines, improving economic conditions throughout the world bolstered investor confidence in early 2012, driving global equity markets higher.While we believe that two and a half months is too brief a time to judge accurately a long-term investment’s performance, the fund produced lower returns than its current benchmark, primarily due to investors’ preference for more aggressive, growth-oriented stocks as markets rebounded.
The Fund’s Investment Approach
The fund seeks total return consisting of capital appreciation and income. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities. The fund focuses on dividend-paying stocks of foreign companies, including those in developed and emerging-market countries.The fund may invest in the stocks of companies of any market capitalization.
We select stocks through a disciplined investment process using proprietary quantitative computer models
that analyze a diverse set of characteristics to identify and rank stocks according to earnings quality. Based on this analysis, we generally select from the higher ranked dividend-paying securities those stocks that we believe will continue to pay above-average dividends.We seek to overweight higher equity securities.The fund focuses on dividend-paying stocks, while maintaining country and sector weights generally similar to those of the MSCI ACWI Ex-US Index.
Investor Sentiment Shifted with Economic Fundamentals
International stock markets floundered in the months prior to the start of the reporting period in response to a variety of macroeconomic concerns, including a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, inflation-fighting measures in China that dampened the region’s growth rate, and uncertainties regarding the strength and sustainability of the U.S. economic recovery. These issues led global investors to favor perceived safe havens, such as dividend-paying stocks with generous yields and a record of dividend increases.
Fortunately, most of the worries plaguing investors in September failed to materialize. By year-end 2011, European policymakers had taken steps toward addressing the region’s financial problems, China appeared headed for a “soft landing” and U.S. economic data showed clear signs of improvement. In addition, corporate earnings generally proved stronger than expected, and many investors responded favorably to more attractive valuations in the wake of the earlier downturn. Dividend-paying stocks, which had outperformed broader market averages when stocks retreated in 2011, produced less robust gains than other equities when investors returned to riskier investments in early 2012.
DISCUSSION OF FUND PERFORMANCE (continued)
Dividend Payers Lagged More Growth-Oriented Stocks
Although the fund participated to a significant degree in the equity markets’ gains during the reporting period, its results compared to the benchmark were hurt by its focus on traditionally defensive dividend payers when investors turned to more aggressive growth companies. Shortfalls were especially pronounced in the telecommunication sector, where France Telecom declined mildly after posting impressive gains before the fund began operations. Similarly, Spanish wireless providerTelefonica lagged market averages despite sound business fundamentals when investors turned to riskier industry groups. In the financials sector, underweighted exposure to the United Kingdom held back the fund’s performance in a relatively strong-performing region.The fund held overweighted exposure to financial institutions in Australia, where neither a 2011 downturn nor a 2012 “relief rally” occurred.The fund also was hurt by an underweighted position in the energy sector, which proved to be one of the benchmark’s stronger segments. In addition, oil-and-gas producer Enerplus lagged when natural gas prices fell amid a glut of supply.
The fund achieved better relative results in the traditionally defensive consumer staples and health care sectors, where we established underweighted exposure.The fund’s stock selections in the materials sector also buoyed returns, as South African miner Kumba Iron Ore benefited from rising exports, and China Molybdenum advanced when regional economic concerns abated.
Finding Sustainable Opportunities in a Slow Growth Economy
Recent improvements in global economic data have been encouraging, but a number of risks remain. In our view, skittish investors may be particularly attracted to dividend-paying companies in slow-growth environment. Furthermore, we believe investors may gravitate to dividend paying stocks in greater numbers should, as we expect, bond yields remain uncompetitively low in the United States, Europe and other developed markets. Consequently, we intend to maintain our focus on high-quality companies with steady earnings, healthy balance sheets and robust dividend yields.
March 15, 2012
Equity funds 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.
| |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost. Return figures provided reflect the absorption of |
| | certain fund expenses by BNY Mellon Fund Advisers pursuant to an |
| | agreement in effect until January 1, 2013, at which time it may be extended, |
| | terminated or modified. Had these expenses not been absorbed, the fund’s |
| | returns would have been lower. |
| 2 | SOURCE: FACTSET — Reflects reinvestment of net dividends and, where |
| | applicable, capital gain distributions.The MSCI ACWI Ex-US Index is a |
| | free float-adjusted market capitalization weighted index that is designed to |
| | measure the equity market performance of developed and emerging markets |
| | outside of the United States. Investors cannot invest directly in any index. For |
| | comparative purposes, the value of the Index as of 12/31/11 is used as the |
| | beginning value on 12/15/11. |
28
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Sean Fitzgibbon, Jeffrey McGrew, John Flahive and Bernard Schoenfeld, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Asset Allocation Fund’s Class M shares produced a total return of 5.71%, and Investor shares produced 5.55%.1 The fund’s primary benchmark, the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), produced a total return of 13.30% and its secondary benchmark, the Barclays U.S. Aggregate Bond Index, produced a total return of 2.73% for the same period.2
After a weak start, improving U.S. economic fundamentals and better-than-expected corporate earnings drove stocks and high yield bonds broadly higher.The fund produced lower returns than the S&P 500 Index, primarily due to shortfalls among some of its growth-oriented investments.
The Fund’s Investment Approach
Effective September 15, 2011, the fund implemented changes to the fund’s investment strategy pursuant to which the fund may invest in both individual securities and other investment companies, including other BNY Mellon funds, funds in the Dreyfus Family of Funds and unaffiliated open-end funds, closed-end funds and exchange-traded funds (collectively, the “underlying funds”). To pursue its goal, the fund may allocate its assets, directly in individual equity and debt securities and/or through investment in the underlying funds, to gain investment exposure to the following asset classes: Large Cap Equities, Small Cap and Mid Cap Equities, Developed International and Global Equities, Emerging Markets Equities, Investment Grade Bonds, High Yield Bonds, Emerging Markets Debt, Diversifying Strategies and Money Market Instruments.
Further information about the fund’s investment strategy and investment process is described in the fund’s prospectus.
Improving Fundamentals Buoyed Markets
The reporting period began on a negative note, with stock and bond markets throughout the world floundering due to several macroeconomic concerns, including one credit agency’s downgrade of long-term U.S. government debt, a persistent sovereign debt crisis in Europe and uncertainties regarding the U.S. economic recovery. Consequently, investors fled riskier assets, such as stocks and high yield bonds, in favor of traditional safe havens, including U.S. government securities.
Fortunately, most of these worries failed to materialize, as European policymakers took steps toward addressing the region’s financial problems, U.S. economic data improved, corporate earnings proved stronger than expected, and investors responded favorably to more attractive equity valuations. These developments lifted prices of stocks and higher yielding bonds through the reporting period’s end.
Allocations Produced Mixed Results
The reporting period was challenging for growth-oriented strategies, leading to below-average returns for BNY Mellon Mid Cap Stock Fund and BNY Mellon Core U.S. Equity 130/30 Fund. Moreover, BNY Mellon International Fund and BNY Mellon Emerging Markets Fund were hurt by weakness in overseas markets. The fund achieved better results through the more defensively positioned Dreyfus U.S. Equity Fund. Dreyfus Select Managers Small Cap Value Fund also fared relatively well.
Among individual stocks, health care holdings trailed market averages when investors favored relatively defensive stocks over their more growth-oriented
DISCUSSION OF FUND PERFORMANCE (continued)
counterparts, and we may have been too early in establishing positions in the financials sector, where life insurers did not rebound as robustly as sector averages. A handful of consumer discretionary companies also hurt the fund’s relative performance. In contrast, the fund’s top individual performers included stocks in the information technology, retail, industrials and consumer staples industry groups.
The fund’s fixed-income portfolio was buoyed by investments in Dreyfus Inflation-Adjusted Securities Fund and Dreyfus High Yield Fund. However, Dreyfus Emerging Markets Debt Local Currency Fund was hurt by a strengthening U.S. dollar. Overweighted exposure to corporate bonds and TIPS helped the fund’s direct fixed-income investments.
Finally, our use of managed futures to establish certain positions proved relatively ineffective under choppy market conditions.
A Constructive, But Cautious, Stance
While Europe’s troubles have continued to weigh on investor sentiment, efforts to resolve those difficulties remain credible, and the U.S. economy has continued to grow.These developments generally have the potential to benefit stocks, but we are aware of richer stock valuations and more attractive valuations among fixed-
income securities.We are carefully watching these and other developments in domestic and global markets, and we stand prepared to adjust the fund’s allocations as warranted.
March 15, 2012
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.
Bonds are subject generally to interest rate, credit, liquidity and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.
| |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price and investment |
| | return fluctuate such that upon redemption, fund shares may be worth more or |
| | less than their original cost.The fund’s returns reflect the absorption of certain |
| | fund expenses by BNY Mellon Fund Advisers pursuant to an agreement in |
| | effect through December 31, 2012, at which time it may be extended, |
| | terminated or modified. Had these expenses not been absorbed, the fund’s |
| | returns would have been lower. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Standard & Poor’s 500 Composite |
| | Stock Price Index is a widely accepted, unmanaged index of U.S. stock market |
| | performance.The Barclays U.S.Aggregate Bond Index is a widely accepted, |
| | unmanaged total return index of corporate, U.S. government and U.S. |
| | government agency debt instruments, mortgage-backed securities and asset- |
| | backed securities with an average maturity of 1-10 years.The indices’ returns |
| | do not reflect the fees and expenses associated with operating a mutual fund. |
| | Investors cannot invest directly in any index. |
30
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 each class of each BNY Mellon equity fund from September 1, 2011 to February 29, 2012. 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 | | | | | | |
| assuming actual returns for the six months ended February 29, 2012† | | | | | | |
| | | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | | Premier Shares |
| BNY Mellon Large Cap Stock Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 4.24 | $ | 5.54 | | — |
| Ending value (after expenses) | $ | 1,103.50 | $ | 1,102.00 | | — |
| Annualized expense ratio (%) | | .81 | | 1.06 | | — |
| BNY Mellon Large Cap Market | | | | | | |
| Opportunities Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 4.01 | $ | 5.29 | | — |
| Ending value (after expenses) | $ | 1,096.10 | $ | 1,104.70 | | — |
| Annualized expense ratio (%) | | .77 | | 1.01 | | — |
| BNY Mellon Tax-Sensitive | | | | | | |
| Large Cap Multi-Strategy Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 4.76 | $ | 6.22 | | — |
| Ending value (after expenses) | $ | 1,104.10 | $ | 1,103.40 | | — |
| Annualized expense ratio (%) | | .91 | | 1.19 | | — |
| BNY Mellon Income Stock Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 4.32 | $ | 5.63 | | — |
| Ending value (after expenses) | $ | 1,117.70 | $ | 1,115.70 | | — |
| Annualized expense ratio (%) | | .82 | | 1.07 | | — |
| BNY Mellon Mid Cap Stock Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 4.67 | $ | 5.96 | $ | 9.83 |
| Ending value (after expenses) | $ | 1,086.50 | $ | 1,084.70 | $ | 1,081.30 |
| Annualized expense ratio (%) | | .90 | | 1.15 | | 1.90 |
| BNY Mellon Small Cap Stock Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 5.36 | $ | 6.66 | | — |
| Ending value (after expenses) | $ | 1,093.50 | $ | 1,091.40 | | — |
| Annualized expense ratio (%) | | 1.03 | | 1.28 | | — |
| BNY Mellon U.S. Core Equity 130/30 Fund | | | | | | |
| Expenses paid per $1,000†† | $ | 8.68 | $ | 9.31 | | — |
| Ending value (after expenses) | $ | 1,091.20 | $ | 1,090.80 | | — |
| Annualized expense ratio (%) | | 1.67 | | 1.79 | | — |
| | | | | |
| UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| Expenses and Value of a $1,000 Investment (continued) | | | | | |
| assuming actual returns for the six months ended February 29, 2012† | | | | | |
| | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | Premier Shares |
| BNY Mellon Focused | | | | | |
| Equity Opportunities Fund | | | | | |
| Expenses paid per $1,000†† | $ | 4.50 | $ | 5.78 | — |
| Ending value (after expenses) | $ | 1,079.00 | $ | 1,076.50 | — |
| Annualized expense ratio (%) | | .87 | | 1.12 | — |
| BNY Mellon Small/Mid Cap Fund | | | | | |
| Expenses paid per $1,000†† | $ | 4.67 | $ | 5.94 | — |
| Ending value (after expenses) | $ | 1,043.50 | $ | 1,041.10 | — |
| Annualized expense ratio (%) | | .92 | | 1.17 | — |
| BNY Mellon International Fund | | | | | |
| Expenses paid per $1,000†† | $ | 5.23 | $ | 6.43 | — |
| Ending value (after expenses) | $ | 1,021.40 | $ | 1,021.10 | — |
| Annualized expense ratio (%) | | 1.04 | | 1.28 | — |
| BNY Mellon Emerging Markets Fund | | | | | |
| Expenses paid per $1,000†† | $ | 7.14 | $ | 8.40 | — |
| Ending value (after expenses) | $ | 1,036.30 | $ | 1,035.50 | — |
| Annualized expense ratio (%) | | 1.41 | | 1.66 | — |
| BNY Mellon International Appreciation Fund | | | | | |
| Expenses paid per $1,000†† | $ | 4.00 | $ | 5.32 | — |
| Ending value (after expenses) | $ | 1,038.70 | $ | 1,037.00 | — |
| Annualized expense ratio (%) | | .79 | | 1.05 | — |
| BNY Mellon International Equity Income Fund | | | | | |
| Expenses paid per $1,000††† | $ | 2.66 | $ | 3.22 | — |
| Ending value (after expenses) | $ | 1,111.20 | $ | 1,111.20 | — |
| Annualized expense ratio (%) | | 1.20 | | 1.45 | — |
| BNY Mellon Asset Allocation Fund | | | | | |
| Expenses paid per $1,000†† | $ | 1.53 | $ | 2.86 | — |
| Ending value (after expenses) | $ | 1,057.10 | $ | 1,055.50 | — |
| Annualized expense ratio (%) | | .30 | | .56 | — |
| |
| † | From December 15, 2011 (commencement of operations) to February 29, 2012 for BNY Mellon International Equity Income Fund. |
| †† | Expenses are equal to each fund’s annualized expense ratios as shown above, multiplied by the respective fund's average account value over the period, multiplied by 182/366 (to |
| | reflect the one-half year period). |
| ††† | Expenses are equal to the BNY Mellon International Equity Income Fund annualized expense ratios as shown above, multiplied by the average account value over the period, |
| | multiplied by 77/366 (to reflect the actual days in the period). |
32
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 each fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| | | | | | | |
| Expenses and Value of a $1,000 Investment | | | | | | | |
| assuming a hypothetical 5% annualized return for the six months ended February 29, 2012† | | | | |
| | | | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | | Premier Shares |
| BNY Mellon Large Cap Stock Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $4.07 | $ | 5.32 | | — |
| Ending value (after expenses) | | $1,020.84 | $ | 1,019.59 | | — |
| Annualized expense ratio (%) | | | .81 | | 1.06 | | — |
| BNY Mellon Large Cap Market | | | | | | | |
| Opportunities Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $3.87 | $ | 5.07 | | — |
| Ending value (after expenses) | | $1,021.03 | $ | 1,019.84 | | — |
| Annualized expense ratio (%) | | | .77 | | 1.01 | | — |
| BNY Mellon Tax-Sensitive | | | | | | | |
| Large Cap Multi-Strategy Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $4.57 | $ | 5.97 | | — |
| Ending value (after expenses) | | $1,020.34 | $ | 1,018.95 | | — |
| Annualized expense ratio (%) | | | .91 | | 1.19 | | — |
| BNY Mellon Income Stock Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $4.12 | $ | 5.37 | | — |
| Ending value (after expenses) | | $1,020.79 | $ | 1,019.54 | | — |
| Annualized expense ratio (%) | | | .82 | | 1.07 | | — |
| BNY Mellon Mid Cap Stock Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $4.52 | $ | 5.77 | $ | 9.52 |
| Ending value (after expenses) | | $1,020.39 | $ | 1,019.14 | $ | 1,015.42 |
| Annualized expense ratio (%) | | | .90 | | 1.15 | | 1.90 |
| BNY Mellon Small Cap Stock Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $5.17 | $ | 6.42 | | — |
| Ending value (after expenses) | | $1,019.74 | $ | 1,018.50 | | — |
| Annualized expense ratio (%) | | | 1.03 | | 1.28 | | — |
| BNY Mellon U.S. Core Equity 130/30 Fund | | | | | | | |
| Expenses paid per $1,000†† | | | $8.37 | $ | 8.97 | | — |
| Ending value (after expenses) | | $1,016.56 | $ | 1,015.96 | | — |
| Annualized expense ratio (%) | | | 1.67 | | 1.79 | | — |
| | | | | | |
| COMPARING YOUR FUND’S EXPENSES WITH THOSE OF OTHER FUNDS (Unaudited) (continued) | | | |
| |
| |
| |
| |
| Expenses and Value of a $1,000 Investment (continued) | | | | | | |
| assuming a hypothetical 5% annualized return for the six months ended February 29, 2012† | | | |
| | | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | Premier Shares |
| BNY Mellon Focused | | | | | | |
| Equity Opportunities Fund | | | | | | |
| Expenses paid per $1,000†† | | | $4.37 | $ | 5.62 | — |
| Ending value (after expenses) | | $1,020.54 | $ | 1,019.29 | — |
| Annualized expense ratio (%) | | | .87 | | 1.12 | — |
| BNY Mellon Small/Mid Cap Fund | | | | | | |
| Expenses paid per $1,000†† | | | $4.62 | $ | 5.87 | — |
| Ending value (after expenses) | | $1,020.29 | $ | 1,019.05 | — |
| Annualized expense ratio (%) | | | .92 | | 1.17 | — |
| BNY Mellon International Fund | | | | | | |
| Expenses paid per $1,000†† | | | $5.22 | $ | 6.42 | — |
| Ending value (after expenses) | | $1,019.69 | $ | 1,018.50 | — |
| Annualized expense ratio (%) | | | 1.04 | | 1.28 | — |
| BNY Mellon Emerging Markets Fund | | | | | | |
| Expenses paid per $1,000†† | | | $7.07 | $ | 8.32 | — |
| Ending value (after expenses) | | $1,017.85 | $ | 1,016.61 | — |
| Annualized expense ratio (%) | | | 1.41 | | 1.66 | — |
| BNY Mellon International Appreciation Fund | | | | | | |
| Expenses paid per $1,000†† | | | $3.97 | $ | 5.27 | — |
| Ending value (after expenses) | | $1,020.93 | $ | 1,019.64 | — |
| Annualized expense ratio (%) | | | .79 | | 1.05 | — |
| BNY Mellon International Equity Income Fund††† | | | | | | |
| Expenses paid per $1,000†† | | | $6.02 | $ | 7.27 | — |
| Ending value (after expenses) | | $1,018,90 | $ | 1,017.65 | — |
| Annualized expense ratio (%) | | | 1.20 | | 1.45 | — |
| BNY Mellon Asset Allocation Fund | | | | | | |
| Expenses paid per $1,000†† | | | $1.51 | $ | 2.82 | — |
| Ending value (after expenses) | | $1,023.37 | $ | 1,022.08 | — |
| Annualized expense ratio (%) | | | .30 | | .56 | — |
| |
| † | From December 15, 2011 (commencement of operations) to February 29, 2012 for BNY Mellon International Equity Income Fund. |
| †† | Expenses are equal to each fund’s annualized expense ratios as shown above, multiplied by the respective fund's average account value over the period, multiplied by 182/366 (to |
| | reflect the one-half year period). |
| ††† | Please note while Class M and Investor Shares for BNY Mellon International Equity Income Fund commenced operations on December 15, 2011, the hypothetical expenses paid |
| | during the period reflect projected activity for the full six-month period for purposes of comparability.This projection assumes that the annualized expense ratios were in effect |
| | during the period September 1, 2011 to February 29, 2012. |
34
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Large Cap Stock Fund | | | | |
| Common Stocks—99.9% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—12.1% | | | Financial (continued) | | |
| Amazon.com | 73,040a | 13,124,558 | Capital One Financial | 178,560 | 9,035,136 |
| Autoliv | 165,710 | 11,036,286 | CBRE Group, Cl. A | 304,930a | 5,589,367 |
| Carnival | 207,984 | 6,299,835 | Chubb | 109,300 | 7,428,028 |
| CBS, Cl. B | 477,950 | 14,290,705 | Citigroup | 407,961 | 13,593,260 |
| DIRECTV, Cl. A | 292,480a | 13,547,674 | Discover Financial Services | 233,570 | 7,009,436 |
| McDonald’s | 169,930 | 16,870,650 | IntercontinentalExchange | 79,330a | 10,944,367 |
| Melco Crown Entertainment, ADR | 653,290a,b | 8,251,053 | JPMorgan Chase & Co. | 247,536 | 9,713,313 |
| Michael Kors Holdings | 196,240 | 8,487,380 | Lincoln National | 402,590 | 10,000,336 |
| News, Cl. A | 775,190 | 15,403,025 | T. Rowe Price Group | 189,940 | 11,698,405 |
| PVH | 111,640 | 9,490,516 | Wells Fargo & Co. | 978,130 | 30,605,688 |
| Target | 189,750 | 10,756,927 | | | 164,005,122 |
| | | 127,558,609 | Health Care—12.7% | | |
| Consumer Staples—11.1% | | | Allscripts Healthcare Solutions | 415,020a | 8,018,186 |
| Coca-Cola Enterprises | 397,590 | 11,490,351 | Baxter International | 197,300 | 11,469,049 |
| Lorillard | 102,680 | 13,459,294 | Cigna | 329,570 | 14,537,333 |
| PepsiCo | 395,940 | 24,920,464 | Covidien | 341,960 | 17,867,410 |
| Philip Morris International | 286,340 | 23,915,117 | McKesson | 140,080 | 11,698,081 |
| Post Holdings | 79,850a | 2,486,529 | Pfizer | 1,238,930 | 26,141,423 |
| Ralcorp Holdings | 159,700a | 11,913,620 | Sanofi, ADR | 613,490 | 22,717,535 |
| Unilever, ADR | 893,750 | 29,020,062 | St. Jude Medical | 219,390 | 9,240,707 |
| | | 117,205,437 | Zimmer Holdings | 216,210 | 13,134,757 |
| Energy—11.3% | | | | | 134,824,481 |
| Anadarko Petroleum | 178,070 | 14,979,248 | Industrial—11.0% | | |
| Apache | 97,450 | 10,517,778 | Caterpillar | 147,290 | 16,821,991 |
| Chevron | 256,580 | 27,998,009 | Cummins | 126,240 | 15,220,757 |
| ENSCO, ADR | 216,800 | 12,639,440 | Danaher | 176,010 | 9,298,608 |
| EOG Resources | 74,780 | 8,514,451 | Eaton | 137,230 | 7,162,034 |
| National Oilwell Varco | 281,700 | 23,248,701 | FedEx | 139,310 | 12,536,507 |
| Occidental Petroleum | 111,390 | 11,625,774 | General Electric | 1,597,056 | 30,423,917 |
| TransCanada | 234,620 | 10,318,588 | Robert Half International | 285,960 | 8,129,843 |
| | | 119,841,989 | Thomas & Betts | 123,860a | 8,946,408 |
| Exchange Traded Funds—2.7% | | | Tyco International | 161,530 | 8,370,485 |
| Standard & Poor’s Depository | | | | | 116,910,550 |
| Receipts S&P 500 ETF Trust | 210,180 | 28,798,864 | Information | | |
| Financial—15.5% | | | Technology—19.7% | | |
| Affiliated Managers Group | 98,642a | 10,494,522 | Apple | 121,700a | 66,014,948 |
| Alliance Data Systems | 55,020a | 6,677,227 | Cognizant Technology | | |
| American Express | 265,710 | 14,053,402 | Solutions, Cl. A | 177,490a | 12,592,915 |
| Ameriprise Financial | 190,050 | 10,597,188 | Electronic Arts | 456,420a | 7,453,338 |
| Bank of America | 823,770 | 6,565,447 | EMC | 616,330a | 17,066,178 |
| | | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | |
| |
| |
| |
| |
| BNY Mellon Large Cap Stock Fund (continued) | | | | | |
| |
| Common Stocks (continued) | Shares | Value ($) | Other Investment—1.5% | Shares | | Value ($) | |
| Information Technology (continued) | | | Registered Investment Company; | | | | |
| Informatica | 191,140a | 9,396,442 | Dreyfus Institutional Preferred | | | | |
| International Business Machines | 87,190 | 17,152,889 | Plus Money Market Fund | | | | |
| Intuit | 204,540 | 11,830,594 | (cost $16,343,519) | 16,343,519 | c | 16,343,519 | |
| NetApp | 294,020a | 12,642,860 | Investment of Cash Collateral | | | | |
| Oracle | 537,450 | 15,731,161 | for Securities Loaned—.1% | | | | |
| QUALCOMM | 303,910 | 18,897,124 | Registered Investment Company; | | | | |
| Teradata | 171,668a | 11,424,505 | Dreyfus Institutional Cash | | | | |
| VMware, Cl. A | 84,732a | 8,379,147 | Advantage Fund | | | | |
| | | 208,582,101 | (cost $516,777) | 516,777 | c | 516,777 | |
| Telecommunication Services—2.7% | | | | | | | |
| | | | Total Investments | | | | |
| AT&T | 918,849 | 28,107,591 | (cost $852,862,872) | 101.5% 1,074,400,062 | |
| Utilities—1.1% | | | | | | | |
| | | | Liabilities, Less Cash | | | | |
| NextEra Energy | 196,690 | 11,705,022 | and Receivables | (1.5 | %) | (16,255,947 | ) |
| Total Common Stocks | | | | | | | |
| (cost $836,002,576) | 1,057,539,766 | Net Assets | 100.0% 1,058,144,115 | |
ADR—American Depository Receipts
|
| a Non-income producing security. |
| b Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan was $492,595 and the value of the collateral held by the fund was $516,777. |
| c Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 19.7 | Industrial | 11.0 |
| Financial | 15.5 | Telecommunication Services | 2.7 |
| Health Care | 12.7 | Exchange Traded Funds | 2.7 |
| Consumer Discretionary | 12.1 | Money Market Investments | 1.6 |
| Energy | 11.3 | Utilities | 1.1 |
| Consumer Staples | 11.1 | | 101.5 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
36
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Large Cap Market Opportunities Fund | | | |
| Common Stocks—85.2% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—14.3% | | | Financial—5.2% | | |
| Coach | 19,430 | 1,454,141 | BB&T | 53,360 | 1,560,780 |
| Family Dollar Stores | 22,541 | 1,216,989 | Invesco | 62,843 | 1,556,621 |
| Johnson Controls | 52,769 | 1,721,852 | MetLife | 55,140 | 2,125,647 |
| Las Vegas Sands | 39,130 | 2,176,019 | Wells Fargo & Co. | 56,320 | 1,762,253 |
| Lowe’s | 48,920 | 1,388,350 | | | 7,005,301 |
| McDonald’s | 14,429 | 1,432,511 | Health Care—11.5% | | |
| NIKE, Cl. B | 13,599 | 1,467,604 | Agilent Technologies | 43,284 | 1,888,048 |
| Panera Bread, Cl. A | 6,921a | 1,069,848 | C.R. Bard | 12,888 | 1,206,575 |
| Starbucks | 40,301 | 1,957,017 | Celgene | 18,628a | 1,365,898 |
| TJX | 48,886 | 1,789,716 | Express Scripts | 34,980a | 1,865,483 |
| Tractor Supply | 13,466 | 1,150,939 | Gilead Sciences | 36,760a | 1,672,580 |
| Urban Outfitters | 37,400a | 1,061,786 | Johnson & Johnson | 17,280 | 1,124,582 |
| Walt Disney | 35,334 | 1,483,675 | Meridian Bioscience | 51,335 | 925,057 |
| | | 19,370,447 | ResMed | 46,050a | 1,349,265 |
| Consumer Staples—6.2% | | | Stryker | 21,682 | 1,163,022 |
| Coca-Cola | 44,260 | 3,092,004 | Varian Medical Systems | 18,286a | 1,193,162 |
| Colgate-Palmolive | 12,813 | 1,193,915 | Watson Pharmaceuticals | 32,016a | 1,867,173 |
| Kraft Foods, Cl. A | 53,364 | 2,031,567 | | | 15,620,845 |
| PepsiCo | 15,419 | 970,472 | Industrial—11.0% | | |
| Wal-Mart Stores | 19,556 | 1,155,368 | Boeing | 14,842 | 1,112,408 |
| | | 8,443,326 | C.H. Robinson Worldwide | 15,528 | 1,027,488 |
| Energy—10.8% | | | Caterpillar | 24,310 | 2,776,445 |
| Apache | 12,069 | 1,302,607 | Donaldson | 21,267 | 1,561,636 |
| CARBO Ceramics | 12,292 | 1,126,562 | Dover | 25,490 | 1,631,870 |
| EOG Resources | 11,498 | 1,309,162 | Emerson Electric | 23,510 | 1,182,788 |
| Exxon Mobil | 18,970 | 1,640,905 | Honeywell International | 34,386 | 2,048,374 |
| Halliburton | 43,281 | 1,583,652 | MSC Industrial Direct, Cl. A | 16,226 | 1,288,507 |
| Marathon Oil | 45,650 | 1,547,079 | Precision Castparts | 7,948 | 1,330,734 |
| Noble | 42,990a | 1,727,338 | Rockwell Collins | 17,508 | 1,038,049 |
| Occidental Petroleum | 12,841 | 1,340,215 | | | 14,998,299 |
| Schlumberger | 16,775 | 1,301,908 | Information Technology—21.2% | | |
| Valero Energy | 72,330 | 1,771,362 | Adobe Systems | 34,957a | 1,149,736 |
| | | 14,650,790 | Amphenol, Cl. A | 22,334 | 1,249,811 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon Large Cap Market Opportunities Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | | Value ($) |
| Information Technology (continued) | | | Materials (continued) | | | |
| Apple | 8,363a | 4,536,426 | Monsanto | 17,298 | | 1,338,519 |
| Automatic Data Processing | 21,945 | 1,192,052 | Praxair | 11,105 | | 1,210,445 |
| Baidu, ADR | 11,448a | 1,564,942 | Sigma-Aldrich | 18,060 | | 1,296,527 |
| Cisco Systems | 66,893 | 1,329,833 | | | | 6,788,518 |
| FLIR Systems | 33,729 | 882,688 | Total Common Stocks | | | |
| Google, Cl. A | 2,045a | 1,264,321 | (cost $103,584,127) | | | 115,622,290 |
| Intel | 47,632 | 1,280,348 | | | | |
| MasterCard, Cl. A | 4,289 | 1,801,380 | Other Investment—14.4% | | | |
| Microsoft | 38,539 | 1,223,228 | Registered Investment Companies: | | | |
| Oracle | 42,116 | 1,232,735 | BNY Mellon U.S. Core Equity | | | |
| Paychex | 38,336 | 1,199,917 | 130/30 Fund, Cl. M | 1,457,541 | b | 17,126,111 |
| QUALCOMM | 19,562 | 1,216,365 | Dreyfus Institutional Preferred | | | |
| Rovi | 34,976a | 1,240,948 | Plus Money Market Fund | 2,383,028 | c | 2,383,028 |
| Salesforce.com | 13,355a | 1,911,902 | Total Other Investment | | | |
| | | | (cost $18,616,829) | | | 19,509,139 |
| Teradata | 31,800a | 2,116,290 | | | | |
| Texas Instruments | 70,520 | 2,351,842 | Total Investments | | | |
| | | 28,744,764 | (cost $122,200,956) | 99.6 | % | 135,131,429 |
| Materials—5.0% | | | Cash and Receivables (Net) | .4 | % | 564,430 |
| Celanese, Ser. A | 44,466 | 2,115,248 | | | | |
| | | | Net Assets | 100.0 | % | 135,695,859 |
| Cliffs Natural Resources | 13,040 | 827,779 | | | | |
ADR—American Depository Receipts
| |
| a | Non-income producing security. |
| b | Investment in affiliated mutual fund. |
| c | Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 21.2 | Consumer Staples | 6.2 |
| Consumer Discretionary | 14.3 | Financial | 5.2 |
| Mutual Funds: Domestic | 12.6 | Materials | 5.0 |
| Health Care | 11.5 | Money Market Investment | 1.8 |
| Industrial | 11.0 | | |
| Energy | 10.8 | | 99.6 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
38
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | | |
| Common Stocks—88.9% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—12.1% | | | Consumer Discretionary (continued) | | |
| Amazon.com | 2,067a | 371,419 | Viacom, Cl. B | 1,248 | 59,430 |
| Bed Bath & Beyond | 568a | 33,932 | Walt Disney | 26,533 | 1,114,121 |
| Best Buy | 1,290 | 31,863 | Wyndham Worldwide | 370 | 16,276 |
| Carnival | 8,292 | 251,165 | Wynn Resorts | 160 | 18,966 |
| CBS, Cl. B | 959 | 28,674 | Yum! Brands | 6,633 | 439,370 |
| Coach | 8,571 | 641,454 | | | 12,130,058 |
| Comcast, Cl. A | 3,066 | 90,079 | Consumer Staples—8.0% | | |
| DIRECTV, Cl. A | 1,132a | 52,434 | Altria Group | 3,719 | 111,942 |
| Family Dollar Stores | 9,133 | 493,091 | Archer-Daniels-Midland | 1,580 | 49,296 |
| Ford Motor | 6,543 | 81,002 | Avon Products | 1,740 | 32,521 |
| Genuine Parts | 414 | 25,950 | Beam | 329 | 18,121 |
| Harley-Davidson | 294 | 13,695 | Clorox | 430 | 29,072 |
| Home Depot | 9,903 | 471,086 | Coca-Cola | 27,083 | 1,892,018 |
| International | | | Colgate-Palmolive | 6,094 | 567,839 |
| Game Technology | 259 | 3,890 | ConAgra Foods | 910 | 23,888 |
| Johnson Controls | 30,726 | 1,002,589 | Constellation Brands, Cl. A | 140a | 3,058 |
| Kohl’s | 15 | 745 | Costco Wholesale | 3,895 | 335,204 |
| Las Vegas Sands | 20,150 | 1,120,542 | CVS Caremark | 2,750 | 124,025 |
| Limited Brands | 289 | 13,447 | Dean Foods | 830a | 10,176 |
| Lowe’s | 20,842 | 591,496 | Dr. Pepper Snapple Group | 520 | 19,786 |
| Macy’s | 1,199 | 45,526 | General Mills | 1,650 | 63,212 |
| Mattel | 488 | 15,831 | H.J. Heinz | 773 | 40,745 |
| McDonald’s | 7,776 | 772,001 | Hershey | 171 | 10,380 |
| McGraw-Hill | 868 | 40,397 | J.M. Smucker | 119 | 8,963 |
| News, Cl. A | 3,436 | 68,273 | Kimberly-Clark | 750 | 54,660 |
| NIKE, Cl. B | 6,282 | 677,953 | Kraft Foods, Cl. A | 32,945 | 1,254,216 |
| O’Reilly Automotive | 164a | 14,186 | Kroger | 1,636 | 38,920 |
| Omnicom Group | 820 | 40,541 | Lorillard | 290 | 38,013 |
| Panera Bread, Cl. A | 2,798a | 432,515 | McCormick & Co | 412 | 20,785 |
| Priceline.com | 58a | 36,367 | Mead Johnson Nutrition | 3,177 | 247,012 |
| Ross Stores | 1,154 | 61,543 | Molson Coors Brewing, Cl. B | 850 | 37,349 |
| Staples | 1,830 | 26,828 | PepsiCo | 12,490 | 786,121 |
| Starbucks | 17,924 | 870,389 | Philip Morris International | 6,644 | 554,907 |
| Starwood Hotels & | | | Procter & Gamble | 11,646 | 786,338 |
| Resorts Worldwide | 760b | 40,964 | Reynolds American | 490 | 20,546 |
| Target | 1,370 | 77,665 | Sara Lee | 848 | 17,172 |
| Tiffany & Co. | 720 | 46,807 | SUPERVALU | 1,580 | 10,317 |
| Time Warner | 2,262 | 84,169 | Sysco | 1,480 | 43,542 |
| Time Warner Cable | 903 | 71,644 | Tyson Foods, Cl. A | 1,350 | 25,529 |
| TJX | 21,862 | 800,368 | Wal-Mart Stores | 11,439 | 675,816 |
| Tractor Supply | 5,498 | 469,914 | Walgreen | 1,367 | 45,330 |
| Urban Outfitters | 15,250a | 432,948 | | | 7,996,819 |
| VF | 250 | 36,513 | | | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Energy—11.1% | | | Financial (continued) | | |
| Alpha Natural Resources | 390a | 7,238 | Ameriprise Financial | 722 | 40,259 |
| Anadarko Petroleum | 941 | 79,157 | Aon | 5,431 | 254,225 |
| Apache | 5,714 | 616,712 | Apartment Investment & | | |
| Baker Hughes | 940 | 47,263 | Management, Cl. A | 1,810b | 44,960 |
| Cameron International | 846a | 47,131 | AvalonBay Communities | 199b | 25,804 |
| CARBO Ceramics | 4,995 | 457,792 | Bank of America | 18,524 | 147,636 |
| Chesapeake Energy | 1,410 | 35,250 | BB&T | 36,049 | 1,054,433 |
| Chevron | 6,554 | 715,172 | Berkshire Hathaway, Cl. B | 3,052a | 239,429 |
| ConocoPhillips | 2,256 | 172,697 | Capital One Financial | 1,033 | 52,270 |
| Consol Energy | 266 | 9,528 | CBRE Group, Cl. A | 1,520a | 27,862 |
| Devon Energy | 869 | 63,706 | Charles Schwab | 2,671 | 37,073 |
| El Paso | 2,205 | 61,321 | Chubb | 671 | 45,601 |
| EOG Resources | 5,321 | 605,849 | Cincinnati Financial | 1,350 | 47,480 |
| Exxon Mobil | 22,820 | 1,973,930 | Citigroup | 12,550 | 418,166 |
| FMC Technologies | 250a | 12,608 | CME Group | 135 | 39,081 |
| Halliburton | 25,216 | 922,653 | Discover Financial Services | 817 | 24,518 |
| Hess | 463 | 30,058 | Equity Residential | 377b | 21,448 |
| Marathon Oil | 26,757 | 906,795 | Fifth Third Bancorp | 3,234 | 44,015 |
| Marathon Petroleum | 538 | 22,354 | First Horizon National | 1,910 | 17,954 |
| Murphy Oil | 589 | 37,661 | Franklin Resources | 257 | 30,298 |
| Nabors Industries | 990a | 21,562 | Genworth Financial, Cl. A | 2,870a | 26,088 |
| National Oilwell Varco | 430 | 35,488 | Goldman Sachs Group | 524 | 60,333 |
| Noble | 22,180a | 891,192 | Hartford Financial Services Group | 1,586 | 32,846 |
| Noble Energy | 423 | 41,306 | HCP | 1,240b | 48,980 |
| Occidental Petroleum | 6,814 | 711,177 | Health Care REIT | 890b | 48,452 |
| Pioneer Natural Resources | 510 | 55,916 | Host Hotels & Resorts | 2,323b | 36,657 |
| Plains Exploration & Production | 5,181a | 228,327 | IntercontinentalExchange | 279a | 38,491 |
| QEP Resources | 5,428 | 185,312 | Invesco | 37,674 | 933,185 |
| Range Resources | 460 | 29,293 | JPMorgan Chase & Co. | 15,724 | 617,010 |
| Schlumberger | 13,120 | 1,018,243 | Leucadia National | 340 | 9,687 |
| Southwestern Energy | 1,298a | 42,912 | Lincoln National | 406 | 10,085 |
| Spectra Energy | 1,317 | 41,327 | Loews | 807 | 31,586 |
| Tesoro | 400a | 10,612 | M&T Bank | 620 | 50,604 |
| Valero Energy | 40,773 | 998,531 | Marsh & McLennan | 896 | 27,955 |
| Williams | 759 | 22,679 | MetLife | 31,302 | 1,206,692 |
| WPX Energy | 253 | 4,594 | Moody’s | 690 | 26,641 |
| | | 11,163,346 | Morgan Stanley | 3,076 | 57,029 |
| Financial—9.0% | | | NASDAQ OMX Group | 880a | 23,179 |
| ACE | 649 | 46,540 | NYSE Euronext | 203 | 6,043 |
| Allstate | 500 | 15,715 | Plum Creek Timber | 501b | 19,619 |
| American Express | 1,959 | 103,612 | PNC Financial Services Group | 7,410 | 441,043 |
| American International Group | 870a | 25,421 | Principal Financial Group | 759 | 20,994 |
| American Tower | 925b | 57,886 | Prudential Financial | 1,056 | 64,585 |
40
| | | | | | | |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Financial (continued) | | | Health Care (continued) | | |
| Regions Financial | 4,840 | 27,878 | Meridian Bioscience | 20,867 | 376,023 |
| Simon Property Group | 762b | 103,236 | Mylan | 880a | 20,627 |
| State Street | 8,775 | 370,568 | Pfizer | 36,107 | 761,858 |
| T. Rowe Price Group | 571 | 35,168 | Quest Diagnostics | 610 | 35,411 |
| Travelers | 901 | 52,231 | ResMed | 18,717a | 548,408 |
| U.S. Bancorp | 13,260 | 389,844 | Shire, ADR | 2,090 | 218,719 |
| Ventas | 830b | 46,414 | St. Jude Medical | 756 | 31,843 |
| Wells Fargo & Co. | 43,173 | 1,350,883 | Stryker | 9,601 | 514,998 |
| Weyerhaeuser | 990b | 20,681 | Thermo Fisher Scientific | 810a | 45,862 |
| | | 9,096,373 | UnitedHealth Group | 1,942 | 108,267 |
| Health Care—11.1% | | | Varian Medical Systems | 7,429a | 484,742 |
| Abbott Laboratories | 3,203 | 181,322 | Watson Pharmaceuticals | 15,247a | 889,205 |
| Aetna | 878 | 41,055 | WellPoint | 744 | 48,829 |
| Agilent Technologies | 21,880 | 954,406 | | | 11,180,563 |
| Allergan | 599 | 53,664 | Industrial—10.7% | | |
| AmerisourceBergen | 846 | 31,598 | 3M | 1,394 | 122,114 |
| Amgen | 1,750 | 118,912 | Boeing | 7,511 | 562,949 |
| Baxter International | 1,555 | 90,392 | C.H. Robinson Worldwide | 6,935 | 458,889 |
| Becton Dickinson & Co. | 137 | 10,442 | Caterpillar | 13,747 | 1,570,045 |
| Biogen Idec | 462a | 53,809 | CSX | 888 | 18,657 |
| Boston Scientific | 2,149a | 13,367 | Cummins | 486 | 58,597 |
| Bristol-Myers Squibb | 2,552 | 82,098 | Danaher | 1,132 | 59,804 |
| C.R. Bard | 5,779 | 541,030 | Deere & Co. | 861 | 71,403 |
| Cardinal Health | 1,070 | 44,459 | Donaldson | 8,635 | 634,068 |
| Celgene | 8,613a | 631,548 | Dover | 14,919 | 955,114 |
| Cerner | 350a | 25,841 | Eaton | 8,092 | 422,321 |
| Cigna | 468 | 20,643 | Emerson Electric | 11,230 | 564,981 |
| Coventry Health Care | 370a | 12,095 | Expeditors International | | |
| Covidien | 6,161 | 321,912 | of Washington | 116 | 5,061 |
| DaVita | 180a | 15,579 | FedEx | 908 | 81,711 |
| Eli Lilly & Co. | 1,036 | 40,653 | Fluor | 377 | 22,801 |
| Express Scripts | 19,076a | 1,017,323 | Fortune Brands Home & Security | 329a | 6,363 |
| Forest Laboratories | 870a | 28,292 | General Dynamics | 841 | 61,586 |
| Gilead Sciences | 20,660a | 940,030 | General Electric | 31,762 | 605,066 |
| Hospira | 152a | 5,414 | Goodrich | 111 | 13,983 |
| Humana | 381 | 33,185 | Honeywell International | 19,527 | 1,163,223 |
| Intuitive Surgical | 110a | 56,278 | Ingersoll-Rand | 6,690 | 266,797 |
| Johnson & Johnson | 16,641 | 1,082,996 | ITT | 34 | 848 |
| Laboratory Corp. of America Holdings | 241a | 21,663 | ITT Exelis | 68 | 715 |
| McKesson | 359 | 29,980 | Lockheed Martin | 700 | 61,887 |
| Medco Health Solutions | 793a | 53,599 | MSC Industrial Direct, Cl. A | 6,597 | 523,868 |
| Medtronic | 1,906 | 72,657 | Norfolk Southern | 822 | 56,636 |
| Merck & Co. | 12,301 | 469,529 | Northrop Grumman | 126 | 7,536 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Industrial (continued) | | | Information Technology (continued) | | |
| PACCAR | 777 | 35,750 | Linear Technology | 835 | 27,956 |
| Parker Hannifin | 612 | 54,964 | MasterCard, Cl. A | 1,951 | 819,420 |
| Precision Castparts | 3,597 | 602,246 | Microchip Technology | 1,200 | 43,284 |
| Republic Services | 1,110 | 33,111 | Microsoft | 29,373 | 932,299 |
| Rockwell Automation | 298 | 23,834 | Molex | 304 | 8,238 |
| Rockwell Collins | 7,970 | 472,541 | Motorola Solutions | 768 | 38,246 |
| Southwest Airlines | 2,460 | 22,091 | NetApp | 850a | 36,550 |
| Stanley Black & Decker | 653 | 50,150 | NVIDIA | 1,850a | 28,028 |
| Tyco International | 1,104 | 57,209 | NXP Semiconductors | 14,850a | 368,280 |
| Union Pacific | 3,414 | 376,394 | Oracle | 24,545 | 718,432 |
| United Parcel Service, Cl. B | 1,123 | 86,347 | Paychex | 17,004 | 532,225 |
| United Technologies | 5,697 | 477,807 | QUALCOMM | 16,976 | 1,055,568 |
| W.W. Grainger | 220 | 45,701 | Rovi | 18,323a | 650,100 |
| Waste Management | 744 | 26,025 | Salesforce.com | 7,104a | 1,017,009 |
| Xylem | 68 | 1,767 | SanDisk | 670a | 33,138 |
| | | 10,742,960 | Symantec | 2,084a | 37,179 |
| Information Technology—20.4% | | | Teradata | 18,388a | 1,223,721 |
| Accenture, Cl. A | 4,823 | 287,161 | Texas Instruments | 40,399 | 1,347,307 |
| Adobe Systems | 15,852a | 521,372 | Visa, Cl. A | 880 | 102,406 |
| Altera | 1,098 | 42,218 | Western Union | 1,042 | 18,204 |
| Amphenol, Cl. A | 9,897 | 553,836 | Xerox | 4,520 | 37,200 |
| Analog Devices | 1,503 | 58,933 | Xilinx | 1,244 | 45,941 |
| Apple | 7,202a | 3,906,653 | Yahoo! | 3,192a | 47,337 |
| Autodesk | 384a | 14,534 | | | 20,471,206 |
| Automatic Data Processing | 9,997 | 543,037 | Materials—4.2% | | |
| Baidu, ADR | 6,056a | 827,855 | Air Products & Chemicals | 3,829 | 345,529 |
| Broadcom, Cl. A | 50a | 1,857 | Alcoa | 3,040 | 30,917 |
| Cisco Systems | 37,842 | 752,299 | Bemis | 191 | 5,992 |
| Citrix Systems | 504a | 37,669 | Celanese, Ser. A | 22,144 | 1,053,390 |
| Cognizant Technology Solutions, Cl. A | 811a | 57,540 | Cliffs Natural Resources | 5,397 | 342,602 |
| Compuware | 918a | 8,271 | Dow Chemical | 2,466 | 82,636 |
| Corning | 3,640 | 47,466 | E.I. du Pont de Nemours & Co. | 2,001 | 101,751 |
| Dell | 2,432a | 42,074 | Freeport-McMoRan Copper & Gold | 6,114 | 260,212 |
| eBay | 2,152a | 76,912 | International Paper | 1,354 | 47,593 |
| EMC | 16,902a | 468,016 | Monsanto | 8,151 | 630,724 |
| Fiserv | 346a | 22,940 | Mosaic | 670 | 38,693 |
| FLIR Systems | 13,726 | 359,209 | Newmont Mining | 810 | 48,114 |
| Google, Cl. A | 1,298a | 802,489 | Nucor | 1,060 | 46,142 |
| Hewlett-Packard | 3,578 | 90,559 | PPG Industries | 508 | 46,355 |
| Intel | 30,317 | 814,921 | Praxair | 5,197 | 566,473 |
| International Business Machines | 4,527 | 890,597 | Sigma-Aldrich | 7,626 | 547,471 |
| Intuit | 737 | 42,628 | Vulcan Materials | 679 | 30,256 |
| Juniper Networks | 1,410a | 32,092 | | | 4,224,850 |
42
| | | | | | | |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | | Value ($) |
| Telecommunication Services—1.0% | | | Utilities (continued) | | | |
| AT&T | 19,310 | 590,693 | Pinnacle West Capital | 375 | | 17,636 |
| Frontier Communications | 5,788 | 26,567 | Sempra Energy | 5,783 | | 342,585 |
| Sprint Nextel | 4,694a | 11,594 | Southern | 1,463 | | 64,650 |
| Verizon Communications | 10,850 | 413,494 | TECO Energy | 1,040 | | 18,668 |
| | | 1,042,348 | Wisconsin Energy | 878 | | 29,922 |
| Utilities—1.3% | | | | | | 1,275,694 |
| AES | 1,483a | 20,109 | Total Common Stocks | | | |
| Ameren | 1,810 | 58,047 | (cost $78,099,880) | | | 89,324,217 |
| American Electric Power | 1,260 | 47,389 | | | | |
| CenterPoint Energy | 12,160 | 236,998 | Other Investment—10.7% | | | |
| CMS Energy | 2,676 | 57,293 | Registered Investment Companies: | | | |
| Constellation Energy Group | 700 | 25,382 | BNY Mellon U.S. Core Equity | | | |
| Dominion Resources | 883 | 44,565 | 130/30 Fund, Cl. M | 758,026 | c | 8,906,803 |
| DTE Energy | 540 | 29,155 | Dreyfus Institutional Preferred | | | |
| Duke Energy | 3,093 | 64,706 | Plus Money Market Fund | 1,889,082 | d | 1,889,082 |
| Exelon | 1,219 | 47,626 | Total Other Investment | | | |
| | | | (cost $9,967,577) | | | 10,795,885 |
| FirstEnergy | 920 | 40,747 | | | | |
| NextEra Energy | 980 | 58,320 | Total Investments | | | |
| NiSource | 1,010 | 24,240 | (cost $88,067,457) | 99.6 | % | 100,120,102 |
| Northeast Utilities | 673 | 24,161 | Cash and Receivables (Net) | .4 | % | 388,673 |
| NRG Energy | 1,050a | 17,955 | | | | |
| | | | Net Assets | 100.0 | % | 100,508,775 |
| Pepco Holdings | 285 | 5,540 | | | | |
ADR—American Depository Receipts
REIT—Real Estate Investment Trust
| |
| a | Non-income producing security. |
| b | Investment in real estate investment trust. |
| c | Investment in affiliated mutual fund. |
| d | Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 20.4 | Consumer Staples | 8.0 |
| Consumer Discretionary | 12.1 | Materials | 4.2 |
| Energy | 11.1 | Money Market Investment | 1.9 |
| Health Care | 11.1 | Utilities | 1.3 |
| Industrial | 10.7 | Telecommunication Services | 1.0 |
| Financial | 9.0 | | |
| Mutual Fund: Domestic | 8.8 | | 99.6 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Income Stock Fund | | | | |
| Common Stocks—96.3% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—14.2% | | | Industrial (continued) | | |
| Carnival | 205,460 | 6,223,383 | Eaton | 152,840 | 7,976,720 |
| Home Depot | 114,960 | 5,468,647 | General Electric | 984,922 | 18,762,764 |
| Johnson Controls | 182,650 | 5,959,869 | Hubbell, Cl. B | 51,630 | 3,883,609 |
| McGraw-Hill | 67,560 | 3,144,242 | Pitney Bowes | 411,000a | 7,451,430 |
| Newell Rubbermaid | 454,230 | 8,312,409 | Stanley Black & Decker | 93,100 | 7,150,080 |
| Omnicom Group | 157,990 | 7,811,026 | United Technologies | 88,270 | 7,403,205 |
| Regal Entertainment Group, Cl. A | 1,038,540a | 14,352,623 | | | 59,401,124 |
| Time Warner | 286,370 | 10,655,828 | Information Technology—5.4% | | |
| | | 61,928,027 | Cisco Systems | 524,690 | 10,430,837 |
| Consumer Staples—9.7% | | | Paychex | 149,690 | 4,685,297 |
| ConAgra Foods | 410,480 | 10,775,100 | QUALCOMM | 135,190 | 8,406,114 |
| Kraft Foods, Cl. A | 110,120 | 4,192,268 | | | 23,522,248 |
| Lorillard | 70,100 | 9,188,708 | Materials—5.8% | | |
| PepsiCo | 111,770 | 7,034,804 | Air Products & Chemicals | 40,910 | 3,691,718 |
| Procter & Gamble | 163,000 | 11,005,760 | Dow Chemical | 247,850 | 8,305,453 |
| | | 42,196,640 | Eastman Chemical | 122,190 | 6,614,145 |
| Energy—4.5% | | | Freeport-McMoRan | | |
| Exxon Mobil | 135,830 | 11,749,295 | Copper & Gold | 48,660 | 2,070,970 |
| Occidental Petroleum | 74,660 | 7,792,264 | International Paper | 129,440 | 4,549,816 |
| | | 19,541,559 | | | 25,232,102 |
| Financial—12.9% | | | Telecommunication | | |
| Arthur J. Gallagher & Co. | 371,900 | 12,689,228 | Services—8.8% | | |
| Comerica | 196,090 | 5,821,912 | AT&T | 131,905 | 4,034,974 |
| JPMorgan Chase & Co. | 492,179 | 19,313,104 | Vodafone Group, ADR | 659,400 | 17,863,146 |
| Marsh & McLennan | 83,290 | 2,598,648 | Windstream | 1,356,832 | 16,390,531 |
| MetLife | 105,000 | 4,047,750 | | | 38,288,651 |
| New York Community Bancorp | 296,420 | 3,856,424 | Utilities—12.6% | | |
| U.S. Bancorp | 271,760 | 7,989,744 | Dominion Resources | 151,680 | 7,655,290 |
| | | 56,316,810 | DTE Energy | 45,390 | 2,450,606 |
| Health Care—8.8% | | | Exelon | 192,920 | 7,537,384 |
| Johnson & Johnson | 109,350 | 7,116,498 | National Grid, ADR | 312,840 | 16,014,280 |
| Merck & Co. | 377,490 | 14,408,793 | NextEra Energy | 175,500b | 10,444,005 |
| Pfizer | 791,858 | 16,708,204 | PPL | 378,510b | 10,806,460 |
| | | 38,233,495 | | | 54,908,025 |
| Industrial—13.6% | | | Total Common Stocks | | |
| | | | (cost $382,301,454) | | 419,568,681 |
| Dover | 105,800 | 6,773,316 | | | |
44
| | | | | | | | |
| BNY Mellon Income Stock Fund (continued) | | | |
| |
| | | | | Investment of Cash Collateral | | |
| Preferred Stocks—1.2% | Shares | | Value ($) | for Securities Loaned—4.1% | Shares | Value ($) |
| |
| Financial | | | | Registered Investment Company; | | |
| Citigroup, | | | | Dreyfus Institutional Cash | | |
| Conv., Cum. $7.5 | | | | Advantage Fund | | |
| (cost $5,027,377) | 50,990 | | 5,050,560 | (cost $17,871,925) | 17,871,925c | 17,871,925 |
| |
| | | | | Total Investments | | |
| Other Investment—2.4% | | | | (cost $415,547,504) | 104.0% | 452,837,914 |
| |
| Registered Investment Company; | | | | Liabilities, Less Cash | | |
| Dreyfus Institutional Preferred | | | | and Receivables | (4.0%) | (17,350,744) |
| Plus Money Market Fund | | | | | | |
| (cost $10,346,748) | 10,346,748 | c | 10,346,748 | Net Assets | 100.0% | 435,487,170 |
ADR—American Depository Receipts
|
| a Security, or portion thereof, on loan. At February 29, 2012, the value of the fund’s securities on loan was $17,374,719 and the value of the collateral held by the fund |
| was $17,871,925. |
| b Held by a broker as collateral for open options written. |
| c Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Consumer Discretionary | 14.2 | Telecommunication Services | 8.8 |
| Financial | 14.1 | Money Market Investments | 6.5 |
| Industrial | 13.6 | Materials | 5.8 |
| Utilities | 12.6 | Information Technology | 5.4 |
| Consumer Staples | 9.7 | Energy | 4.5 |
| Health Care | 8.8 | | 104.0 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF OPTIONS WRITTEN
February 29, 2012 (Unaudited)
| | | | |
| BNY Mellon | Number of | | | |
| Income Stock Fund | Contracts | | Value ($) | |
| Call Options: | | | | |
| Nextera Energy, | | | | |
| June 2012 @ $60 | 500 | a | (72,500 | ) |
| PPL, | | | | |
| July 2012 @ $31 | 750 | a | (7,500 | ) |
| (premiums received $116,213) | | | (80,000 | ) |
| |
| a Non-income producing security. | | | | |
| See notes to financial statements. | | | | |
46
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Mid Cap Stock Fund | | | | |
| Common Stocks—100.4% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—14.8% | | | Energy (continued) | | |
| Advance Auto Parts | 85,200 | 7,273,524 | Dresser-Rand Group | 83,100a | 4,364,412 |
| Brinker International | 330,700 | 9,124,013 | Energy XXI | 184,300a | 6,898,349 |
| Brunswick | 278,859 | 6,667,519 | HollyFrontier | 209,400 | 6,832,722 |
| Charter Communications, Cl. A | 104,300a | 6,613,663 | Hornbeck Offshore Services | 158,000a | 6,438,500 |
| Coach | 95,100 | 7,117,284 | Kodiak Oil & Gas | 1,037,200a | 10,050,468 |
| Collective Brands | 178,200a | 3,211,164 | Oceaneering International | 264,800 | 14,370,696 |
| Deckers Outdoor | 46,100a | 3,446,436 | Oil States International | 135,800a | 11,029,676 |
| Dick’s Sporting Goods | 110,400 | 4,941,504 | Plains Exploration & Production | 374,900a | 16,521,843 |
| Foot Locker | 164,100 | 4,786,797 | SM Energy | 70,900 | 5,581,248 |
| Lear | 116,400 | 5,262,444 | Tidewater | 58,300 | 3,468,850 |
| Liberty Media, Cl. A | 65,200a | 5,860,828 | Walter Energy | 94,100 | 6,100,503 |
| LKQ | 155,600a | 4,957,416 | Weatherford International | 365,500a | 5,840,690 |
| Mohawk Industries | 159,200a | 10,110,792 | | | 123,487,072 |
| Navistar International | 157,800a | 6,592,884 | Financial—21.0% | | |
| O’Reilly Automotive | 71,600a | 6,193,400 | Affiliated Managers Group | 122,100a | 12,990,219 |
| Oshkosh | 125,000a | 2,913,750 | Alexandria Real Estate Equities | 69,400c | 4,975,286 |
| PetSmart | 116,000 | 6,465,840 | American Campus Communities | 226,900c | 9,336,935 |
| Pier 1 Imports | 422,100a | 7,247,457 | AmTrust Financial Services | 277,400b | 7,492,574 |
| Polaris Industries | 83,600 | 5,522,616 | Assured Guaranty | 440,700 | 7,403,760 |
| PVH | 161,000 | 13,686,610 | Boston Properties | 90,000c | 9,139,500 |
| Royal Caribbean Cruises | 297,600 | 8,478,624 | Camden Property Trust | 184,700c | 11,451,400 |
| Sotheby’s | 83,000 | 3,265,220 | Cardtronics | 243,131a | 6,464,853 |
| Thor Industries | 257,300 | 8,380,261 | Cathay General Bancorp | 461,200 | 7,536,008 |
| Toll Brothers | 426,900a | 10,015,074 | CNO Financial Group | 1,123,000a | 8,332,660 |
| Tractor Supply | 164,000 | 14,017,080 | East West Bancorp | 510,100 | 11,283,412 |
| Ulta Salon, Cosmetics & Fragrance | 137,600a | 11,453,824 | Fifth Third Bancorp | 478,500 | 6,512,385 |
| Under Armour, Cl. A | 44,600a,b | 3,980,104 | Greenhill & Co. | 166,300b | 7,310,548 |
| VF | 46,400 | 6,776,720 | Host Hotels & Resorts | 739,859c | 11,674,975 |
| | | 194,362,848 | Jones Lang LaSalle | 78,500 | 6,390,685 |
| Consumer Staples—3.4% | | | Kimco Realty | 418,600c | 7,693,868 |
| Church & Dwight | 152,000 | 7,256,480 | Macerich | 271,700c | 14,669,083 |
| Energizer Holdings | 161,500a | 12,346,675 | MarketAxess Holdings | 208,700 | 6,912,144 |
| Green Mountain Coffee Roasters | 118,800a,b | 7,718,436 | ProLogis | 195,700c | 6,587,262 |
| Monster Beverage | 171,400a | 9,802,366 | Prosperity Bancshares | 210,800 | 9,220,392 |
| Spectrum Brands Holdings | 236,700a | 6,727,014 | Protective Life | 378,900 | 10,522,053 |
| | | 43,850,971 | Raymond James Financial | 307,100 | 10,862,127 |
| Energy—9.4% | | | Rayonier | 313,729c | 13,967,215 |
| Cabot | 233,100 | 9,442,881 | Reinsurance Group of America | 205,000 | 11,822,350 |
| Cabot Oil & Gas | 164,000 | 5,720,320 | Signature Bank | 154,400a | 9,165,184 |
| Cimarex Energy | 134,200 | 10,825,914 | SL Green Realty | 127,200c | 9,673,560 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Mid Cap Stock Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Financial (continued) | | | Industrial (continued) | | |
| SVB Financial Group | 146,200a | 8,666,736 | Roper Industries | 72,500 | 6,635,200 |
| Validus Holdings | 232,400 | 7,085,876 | Terex | 407,500a | 10,346,425 |
| Webster Financial | 419,100 | 9,169,908 | Towers Watson & Co., Cl. A | 150,500 | 9,622,970 |
| Weingarten Realty Investors | 405,800c | 10,104,420 | TransDigm Group | 67,400a | 8,006,446 |
| | | 274,417,378 | Triumph Group | 156,100 | 9,959,180 |
| Health Care—9.9% | | | United Rentals | 196,800a,b | 8,202,624 |
| ABIOMED | 604,700a | 12,626,136 | WABCO Holdings | 99,900a | 5,943,051 |
| Amarin, ADR | 634,200a,b | 4,915,050 | Wabtec | 143,600 | 10,731,228 |
| Cooper | 101,100 | 8,035,428 | Waste Connections | 352,400 | 11,460,048 |
| Endo Pharmaceuticals Holdings | 131,900a | 4,889,533 | | | 212,709,776 |
| HMS Holdings | 95,200a | 3,067,344 | Information Technology—16.4% | | |
| Kindred Healthcare | 564,900a | 5,812,821 | Alliance Data Systems | 128,400a,b | 15,582,624 |
| MAP Pharmaceuticals | 407,100a | 6,533,955 | Arrow Electronics | 278,200a | 11,169,730 |
| Medicis Pharmaceutical, Cl. A | 297,700 | 10,401,638 | Aruba Networks | 215,700a,b | 4,656,963 |
| NxStage Medical | 441,100a | 8,822,000 | Atmel | 1,163,200a | 11,759,952 |
| Omnicare | 129,600 | 4,559,328 | Avnet | 327,800a | 11,715,572 |
| Questcor Pharmaceuticals | 141,200a,b | 5,492,680 | Check Point | | |
| Regeneron Pharmaceuticals | 84,100a | 8,812,839 | Software Technologies | 102,100a,b | 5,938,136 |
| SXC Health Solutions | 111,300a | 7,880,040 | Ciena | 201,000a | 2,998,920 |
| Universal Health Services, Cl. B | 256,600 | 11,446,926 | CommVault Systems | 192,800a | 9,942,696 |
| Vertex Pharmaceuticals | 403,800a | 15,715,896 | Cypress Semiconductor | 549,000a | 9,470,250 |
| WellCare Health Plans | 163,500a | 11,095,110 | Equinix | 98,400a | 13,793,712 |
| | | 130,106,724 | Informatica | 79,700a | 3,918,052 |
| Industrial—16.2% | | | MICROS Systems | 211,000a | 10,957,230 |
| AMETEK | 328,475 | 15,635,410 | NCR | 328,700a | 7,139,364 |
| BE Aerospace | 256,000a | 11,735,040 | Polycom | 182,200a | 3,762,430 |
| Crane | 191,200 | 9,286,584 | Rackspace Hosting | 270,300a | 14,120,472 |
| Donaldson | 186,200 | 13,672,666 | Riverbed Technology | 375,500a | 10,690,485 |
| Gardner Denver | 138,700 | 9,525,916 | Sapient | 479,700 | 5,991,453 |
| Hubbell, Cl. B | 99,900 | 7,514,478 | Semtech | 252,400a | 7,246,404 |
| JB Hunt Transport Services | 197,800 | 10,129,338 | Skyworks Solutions | 164,700a | 4,441,959 |
| Joy Global | 55,900 | 4,861,064 | Teradata | 105,900a | 7,047,645 |
| Kansas City Southern | 226,200a | 15,738,996 | Teradyne | 392,500a | 6,444,850 |
| KBR | 374,500 | 13,601,840 | TIBCO Software | 455,600a | 13,198,732 |
| Kirby | 152,800a | 10,485,136 | Trimble Navigation | 276,800a | 13,920,272 |
| Mettler-Toledo International | 17,700a | 3,190,956 | VeriFone Systems | 188,100a | 9,008,109 |
| Robert Half International | 226,000 | 6,425,180 | | | 214,916,012 |
48
| | | | | | | |
| BNY Mellon Mid Cap Stock Fund (continued) | | | | |
| Common Stocks (continued) | Shares | Value ($) | Other Investment—.8% | Shares | Value ($) | |
| Materials—6.7% | | | Registered | | | |
| Albemarle | 197,000 | 13,104,440 | Investment Company; | | | |
| Ashland | 189,500 | 12,044,620 | Dreyfus Institutional Preferred | | | |
| Carpenter Technology | 190,500 | 9,772,650 | Plus Money Market Fund | | | |
| | | | (cost $10,491,460) | 10,491,460 d 10,491,460 | |
| CF Industries Holdings | 38,600 | 7,179,600 | | | | |
| Cytec Industries | 233,700 | 13,895,802 | Investment of Cash Collateral | | | |
| Eastman Chemical | 217,200 | 11,757,036 | for Securities Loaned—1.9% | | | |
| Rock-Tenn, Cl. A | 77,900 | 5,491,171 | Registered | | | |
| Steel Dynamics | 263,000 | 3,895,030 | Investment Company; | | | |
| Timken | 195,000 | 10,218,000 | Dreyfus Institutional Cash | | | |
| | | 87,358,349 | Advantage Fund | | | |
| | | | (cost $24,930,381) | 24,930,381 d 24,930,381 | |
| Utilities—2.6% | | | | | | |
| Alliant Energy | 274,400 | 11,700,416 | Total Investments | | | |
| Cleco | 227,280 | 8,745,734 | (cost $1,141,291,933) | 103.1% | 1,350,263,478 | |
| ITC Holdings | 174,700 | 13,186,357 | Liabilities, Less Cash | | | |
| | | 33,632,507 | and Receivables | (3.1%) | (40,085,251 | ) |
| Total Common Stocks | | | Net Assets | 100.0% | 1,310,178,227 | |
| (cost $1,105,870,092) | | 1,314,841,637 | | | | |
ADR—American Depository Receipts
|
| a Non-income producing security. |
| b Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan was $26,950,437 and the value of the collateral held by the fund was |
| $28,032,094, consisting of cash collateral of $24,930,381 and U.S. Government and agency securities valued at $3,101,713. |
| c Investment in real estate investment trust. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Financial | 21.0 | Materials | 6.7 |
| Information Technology | 16.4 | Consumer Staples | 3.4 |
| Industrial | 16.2 | Money Market Investments | 2.7 |
| Consumer Discretionary | 14.8 | Utilities | 2.6 |
| Health Care | 9.9 | | |
| Energy | 9.4 | | 103.1 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon Small Cap Stock Fund | | | | |
| |
| Common Stocks—98.4% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—15.4% | | | Energy (continued) | | |
| Ameristar Casinos | 76,000 | 1,507,840 | ION Geophysical | 283,300a | 2,028,428 |
| Brunswick | 129,600 | 3,098,736 | Lufkin Industries | 20,100 | 1,600,764 |
| Cabela’s | 28,400a | 1,007,632 | Magnum Hunter Resources | 293,700a,b | 2,032,404 |
| Capella Education | 23,300a | 904,040 | Petroleum Development | 58,800a | 1,913,352 |
| Carter’s | 31,700a | 1,539,669 | SEACOR Holdings | 12,000a | 1,186,560 |
| Coinstar | 18,800a,b | 1,094,724 | | | 16,212,836 |
| Collective Brands | 86,800a,b | 1,564,136 | Financial—19.6% | | |
| Crocs | 95,400a | 1,874,610 | American Campus Communities | 40,900c | 1,683,035 |
| Finish Line, Cl. A | 99,200 | 2,280,608 | Aspen Insurance Holdings | 55,800 | 1,480,374 |
| Genesco | 38,500a | 2,623,390 | BioMed Realty Trust | 78,740b,c | 1,450,391 |
| Iconix Brand Group | 45,700a | 829,912 | Boston Private | | |
| Krispy Kreme Doughnuts | 223,600a | 1,829,048 | Financial Holdings | 233,800 | 2,228,114 |
| Lear | 38,700 | 1,749,627 | CBL & Associates Properties | 95,700c | 1,687,191 |
| Lithia Motors, Cl. A | 87,000 | 2,054,070 | Citizens Republic Bancorp | 46,600a | 637,954 |
| Men’s Wearhouse | 75,000 | 2,904,750 | CNO Financial Group | 354,400a | 2,629,648 |
| Pier 1 Imports | 103,600a | 1,778,812 | Columbia Banking System | 106,800 | 2,258,820 |
| Pool | 29,400 | 1,070,160 | CubeSmart | 163,000 | 1,838,640 |
| Royal Caribbean Cruises | 60,800 | 1,732,192 | EastGroup Properties | 49,200c | 2,370,948 |
| Ruth’s Hospitality Group | 305,400a,b | 1,902,642 | Entertainment Properties Trust | 21,870b,c | 995,085 |
| Ryland Group | 111,500 | 2,021,495 | Extra Space Storage | 42,300c | 1,115,451 |
| Select Comfort | 68,500a | 2,026,915 | F.N.B | 218,500b | 2,576,115 |
| Shuffle Master | 181,100a | 2,644,060 | Financial Engines | 71,700a | 1,652,685 |
| Steven Madden | 63,900a | 2,759,202 | First Cash Financial Services | 39,900a | 1,686,174 |
| Thor Industries | 51,100 | 1,664,327 | First Potomac Realty Trust | 113,500c | 1,501,605 |
| Ulta Salon, Cosmetics & Fragrance | 31,600a | 2,630,384 | Glacier Bancorp | 133,200 | 1,838,160 |
| Wolverine World Wide | 31,300 | 1,193,782 | Kilroy Realty | 73,700c | 3,231,008 |
| Zumiez | 26,500a | 832,630 | Kite Realty Group Trust | 385,400c | 1,892,314 |
| | | 49,119,393 | MarketAxess Holdings | 45,000 | 1,490,400 |
| Consumer Staples—3.9% | | | PacWest Bancorp | 78,600 | 1,711,122 |
| Chiquita Brands International | 225,600a | 2,163,504 | Piper Jaffray | 60,700a | 1,492,006 |
| Energizer Holdings | 29,800a | 2,278,210 | PrivateBancorp | 146,200 | 2,119,900 |
| Hain Celestial Group | 25,600a | 1,045,504 | Protective Life | 100,000 | 2,777,000 |
| Smart Balance | 380,500a | 2,279,195 | Stifel Financial | 36,000a | 1,351,080 |
| Spectrum Brands Holdings | 74,200a | 2,108,764 | Strategic Hotels & Resorts | 544,400a,c | 3,391,612 |
| TreeHouse Foods | 21,700a | 1,249,920 | Susquehanna Bancshares | 265,400 | 2,460,258 |
| United Natural Foods | 28,900a | 1,315,528 | Tanger Factory Outlet Centers | 82,500c | 2,415,600 |
| | | 12,440,625 | Texas Capital Bancshares | 56,700a | 1,921,563 |
| Energy—5.1% | | | Tower Group | 92,800 | 2,139,040 |
| Approach Resources | 67,200a,b | 2,322,432 | Umpqua Holdings | 188,800 | 2,326,016 |
| Gulfport Energy | 80,800a | 2,716,496 | Wintrust Financial | 62,800 | 2,116,988 |
| Hornbeck Offshore Services | 59,200a,b | 2,412,400 | | | 62,466,297 |
50
| | | | | | | |
| BNY Mellon Small Cap Stock Fund (continued) | | | |
| |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Health Care—11.3% | | | Industrial (continued) | | |
| ABIOMED | 93,500a | 1,952,280 | TransDigm Group | 24,200a | 2,874,718 |
| Air Methods | 24,800a | 2,237,704 | Triumph Group | 25,800b | 1,646,040 |
| Align Technology | 43,200a | 1,106,352 | United Rentals | 36,100a,b | 1,504,648 |
| Amarin, ADR | 192,400a,b | 1,491,100 | WABCO Holdings | 26,400a | 1,570,536 |
| CONMED | 60,800a | 1,814,272 | | | 47,179,325 |
| Cooper | 20,900 | 1,661,132 | Information | | |
| Cubist Pharmaceuticals | 38,500a | 1,650,110 | Technology—20.4% | | |
| HMS Holdings | 45,400a | 1,462,788 | Anixter International | 40,100a,b | 2,788,554 |
| MAP Pharmaceuticals | 135,200a | 2,169,960 | Aruba Networks | 43,000a,b | 928,370 |
| MWI Veterinary Supply | 7,800a | 675,246 | Cardtronics | 89,900a,b | 2,390,441 |
| NxStage Medical | 110,100a | 2,202,000 | Ceva | 60,500a,b | 1,491,325 |
| Omnicare | 43,800 | 1,540,884 | Cirrus Logic | 88,700a | 2,091,546 |
| Quality Systems | 63,800 | 2,735,106 | Cognex | 72,300 | 3,082,872 |
| Questcor Pharmaceuticals | 99,600a,b | 3,874,440 | CommVault Systems | 67,900a | 3,501,603 |
| Salix Pharmaceuticals | 80,300a | 3,960,396 | Cypress Semiconductor | 99,900a | 1,723,275 |
| Universal American | 204,600 | 2,320,164 | DealerTrack Holdings | 83,100a | 2,314,335 |
| Universal Health Services, Cl. B | 44,000 | 1,962,840 | FARO Technologies | 35,900a | 1,991,014 |
| Zoll Medical | 14,300a | 1,046,045 | FEI | 73,700a | 3,281,124 |
| | | 35,862,819 | Fortinet | 81,800a | 2,212,690 |
| Industrial—14.8% | | | Heartland Payment Systems | 88,600 | 2,509,152 |
| A.O. Smith | 59,600 | 2,691,536 | LogMeIn | 50,900a,b | 1,876,174 |
| Actuant, Cl. A | 45,100 | 1,270,467 | MAXIMUS | 60,800 | 2,535,968 |
| AMETEK | 49,550 | 2,358,580 | Microsemi | 53,500a | 1,119,220 |
| BE Aerospace | 35,600a | 1,631,904 | MKS Instruments | 101,300 | 3,033,935 |
| Crane | 47,400 | 2,302,218 | Netgear | 62,400a | 2,344,368 |
| EMCOR Group | 69,200 | 1,923,760 | Newport | 58,300a | 974,776 |
| Herman Miller | 64,900 | 1,362,900 | OSI Systems | 43,700a | 2,578,300 |
| Hub Group, Cl. A | 65,300a | 2,326,639 | Plexus | 52,700a | 1,828,690 |
| II-VI | 106,500a | 2,491,035 | Sourcefire | 81,400a,b | 3,664,628 |
| Interface, Cl. A | 115,100 | 1,409,975 | Stamps.com | 55,900a | 1,445,015 |
| Kansas City Southern | 29,900a | 2,080,442 | Stratasys | 42,300a | 1,558,332 |
| Kforce | 120,800a | 1,703,280 | Synaptics | 49,100a | 1,804,425 |
| Navistar International | 34,800a | 1,453,944 | Synchronoss Technologies | 63,400a | 2,121,364 |
| Old Dominion Freight Line | 58,800a | 2,558,388 | SYNNEX | 40,500a | 1,669,815 |
| Robbins & Myers | 65,000 | 3,172,650 | Ultratech | 69,300a | 1,885,653 |
| Spirit Aerosystems | | | ViaSat | 22,900a | 1,056,377 |
| Holdings, Cl. A | 95,400a | 2,285,784 | Wright Express | 50,700a | 3,137,316 |
| Teledyne Technologies | 27,500a | 1,639,000 | | | 64,940,657 |
| Terex | 69,500a | 1,764,605 | Materials—5.7% | | |
| Timken | 26,800 | 1,404,320 | American Vanguard | 170,100b | 2,810,052 |
| Towers Watson & Co., Cl. A | 27,400 | 1,751,956 | Buckeye Technologies | 72,200 | 2,466,352 |
| | | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | |
| |
| |
| |
| |
| BNY Mellon Small Cap Stock Fund (continued) | | | | | |
| |
| Common Stocks (continued) | Shares | Value ($) | Other Investment—1.8% | Shares | | Value ($) | |
| Materials (continued) | | | Registered Investment Company; | | | | |
| Carpenter Technology | 37,800 | 1,939,140 | Dreyfus Institutional Preferred | | | | |
| H.B. Fuller | 31,800 | 958,134 | Plus Money Market Fund | | | | |
| Haynes International | 36,800 | 2,329,072 | (cost $5,799,783) | 5,799,783 | d | 5,799,783 | |
| LSB Industries | 73,900a | 2,972,258 | Investment of Cash Collateral | | | | |
| Steel Dynamics | 75,800 | 1,122,598 | for Securities Loaned—7.6% | | | | |
| Texas Industries | 68,000b | 2,300,440 | Registered Investment Company; | | | | |
| Walter Energy | 21,800 | 1,413,294 | Dreyfus Institutional Cash | | | | |
| | | 18,311,340 | Advantage Fund | | | | |
| Utilities—2.2% | | | (cost $24,129,197) | 24,129,197 | d | 24,129,197 | |
| Cleco | 82,700 | 3,182,296 | | | | | |
| | | | Total Investments | | | | |
| ITC Holdings | 31,500 | 2,377,620 | (cost $310,653,271) | 107.8 | % | 343,412,148 | |
| Piedmont Natural Gas | 42,900 | 1,389,960 | | | | | |
| | | | Liabilities, Less Cash | | | | |
| | | 6,949,876 | and Receivables | (7.8 | %) | (24,719,290 | ) |
| Total Common Stocks | | | | | | | |
| (cost $280,724,291) | | 313,483,168 | Net Assets | 100.0 | % | 318,692,858 | |
ADR—American Depository Receipts
|
| a Non-income producing security. |
| b Security, or portion thereof, on loan. At February 29, 2012, the value of the fund’s securities on loan was $22,731,268 and the value of the collateral held by the fund |
| was $24,129,197. |
| c Investment in real estate investment trust. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 20.4 | Materials | 5.7 |
| Financial | 19.6 | Energy | 5.1 |
| Consumer Discretionary | 15.4 | Consumer Staples | 3.9 |
| Industrial | 14.8 | Utilities | 2.2 |
| Health Care | 11.3 | | |
| Money Market Investments | 9.4 | | 107.8 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
52
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon U.S. Core Equity 130/30 Fund | | | |
| Common Stocks—125.4% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—13.7% | | | Exchange Traded Funds—.5% | | |
| Autoliv | 46,320 | 3,084,912 | Standard & Poor’s Depository | | |
| Carnival | 111,650a | 3,381,878 | Receipts S&P 500 ETF Trust | 9,950 | 1,363,349 |
| CBS, Cl. B | 138,920a | 4,153,708 | Financial—19.2% | | |
| Delphi Automotive | 92,710 | 2,966,720 | Affiliated Managers Group | 33,925b | 3,609,281 |
| DIRECTV, Cl. A | 91,610a,b | 4,243,375 | American Express | 78,490a | 4,151,336 |
| Foot Locker | 49,800 | 1,452,666 | Ameriprise Financial | 91,850a | 5,121,556 |
| Limited Brands | 61,480a | 2,860,664 | Bank of America | 225,370a | 1,796,199 |
| McDonald’s | 48,920a | 4,856,778 | BlackRock | 7,820 | 1,556,180 |
| Melco Crown | | | Capital One Financial | 49,940a | 2,526,964 |
| Entertainment, ADR | 180,250b | 2,276,557 | CBRE Group, Cl. A | 242,030b | 4,436,410 |
| Michael Kors Holdings | 96,220 | 4,161,515 | Chubb | 31,550a | 2,144,138 |
| PVH | 73,660 | 6,261,837 | Citigroup | 116,786a | 3,891,310 |
| | | 39,700,610 | Discover Financial Services | 63,370a | 1,901,734 |
| Consumer Staples—11.8% | | | IntercontinentalExchange | 34,370a,b | 4,741,685 |
| Coca-Cola Enterprises | 162,800a | 4,704,920 | Invesco | 63,070 | 1,562,244 |
| CVS Caremark | 27,610a | 1,245,211 | JPMorgan Chase & Co. | 130,740a | 5,130,238 |
| Lorillard | 29,800a | 3,906,184 | T. Rowe Price Group | 62,620 | 3,856,766 |
| Philip Morris International | 95,770a | 7,998,710 | Wells Fargo & Co. | 285,670a | 8,938,614 |
| Post Holdings | 31,915b | 993,833 | | | 55,364,655 |
| Ralcorp Holdings | 63,830a,b | 4,761,718 | Health Care—19.0% | | |
| Unilever, ADR | 251,310a | 8,160,036 | Baxter International | 54,670a | 3,177,967 |
| Whole Foods Market | 27,750a | 2,240,535 | Cigna | 134,760a | 5,944,264 |
| | | 34,011,147 | Covidien | 127,980a | 6,686,955 |
| Energy—13.0% | | | Cubist Pharmaceuticals | 27,150b | 1,163,649 |
| Anadarko Petroleum | 48,420a | 4,073,090 | McKesson | 53,260a | 4,447,743 |
| Apache | 25,300a | 2,730,629 | Omnicare | 47,730 | 1,679,141 |
| Chevron | 87,460a | 9,543,635 | Pfizer | 525,300a | 11,083,830 |
| ENSCO, ADR | 63,360a | 3,693,888 | Salix Pharmaceuticals | 28,160b | 1,388,851 |
| EOG Resources | 32,300a | 3,677,678 | Sanofi, ADR | 223,550 | 8,278,057 |
| National Oilwell Varco | 94,190 | 7,773,501 | St. Jude Medical | 125,870 | 5,301,644 |
| Occidental Petroleum | 32,180a | 3,358,627 | Vertex Pharmaceuticals | 44,770b | 1,742,448 |
| TransCanada | 64,120a | 2,819,998 | Zimmer Holdings | 63,320a | 3,846,690 |
| | | 37,671,046 | | | 54,741,239 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | |
| BNY Mellon U.S. Core Equity 130/30 Fund (continued) | | | |
| |
| Common Stocks (continued) | Shares | Value ($) | | Shares | | Value ($) |
| Industrial—12.5% | | | Information Technology (continued) | | | |
| Caterpillar | 41,190a | 4,704,310 | Informatica | 112,700 | a,b | 5,540,332 |
| Cummins | 30,140a | 3,633,980 | International Business Machines | 23,830 | a | 4,688,076 |
| Eaton | 96,130a | 5,017,025 | Intuit | 89,620 | a | 5,183,621 |
| FedEx | 38,960 | 3,506,010 | NetApp | 78,460 | a,b | 3,373,780 |
| General Electric | 433,160 | 8,251,698 | Oracle | 196,690 | a | 5,757,116 |
| JB Hunt Transport Services | 44,900a | 2,299,329 | QUALCOMM | 129,400 | a | 8,046,092 |
| Precision Castparts | 9,830a | 1,645,837 | Skyworks Solutions | 225,730 | b | 6,087,938 |
| Robert Half International | 83,080 | 2,361,964 | Teradata | 76,760 | a,b | 5,108,378 |
| Thomas & Betts | 33,170a,b | 2,395,869 | Vishay Intertechnology | 391,930 | b | 4,805,062 |
| Tyco International | 42,890a | 2,222,560 | Western Digital | 29,030 | b | 1,139,428 |
| | | 36,038,582 | | | | 92,185,390 |
| Information Technology—31.9% | | | Materials—.9% | | | |
| Alliance Data Systems | 29,880b | 3,626,237 | Alcoa | 260,430 | a | 2,648,573 |
| Analog Devices | 50,660a | 1,986,379 | Telecommunication Services—2.9% | | | |
| Apple | 33,310a,b | 18,068,676 | AT&T | 273,050 | a | 8,352,599 |
| Autodesk | 52,480b | 1,986,368 | | | | |
| | | | Total Investments | | | |
| Broadcom, Cl. A | 53,110b | 1,973,036 | (cost $310,962,825) | 125.4 | % | 362,077,190 |
| Cognizant Technology | | | | | | |
| Solutions, Cl. A | 81,280a,b | 5,766,816 | Liabilities, Less Cash | | | |
| | | | and Receivables | (25.4 | %) | (73,357,998) |
| Electronic Arts | 252,080a,b | 4,116,466 | | | | |
| EMC | 178,100a,b | 4,931,589 | Net Assets | 100.0 | % | 288,719,192 |
| |
| ADR—American Depository Receipts | | | | | | |
| a Held by a broker as collateral for open short positions. | | | | | |
| b Non-income producing security. | | | | | | |
| |
| |
| Portfolio Summary (Unaudited) † | | | | | | |
| | | Value (%) | | | | Value (%) |
| Information Technology | | 31.9 | Consumer Staples | | | 11.8 |
| Financial | | 19.2 | Telecommunication Services | | | 2.9 |
| Health Care | | 19.0 | Materials | | | .9 |
| Consumer Discretionary | | 13.7 | Exchange Traded Funds | | | .5 |
| Energy | | 13.0 | | | | |
| Industrial | | 12.5 | | | | 125.4 |
| |
| † Based on net assets. | | | | | | |
| See notes to financial statements. | | | | | | |
54
STATEMENT OF SECURITIES SOLD SHORT
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon U.S. Core Equity 130/30 Fund | | | |
| Common Stocks—25.4% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—3.0% | | | Industrial—1.2% | | |
| Gentex | 81,270 | 1,922,035 | Corning | 77,840 | 1,015,034 |
| Harley-Davidson | 78,190 | 3,642,090 | Waste Management | 67,370 | 2,356,603 |
| Thomson Reuters | 102,410 | 2,967,842 | | | 3,371,637 |
| | | 8,531,968 | Information | | |
| Consumer Staples—2.4% | | | Technology—9.3% | | |
| Dr. Pepper Snapple Group | 77,400 | 2,945,070 | Activision Blizzard | 90,230 | 1,078,248 |
| Sysco | 85,560 | 2,517,175 | Finisar | 107,390a | 2,178,943 |
| Walgreen | 47,760 | 1,583,722 | First Solar | 69,770a | 2,253,571 |
| | | 7,045,967 | Hewlett-Packard | 104,080 | 2,634,265 |
| Financial—2.3% | | | Infosys | | |
| Legg Mason | 72,650 | 1,989,883 | Technologies, ADR | 45,090 | 2,600,791 |
| New York Community Bancorp | 102,540 | 1,334,045 | Intel | 55,120 | 1,481,626 |
| SunTrust Banks | 68,620 | 1,575,515 | Microsoft | 91,300 | 2,897,862 |
| Waddell & Reed Financial, Cl. A | 59,140 | 1,866,458 | Nokia, ADR | 449,340 | 2,377,009 |
| | | 6,765,902 | Research In Motion | 116,300a | 1,647,971 |
| Health Care—6.6% | | | Riverbed Technology | 64,320a | 1,831,190 |
| AstraZeneca, ADR | 37,880 | 1,700,433 | SAP, ADR | 58,120 | 3,929,493 |
| Becton Dickinson & Co. | 16,990 | 1,294,978 | Telefonaktiebolaget | | |
| | | | LM Ericsson, ADR | 89,020 | 888,420 |
| C.R. Bard | 21,610 | 2,023,128 | | | |
| | | | Western Union | 57,750 | 1,008,893 |
| Covance | 27,520a | 1,313,530 | | | |
| | | | | | 26,808,283 |
| Haemonetics | 34,460a | 2,309,854 | | | |
| | | | Materials—.6% | | |
| Masimo | 79,670a | 1,736,806 | | | |
| | | | Greif, Cl. A | 36,900 | 1,889,649 |
| Novo Nordisk, ADR | 40,760 | 5,719,851 | | | |
| | | | Total Securities Sold Short | | |
| Owens & Minor | 97,240 | 2,913,310 | (proceeds $72,698,252) | | 73,425,293 |
| | | 19,011,890 | | | |
|
| ADR—American Depository Receipts |
| a Non-income producing security. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 9.3 | Financial | 2.3 |
| Health Care | 6.6 | Industrial | 1.2 |
| Consumer Staples | 2.4 | Materials | .6 |
| Consumer Discretionary | 3.0 | | 25.4 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Focused Equity Opportunities Fund | | | |
| Common Stocks—98.9% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—11.6% | | | Financial (continued) | | |
| Johnson Controls | 391,755 | 12,782,966 | Wells Fargo & Co. | 464,200 | 14,524,818 |
| Las Vegas Sands | 309,150 | 17,191,831 | | | 57,242,558 |
| Lowe’s | 395,580 | 11,226,560 | Health Care—12.9% | | |
| Walt Disney | 278,205 | 11,681,828 | Agilent Technologies | 348,330 | 15,194,155 |
| | | 52,883,185 | Express Scripts | 285,890a | 15,246,514 |
| Consumer Staples—6.9% | | | Gilead Sciences | 286,300a | 13,026,650 |
| Coca-Cola | 224,550 | 15,687,063 | Watson Pharmaceuticals | 259,600a | 15,139,872 |
| Kraft Foods, Cl. A | 414,345 | 15,774,114 | | | 58,607,191 |
| | | 31,461,177 | Industrial—11.1% | | |
| Energy—15.1% | | | Caterpillar | 183,785 | 20,990,085 |
| Exxon Mobil | 151,800 | 13,130,700 | Dover | 209,200 | 13,392,984 |
| Halliburton | 345,855 | 12,654,834 | Honeywell International | 269,605 | 16,060,370 |
| Marathon Oil | 404,400 | 13,705,116 | | | 50,443,439 |
| Noble | 362,480a | 14,564,446 | Information | | |
| Valero Energy | 601,900 | 14,740,531 | Technology—23.6% | | |
| | | 68,795,627 | Apple | 61,296a | 33,249,402 |
| Financial—12.6% | | | Baidu, ADR | 92,300a | 12,617,410 |
| BB&T | 444,000 | 12,987,000 | Rovi | 272,050a | 9,652,334 |
| Invesco | 495,260 | 12,267,590 | Salesforce.com | 105,400a | 15,089,064 |
| MetLife | 453,000 | 17,463,150 | Teradata | 257,550a | 17,139,952 |
56
| | | | | | |
| BNY Mellon Focused Equity Opportunities Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | Other Investment—1.0% | Shares | Value ($) |
| Information Technology (continued) | | | Registered Investment Company; | | |
| Texas Instruments | 588,970 | 19,642,150 | Dreyfus Institutional Preferred | | |
| | | 107,390,312 | Plus Money Market Fund | | |
| Materials—5.1% | | | (cost $4,400,589) | 4,400,589b | 4,400,589 |
| Celanese, Ser. A | 353,600 | 16,820,752 | Total Investments | | |
| Cliffs Natural Resources | 103,785 | 6,588,272 | (cost $382,141,011) | 99.9% | 454,633,102 |
| | | 23,409,024 | Cash and Receivables (Net) | .1% | 355,399 |
| Total Common Stocks | | | | | |
| (cost $377,740,422) | | 450,232,513 | Net Assets | 100.0% | 454,988,501 |
| |
| ADR—American Depository Receipts |
| a | Non-income producing security. |
| b | Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Information Technology | 23.6 | Industrial | 11.1 |
| Energy | 15.1 | Consumer Staples | 6.9 |
| Health Care | 12.9 | Materials | 5.1 |
| Financial | 12.6 | Money Market Investment | 1.0 |
| Consumer Discretionary | 11.6 | | 99.9 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon Small/Mid Cap Fund | | | | |
| |
| |
| Common Stocks—98.0% | Shares | Value ($) | | Shares | Value ($) |
| |
| Consumer Discretionary—21.5% | | | Energy (continued) | | |
| |
| American Axle & | | | Dresser-Rand Group | 76,000a | 3,991,520 |
| |
| Manufacturing Holdings | 205,400a | 2,339,506 | Energy XXI | 169,900a | 6,359,357 |
| |
| Ancestry.com | 148,264a,b | 3,377,454 | Gulfport Energy | 112,100a | 3,768,802 |
| |
| Brunswick | 107,200 | 2,563,152 | Kodiak Oil & Gas | 380,000a | 3,682,200 |
| |
| Celanese, Ser. A | 50,000 | 2,378,500 | Plains Exploration & Production | 109,100a | 4,808,037 |
| |
| Charter Communications, Cl. A | 58,400a | 3,703,144 | SM Energy | 39,000 | 3,070,080 |
| |
| Chipotle Mexican Grill | 9,900a | 3,863,178 | Weatherford International | 120,000a | 1,917,600 |
| |
| Focus Media Holding, ADR | 146,100a,b | 3,544,386 | | | 35,743,068 |
| |
| Interface, Cl. A | 211,190 | 2,587,077 | Financial—19.2% | | |
| |
| Lennar, Cl. A | 100,000 | 2,338,000 | Affiliated Managers Group | 17,660a | 1,878,847 |
| |
| Liberty Media, Cl. A | 38,900a | 3,496,721 | American Financial Group | 97,400 | 3,647,630 |
| |
| Lithia Motors, Cl. A | 102,200 | 2,412,942 | Assurant | 44,600 | 1,894,162 |
| |
| LKQ | 89,200a | 2,841,912 | Boston Private Financial Holdings | 292,200 | 2,784,666 |
| |
| MDC Partners, Cl. A | 601,204b | 7,767,556 | Boston Properties | 33,100c | 3,361,305 |
| |
| Mohawk Industries | 54,500a | 3,461,295 | Camden Property Trust | 26,300c | 1,630,600 |
| |
| O’Reilly Automotive | 33,700a | 2,915,050 | Cardtronics | 95,000a | 2,526,050 |
| |
| Pier 1 Imports | 175,300a | 3,009,901 | Cathay General Bancorp | 155,900 | 2,547,406 |
| |
| Scientific Games, Cl. A | 300,000a | 3,153,000 | CNO Financial Group | 355,530a | 2,638,033 |
| |
| Skullcandy | 406,700b | 5,742,604 | DFC Global | 436,300a | 7,814,133 |
| |
| Stanley Black & Decker | 43,800 | 3,363,840 | Douglas Emmett | 79,915c | 1,683,809 |
| |
| Starwood Hotels & | | | East West Bancorp | 131,500 | 2,908,780 |
| |
| Resorts Worldwide | 72,100c | 3,886,190 | Endurance Specialty Holdings | 150,000 | 5,769,000 |
| |
| Thor Industries | 77,900 | 2,537,203 | Enstar Group | 29,654a | 2,875,845 |
| |
| TiVo | 599,300a,b | 6,742,125 | Fifth Third Bancorp | 194,900 | 2,652,589 |
| |
| Ulta Salon, | | | Financial Engines | 146,100a | 3,367,605 |
| Cosmetics & Fragrance | 103,900a | 8,648,636 | | | |
| | | | Forestar Group | 114,000a | 1,788,660 |
| United Rentals | 72,000a,b | 3,000,960 | | | |
| | | | Greenhill & Co. | 47,700 | 2,096,892 |
| WABCO Holdings | 52,615a | 3,130,066 | | | |
| | | | Host Hotels & Resorts | 148,030c | 2,335,913 |
| Wyndham Worldwide | 89,300 | 3,928,307 | | | |
| | | | Inland Real Estate | 360,500c | 3,125,535 |
| Zagg | 1,400,000a,b | 14,700,000 | | | |
| | | | Kimco Realty | 163,600c | 3,006,968 |
| | | 111,432,705 | | | |
| | | | MarketAxess Holdings | 77,900 | 2,580,048 |
| Consumer Staples—2.9% | | | | | |
| | | | MBIA | 165,600a,b | 1,785,168 |
| Church & Dwight | 84,500 | 4,034,030 | | | |
| | | | PrivateBancorp | 243,500 | 3,530,750 |
| Fresh Market | 87,200a,b | 3,925,744 | | | |
| | | | Protective Life | 93,000 | 2,582,610 |
| Monster Beverage | 31,800a | 1,818,642 | | | |
| | | | Regions Financial | 360,000 | 2,073,600 |
| Panera Bread, Cl. A | 15,900a | 2,457,822 | | | |
| | | | Signature Bank | 63,400a | 3,763,424 |
| Smart Balance | 484,600a | 2,902,754 | | | |
| | | | SL Green Realty | 58,400c | 4,441,320 |
| | | 15,138,992 | | | |
| | | | Strategic Hotels & Resorts | 389,600a,c | 2,427,208 |
| Energy—6.9% | | | | | |
| | | | SunTrust Banks | 90,000 | 2,066,400 |
| Approach Resources | 105,900a,b | 3,659,904 | | | |
| | | | SVB Financial Group | 58,400a | 3,461,952 |
| Cabot Oil & Gas | 128,600 | 4,485,568 | | | |
58
| | | | | | | |
| BNY Mellon Small/Mid Cap Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Financial (continued) | | | Industrial (continued) | | |
| Synovus Financial | 974,100 | 2,065,092 | Triumph Group | 57,300 | 3,655,740 |
| Webster Financial | 135,720 | 2,969,554 | | | 59,462,183 |
| Zions Bancorporation | 187,000 | 3,553,000 | Information Technology—13.1% | | |
| | | 99,634,554 | ACI Worldwide | 149,100a | 5,632,998 |
| Health Care—13.5% | | | CommVault Systems | 49,400a | 2,547,558 |
| ABIOMED | 192,134a | 4,011,758 | F5 Networks | 19,340a | 2,416,726 |
| Accuray | 180,000a | 1,220,400 | FARO Technologies | 63,400a | 3,516,164 |
| Achillion Pharmaceuticals | 284,830a,b | 2,990,715 | FEI | 77,900a | 3,468,108 |
| Amarin, ADR | 1,200,000a,b | 9,300,000 | Fortinet | 189,940a | 5,137,877 |
| Halozyme Therapeutics | 146,100a | 1,681,611 | inContact | 400,000a | 2,132,000 |
| Healthcare Services Group | 104,345b | 2,032,641 | KIT Digital | 340,900a,b | 3,446,499 |
| Idenix Pharmaceuticals | 300,000a,b | 3,531,000 | LogMeIn | 72,600a,b | 2,676,036 |
| MAP Pharmaceuticals | 704,834a | 11,312,586 | Mitek Systems | 589,400a,b | 6,129,760 |
| Merit Medical Systems | 356,300a | 4,460,876 | ON Semiconductor | 218,200a | 1,979,074 |
| NxStage Medical | 214,300a | 4,286,000 | Rackspace Hosting | 72,240a | 3,773,818 |
| OraSure Technologies | 450,000a | 4,513,500 | Riverbed Technology | 172,130a | 4,900,541 |
| SXC Health Solutions | 92,600a | 6,556,080 | Sourcefire | 95,500a | 4,299,410 |
| Thoratec | 68,200a | 2,352,900 | Stamps.com | 343,700a | 8,884,645 |
| Tornier | 180,000 | 4,230,000 | Synchronoss Technologies | 97,400a | 3,259,004 |
| Universal Health Services, Cl. B | 46,800 | 2,087,748 | Web.com Group | 272,800a | 3,611,872 |
| Vertex Pharmaceuticals | 139,200a | 5,417,664 | | | 67,812,090 |
| | | 69,985,479 | Materials—4.4% | | |
| Industrial—11.4% | | | Ashland | 37,700 | 2,396,212 |
| AMETEK | 113,217 | 5,389,129 | Carpenter Technology | 52,400 | 2,688,120 |
| BE Aerospace | 77,310a | 3,543,890 | CF Industries Holdings | 13,400 | 2,492,400 |
| Crane | 72,900 | 3,540,753 | Cliffs Natural Resources | 48,600 | 3,085,128 |
| Gardner Denver | 40,300 | 2,767,804 | Eastman Chemical | 40,700 | 2,203,091 |
| Joy Global | 23,000 | 2,000,080 | Haynes International | 53,500 | 3,386,015 |
| Kansas City Southern | 63,755a | 4,436,073 | Steel Dynamics | 238,000 | 3,524,780 |
| KBR | 121,735 | 4,421,415 | Timken | 59,900 | 3,138,760 |
| Kenexa | 113,562a | 3,155,888 | | | 22,914,506 |
| Kforce | 194,900a | 2,748,090 | Telecommunications—2.2% | | |
| Kirby | 47,400a | 3,252,588 | Allot Communications | 292,200a | 5,215,770 |
| Navigant Consulting | 158,700a | 2,144,037 | Aruba Networks | 96,660a,b | 2,086,889 |
| Navistar International | 60,000a | 2,506,800 | Finisar | 97,400a | 1,976,246 |
| On Assignment | 100,000a | 1,388,000 | Leap Wireless International | 228,100a,b | 2,381,364 |
| Roper Industries | 35,665 | 3,264,061 | | | 11,660,269 |
| Spirit Aerosystems Holdings, Cl. A | 154,200a | 3,694,632 | Utilities—2.9% | | |
| Terex | 119,700a | 3,039,183 | Cleco | 107,700 | 4,144,296 |
| TransDigm Group | 38,000a | 4,514,020 | ITC Holdings | 58,560 | 4,420,109 |
| | | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | | |
| |
| |
| |
| |
| BNY Mellon Small/Mid Cap Fund (continued) | | | | | |
| | | | | Investment of Cash Collateral | | | | |
| Common Stocks (continued) | Shares | | Value ($) | for Securities Loaned—10.8% | Shares | | Value ($) | |
| Utilities (continued) | | | | Registered | | | | |
| Northeast Utilities | 133,400 | | 4,789,060 | Investment Company; | | | | |
| Wisconsin Energy | 54,500 | | 1,857,360 | Dreyfus | | | | |
| | | | 15,210,825 | Institutional Cash | | | | |
| | | | | Advantage Fund | | | | |
| Total Common Stocks | | | | (cost $56,061,796) | 56,061,796 | d | 56,061,796 | |
| (cost $441,979,136) | | | 508,994,671 | | | | | |
| | | | | Total Investments | | | | |
| Other Investment—1.8% | | | | (cost $507,218,967) | 110.6 | % | 574,234,502 | |
| Registered Investment Company; | | | | Liabilities, Less Cash | | | | |
| Dreyfus Institutional Preferred | | | | and Receivables | (10.6 | %) | (55,247,649 | ) |
| Plus Money Market Fund | | | | Net Assets | 100.0 | % | 518,986,853 | |
| (cost $9,178,035) | 9,178,035 | d | 9,178,035 | | | | | |
ADR—American Depository Receipts
|
| a Non-income producing security. |
| b Security, or portion thereof, on loan. At February 29, 2012, the value of the fund’s securities on loan was $52,016,994 and the value of the collateral held by the fund |
| was $56,061,796. |
| c Investment in real estate investment trust. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Consumer Discretionary | 21.5 | Energy | 6.9 |
| Financial | 19.2 | Materials | 4.4 |
| Health Care | 13.5 | Consumer Staples | 2.9 |
| Information Technology | 13.1 | Utilities | 2.9 |
| Money Market Investments | 12.6 | Telecommunications | 2.2 |
| Industrial | 11.4 | | 110.6 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
60
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon International Fund | | | | |
| Common Stocks—96.7% | Shares | Value ($) | | Shares | Value ($) |
| Australia—6.1% | | | France (continued) | | |
| Atlas Iron | 752,120 | 2,573,102 | Technip | 27,770 | 3,031,251 |
| Australia & New Zealand | | | Total | 265,642 | 14,860,918 |
| Banking Group | 276,720 | 6,514,096 | Vivendi | 163,090 | 3,502,639 |
| BlueScope Steel | 1,416,988 | 638,256 | | | 77,400,185 |
| Coca-Cola Amatil | 247,850 | 3,189,696 | Germany—8.3% | | |
| Commonwealth Bank of Australia | 76,280 | 4,043,714 | Aixtron | 164,673 | 2,734,750 |
| Dexus Property Group | 3,338,630 | 3,204,575 | Allianz | 31,845 | 3,862,147 |
| Nufarm | 559,117a | 2,830,243 | Bayer | 61,273 | 4,530,698 |
| Primary Health Care | 997,990 | 3,350,037 | Celesio | 152,400 | 2,822,297 |
| Qantas Airways | 844,100a | 1,566,099 | Continental | 38,040a | 3,463,020 |
| QBE Insurance Group | 387,944 | 4,847,012 | Daimler | 49,281 | 2,980,510 |
| Rio Tinto | 54,360 | 3,932,244 | Deutsche Bank | 119,318 | 5,572,614 |
| Spark Infrastructure Group | 2,034,170 | 2,977,824 | Deutsche Lufthansa | 132,580 | 1,840,555 |
| Stockland | 645,790 | 2,195,481 | Deutsche Telekom | 257,290 | 3,002,825 |
| Toll Holdings | 507,087 | 3,083,505 | E.ON | 376,310 | 8,655,962 |
| UGL | 128,880 | 1,693,171 | Fresenius & Co. | 38,930 | 4,024,845 |
| | | 46,639,055 | Gerresheimer | 53,420 | 2,372,506 |
| Belgium—.6% | | | Hannover Rueckversicherung | 69,470 | 3,856,308 |
| Delhaize Group | 81,757 | 4,493,705 | Muenchener Rueckversicherungs | 24,290 | 3,541,982 |
| Finland—1.2% | | | RWE | 61,585 | 2,806,106 |
| Nokia | 1,183,309 | 6,211,513 | SAP | 54,920 | 3,706,065 |
| Sampo, Cl. A | 116,320 | 3,277,689 | Siemens | 34,910 | 3,481,791 |
| | | 9,489,202 | | | 63,254,981 |
| France—10.2% | | | Greece—.4% | | |
| Alstom | 97,196 | 4,187,853 | Coca-Cola Hellenic Bottling | 170,918a | 3,210,775 |
| Arkema | 26,600 | 2,437,512 | Hong Kong—2.4% | | |
| BNP Paribas | 27,300 | 1,332,484 | Esprit Holdings | 2,909,543 | 6,527,172 |
| Carrefour | 297,584 | 7,461,604 | Foxconn International Holdings | 3,313,000a | 2,327,925 |
| Credit Agricole | 294,790 | 1,887,947 | Hang Seng Bank | 376,200 | 5,267,440 |
| Danone | 33,470 | 2,264,391 | Pacific Basin Shipping | 3,053,000 | 1,590,227 |
| EDF | 116,380 | 2,901,825 | SJM Holdings | 1,324,000 | 2,772,203 |
| France Telecom | 461,843 | 7,048,431 | | | 18,484,967 |
| GDF Suez | 172,820 | 4,482,940 | Israel—1.1% | | |
| Sanofi | 235,369 | 17,406,983 | Teva Pharmaceutical | | |
| Societe Generale | 142,174 | 4,593,407 | Industries, ADR | 195,512 | 8,760,893 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon International Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Italy—2.9% | | | Japan (continued) | | |
| Atlantia | 96,530 | 1,616,593 | Nippon Shokubai | 146,000 | 1,722,401 |
| Enel | 558,910 | 2,242,848 | Nomura Holdings | 482,000 | 2,223,521 |
| ENI | 98,640 | 2,274,852 | NTN | 943,000 | 4,106,557 |
| Finmeccanica | 455,101 | 2,302,851 | Panasonic | 439,600 | 4,104,520 |
| Saras | 4,645,679a | 6,517,493 | Ricoh | 520,800 | 4,785,799 |
| Telecom Italia | 6,125,910 | 7,059,757 | Sega Sammy Holdings | 158,400 | 3,002,760 |
| | | 22,014,394 | Sekisui House | 287,000 | 2,718,539 |
| Japan—22.3% | | | Seven & I Holdings | 111,400 | 3,077,923 |
| Asahi Kasei | 231,000 | 1,463,464 | Shimachu | 105,500 | 2,338,676 |
| Astellas Pharma | 45,000 | 1,848,936 | Shin-Etsu Chemical | 110,500 | 5,919,886 |
| CAPCOM | 160,700 | 3,564,302 | Softbank | 67,300 | 2,004,346 |
| Daito Trust Construction | 77,000 | 6,782,138 | Sumitomo Mitsui Financial Group | 297,500 | 10,089,894 |
| DeNA | 50,400 | 1,639,906 | Sumitomo Mitsui Trust Holdings | 1,871,940 | 6,493,875 |
| Denso | 126,300 | 4,174,783 | Taiyo Nippon Sanso | 514,000 | 3,395,473 |
| East Japan Railway | 50,800 | 3,255,849 | Tokyo Electron | 63,100 | 3,500,812 |
| Fuji Heavy Industries | 726,000 | 5,483,627 | Tokyo Gas | 529,000 | 2,414,307 |
| Fujitsu | 469,000 | 2,544,335 | Tokyo Steel Manufacturing | 584,100 | 4,900,433 |
| Gree | 47,200 | 1,475,980 | Toyo Suisan Kaisha | 178,000 | 4,569,886 |
| Hitachi | 792,000 | 4,608,390 | Toyota Motor | 252,100 | 10,404,668 |
| Hitachi Chemical | 148,400 | 2,740,170 | Yamaha Motor | 85,900 | 1,232,124 |
| INPEX | 968 | 6,870,907 | | | 170,186,560 |
| Kao | 150,100 | 3,838,823 | Macau—.3% | | |
| Keihin | 204,800 | 4,124,217 | Sands China | 560,000 | 2,104,639 |
| Kirin Holdings | 187,000 | 2,199,188 | Netherlands—4.2% | | |
| Matsumotokiyoshi Holdings | 161,900 | 3,335,988 | Aegon | 685,132a | 3,587,317 |
| Miraca Holdings | 39,500 | 1,508,765 | Heineken | 62,302 | 3,289,494 |
| Mitsubishi | 199,400 | 4,883,816 | ING Groep | 542,240a | 4,809,925 |
| Mitsubishi Electric | 322,000 | 2,887,661 | Koninklijke | | |
| Mitsubishi UFJ Financial Group | 1,635,700 | 8,451,150 | Philips Electronics | 504,072 | 10,580,690 |
| Murata Manufacturing | 50,000 | 2,980,071 | Nutreco | 24,160 | 1,810,922 |
| Nihon Kohden | 53,600 | 1,374,122 | STMicroelectronics | 391,140 | 2,918,776 |
| Nippon Electric Glass | 198,000 | 1,851,150 | Unilever | 147,090 | 4,885,493 |
| Nippon Express | 839,000 | 3,292,422 | | | 31,882,617 |
62
| | | | | | | |
| BNY Mellon International Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Norway—.8% | | | Switzerland (continued) | | |
| Norsk Hydro | 295,359 | 1,775,515 | Syngenta | 8,930a | 2,911,849 |
| TGS Nopec Geophysical | 142,000 | 4,102,945 | UBS | 456,449a | 6,382,314 |
| | | 5,878,460 | Zurich Financial Services | 15,320a | 3,857,517 |
| Portugal—.3% | | | | | 56,995,786 |
| Jeronimo Martins | 122,720a | 2,266,113 | United Arab | | |
| Singapore—1.6% | | | Emirates—.4% | | |
| DBS Group Holdings | 829,680 | 9,420,266 | Dragon Oil | 356,050 | 3,251,340 |
| United Overseas Bank | 174,380 | 2,516,739 | United Kingdom—20.3% | | |
| | | 11,937,005 | Aberdeen | | |
| Spain—1.1% | | | Asset Management | 853,520 | 3,268,355 |
| Gamesa Corp Tecnologica | 531,054 | 1,688,154 | Anglo American | 190,325 | 8,022,306 |
| Inditex | 19,410 | 1,792,357 | Barclays | 1,077,860 | 4,201,147 |
| Red Electrica | 38,180 | 1,927,617 | BHP Billiton | 79,120 | 2,564,622 |
| Repsol | 111,640 | 2,910,809 | BP | 789,854 | 6,187,345 |
| | | 8,318,937 | British American Tobacco | 123,860 | 6,260,193 |
| Sweden—3.2% | | | British Land | 383,780 | 2,871,420 |
| Autoliv, SDR | 41,840 | 2,792,368 | BT Group | 976,990 | 3,341,704 |
| Husqvarna, Cl. B | 330,729 | 1,990,332 | Burberry Group | 71,790 | 1,612,642 |
| Investor, Cl. B | 136,030 | 3,028,234 | Centrica | 597,980 | 2,892,009 |
| Svenska Cellulosa, Cl. B | 222,929 | 3,982,319 | Diageo | 106,940 | 2,557,897 |
| Telefonaktiebolaget LM | | | Experian | 324,840 | 4,886,191 |
| Ericsson, Cl. B | 676,129 | 6,790,106 | GlaxoSmithKline | 156,930 | 3,462,756 |
| Volvo, Cl. B | 419,580 | 6,122,363 | Home Retail Group | 2,293,287 | 3,721,329 |
| | | 24,705,722 | HSBC Holdings | 1,799,741 | 15,899,268 |
| Switzerland—7.5% | | | Kingfisher | 670,860 | 3,033,161 |
| ABB | 272,100a | 5,570,125 | Legal & General Group | 931,780 | 1,790,687 |
| Adecco | 128,394a | 6,434,601 | Lloyds Banking Group | 5,577,230a | 3,099,693 |
| Cie Financiere Richemont, Cl. A | 36,440 | 2,237,473 | Lonmin | 309,224 | 5,426,104 |
| Lonza Group | 56,890a | 2,956,117 | Old Mutual | 1,008,560 | 2,552,768 |
| Nestle | 51,365 | 3,139,698 | Reed Elsevier | 262,639 | 2,300,149 |
| Novartis | 185,599 | 10,111,832 | Resolution | 650,175 | 2,782,416 |
| Partners Group Holding | 16,800 | 3,128,993 | Rexam | 473,550 | 3,127,217 |
| Roche Holding | 58,965 | 10,265,267 | Rio Tinto | 133,240 | 7,596,999 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon International Fund (continued) | | | | |
| Common Stocks (continued) | Shares | Value ($) | Preferred Stocks—1.1% | Shares | | Value ($) |
| United Kingdom (continued) | | | Germany | | | |
| Royal Bank of | | | ProSiebenSat.1 Media | 233,090 | | 6,057,210 |
| Scotland Group | 6,977,040a | 3,099,032 | Volkswagen | 11,528 | | 2,155,606 |
| Royal Dutch Shell, Cl. A | 319,311 | 11,615,142 | Total Preferred Stocks | | | |
| Royal Dutch Shell, Cl. B | 290,600 | 10,769,555 | (cost $7,390,164) | | | 8,212,816 |
| SABMiller | 63,800 | 2,585,677 | | | | |
| Smith & Nephew | 634,270 | 6,235,942 | Other Investment—1.5% | | | |
| Tesco | 458,342 | 2,304,908 | Registered Investment Company; | | | |
| Unilever | 262,099 | 8,468,661 | Dreyfus Institutional Preferred | | | |
| Vodafone Group | 1,603,052 | 4,318,891 | Plus Money Market Fund | | | |
| WPP | 128,740 | 1,645,655 | (cost $11,410,208) | 11,410,208 | b | 11,410,208 |
| | | 154,501,841 | | | | |
| | | | Total Investments | | | |
| United States—1.5% | | | (cost $830,693,198) | 99.3 | % | 756,999,600 |
| iShares MSCI EAFE Index Fund | 212,210 | 11,599,399 | | | | |
| | | | Cash and Receivables (Net) | .7 | % | 5,247,758 |
| Total Common Stocks | | | | | | |
| (cost $811,892,826) | | 737,376,576 | Net Assets | 100.0 | % | 762,247,358 |
ADR—American Depository Receipts
SDR—Swedish Depository Receipts
| |
| a | Non-income producing security. |
| b | Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Financial | 20.8 | Information Technology | 7.0 |
| Consumer Discretionary | 14.5 | Utilities | 4.1 |
| Health Care | 10.2 | Telecommunication Services | 3.2 |
| Consumer Staples | 9.9 | Exchange Traded Fund | 1.5 |
| Energy | 9.7 | Money Market Investment | 1.5 |
| Materials | 9.1 | | |
| Industrial | 7.8 | | 99.3 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
64
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | | |
| BNY Mellon Emerging Markets Fund | | | | |
| Common Stocks—91.8% | Shares | Value ($) | | Shares | Value ($) |
| Brazil—12.2% | | | China (continued) | | |
| Banco Santander Brasil, ADS | 1,739,680 | 18,579,782 | Beijing Capital International | | |
| Brasil Insurance | | | Airport, Cl. H | 17,702,000 | 8,832,513 |
| Participacoes e Administracao | 401,300 | 4,767,227 | BYD Electronic International | 17,111,500a | 6,971,499 |
| Centrais Eletricas Brasileiras | 1,159,503 | 12,612,908 | China Agri-Industries Holdings | 24,659,519 | 18,599,080 |
| Cia de Bebidas das Americas, ADR | 207,730 | 8,311,277 | China BlueChemical, Cl. H | 7,450,000 | 5,859,184 |
| Cia de Saneamento de Minas Gerais | 182,700 | 4,638,649 | China Coal Energy, Cl. H | 6,233,000 | 7,995,971 |
| Cielo | 340,700 | 12,181,674 | China Communications | | |
| Embraer, ADR | 287,670 | 8,647,360 | Construction, Cl. H | 16,782,000 | 17,179,686 |
| Fibria Celulose, ADR | 584,100 | 5,379,561 | China Construction Bank, Cl. H | 39,539,229 | 33,237,381 |
| Fleury | 742,600 | 10,590,347 | China Dongxiang Group | 40,460,000 | 7,720,379 |
| Gerdau, ADR | 878,090 | 9,132,136 | China Life Insurance, Cl. H | 5,399,000 | 16,845,337 |
| Grendene | 648,310 | 3,435,505 | China Mobile | 2,521,900 | 26,938,374 |
| Itau Unibanco Holding, ADR | 1,633,714 | 34,389,680 | China Mobile, ADR | 241,610 | 12,807,746 |
| JBS | 2,737,200a | 11,635,790 | China Petroleum & Chemical, Cl. H | 19,012,000 | 21,791,171 |
| Magnesita Refratarios | 1,350,100 | 5,817,872 | China Power | | |
| Obrascon Huarte Lain Brasil | 275,700 | 11,328,224 | International Development | 26,103,920 | 6,495,522 |
| Petroleo Brasileiro, ADR | 1,851,800 | 54,587,869 | China Railway Construction, Cl. H | 5,540,000 | 4,357,031 |
| Porto Seguro | 420,600 | 5,265,919 | China Railway Group, Cl. H | 12,816,000 | 5,204,920 |
| Rossi Residencial | 1,941,600 | 11,634,336 | China Vanadium | | |
| | | | Titano-Magnetite Mining | 28,628,000 | 7,566,515 |
| Sul America | 227,700 | 2,506,059 | | | |
| | | | CNOOC | 3,375,000 | 7,745,417 |
| Tele Norte Leste | | | | | |
| Participacoes, ADR | 968,246 | 10,398,962 | COSCO Pacific | 2,826,000 | 4,284,799 |
| Tim Participacoes | 2,091,965 | 12,657,165 | Focus Media Holding, ADR | 393,820a | 9,554,073 |
| Vale, ADR | 968,970 | 24,359,906 | Global Bio-Chem | | |
| | | | Technology Group | 14,829,920 | 3,996,098 |
| | | 282,858,208 | | | |
| | | | Great Wall Motor, Cl. H | 7,320,500 | 14,742,556 |
| Chile—1.5% | | | | | |
| | | | Guangdong Investment | 7,090,000 | 4,661,948 |
| Cencosud | 1,515,615 | 9,854,577 | | | |
| | | | Guangzhou Automobile | | |
| Enersis, ADR | 431,610 | 8,722,838 | Group, Cl. H | 10,213,254 | 12,048,590 |
| ENTEL | 748,240 | 15,281,342 | Huaneng Power International, ADR | 96,150 | 2,444,133 |
| | | 33,858,757 | Huaneng Power | | |
| China—17.7% | | | International, Cl. H | 14,488,200 | 9,283,715 |
| Asia Cement China Holdings | 2,346,500 | 1,319,040 | Industrial & Commercial | | |
| Baidu, ADR | 80,010a | 10,937,367 | Bank of China, Cl. H | 56,926,475 | 41,761,641 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon Emerging Markets Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| China (continued) | | | India (continued) | | |
| Lenovo Group | 7,528,000 | 6,667,873 | Hindustan Petroleum | 1,262,110 | 8,075,856 |
| Lianhua Supermarket | | | ICICI Bank | 57,630 | 1,065,702 |
| Holdings, Cl. H | 4,428,000 | 6,257,043 | ICICI Bank, ADR | 167,880 | 6,094,044 |
| Mindray Medical | | | India Cements | 4,602,120 | 9,469,982 |
| International, ADR | 26,476 | 810,430 | Jubilant Life Sciences | 1,537,169 | 5,960,803 |
| Minth Group | 50,000 | 61,822 | NMDC | 1,436,811 | 5,274,073 |
| PetroChina, ADR | 42,270 | 6,350,222 | Oil & Natural Gas | 1,224,312 | 7,324,388 |
| PetroChina, Cl. H | 6,874,000 | 10,404,678 | Oriental Bank of Commerce | 1,550,413 | 8,897,238 |
| Renhe Commercial Holdings | 49,730,000 | 5,962,830 | Reliance Industries | 1,688,982 | 28,284,676 |
| Shanghai Industrial Holdings | 2,419,000 | 8,779,409 | Rolta India | 3,007,690 | 6,449,872 |
| Sinotrans, Cl. H | 25,630,600 | 5,353,340 | Sintex Industries | 4,420,000 | 7,710,875 |
| TPV Technology | 5,835,680 | 1,790,686 | State Bank of India | 165,730 | 7,600,213 |
| Weiqiao Textile, Cl. H | 7,706,400 | 4,789,052 | State Bank of India, GDR | 56,240b | 5,098,156 |
| WuXi PharmaTech, ADR | 634,910a | 8,209,386 | Steel Authority of India | 1,716,660 | 3,613,007 |
| Yingde Gases | 8,793,000 | 9,772,267 | Sterlite Industries India | 7,107,630 | 18,077,251 |
| Zhejiang Expressway, Cl. H | 7,882,000 | 5,985,532 | Sterlite Industries India, ADR | 810 | 8,035 |
| | | 412,376,256 | Tata Motors | 2,035,670 | 11,254,128 |
| Colombia—.2% | | | Welspun | 240,867 | 720,488 |
| Bancolombia, ADR | 86,730 | 5,542,047 | | | 168,709,747 |
| Czech Republic—.2% | | | Indonesia—2.1% | | |
| Komercni Banka | 20,650 | 4,044,177 | Aneka Tambang | 8,213,000 | 1,784,643 |
| Egypt—.3% | | | Astra Agro Lestari | 56,000 | 138,448 |
| Commercial International Bank | 1,541,293 | 6,366,307 | Bank Negara Indonesia Persero | 11,201,500 | 4,687,989 |
| Hong Kong—.5% | | | Bank Rakyat Indonesia Persero | 10,037,500 | 7,678,354 |
| iShares FTSE A50 China Index ETF | 3,558,700 | 5,441,606 | Indofood Sukses Makmur | 20,976,000 | 11,860,044 |
| NWS Holdings | 3,923,331 | 6,504,994 | Indosat | 10,592,500 | 6,400,125 |
| | | 11,946,600 | Medco Energi Internasional | 23,278,996 | 5,935,886 |
| Hungary—.5% | | | Telekomunikasi Indonesia | 11,864,400 | 9,273,173 |
| MOL Hungarian Oil and Gas | 138,630a | 11,973,753 | | | 47,758,662 |
| Richter Gedeon | 5,061 | 909,321 | Malaysia—1.5% | | |
| | | 12,883,074 | AMMB Holdings | 7,024,300 | 14,374,548 |
| India—7.3% | | | Genting | 3,351,800 | 11,860,818 |
| Apollo Tyres | 3,233,780 | 5,634,867 | Malayan Banking | 575,270 | 1,680,391 |
| Bank of India | 788,580 | 5,989,572 | Tenaga Nasional | 3,841,687 | 8,054,012 |
| Glenmark Pharmaceuticals | 593,200 | 3,736,397 | | | 35,969,769 |
| Hexaware Technologies | 4,971,380 | 12,370,124 | | | |
66
| | | | | | | |
| BNY Mellon Emerging Markets Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Mexico—2.1% | | | South Africa (continued) | | |
| America Movil, ADR, Ser. L | 791,890 | 18,957,847 | Standard Bank Group | 1,717,784 | 25,282,144 |
| Consorcio ARA | 6,828,400 | 2,212,110 | Telkom | 1,353,209 | 4,654,839 |
| Desarrolladora Homex, ADR | 354,500a | 6,395,180 | | | 174,648,756 |
| Fomento Economico Mexicano, ADR | 218,320 | 16,068,352 | South Korea—14.6% | | |
| Grupo Financiero Banorte, Cl. O | 1,413,900 | 5,725,540 | BS Financial Group | 878,950 | 10,960,113 |
| | | 49,359,029 | Daelim Industrial | 140,198 | 15,790,251 |
| Peru—.6% | | | DGB Financial Group | 655,410 | 8,817,109 |
| Credicorp | 116,710 | 14,342,492 | Dongbu Insurance | 206,990 | 9,038,380 |
| Poland—.6% | | | Grand Korea Leisure | 358,030 | 6,000,637 |
| Asseco Poland | 450,173 | 7,802,815 | Hana Financial Group | 270,820 | 9,550,023 |
| Bank Pekao | 106,700 | 5,317,522 | Hite Jinro | 436,172a | 9,747,078 |
| | | 13,120,337 | Hyundai Development | 339,400a | 7,508,682 |
| Russia—6.8% | | | Hyundai Motor | 90,915 | 17,553,590 |
| Gazprom, ADR | 4,636,520 | 61,433,890 | KB Financial Group | 414,508 | 15,265,351 |
| Lukoil, ADR | 756,840 | 48,551,286 | KB Financial Group, ADR | 158,300 | 5,833,355 |
| MMC Norilsk Nickel, ADR | 101,679 | 2,014,261 | Korea Electric Power | 291,405a | 6,538,037 |
| Mobile Telesystems, ADR | 695,720 | 12,696,890 | Korea Electric Power, ADR | 574,820 | 6,409,243 |
| Pharmstandard, GDR | 149,583a | 2,722,411 | Korea Exchange Bank | 1,660,390 | 12,096,072 |
| Sberbank of Russia, ADR | 1,304,610a | 17,806,530 | KT | 49,380 | 1,438,949 |
| VimpelCom, ADR | 1,023,320 | 12,453,804 | KT, ADR | 427,400 | 6,287,054 |
| | | 157,679,072 | KT&G | 139,718 | 9,141,976 |
| South Africa—7.5% | | | Kukdo Chemical | 79,830 | 4,095,950 |
| ABSA Group | 655,080 | 13,909,206 | LG Display | 363,460a | 9,616,676 |
| Anglo American Platinum | 207,421 | 16,348,042 | LG Electronics | 169,359 | 12,928,341 |
| AngloGold Ashanti | 231,400 | 10,034,177 | Mirae Asset Securities | 253,170 | 9,029,460 |
| Aveng | 1,725,681 | 8,316,037 | NongShim | 35,914 | 7,784,885 |
| Exxaro Resources | 448,080 | 12,585,930 | POSCO | 17,165 | 6,382,838 |
| FirstRand | 3,941,900 | 12,541,538 | POSCO, ADR | 55,510 | 5,134,675 |
| Growthpoint Properties | 5,328,935 | 14,578,054 | Samsung Electronics | 70,825 | 76,350,265 |
| JD Group | 961,502 | 6,195,022 | Samsung Fire & Marine Insurance | 43,842 | 8,268,933 |
| MTN Group | 552,759 | 9,955,909 | Shinsegae | 42,476 | 9,966,658 |
| Murray & Roberts Holdings | 2,582,330a | 9,969,125 | SK Telecom | 39,489 | 5,135,891 |
| Nedbank Group | 690,920 | 14,772,284 | SK Telecom, ADR | 531,580 | 7,681,331 |
| Sappi | 622,857a | 2,188,140 | Tong Yang Life Insurance | 244,165 | 3,077,366 |
| Sasol | 250,210 | 13,318,309 | Youngone | 368,118 | 7,995,948 |
| | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Emerging Markets Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| South Korea (continued) | | | Thailand (continued) | | |
| Yuhan | 76,746 | 8,197,856 | Bangkok Bank | 2,438,000 | 15,627,689 |
| | | 339,622,973 | Kasikornbank | 698,500 | 3,427,301 |
| Taiwan—9.1% | | | PTT Global Chemical | 6,734,683 | 16,578,024 |
| Asia Cement | 4,275,548 | 5,476,064 | | | 42,010,539 |
| AU Optronics | 8,558,000 | 4,628,936 | Turkey—1.3% | | |
| AU Optronics, ADR | 1,161,870 | 6,169,530 | Asya Katilim Bankasi | 3,933,670a | 4,092,654 |
| Chinatrust Financial Holding | 4,925,690 | 3,351,265 | Turk Telekomunikasyon | 2,192,130 | 9,398,602 |
| CHIPBOND Technology | 5,824,000 | 7,053,150 | Turkcell Iletisim Hizmetleri | 1,056,310a | 5,796,934 |
| Compal Electronics | 2,008,000 | 2,377,140 | Turkcell Iletisim Hizmetleri, ADR | 34,040a | 462,944 |
| CTCI | 4,444,000 | 7,211,144 | Turkiye Is Bankasi, Cl. C | 4,832,141 | 11,491,286 |
| Hon Hai Precision Industry | 13,063,176 | 45,549,583 | | | 31,242,420 |
| KGI Securities | 8,434,765 | 3,787,553 | Ukraine—.1% | | |
| Nan Ya Printed Circuit Board | 4,398,983 | 11,058,812 | JKX Oil & Gas | 971,480 | 2,047,808 |
| Novatek Microelectronics | 2,214,000 | 6,627,841 | United Arab Emirates—.3% | | |
| Pegatron | 6,802,000 | 9,255,681 | Emaar Properties | 7,780,620 | 6,693,918 |
| Powertech Technology | 1,681,200 | 3,854,704 | United States—2.7% | | |
| Siliconware Precision Industries | 4,335,000 | 5,109,802 | iShares MSCI Emerging | | |
| Siliconware Precision | | | Markets Index Fund | 1,417,090 | 62,819,600 |
| Industries, ADR | 303,570 | 1,751,599 | Total Common Stocks | | |
| SinoPac Financial Holdings | 32,895,411 | 12,309,482 | (cost $2,000,727,807) | 2,134,474,618 |
| Taishin Financial Holdings | 20,115,875 | 8,211,678 | | | |
| Taiwan Semiconductor | | | Preferred Stocks—5.2% | | |
| Manufacturing | 1,537,517 | 4,241,823 | Brazil | | |
| Taiwan Semiconductor | | | Banco Bradesco | 769,556 | 13,981,742 |
| Manufacturing, ADR | 2,495,297 | 36,231,712 | | | |
| | | | Banco do Estado do | | |
| Tatung | 8,777,216a | 2,961,967 | Rio Grande do Sul, Cl. B | 1,188,700 | 14,162,645 |
| Transcend Information | 2,338,040 | 6,991,214 | Bradespar | 454,200 | 9,577,279 |
| United Microelectronics | 21,495,397 | 11,334,149 | Cia de Bebidas das Americas | 237,700 | 9,564,752 |
| United Microelectronics, ADR | 504,000 | 1,370,880 | Cia de Tecidos do | | |
| Young Fast Optoelectronics | 1,829,272 | 5,326,768 | Norte de Minas—Coteminas | 721,960 | 1,652,236 |
| | | 212,242,477 | Cia Paranaense de | | |
| Tanzania—.3% | | | Energia, Cl. B | 840,500 | 21,158,722 |
| African Barrick Gold | 846,790 | 6,331,593 | Gerdau | 81,600 | 852,945 |
| Thailand—1.8% | | | Itau Unibanco Holding | 60,200 | 1,290,063 |
| Asian Property Development | 33,862,420 | 6,377,525 | Petroleo Brasileiro | 1,207,200 | 17,089,551 |
68
| | | | | | | | |
| BNY Mellon Emerging Markets Fund (continued) | | | | |
| Preferred Stocks (continued) | Shares | | Value ($) | Other Investment—3.1% | Shares | Value ($) | |
| Brazil (continued) | | | | Registered | | | |
| Randon Participacoes | 1,073,600 | | 6,795,768 | Investment Company; | | | |
| Vale, | 956,200 | | 23,664,871 | Dreyfus Institutional Preferred | | | |
| Total Preferred Stocks | | | | Plus Money Market Fund | | | |
| (cost $93,231,560) | | | 119,790,574 | (cost $73,395,522) | 73,395,522 c 73,395,522 | |
| | | | | Total Investments | | | |
| | Number of | | | | | | |
| Rights—.0% | Rights | | Value ($) | (cost $2,167,375,134) | 100.1% | 2,327,691,713 | |
| Taiwan | | | | Liabilities, Less Cash | | | |
| | | | | and Receivables | (.1%) | (2,794,653 | ) |
| Chinatrust Financial Holdings | | | | | | | |
| (cost $20,245) | 246,285 | a | 30,999 | Net Assets | 100.0% | 2,324,897,060 | |
ADR—American Depository Receipts
ADS—American Depository Shares
GDR—Global Depository Receipts
|
| a Non-income producing security. |
| b Security exempt from registration under Rule 144A of the Securities Act of 1933.This security may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, this security was valued at $5,098,156 or .2% of net assets. |
| c Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Financial | 25.3 | Consumer Staples | 5.5 |
| Energy | 13.8 | Utilities | 3.3 |
| Information Technology | 13.3 | Money Market Investment | 3.1 |
| Materials | 9.7 | Exchange Traded Funds | 2.9 |
| Telecommunications | 8.3 | Health Care | 1.9 |
| Consumer Discretionary | 6.6 | | |
| Industrial | 6.4 | | 100.1 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
| | | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon International Appreciation Fund | | | |
| Common Stocks—98.7% | Shares | Value ($) | | Shares | Value ($) |
| Consumer Discretionary—11.0% | | | Consumer Staples—10.7% | | |
| Adidas, ADR | 11,075 | 435,192 | Aeon, ADR | 72,968a | 923,775 |
| Bridgestone, ADR | 14,362 | 694,403 | Ajinomoto, ADR | 4,423 | 525,895 |
| British Sky Broadcasting Group, ADR | 13,495 | 574,212 | British American Tobacco, ADR | 8,300 | 840,624 |
| Casio Computer, ADR | 4,290 | 296,282 | Coca Cola Hellenic Bottling, ADR | 11,185a | 210,949 |
| Compass Group, ADR | 41,021 | 415,338 | Coca-Cola Amatil, ADR | 54,781 | 1,440,192 |
| Daimler | 28,907 | 1,750,608 | Danone, ADR | 61,202 | 831,735 |
| Denso, ADR | 46,288 | 773,935 | Delhaize Group, ADR | 12,473 | 686,389 |
| Electrolux, Cl. B, ADR | 12,867 | 573,868 | Diageo, ADR | 7,098 | 678,285 |
| Fiat, ADR | 39,395 | 230,855 | Heineken, ADR | 17,709 | 465,924 |
| Hennes & Mauritz, ADR | 151,406 | 1,085,581 | Henkel & Co., ADR | 11,422 | 746,885 |
| Honda Motor, ADR | 23,948 | 912,898 | Imperial Tobacco Group, ADR | 12,987 | 1,028,960 |
| Intercontinental Hotels Group, ADR | 8,933 | 203,851 | J. Sainsbury, ADR | 13,745 | 259,506 |
| Kingfisher, ADR | 62,128 | 561,016 | Kao, ADR | 11,988 | 307,852 |
| LVMH Moet Hennessy | | | Kirin Holdings, ADR | 35,382 | 416,800 |
| Louis Vuitton, ADR | 35,369 | 1,190,874 | Koninklijke Ahold, ADR | 6,154 | 84,494 |
| Marks & Spencer Group, ADR | 27,155 | 312,418 | L’Oreal, ADR | 37,714 | 859,502 |
| Marui Group, ADR | 32,401 | 531,700 | Nestle, ADR | 64,055 | 3,925,931 |
| Nissan Motor, ADR | 46,962 | 962,721 | Sabmiller, ADR | 24,142 | 977,147 |
| Panasonic, ADR | 22,520 | 209,436 | Shiseido, ADR | 21,862 | 381,711 |
| Pearson, ADR | 8,912 | 169,863 | Tesco, ADR | 53,821 | 818,079 |
| Peugeot, ADR | 12,756 | 257,926 | Unilever (NY Shares) | 17,003 | 566,370 |
| Publicis Groupe, ADR | 32,782 | 894,621 | Unilever, ADR | 8,090 | 262,682 |
| Reed Elsevier, ADR | 8,331 | 291,252 | Yamazaki Baking, ADR | 4,023 | 543,756 |
| Sega Sammy Holdings, ADR | 109,384 | 520,668 | | | 17,783,443 |
| Sharp, ADR | 38,118 | 266,445 | Energy—9.1% | | |
| Sodexo, ADR | 11,162 | 864,385 | BG Group, ADR | 61,935 | 1,487,679 |
| Sony, ADR | 2,522 | 53,946 | BP, ADR | 51,395 | 2,423,788 |
| Sumitomo Electric Industries, ADR | 3,702 | 483,446 | ENI, ADR | 29,775 | 1,375,605 |
| Toyota Motor, ADR | 19,548 | 1,616,815 | Repsol, ADR | 29,557 | 767,004 |
| Volkswagen, ADR | 11,000 | 372,680 | Royal Dutch Shell, Cl. A, ADR | 42,098 | 3,076,943 |
| Wolters Kluwer, ADR | 10,972 | 203,860 | Royal Dutch Shell, Cl. B, ADR | 15,393 | 1,143,392 |
| WPP, ADR | 7,429 | 476,719 | Statoil, ADR | 39,055 | 1,112,286 |
| | | 18,187,814 | | | |
70
| | | | | | | |
| BNY Mellon International Appreciation Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Energy (continued) | | | Financial (continued) | | |
| Technip, ADR | 14,012 | 383,298 | Hysan Development, ADR | 56,301 | 492,634 |
| Total, ADR | 42,819 | 2,400,861 | ING Groep, ADR | 88,369a | 776,764 |
| Woodside Petroleum, ADR | 21,015 | 850,057 | Intesa Sanpaolo, ADR | 72,934 | 854,057 |
| | | 15,020,913 | Legal & General Group, ADR | 92,800 | 905,728 |
| Financial—22.0% | | | Lend Lease Group, ADR | 98,316 | 789,477 |
| Aegon (NY Shares) | 82,300a | 432,075 | Lloyds Banking Group, ADR | 191,480a | 421,256 |
| Ageas, ADR | 140,757 | 296,997 | Mitsubishi Estate, ADR | 36,000 | 652,860 |
| Allianz, ADR | 113,320 | 1,374,572 | Mitsubishi UFJ Financial Group, ADR | 97,092 | 496,140 |
| Australia & New Zealand | | | MS&AD Insurance | | |
| Banking Group, ADR | 79,598 | 1,861,001 | Group Holdings, ADR | 27,902 | 297,993 |
| AXA, ADR | 46,800 | 757,224 | National Australia Bank, ADR | 63,203 | 1,587,027 |
| Banco Bilbao Vizcaya Argentaria, ADR | 72,098 | 648,161 | National Bank of Greece, ADR | 23,146a | 71,521 |
| Banco Santander, ADR | 121,001 | 1,004,308 | Nomura Holdings, ADR | 12,857 | 59,014 |
| Bank of Yokohama, ADR | 20,208 | 385,771 | ORIX, ADR | 10,179 | 492,358 |
| Barclays, ADR | 63,844 | 994,051 | Prudential, ADR | 45,750 | 1,041,270 |
| BNP Paribas, ADR | 43,261 | 1,056,434 | Shinsei Bank, ADR | 57,546 | 147,318 |
| British Land, ADR | 12,476 | 93,944 | Shizuoka Bank, ADR | 3,560 | 363,301 |
| Capitaland, ADR | 32,796 | 163,652 | Sino Land, ADR | 41,641 | 367,274 |
| Cheung Kong Holdings, ADR | 36,243 | 526,248 | Social Generale, ADR | 89,445 | 572,448 |
| City Developments, ADR | 87,591 | 780,436 | Sumitomo Mitsui | | |
| Commerzbank, ADR | 37,925 | 95,950 | Financial Group, ADR | 48,296 | 327,930 |
| Commonwealth Bank of | | | Sumitomo Mitsui Trust Holdings, ADR | 45,240 | 154,721 |
| Australia, ADR | 13,623b | 2,182,677 | Sun Hung Kai Properties, ADR | 44,037 | 672,005 |
| Credit Agricole, ADR | 22,091 | 69,366 | Tokio Marine Holdings, ADR | 19,055 | 525,156 |
| Credit Suisse Group, ADR | 26,774 | 718,079 | Tokyu Land, ADR | 4,001 | 194,649 |
| Daiwa House Industry, ADR | 3,061 | 396,002 | UBS | 99,051a | 1,389,686 |
| Daiwa Securities Group, ADR | 79,590 | 331,890 | United Overseas Bank, ADR | 24,700 | 710,619 |
| Danske Bank, ADR | 27,008 | 238,751 | Westfield Group, ADR | 28,114 | 527,700 |
| Deutsche Bank | 23,883 | 1,116,291 | Westpac Banking, ADR | 13,023 | 1,451,934 |
| Erste Group Bank, ADR | 4,433 | 55,811 | Zurich Financial Services, ADR | 49,197a | 1,244,684 |
| Hachijuni Bank, ADR | 2,799 | 164,049 | | | 36,221,737 |
| Hang Seng Bank, ADR | 32,669 | 452,792 | Health Care—8.9% | | |
| HSBC Holdings, ADR | 54,878 | 2,437,681 | AstraZeneca, ADR | 16,212 | 727,757 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon International Appreciation Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Health Care (continued) | | | Industrial (continued) | | |
| Bayer, ADR | 21,980 | 1,625,311 | Metso, ADR | 18,812 | 894,417 |
| Cie Generale d’Opitique Essilor | | | Mitsubishi, ADR | 10,957 | 539,961 |
| International, ADR | 15,084 | 601,475 | Mitsui & Co., ADR | 1,811 | 622,984 |
| Eisai, ADR | 20,123 | 816,189 | MTR, ADR | 10,662 | 379,425 |
| Elan, ADR | 21,218a | 265,225 | Neptune Orient Lines, ADR | 105,500 | 451,540 |
| Fresenius Medical Care & Co., ADR | 6,175 | 434,226 | Nidec, ADR | 22,281 | 522,712 |
| GlaxoSmithKline, ADR | 40,599 | 1,798,942 | Nippon Yusen, ADR | 60,373 | 357,408 |
| Novartis, ADR | 37,887 | 2,065,220 | NSK, ADR | 36,210 | 575,377 |
| Novo Nordisk, ADR | 10,115 | 1,419,438 | Orkla, ADR | 26,607 | 221,902 |
| Olympus, ADR | 13,140 | 225,351 | Rolls-Royce Holdings, ADR | 12,397 | 802,272 |
| Roche Holding, ADR | 59,516 | 2,593,707 | Ryanair Holdings, ADR | 4,860a | 162,907 |
| Sanofi, ADR | 36,439 | 1,349,336 | Sandvik, ADR | 48,276 | 740,071 |
| Smith & Nephew, ADR | 3,193 | 156,521 | Secom, ADR | 37,120 | 440,986 |
| Teva Pharmaceutical Industries, ADR | 15,900 | 712,479 | Siemens, ADR | 2,911 | 290,256 |
| | | 14,791,177 | SKF, ADR | 33,190 | 840,039 |
| Industrial—11.9% | | | Sumitomo, ADR | 28,536 | 422,904 |
| ABB, ADR | 4,472a | 91,631 | Swire Pacific, Cl. A, ADR | 29,906 | 336,443 |
| All Nippon Airways, ADR | 79,722 | 490,506 | TNT Express, ADR | 32,167 | 403,696 |
| Asahi Glass, ADR | 51,076 | 456,109 | Toppan Printing, ADR | 7,981 | 315,040 |
| Atlas Copco, Cl. A, ADR | 19,047 | 495,412 | TOTO, ADR | 4,089 | 309,885 |
| Atlas Copco, Cl. B, ADR | 41,120 | 948,638 | Vestas Wind Systems, ADR | 708a | 2,407 |
| Bae Systems, ADR | 121 | 2,414 | Volvo, ADR | 39,152 | 568,487 |
| Dai Nippon Printing, ADR | 30,828 | 318,916 | | | 19,765,005 |
| Deutsche Lufthansa, ADR | 34,416 | 476,317 | Information Technology—4.9% | | |
| European Aeronautic | | | Advantest, ADR | 17,445 | 247,719 |
| Defence and Space, ADR | 16,993 | 616,506 | Alcatel-Lucent, ADR | 87,481a | 216,078 |
| Experian, ADR | 32,340 | 486,717 | Canon, ADR | 21,097 | 956,538 |
| Hutchison Whampoa, ADR | 23,325 | 458,803 | Computershare, ADR | 47,642 | 404,004 |
| International Consolidated | | | Dassault Systemes, ADR | 5,935 | 494,207 |
| Airlines Group, ADR | 22,962a | 298,047 | | | |
| | | | Fujifilm Holdings, ADR | 16,819 | 426,193 |
| Invensys, ADR | 88,290 | 298,420 | | | |
| | | | Fujitsu, ADR | 13,602 | 370,110 |
| ITOCHU, ADR | 29,705 | 677,571 | | | |
| | | | Hitachi, ADR | 11,435 | 666,317 |
| Kajima, ADR | 12,417 | 383,064 | | | |
| | | | Kyocera, ADR | 4,712 | 421,724 |
| Kawasaki Heavy Industries, ADR | 38,754 | 495,664 | | | |
| | | | Mitsubishi Electric, ADR | 34,575 | 629,611 |
| Keppel, ADR | 33,187 | 578,449 | | | |
| | | | NICE Systems, ADR | 1,600a | 54,704 |
| Komatsu, ADR | 31,788 | 948,236 | | | |
| | | | Nokia, ADR | 68,314 | 361,381 |
| Kubota, ADR | 13,271 | 651,739 | | | |
| | | | Omron, ADR | 21,660 | 481,690 |
| Marubeni, ADR | 5,423 | 390,727 | | | |
72
| | | | | | | |
| BNY Mellon International Appreciation Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Information Technology (continued) | | | Materials (continued) | | |
| Ricoh, ADR | 4,031 | 185,869 | Teijin, ADR | 11,424 | 385,446 |
| Sage Group, ADR | 12,887 | 255,227 | Toray Industries, ADR | 8,528 | 604,209 |
| SAP, ADR | 16,712 | 1,129,898 | UPM-Kymmene, ADR | 20,872 | 286,781 |
| TDK, ADR | 8,571 | 451,777 | | | 17,792,876 |
| Telefonaktiebolaget LM | | | Telecommunications—5.0% | | |
| Ericsson, ADR | 4,804 | 47,944 | BT Group, ADR | 20,903 | 713,628 |
| Trend Micro, ADR | 12,337 | 363,325 | Chorus, ADR | 1a | 14 |
| | | 8,164,316 | Deutsche Telekom, ADR | 61,534 | 722,409 |
| Materials—10.8% | | | France Telecom, ADR | 26,902 | 412,139 |
| Air Liquide, ADR | 35,238 | 914,602 | Hellenic Telecommunications | | |
| Akzo Nobel, ADR | 14,115 | 268,608 | Organization, ADR | 7,159 | 11,812 |
| Alumina, ADR | 8,220 | 47,347 | Koninklijke KPN, ADR | 40,229 | 438,496 |
| Amcor, ADR | 26,296 | 798,347 | Nippon Telegraph & Telephone, ADR | 4,682 | 110,308 |
| Anglo American, ADR | 62,994 | 1,332,323 | NTT DOCOMO, ADR | 16,465 | 281,387 |
| ArcelorMittal (NY Shares) | 4,455 | 94,001 | Portugal Telecom, ADR | 17,340 | 90,168 |
| Asahi Kasei, ADR | 17,985 | 228,050 | Singapore Telecommunications, ADR | 23,960 | 604,511 |
| BASF, ADR | 17,596 | 1,546,424 | Swisscom, ADR | 7,236 | 288,716 |
| BHP Billiton Ltd., ADR | 10,004 | 768,507 | Telecom Corp of New Zealand, ADR | 22,228 | 198,718 |
| BHP Billiton PLC, ADR | 27,634 | 1,790,960 | Telecom Italia, ADR | 34,666 | 382,542 |
| Boral, ADR | 24,621 | 468,190 | Telefonica, ADR | 68,428 | 1,169,435 |
| James Hardie Industries, ADR | 15,724 | 621,570 | Telenor, ADR | 6,496 | 359,034 |
| Johnson Matthey, ADR | 6,130 | 452,088 | Telstra, ADR | 21,248 | 376,090 |
| Kobe Steel, ADR | 52,450 | 453,693 | Vodafone Group, ADR | 80,824 | 2,189,522 |
| Koninklijke DSM, ADR | 4,946 | 68,502 | | | 8,348,929 |
| Lafarge, ADR | 13,770 | 160,558 | Utilities—4.4% | | |
| Newcrest Mining, ADR | 14,039 | 490,944 | Centrica, ADR | 42,640 | 824,018 |
| Nippon Steel, ADR | 21,965 | 635,015 | CLP Holdings, ADR | 33,613 | 294,786 |
| Nisshin Steel, ADR | 6,880 | 238,003 | E.ON, ADR | 49,994 | 1,144,863 |
| Nitto Denko, ADR | 13,310 | 550,235 | Enel, ADR | 106,707 | 424,694 |
| Norsk Hydro, ADR | 40,233 | 238,984 | Energias de Portugal, ADR | 11,130 | 324,439 |
| OJI Paper, ADR | 848 | 42,327 | GDF Suez, ADR | 23,536 | 608,170 |
| Rexam, ADR | 5,636 | 184,974 | Hong Kong & China Gas, ADR | 266,559 | 666,398 |
| Rio Tinto, ADR | 38,400 | 2,186,112 | Iberdrola, ADR | 45,323 | 1,071,662 |
| Stora Enso, ADR | 19,434 | 145,561 | International Power, ADR | 3,394 | 185,855 |
| Sumitomo Metal Industries, ADR | 21,929 | 458,755 | National Grid, ADR | 4,708 | 241,003 |
| Svenska Cellulosa, ADR | 32,219 | 574,143 | RWE, ADR | 15,630 | 709,758 |
| Syngenta, ADR | 11,595a | 757,617 | SSE, ADR | 26,482 | 550,031 |
| | | | | | | | |
| | STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| | BNY Mellon International Appreciation Fund (continued) | | |
| |
| | Common Stocks (continued) | Shares | | Value ($) | Other Investment—.8% | Shares | Value ($) |
| | Utilities (continued) | | | | Registered | | |
| | United Utilities Group, ADR | 14,047 | | 274,338 | Investment Company; | | |
| | Veolia Environnement, ADR | 3,027 | | 36,718 | Dreyfus | | |
| | | | | 7,356,733 | Institutional | | |
| | | | | | Preferred Plus | | |
| | Total Common Stocks | | | | Money Market Fund | | |
| | (cost $208,424,399) | | | 163,432,943 | (cost $1,296,943) | 1,296,943d | 1,296,943 |
| |
| | | Principal | | | Total Investments | | |
| Short-Term Investments—.1% | Amount ($) | | Value ($) | (cost $209,876,320) | 99.6% | 164,884,858 |
| | U.S. Treasury Bills; | | | | | | |
| | | | | | Cash and Receivables (Net) | .4% | 618,923 |
| | 0.06%, 5/24/12 | | | | | | |
| | (cost $154,978) | 155,000 | c | 154,972 | Net Assets | 100.0% | 165,503,781 |
ADR—American Depository Receipts
|
| a Non-income producing security. |
| b Security exempt from registration under Rule 144A of the Securities Act of 1933.This security may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, this security was valued at $2,182,677 or 1.3% of net assets. |
| c Held by a broker as collateral for open financial futures positions. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Financial | 22.0 | Health Care | 8.9 |
| Industrial | 11.9 | Telecommunications | 5.0 |
| Consumer Discretionary | 11.0 | Information Technology | 4.9 |
| Materials | 10.8 | Utilities | 4.4 |
| Consumer Staples | 10.7 | Short-Term/Money Market Investments | .9 |
| Energy | 9.1 | | 99.6 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
74
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | |
| | | | | Unrealized |
| | | Market Value | | Appreciation |
| BNY Mellon | Number of | Covered by | | (Depreciation) |
| International Appreciation Fund | Contracts | Contracts ($) | Expiration | at 2/29/2012($) |
| Financial Futures Long | | | | |
| ASX SPI 200 Index | 2 | 229,934 | March 2012 | 1,490 |
| Euro STOXX 50 | 18 | 601,934 | March 2012 | (36) |
| FTSE 100 Index | 5 | 465,573 | March 2012 | 1,081 |
| TOPIX | 5 | 512,671 | March 2012 | 24,465 |
| Gross Unrealized Appreciation | | | | 27,036 |
| Gross Unrealized Depreciation | | | | (36) |
| |
| See notes to financial statements. | | | | |
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | | |
| BNY Mellon International Equity Income Fund | | | |
| Common Stocks—93.5% | Shares | Value ($) | | Shares | Value ($) |
| Australia—12.4% | | | France—5.8% | | |
| Australia & New Zealand | | | Credit Agricole | 16,850 | 107,914 |
| Banking Group | 23,800 | 560,261 | France Telecom | 42,600 | 650,141 |
| Bendigo and Adelaide Bank | 11,500 | 95,336 | GDF Suez | 3,450 | 89,493 |
| Commonwealth | | | Natixis | 95,700 | 345,911 |
| Bank of Australia | 15,300 | 811,075 | Neopost | 4,700 | 321,607 |
| Metcash | 26,600 | 120,956 | Peugeot | 12,550 | 251,558 |
| National Australia Bank | 36,600 | 929,091 | Total | 21,950 | 1,227,958 |
| OneSteel | 153,200 | 174,158 | Vivendi | 4,700 | 100,941 |
| QBE Insurance Group | 15,300 | 191,160 | | | 3,095,523 |
| Tatts Group | 610,800 | 1,559,032 | Germany—4.3% | | |
| Telstra | 296,600 | 1,049,698 | Deutsche Lufthansa | 8,100 | 112,449 |
| Westpac Banking | 52,100 | 1,167,786 | Deutsche Post | 4,700 | 82,562 |
| | | 6,658,553 | Deutsche Telekom | 21,400 | 249,759 |
| Brazil—2.8% | | | E.ON | 26,950 | 619,910 |
| Cielo | 27,500 | 983,258 | Muenchener Rueckversicherungs | 3,450 | 503,081 |
| Light | 31,000 | 491,018 | RWE | 15,900 | 724,480 |
| | | 1,474,276 | | | 2,292,241 |
| Canada—.8% | | | Hong Kong—1.8% | | |
| Enerplus | 15,300 | 370,187 | Cathay Pacific Airways | 267,000 | 530,131 |
| Pengrowth Energy | 8,100 | 82,600 | Hang Seng Bank | 28,200 | 394,848 |
| | | 452,787 | Shougang Fushan Resources Group | 140,000 | 60,107 |
| China—5.1% | | | | | 985,086 |
| Anta Sports Products | 81,000 | 90,021 | Israel—2.4% | | |
| Bank of China, Cl. H | 488,000 | 212,661 | Bezeq Israeli Telecommunication | 178,100 | 294,400 |
| China Molybdenum, Cl. H | 1,406,000a | 717,846 | Cellcom Israel | 23,800 | 322,789 |
| China Zhongwang Holdings | 718,200 | 315,755 | Israel Chemicals | 61,600 | 653,309 |
| Guangzhou R&F Properties, Cl. H | 673,000 | 888,518 | | | 1,270,498 |
| Jiangsu Expressway, Cl. H | 33,300 | 34,991 | Italy—1.7% | | |
| PetroChina, Cl. H | 80,800 | 122,301 | Enel | 15,300 | 61,397 |
| Zhejiang Expressway, Cl. H | 491,000 | 372,862 | Mediaset | 291,600 | 864,023 |
| | | 2,754,955 | | | 925,420 |
| Czech Republic—1.9% | | | Japan—5.5% | | |
| Telefonica Czech Republic | 47,100 | 1,024,497 | Dai Nippon Printing | 40,300 | 414,948 |
| Finland—2.1% | | | Mizuho Financial Group | 374,300 | 626,212 |
| Nokia | 78,550 | 412,330 | NKSJ Holdings | 40,400 | 947,255 |
| Sanoma | 56,150 | 734,249 | Ricoh | 43,400 | 398,817 |
| | | 1,146,579 | | | |
76
| | | | | |
| BNY Mellon International Equity Income Fund (continued) | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Japan (continued) | | | Switzerland—.5% | | |
| Sumitomo Chemical | 40,300 | 174,506 | Transocean | 4,700 | 250,507 |
| TonenGeneral Sekiyu | 40,300 | 372,808 | Taiwan—5.1% | | |
| | | 2,934,546 | Acer | 173,000 | 264,832 |
| Netherlands—2.3% | | | Compal Electronics | 80,000 | 94,707 |
| Corio | 13,200 | 634,341 | Farglory Land Development | 38,000 | 80,923 |
| Koninklijke KPN | 41,100 | 445,454 | Formosa Chemicals & Fibre | 173,000 | 541,434 |
| Koninklijke Philips Electronics | 4,700 | 98,655 | Formosa Plastics | 56,000 | 175,262 |
| STMicroelectronics | 8,100 | 60,444 | Highwealth Construction | 485,000 | 907,436 |
| | | 1,238,894 | Nan Ya Plastics | 103,000 | 252,980 |
| New Zealand—1.4% | | | U-Ming Marine Transport | 249,000 | 433,692 |
| Telecom Corporation of New Zealand | 430,200 | 768,221 | | | 2,751,266 |
| Norway—1.5% | | | Thailand—.6% | | |
| SeaDrill | 18,700 | 775,180 | Advanced Info Service | 64,500 | 340,988 |
| Poland—1.6% | | | Turkey—.5% | | |
| KGHM Polska Miedz | 18,200 | 865,310 | Tupras Turkiye Petrol Rafinerileri | 4,700 | 116,069 |
| Portugal—.7% | | | Turk Telekomunikasyon | 33,900 | 145,344 |
| Portugal Telecom | 76,900 | 397,624 | | | 261,413 |
| Singapore—2.3% | | | United Kingdom—17.9% | | |
| Ascendas Real Estate | | | BAE Systems | 145,800 | 725,312 |
| Investment Trust | 442,000 | 728,037 | BP | 47,300 | 370,526 |
| StarHub | 213,000 | 500,716 | British American Tobacco | 24,424 | 1,234,450 |
| | | 1,228,753 | GlaxoSmithKline | 23,800 | 525,161 |
| South Africa—3.9% | | | HSBC Holdings | 36,600 | 323,332 |
| Growthpoint Properties | 31,100 | 85,078 | ICAP | 39,200 | 239,972 |
| Kumba Iron Ore | 26,600 | 2,021,075 | Man Group | 329,300 | 685,758 |
| | | 2,106,153 | Marks & Spencer Group | 8,100 | 46,777 |
| Spain—2.5% | | | National Grid | 55,400 | 565,387 |
| ACS Actividades de | | | Resolution | 114,300 | 489,145 |
| Construccion y Servicios | 4,700 | 139,858 | Royal Dutch Shell, Cl. A | 15,300 | 556,547 |
| Banco Santander | 26,600 | 220,680 | Royal Dutch Shell, Cl. B | 8,100 | 300,184 |
| Telefonica | 57,000 | 972,808 | RSA Insurance Group | 939,200 | 1,633,118 |
| | | 1,333,346 | SSE | 23,800 | 488,434 |
| Sweden—.9% | | | Standard Life | 186,500 | 689,829 |
| Hennes & Mauritz, Cl. B | 4,700 | 168,912 | Tui Travel | 147,300 | 463,989 |
| Ratos, Cl. B | 13,200 | 170,965 | Vodafone Group | 90,000 | 242,475 |
| Skanska, Cl. B | 8,100 | 147,756 | | | 9,580,396 |
| | | 487,633 | | | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon International Equity Income Fund (continued) | | | | |
| Common Stocks (continued) | Shares | Value ($) | Preferred Stocks (continued) | Shares | | Value ($) | |
| United States—5.2% | | | Germany (continued) | | | | |
| iShares MSCI EAFE Index Fund | 44,000 | 2,405,040 | RWE | 20,500 | | 861,700 | |
| Vanguard MSCI EAFE ETF | 12,000 | 407,160 | | | | 1,259,294 | |
| | | 2,812,200 | Total Preferred Stocks | | | | |
| Total Common Stocks | | | (cost $2,084,331) | | | 2,311,175 | |
| (cost $47,516,205) | | 50,212,845 | | | | | |
| | | | Other Investment—2.7% | | | | |
| Preferred Stocks—4.3% | | | Registered Investment Company; | | | | |
| Brazil—2.0% | | | Dreyfus Institutional Preferred | | | | |
| AES Tiete | 45,700 | 677,283 | Plus Money Market Fund | | | | |
| Eletropaulo Metropolitana | | | (cost $1,431,517) | 1,431,517 | b | 1,431,517 | |
| Eletricidade de Sao Paulo | 17,400 | 374,598 | Total Investments (cost $51,032,053) | 100.5 | % | 53,955,537 | |
| | | 1,051,881 | | | | | |
| | | | Liabilities, Less Cash and Receivables | (.5 | %) | (263,754 | ) |
| Germany—2.3% | | | | | | | |
| ProSiebenSat.1 Media | 15,300 | 397,594 | Net Assets | 100.0 | % | 53,691,783 | |
| |
| a | Non-income producing security. |
| b | Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Financial | 27.3 | Exchange Traded Funds | 5.2 |
| Telecommunications | 14.0 | Information Technology | 4.7 |
| Materials | 11.1 | Money Market Investment | 2.7 |
| Utilities | 9.3 | Consumer Staples | 2.5 |
| Consumer Discretionary | 8.5 | Health Care | 1.0 |
| Energy | 8.5 | | |
| Industrial | 5.7 | | 100.5 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
78
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | |
| BNY Mellon Asset Allocation Fund | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes—17.6% | Rate (%) | Date | Amount ($) | Value ($) |
| Asset-Backed Ctfs./Auto Receivables—.3% | | | | |
| Ally Auto Receivables Trust, Ser. 2010-3, Cl. A4 | 1.55 | 8/17/15 | 300,000 | 304,654 |
| Americredit Automobile Receivables Trust, Ser. 2011-3, Cl. A3 | 1.17 | 1/8/16 | 485,000 | 486,680 |
| Nissan Auto Receivables Owner Trust, Ser. 2010-A, Cl. A4 | 1.31 | 9/15/16 | 360,000 | 363,982 |
| | | | | 1,155,316 |
| Commercial Mortgage Pass-Through Ctfs.—.4% | | | | |
| GE Capital Commercial Mortgage, Ser. 2004-C3, Cl. A3 | 4.87 | 7/10/39 | 38,961a | 38,953 |
| GMAC Commercial Mortgage Securities, Ser. 2001-C2, Cl. B | 6.79 | 4/15/34 | 380,000 | 379,971 |
| JP Morgan Chase Commercial | | | | |
| Mortgage Securities, Ser. 2004-C1, Cl. A2 | 4.30 | 1/15/38 | 16,397 | 16,728 |
| UBS-Citigroup Commercial Mortgage Trust, Ser. 2011-C1, Cl. A2 | 2.80 | 1/10/45 | 850,000 | 883,704 |
| WF-RBS Commercial Mortgage Trust, Ser. 2011-C5, Cl. A2 | 2.68 | 11/15/44 | 80,000 | 82,888 |
| | | | | 1,402,244 |
| Consumer Discretionary—.6% | | | | |
| Comcast, Gtd. Notes | 5.90 | 3/15/16 | 485,000 | 564,590 |
| Johnson Controls, Sr. Unscd. Notes | 5.50 | 1/15/16 | 440,000 | 498,691 |
| News America, Gtd. Notes | 6.15 | 3/1/37 | 135,000 | 156,223 |
| Time Warner Cable, Gtd. Notes | 4.13 | 2/15/21 | 565,000 | 600,749 |
| Time Warner, Gtd. Notes | 4.00 | 1/15/22 | 350,000 | 372,228 |
| | | | | 2,192,481 |
| Consumer Staples—.3% | | | | |
| Kraft Foods, Sr. Unscd. Notes | 5.38 | 2/10/20 | 495,000 | 578,099 |
| Pepsico, Sr. Unscd. Notes | 4.50 | 1/15/20 | 375,000 | 432,495 |
| Pernod-Ricard, Sr. Unscd. Notes | 4.45 | 1/15/22 | 290,000b | 302,893 |
| | | | | 1,313,487 |
| Energy—.2% | | | | |
| BP Capital Markets, Gtd. Notes | 3.88 | 3/10/15 | 400,000 | 434,120 |
| Petrobras International Finance, Gtd. Notes | 5.38 | 1/27/21 | 335,000 | 361,840 |
| | | | | 795,960 |
| Entertainment & Gaming—.1% | | | | |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.08 | 10/1/16 | 248,000b | 230,801 |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.44 | 10/1/16 | 211,000b | 196,367 |
| | | | | 427,168 |
| Financial—2.8% | | | | |
| American International Group, Sr. Unscd. Notes | 4.25 | 9/15/14 | 520,000 | 538,905 |
| Bank of America, Sub. Notes | 5.49 | 3/15/19 | 970,000 | 956,007 |
| Barclays Bank, Sr. Unscd. Notes, Ser. 1 | 5.00 | 9/22/16 | 505,000 | 544,284 |
| BBVA US Senior, Gtd. Notes | 3.25 | 5/16/14 | 370,000 | 364,387 |
| Bear Stearns, Sub. Notes | 5.55 | 1/22/17 | 395,000 | 431,209 |
| Blackrock, Sr. Unscd. Notes | 6.25 | 9/15/17 | 420,000 | 495,611 |
| Boston Properties, Sr. Unscd Notes | 4.13 | 5/15/21 | 360,000 | 381,995 |
| Citigroup, Sub. Notes | 5.00 | 9/15/14 | 415,000 | 432,293 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon Asset Allocation Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Financial (continued) | | | | |
| Citigroup, Sr. Unscd. Notes | 6.13 | 11/21/17 | 195,000 | 218,704 |
| Cooperatieve Centrale | | | | |
| Raiffeisen-Boerenleenbank, Bank Gtd. Notes | 5.25 | 5/24/41 | 330,000 | 350,106 |
| General Electric Capital, Sub. Notes | 5.30 | 2/11/21 | 540,000 | 596,036 |
| Goldman Sachs Group, Sub. Notes | 6.75 | 10/1/37 | 445,000 | 447,294 |
| HSBC Finance, Sr. Sub. Notes | 6.68 | 1/15/21 | 582,000 | 623,880 |
| Jefferies Group, Sr. Unscd. Notes | 5.13 | 4/13/18 | 350,000 | 330,750 |
| Jefferies Group, Sr. Unscd. Notes | 8.50 | 7/15/19 | 305,000 | 329,400 |
| Lloyds TSB Bank, Bank Gtd. Notes | 6.38 | 1/21/21 | 495,000 | 539,135 |
| MetLife, Sr. Unscd. Notes | 7.72 | 2/15/19 | 345,000 | 440,058 |
| Morgan Stanley, Sub. Notes | 4.75 | 4/1/14 | 590,000 | 597,223 |
| NYSE Euronext, Sr. Unscd. Notes | 4.80 | 6/28/13 | 465,000 | 488,779 |
| Prudential Financial, Sr. Unscd. Notes | 4.75 | 9/17/15 | 395,000 | 430,676 |
| Royal Bank of Scotland, Bank Gtd. Notes | 4.88 | 3/16/15 | 505,000 | 524,575 |
| Simon Property Group, Sr. Unscd. Notes | 5.65 | 2/1/20 | 450,000 | 530,517 |
| TD Ameritrade Holding, Gtd. Notes | 4.15 | 12/1/14 | 335,000 | 356,347 |
| | | | | 10,948,171 |
| Foreign/Governmental—.2% | | | | |
| Mexican Government, Sr. Unscd. Notes | 5.63 | 1/15/17 | 315,000 | 364,613 |
| Mexican Government, Sr. Unscd. Notes | 6.63 | 3/3/15 | 185,000 | 211,640 |
| Province of Ontario Canada, | | | | |
| Sr. Unscd. Bonds | 4.00 | 10/7/19 | 330,000 | 369,490 |
| | | | | 945,743 |
| Health Care—.2% | | | | |
| Amgen, Sr. Unscd. Notes | 5.65 | 6/15/42 | 300,000 | 336,985 |
| Thermo Fisher Scientific, Sr. Unscd. Notes | 2.25 | 8/15/16 | 280,000 | 291,080 |
| | | | | 628,065 |
| Industrial—.3% | | | | |
| Seminole Indian Tribe of Florida, Sr. Scd. Notes | 5.80 | 10/1/13 | 670,000b | 672,682 |
| Seminole Indian Tribe of Florida, Notes | 7.75 | 10/1/17 | 105,000b | 114,450 |
| Tyco International Finance, Gtd. Notes | 3.38 | 10/15/15 | 535,000 | 561,547 |
| | | | | 1,348,679 |
| Information Technology—.2% | | | | |
| Hewlett-Packard, Sr. Unscd. Notes | 3.30 | 12/9/16 | 150,000 | 158,811 |
| Oracle, Sr. Unscd. Notes | 5.75 | 4/15/18 | 520,000 | 638,350 |
| | | | | 797,161 |
| Materials—.1% | | | | |
| CRH America, Gtd. Notes | 5.30 | 10/15/13 | 405,000 | 425,244 |
| Municipal Bonds—1.1% | | | | |
| California, GO (Build America Bonds) | 7.30 | 10/1/39 | 575,000 | 741,698 |
| Chicago, GO | 7.78 | 1/1/35 | 340,000 | 440,290 |
| Illinois, GO | 4.42 | 1/1/15 | 440,000 | 464,125 |
80
| | | | | | |
| BNY Mellon Asset Allocation Fund (continued) | | | | |
| |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Municipal Bonds (continued) | | | | |
| Los Angeles Community College District, GO (Build America Bonds) | 6.75 | 8/1/49 | 655,000 | 907,398 |
| Massachusetts, GO (Build America Bonds) | 4.20 | 12/1/21 | 320,000 | 357,539 |
| New Jersey Turnpike Authority, | | | | |
| Turnpike Revenue (Build America Bonds) | 7.10 | 1/1/41 | 435,000 | 612,284 |
| New York City Municipal Water Finance Authority, | | | | |
| Water and Sewer System Second General | | | | |
| Resolution Revenue (Build America Bonds) | 6.28 | 6/15/42 | 320,000 | 367,277 |
| Puerto Rico Commonwealth Government | | | | |
| Development Bank, Revenue Bonds | 3.67 | 5/1/14 | 415,000 | 420,905 |
| | | | | 4,311,516 |
| Telecommunications—.5% | | | | |
| AT&T, Sr. Unscd. Notes | 4.45 | 5/15/21 | 450,000 | 505,845 |
| Rogers Communications, Gtd. Notes | 6.38 | 3/1/14 | 380,000 | 420,712 |
| Telefonica Emisiones, Gtd. Notes | 5.13 | 4/27/20 | 305,000 | 301,625 |
| Telefonica Emisiones, Gtd. Notes | 5.88 | 7/15/19 | 190,000 | 198,336 |
| Verizon Communications, Sr. Unscd. Notes | 5.50 | 2/15/18 | 550,000 | 653,983 |
| | | | | 2,080,501 |
| U.S. Government Agencies—.1% | | | | |
| Federal Home Loan Banks, Bonds | 3.63 | 10/18/13 | 470,000 | 495,031 |
| U.S. Government Agencies/Mortgage-Backed—6.0% | | | | |
| Federal Home Loan Mortgage Corp.: | | | | |
| 3.00% | | | 975,000c,d | 1,010,344 |
| 4.00%, 11/1/40—1/1/41 | | | 909,713c | 956,194 |
| 4.50%, 12/1/40—11/1/41 | | | 1,827,301c | 1,957,683 |
| 5.00%, 6/1/28—7/1/40 | | | 1,621,731c | 1,748,798 |
| 5.50%, 12/1/37—12/1/38 | | | 1,232,436c | 1,343,015 |
| Federal National Mortgage Association: | | | | |
| 3.50% | | | 770,000c,d | 795,988 |
| 3.31%, 4/1/41 | | | 658,805a,c | 689,366 |
| 3.32%, 10/1/40 | | | 984,459a,c | 1,028,259 |
| 3.50%, 1/1/26—12/1/41 | | | 2,525,949c | 2,647,530 |
| 4.00%, 9/1/24—2/1/42 | | | 2,851,319c | 3,025,577 |
| 4.50%, 6/1/23—4/1/41 | | | 2,995,852c | 3,227,274 |
| 5.00%, 12/1/21—2/1/41 | | | 1,763,030c | 1,921,522 |
| 5.50%, 2/1/38—3/1/38 | | | 1,393,489c | 1,532,029 |
| 6.00%, 4/1/33—12/1/37 | | | 1,344,200c | 1,489,449 |
| 6.50%, 10/1/36 | | | 120,596c | 136,558 |
| | | | | 23,509,586 |
| U.S. Government Securities—4.0% | | | | |
| U.S. Treasury Inflation Protected Securities: | | | | |
| Bonds, 2.38%, 1/15/27 | | | 727,441e,f | 958,233 |
| Notes, 0.63%, 7/15/21 | | | 595,809e,f | 655,251 |
| Notes, 1.38%, 7/15/18 | | | 575,636e,f | 666,343 |
| Notes, 1.38%, 1/15/20 | | | 485,311e | 565,388 |
| Notes, 2.38%, 1/15/17 | | | 727,441e,f | 860,597 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon Asset Allocation Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| U.S. Government Securities (continued) | | | | |
| U.S. Treasury Notes: | | | | |
| 0.25%, 1/15/15 | | | 760,000f | 756,616 |
| 0.50%, 10/15/13 | | | 1,350,000f | 1,355,115 |
| 0.75%, 9/15/13 | | | 500,000 | 503,731 |
| 0.75%, 12/15/13 | | | 470,000f | 473,874 |
| 0.75%, 6/15/14 | | | 1,235,000f | 1,246,482 |
| 1.00%, 1/15/14 | | | 560,000f | 567,350 |
| 1.25%, 2/15/14 | | | 560,000f | 570,347 |
| 1.25%, 3/15/14 | | | 1,735,000f | 1,768,210 |
| 1.38%, 2/28/19 | | | 970,000 | 968,788 |
| 1.50%, 6/30/16 | | | 390,000f | 402,767 |
| 1.50%, 7/31/16 | | | 695,000f | 717,642 |
| 1.75%, 7/31/15 | | | 750,000f | 781,055 |
| 2.00%, 11/15/21 | | | 395,000f | 397,037 |
| 2.00%, 2/15/22 | | | 335,000f | 335,733 |
| 2.13%, 8/15/21 | | | 205,000f | 209,132 |
| 2.25%, 7/31/18 | | | 180,000 | 191,180 |
| 4.25%, 11/15/13 | | | 715,000f | 763,235 |
| | | | | 15,714,106 |
| Utilities—.2% | | | | |
| Boston Gas, Sr. Unscd. Notes | 4.49 | 2/15/42 | 250,000b | 254,981 |
| Hydro-Quebec, Gtd. Notes | 2.00 | 6/30/16 | 280,000 | 288,802 |
| Xcel Energy, Sr. Unscd. Notes | 4.70 | 5/15/20 | 315,000 | 357,258 |
| | | | | 901,041 |
| Total Bonds and Notes | | | | |
| (cost $65,301,533) | | | | 69,391,500 |
| |
| Common Stocks—22.1% | | | Shares | Value ($) |
| Consumer Discretionary—2.0% | | | | |
| Amazon.com | | | 4,460g | 801,417 |
| Autoliv | | | 10,100 | 672,660 |
| Carnival | | | 12,680 | 384,077 |
| CBS, Cl. B | | | 29,130 | 870,987 |
| DIRECTV, Cl. A | | | 17,830g | 825,886 |
| McDonald’s | | | 10,350 | 1,027,548 |
| Melco Crown Entertainment, ADR | | | 39,810f,g | 502,800 |
| Michael Kors Holdings | | | 11,960 | 517,270 |
| News, Cl. A | | | 47,240 | 938,659 |
| PVH | | | 6,800 | 578,068 |
| Target | | | 11,560 | 655,336 |
| | | | | 7,774,708 |
| Consumer Staples—1.8% | | | | |
| Coca-Cola Enterprises | | | 24,230 | 700,247 |
| Lorillard | | | 6,250 | 819,250 |
| PepsiCo | | | 24,130 | 1,518,742 |
82
| | | | | | | |
| BNY Mellon Asset Allocation Fund (continued) | | | |
| Common Stocks (continued) | Shares | Value ($) | | Shares | Value ($) |
| Consumer Staples (continued) | | | Health Care (continued) | | |
| Philip Morris International | 17,450 | 1,457,424 | McKesson | 8,530 | 712,340 |
| Post Holdings | 4,870g | 151,652 | Pfizer | 75,490 | 1,592,839 |
| Ralcorp Holdings | 9,740g | 726,604 | Sanofi, ADR | 37,380 | 1,384,181 |
| Unilever, ADR | 54,460f | 1,768,316 | St. Jude Medical | 13,370 | 563,144 |
| | | 7,142,235 | Zimmer Holdings | 13,180 | 800,685 |
| Energy—1.8% | | | | | 8,215,738 |
| Anadarko Petroleum | 10,850 | 912,702 | Industrial—1.8% | | |
| Apache | 5,940 | 641,104 | Caterpillar | 8,980 | 1,025,606 |
| Chevron | 15,630 | 1,705,546 | Cummins | 7,690 | 927,183 |
| ENSCO, ADR | 13,210 | 770,143 | Danaher | 10,730 | 566,866 |
| EOG Resources | 4,550 | 518,063 | Eaton | 8,360 | 436,308 |
| National Oilwell Varco | 17,170 | 1,417,040 | FedEx | 8,490 | 764,015 |
| Occidental Petroleum | 6,790 | 708,672 | General Electric | 97,320 | 1,853,946 |
| TransCanada | 14,300 | 628,914 | Robert Half International | 17,430 | 495,535 |
| | | 7,302,184 | Thomas & Betts | 7,550g | 545,337 |
| Exchange Traded Funds—.7% | | | Tyco International | 9,842 | 510,012 |
| Standard & Poor’s Depository | | | | | 7,124,808 |
| Receipts S&P 500 ETF Trust | 19,260 | 2,639,005 | Information Technology—3.3% | | |
| Financial—8.0% | | | Alliance Data Systems | 3,350g | 406,556 |
| Affiliated Managers Group | 6,009g | 639,298 | Apple | 7,420g | 4,024,905 |
| American Express | 16,190 | 856,289 | Cognizant Technology Solutions, Cl. A | 10,820g | 767,679 |
| Ameriprise Financial | 11,590 | 646,258 | Electronic Arts | 27,810g | 454,137 |
| ASG Global Alternatives Fund, Cl. Y | 780,248g | 8,457,885 | EMC | 37,560g | 1,040,036 |
| Bank of America | 50,200 | 400,094 | Informatica | 11,650g | 572,714 |
| Capital One Financial | 10,880 | 550,528 | International Business Machines | 5,310 | 1,044,636 |
| CBRE Group, Cl. A | 18,580g | 340,571 | Intuit | 12,460 | 720,686 |
| Chubb | 6,660 | 452,614 | NetApp | 17,950g | 771,850 |
| Citigroup | 24,866 | 828,535 | Oracle | 32,750 | 958,593 |
| Discover Financial Services | 14,240 | 427,342 | QUALCOMM | 18,520 | 1,151,574 |
| Guggenheim Managed Futures | | | Teradata | 10,465g | 696,446 |
| Strategy Fund, Cl. Y | 316,430g | 7,331,684 | VMware, Cl. A | 5,162g | 510,470 |
| IntercontinentalExchange | 4,840g | 667,726 | | | 13,120,282 |
| JPMorgan Chase & Co. | 15,082 | 591,818 | Telecommunication Services—.4% | | |
| Lincoln National | 24,530 | 609,325 | AT&T | 55,997 | 1,712,948 |
| T. Rowe Price Group | 11,570 | 712,596 | Utilities—.2% | | |
| TCW Emerging Markets Income Fund | 725,519 | 6,355,543 | NextEra Energy | 11,990 | 713,525 |
| Wells Fargo & Co. | 59,600 | 1,864,884 | Total Common Stocks | | |
| | | 31,732,990 | (cost $73,925,315) | | 87,478,423 |
| Health Care—2.1% | | | | | |
| Allscripts Healthcare Solutions | 25,290g | 488,603 | Other Investment—61.1% | | |
| Baxter International | 12,030 | 699,304 | Registered Investment Companies: | | |
| Cigna | 20,090 | 886,170 | BNY Mellon Emerging | | |
| Covidien | 20,832 | 1,088,472 | Markets Fund, Cl. M | 3,799,782h | 40,011,704 |
| | | | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | | |
| |
| |
| |
| |
| BNY Mellon Asset Allocation Fund (continued) | | | | | |
| |
| Other Investment (continued) | Shares | | Value ($) | | Shares | | Value ($) | |
| Registered Investment | | | | Registered Investment | | | | |
| Companies (continued): | | | | Companies (continued): | | | | |
| BNY Mellon Focused Equity | | | | Dreyfus Select Managers | | | | |
| Opportunities Fund, Cl. M | 1,975,762 | h | 25,566,354 | Small Cap Growth Fund, Cl. I | 417,876 | g,h | 7,672,203 | |
| BNY Mellon Intermediate | | | | Dreyfus Select Managers | | | | |
| Bond Fund, Cl. M | 1,022,425 | h | 13,444,894 | Small Cap Value Fund, Cl. I | 515,892 | h | 9,863,862 | |
| BNY Mellon International | | | | Dreyfus U.S. Equity Fund, Cl. I | 1,274,423 | h | 19,282,020 | |
| Fund, Cl. M | 1,104,005 | h | 10,797,168 | Dreyfus/Newton International | | | | |
| BNY Mellon Mid Cap Stock | | | | Equity Fund, Cl. I | 274,347 | h | 4,455,403 | |
| Fund, Cl. M | 1,565,056 | h | 18,749,371 | Global Stock Fund, Cl. I | 1,563,684 | h | 22,892,332 | |
| BNY Mellon Short-Term U.S. | | | | Total Other Investment | | | | |
| Government Securities Fund, Cl. M | 587,063 | h | 7,185,648 | (cost $222,013,838) | | | 241,443,688 | |
| BNY Mellon Small/Mid Cap | | | | | | | | |
| Fund, Cl. M | 649,291 | h | 8,771,925 | Investment of Cash Collateral | | | | |
| BNY Mellon U.S. Core | | | | for Securities Loaned—.4% | | | | |
| Equity 130/30 Fund, Cl. M | 1,024,670 | h | 12,039,878 | Registered Investment Company; | | | | |
| Dreyfus Emerging Markets Debt | | | | Dreyfus Institutional Cash | | | | |
| Local Currency Fund, Cl. I | 296,107 | h | 4,308,354 | Advantage Fund | | | | |
| Dreyfus Global Real Estate | | | | (cost $1,742,867) | 1,742,867 | i | 1,742,867 | |
| Securities Fund, Cl. I | 1,019,677 | h | 7,647,577 | | | | | |
| | | | | Total Investments | | | | |
| Dreyfus High Yield Fund, Cl. I | 1,536,007 | h | 9,937,967 | | | | | |
| | | | | (cost $362,983,553) | 101.2 | % | 400,056,478 | |
| Dreyfus Inflation Adjusted | | | | | | | | |
| Securities Fund | 791,397 | h | 11,150,790 | Liabilities, Less Cash and Receivables | (1.2 | %) | (4,895,805 | ) |
| Dreyfus Institutional Preferred | | | | Net Assets | 100.0 | % | 395,160,673 | |
| Plus Money Market Fund | 7,666,238 | i | 7,666,238 | | | | | |
ADR—American Depository Receipts
|
| a Variable rate security—interest rate subject to periodic change. |
| b Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, these securities were valued at $1,772,174 or .4% of net assets. |
| c The Federal Housing Finance Agency (“FHFA”) placed Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA |
| as the conservator.As such, the FHFA oversees the continuing affairs of these companies. |
| d Purchased on a forward commitment basis. |
| e Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index. |
| f Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan $15,011,754 and the value of the collateral held by the fund was |
| $15,415,527, consisting of cash collateral of $1,742,867 and U.S Government & Agency securities valued at $13,672,660. |
| g Non-income producing security. |
| h Investment in affiliated mutual fund. |
| i Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Mutual Funds: Domestic | 36.4 | Municipal Bonds | 1.1 |
| Mutual Funds: Foreign | 22.8 | Asset/Mortgage-Backed | .7 |
| Common Stocks | 21.4 | Exchange Traded Funds | .7 |
| U.S. Government & Agencies | 10.1 | Foreign/Governmental | .2 |
| Corporate Bonds | 5.5 | | |
| Money Market Investments | 2.3 | | 101.2 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
84
STATEMENTS OF ASSETS AND LIABILITIES
February 29, 2012 (Unaudited)
| | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | Large Cap | Large Cap Market | Tax-Sensitive Large Cap | Income | Mid Cap |
| | Stock Fund | Opportunities Fund | Multi-Strategy Fund | Stock Fund | Stock Fund |
| Assets ($): | | | | | |
| Investments in securities— | | | | | |
| See Statement of Investments† | | | | | |
| (including securities on loan)††—Note 2(b): | | | | | |
| Unaffiliated issuers | 1,057,539,766 | 115,622,290 | 89,324,217 | 424,619,241 | 1,314,841,637 |
| Affiliated issuers | 16,860,296 | 19,509,139 | 10,795,885 | 28,218,673 | 35,421,841 |
| Cash | — | 268,500 | 205,074 | 1,170,708 | 966,090 |
| Dividends and securities | | | | | |
| lending income receivable | 2,289,915 | — | — | 1,406,207 | 854,637 |
| Receivable for shares of | | | | | |
| Beneficial Interest subscribed | 50,700 | 247,150 | 194,691 | 896,783 | 1,014,530 |
| Dividends receivable | — | 161,908 | 153,333 | — | — |
| Receivable for investment securities sold | — | — | — | — | 32,585,217 |
| Prepaid expenses | 16,815 | 9,952 | 9,723 | 12,336 | 24,037 |
| | 1,076,757,492 | 135,818,939 | 100,682,923 | 456,323,948 | 1,385,707,989 |
| Liabilities ($): | | | | | |
| Due to The Dreyfus Corporation | | | | | |
| and affiliates—Note 4(c) | 581,130 | 78,538 | 75,648 | 222,448 | 826,963 |
| Due to Administrator—Note 4(a) | 103,357 | 11,443 | 8,700 | 40,978 | 128,815 |
| Cash overdraft due to Custodian | 1,120,786 | — | — | — | — |
| Payable for investment securities purchased | 15,427,251 | — | — | 2,198,153 | 49,011,898 |
| Payable for shares of | | | | | |
| Beneficial Interest redeemed | 804,174 | 5,060 | 61,942 | 397,434 | 574,864 |
| Liability for securities on loan—Note 2(b) | 516,777 | — | — | 17,871,925 | 24,930,381 |
| Interest payable—Note 3 | 200 | — | — | — | — |
| Outstanding options written, at value | | | | | |
| (premiums received $116,213)—See | | | | | |
| Statement of Options Written—Note 5 | — | — | — | 80,000 | — |
| Accrued expenses | 59,702 | 28,039 | 27,858 | 25,840 | 56,841 |
| | 18,613,377 | 123,080 | 174,148 | 20,836,778 | 75,529,762 |
| Net Assets ($) | 1,058,144,115 | 135,695,859 | 100,508,775 | 435,487,170 | 1,310,178,227 |
STATEMENTS OF ASSETS AND LIABILITIES (continued)
| | | | | | | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | Large Cap | Large Cap Market | Tax-Sensitive Large Cap | Income | Mid Cap |
| | Stock Fund | Opportunities Fund | Multi-Strategy Fund | Stock Fund | Stock Fund |
| Composition of Net Assets ($): | | | | | |
| Paid-in capital | 844,722,368 | 126,393,598 | 90,657,815 | 408,016,391 | 1,139,826,187 |
| Accumulated undistributed (distributions in | | | | | |
| excess of) investment income—net | 40,810 | 65,481 | 88,376 | 474,327 | (4,004,791) |
| Accumulated net realized | | | | | |
| gain (loss) on investments | (8,156,253) | (3,693,693) | (2,290,061) | (10,330,171) | (34,614,714) |
| Accumulated net unrealized appreciation | | | | | |
| (depreciation) on investments | 221,537,190 | 12,930,473 | 12,052,645 | — | 208,971,545 |
| Accumulated net unrealized appreciation | | | | | |
| (depreciation) on investments | | | | | |
| and options transactions | — | — | — | 37,326,623 | — |
| Net Assets ($) | 1,058,144,115 | 135,695,859 | 100,508,775 | 435,487,170 | 1,310,178,227 |
| Net Asset Value Per Share | | | | | |
| Class M Shares | | | | | |
| Net Assets ($) | 1,044,941,692 | 135,683,729 | 100,496,602 | 433,997,384 | 1,282,444,984 |
| Shares Outstanding | 116,861,564 | 11,289,702 | 8,208,544 | 62,740,247 | 107,057,157 |
| Net Asset Value Per Share ($) | 8.94 | 12.02 | 12.24 | 6.92 | 11.98 |
| Investor Shares | | | | | |
| Net Assets ($) | 13,202,423 | 12,130 | 12,173 | 1,489,786 | 27,384,016 |
| Shares Outstanding | 1,475,603 | 1,000 | 1,000 | 213,644 | 2,308,605 |
| Net Asset Value Per Share ($) | 8.95 | 12.13 | 12.17 | 6.97 | 11.86 |
| Dreyfus Premier Shares | | | | | |
| Net Assets ($) | — | — | — | — | 349,227 |
| Shares Outstanding | — | — | — | — | 31,685 |
| Net Asset Value Per Share ($) | — | — | — | — | 11.02 |
| † Investments at cost ($): | | | | | |
| Unaffiliated issuers | 836,002,576 | 103,584,127 | 78,099,880 | 387,328,831 | 1,105,870,092 |
| Affiliated issuers | 16,860,296 | 18,616,829 | 9,967,577 | 28,218,673 | 35,421,841 |
| ††Value of securities on loan ($) | 492,595 | — | — | 17,374,719 | 26,950,437 |
| |
| See notes to financial statements. | | | | | |
86
| | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | |
| | Small Cap | U.S. Core Equity | Focused Equity | BNY Mellon |
| | Stock Fund | 130/30Fund | Opportunities Fund | Small/Mid Cap Fund |
| Assets ($): | | | | |
| Investments in securities— | | | | |
| See Statement of Investments† | | | | |
| (including securities on loan)††—Note 2(b): | | | | |
| Unaffiliated issuers | 313,483,168 | 362,077,190 | 450,232,513 | 508,994,671 |
| Affiliated issuers | 29,928,980 | — | 4,400,589 | 65,239,831 |
| Cash | 184,536 | — | 251,495 | 733,496 |
| Dividends and securities lending income receivable | 164,625 | — | — | 444,110 |
| Receivable for shares of Beneficial Interest subscribed | 4,678 | 25,834 | 265,235 | 727,711 |
| Receivable from brokers for | | | | |
| proceeds on securities sold short | — | 6,153,426 | — | — |
| Receivable for investment securities sold | — | 5,347,709 | — | 327,515 |
| Dividends receivable | — | 646,214 | 537,465 | — |
| Prepaid expenses | 13,417 | 12,096 | 16,805 | 16,747 |
| | 343,779,404 | 374,262,469 | 455,704,102 | 576,484,081 |
| Liabilities ($): | | | | |
| Due to The Dreyfus Corporation | | | | |
| and affiliates—Note 4(c) | 246,473 | 205,188 | 262,464 | 327,421 |
| Due to Administrator—Note 4(a) | 31,890 | 29,018 | 43,746 | 50,895 |
| Cash overdraft due to Custodian | — | 571,756 | — | — |
| Liability for securities on loan—Note 2(b) | 24,129,197 | — | — | 56,061,796 |
| Payable for shares of Beneficial Interest redeemed | 642,442 | 419,621 | 379,232 | 443,824 |
| Securities sold short, at value | | | | |
| (proceeds $72,698,252)—See | | | | |
| Statement of Securities Sold Short | — | 73,425,293 | — | — |
| Payable for investment securities purchased | — | 10,624,613 | — | 569,526 |
| Dividends payable on securities sold short | — | 185,161 | — | — |
| Due to Broker | — | 55,764 | — | — |
| Interest payable—Note 3 | — | 2,771 | — | — |
| Accrued expenses | 36,544 | 24,092 | 30,159 | 43,766 |
| | 25,086,546 | 85,543,277 | 715,601 | 57,497,228 |
| Net Assets ($) | 318,692,858 | 288,719,192 | 454,988,501 | 518,986,853 |
STATEMENTS OF ASSETS AND LIABILITIES (continued)
| | | | | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | |
| | Small Cap | U.S. Core Equity | Focused Equity | BNY Mellon |
| | Stock Fund | 130/30Fund | Opportunities Fund | Small/Mid Cap Fund |
| Composition of Net Assets ($): | | | | |
| Paid-in capital | 381,435,820 | 311,710,541 | 402,759,628 | 489,061,508 |
| Accumulated undistributed (distributions | | | | |
| in excess of) investment income—net | 491,497 | (3,107) | 814,627 | (5,200,021) |
| Accumulated net realized gain (loss) on investments | (95,993,336) | (73,375,566) | (21,077,845) | (31,890,169) |
| Accumulated net unrealized appreciation | | | | |
| (depreciation) on investments | 32,758,877 | — | 72,492,091 | 67,015,535 |
| Accumulated net unrealized appreciation | | | | |
| (depreciation) on investments and | | | | |
| securities sold short | — | 50,387,324 | — | — |
| Net Assets ($) | 318,692,858 | 288,719,192 | 454,988,501 | 518,986,853 |
| Net Asset Value Per Share | | | | |
| Class M Shares | | | | |
| Net Assets ($) | 311,930,656 | 288,582,599 | 454,934,386 | 518,371,961 |
| Shares Outstanding | 27,204,855 | 24,564,147 | 35,156,298 | 38,378,124 |
| Net Asset Value Per Share ($) | 11.47 | 11.75 | 12.94 | 13.51 |
| Investor Shares | | | | |
| Net Assets ($) | 6,762,202 | 136,593 | 54,115 | 614,892 |
| Shares Outstanding | 605,967 | 11,672 | 4,186 | 45,668 |
| Net Asset Value Per Share ($) | 11.16 | 11.70 | 12.93 | 13.46 |
| † Investments at cost ($): | | | | |
| Unaffiliated issuers | 280,724,291 | 310,962,825 | 377,740,422 | 441,979,136 |
| Affiliated issuers | 29,928,980 | — | 4,400,589 | 65,239,831 |
| ††Value of securities on loan ($) | 22,731,268 | — | — | 52,016,994 |
| |
| See notes to financial statements. | | | | |
88
| | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | International | Emerging | International | International | Asset Allocation |
| | Fund | Markets Fund | Appreciation Fund | Equity Income Fund | Fund |
| Assets ($): | | | | | |
| Investments in securities— | | | | | |
| See Statement of Investments† | | | | | |
| (including securities on loan)††—Note 2(b): | | | | | |
| Unaffiliated issuers | 745,589,392 | 2,254,296,191 | 163,587,915 | 52,524,020 | 156,869,923 |
| Affiliated issuers | 11,410,208 | 73,395,522 | 1,296,943 | 1,431,517 | 243,186,555 |
| Cash | 221,042 | 7,246,301 | 14,101 | 971,700 | 59,370 |
| Cash denominated in foreign currencies††† | 1,674,491 | 9,139,103 | — | 687,566 | — |
| Receivable for investment securities sold | 3,327,172 | 6,696,389 | 70,685 | — | 1,858,853 |
| Dividends receivable | 2,815,206 | 3,049,371 | 518,745 | 159,274 | — |
| Receivable for shares of | | | | | |
| Beneficial Interest subscribed | 37,690 | 2,421,260 | — | 1,257,500 | 551,250 |
| Unrealized appreciation on forward foreign | | | | | |
| currency exchange contracts—Note 5 | 1,242 | 41,152 | 7,042 | 3,548 | — |
| Dividends, interest and securities | | | | | |
| lending income receivable | — | — | — | — | 735,250 |
| Prepaid expenses and other assets | 15,195 | 24,831 | 470,430 | 75,355 | 7,700 |
| | 765,091,638 | 2,356,310,120 | 165,965,861 | 57,110,480 | 403,268,901 |
| Liabilities ($): | | | | | |
| Due to The Dreyfus Corporation | | | | | |
| and affiliates—Note 4(c) | 674,470 | 2,952,134 | 75,184 | 22,569 | 66,987 |
| Due to Administrator—Note 4(a) | 74,533 | 220,370 | 16,152 | 4,114 | 12,836 |
| Payable for investment securities purchased | 1,181,997 | 27,684,654 | 33,809 | 3,364,309 | 5,914,175 |
| Payable for shares of | | | | | |
| Beneficial Interest redeemed | 848,433 | 421,013 | 227,252 | 6,261 | 343,195 |
| Unrealized depreciation on forward foreign | | | | | |
| currency exchange contracts—Note 5 | 8,790 | 63,061 | 31,720 | — | — |
| Payable for futures variation margin—Note 5 | — | — | 12,083 | — | — |
| Liability for securities on loan—Note 2(b) | — | — | — | — | 1,742,867 |
| Accrued expenses | 56,057 | 71,828 | 65,880 | 21,444 | 28,168 |
| | 2,844,280 | 31,413,060 | 462,080 | 3,418,697 | 8,108,228 |
| Net Assets ($) | 762,247,358 | 2,324,897,060 | 165,503,781 | 53,691,783 | 395,160,673 |
STATEMENTS OF ASSETS AND LIABILITIES (continued)
| | | | | | | | | | | |
| | | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | | International | Emerging | International | International | Asset Allocation |
| | | Fund | Markets Fund | Appreciation Fund | Equity Income Fund | Fund |
| Composition of Net Assets ($): | | | | | |
| Paid-in capital | 1,462,331,872 | 2,309,681,260 | 241,313,625 | 50,687,201 | 358,520,322 |
| Accumulated undistributed (distributions in | | | | | |
| excess of) investment income—net | 2,307,391 | (3,752,811) | 470,019 | 114,189 | 1,137,164 |
| Accumulated net realized | | | | | |
| gain (loss) on investments | (628,690,581) | (141,550,672) | (31,290,723) | (29,423) | (1,569,738) |
| Accumulated net unrealized appreciation | | | | | |
| (depreciation) on investments and foreign | | | | | |
| currency transactions (including $27,000 | | | | | |
| net unrealized appreciation on financial | | | | | |
| futures for BNY Mellon International | | | | | |
| Appreciation Fund) | (73,701,324) | 160,519,283 | (44,989,140) | 2,919,816 | — |
| Accumulated net unrealized appreciation | | | | | |
| (depreciation) on investments | — | — | — | — | 37,072,925 |
| Net Assets ($) | 762,247,358 | 2,324,897,060 | 165,503,781 | 53,691,783 | 395,160,673 |
| Net Asset Value Per Share | | | | | |
| Class M Shares | | | | | |
| Net Assets ($) | 757,473,339 | 2,302,060,536 | 161,047,133 | 53,680,672 | 389,677,312 |
| Shares Outstanding | 77,451,037 | 218,543,995 | 14,275,481 | 3,863,528 | 35,297,675 |
| Net Asset Value Per Share ($) | 9.78 | 10.53 | 11.28 | 13.89 | 11.04 |
| Investor Shares | | | | | |
| Net Assets ($) | 4,774,019 | 22,836,524 | 4,456,648 | 11,111 | 5,483,361 |
| Shares Outstanding | 460,099 | 2,113,327 | 398,853 | 800 | 493,920 |
| Net Asset Value Per Share ($) | 10.38 | 10.81 | 11.17 | 13.89 | 11.10 |
| † | Investments at cost ($): | | | | | |
| | Unaffiliated issuers | 819,282,990 | 2,093,979,612 | 208,579,377 | 49,600,536 | 139,226,848 |
| | Affiliated issuers | 11,410,208 | 73,395,522 | 1,296,943 | 1,431,517 | 223,756,705 |
| †† | Value of securities on loan ($) | — | — | — | — | 15,011,754 |
| ††† | Cash denominated in foreign | | | | | |
| | currencies (cost) ($) | 1,663,428 | 9,004,016 | — | 685,202 | — |
| |
| See notes to financial statements. | | | | | |
90
STATEMENTS OF OPERATIONS
Six Months Ended February 29, 2012 (Unaudited)
| | | | | | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | Large Cap | Large Cap Market | Tax-Sensitive Large Cap | Income | Mid Cap |
| | Stock Fund | Opportunities Fund | Multi-Strategy Fund | Stock Fund | Stock Fund |
| Investment Income ($): | | | | | |
| Income: | | | | | |
| Cash dividends (net of $27,977 foreign | | | | | |
| taxes withheld at source for | | | | | |
| BNY Mellon Large Cap Stock Fund): | | | | | |
| Unaffiliated issuers | 8,872,816 | 709,724 | 677,865 | 5,979,510 | 5,484,775 |
| Affiliated issuers | 1,366 | 142,784 | 51,996 | 2,190 | 3,314 |
| Income from securities lending—Note 2(b) | 39,457 | — | — | 21,375 | 50,350 |
| Total Income | 8,913,639 | 852,508 | 729,861 | 6,003,075 | 5,538,439 |
| Expenses: | | | | | |
| Investment advisory fees—Note 4(a) | 3,336,271 | 362,760 | 272,874 | 997,806 | 4,613,506 |
| Administration fees—Note 4(a) | 640,309 | 61,007 | 46,949 | 191,406 | 767,333 |
| Trustees’ fees and expenses—Note 4(d) | 53,343 | 4,767 | 2,250 | 11,250 | 37,680 |
| Custodian fees—Note 4(c) | 38,662 | 14,962 | 33,357 | 8,806 | 38,860 |
| Shareholder servicing costs—Note 4(c) | 15,681 | 116 | 36 | 1,588 | 35,911 |
| Auditing fees | 15,226 | 9,274 | 9,274 | 14,286 | 14,986 |
| Registration fees | 13,788 | 14,389 | 15,751 | 13,358 | 19,790 |
| Legal fees | 8,993 | 1,798 | 576 | 3,018 | 13,153 |
| Interest expense—Note 3 | 7,727 | — | — | — | 647 |
| Loan commitment fees—Note 3 | 6,380 | 703 | 574 | 2,174 | 7,484 |
| Prospectus and shareholders’ reports | 2,733 | 4,341 | 4,676 | 3,723 | 9,680 |
| Distribution fees—Note 4(b) | — | — | — | — | 1,410 |
| Miscellaneous | 14,604 | 7,981 | 7,496 | 9,563 | 13,963 |
| Total Expenses | 4,153,717 | 482,098 | 393,813 | 1,256,978 | 5,574,403 |
| Less—reduction in fees due to | | | | | |
| earnings credits—Note 4(c) | (1) | — | — | — | (24) |
| Net Expenses | 4,153,716 | 482,098 | 393,813 | 1,256,978 | 5,574,379 |
| Investment Income (loss)—Net | 4,759,923 | 370,410 | 336,048 | 4,746,097 | (35,940) |
| Realized and Unrealized Gain (Loss) | | | | | |
| on Investments—Note 5 ($): | | | | | |
| Net realized gain (loss) on investments: | | | | | |
| Unaffiliated issuers | 19,953,437 | (1,460,403) | (1,272,024) | 3,939,666 | (40,229,778) |
| Affiliated issuers | — | (1,638,292) | (444,487) | — | — |
| Net realized gain (loss) on options transactions | — | — | — | 71,468 | — |
| Net Realized Gain (Loss) | 19,953,437 | (3,098,695) | (1,716,511) | 4,011,134 | (40,229,778) |
| Net unrealized appreciation | | | | | |
| (depreciation) on investments: | | | | | |
| Unaffiliated issuers | 74,127,495 | 11,884,021 | 9,625,875 | 31,334,344 | 141,532,956 |
| Affiliated issuers | — | 3,521,878 | 1,336,206 | — | — |
| Net unrealized appreciation | | | | | |
| (depreciation) on options transactions | — | — | — | 114,176 | — |
| Net Unrealized Appreciation (Depreciation) | 74,127,495 | 15,405,899 | 10,962,081 | 31,448,520 | 141,532,956 |
| Net Realized and Unrealized | | | | | |
| Gain (Loss) on Investments | 94,080,932 | 12,307,204 | 9,245,570 | 35,459,654 | 101,303,178 |
| Net Increase in Net Assets | | | | | |
| Resulting from Operations | 98,840,855 | 12,677,614 | 9,581,618 | 40,205,751 | 101,267,238 |
See notes to financial statements.
STATEMENTS OF OPERATIONS (Unaudited) (continued)
| | | | | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | |
| | Small Cap | U.S. Core Equity | Focused Equity | BNY Mellon |
| | Stock Fund | 130/30Fund | Opportunities Fund | Small/Mid Cap Fund |
| Investment Income ($): | | | | |
| Income: | | | | |
| Cash dividends (net of $2,069, $9,167, and $27,332 | | | | |
| foreign taxes withheld at source for BNY Mellon | | | | |
| Small Cap Stock Fund, BNY Mellon U.S. Core Equity | | | | |
| 130/30 Fund and BNY Mellon Small/Mid Cap | | | | |
| Fund, respectively): | | | | |
| Unaffiliated issuers | 1,453,187 | 3,286,618 | 2,834,899 | 1,763,834 |
| Affiliated issuers | 1,203 | 309 | 834 | 3,617 |
| Income from securities lending—Note 2(b) | 179,259 | — | 818 | 1,856,399 |
| Total Income | 1,633,649 | 3,286,927 | 2,836,551 | 3,623,850 |
| Expenses: | | | | |
| Investment advisory fees—Note 4(a) | 1,342,068 | 1,240,845 | 1,442,281 | 1,834,837 |
| Administration fees—Note 4(a) | 196,967 | 193,517 | 257,015 | 305,183 |
| Custodian fees—Note 4(c) | 27,861 | 24,627 | 21,246 | 20,869 |
| Auditing fees | 14,764 | 13,674 | 15,539 | 14,093 |
| Registration fees | 14,323 | 16,681 | 18,391 | 17,837 |
| Trustees’ fees and expenses—Note 4(d) | 13,282 | 13,119 | 19,154 | 21,483 |
| Shareholder servicing costs—Note 4(c) | 9,505 | 775 | 299 | 535 |
| Prospectus and shareholders’ reports | 4,928 | 2,803 | 4,272 | 5,750 |
| Legal fees | 4,654 | 4,357 | 3,423 | 5,946 |
| Loan commitment fees—Note 3 | 3,300 | 2,441 | 3,759 | 5,781 |
| Interest expense—Note 3 | 1,360 | 8,308 | 2,221 | 205 |
| Dividends on securities sold short | — | 714,927 | — | — |
| Interest on securities sold short | — | 354,671 | — | — |
| Miscellaneous | — | 7,134 | 9,283 | 11,688 |
| Total Expenses | 1,633,012 | 2,597,879 | 1,796,883 | 2,244,207 |
| Less—reduction in fees due to | | | | |
| earnings credits—Note 4(c) | (6) | — | — | — |
| Net Expenses | 1,633,006 | 2,597,879 | 1,796,883 | 2,244,207 |
| Investment Income—Net | 643 | 689,048 | 1,039,668 | 1,379,643 |
| Realized and Unrealized Gain (Loss) | | | | |
| on Investments—Note 5 ($): | | | | |
| Net realized gain (loss) on investments | (19,412,068) | (12,002,099) | (20,218,798) | (23,577,645) |
| Net realized gain (loss) on short sale transactions | — | (1,062,663) | — | — |
| Net realized gain (loss) on options transactions | — | — | (41,202) | — |
| Net Realized Gain (Loss) | (19,412,068) | (13,064,762) | (20,260,000) | (23,577,645) |
| Net unrealized appreciation | | | | |
| (depreciation) on investments | 46,005,698 | 45,103,329 | 49,164,713 | 40,987,781 |
| Net unrealized appreciation | | | | |
| (depreciation) on securities sold short | — | (6,650,110) | — | — |
| Net Unrealized Appreciation (Depreciation) | 46,005,698 | 38,453,219 | 49,164,713 | 40,987,781 |
| Net Realized and Unrealized | | | | |
| Gain (Loss) on Investments | 26,593,630 | 25,388,457 | 28,904,713 | 17,410,136 |
| Net Increase in Net Assets | | | | |
| Resulting from Operations | 26,594,273 | 26,077,505 | 29,944,381 | 18,789,779 |
| |
| See notes to financial statements. | | | | |
92
| | | | | | | | | | |
| | | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | BNY Mellon | Emerging | International | International | Asset Allocation |
| | International Fund | Markets Fund | Appreciation Fund | Equity Income Funda | Fund |
| Investment Income ($): | | | | | |
| Income: | | | | | |
| Cash dividends (net of $569,744, $1,180,665, | | | | | |
| $137,726, $4,142 and $1,604 foreign taxes | | | | | |
| withheld at source for BNY Mellon International | | | | | |
| Fund, BNY Mellon Emerging Markets Fund, | | | | | |
| BNY Mellon International Appreciation Fund, | | | | | |
| BNY Mellon International Equity Income Fund | | | | | |
| and BNY Mellon Asset Allocation | | | | | |
| Fund, respectively): | | | | | |
| Unaffiliated issuers | 8,109,238 | 15,253,384 | 2,137,533 | 177,708 | 705,276 |
| Affiliated issuers | 2,979 | 7,804 | 335 | 409 | 2,264,415 |
| Interest | — | 12,726 | — | 79 | 1,317,465 |
| Income from securities lending—Note 2(b) | — | — | — | — | 7,160 |
| Total Income | 8,112,217 | 15,273,914 | 2,137,868 | 178,196 | 4,294,316 |
| Expenses: | | | | | |
| Investment advisory fees—Note 4(a) | 3,241,874 | 12,054,737 | 430,849 | 45,334 | 522,282 |
| Administration fees—Note 4(a) | 475,821 | 1,307,600 | 107,510 | 6,623 | 86,180 |
| Custodian fees—Note 4(c) | 157,687 | 1,209,962 | 36,369 | 7,500 | 14,857 |
| Trustees’ fees and expenses—Note 4(d) | 27,619 | 88,973 | 7,812 | 133 | 13,159 |
| Registration fees | 11,883 | 14,212 | 14,954 | 14,772 | 3,588 |
| Auditing fees | 11,109 | 18,217 | 17,024 | 22,460 | 16,135 |
| Shareholder servicing costs—Note 4(c) | 7,596 | 26,543 | 5,072 | 11 | 5,668 |
| Interest expense—Note 3 | 7,423 | 22,289 | 339 | — | — |
| Loan commitment fees—Note 3 | 4,284 | 15,345 | 1,226 | — | 1,603 |
| Prospectus and shareholders’ reports | 1,814 | 5,094 | 3,643 | 401 | 12,649 |
| Legal fees | 1,000 | 28,353 | 1,824 | 14,896 | 4,627 |
| Miscellaneous | 18,401 | 53,762 | 61,515 | 5,602 | 17,458 |
| Total Expenses | 3,966,511 | 14,845,087 | 688,137 | 117,732 | 698,206 |
| Less—reduction in investment advisory fee | | | | | |
| due to undertaking—Note 4(a) | — | — | — | (53,725) | (134,156) |
| Less—reduction in fees due to | | | | | |
| earnings credits—Note 4(c) | (2) | (4) | (3) | — | — |
| Net Expenses | 3,966,509 | 14,845,083 | 688,134 | 64,007 | 564,050 |
| Investment Income—Net | 4,145,708 | 428,831 | 1,449,734 | 114,189 | 3,730,266 |
STATEMENTS OF OPERATIONS (Unaudited) (continued)
| | | | | | | | | | |
| | | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | BNY Mellon | Emerging | International | International | Asset Allocation |
| | International Fund | Markets Fund | Appreciation Fund | Equity Income Funda | Fund |
| |
| Realized and Unrealized Gain (Loss) | | | | | |
| on Investments—Note 5 ($): | | | | | |
| Net realized gain (loss) on investments | | | | | |
| and foreign currency transactions | (24,475,451) | (106,266,242) | (14,675,632) | (62,140) | — |
| Net realized gain (loss) on forward | | | | | |
| foreign currency exchange contracts | 178,732 | (1,047,397) | (112,165) | 32,717 | — |
| Net realized gain (loss) on financial futures | — | — | 63,964 | — | — |
| Net realized gain (loss) on investments: | | | | | |
| Unaffiliated issuers | — | — | — | — | 6,934,698 |
| Affiliated issuers | — | — | — | — | (10,518,358) |
| Capital gain distributions | | | | | |
| from affiliated issuers | — | — | — | — | 2,925,192 |
| Net Realized Gain (Loss) | (24,296,719) | (107,313,639) | (14,723,833) | (29,423) | (658,468) |
| Net unrealized appreciation (depreciation) | | | | | |
| on investments and foreign | | | | | |
| currency transactions | 24,981,696 | 156,994,176 | 16,390,249 | 2,916,268 | — |
| Net unrealized appreciation (depreciation) | | | | | |
| on forward foreign currency | | | | | |
| exchange contracts | (6,811) | (50,646) | (44,559) | 3,548 | — |
| Net unrealized appreciation | | | | | |
| (depreciation) on financial futures | — | — | 64,591 | — | — |
| Net unrealized appreciation | | | | | |
| (depreciation) on investments: | | | | | |
| Unaffiliated issuers | — | — | — | — | (1,857,668) |
| Affiliated issuers | — | — | — | — | 20,440,744 |
| Net Unrealized Appreciation (Depreciation) | 24,974,885 | 156,943,530 | 16,410,281 | 2,919,816 | 18,583,076 |
| Net Realized and Unrealized | | | | | |
| Gain (Loss) on Investments | 678,166 | 49,629,891 | 1,686,448 | 2,890,393 | 17,924,608 |
| Net Increase in Net Assets | | | | | |
| Resulting from Operations | 4,823,874 | 50,058,722 | 3,136,182 | 3,004,582 | 21,654,874 |
| |
| a From December 15, 2011 (commencement of operations) to February 29, 2012. | | | | |
| See notes to financial statements. | | | | | |
94
STATEMENT OF CASH FLOWS
Six Months Ended February 29, 2012 (Unaudited)
| | | | |
| BNY Mellon U.S. Core Equity 130/30 Fund | | | |
| Cash Flows from Operating Activities ($): | | | |
| Purchases of portfolio securities | (269,066,516 | ) | |
| Proceeds from sales of portfolio securities | 343,575,433 | | |
| Purchases from securities sold short | (13,147,733 | ) | |
| Net sale of short—term portfolio securities | 786,000 | | |
| Dividends received | 3,615,262 | | |
| Interest and dividends paid | (1,093,281 | ) | |
| Operating expenses paid | (301,227 | ) | |
| Paid to The Dreyfus Corporation | (1,268,212 | ) | 63,099,726 |
| Cash Flows from Financing Activites ($): | | | |
| Net Beneficial Interest transactions | | | (63,286,231) |
| Dividends paid | | | (1,699,019) |
| Cash at beginning of period | | | 1,313,768 |
| Cash at end of period | | | (571,756) |
| Reconciliation of Net Increase in Net Assets Resulting from | | | |
| Operations to Net Cash Used by Operating Activities ($): | | | |
| Net Increase in Net Assets Resulting from Operations | | | 26,077,505 |
| Adjustments to reconcile net increase in net assets resulting | | | |
| from operations to net cash used by operating activities ($): | | | |
| Purchases of portfolio securities | | | (269,066,516) |
| Proceeds from sales of portfolio securities | | | 343,575,433 |
| Purchases from securities sold short | | | (13,147,733) |
| Net sale of short—term portfolio securities | | | 786,000 |
| Decrease in interest and dividends payable on | | | |
| securities sold short and loan commitment fees | | | (12,934) |
| Decrease in accrued operating expenses | | | (33,613) |
| Increase in prepaid expenses | | | 9,073 |
| Decrease in Due from The Dreyfus Corporation | | | (27,367) |
| Net realized loss on investments | | | 13,064,762 |
| Net unrealized appreciation on investments | | | (38,453,219) |
| Increase in dividends and income receivable | | | 328,335 |
| Net Cash Used by Operating Activities | | | 63,099,726 |
| |
| See notes to financial statements. | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | | BNY Mellon Large Cap |
| | BNY Mellon Large Cap Stock Fund | Market Opportunities Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 4,759,923 | 12,919,768 | 370,410 | 152,877 |
| Net realized gain (loss) on investments | 19,953,437 | 163,670,036 | (3,098,695) | (487,853) |
| Net unrealized appreciation (depreciation) on investments | 74,127,495 | 21,118,761 | 15,405,899 | (2,308,089) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 98,840,855 | 197,708,565 | 12,677,614 | (2,643,065) |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (4,797,711) | (13,063,004) | (385,166) | (75,193) |
| Investor Shares | (44,871) | (228,248) | — | (7) |
| Net realized gain on investments: | | | | |
| Class M Shares | — | — | — | (107,832) |
| Investor Shares | — | — | — | (26) |
| Total Dividends | (4,842,582) | (13,291,252) | (385,166) | (183,058) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 23,988,257 | 120,134,622 | 39,442,980 | 136,856,625 |
| Investor Shares | 4,443,127 | 39,843,670 | 292,630 | — |
| Dividends reinvested: | | | | |
| Class M Shares | 634,329 | 1,798,959 | 50,769 | 88,903 |
| Investor Shares | 36,980 | 211,866 | — | — |
| Cost of shares redeemed: | | | | |
| Class M Shares | (165,584,357) | (386,382,886) | (34,109,072) | (21,197,774) |
| Investor Shares | (5,396,019) | (39,707,910) | (279,203) | — |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (141,877,683) | (264,101,679) | 5,398,104 | 115,747,754 |
| Total Increase (Decrease) in Net Assets | (47,879,410) | (79,684,366) | 17,690,552 | 112,921,631 |
| Net Assets ($): | | | | |
| Beginning of Period | 1,106,023,525 | 1,185,707,891 | 118,005,307 | 5,083,676 |
| End of Period | 1,058,144,115 | 1,106,023,525 | 135,695,859 | 118,005,307 |
| Undistributed investment income—net | 40,810 | 123,469 | 65,481 | 80,237 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 2,930,611 | 13,972,431 | 3,608,346 | 12,030,294 |
| Shares issued for dividends reinvested | 77,338 | 207,884 | 4,701 | 7,791 |
| Shares redeemed | (20,383,878) | (44,593,462) | (3,052,778) | (1,844,101) |
| Net Increase (Decrease) in Shares Outstanding | (17,375,929) | (30,413,147) | 560,269 | 10,193,984 |
| Investor Shares | | | | |
| Shares sold | 537,601 | 4,923,057 | 26,288 | — |
| Shares issued for dividends reinvested | 4,468 | 24,656 | — | — |
| Shares redeemed | (660,405) | (4,397,230) | (26,288) | — |
| Net Increase (Decrease) in Shares Outstanding | (118,336) | 550,483 | — | — |
| |
| See notes to financial statements. | | | | |
96
| | | | | | | | |
| | BNY Mellon Tax- Sensitive | | |
| | Large Cap Multi-Strategy Fund | BNY Mellon Income Stock Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 336,048 | 253,540 | 4,746,097 | 3,063,131 |
| Net realized gain (loss) on investments | (1,716,511) | (478,840) | 4,011,134 | 12,878,401 |
| Net unrealized appreciation (depreciation) on investments | 10,962,081 | 1,375,784 | 31,448,520 | 741,798 |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 9,581,618 | 1,150,484 | 40,205,751 | 16,683,330 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (415,070) | (89,598) | (4,340,253) | (3,079,872) |
| Investor Shares | — | (265) | (16,464) | (24,812) |
| Net realized gain on investments: | | | | |
| Class M Shares | — | (96,101) | — | — |
| Investor Shares | — | (405) | — | — |
| Total Dividends | (415,070) | (186,369) | (4,356,717) | (3,104,684) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 29,341,265 | 79,366,131 | 226,916,510 | 140,640,067 |
| Investor Shares | 19,269 | 145,000 | 656,865 | 346,200 |
| Dividends reinvested: | | | | |
| Class M Shares | 36,517 | 75,037 | 636,152 | 356,226 |
| Investor Shares | — | — | 15,402 | 22,150 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (13,372,473) | (15,412,029) | (34,063,570) | (40,276,849) |
| Investor Shares | (19,822) | (146,852) | (364,685) | (457,707) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | 16,004,756 | 64,027,287 | 193,796,674 | 100,630,087 |
| Total Increase (Decrease) in Net Assets | 25,171,304 | 64,991,402 | 229,645,708 | 114,208,733 |
| Net Assets ($): | | | | |
| Beginning of Period | 75,337,471 | 10,346,069 | 205,841,462 | 91,632,729 |
| End of Period | 100,508,775 | 75,337,471 | 435,487,170 | 205,841,462 |
| Undistributed investment income—net | 88,376 | 167,398 | 474,327 | 84,947 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 2,627,542 | 7,002,957 | 35,297,709 | 22,303,229 |
| Shares issued for dividends reinvested | 3,314 | 6,519 | 99,034 | 54,463 |
| Shares redeemed | (1,184,189) | (1,333,175) | (5,267,883) | (6,258,300) |
| Net Increase (Decrease) in Shares Outstanding | 1,446,667 | 5,676,301 | 30,128,860 | 16,099,392 |
| Investor Shares | | | | |
| Shares sold | 1,783 | 14,244 | 98,332 | 53,075 |
| Shares issued for dividends reinvested | — | — | 2,401 | 3,360 |
| Shares redeemed | (1,783) | (14,244) | (53,897) | (68,026) |
| Net Increase (Decrease) in Shares Outstanding | — | — | 46,836 | (11,591) |
| |
| See notes to financial statements. | | | | |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| | | | | | | | |
| | BNY Mellon Mid Cap Stock Fund | BNY Mellon Small Cap Stock Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income (loss)—net | (35,940) | (216,983) | 643 | (729,341) |
| Net realized gain (loss) on investments | (40,229,778) | 256,166,734 | (19,412,068) | 102,587,344 |
| Net unrealized appreciation (depreciation) on investments | 141,532,956 | 12,513,235 | 46,005,698 | (10,074,115) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 101,267,238 | 268,462,986 | 26,594,273 | 91,783,888 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (4,780,233) | (358,451) | (8,513,456) | — |
| Investor Shares | (42,885) | — | (184,661) | — |
| Net realized gain on investments: | | | | |
| Class M Shares | (35,311,699) | — | — | — |
| Investor Shares | (818,540) | — | — | — |
| Dreyfus Premier Shares | (12,100) | — | — | — |
| Total Dividends | (40,965,457) | (358,451) | (8,698,117) | — |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 61,774,569 | 174,144,431 | 7,898,302 | 33,278,117 |
| Investor Shares | 6,219,471 | 18,040,505 | 1,312,960 | 4,418,630 |
| Dreyfus Premier Shares | 99 | — | — | — |
| Dividends reinvested: | | | | |
| Class M Shares | 22,249,585 | 77,865 | 1,662,439 | — |
| Investor Shares | 724,845 | — | 166,679 | — |
| Dreyfus Premier Shares | 5,005 | — | — | — |
| Cost of shares redeemed: | | | | |
| Class M Shares | (141,411,797) | (320,363,965) | (66,308,895) | (185,736,261) |
| Investor Shares | (8,855,241) | (14,671,888) | (2,871,608) | (3,653,353) |
| Dreyfus Premier Shares | (106,015) | (220,873) | — | — |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (59,399,479) | (142,993,925) | (58,140,123) | (151,692,867) |
| Total Increase (Decrease) in Net Assets | 902,302 | 125,110,610 | (40,243,967) | (59,908,979) |
| Net Assets ($): | | | | |
| Beginning of Period | 1,309,275,925 | 1,184,165,315 | 358,936,825 | 418,845,804 |
| End of Period | 1,310,178,227 | 1,309,275,925 | 318,692,858 | 358,936,825 |
| Undistributed (distributions in excess of) | | | | |
| investment income—net | (4,004,791) | 854,267 | 491,497 | 9,188,971 |
98
| | | | | | | | |
| | BNY Mellon Mid Cap Stock Fund | BNY Mellon Small Cap Stock Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Capital Share Transactions: | | | | |
| Class M Shares | | | | |
| Shares sold | 5,498,014 | 14,184,799 | 748,257 | 2,854,251 |
| Shares issued for dividends reinvested | 2,065,885 | 6,510 | 158,177 | — |
| Shares redeemed | (12,758,510) | (26,788,259) | (6,276,036) | (16,462,903) |
| Net Increase (Decrease) in Shares Outstanding | (5,194,611) | (12,596,950) | (5,369,602) | (13,608,652) |
| Investor Sharesa | | | | |
| Shares sold | 559,750 | 1,472,070 | 128,057 | 388,679 |
| Shares issued for dividends reinvested | 67,933 | — | 16,293 | — |
| Shares redeemed | (808,363) | (1,227,310) | (283,691) | (334,224) |
| Net Increase (Decrease) in Shares Outstanding | (180,680) | 244,760 | (139,341) | 54,455 |
| Dreyfus Premier Sharesa | | | | |
| Shares sold | 10 | — | — | — |
| Shares issued for dividends reinvested | 504 | — | — | — |
| Shares redeemed | (10,235) | (19,199) | — | — |
| Net Increase (Decrease) in Shares Outstanding | (9,721) | (19,199) | — | — |
|
| a During the period ended February 29, 2012, 2,393 Dreyfus Premier shares of BNY Mellon Mid Cap Stock Fund representing $24,734 were automatically converted to 2,228 |
| Investor shares and during the period ended August 31, 2011, 9,365 Dreyfus Premier shares of BNY Mellon Mid Cap Stock Fund representing $107,544 were automatically |
| converted to 8,776 Investor shares. |
See notes to financial statements.
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| | | | | | | | |
| | | | BNY Mellon Focused |
| | BNY Mellon U.S. Core Equity 130/30 Fund | Equity Opportunities Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 689,048 | 1,569,239 | 1,039,668 | 1,102,018 |
| Net realized gain (loss) on investments | (13,064,762) | (392,557) | (20,260,000) | 4,548,367 |
| Net unrealized appreciation (depreciation) on investments | 38,453,219 | 6,873,157 | 49,164,713 | 34,418,702 |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 26,077,505 | 8,049,839 | 29,944,381 | 40,069,087 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (1,698,931) | (1,000,193) | (648,379) | (1,301,814) |
| Investor Shares | (88) | (493) | (353) | (30) |
| Net realized gain on investments: | | | | |
| Class M Shares | — | — | (904,880) | — |
| Investor Shares | — | — | (934) | — |
| Total Dividends | (1,699,019) | (1,000,686) | (1,554,546) | (1,301,844) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 36,617,904 | 190,055,378 | 70,255,241 | 225,547,506 |
| Investor Shares | 2,981,166 | 798,035 | 689,957 | 202,819 |
| Dividends reinvested: | | | | |
| Class M Shares | 516,211 | 244,480 | 762,262 | 204,553 |
| Investor Shares | 55 | 459 | 948 | 30 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (100,580,013) | (55,715,743) | (69,472,024) | (77,836,582) |
| Investor Shares | (3,162,313) | (609,123) | (679,388) | (188,137) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (63,626,990) | 134,773,486 | 1,556,996 | 147,930,189 |
| Total Increase (Decrease) in Net Assets | (39,248,504) | 141,822,639 | 29,946,831 | 186,697,432 |
| Net Assets ($): | | | | |
| Beginning of Period | 327,967,696 | 186,145,057 | 425,041,670 | 238,344,238 |
| End of Period | 288,719,192 | 327,967,696 | 454,988,501 | 425,041,670 |
| Undistributed (distributions in excess of) | | | | |
| investment income—net | (3,107) | 1,006,864 | 814,627 | 423,691 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 3,436,345 | 16,096,335 | 5,912,552 | 17,917,906 |
| Shares issued for dividends reinvested | 50,166 | 21,389 | 69,297 | 16,658 |
| Shares redeemed | (9,200,201) | (4,820,334) | (6,112,623) | (6,260,367) |
| Net Increase (Decrease) in Shares Outstanding | (5,713,690) | 11,297,390 | (130,774) | 11,674,197 |
| Investor Shares | | | | |
| Shares sold | 283,008 | 67,603 | 58,699 | 15,584 |
| Shares issued for dividends reinvested | 6 | 40 | 86 | 2 |
| Shares redeemed | (289,036) | (50,749) | (56,727) | (14,718) |
| Net Increase (Decrease) in Shares Outstanding | (6,022) | 16,894 | 2,058 | 868 |
| |
| See notes to financial statements. | | | | |
100
| | | | | | | | |
| | BNY Mellon Small/Mid Cap Fund | BNY Mellon International Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 1,379,643 | 1,283,000 | 4,145,708 | 21,895,200 |
| Net realized gain (loss) on investments | (23,577,645) | (6,070,260) | (24,296,719) | 96,222,877 |
| Net unrealized appreciation (depreciation) on investments | 40,987,781 | 31,383,687 | 24,974,885 | (23,804,205) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 18,789,779 | 26,596,427 | 4,823,874 | 94,313,872 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (6,813,784) | (946,111) | (26,606,906) | (21,098,723) |
| Investor Shares | (5,491) | — | (220,200) | (85,465) |
| Net realized gain on investments: | | | | |
| Class M Shares | — | (2,188,505) | — | — |
| Investor Shares | — | (548) | — | — |
| Total Dividends | (6,819,275) | (3,135,164) | (26,827,106) | (21,184,188) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 73,486,647 | 323,181,126 | 70,402,737 | 134,251,212 |
| Investor Shares | 642,283 | 959,983 | 4,048,357 | 8,693,135 |
| Dividends reinvested: | | | | |
| Class M Shares | 1,101,837 | 1,483,925 | 5,380,959 | 4,224,852 |
| Investor Shares | 4,161 | 130 | 187,541 | 71,118 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (78,690,253) | (59,653,073) | (175,894,709) | (328,629,083) |
| Investor Shares | (547,262) | (464,930) | (5,481,274) | (7,099,308) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (4,002,587) | 265,507,161 | (101,356,389) | (188,488,074) |
| Total Increase (Decrease) in Net Assets | 7,967,917 | 288,968,424 | (123,359,621) | (115,358,390) |
| Net Assets ($): | | | | |
| Beginning of Period | 511,018,936 | 222,050,512 | 885,606,979 | 1,000,965,369 |
| End of Period | 518,986,853 | 511,018,936 | 762,247,358 | 885,606,979 |
| Undistributed (distributions in excess of) | | | | |
| investment income—net | (5,200,021) | 239,611 | 2,307,391 | 24,988,789 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 5,744,718 | 22,681,253 | 7,595,957 | 12,368,759 |
| Shares issued for dividends reinvested | 93,773 | 106,223 | 626,421 | 397,446 |
| Shares redeemed | (6,304,622) | (4,270,027) | (19,272,796) | (30,470,215) |
| Net Increase (Decrease) in Shares Outstanding | (466,131) | 18,517,449 | (11,050,418) | (17,704,010) |
| Investor Shares | | | | |
| Shares sold | 49,483 | 68,447 | 412,251 | 761,362 |
| Shares issued for dividends reinvested | 355 | 9 | 20,590 | 6,316 |
| Shares redeemed | (42,814) | (31,293) | (558,478) | (617,346) |
| Net Increase (Decrease) in Shares Outstanding | 7,024 | 37,163 | (125,637) | 150,332 |
| |
| See notes to financial statements. | | | | |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| | | | | | | | |
| | | | BNY Mellon |
| | BNY Mellon Emerging Markets Fund | International Appreciation Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 428,831 | 27,856,762 | 1,449,734 | 7,099,941 |
| Net realized gain (loss) on investments | (107,313,639) | 213,551,422 | (14,723,833) | 18,357,341 |
| Net unrealized appreciation (depreciation) on investments | 156,943,530 | (162,820,993) | 16,410,281 | 121,250 |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 50,058,722 | 78,587,191 | 3,136,182 | 25,578,532 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (23,405,670) | (9,688,664) | (6,416,671) | (5,520,095) |
| Investor Shares | (211,928) | (44,586) | (134,033) | (79,745) |
| Net realized gain on investments: | | | | |
| Class M Shares | (65,641,306) | — | — | — |
| Investor Shares | (697,390) | — | — | — |
| Total Dividends | (89,956,294) | (9,733,250) | (6,550,704) | (5,599,840) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 298,728,596 | 786,084,683 | 5,967,569 | 16,566,755 |
| Investor Shares | 11,420,182 | 28,979,601 | 445,934 | 530,032 |
| Dividends reinvested: | | | | |
| Class M Shares | 46,472,969 | 2,266,421 | 283,334 | 230,727 |
| Investor Shares | 601,542 | 31,912 | 115,340 | 74,816 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (355,832,249) | (301,781,598) | (39,886,246) | (56,515,796) |
| Investor Shares | (10,857,042) | (13,538,636) | (148,630) | (253,286) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (9,466,002) | 502,042,383 | (33,222,699) | (39,366,752) |
| Total Increase (Decrease) in Net Assets | (49,363,574) | 570,896,324 | (36,637,221) | (19,388,060) |
| Net Assets ($): | | | | |
| Beginning of Period | 2,374,260,634 | 1,803,364,310 | 202,141,002 | 221,529,062 |
| End of Period | 2,324,897,060 | 2,374,260,634 | 165,503,781 | 202,141,002 |
| Undistributed (distributions in excess of) | | | | |
| investment income—net | (3,752,811) | 19,435,956 | 470,019 | 5,570,989 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 30,767,830 | 68,268,713 | 568,814 | 1,359,433 |
| Shares issued for dividends reinvested | 5,299,084 | 196,227 | 29,331 | 19,308 |
| Shares redeemed | (38,299,187) | (27,016,759) | (3,844,111) | (4,542,340) |
| Net Increase (Decrease) in Shares Outstanding | (2,232,273) | 41,448,181 | (3,245,966) | (3,163,599) |
| Investor Shares | | | | |
| Shares sold | 1,139,932 | 2,465,784 | 41,303 | 42,610 |
| Shares issued for dividends reinvested | 66,838 | 2,693 | 12,052 | 6,319 |
| Shares redeemed | (1,112,077) | (1,140,047) | (13,782) | (21,495) |
| Net Increase (Decrease) in Shares Outstanding | 94,693 | 1,328,430 | 39,573 | 27,434 |
| |
| See notes to financial statements. | | | | |
102
| | | | | | |
| | BNY Mellon | BNY Mellon |
| | International Equity Income Fund | Asset Allocation Fund |
| | Period Ended | Six Months Ended | |
| | February 29, 2012 | February 29, 2012 | Year Ended |
| | (Unaudited)a | (Unaudited) | August 31, 2011 |
| Operations ($): | | | |
| Investment income—net | 114,189 | 3,730,266 | 5,754,780 |
| Net realized gain (loss) on investments | (29,423) | (658,468) | 11,863,879 |
| Net unrealized appreciation (depreciation) on investments | 2,919,816 | 18,583,076 | 16,666,780 |
| Net Increase (Decrease) in Net Assets | | | |
| Resulting from Operations | 3,004,582 | 21,654,874 | 34,285,439 |
| Dividends to Shareholders from ($): | | | |
| Investment income—net: | | | |
| Class M Shares | — | (4,709,083) | (7,304,859) |
| Investor Shares | — | (50,340) | (77,588) |
| Net realized gain on investments: | | | |
| Class M Shares | — | (1,683,683) | — |
| Investor Shares | — | (19,091) | — |
| Total Dividends | — | (6,462,197) | (7,382,447) |
| Beneficial Interest Transactions ($): | | | |
| Net proceeds from shares sold: | | | |
| Class M Shares | 51,331,983 | 30,553,105 | 47,084,573 |
| Investor Shares | 10,000 | 1,334,662 | 1,183,019 |
| Dividends reinvested: | | | |
| Class M Shares | — | 1,608,047 | 396,007 |
| Investor Shares | — | 61,668 | 69,403 |
| Cost of shares redeemed: | | | |
| Class M Shares | (654,782) | (23,119,734) | (43,560,968) |
| Investor Shares | — | (395,384) | (1,301,987) |
| Increase (Decrease) in Net Assets from | | | |
| Beneficial Interest Transactions | 50,687,201 | 10,042,364 | 3,870,047 |
| Total Increase (Decrease) in Net Assets | 53,691,783 | 25,235,041 | 30,773,039 |
| Net Assets ($): | | | |
| Beginning of Period | — | 369,925,632 | 339,152,593 |
| End of Period | 53,691,783 | 395,160,673 | 369,925,632 |
| Undistributed investment income—net | 114,189 | 1,137,164 | 2,166,321 |
| Capital Share Transactions (Shares): | | | |
| Class M Shares | | | |
| Shares sold | 3,911,821 | 2,956,410 | 4,280,972 |
| Shares issued for dividends reinvested | — | 157,016 | 35,728 |
| Shares redeemed | (48,293) | (2,222,332) | (3,931,969) |
| Net Increase (Decrease) in Shares Outstanding | 3,863,528 | 891,094 | 384,731 |
| Investor Shares | | | |
| Shares sold | 800 | 126,240 | 106,670 |
| Shares issued for dividends reinvested | — | 5,953 | 6,231 |
| Shares redeemed | — | (37,316) | (119,218) |
| Net Increase (Decrease) in Shares Outstanding | 800 | 94,877 | (6,317) |
|
| a From December 15, 2011 (commencement of operations) to February 29, 2012. |
| See notes to financial statements. |
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class of each BNY Mellon equity fund for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in each fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from each fund’s financial statements.
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Large Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 8.14 | 7.16 | 6.77 | 8.77 | 11.56 | 10.31 |
| Investment Operations: | | | | | | |
| Investment income—neta | .04 | .09 | .06 | .09 | .11 | .09 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .80 | .98 | .39 | (1.91) | (1.05) | 1.49 |
| Total from Investment Operations | .84 | 1.07 | .45 | (1.82) | (.94) | 1.58 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.04) | (.09) | (.06) | (.09) | (.12) | (.08) |
| Dividends from net realized gain on investments | — | — | — | (.09) | (1.73) | (.25) |
| Total Distributions | (.04) | (.09) | (.06) | (.18) | (1.85) | (.33) |
| Net asset value, end of period | 8.94 | 8.14 | 7.16 | 6.77 | 8.77 | 11.56 |
| Total Return (%) | 10.35b | 14.86 | 6.62 | (20.39) | (9.95) | 15.60 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .81c | .80 | .80 | .81 | .80 | .80 |
| Ratio of net expenses to average net assets | .81c | .80 | .80 | .81 | .80 | .79 |
| Ratio of net investment income | | | | | | |
| to average net assets | .93c | .98 | .81 | 1.51 | 1.15 | .76 |
| Portfolio Turnover Rate | 42.90b | 86.71 | 71.61 | 109.39 | 56.13 | 77.46 |
| Net Assets, end of period ($ x 1,000) | 1,044,942 | 1,093,037 | 1,178,235 | 1,449,565 | 1,750,688 | 1,970,482 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
104
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Large Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 8.15 | 7.16 | 6.78 | 8.78 | 11.58 | 10.33 |
| Investment Operations: | | | | | | |
| Investment income—neta | .03 | .06 | .04 | .08 | .09 | .06 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .80 | 1.00 | .38 | (1.91) | (1.07) | 1.50 |
| Total from Investment Operations | .83 | 1.06 | .42 | (1.83) | (.98) | 1.56 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.03) | (.07) | (.04) | (.08) | (.09) | (.06) |
| Dividends from net realized gain on investments | — | — | — | (.09) | (1.73) | (.25) |
| Total Distributions | (.03) | (.07) | (.04) | (.17) | (1.82) | (.31) |
| Net asset value, end of period | 8.95 | 8.15 | 7.16 | 6.78 | 8.78 | 11.58 |
| Total Return (%) | 10.20b | 14.78 | 6.21 | (20.56) | (10.26) | 15.29 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.06c | 1.05 | 1.05 | 1.06 | 1.05 | 1.05 |
| Ratio of net expenses to average net assets | 1.06c | 1.05 | 1.05 | 1.06 | 1.05 | 1.04 |
| Ratio of net investment income | | | | | | |
| to average net assets | .69c | .68 | .56 | 1.25 | .89 | .51 |
| Portfolio Turnover Rate | 42.90b | 86.71 | 71.61 | 109.39 | 56.13 | 77.46 |
| Net Assets, end of period ($ x 1,000) | 13,202 | 12,986 | 7,473 | 8,274 | 9,829 | 11,704 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | |
| | | Class M Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Large Cap Market Opportunities Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 11.00 | 9.48 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .03 | .02 | .00c |
| Net realized and unrealized | | | |
| gain (loss) on investments | 1.02 | 1.55 | (.52) |
| Total from Investment Operations | 1.05 | 1.57 | (.52) |
| Distributions: | | | |
| Dividends from investment income—net | (.03) | (.02) | — |
| Dividends from net realized gain on investments | — | (.03) | — |
| Total Distributions | (.03) | (.05) | — |
| Net asset value, end of period | 12.02 | 11.00 | 9.48 |
| Total Return (%) | 9.61d | 16.48 | (5.20)d |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assetse | .77f | .94 | 15.54f |
| Ratio of net expenses to average net assetse | .77f | .75 | .98f |
| Ratio of net investment income to average net assetse | .59f | .21 | .48f |
| Portfolio Turnover Rate | 31.80d | 22.06 | 2.12d |
| Net Assets, end of period ($ x 1,000) | 135,684 | 117,994 | 5,074 |
| |
| a | From July 30, 2010 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Amount does not include the activity of the underlying funds. |
| f | Annualized. |
See notes to financial statements.
106
| | | | | | |
| | | Investor Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Large Cap Market Opportunities Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 10.98 | 9.48 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .08 | .00c | .00c |
| Net realized and unrealized | | | |
| gain (loss) on investments | 1.07 | 1.54 | (.52) |
| Total from Investment Operations | 1.15 | 1.54 | (.52) |
| Distributions: | | | |
| Dividends from investment income—net | — | (.01) | — |
| Dividends from net realized gain on investments | — | (.03) | — |
| Total Distributions | — | (.04) | — |
| Net asset value, end of period | 12.13 | 10.98 | 9.48 |
| Total Return (%) | 10.47d | 16.16 | (5.20)d |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assetse | 1.01f | 1.24 | 9.38f |
| Ratio of net expenses to average net assetse | 1.01f | 1.00 | 1.23f |
| Ratio of net investment income to average net assetse | 1.06f | .03 | .16f |
| Portfolio Turnover Rate | 31.80d | 22.06 | 2.12d |
| Net Assets, end of period ($ x 1,000) | 12 | 11 | 9 |
| |
| a | From July 30, 2010 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Amount does not include the activity of the underlying funds. |
| f | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | |
| | | Class M Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 11.14 | 9.52 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .04 | .06 | .01 |
| Net realized and unrealized | | | |
| gain (loss) on investments | 1.11 | 1.61 | (.49) |
| Total from Investment Operations | 1.15 | 1.67 | (.48) |
| Distributions: | | | |
| Dividends from investment income—net | (.05) | (.02) | — |
| Dividends from net realized gain on investments | — | (.03) | — |
| Total Distributions | (.05) | (.05) | — |
| Net asset value, end of period | 12.24 | 11.14 | 9.52 |
| Total Return (%) | 10.41c | 17.54 | (4.80)c |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assetsd | .91e | 1.28 | 8.12e |
| Ratio of net expenses to average net assetsd | .91e | .88 | .99e |
| Ratio of net investment income to average net assetsd | .78e | .51 | .91e |
| Portfolio Turnover Rate | 19.85c | 29.24 | 1.53c |
| Net Assets, end of period ($ x 1,000) | 100,497 | 75,326 | 10,337 |
| |
| a | From July 30, 2010 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Amount does not include the activity of the underlying funds. |
| e | Annualized. |
See notes to financial statements.
108
| | | | | | |
| | | Investor Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 11.04 | 9.52 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .04 | .03 | .01 |
| Net realized and unrealized | | | |
| gain (loss) on investments | 1.09 | 1.54 | (.49) |
| Total from Investment Operations | 1.13 | 1.57 | (.48) |
| Distributions: | | | |
| Dividends from investment income—net | — | (.02) | — |
| Dividends from net realized gain on investments | — | (.03) | — |
| Total Distributions | — | (.05) | — |
| Net asset value, end of period | 12.17 | 11.04 | 9.52 |
| Total Return (%) | 10.34c | 16.31 | (4.80)c |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assetsd | 1.19e | 1.77 | 5.88e |
| Ratio of net expenses to average net assetsd | 1.19e | 1.13 | 1.24e |
| Ratio of net investment income to average net assetsd | .60e | .26 | .65e |
| Portfolio Turnover Rate | 19.85c | 29.24 | 1.53c |
| Net Assets, end of period ($ x 1,000) | 12 | 11 | 10 |
| |
| a | From July 30, 2010 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Amount does not include the activity of the underlying funds. |
| e | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Income Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 6.28 | 5.49 | 5.39 | 7.22 | 10.61 | 10.43 |
| Investment Operations: | | | | | | |
| Investment income—neta | .10 | .17 | .09 | .12 | .16 | .19 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .63 | .79 | .10 | (1.35) | (1.35) | 1.04 |
| Total from Investment Operations | .73 | .96 | .19 | (1.23) | (1.19) | 1.23 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.09) | (.17) | (.09) | (.13) | (.16) | (.19) |
| Dividends from net realized gain on investments | — | — | — | (.47) | (2.04) | (.86) |
| Total Distributions | (.09) | (.17) | (.09) | (.60) | (2.20) | (1.05) |
| Net asset value, end of period | 6.92 | 6.28 | 5.49 | 5.39 | 7.22 | 10.61 |
| Total Return (%) | 11.77b | 17.41 | 3.44 | (15.73) | (13.79) | 12.11 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .82c | .86 | .86 | .87 | .84 | .81 |
| Ratio of net expenses to average net assets | .82c | .86 | .86 | .87 | .84 | .81 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.09c | 2.71 | 1.55 | 2.47 | 1.87 | 1.81 |
| Portfolio Turnover Rate | 10.56b | 72.27 | 66.78 | 65.88 | 33.02 | 62.06 |
| Net Assets, end of period ($ x 1,000) | 433,997 | 204,785 | 90,645 | 126,763 | 199,367 | 414,866 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
110
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Income Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 6.33 | 5.54 | 5.44 | 7.27 | 10.67 | 10.49 |
| Investment Operations: | | | | | | |
| Investment income—neta | .09 | .15 | .08 | .11 | .14 | .17 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .63 | .80 | .10 | (1.35) | (1.36) | 1.04 |
| Total from Investment Operations | .72 | .95 | .18 | (1.24) | (1.22) | 1.21 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.08) | (.16) | (.08) | (.12) | (.14) | (.17) |
| Dividends from net realized gain on investments | — | — | — | (.47) | (2.04) | (.86) |
| Total Distributions | (.08) | (.16) | (.08) | (.59) | (2.18) | (1.03) |
| Net asset value, end of period | 6.97 | 6.33 | 5.54 | 5.44 | 7.27 | 10.67 |
| Total Return (%) | 11.57b | 17.02 | 3.19 | (15.84) | (14.03) | 11.78 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.07c | 1.12 | 1.11 | 1.12 | 1.09 | 1.06 |
| Ratio of net expenses to average net assets | 1.07c | 1.12 | 1.11 | 1.12 | 1.09 | 1.06 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.90c | 2.32 | 1.29 | 2.19 | 1.62 | 1.55 |
| Portfolio Turnover Rate | 10.56b | 72.27 | 66.78 | 65.88 | 33.02 | 62.06 |
| Net Assets, end of period ($ x 1,000) | 1,490 | 1,056 | 988 | 1,045 | 1,407 | 1,719 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Mid Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 11.41 | 9.31 | 8.64 | 11.11 | 14.19 | 14.26 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.00)b | (.00)b | .05 | .07 | .03 | .06 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .94 | 2.10 | .68 | (2.46) | (.53) | 2.17 |
| Total from Investment Operations | .94 | 2.10 | .73 | (2.39) | (.50) | 2.23 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.04) | (.00)b | (.06) | (.06) | (.04) | (.08) |
| Dividends from net realized gain on investments | (.33) | — | — | (.02) | (2.54) | (2.22) |
| Total Distributions | (.37) | (.00)b | (.06) | (.08) | (2.58) | (2.30) |
| Net asset value, end of period | 11.98 | 11.41 | 9.31 | 8.64 | 11.11 | 14.19 |
| Total Return (%) | 8.65c | 22.59 | 8.49 | (21.33) | (5.67) | 16.76 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .90d | .90 | .90 | .92 | .90 | .90 |
| Ratio of net expenses to average net assets | .90d | .90 | .90 | .92 | .90 | .90 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.00)d,e | (.01) | .53 | .86 | .28 | .42 |
| Portfolio Turnover Rate | 78.05c | 132.20 | 123.41 | 147.50 | 121.12 | 112.31 |
| Net Assets, end of period ($ x 1,000) | 1,282,445 | 1,280,742 | 1,162,906 | 1,185,376 | 1,540,821 | 1,708,747 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
| e | Amount represents less than .01%. |
See notes to financial statements.
112
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Mid Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 11.29 | 9.24 | 8.57 | 11.00 | 14.07 | 14.16 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.01) | (.03) | .03 | .05 | .00b | .02 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .93 | 2.08 | .68 | (2.43) | (.53) | 2.15 |
| Total from Investment Operations | .92 | 2.05 | .71 | (2.38) | (.53) | 2.17 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.02) | — | (.04) | (.03) | — | (.04) |
| Dividends from net realized gain on investments | (.33) | — | — | (.02) | (2.54) | (2.22) |
| Total Distributions | (.35) | — | (.04) | (.05) | (2.54) | (2.26) |
| Net asset value, end of period | 11.86 | 11.29 | 9.24 | 8.57 | 11.00 | 14.07 |
| Total Return (%) | 8.47c | 22.19 | 8.30 | (21.51) | (5.94) | 16.44 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.15d | 1.15 | 1.15 | 1.17 | 1.15 | 1.15 |
| Ratio of net expenses to average net assets | 1.15d | 1.15 | 1.15 | 1.17 | 1.15 | 1.15 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.25)d | (.26) | .27 | .63 | .03 | .16 |
| Portfolio Turnover Rate | 78.05c | 132.20 | 123.41 | 147.50 | 121.12 | 112.31 |
| Net Assets, end of period ($ x 1,000) | 27,384 | 28,098 | 20,733 | 19,785 | 28,520 | 35,139 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Dreyfus Premier Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Mid Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.53 | 8.68 | 8.08 | 10.40 | 13.52 | 13.74 |
| Investment Operations: | | | | | | |
| Investment (loss)—neta | (.05) | (.11) | (.04) | (.01) | (.09) | (.07) |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .87 | 1.96 | .64 | (2.29) | (.49) | 2.07 |
| Total from Investment Operations | .82 | 1.85 | .60 | (2.30) | (.58) | 2.00 |
| Distributions: | | | | | | |
| Dividends from net realized gain on investments | (.33) | — | — | (.02) | (2.54) | (2.22) |
| Net asset value, end of period | 11.02 | 10.53 | 8.68 | 8.08 | 10.40 | 13.52 |
| Total Return (%) | 8.13b | 21.31 | 7.43 | (22.09) | (6.63) | 15.58 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.90c | 1.90 | 1.90 | 1.92 | 1.90 | 1.90 |
| Ratio of net expenses to average net assets | 1.90c | 1.90 | 1.90 | 1.92 | 1.90 | 1.90 |
| Ratio of net investment (loss) | | | | | | |
| to average net assets | (1.00)c | (1.00) | (.45) | (.11) | (.73) | (.53) |
| Portfolio Turnover Rate | 78.05b | 132.20 | 123.41 | 147.50 | 121.12 | 112.31 |
| Net Assets, end of period ($ x 1,000) | 349 | 436 | 526 | 709 | 1,669 | 3,635 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
114
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Small Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.78 | 8.94 | 8.57 | 11.44 | 14.82 | 15.39 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | .00b | (.02) | .00b | .07 | .03 | .00b |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .98 | 1.86 | .38 | (2.85) | (1.15) | 1.83 |
| Total from Investment Operations | .98 | 1.84 | .38 | (2.78) | (1.12) | 1.83 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.29) | — | (.01) | (.08) | — | — |
| Dividends from net realized gain on investments | — | — | — | (.01) | (2.26) | (2.40) |
| Total Distributions | (.29) | — | (.01) | (.09) | (2.26) | (2.40) |
| Net asset value, end of period | 11.47 | 10.78 | 8.94 | 8.57 | 11.44 | 14.82 |
| Total Return (%) | 9.35c | 20.58 | 4.45 | (24.11) | (9.07) | 12.53 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.03d | 1.01 | 1.00 | 1.03 | 1.01 | 1.01 |
| Ratio of net expenses to average net assets | 1.03d | 1.01 | .98 | .99 | 1.01 | 1.00 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | .01d | (.16) | .01 | .88 | .28 | .02 |
| Portfolio Turnover Rate | 78.77c | 161.05 | 183.41 | 159.78 | 132.19 | 167.04 |
| Net Assets, end of period ($ x 1,000) | 311,931 | 351,122 | 412,824 | 610,567 | 633,118 | 670,238 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Small Cap Stock Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.49 | 8.72 | 8.36 | 11.11 | 14.50 | 15.13 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.01) | (.04) | (.02) | .05 | .00b | (.03) |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .95 | 1.81 | .38 | (2.72) | (1.13) | 1.80 |
| Total from Investment Operations | .94 | 1.77 | .36 | (2.67) | (1.13) | 1.77 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.27) | — | — | (.07) | — | — |
| Dividends from net realized gain on investments | — | — | — | (.01) | (2.26) | (2.40) |
| Total Distributions | (.27) | — | — | (.08) | (2.26) | (2.40) |
| Net asset value, end of period | 11.16 | 10.49 | 8.72 | 8.36 | 11.11 | 14.50 |
| Total Return (%) | 9.14c | 20.30 | 4.31 | (23.92) | (9.36) | 12.33 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.28d | 1.26 | 1.25 | 1.28 | 1.26 | 1.26 |
| Ratio of net expenses to average net assets | 1.28d | 1.26 | 1.23 | 1.23 | 1.26 | 1.25 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.24)d | (.39) | (.24) | .61 | .02 | (.23) |
| Portfolio Turnover Rate | 78.77c | 161.05 | 183.41 | 159.78 | 132.19 | 167.04 |
| Net Assets, end of period ($ x 1,000) | 6,762 | 7,815 | 6,022 | 6,277 | 3,795 | 5,341 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
116
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon U.S. Core Equity 130/30 Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007a |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.83 | 9.81 | 9.07 | 11.39 | 12.64 | 12.50 |
| Investment Operations: | | | | | | |
| Investment income (loss)—netb | .02 | .06 | .03 | .07 | .07 | (.00)c |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .96 | 1.01 | .74 | (2.28) | (1.32) | .14 |
| Total from Investment Operations | .98 | 1.07 | .77 | (2.21) | (1.25) | .14 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.06) | (.05) | (.03) | (.11) | — | — |
| Net asset value, end of period | 11.75 | 10.83 | 9.81 | 9.07 | 11.39 | 12.64 |
| Total Return (%) | 9.12d | 10.86 | 8.53 | (19.19) | (9.89) | 1.12d |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.67e | 1.69 | 1.79 | 2.02 | 2.39f | .50d |
| Ratio of net expenses to average net assets | 1.67e | 1.69 | 1.79 | 2.02 | 2.28f | .28d |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | .45e | .55 | .26 | .87 | .58 | (.03)d |
| Portfolio Turnover Rate | 65.39d | 144.04 | 117.53 | 138.97 | 163.66 | 11.94d |
| Net Assets, end of period ($ x 1,000) | 288,583 | 327,778 | 186,137 | 80,952 | 180,803 | 26,064 |
| |
| a | From August 1, 2007 (commencement of operations) to August 31, 2007. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Annualized. |
| f | Higher costs are due to borrowing costs associated with the 130/30 fund structure. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon U.S. Core Equity 130/30 Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007a |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.73 | 9.76 | 9.02 | 11.36 | 12.63 | 12.50 |
| Investment Operations: | | | | | | |
| Investment income (loss)—netb | (.03) | .02 | (.01) | .04 | .02 | (.00)c |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | 1.00 | .99 | .75 | (2.27) | (1.29) | .13 |
| Total from Investment Operations | .97 | 1.01 | .74 | (2.23) | (1.27) | .13 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.00)c | (.04) | — | (.11) | — | — |
| Net asset value, end of period | 11.70 | 10.73 | 9.76 | 9.02 | 11.36 | 12.63 |
| Total Return (%) | 9.08d | 10.34 | 8.20 | (19.47) | (10.06) | 1.04d |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.79e | 1.97 | 2.09 | 2.25 | 2.81f | .50d |
| Ratio of net expenses to average net assets | 1.79e | 1.97 | 2.09 | 2.25 | 2.71f | .28d |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.63)e | .20 | (.08) | .56 | .16 | (.03)d |
| Portfolio Turnover Rate | 65.39d | 144.04 | 117.53 | 138.97 | 163.66 | 11.94d |
| Net Assets, end of period ($ x 1,000) | 137 | 190 | 8 | 14 | 13 | 10 |
| |
| a | From August 1, 2007 (commencement of operations) to August 31, 2007. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Annualized. |
| f | Higher costs are due to borrowing costs associated with the 130/30 fund structure. |
See notes to financial statements.
118
| | | | | | |
| | | Class M Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Focused Equity Opportunities Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 12.04 | 10.09 | 10.00 |
| Investment Operations: | | | |
| Investment income—net b | .03 | .04 | .06 |
| Net realized and unrealized | | | |
| gain (loss) on investments | .92 | 1.96 | .04 |
| Total from Investment Operations | .95 | 2.00 | .10 |
| Distributions: | | | |
| Dividends from investment income—net | (.02) | (.05) | (.01) |
| Dividends from net realized gain on investments | (.03) | — | (.00)c |
| Total Distributions | (.05) | (.05) | (.01) |
| Net asset value, end of period | 12.94 | 12.04 | 10.09 |
| Total Return (%) | 7.90d | 19.82 | 1.01d |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assets | .87e | .87 | .98e |
| Ratio of net expenses to average net assets | .87e | .87 | .89e |
| Ratio of net investment income to average net assets | .50e | .29 | .59e |
| Portfolio Turnover Rate | 34.81d | 58.98 | 64.75d |
| Net Assets, end of period ($ x 1,000) | 454,934 | 425,016 | 238,332 |
| |
| a | From September 30, 2009 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | |
| | | Investor Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Focused Equity Opportunities Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 12.04 | 10.07 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .04 | .00c | .02 |
| Net realized and unrealized | | | |
| gain (loss) on investments | .89 | 1.99 | .06 |
| Total from Investment Operations | .93 | 1.99 | .08 |
| Distributions: | | | |
| Dividends from investment income—net | (.01) | (.02) | (.01) |
| Dividends from net realized gain on investments | (.03) | — | (.00)c |
| Total Distributions | (.04) | (.02) | (.01) |
| Net asset value, end of period | 12.93 | 12.04 | 10.07 |
| Total Return (%) | 7.65d | 19.80 | .75d |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assets | 1.12e | 1.12 | 1.53e |
| Ratio of net expenses to average net assets | 1.12e | 1.12 | 1.14e |
| Ratio of net investment income to average net assets | .53e | .00f | .23e |
| Portfolio Turnover Rate | 34.81d | 58.98 | 64.75d |
| Net Assets, end of period ($ x 1,000) | 54 | 26 | 13 |
| |
| a | From September 30, 2009 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Amount represents less than $.01 per share. |
| d | Not annualized. |
| e | Annualized. |
| f | Amount represents less than .01%. |
See notes to financial statements.
120
| | | | | | |
| | | Class M Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Small/Mid Cap Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 13.14 | 10.92 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .04 | .04 | .01 |
| Net realized and unrealized | | | |
| gain (loss) on investments | .51 | 2.31 | .95 |
| Total from Investment Operations | .55 | 2.35 | .96 |
| Distributions: | | | |
| Dividends from investment income—net | (.18) | (.04) | (.01) |
| Dividends from net realized gain on investments | — | (.09) | (.03) |
| Total Distributions | (.18) | (.13) | (.04) |
| Net asset value, end of period | 13.51 | 13.14 | 10.92 |
| Total Return (%) | 4.35c | 21.41 | 9.65c |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assets | .92d | .92 | 1.07d |
| Ratio of net expenses to average net assets | .92d | .92 | .92d |
| Ratio of net investment income to average net assets | .56d | .29 | .06d |
| Portfolio Turnover Rate | 71.30c | 107.81 | 109.25c |
| Net Assets, end of period ($ x 1,000) | 518,372 | 510,512 | 222,034 |
| |
| a | From September 30, 2009 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | |
| | | Investor Shares | |
| | Six Months Ended | | |
| | February 29, 2012 | Year Ended August 31, |
| BNY Mellon Small/Mid Cap Fund | (Unaudited) | 2011 | 2010a |
| Per Share Data ($): | | | |
| Net asset value, beginning of period | 13.11 | 10.89 | 10.00 |
| Investment Operations: | | | |
| Investment income—netb | .02 | .01 | .01 |
| Net realized and unrealized | | | |
| gain (loss) on investments | .49 | 2.30 | .92 |
| Total from Investment Operations | .51 | 2.31 | .93 |
| Distributions: | | | |
| Dividends from investment income—net | (.16) | — | (.01) |
| Dividends from net realized gain on investments | — | (.09) | (.03) |
| Total Distributions | (.16) | (.09) | (.04) |
| Net asset value, end of period | 13.46 | 13.11 | 10.89 |
| Total Return (%) | 4.11c | 21.14 | 9.34c |
| Ratios/Supplemental Data (%): | | | |
| Ratio of total expenses to average net assets | 1.17d | 1.20 | 2.35d |
| Ratio of net expenses to average net assets | 1.17d | 1.20 | 1.20d |
| Ratio of net investment income to average net assets | .26d | .06 | .08d |
| Portfolio Turnover Rate | 71.30c | 107.81 | 109.25c |
| Net Assets, end of period ($ x 1,000) | 615 | 507 | 16 |
| |
| a | From September 30, 2009 (commencement of operations) to August 31, 2010. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
122
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon International Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 9.94 | 9.38 | 10.12 | 12.11 | 17.56 | 17.77 |
| Investment Operations: | | | | | | |
| Investment income—neta | .05 | .22 | .18 | .22 | .33 | .28 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .12 | .55 | (.67) | (1.54) | (3.14) | 1.92 |
| Total from Investment Operations | .17 | .77 | (.49) | (1.32) | (2.81) | 2.20 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.33) | (.21) | (.25) | (.41) | (.29) | (.30) |
| Dividends from net realized gain on investments | — | — | — | (.26) | (2.35) | (2.11) |
| Total Distributions | (.33) | (.21) | (.25) | (.67) | (2.64) | (2.41) |
| Net asset value, end of period | 9.78 | 9.94 | 9.38 | 10.12 | 12.11 | 17.56 |
| Total Return (%) | 2.14b | 8.05 | (5.07) | (9.95) | (18.61) | 12.93 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.04c | 1.02 | 1.09 | 1.14 | 1.10 | 1.08 |
| Ratio of net expenses to average net assets | 1.04c | 1.02 | 1.09 | 1.03 | 1.06 | 1.08 |
| Ratio of net investment income | | | | | | |
| to average net assets | 1.09c | 2.07 | 1.79 | 2.52 | 2.22 | 1.59 |
| Portfolio Turnover Rate | 21.44b | 57.38 | 67.16 | 102.83 | 78.35 | 72.83 |
| Net Assets, end of period ($ x 1,000) | 757,473 | 879,450 | 996,647 | 1,247,441 | 2,002,307 | 2,836,968 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon International Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.51 | 9.92 | 10.69 | 12.70 | 18.29 | 18.41 |
| Investment Operations: | | | | | | |
| Investment income—neta | .03 | .21 | .16 | .20 | .28 | .23 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .15 | .56 | (.70) | (1.60) | (3.26) | 2.03 |
| Total from Investment Operations | .18 | .77 | (.54) | (1.40) | (2.98) | 2.26 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.31) | (.18) | (.23) | (.35) | (.26) | (.27) |
| Dividends from net realized gain on investments | — | — | — | (.26) | (2.35) | (2.11) |
| Total Distributions | (.31) | (.18) | (.23) | (.61) | (2.61) | (2.38) |
| Net asset value, end of period | 10.38 | 10.51 | 9.92 | 10.69 | 12.70 | 18.29 |
| Total Return (%) | 2.11b | 7.67 | (5.26) | (10.11) | (18.87) | 12.73 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.28c | 1.27 | 1.34 | 1.38 | 1.35 | 1.33 |
| Ratio of net expenses to average net assets | 1.28c | 1.27 | 1.34 | 1.28 | 1.32 | 1.32 |
| Ratio of net investment income | | | | | | |
| to average net assets | .64c | 1.79 | 1.46 | 2.27 | 1.82 | 1.26 |
| Portfolio Turnover Rate | 21.44b | 57.38 | 67.16 | 102.83 | 78.35 | 72.83 |
| Net Assets, end of period ($ x 1,000) | 4,774 | 6,157 | 4,319 | 5,099 | 6,627 | 13,634 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
124
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Emerging Markets Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.65 | 10.02 | 8.71 | 16.89 | 24.42 | 24.53 |
| Investment Operations: | | | | | | |
| Investment income—neta | .00b | .14 | .08 | .14 | .23 | .25 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .30 | .54 | 1.31 | (3.58) | (1.45) | 7.18 |
| Total from Investment Operations | .30 | .68 | 1.39 | (3.44) | (1.22) | 7.43 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.11) | (.05) | (.08) | (.42) | (.21) | (.22) |
| Dividends from net realized gain on investments | (.31) | — | — | (4.32) | (6.10) | (7.32) |
| Total Distributions | (.42) | (.05) | (.08) | (4.74) | (6.31) | (7.54) |
| Net asset value, end of period | 10.53 | 10.65 | 10.02 | 8.71 | 16.89 | 24.42 |
| Total Return (%) | 3.63c | 6.77 | 15.92 | (6.07) | (9.11) | 35.81 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.41d | 1.41 | 1.54 | 1.64 | 1.53 | 1.50 |
| Ratio of net expenses to average net assets | 1.41d | 1.41 | 1.54 | 1.64 | 1.52 | 1.50 |
| Ratio of net investment income | | | | | | |
| to average net assets | .04d | 1.20 | .85 | 1.76 | 1.11 | 1.05 |
| Portfolio Turnover Rate | 27.88c | 77.45 | 76.34 | 119.72 | 63.60 | 60.72 |
| Net Assets, end of period ($ x 1,000) | 2,302,061 | 2,352,233 | 1,796,274 | 1,097,296 | 1,141,146 | 1,521,024 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Emerging Markets Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.91 | 10.27 | 8.94 | 17.05 | 24.60 | 24.65 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.01) | .13 | .06 | .11 | .20 | .15 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .31 | .55 | 1.33 | (3.55) | (1.50) | 7.27 |
| Total from Investment Operations | .30 | .68 | 1.39 | (3.44) | (1.30) | 7.42 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.09) | (.04) | (.06) | (.35) | (.15) | (.15) |
| Dividends from net realized gain on investments | (.31) | — | — | (4.32) | (6.10) | (7.32) |
| Total Distributions | (.40) | (.04) | (.06) | (4.67) | (6.25) | (7.47) |
| Net asset value, end of period | 10.81 | 10.91 | 10.27 | 8.94 | 17.05 | 24.60 |
| Total Return (%) | 3.55b | 6.59 | 15.56 | (6.32) | (9.29) | 35.52 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.66c | 1.67 | 1.77 | 1.91 | 1.78 | 1.75 |
| Ratio of net expenses to average net assets | 1.66c | 1.67 | 1.77 | 1.91 | 1.78 | 1.74 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.25)c | 1.10 | .54 | 1.32 | .96 | .65 |
| Portfolio Turnover Rate | 27.88b | 77.45 | 76.34 | 119.72 | 63.60 | 60.72 |
| Net Assets, end of period ($ x 1,000) | 22,837 | 22,027 | 7,091 | 4,476 | 7,187 | 10,846 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
126
| | | | | | | | | | | | | | |
| | | | | Class M Shares | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon International | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| Appreciation Fund† | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | |
| Net asset value, beginning of period | 11.31 | 10.54 | 11.35 | 9.40 | 16.58 | 15.46 | 12.62 |
| Investment Operations: | | | | | | | |
| Investment income—netb | .09 | .36 | .26 | .23 | .45 | .41 | .30 |
| Net realized and unrealized | | | | | | | |
| gain (loss) on investments | .28 | .68 | (.73) | 1.73 | (7.17) | 1.10 | 2.81 |
| Total from Investment Operations | .37 | 1.04 | (.47) | 1.96 | (6.72) | 1.51 | 3.11 |
| Distributions: | | | | | | | |
| Dividends from investment income—net | (.40) | (.27) | (.34) | (.01) | (.46) | (.39) | (.27) |
| Net asset value, end of period | 11.28 | 11.31 | 10.54 | 11.35 | 9.40 | 16.58 | 15.46 |
| Total Return (%) | 3.87c | 9.75 | (4.35) | 20.93c | (41.12) | 9.79 | 24.68 |
| Ratios/Supplemental Data (%): | | | | | | | |
| Ratio of total expenses | | | | | | | |
| to average net assets | .79d | .70 | .68 | .70d | .70 | .69 | .68 |
| Ratio of net expenses | | | | | | | |
| to average net assets | .79d | .70 | .66 | .66d | .67 | .69 | .68 |
| Ratio of net investment income | | | | | | | |
| to average net assets | 1.69d | 2.94 | 2.29 | 3.80d | 3.32 | 2.45 | 2.14 |
| Portfolio Turnover Rate | .61c | 9.39 | 2.71 | 2.63c | 10.62 | 11 | 15 |
| Net Assets, end of period ($ x 1,000) | 161,047 | 198,122 | 218,067 | 256,140 | 267,393 | 545,392 | 456,316 |
|
| † Represents information for Institutional shares of the fund’s predecessor, BNY Hamilton International Equity Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Not annualized. |
| d Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | | | |
| | | | | Investor Shares | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon International | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| Appreciation Fund† | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | |
| Net asset value, beginning of period | 11.19 | 10.43 | 11.24 | 9.31 | 16.37 | 15.27 | 12.47 |
| Investment Operations: | | | | | | | |
| Investment income—netb | .07 | .33 | .23 | .22 | .40 | .36 | .27 |
| Net realized and unrealized | | | | | | | |
| gain (loss) on investments | .28 | .67 | (.72) | 1.71 | (7.06) | 1.09 | 2.77 |
| Total from Investment Operations | .35 | 1.00 | (.49) | 1.93 | (6.66) | 1.45 | 3.04 |
| Distributions: | | | | | | | |
| Dividends from investment income—net | (.37) | (.24) | (.32) | — | (.40) | (.35) | (.24) |
| Net asset value, end of period | 11.17 | 11.19 | 10.43 | 11.24 | 9.31 | 16.37 | 15.27 |
| Total Return (%) | 3.70c | 9.50 | (4.60) | 20.73c | (41.21) | 9.50 | 24.38 |
| Ratios/Supplemental Data (%): | | | | | | | |
| Ratio of total expenses | | | | | | | |
| to average net assets | 1.05d | .95 | .93 | .95d | .95 | .94 | .93 |
| Ratio of net expenses | | | | | | | |
| to average net assets | 1.05d | .95 | .90 | .91d | .92 | .94 | .93 |
| Ratio of net investment income | | | | | | | |
| to average net assets | 1.41d | 2.75 | 2.08 | 3.56d | 3.02 | 2.20 | 1.92 |
| Portfolio Turnover Rate | .61c | 9.39 | 2.71 | 2.63c | 10.62 | 11 | 15 |
| Net Assets, end of period ($ x 1,000) | 4,457 | 4,019 | 3,462 | 4,171 | 3,179 | 5,623 | 5,366 |
|
| † Represents information for Class A shares of the fund’s predecessor, BNY Hamilton International Equity Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Not annualized. |
| d Annualized. |
See notes to financial statements.
128
| | |
| | Class M Shares | Investor Shares |
| | Period Ended | Period Ended |
| BNY Mellon International Equity Income Fund | February 29, 2012a | February 29, 2012a |
| Per Share Data ($): | | |
| Net asset value, beginning of period | 12.50 | 12.50 |
| Investment Operations: | | |
| Investment income—netb | .05 | .02 |
| Net realized and unrealized | | |
| gain (loss) on investments | 1.34 | 1.37 |
| Total from Investment Operations | 1.39 | 1.39 |
| Net asset value, end of period | 13.89 | 13.89 |
| Total Return (%)c | 11.12 | 11.12 |
| Ratios/Supplemental Data (%): | | |
| Ratio of total expenses to average net assetsd | 2.21 | 5.48 |
| Ratio of net expenses to average net assetsd | 1.20 | 1.45 |
| Ratio of net investment income | | |
| to average net assetsd | 2.14 | .82 |
| Portfolio Turnover Ratec | 36.21 | 36.21 |
| Net Assets, end of period ($ x 1,000) | 53,681 | 11 |
| |
| a | From December 15, 2011 (commencement of operations) to February 29, 2012. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Asset Allocation Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.63 | 9.85 | 9.44 | 10.93 | 12.91 | 13.17 |
| Investment Operations: | | | | | | |
| Investment income—neta | .11 | .16 | .19 | .24 | .30 | .29 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .49 | .83 | .46 | (1.01) | (.73) | 1.21 |
| Total from Investment Operations | .60 | .99 | .65 | (.77) | (.43) | 1.50 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.14) | (.21) | (.24) | (.27) | (.36) | (.32) |
| Dividends from net realized gain on investments | (.05) | — | — | (.45) | (1.19) | (1.44) |
| Total Distributions | (.19) | (.21) | (.24) | (.72) | (1.55) | (1.76) |
| Net asset value, end of period | 11.04 | 10.63 | 9.85 | 9.44 | 10.93 | 12.91 |
| Total Return (%) | 5.71b | 10.00 | 6.84 | (6.08) | (3.99) | 12.09 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assetsc | .38d | .53 | .57 | .60 | .58 | .58 |
| Ratio of net expenses to average net assetsc | .30d | .53 | .57 | .60 | .58 | .58 |
| Ratio of net investment income | | | | | | |
| to average net assetsc | 2.04d | 1.49 | 1.78 | 2.81 | 2.51 | 2.26 |
| Portfolio Turnover Rate | 66.80b | 71.08 | 69.81 | 78.44e | 51.92e | 89.78e |
| Net Assets, end of period ($ x 1,000) | 389,677 | 365,661 | 335,138 | 301,643 | 317,545 | 358,068 |
|
| a Based on average shares outstanding at each month end. |
| b Not annualized. |
| c Amount does not include the activity of the underlying funds. |
| d Annualized. |
| e The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended August 31, 2009, 2008, and 2007 were 77.77%, 51.44% and 75.75%, respectively. |
See notes to financial statements.
130
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Asset Allocation Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 10.69 | 9.90 | 9.50 | 10.98 | 12.96 | 13.21 |
| Investment Operations: | | | | | | |
| Investment income—neta | .09 | .14 | .17 | .23 | .27 | .26 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .49 | .83 | .44 | (1.01) | (.74) | 1.21 |
| Total from Investment Operations | .58 | .97 | .61 | (.78) | (.47) | 1.47 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.12) | (.18) | (.21) | (.25) | (.32) | (.28) |
| Dividends from net realized gain on investments | (.05) | — | — | (.45) | (1.19) | (1.44) |
| Total Distributions | (.17) | (.18) | (.21) | (.70) | (1.51) | (1.72) |
| Net asset value, end of period | 11.10 | 10.69 | 9.90 | 9.50 | 10.98 | 12.96 |
| Total Return (%) | 5.55b | 9.77 | 6.44 | (6.11) | (4.29) | 11.73 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assetsc | .63d | .78 | .82 | .85 | .81 | .86 |
| Ratio of net expenses to average net assetsc | .56d | .78 | .82 | .85 | .81 | .86 |
| Ratio of net investment income | | | | | | |
| to average net assetsc | 1.72d | 1.23 | 1.54 | 2.57 | 2.28 | 1.98 |
| Portfolio Turnover Rate | 66.80b | 71.08 | 69.81 | 78.44e | 51.92e | 89.78e |
| Net Assets, end of period ($ x 1,000) | 5,483 | 4,265 | 4,015 | 4,412 | 4,812 | 4,274 |
|
| a Based on average shares outstanding at each month end. |
| b Not annualized. |
| c Amount does not include the activity of the underlying funds. |
| d Annualized. |
| e The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended August 31, 2009, 2008, and 2007 were 77.77%, 51.44% and 75.75%, respectively. |
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—General:
BNY Mellon Funds Trust (the “Trust”) was organized as a Massachusetts business trust which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently consisting of twenty-seven series including the following diversified equity funds: BNY Mellon Large Cap Stock Fund, BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Income Stock Fund, BNY Mellon Mid Cap Stock Fund, BNY Mellon Small Cap Stock Fund, BNY Mellon U.S. Core Equity 130/30 Fund, BNY Mellon Small/Mid Cap Fund, BNY Mellon International Fund, BNY Mellon Emerging Markets Fund, BNY Mellon International Appreciation Fund, BNY Mellon International Equity Income Fund and BNY Mellon Asset Allocation Fund and the following non-diversified equity fund: BNY Mellon Focused Equity Opportunities Fund (each, a “fund” and collectively, the “funds”). BNY Mellon International Equity Income Fund commenced operations on December 15, 2011. BNY Mellon Large Cap Stock Fund, BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Mid Cap Stock Fund, BNY Mellon Small Cap Stock Fund, BNY Mellon U.S. Core Equity 130/30 Fund, BNY Mellon Focused Equity Opportunities Fund and BNY Mellon Small/Mid Cap Fund seek capital appreciation. BNY Mellon Income Stock Fund and BNY Mellon International Equity Income Fund seek total return (consisting of capital appreciation and income). BNY Mellon International Fund and BNY Mellon Emerging Markets Fund seek long-term capital growth. BNY Mellon International Appreciation Fund seeks long-term capital appreciation. BNY Mellon Asset Allocation Fund seeks long-term growth of principal in conjunction with current income.
BNY Mellon Fund Advisers, a division of The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as each fund’s investment adviser (“Investment Adviser”).The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as administrator for the funds pursuant to an Administration Agreement with the Trust (the “Administration Agreement”). The Bank of New York Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to whichThe Bank of New York Mellon pays Dreyfus for performing certain administrative services. Walter Scott & Partners Limited (“Walter Scott”), also a subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the BNY Mellon Large Cap Market Opportunities Fund’s and BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund’s sub-investment adviser with respect to the U.S. Large Cap Equity Strategy of each fund. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of each fund’s shares.
The Trust is authorized to issue an unlimited number of shares of Beneficial Interest, par value $.001 per share, in Class M and Investor class shares of each fund and in the Dreyfus Premier class shares of BNY Mellon Mid Cap Stock Fund. Dreyfus Premier shares of BNY Mellon Mid Cap Stock Fund were subject to a contingent deferred sales charge (“CDSC”) imposed on redemptions of Dreyfus Premier shares made within six years of purchase and automatically converted to Investor class shares after six years. BNY Mellon Mid Cap Stock Fund no longer offers Dreyfus Premier shares. Effective March 13, 2012, all outstanding Dreyfus Premier shares of BNY Mellon Mid Cap Stock Fund were automatically converted to the fund’s Investor shares. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
132
TheTrust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 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. Each 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.
NOTE 2—Significant Accounting Policies:
(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 each 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 funds’ 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. 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, except for open short positions, where the asked price is 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 categorized within Level 1 of the fair value hierarchy.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
BNY Mellon Asset Allocation Fund: Investments in debt securities excluding short-term investments (other than U.S.Treasury Bills) are valued each business day by an independent pricing service (the “Service”) approved by theTrust’s Board. Debt securities for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other debt securities are valued as determined by the Service, based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S.Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service.These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Trust’s 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 ADRs and futures contracts. 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 reflect accurately fair value, such as when the value of the 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 funds calculate their net asset values, the funds may value these investments at fair value as determined in accordance with the procedures approved by the Trust’s 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 securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in hierarchy.
Financial futures and options, 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.These securities are generally categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued at the mean between the bid and asked price. These securities are generally categorized within Level 2 of the fair value hierarchy. Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate. These securities are generally categorized within Level 2 of the fair value hierarchy.
Table 1 summarizes the inputs used as of February 29, 2012 in valuing each fund’s investments.
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement,
134
| | | | | | | | | |
| Table 1—Fair Value Measurements | | | | | | | | |
| |
| | | | | Investments in Securities | | | |
| | | | | | Level 2—Other | Level 3—Significant | | |
| | Level 1—Unadjusted | | | Significant | | Unobservable | | |
| | | Quoted Prices | | Observable Inputs | | Inputs | | |
| | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | Assets ($) | Liabilities ($) | Total ($) | |
| BNY Mellon Large Cap | | | | | | | | | |
| Stock Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 926,270,558 | — | | — | — | — | — | 926,270,558 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 102,470,344 | — | | — | — | — | — | 102,470,344 | |
| Mutual Funds/Exchange | | | | | | | | | |
| Traded Funds | 45,659,160 | — | | — | — | — | — | 45,659,160 | |
| BNY Mellon Large | | | | | | | | | |
| Cap Market | | | | | | | | | |
| Opportunities Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 114,057,348 | — | | — | — | — | — | 114,057,348 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 1,564,942 | — | | — | — | — | — | 1,564,942 | |
| Mutual Funds | 19,509,139 | — | | — | — | — | — | 19,509,139 | |
| BNY Mellon Tax-Sensitive | | | | | | | | | |
| Large Cap | | | | | | | | | |
| Multi-Strategy Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 87,909,363 | — | | — | — | — | — | 87,909,363 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 1,414,854 | — | | — | — | — | — | 1,414,854 | |
| Mutual Funds | 10,795,885 | — | | — | — | — | — | 10,795,885 | |
| BNY Mellon Income | | | | | | | | | |
| Stock Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 390,741,815 | — | | — | — | — | — | 390,741,815 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 33,877,426 | — | | — | — | — | — | 33,877,426 | |
| Mutual Funds | 28,218,673 | — | | — | — | — | — | 28,218,673 | |
| Other Financial | | | | | | | | | |
| Instruments: | | | | | | | | | |
| Options Written | — | (80,000 | ) | — | — | — | — | (80,000 | ) |
| BNY Mellon Mid Cap | | | | | | | | | |
| Stock Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 1,296,902,575 | — | | — | — | — | — | 1,296,902,575 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 17,939,062 | — | | — | — | — | — | 17,939,062 | |
| Mutual Funds | 35,421,841 | — | | — | — | — | — | 35,421,841 | |
| BNY Mellon Small Cap | | | | | | | | | |
| Stock Fund | | | | | | | | | |
| Equity Securities— | | | | | | | | | |
| Domestic† | 311,992,068 | — | | — | — | — | — | 311,992,068 | |
| Equity Securities— | | | | | | | | | |
| Foreign† | 1,491,100 | — | | — | — | — | — | 1,491,100 | |
| Mutual Funds | 29,928,980 | — | | — | — | — | — | 29,928,980 | |
| | | | | | | | | | |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) | | | | | | | | | |
| |
| |
| |
| |
| Table 1—Fair Value Measurements (continued) | | | | | | | | |
| |
| | | | | Investments in Securities | | | |
| | | | | | Level 2—Other | | Level 3—Significant | | |
| | Level 1—Unadjusted | | | Significant | | | Unobservable | | |
| | | Quoted Prices | | Observable Inputs | | | Inputs | | |
| | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | Total ($) | |
| BNY Mellon U.S. Core | | | | | | | | | | |
| Equity 130/30 Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Domestic† | 328,238,878 | — | | — | — | | — | — | 328,238,878 | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 32,474,963 | — | | — | — | | — | — | 32,474,963 | |
| Mutual Funds/Exchange | | | | | | | | | | |
| Traded Funds | 1,363,349 | — | | — | — | | — | — | 1,363,349 | |
| Securities Sold Short: | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Domestic†† | — | (51,593,483 | ) | — | — | | — | — | (51,593,483 | ) |
| Equity Securities— | | | | | | | | | | |
| Foreign†† | — | (21,831,810 | ) | — | — | | — | — | (21,831,810 | ) |
| BNY Mellon Focused Equity | | | | | | | | | |
| Opportunities Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Domestic† | 437,615,103 | — | | — | — | | — | — | 437,615,103 | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 12,617,410 | — | | — | — | | — | — | 12,617,410 | |
| Mutual Funds | 4,400,589 | — | | — | — | | — | — | 4,400,589 | |
| BNY Mellon | | | | | | | | | | |
| Small/Mid Cap Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Domestic† | 483,166,959 | — | | — | — | | — | — | 483,166,959 | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 25,827,712 | — | | — | — | | — | — | 25,827,712 | |
| Mutual Funds | 65,239,831 | — | | — | — | | — | — | 65,239,831 | |
| BNY Mellon | | | | | | | | | | |
| International Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 733,989,993 | — | | — | — | | — | — | 733,989,993 | |
| Mutual Funds/Exchange | | | | | | | | | | |
| Traded Funds | 23,009,607 | — | | — | — | | — | — | 23,009,607 | |
| Other Financial | | | | | | | | | | |
| Instruments: | | | | | | | | | | |
| Forward Foreign | | | | | | | | | | |
| Currency Exchange | | | | | | | | | |
| Contracts††† | — | — | | 1,242 | (8,790 | ) | — | — | (7,548 | ) |
| BNY Mellon Emerging | | | | | | | | | | |
| Markets Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 2,186,003,986 | — | | — | — | | — | — | 2,186,003,986 | |
| Mutual Funds/Exchange | | | | | | | | | | |
| Traded Funds | 141,656,728 | — | | — | — | | — | — | 141,656,728 | |
| Rights† | 30,999 | — | | — | — | | — | — | 30,999 | |
| Other Financial | | | | | | | | | | |
| Instruments: | | | | | | | | | | |
| Forward Foreign | | | | | | | | | | |
| Currency Exchange | | | | | | | | | |
| Contracts††† | — | — | | 41,152 | (63,061 | ) | — | — | (21,909 | ) |
136
| | | | | | | | | | |
| Table 1—Fair Value Measurements (continued) | | | | | | | | |
| |
| | | | | Investments in Securities | | | |
| | | | | | Level 2—Other | | Level 3—Significant | | |
| | Level 1—Unadjusted | | | Significant | | | Unobservable | | |
| | | Quoted Prices | | Observable Inputs | | | Inputs | | |
| | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | Total ($) | |
| BNY Mellon International | | | | | | | | | | |
| Appreciation Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 163,432,943 | — | | — | — | | — | — | 163,432,943 | |
| Mutual Funds | 1,296,943 | — | | — | — | | — | — | 1,296,943 | |
| U.S. Treasury | — | — | | 154,972 | — | | — | — | 154,972 | |
| Other Financial | | | | | | | | | | |
| Instruments: | | | | | | | | | | |
| Forward Foreign | | | | | | | | | | |
| Currency Exchange | | | | | | | | | | |
| Contracts††† | — | — | | 7,042 | (31,720 | ) | — | — | (24,678 | ) |
| Futures††† | 27,036 | (36 | ) | — | — | | — | — | 27,000 | |
| BNY Mellon International | | | | | | | | | | |
| Equity Income Fund | | | | | | | | | | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 49,711,820 | — | | — | — | | — | — | 49,711,820 | |
| Mutual Funds/Exchange | | | | | | | | | | |
| Traded Funds | 4,243,717 | — | | — | — | | — | — | 4,243,717 | |
| Other Financial | | | | | | | | | | |
| Instruments: | | | | | | | | | | |
| Forward Foreign | | | | | | | | | | |
| Currency Exchange | | | | | | | | | | |
| Contracts††† | — | — | | 3,548 | — | | — | — | 3,548 | |
| BNY Mellon Asset | | | | | | | | | | |
| Allocation Fund | | | | | | | | | | |
| Asset—Backed | — | — | | 1,155,316 | — | | — | — | 1,155,316 | |
| Commercial | | | | | | | | | | |
| Mortgage—Backed | — | — | | 1,402,244 | — | | — | — | 1,402,244 | |
| Corporate Bonds† | — | — | | 21,857,958 | — | | — | — | 21,857,958 | |
| Equity Securities— | | | | | | | | | | |
| Domestic† | 56,450,022 | — | | — | — | | — | — | 56,450,022 | |
| Equity Securities— | | | | | | | | | | |
| Foreign† | 6,244,284 | — | | — | — | | — | — | 6,244,284 | |
| Foreign Government | — | — | | 945,743 | — | | — | — | 945,743 | |
| Municipal Bonds | — | — | | 4,311,516 | — | | — | — | 4,311,516 | |
| Mutual Funds/Exchange | | | | | | | | | | |
| Traded Funds | 267,970,672 | — | | — | — | | — | — | 267,970,672 | |
| U.S. Government | | | | | | | | | | |
| Agencies/ | | | | | | | | | | |
| Mortgage—Backed | — | — | | 24,004,617 | — | | — | — | 24,004,617 | |
| U.S. Treasury | — | — | | 15,714,106 | — | | — | — | 15,714,106 | |
| |
| † | See Statement of Investments for additional detailed categorizations. |
| †† | See Statement of Securities Sold Short for additional detailed categorizations. |
| ††† Amount shown represents unrealized appreciation (depreciation) at period end. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition,ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measure-ments.The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(b) 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.
BNY Mellon International Fund, BNY Mellon Emerging Markets Fund, BNY Mellon International Appreciation Fund and BNY Mellon International Equity Income Fund
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S.These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
Pursuant to a securities lending agreement withThe Bank of New York Mellon, the funds may lend securities to qualified institutions. It is the funds’ 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 Dreyfus, U.S. Government and Agency securities or letters of credit.The funds are entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the funds bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. Table 2 summarizes the amountThe Bank of NewYork Mellon earned from each relevant fund from lending portfolio securities, pursuant to the securities lending agreement during the period ended February 29, 2012.
| | |
| Table 2—Securities Lending Agreement | | |
| BNY Mellon Large Cap Stock Fund | $ | 16,910 |
| BNY Mellon Income Stock Fund | | 9,159 |
| BNY Mellon Mid Cap Stock Fund | | 16,783 |
| BNY Mellon Small Cap Stock Fund | | 59,753 |
| BNY Mellon Focused Equity | | |
| Opportunities Fund | | 350 |
| BNY Mellon Small/Mid Cap Fund | | 618,800 |
| BNY Mellon Asset Allocation Fund | | 3,068 |
(c) Affiliated issuers: Other investment companies advised by Dreyfus are considered to be “affiliated” with each fund.
The funds may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Table 3 summarizes each fund’s investments in affiliated investment companies for the period ended February 29, 2012.
(d) Foreign currency transactions: BNY Mellon Emerging Markets Fund, BNY Mellon International Fund, BNY Mellon International Appreciation Fund and BNY Mellon International Equity Income Fund do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes
138
| | | | | | | | | | | |
| Table 3—Affiliated Investment Companies | | | | | | | | |
| |
| | | | | | | | Change in | | | | |
| | | | | | | | Net Unrealized | | | | |
| Affiliated | Value | | | | Net Realized | | Appreciation | Value | | Net | Dividends/ |
| Investment Companies | 8/31/2011 | ($) | Purchases ($)† | Sales ($) | Gain (Loss) ($) | | (Depreciation) ($) | 2/29/2012 | ($) | Assets (%) | Distributions ($) |
| BNY Mellon Large Cap | | | | | | | | | | | |
| Stock Fund | | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | |
| Market Fund | 2,293,000 | | 163,881,899 | 149,831,380 | — | | — | 16,343,519 | | 1.5 | — |
| Dreyfus Institutional | | | | | | | | | | | |
| Cash Advantage | | | | | | | | | | | |
| Fund | 225,880,181 | | 128,294,009 | 353,657,413 | — | | — | 516,777 | | 0.1 | — |
| Total | 228,173,181 | | 292,175,908 | 503,488,793 | — | | — | 16,860,296 | | 1.6 | — |
| BNY Mellon Large | | | | | | | | | | | |
| Cap Market | | | | | | | | | | | |
| Opportunities Fund | | | | | | | | | | | |
| BNY Mellon U.S. Core | | | | | | | | | | | |
| Equity 130/30 | | | | | | | | | | | |
| Fund, CI. M | 35,831,718 | | 3,117,063 | 23,706,256 | (1,638,292 | ) | 3,521,878 | 17,126,111 | | 12.6 | 142,062 |
| Dreyfus Institutional | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | |
| Market Fund | 3,414,000 | | 41,303,589 | 42,334,561 | — | | — | 2,383,028 | | 1.8 | — |
| Total | 39,245,718 | | 44,420,652 | 66,040,817 | (1,638,292 | ) | 3,521,878 | 19,509,139 | | 14.4 | 142,062 |
| BNY Mellon | | | | | | | | | | | |
| Tax-Sensitive | | | | | | | | | | | |
| Large Cap | | | | | | | | | | | |
| Multi-Strategy Fund | | | | | | | | | | | |
| BNY Mellon U.S. Core | | | | | | | | | | | |
| Equity 130/30 | | | | | | | | | | | |
| Fund, CI. M | 13,084,944 | | 1,476,385 | 6,546,245 | (444,487 | ) | 1,336,206 | 8,906,803 | | 8.8 | 51,386 |
| Dreyfus Institutional | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | |
| Market Fund | 2,666,000 | | 27,161,907 | 27,938,825 | — | | — | 1,889,082 | | 1.9 | — |
| Total | 15,750,944 | | 28,638,292 | 34,485,070 | (444,487 | ) | 1,336,206 | 10,795,885 | | 10.7 | 51,386 |
| BNY Mellon Income | | | | | | | | | | | |
| Stock Fund | | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | |
| Market Fund | 10,004,000 | | 116,106,063 | 115,763,315 | — | | — | 10,346,748 | | 2.4 | — |
| Dreyfus Institutional | | | | | | | | | | | |
| Cash Advantage Fund | 43,732,836 | | 123,094,809 | 148,955,720 | — | | — | 17,871,925 | | 4.1 | — |
| Total | 53,736,836 | | 239,200,872 | 264,719,035 | — | | — | 28,218,673 | | 6.5 | — |
| BNY Mellon Mid Cap | | | | | | | | | | | |
| Stock Fund | | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | |
| Market Fund | 15,997,000 | | 231,867,892 | 237,373,432 | — | | — | 10,491,460 | | .8 | — |
| Dreyfus Institutional | | | | | | | | | | | |
| Cash Advantage | | | | | | | | | | | |
| Fund | 174,890,111 | | 409,526,293 | 559,486,023 | — | | — | 24,930,381 | | 1.9 | — |
| Total | 190,887,111 | | 641,394,185 | 796,859,455 | — | | — | 35,421,841 | | 2.7 | — |
| | | | | | | | | | |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) | | | | | | | |
| |
| |
| |
| |
| Table 3—Affiliated Investment Companies (continued) | | | | | | |
| |
| | | | | | | Change in | | | | |
| | | | | | | Net Unrealized | | | | |
| Affiliated | Value | | | | Net Realized | Appreciation | Value | | Net | Dividends/ |
| Investment Companies | 8/31/2011 | ($) | Purchases ($)† | Sales ($) | Gain (Loss) ($) | (Depreciation) ($) | 2/29/2012 | ($) | Assets (%) | Distributions ($) |
| BNY Mellon Small Cap | | | | | | | | | | |
| Stock Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 9,681,000 | | 82,054,246 | 85,935,463 | — | — | 5,799,783 | | 1.8 | — |
| Dreyfus Institutional Cash | | | | | | | | | | |
| Advantage Fund | 106,062,686 | | 91,563,027 | 173,496,516 | — | — | 24,129,197 | | 7.6 | — |
| Total | 115,743,686 | | 173,617,273 | 259,431,979 | — | — | 29,928,980 | | 9.4 | — |
| BNY Mellon U.S. Core | | | | | | | | | | |
| Equity 130/30 Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 786,000 | | 64,509,867 | 65,295,867 | — | — | — | | — | — |
| BNY Mellon Focused Equity | | | | | | | | | |
| Opportunities Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 930,000 | | 50,079,940 | 46,609,351 | — | — | 4,400,589 | | 1.0 | — |
| Dreyfus Institutional Cash | | | | | | | | | | |
| Advantage Fund | 19,835,759 | | 8,860,130 | 28,695,889 | — | — | — | | — | — |
| Total | 20,765,759 | | 58,940,070 | 75,305,240 | — | — | 4,400,589 | | 1.0 | — |
| BNY Mellon | | | | | | | | | | |
| Small/Mid Cap Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 26,815,000 | | 134,613,280 | 152,250,245 | — | — | 9,178,035 | | 1.8 | — |
| Dreyfus Institutional Cash | | | | | | | | | | |
| Advantage Fund | 81,958,309 | | 151,745,235 | 177,641,748 | — | — | 56,061,796 | | 10.8 | — |
| Total | 108,773,309 | | 286,358,515 | 329,891,993 | — | — | 65,239,831 | | 12.6 | — |
| BNY Mellon | | | | | | | | | | |
| International Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 4,200,000 | | 107,774,879 | 100,564,671 | — | — | 11,410,208 | | 1.5 | — |
| BNY Mellon Emerging | | | | | | | | | | |
| Markets Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | 27,500,000 | | 282,434,495 | 236,538,973 | — | — | 73,395,522 | | 3.1 | — |
| BNY Mellon International | | | | | | | | | | |
| Appreciation Fund | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | |
| Market Fund | — | | 17,836,373 | 16,539,430 | — | — | 1,296,943 | | .8 | — |
140
| | | | | | | | | | | | |
| Table 3—Affiliated Investment Companies (continued) | | | | | | | | |
| |
| | | | | | | | Change in | | | | | |
| | | | | | | | Net Unrealized | | | | | |
| Affiliated | Value | | | | Net Realized | | Appreciation | | Value | | Net | Dividends/ |
| Investment Companies | 8/31/2011 | ($) | Purchases ($)† | Sales ($) | Gain (Loss) ($) | | (Depreciation) ($) | | 2/29/2012 | ($) | Assets (%) | Distributions ($) |
| BNY Mellon International | | | | | | | | | | | | |
| Equity Income Fund | | | | | | | | | | | | |
| Dreyfus Institutional | | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | | |
| Market Fund | — | | 28,433,879 | 27,002,362 | — | | — | | 1,431,517 | | 2.7 | — |
| BNY Mellon Asset | | | | | | | | | | | | |
| Allocation Fund | | | | | | | | | | | | |
| BNY Mellon Emerging | | | | | | | | | | | | |
| Markets Fund, CI. M | 33,310,787 | | 6,501,990 | — | — | | 198,927 | | 40,011,704 | | 10.1 | 1,454,991 |
| BNY Mellon Focused | | | | | | | | | | | | |
| Equity Opportunities | | | | | | | | | | | | |
| Fund, CI. M | — | | 23,665,605 | — | — | | 1,900,749 | | 25,566,354 | | 6.5 | 72,605 |
| BNY Mellon Intermediate | | | | | | | | | | | | |
| Bond Fund, CI. M | — | | 14,578,470 | 1,168,000 | 2,560 | | 31,864 | | 13,444,894 | | 3.4 | 206,076 |
| BNY Mellon International | | | | | | | | | | | | |
| Fund, CI. M | 29,195,711 | | 450,541 | 17,715,000 | (8,699,121 | ) | 7,565,037 | | 10,797,168 | | 2.7 | 450,541 |
| BNY Mellon Mid Cap | | | | | | | | | | | | |
| Stock Fund, CI. M | 23,511,412 | | 567,002 | 6,200,000 | (965,155 | ) | 1,836,112 | | 18,749,371 | | 4.7 | 567,002 |
| BNY Mellon Short-Term | | | | | | | | | | | | |
| U.S. Government | | | | | | | | | | | | |
| Securities Fund, CI. M | — | | 7,220,800 | — | — | | (35,152 | ) | 7,185,648 | | 1.8 | 23,149 |
| BNY Mellon | | | | | | | | | | | | |
| Small/Mid Cap | | | | | | | | | | | | |
| Fund, CI. M | — | | 8,465,444 | — | — | | 306,481 | | 8,771,925 | | 2.2 | 97,444 |
| BNY Mellon Small Cap | | | | | | | | | | | | |
| Stock Fund, CI. M | 13,841,460 | | — | 13,443,422 | (1,643,666 | ) | 1,245,628 | | — | | — | — |
| BNY Mellon U.S. Core | | | | | | | | | | | | |
| Equity 130/30 | | | | | | | | | | | | |
| Fund, CI. M | — | | 19,808,913 | 9,539,000 | 679,581 | | 1,090,384 | | 12,039,878 | | 3.1 | 108,912 |
| Dreyfus Emerging | | | | | | | | | | | | |
| Markets Debt Local | | | | | | | | | | | | |
| Currency Fund, Cl. I | — | | 4,173,643 | — | — | | 134,711 | | 4,308,354 | | 1.1 | 61,643 |
| Dreyfus Global Real Estate | | | | | | | | | | | | |
| Securities Fund, Cl. I | — | | 6,943,788 | — | — | | 703,789 | | 7,647,577 | | 1.9 | 143,789 |
| Dreyfus High Yield | | | | | | | | | | | | |
| Fund, Cl. I | — | | 9,461,732 | — | — | | 476,235 | | 9,937,967 | | 2.5 | 189,561 |
| Dreyfus Inflation Adjusted | | | | | | | | | | | | |
| Securities Fund | — | | 10,969,535 | — | — | | 181,255 | | 11,150,790 | | 2.8 | 174,242 |
| Dreyfus Institutional | | | | | | | | | | | | |
| Preferred Plus Money | | | | | | | | | | | | |
| Market Fund | 2,470,000 | | 74,900,871 | 69,704,633 | — | | — | | 7,666,238 | | 2.0 | — |
| Dreyfus Select | | | | | | | | | | | | |
| Managers Small Cap | | | | | | | | | | | | |
| Growth Fund, Cl. I | — | | 7,293,000 | — | — | | 379,203 | | 7,672,203 | | 2.0 | — |
| | | | | | | | | | | |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) | | | | | | | |
| |
| |
| |
| |
| Table 3—Affiliated Investment Companies (continued) | | | | | | |
| |
| | | | | | | Change in | | | | |
| | | | | | | Net Unrealized | | | | |
| Affiliated | Value | | | | Net Realized | Appreciation | Value | | Net | Dividends/ |
| Investment Companies | 8/31/2011 | ($) | Purchases ($)† | Sales ($) | Gain (Loss) ($) | (Depreciation) ($) | 2/29/2012 | ($) | Assets (%) | Distributions ($) |
| BNY Mellon | | | | | | | | | | |
| Asset Allocation | | | | | | | | | | |
| Fund (continued) | | | | | | | | | | |
| Dreyfus Select | | | | | | | | | | |
| Managers Small Cap | | | | | | | | | | |
| Value Fund, Cl. I | — | | 11,134,597 | 1,947,000 | 124,640 | 551,625 | 9,863,862 | | 2.5 | 934,597 |
| Dreyfus U.S. Equity | | | | | | | | | | |
| Fund, Cl. I | — | | 17,589,337 | — | — | 1,692,683 | 19,282,020 | | 4.9 | 74,336 |
| Dreyfus/Newton | | | | | | | | | | |
| International | | | | | | | | | | |
| Equity Fund, Cl. I | — | | 6,321,187 | 1,947,000 | (17,197) | 98,413 | 4,455,403 | | 1.1 | 221,187 |
| Global Stock Fund, Cl. I | — | | 20,809,532 | — | — | 2,082,800 | 22,892,332 | | 5.8 | 409,533 |
| Dreyfus Institutional | | | | | | | | | | |
| Cash Advantage | | | | | | | | | | |
| Fund | 18,242,094 | | 18,722,928 | 35,222,155 | — | — | 1,742,867 | | .4 | — |
| Total | 120,571,464 | | 269,578,915 | 156,886,210 | (10,518,358) | 20,440,744 | 243,186,555 | | 61.5 | 5,189,608 |
| |
| † | Includes reinvested dividends/distributions. |
in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on investments are included with net realized and unrealized gain or loss on investments.
(e) Concentration of risk: BNY Mellon U. S. Core Equity 130/30 Fund enters into short sales. Short sales involve selling a security the fund does not own in anticipation that the security’s price will decline. Short sales may involve substantial risk and “leverage.”The fund may be required to buy the security sold short at a time when the security has appreciated in value, thus resulting in a loss to the fund. Short positions in stocks involve more risk than long positions in stocks. In theory, stocks sold short have unlimited risk. BNY Mellon Asset Allocation Fund invests in debt securities. Failure of an issuer of the debt securities to make timely interest or principal payments, or a decline or the perception of a decline in the credit quality of a debt security, can cause the debt security’s price to fall, potentially lowering the fund’s share price. In addition, the value of debt securities may decline due to general market conditions that are not specifically related to a particular issuer, such as real or perceived adverse economic conditions, changes in outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment.They may also decline because of factors that affect a particular industry.
BNY Mellon Focused Equity Opportunities Fund is non-diversified, which means that a relatively high percentage of the fund’s assets may be invested in a limited
142
number of issuers. Therefore, the fund’s performance may be vulnerable to changes in market value of a single issuer or group of issuers and more susceptible to risks associated with a single economic, political or regulatory occurrence than a diversified fund.
(f) Dividends to shareholders: Dividends payable to shareholders are recorded by the funds on the ex-dividend date. BNY Mellon Large Cap Stock Fund, BNY Mellon Income Stock Fund and BNY Mellon Asset Allocation Fund declare and pay dividends from investment income-net monthly. BNY Mellon International Equity Income Fund declares and pays dividends from investment income-net quarterly. BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Mid Cap Stock Fund, BNY Mellon Small Cap Stock Fund, BNY Mellon U.S. Core Equity 130/30 Fund, BNY Mellon Focused Equity Opportunities Fund, BNY Mellon Small/Mid Cap Fund, BNY Mellon International Fund, BNY Mellon Emerging Markets Fund and BNY Mellon International Appreciation Fund declare and pay dividends from investment income-net annually.With respect to each series, dividends from net realized capital gains, if any, are normally declared and paid annually, but the funds may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers of that fund, it is the policy of the funds 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 each fund to continue to qualify and the policy of BNY Mellon International Equity Income Fund 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 sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each series is treated as a single entity for the purpose of determining such qualification.
As of and during the period ended February 29, 2012, the funds did not have any liabilities for any uncertain tax positions.The funds recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statements of Operations. During the period, the funds did not incur any interest or penalties.
Except for BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Focused Equity Opportunities Fund, BNY Mellon Small/Mid Cap Fund and BNY Mellon International Equity Income Fund, each of the tax years in the three-year period ended August 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities. For the BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Focused Equity Opportunities Fund and BNY Mellon Small/Mid Cap Fund, each of the tax years in the two-year period ended August 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), each relevant fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than short-term as they were under previous statute.The 2010 Act requires post-enactment losses to be utilized before the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment losses may be more likely to expire unused.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Table 4 summarizes each relevant fund’s unused capital loss carryover available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to August 31, 2011.
Table 5 summarizes each relevant fund’s tax character of distributions paid to shareholders during the fiscal year ended August 31, 2011.The tax character of current year distributions will be determined at the end of the current fiscal year.
BNY Mellon Asset Allocation Fund
(h) New Accounting Pronouncement: In April 2011, FASB issued ASU No. 2011-03 “Transfers and Servicing (Topic 860) Reconsideration of Effective Control for Repurchase Agreements (“ASU 2011-03”) which relates to the accounting for repurchase agreements and similar agreements including mortgage dollar rolls, that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity.ASU 2011-03 modifies the criteria for determining effective control of transferred assets and as a result certain agreements may now be accounted for as secured borrowings.ASU 2011-03 is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. Management is currently evaluating the implications of this change and its impact on the financial statements.
| | | | | |
| Table 4—Capital Loss Carryover | | | | |
| |
| Expiring in fiscal | 2017($)† | 2018 | ($)† | Total ($) |
| BNY Mellon Large Cap Stock Fund | — | 25,090,340 | | 25,090,340 |
| BNY Mellon Income Stock Fund | — | 12,929,226 | | 12,929,226 |
| BNY Mellon Small Cap Stock Fund | — | 74,949,412 | | 74,949,412 |
| BNY Mellon U.S. Core Equity 130/30 Fund | 18,554,851 | 32,853,812 | | 51,408,663 |
| BNY Mellon International Fund | 107,124,489 | 462,294,170 | | 569,418,659 |
| BNY Mellon International Appreciation Fund | 15,657,135 | — | | 15,657,135 |
| |
| † If not applied, the carryovers expire in the above years. | | | | |
| |
| |
| Table 5—Tax Character of Distributions Paid | | | | |
| |
| |
| | Ordinary Income ($) | Long-Term Capital Gains ($) |
| | 2011 | | | 2011 |
| BNY Mellon Large Cap Stock Fund | 13,291,252 | | | — |
| BNY Mellon Large Cap Market Opportunities Fund | 183,058 | | | — |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | 186,294 | | | 75 |
| BNY Mellon Income Stock Fund | 3,104,684 | | | — |
| BNY Mellon Mid Cap Stock Fund | — | | | 358,451 |
| BNY Mellon U.S. Core Equity 130/30 Fund | 1,000,686 | | | — |
| BNY Mellon Focused Equity Opportunities Fund | 1,301,844 | | | — |
| BNY Mellon Small/Mid Cap Fund | 2,897,589 | | | 237,575 |
| BNY Mellon International Fund | 21,184,188 | | | — |
| BNY Mellon Emerging Markets Fund | 9,733,250 | | | — |
| BNY Mellon International Appreciation Fund | 5,599,840 | | | — |
| BNY Mellon Asset Allocation Fund | 7,382,447 | | | — |
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NOTE 3—Bank Lines of Credit:
Except for BNY Mellon International Equity Income Fund, the funds participate with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, each fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the funds based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended February 29, 2012, BNY Mellon Large Cap Market Opportunities Fund, BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, BNY Mellon Income Stock Fund and BNY Mellon Asset Allocation Fund did not borrow under the Facilities.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Large Cap Stock Fund, was approximately $1,058,800 with a related weighted average annualized interest rate of 1.47%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Mid Cap Stock Fund, was approximately $97,300 with a related weighted average annualized interest rate of 1.34%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Small Cap Stock Fund, was approximately $196,200 with a related weighted average annualized interest rate of 1.39%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon U.S. Core Equity 130/30 Fund, was approximately $1,391,200 with a related weighted average annualized interest rate of 1.20%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Focused Equity Opportunities Fund, was approximately $359,300 with a related weighted average annualized interest rate of 1.24%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Small/Mid Cap Fund, was approximately $33,500 with a related weighted average annualized interest rate of 1.23%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon International Fund, was approximately $1,175,800 with a related weighted average annualized interest rate of 1.27%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon Emerging Markets Fund, was approximately $3,647,800 with a related weighted average annualized interest rate of 1.23%.
The average amount of borrowings outstanding under the Facilities during the period ended February 29, 2012 for BNY Mellon International Appreciation Fund, was approximately $55,500 with a related weighted average annualized interest rate of 1.23%.
NOTE 4—Investment Advisory Fee, Administration Fee, Sub-Investment Advisory Fee and Other Transactions With Affiliates:
(a) Fees payable by the funds pursuant to the provisions of an investment advisory agreement with the Investment Adviser are payable monthly, computed on the average daily value of each fund’s net assets at the following annual rates: .65% of BNY Mellon Large Cap Stock Fund, .70% (direct investment in securities) and .15% (other underlying funds, which may consist of affiliated funds, mutual funds and exchange traded funds) of BNY Mellon Large Cap Market Opportunities Fund, .70% (direct investment
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
in securities) and .15% (other underlying funds, which may consist of affiliated funds, mutual funds and exchange traded funds) of BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, .65% of BNY Mellon Income Stock Fund, .75% of BNY Mellon Mid Cap Stock Fund, .85% of BNY Mellon Small Cap Stock Fund, .80% of BNY Mellon U.S. Core Equity 130/30 Fund, .70% of BNY Mellon Focused Equity Opportunities Fund, .75% of BNY Mellon Small/Mid Cap Fund, .85% of BNY Mellon International Fund, 1.15% of BNY Mellon Emerging Markets Fund, .50% of BNY Mellon International Appreciation Fund, .85% of BNY Mellon International Equity Income Fund and .65% (equity investments), .40% (debt securities) and .15% (money market investments and other underlying funds, which may consist of affiliated funds, mutual funds and exchange traded funds) of BNY Mellon Asset Allocation Fund.
For BNY Mellon Large Cap Market Opportunities Fund, the Investment Adviser has contractually agreed, until January 1, 2013, to waive receipt of its fees and/or assume the expenses of the fund, so that the fund’s total annual operating expenses (excluding shareholder services fees, taxes, interest expense, commitment fees on borrowings, brokerage commissions and extraordinary expenses), do not exceed 1.25% of the value of the average daily net assets of their respective class. During the period ended February 29, 2012, there was no reduction in the fund’s investment advisory fee.
For BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund, the Investment Adviser has contractually agreed, until January 1, 2013, to waive receipt of its fees and/or assume the expenses of the fund, so that the fund’s total annual operating expenses (excluding shareholder services fees, taxes, interest expense, commitment fees on borrowings, brokerage commissions and extraordinary expenses), do not exceed 1.15% of the value of the average daily net assets of their respective class. During the period ended February 29, 2012, there was no reduction in the fund’s investment advisory fee.
For BNY Mellon International Equity Income Fund, the Investment Adviser has contractually agreed, until January 1, 2013, to waive receipt of its fees and/or assume the expenses of the fund, so that the fund’s total annual operating expenses (excluding shareholder services fees, taxes, brokerage commissions and extraordinary expenses), do not exceed 1.20% of the value of the average daily net assets of their respective class. The reduction in investment advisory fee, amounted to $53,725 during the period ended February 29, 2012.
For BNY Mellon Asset Allocation Fund, the Investment Adviser has contractually agreed, until December 31, 2012, to waive receipt of its fees and/or assume the expenses of the fund, so that the fund’s total annual fund operating expenses (including indirect fees and expense of the underlying funds, but excluding shareholder services fees, taxes, interest expense, commitment fees on borrowings, brokerage commissions and extraordinary expenses) do not exceed .87% of the value of the average daily net assets of their respective class.The reduction in investment advisory fee, amounted to $134,156 during the period ended February 29, 2012.
Pursuant to the Administration Agreement,The Bank of New York Mellon provides or arranges for fund accounting, transfer agency and other fund administration services and receives a fee based on the total net assets of the Trust based on the following rates:
| | |
| 0 up to $6 billion | .15% |
| $6 billion up to $12 billion | .12% |
| In excess of $12 billion | .10% |
No administration fee is applied to assets held by BNY Mellon Large Cap Market Opportunities Fund and BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund which are invested in shares of other underlying funds.
No administration fee is applied to assets held by BNY Mellon Asset Allocation Fund, which are invested in cash or money market instruments or shares of other underlying funds.
146
The Bank of New York Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to which The Bank of New York Mellon pays Dreyfus for performing certain administrative services.
Pursuant to a Sub-Investment Advisory Agreement between Dreyfus and Walter Scott, Dreyfus pays Walter Scott a monthly fee at an annual rate of .41% of BNY Mellon Large Cap Market Opportunities Fund’s and BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund’s average daily net assets allocated to the U.S. Large Cap Equity Strategy.
During the period ended February 29, 2012, the Distributor retained $3 from CDSCs on redemptions of BNY Mellon Mid Cap Stock Fund’s Dreyfus Premier shares.
(b) BNY Mellon Mid Cap Stock Fund has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act for distributing its Dreyfus Premier shares. BNY Mellon Mid Cap Stock Fund pays the Distributor a fee at an annual rate of .75% of the value of the fund’s average daily net assets attributable to its Dreyfus Premier shares. During the period ended February 29, 2012, BNY Mellon Mid Cap Stock Fund’s Dreyfus Premier shares were charged $1,410 pursuant to the Plan.
(c) The funds have adopted a Shareholder Services Plan with respect to their Investor shares and BNY Mellon Mid Cap Stock Fund has adopted a Shareholder Services Plan with respect to its Dreyfus Premier shares. Each fund pays the Distributor for the provision of certain services to holders of Investor shares and Dreyfus Premier shares a fee at an annual rate of .25% of the value of the average daily net assets attributable to Investor shares and Dreyfus Premier shares. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding a fund, and providing reports and other information and services related to the maintenance of such shareholder accounts. The Shareholder Services Plan allows the Distributor to make payments from the shareholder services fees it collects from each fund to compensate service agents (certain banks, securities brokers or dealers and other financial institutions) in respect of these services. Table 6 summarizes the amounts Investor shares and Dreyfus Premier shares were charged during the period ended February 29, 2012, pursuant to the Shareholder Services Plan. Additional fees included in shareholder servicing costs in the Statements of Operations include fees paid for cash management charges.
| | |
| Table 6—Shareholder Service Plan Fees | | |
| BNY Mellon Large Cap Stock Fund | $ | 15,547 |
| BNY Mellon Large Cap Market | | |
| Opportunities Fund | | 105 |
| BNY Mellon Tax-Sensitive | | |
| Large Cap Multi-Strategy Fund | | 24 |
| BNY Mellon Income Stock Fund | | 1,540 |
| BNY Mellon Mid Cap Stock Fund, | | |
| Investor shares | | 32,992 |
| BNY Mellon Mid Cap Stock Fund, | | |
| Dreyfus Premier shares | | 470 |
| BNY Mellon Small Cap Stock Fund | | 8,595 |
| BNY Mellon U.S. Core | | |
| Equity 130/30 Fund | | 734 |
| BNY Mellon Focused Equity | | |
| Opportunities Fund | | 273 |
| BNY Mellon Small/Mid Cap Fund | | 512 |
| BNY Mellon International Fund | | 7,504 |
| BNY Mellon Emerging Markets Fund | | 26,025 |
| BNY Mellon International | | |
| Appreciation Fund | | 4,808 |
| BNY Mellon International | | |
| Equity Income Fund | | 6 |
| BNY Mellon Asset Allocation Fund | | 5,495 |
The funds have arrangements with the custodian and cash management bank whereby the funds may receive earnings credits when positive cash balances are maintained, which
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
are used to offset custody and cash management fees. For financial reporting purposes, the funds include net earnings credits as an expense offset in the Statement of Operations.
The funds compensate The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. Table 7 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the cash management agreements, which is included in Shareholder servicing costs in the Statements of Operations. These fees of each relevant fund were partially offset by earnings credits, also summarized in Table 7.
| | | |
| Table 7—Cash Management Agreement Fees | |
| Cash Management | Earnings |
| | Fees ($) | Credits ($) |
| BNY Mellon Large Cap | | |
| Stock Fund | 90 | (1) |
| BNY Mellon Large Cap | | |
| Market Opportunities Fund | 6 | — |
| BNY Mellon Tax-Sensitive | | |
| Large Cap Multi-Strategy Fund | 7 | — |
| BNY Mellon Income Stock Fund | 32 | — |
| BNY Mellon Mid Cap Stock Fund | 1,967 | (24) |
| BNY Mellon Small Cap | | |
| Stock Fund | 527 | (6) |
| BNY Mellon U.S. Core | | |
| Equity 130/30 Fund | 18 | — |
| BNY Mellon Focused Equity | | |
| Opportunities Fund | 18 | — |
| BNY Mellon Small/Mid Cap Fund | 27 | — |
| BNY Mellon International Fund | 131 | (2) |
| BNY Mellon Emerging | | |
| Markets Fund | 340 | (4) |
| BNY Mellon International | | |
| Appreciation Fund | 212 | (3) |
| BNY Mellon International | | |
| Equity Income Fund | 4 | — |
| BNY Mellon Asset Allocation Fund | 24 | — |
The funds also compensate The Bank of New York Mellon under a custody agreement for providing custodial services for the funds. Table 8 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the custody agreement.
| | |
| Table 8—Custody Agreement Fees | | |
| BNY Mellon Large Cap Stock Fund | $ | 38,662 |
| BNY Mellon Large Cap | | |
| Market Opportunities Fund | | 14,962 |
| BNY Mellon Tax-Sensitive | | |
| Large Cap Multi-Strategy Fund | | 33,357 |
| BNY Mellon Income Stock Fund | | 8,806 |
| BNY Mellon Mid Cap Stock Fund | | 38,860 |
| BNY Mellon Small Cap Stock Fund | | 27,861 |
| BNY Mellon U.S. Core | | |
| Equity 130/30 Fund | | 24,627 |
| BNY Mellon Focused | | |
| Equity Opportunities Fund | | 21,246 |
| BNY Mellon Small/Mid Cap Fund | | 20,869 |
| BNY Mellon International Fund | | 157,687 |
| BNY Mellon Emerging Markets Fund | | 1,209,962 |
| BNY Mellon International | | |
| Appreciation Fund | | 36,369 |
| BNY Mellon International | | |
| Equity Income Fund | | 7,500 |
| BNY Mellon Asset Allocation Fund | | 14,857 |
During the period ended February 29, 2012, each fund was charged $3,209 for services performed by the Chief Compliance Officer and his staff.
Table 9 summarizes the components of “Due to The Dreyfus Corporation and affiliates” in the Statements of Assets and Liabilities for each fund.
(d) Each Trustee who is not an “affiliated person” as defined in the Act receives from the Trust an annual fee of $68,000 and an attendance fee of $7,500 for each in-person meeting attended and $500 for telephone meetings and is reimbursed for travel and out-of-pocket expenses.The Chairman of the Trust’s Board receives an additional annual fee of $15,000 and the Chairman of the Trust’s Audit Committee receives an additional annual fee of $10,000. Effective March 13, 2012, the annual fee increased to $80,000, with the Chairman of the Trust’s Board and Audit Committee receiving additional annual fees of $20,000 and $15,000, respectively.
NOTE 5—Securities Transactions:
Table 10 summarizes each fund’s aggregate amount of purchases and sales (including paydowns) of investment
148
| | | | | | | |
| Table 9—Due to The Dreyfus Corporation and Affiliates | | | | |
| |
| | Investment | Rule 12b-1 | Shareholder | | Chief | |
| | Advisory | Distribution | Services | Custodian | Compliance | Less Expense |
| | Fees ($) | Plan Fees ($) | Plan Fees ($) | Fees ($) | Officer Fees ($) | Reimbursement ($) |
| BNY Mellon Large Cap Stock Fund | 542,522 | — | 2,542 | 35,005 | 1,061 | — |
| BNY Mellon Large Cap Market | | | | | | |
| Opportunities Fund | 66,834 | — | 2 | 10,641 | 1,061 | — |
| BNY Mellon Tax-Sensitive | | | | | | |
| Large Cap Multi-Strategy Fund | 51,835 | — | 2 | 22,750 | 1,061 | — |
| BNY Mellon Income Stock Fund | 215,097 | — | 289 | 6,001 | 1,061 | — |
| BNY Mellon Mid Cap Stock Fund | 780,178 | 209 | 5,510 | 40,005 | 1,061 | — |
| BNY Mellon Small Cap Stock Fund | 218,897 | — | 1,358 | 25,157 | 1,061 | — |
| BNY Mellon U.S. Core | | | | | | |
| Equity 130/30 Fund | 187,466 | — | 31 | 16,630 | 1,061 | — |
| BNY Mellon Focused | | | | | | |
| Equity Opportunities Fund | 247,283 | — | 22 | 14,098 | 1,061 | — |
| BNY Mellon Small/Mid Cap Fund | 308,252 | — | 107 | 18,001 | 1,061 | — |
| BNY Mellon International Fund | 511,604 | — | 1,095 | 160,710 | 1,061 | — |
| BNY Mellon Emerging Markets Fund | 2,046,525 | — | 4,447 | 900,101 | 1,061 | — |
| BNY Mellon International | | | | | | |
| Appreciation Fund | 65,217 | — | 833 | 8,073 | 1,061 | — |
| BNY Mellon International | | | | | | |
| Equity Income Fund | 28,236 | — | 2 | 7,500 | 1,061 | (14,230) |
| BNY Mellon Asset Allocation Fund | 84,312 | — | 1,093 | 9,900 | 1,061 | (29,379) |
| |
| |
| |
| Table 10—Purchases and Sales | | | | | | |
| |
| | | | | Purchases ($) | | Sales ($) |
| BNY Mellon Large Cap Stock Fund | | | | 443,737,102 | 566,510,488 |
| BNY Mellon Large Cap Market Opportunities Fund | | | 43,882,801 | | 38,925,128 |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | | | 31,666,752 | | 16,900,236 |
| BNY Mellon Income Stock Fund | | | | 219,282,671 | | 32,124,391 |
| BNY Mellon Mid Cap Stock Fund | | | | 963,618,178 | 1,040,344,938 |
| BNY Mellon Small Cap Stock Fund | | | | 249,176,764 | 313,869,765 |
| BNY Mellon Focused Equity Opportunities Fund | | | | 144,565,578 | 146,070,020 |
| BNY Mellon Small/Mid Cap Fund | | | | 347,168,366 | 342,291,234 |
| BNY Mellon International Fund | | | | 164,636,344 | 293,286,820 |
| BNY Mellon Emerging Markets Fund | | | | 587,220,291 | 677,474,298 |
| BNY Mellon International Appreciation Fund | | | | 1,061,798 | | 40,304,171 |
| BNY Mellon International Equity Income Fund | | | | 60,436,276 | | 10,885,877 |
| BNY Mellon Asset Allocation Fund | | | | 254,319,949 | 243,719,985 |
| BNY Mellon U.S. Core Equity 130/30 Fund: | | | | | | |
| Long transactions | | | | 255,957,267 | 336,285,259 |
| Short sale transactions | | | | 183,964,002 | 166,565,829 |
| Total | | | | 439,921,269 | 502,851,088 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
securities and securities sold short, excluding short-term securities, financial futures, options transactions and forward contracts, during the period ended February 29, 2012.
Short Sales: BNY Mellon U.S. Core Equity 130/30 Fund is engaged in short-selling which obligates the fund to replace the security borrowed by purchasing the security at current market value.The fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the fund replaces the borrowed security. The fund realizes a gain if the price of the security declines between those dates. Until the fund replaces the borrowed security, the fund will maintain daily a segregated account with a broker or custodian of permissible liquid assets sufficient to cover its short position. Securities Sold Short at February 29, 2012, and their related market values and proceeds, are set forth in the Statement of Securities Sold Short.
Table 11 shows BNY Mellon International Appreciation Fund’s exposure to different types of market risk as it
Table 11—Derivatives and Hedging
Fair value of derivative instruments for BNY Mellon International Appreciation Fund as of February 29, 2012 is shown below:
| | | | |
| | Derivative | | Derivative |
| | Assets ($) | | Liabilities ($) |
| Equity risk1 | 27,036 | Equity risk1 | (36) |
| Foreign exchange risk2 | 7,042 | Foreign exchange risk3 | (31,720) |
| Gross fair value of derivatives contracts | 34,078 | | (31,756) |
Statement of Assets and Liabilities location:
|
| 1 Includes cumulative appreciation (depreciation) on futures contracts as reported in the Statement of Financial Futures, but only the unpaid variation margin is reported in |
| the Statement of Assets and Liabilities. |
| 2 Unrealized appreciation on forward foreign currency exchange contracts. |
| 3 Unrealized depreciation on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations for BNY Mellon International Appreciation Fund during the period ended February 29, 2012 is shown below:
| | | | | |
| | Amount of realized gain or (loss) on derivatives recognized in income ($) |
| Underlying risk | Futures4 | Forward Contracts5 | Total |
| Equity | 63,964 | — | 63,964 |
| Foreign exchange | — | (112,165) | (112,165) |
| Total | 63,964 | (112,165) | (48,201) |
| |
| | Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($) |
| Underlying risk | Futures6 | Forward Contracts7 | Total |
| Equity | 64,591 | — | 64,591 |
| Foreign exchange | — | (44,559) | (44,559) |
| Total | 64,591 | (44,559) | 20,032 |
Statement of Operations location:
| |
| 4 | Net realized gain (loss) on financial futures. |
| 5 | Net realized gain (loss) on forward foreign currency exchange contracts. |
| 6 | Net unrealized appreciation (depreciation) on financial futures. |
| 7 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
150
relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Futures Contracts: In the normal course of pursuing its investment objective, BNY Mellon International Appreciation 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 financial futures contracts 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 broker, 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. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at February 29, 2012 are set forth in the Statement of Financial Futures.
Options: BNY Mellon Income Stock Fund and BNY Mellon Focused Equity Opportunities Fund purchases and writes (sells) put and call options to hedge against changes in the values of equities, or as a substitute for an investment. Each fund is subject to market risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying security or securities at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying security or securities at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, each fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, each fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, each fund incurs a loss, if the price of the financial instrument increases between those dates.
As a writer of put options, each fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, each fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, each fund incurs a loss, if the price of the financial instrument decreases between those dates.
As a writer of an option, each fund has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. One risk of holding a put or a call option is that if the option is not sold or exercised prior to its expiration, it becomes worthless. However,
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
this risk is limited to the premium paid by each fund. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statements of Operations.
Table 12 summarizes BNY Mellon Income Stock Fund’s and BNY Mellon Focused Equity Opportunities Fund’s call/put options written during the period ended February 29, 2012.
Forward Foreign Currency Exchange Contracts: BNY Mellon International Fund, BNY Mellon Emerging Markets Fund, BNY Mellon International Appreciation Fund and BNY Mellon International Equity Income Fund enter into forward contracts in order to hedge their exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of their investment strategies. When executing forward contracts, each fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future.With respect to sales of forward contracts, each fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. Each fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward contracts, each fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. Each fund realizes a gain if the value of the contract increases between those dates.Any realized gain or loss which occurred during the period is reflected in the Statements of Operations. Each fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. Each fund is also exposed to credit risk associated with counter-party nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract. Table 13 summarizes open forward contracts for each fund at February 29, 2012.
| | | | | |
| Table 12—Options Written | | | | | |
| |
| BNY Mellon Income Stock Fund | | | Options Terminated | |
| | Number of | Premiums | | Net Realized | |
| Options Written | Contracts | Received ($) | Cost ($) | Gain ($) | |
| Contracts outstanding August 31, 2011 | 948 | 127,392 | | | |
| Contracts written | 1,448 | 162,021 | | | |
| Contracts terminated: | | | | | |
| Contracts closed | 246 | 24,361 | 61,746 | (37,385 | ) |
| Contracts expired | 614 | 108,853 | — | 108,853 | |
| Contracts exercised | 286 | 39,986 | | | |
| Total contracts terminated | 1,146 | 173,200 | 61,746 | 71,468 | |
| Contracts outstanding February 29, 2012 | 1,250 | 116,213 | | | |
| |
| |
| Table 12—Options Written (continued) | | | | | |
| |
| BNY Mellon Focused Equity Opportunities Fund | | | Options Terminated | |
| | Number of | Premiums | | Net Realized | |
| Options Written | Contracts | Received ($) | Cost ($) | Gain ($) | |
| Contracts outstanding August 31, 2011 | — | — | | | |
| Contracts written | 400 | 74,398 | | | |
| Contracts terminated; | | | | | |
| Contracts closed | 400 | 74,398 | 115,600 | (41,202 | ) |
| Contracts outstanding February 29, 2012 | — | — | | | |
152
| | | | | | | |
| Table 13—Forward Foreign Currency Exchange Contracts | | | |
| |
| BNY Mellon International Fund | | | | | | |
| | | | Foreign | | | Unrealized |
| | | Number of | Currency | | | Appreciation |
| Forward Foreign Currency Exchange Contracts | | Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) |
| Purchases: | | | | | | |
| Japanese Yen, Expiring 3/2/2012a | | 1 | 36,405,455 | 453,114 | 447,847 | (5,267) |
| Swiss Franc, Expiring 3/1/2012b | | 1 | 351,487 | 392,035 | 388,512 | (3,523) |
| Sales: | | | | Proceeds ($) | | |
| Australian Dollar, Expiring 3/1/2012c | | 1 | 203,026 | 218,391 | 217,736 | 655 |
| British Pound, Expiring 3/2/2012d | | 1 | 136,563 | 217,689 | 217,256 | 433 |
| Hong Kong Dollar, Expiring 3/1/2012e | | 1 | 8,680,213 | 1,119,287 | 1,119,133 | 154 |
| Gross Unrealized Appreciation | | | | | | 1,242 |
| Gross Unrealized Depreciation | | | | | | (8,790) |
| |
| Counterparties: | | | | | | |
| a JPMorgan Chase & Co. | | | | | | |
| b Credit Suisse First Boston | | | | | | |
| c Morgan Stanley | | | | | | |
| d UBS | | | | | | |
| e Deutsche Bank | | | | | | |
| |
| |
| Table 13—Forward Foreign Currency Exchange Contracts (continued) | | | |
| |
| BNY Mellon Emerging Markets Fund | | | | | | |
| | | | Foreign | | | Unrealized |
| | | Number of | Currency | | | Appreciation |
| Forward Foreign Currency Exchange Contracts | | Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) |
| Purchases: | | | | | | |
| Brazilian Real, Expiring: | | | | | | |
| 3/2/2012 | a | 16 | 7,682,661 | 4,470,261 | 4,473,815 | 3,554 |
| 3/5/2012 | a | 1 | 116,349 | 67,390 | 67,753 | 363 |
| Chilean Peso, Expiring 3/2/2012b | | 2 | 260,541,512 | 538,865 | 542,964 | 4,099 |
| Indian Rupee, Expiring 3/1/2012c | | 7 | 140,096,838 | 2,852,715 | 2,858,535 | 5,820 |
| Indonesian Rupiah, Expiring: | | | | | | |
| 3/1/2012 | d | 1 | 872,761,782 | 95,488 | 96,759 | 1,271 |
| 3/2/2012 | d | 1 | 899,316,401 | 98,934 | 99,702 | 768 |
| 3/5/2012 | d | 3 | 3,927,169,162 | 431,178 | 435,384 | 4,206 |
| Malaysian Ringgit, Expiring 3/5/2012d | | 2 | 1,701,766 | 567,823 | 568,108 | 285 |
| South Korean Won, Expiring 3/5/2012d | | 12 | 4,066,752,242 | 3,657,152 | 3,635,169 | (21,983) |
| Taiwan Dollar, Expiring 3/1/2012e | | 1 | 36,815,000 | 1,255,542 | 1,252,381 | (3,161) |
| Thai Baht, Expiring 3/5/2012d | | 3 | 21,236,230 | 695,586 | 701,676 | 6,090 |
| Sales: | | | | Proceeds ($) | | |
| Indian Rupee, Expiring: | | | | | | |
| 3/1/2012 | c | 2 | 28,294,196 | 573,105 | 577,314 | (4,209) |
| 3/2/2012 | c | 4 | 102,855,604 | 2,064,959 | 2,098,667 | (33,708) |
| South African Rand, Expiring 3/2/2012f | | 1 | 12,093,878 | 1,624,648 | 1,609,952 | 14,696 |
| Gross Unrealized Appreciation | | | | | | 41,152 |
| Gross Unrealized Depreciation | | | | | | (63,061) |
Counterparties:
| |
| a | Citicorp |
| b | Banco Itau de Chile |
| c | Deustche Bank |
| d | HSBC |
| e | Standard Chartered Bank |
| f | UBS |
| | | | | | |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) | | | | | | |
| |
| |
| |
| |
| Table 13—Forward Foreign Currency Exchange Contracts (continued) | | | | |
| |
| BNY Mellon International Appreciation Fund | | | | | | |
| | | Foreign | | | Unrealized | |
| | Number of | Currency | | | Appreciation | |
| Forward Foreign Currency Exchange Contracts | Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) | |
| Purchases: | | | | | | |
| Australian Dollar, Expiring 3/21/2012a | 2 | 216,473 | 232,891 | 231,588 | (1,303 | ) |
| British Pound, Expiring 3/21/2012a | 3 | 367,032 | 580,621 | 583,826 | 3,205 | |
| Euro, Expiring 3/21/2012a | 4 | 585,012 | 775,641 | 779,478 | 3,837 | |
| Japanese Yen, Expiring 3/21/2012a | 3 | 44,507,378 | 578,026 | 547,609 | (30,417 | ) |
| Gross Unrealized Appreciation | | | | | 7,042 | |
| Gross Unrealized Depreciation | | | | | (31,720 | ) |
| |
| Counterparty: | | | | | | |
| a UBS | | | | | | |
| |
| |
| Table 13—Forward Foreign Currency Exchange Contracts (continued) | | | | |
| |
| BNY Mellon International Equity Income Fund | | | | | | |
| | | Foreign | | | | |
| | Number of | Currency | | | Unrealized | |
| Forward Foreign Currency Exchange Contracts | Contracts | Amounts | Cost ($) | Value ($) | Appreciation ($) | |
| Purchases: | | | | | | |
| South African Rand, Expiring 3/2/2012a | 1 | 2,662,440 | 350,879 | 354,427 | 3,548 | |
154
Table 14 summarizes each relevant fund’s average market value of derivatives outstanding during the period ended February 29, 2012.
Table 15 summarizes accumulated net unrealized appreciation (depreciation) on investments for each fund at February 29, 2012.
At February 29, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statements of Investments).
| | | | |
| Table 14—Average Market Value of Derivatives | | | |
| |
| | | | Average |
| | | | Market Value ($) |
| BNY Mellon Income Stock Fund | | | |
| Equity options contracts | | | 168,849 |
| BNY Mellon International Fund | | | |
| Forward contracts | | | 3,236,448 |
| BNY Mellon Emerging Markets Fund | | | |
| Forward contracts | | | 7,681,388 |
| BNY Mellon International Appreciation Fund | | | |
| Equity futures contracts | | | 2,173,605 |
| Forward contracts | | | 2,544,048 |
| BNY Mellon International Equity Inocme Fund | | | |
| Forward contracts | | | 2,452,845 |
| |
| |
| Table 15—Accumulated Net Unrealized Appreciation (Depreciation) | | | |
| |
| | Gross | Gross | |
| | Appreciation ($) | Depreciation ($) | Net ($) |
| BNY Mellon Large Cap Stock Fund | 231,563,705 | 10,026,515 | 221,537,190 |
| BNY Mellon Large Cap Market Opportunities Fund | 14,758,569 | 1,828,096 | 12,930,473 |
| BNY Mellon Tax-Sensitive Large Cap Multi-Strategy Fund | 12,933,387 | 880,742 | 12,052,645 |
| BNY Mellon Income Stock Fund | 40,640,802 | 3,350,392 | 37,290,410 |
| BNY Mellon Mid Cap Stock Fund | 228,836,512 | 19,864,967 | 208,971,545 |
| BNY Mellon Small Cap Stock Fund | 42,641,763 | 9,882,886 | 32,758,877 |
| BNY Mellon U.S. Core Equity 130/30 Fund | 55,081,596 | 3,967,231 | 51,114,365 |
| BNY Mellon Focused Equity Opportunities Fund | 79,174,452 | 6,682,361 | 72,492,091 |
| BNY Mellon Small/Mid Cap Fund | 77,119,576 | 10,104,041 | 67,015,535 |
| BNY Mellon International Fund | 52,969,487 | 126,663,085 | (73,693,598) |
| BNY Mellon Emerging Markets Fund | 315,013,327 | 154,696,748 | 160,316,579 |
| BNY Mellon International Appreciation Fund | 15,437,544 | 60,429,006 | (44,991,462) |
| BNY Mellon International Equity Income Fund | 3,173,320 | 249,836 | 2,923,484 |
| BNY Mellon Asset Allocation Fund | 38,439,688 | 1,366,763 | 37,072,925 |
|
| INFORMATION ABOUT THE APPROVAL OF BNY MELLON INTERNATIONAL |
| EQUITY INCOME FUND’S INVESTMENT ADVISORY AGREEMENT |
| AND ADMINISTRATION AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Trustees held on December 6, 2011, the Board considered the approval of the Trust’s Investment Advisory Agreement and Administration Agreement (together, the “Agreement”) with respect to BNY Mellon International Equity Income Fund and BNY Mellon Corporate Bond Fund pursuant to which BNY Mellon Fund Advisers, a division of Dreyfus, will provide each fund with investment advisory and administrative services.The Board members who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the approval of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Funds.The Board considered information previously provided to them in presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to the other funds comprising the Trust, and Dreyfus representatives confirmed that there had been no material changes in this information. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of the other funds of the Trust and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel.
The Board also considered research support available to, and portfolio management capabilities of, each fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution with respect to BNY Mellon International Equity Income Fund.
Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio.As each fund had not yet commenced operations, the Board was not able to review each fund’s performance.The Board discussed with Dreyfus representatives each fund’s portfolio management team and the investment strategies to be employed in the management of each fund’s assets.The Board noted Dreyfus’ reputation and experience.
BNY Mellon International Equity Income Fund
The Board reviewed comparisons of the fund’s proposed management fee and anticipated expense ratio and reviewed the management fees and expense ratios of funds in the fund’s anticipated Lipper, Inc. (“Lipper”) category (the “Category”) and the average and median management fees in the Category.The Board noted that the fund’s contractual management fee was above the average and median management fees for the funds in the Category.The fund’s estimated total expenses (as limited through at least January 1, 2013 by agreement with BNY Mellon Fund Advisers (Dreyfus) to waive receipt of its fees and/or assume the expenses of the fund so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings, acquired fund fees and extraordinary expenses) do not exceed
156
1.20% of the fund’s average daily net assets) were below the average and median expense ratios of the funds in the Category (net of any fee waivers and reimbursements).
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
BNY Mellon Corporate Bond Fund
The Board reviewed comparisons of the fund’s proposed management fee and anticipated expense ratio and reviewed the management fees and expense ratios of funds in the fund’s anticipated Lipper, Inc. (“Lipper”) category (the “Category”) and the average and median management fees in the Category.The Board noted that the fund’s contractual management fee was above the average and median management fees for the funds in the Category.The fund’s estimated total expenses (as limited through at least March 1, 2013 by agreement with BNY Mellon Fund Advisers (Dreyfus) to waive receipt of its fees and/or assume the expenses of the fund so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings, acquired fund fees and extraordinary expenses) do not exceed 0.60% of the fund’s average daily net assets) were below the average and median expense ratios of the funds in the Category (net of any fee waivers and reimbursements).
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale.As each fund had not yet commenced operations, Dreyfus representatives were not able to review the dollar amount of expenses allocated and profit received by Dreyfus, or any economies of scale.The Board considered potential benefits to Dreyfus from acting as investment adviser and noted the possibility of soft dollar arrangements with respect to trading each fund’s investments. The Board also considered the uncertainty of the estimated asset
|
| INFORMATION ABOUT THE APPROVAL OF BNY MELLON INTERNATIONAL EQUITY INCOME FUND’S |
| INVESTMENT ADVISORY AGREEMENT AND ADMINISTRATION AGREEMENT (Unaudited) (continued) |
levels and the renewal requirements for advisory agreements and their ability to review the management fee annually after the initial term of the Agreement.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the approval of the Agreement with respect to each fund. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services to be provided by Dreyfus to each fund are adequate and appropriate.
The Board concluded that since the funds had not yet commenced operations, the performance of the funds could not be measured and was not a factor.
The Board concluded that the fee to be paid to Dreyfus by each fund was reasonable in light of the considerations described above.
The Board determined that because the funds had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the relevant fund, the Board would seek to have those economies of scale shared with the fund in connection with future renewals.
The Board considered these conclusions and determinations. It should be noted that the Board’s consideration of the contractual fee arrangements for the funds had the benefit of a number of years of reviews of similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives, and the Board’s conclusions may be based, in part, on its previous consideration of similar arrangements.The Board determined that approval of the Agreement was in the best interests of each fund and its respective shareholders.
158
Telephone Wealth Management (WM) Clients, please contact your Account Officer or call 1-888-281-7350. Brokerage Clients of BNY Mellon Wealth Advisors (BNYMWA), please contact your financial representative or call 1-800-830-0549, Option 2. Individual Account holders, please call Dreyfus at 1-800-DREYFUS.
Mail WM Clients, write to your Account Officer, c/o The Bank of New York Mellon, One Mellon Bank Center, Pittsburgh, PA 15258 BNYMWA Brokerage Clients, write to your financial representative, P.O. Box 9012, Hicksville, NY 11802–9012 Individual Account Holders, write to: BNY Mellon Funds, P.O. Box 55268, Boston, MA 02205–8502
The funds file their 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-Q. The funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the funds use to determine how to vote proxies relating to portfolio securities, and information regarding how the funds voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
The BNY Mellon Funds
|
| BNY Mellon Bond Fund |
| BNY Mellon Intermediate Bond Fund |
| BNY Mellon Intermediate U.S. Government Fund |
| BNY Mellon Short-Term U.S. Government Securities Fund |
| |
| SEMIANNUAL REPORT | February 29, 2012 |
| |
| Contents | |
| |
| The Funds | |
| Letter from the President | 2 |
| Discussion of Funds’ Performance | |
| BNY Mellon Bond Fund | 3 |
| BNY Mellon | |
| Intermediate Bond Fund | 5 |
| BNY Mellon Intermediate | |
| U.S. Government Fund | 7 |
| BNY Mellon Short-Term U.S. | |
| Government Securities Fund | 9 |
| UnderstandingYour Fund’s Expenses | 11 |
| ComparingYour Fund’s Expenses | |
| With Those of Other Funds | 12 |
| Statements of Investments | 13 |
| Statements of Assets and Liabilities | 28 |
| Statements of Operations | 29 |
| Statements of Changes in Net Assets | 30 |
| Financial Highlights | 32 |
| Notes to Financial Statements | 40 |
For More Information
Back cover
The views expressed herein are current to the date of this report. These views and the composition of the funds’ portfolios are subject to change at any time based on market and other conditions.
|
| • Not FDIC-Insured |
| • Not Bank-Guaranteed |
| • May Lose Value |
The Funds
LETTER FROM
THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for the BNY Mellon FundsTrust, covering the six-month period from September 1, 2011, through February 29, 2012. For information about how the funds performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
U.S. bond markets encountered heightened volatility at the start of the reporting period when investors fled riskier assets due to adverse macroeconomic developments ranging from an unprecedented downgrade of long-term U.S. debt securities to the resurgence of a sovereign debt crisis in Europe.These factors triggered a rally among traditional safe havens, such as U.S. government securities. Better economic news derailed the rally in October, but government bond yields continued to trend downward and prices rose over much of the remainder of the reporting period. While corporate-backed bonds were hurt during the flight to quality, they produced positive returns for the reporting period, on average, as investors searched for competitive yields in a low interest-rate environment.
Our economic forecast calls for faster U.S. GDP growth in 2012 than in 2011, and we expect the United States to continue to post better economic data than most of the rest of the developed world.An aggressively accommodative monetary policy, pent-up demand in several industry groups and gradual improvement in housing prices appear likely to offset risks stemming from the ongoing European debt crisis and volatile energy prices. As always, we encourage you to talk with your portfolio manager about how these developments may affect your investments.
Thank you for your continued confidence and support.
David K. Mossman
President
BNY Mellon Funds Trust
March 15, 2012
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive, Portfolio Manager and Director of Fixed Income
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Bond Fund’s Class M shares produced a total return of 2.76%, and Investor shares returned 2.70%.1 In comparison, the fund’s benchmark, the Barclays U.S.Aggregate Index (the “Index”), produced a total return of 2.73%.2
U.S. government securities rallied strongly early in the reporting period as economic uncertainty intensified amid a subpar U.S. economic recovery and a sovereign debt crisis in Europe, sparking a flight to traditional safe havens among investors. However, higher yielding sectors of the bond market later rebounded when economic concerns eased, enabling them to produce more robust returns than U.S. government securities for the reporting period overall.The fund’s returns were roughly in line with the benchmark, as above-average results from higher yielding market sectors were balanced by a modestly short average duration.
The Fund’s Investment Approach
The fund seeks total return (consisting of capital appreciation and current income). To pursue its goal, the fund actively manages bond market and maturity exposure and invests at least 80% of its assets in bonds, such as U.S. Treasury and government agency bonds, corporate bonds, mortgage-related securities and foreign corporate and government bonds.The fund’s investments in bonds must be rated investment-grade quality at the time of purchase3 or, if unrated, deemed of comparable quality by the investment adviser. Generally, the average effective duration of the fund’s portfolio will not exceed eight years.
Changing Investor Sentiment Sparked Heightened Volatility
At the start of the reporting period, investor confidence had deteriorated substantially due to a persistent sovereign debt crisis in Europe, which threatened to spread from Greece to other members of the European Union. In addition, U.S. economic data proved more disappointing than expected, and investors reacted cautiously to an unprecedented downgrade of longer-term U.S. government debt by a major credit-rating agency. These developments triggered a dramatic shift away from riskier assets and toward traditional safe havens. Ironically, U.S. government bonds gained considerable value during the flight to quality in the wake of the credit-rating downgrade. In contrast, investment-grade and high yield corporate bonds suffered sharp declines.
Economic data and investor confidence seemed to improve from October 2011 through February 2012, when employment trends improved and it became more apparent that the U.S. economic expansion remained intact. Moreover, the European Union seemed to make some progress in addressing the region’s fiscal problems. Consequently, U.S. government securities gave back some of their previous gains, and higher yielding securities—including corporate bonds, asset-backed securities and mortgage-backed securities—rallied over the final months of 2011 and the opening months of 2012, pushing their returns into positive territory, on average, for the past six months.
Higher Yielding Bonds Buoyed the Fund’s Results
The fund received positive contributions to its relative performance from an overweighted position in investment-grade corporate-backed securities, which rallied strongly from previously depressed levels as investor
DISCUSSION OF FUND PERFORMANCE (continued)
sentiment improved. In addition, Treasury Inflation Protected Securities (“TIPS”), which are not represented in the benchmark, gained value despite negligible inflation during the reporting period.To a lesser degree, overweighted exposure to mortgage-backed securities also helped bolster the fund’s relative performance.
Strength in these areas was partly offset by shortfalls in others. Most notably, an underweighted position in longer-term U.S.Treasury securities prevented the fund from participating more fully in their gains during the flight to quality. In addition, the fund’s relatively short average duration reduced its overall sensitivity to falling interest rates, detracting from relative results. Finally, relatively light holdings among higher yielding bonds with maturities of 8.5 years and longer proved counterproductive during the reporting period.
Adjusting to a Changing Market Environment
In our analysis as of the reporting period’s end, we believe the majority of market gains stemming from falling long-term interest rates is probably behind us. In addition, the Federal Reserve Board has indicated that it intends to keep short-term interest rates low for some time to come. Consequently, total returns from bonds may be more muted in 2012 than they were in 2011.
In light of these expectations, we have begun to move toward a more cautious investment posture. For example, we currently intend to lengthen the fund’s average duration when ongoing market volatility presents what we believe are attractive opportunities for us to do so.We also are committed to maintaining a well-diversified portfolio in order to help mitigate the impact of unexpected weakness in any individual security or market sector. However, we have continued to favor higher yielding market sectors, including investment-grade corporate bonds, over lower yielding U.S. government securities. In our judgment, these are prudent strategies in an uncertain economy and a low interest-rate environment.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures, forward contracts and swaps.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption, fund shares may be |
| | worth more or less than their original cost. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Barclays U.S.Aggregate Index is a |
| | widely accepted, unmanaged total return index of corporate, U.S. government |
| | and U.S. government agency debt instruments, mortgage-backed securities and |
| | asset-backed securities with an average maturity of 1-10 years. Investors cannot |
| | invest directly in any index. |
| 3 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
4
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive, Portfolio Manager and Director of Fixed Income
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Intermediate Bond Fund’s Class M shares produced a total return of 1.92%, and Investor shares returned 1.79%.1 In comparison, the fund’s benchmark, the Barclays Intermediate Government/Credit Bond Index (the “Index”), produced a total return of 1.70%.2
U.S. government securities rallied early in the reporting period when economic uncertainty intensified. However, higher yielding sectors of the bond market later rebounded as economic concerns eased, enabling them to produce more robust returns than U.S. government securities for the reporting period overall.The fund’s returns were roughly higher than the benchmark, primarily due to strength among longer-maturity and higher yielding securities.
The Fund’s Investment Approach
The fund seeks total return (consisting of capital appreciation and current income). To pursue its goal, the fund actively manages bond market and maturity exposure and invests at least 80% of its assets in bonds, such as U.S. government and agency bonds, corporate bonds, mortgage-related securities, foreign corporate and government bonds and municipal bonds. The fund’s investments in bonds must be rated investment grade at the time of purchase3 or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and the average effective duration of the fund’s portfolio will be between 2.5 and 5.5 years.When managing the fund, we use a disciplined process to select securities and manage risk. We generally choose bonds based on yield, credit quality, the level of interest rates and inflation, general economic and financial trends and our outlook for the securities markets. Our management process also includes computer modeling and scenario testing of possible changes in market conditions.
Changing Investor Sentiment Sparked Heightened Volatility
At the start of the reporting period, investor confidence had deteriorated substantially when a sovereign debt crisis in Greece threatened other members of the European Union. In addition, U.S. economic data proved disappointing, and investors reacted cautiously to an unprecedented downgrade of long-term U.S. government debt by a major credit-rating agency. These developments triggered a dramatic shift away from riskier assets and toward traditional safe havens. Ironically, U.S. government bonds gained considerable value during the flight to quality in the wake of the credit-rating downgrade, while corporate bonds suffered sharp declines.
Investor confidence subsequently improved when it became more apparent that the U.S. economic expansion remained intact and the European Union made credible progress in addressing its fiscal problems. Consequently, U.S. government securities gave back some of their previous gains, and higher yielding securities rallied, pushing them into positive territory, on average, for the past six months.
DISCUSSION OF FUND PERFORMANCE (continued)
Higher Yielding Bonds Buoyed the Fund’s Results
The fund received positive contributions from an overweighted position in investment-grade corporate-backed securities, which rallied strongly as investor sentiment improved. In addition, Treasury Inflation Protected Securities (“TIPS”), which are not represented in the benchmark, gained value despite negligible inflation during the reporting period. To a lesser degree, overweighted exposure to mortgage-backed securities also helped bolster the fund’s relative performance.
Strength in these areas was partly offset by shortfalls in others. Most notably, an underweighted position in longer-term U.S.Treasury securities prevented the fund from participating more fully in their gains during the flight to quality. In addition, the fund’s relatively short average duration reduced its overall sensitivity to falling interest rates. Finally, relatively light holdings among higher yielding bonds with maturities of six years and longer proved counterproductive.
Adjusting to a Changing Market Environment
In our analysis, we believe the majority of market gains stemming from falling long-term interest rates is probably behind us. In addition, the Federal Reserve Board has indicated that it intends to keep short-term interest rates low for some time. Consequently, total returns from bonds may be more muted in 2012 than in 2011.
In light of these expectations, we have begun to adopt a more cautious investment posture. For example, we currently intend to lengthen the fund’s average duration when ongoing market volatility presents what we believe are attractive opportunities for us to do so. However, we have continued to favor higher yielding market sectors, including investment-grade corporate bonds, over lower yielding U.S. government securities. In our judgment, these are prudent strategies in an uncertain economy and a low interest-rate environment.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures, forward contracts and swaps.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption, fund shares may be |
| | worth more or less than their original cost. |
| 2 | SOURCE: LIPPER INC. – Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Barclays Intermediate |
| | Government/Credit Bond Index is a widely accepted, unmanaged index of |
| | government and credit bond market performance composed of U.S. government, |
| | Treasury and agency securities, fixed-income securities and nonconvertible |
| | investment-grade credit debt, with an average maturity of 1-10 years. Index |
| | return does not reflect the fees and expenses associated with operating a mutual |
| | fund. Investors cannot invest directly in any index. |
| 3 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
6
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive, Portfolio Manager and Director of Fixed Income
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Intermediate U.S. Government Fund’s Class M shares produced a total return of 0.84%, and Investor shares returned 0.70%.1 In comparison, the fund’s benchmark, the Barclays Intermediate Government Index (the “Index”), produced a total return of 1.03%.2
U.S. government securities rallied strongly early in the reporting period as economic uncertainty intensified amid a subpar U.S. economic recovery and a sovereign debt crisis in Europe, sparking a flight to traditional safe havens among investors.While higher yielding sectors of the bond market later rebounded when economic concerns eased, yields of U.S. government securities remained at relatively low levels due to efforts by the Federal Reserve Board (“the Fed”) to stimulate greater domestic growth. The fund’s returns were lower than the benchmark, primarily due to a relatively short average duration.
The Fund’s Investment Approach
The fund seeks to provide as high a level of current income as is consistent with the preservation of capital. This objective may be changed without shareholder approval.To pursue its goal, the fund normally invests at least 80% of its assets in securities issued or guaranteed by the U.S. government or its agencies or instrumentalities.
The fund allocates broadly among U.S.Treasury obligations, direct U.S. government agency debt obligations and U.S. government agency mortgage-backed securities, including mortgage pass-through securities and collateralized mortgage obligations (CMOs). The securities in which the fund invests include those backed by the full faith and credit of the U.S. government and those that are neither insured nor guaranteed by the U.S. government. Under normal market conditions, the fund maintains an average effective portfolio maturity between three and 10 years. The fund attempts to manage interest rate risk by adjusting its duration.The fund may invest in individual bonds of any maturity or duration and does not expect to target any specific range of duration.
Changing Investor Sentiment Sparked Heightened Volatility
At the start of the reporting period, investor confidence had deteriorated substantially due to a sovereign debt crisis in Europe, which threatened to spread from Greece to other members of the European Union. In addition, U.S. economic data proved more disappointing than expected, and investors reacted cautiously to an unprecedented downgrade of longer-term U.S. government debt by a major credit-rating agency. These developments triggered a dramatic shift in September away from riskier assets and toward traditional safe havens. Ironically, U.S. government bonds gained considerable value during the flight to quality after the credit-rating downgrade. In contrast, investment-grade and high yield corporate bonds suffered sharp declines.
Investor confidence seemed to recover from October 2011 through February 2012, when employment trends improved and it became more apparent that the U.S. economic expansion remained intact.What’s more, the European Union seemed to make credible progress in addressing the region’s fiscal problems. Consequently, higher yielding securities rebounded over the final months of 2011 and the opening months of 2012. However, U.S. government securities preserved many of their previous gains, as efforts by the Fed to stimulate the U.S. economy prevented interest rates from rising substantially.
DISCUSSION OF FUND PERFORMANCE (continued)
Short Average Duration Weighed on Fund Results
While the fund participated in the U.S. government securities market’s strength to a significant degree, a relatively short average duration reduced the fund’s overall sensitivity to falling interest rates, detracting from its relative results. In addition, the fund’s relatively light holdings among bonds with maturities of six years and longer proved counterproductive during the reporting period.
The fund achieved better relative performance from an underweighted position in U.S. Treasury securities. Instead, we favored U.S. government agency debentures, which offered higher yields. The fund also received positive contributions to performance from commercial mortgages and collateralized mortgage obligations.These securities fared relatively well when economic conditions improved. Finally, an allocation to Treasury Inflation Protected Securities (“TIPS”) buoyed results despite negligible inflation during the reporting period.
Adjusting to a Changing Market Environment
In our analysis as of the reporting period’s end, we believe the majority of market gains stemming from falling long-term interest rates is probably behind us. In addition, the Fed has indicated that it intends to keep short-term interest rates low for some time to come. Consequently, total returns from U.S. government securities may be more muted in 2012 than they were in 2011.
In light of these expectations, we have begun to move toward a more cautious investment posture. For example, we currently intend to lengthen the fund’s average duration when ongoing market volatility presents what we believe are attractive opportunities to do so.We also are committed to maintaining a well-diversified portfolio in order to help mitigate the impact of unexpected weakness in any individual security. In our judgment, these are prudent strategies in an uncertain economy and a low interest-rate environment.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures and swaps.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption, fund shares may be |
| | worth more or less than their original cost. |
| 2 | SOURCE: LIPPER INC. – Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Barclays Intermediate Government |
| | Index is a widely accepted, unmanaged index of government bond market |
| | performance composed of U.S.Treasury and agency securities with maturities of |
| | 1-10 years. Index return does not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
8
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Lawrence R. Dunn, CFA, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Short-Term U.S. Government Securities Fund’s Class M shares produced a total return of –0.17%, and Investor shares returned –0.37%.1 In comparison, the Barclays 1-3Year U.S. Government Index (the “Index”), the fund’s benchmark, achieved a total return of 0.10%.2
Investor confidence rose throughout the reporting period in response to improving macroeconomic conditions, causing yield differences to narrow along the market’s maturity range and disadvantaging shorter-term U.S. government securities. The fund lagged its benchmark, primarily due to its relatively low duration exposure at a time when markets favored longer duration securities.
The Fund’s Investment Approach
The fund seeks to provide as high a level of current income as is consistent with the preservation of capital. To pursue this goal, the fund invests at least 80% of its assets in securities issued or guaranteed by the U.S. government or its agencies or instrumentalities and in repurchase agreements.The fund may invest up to 35% of its net assets in mortgage-related securities issued by U.S. government agencies or instrumentalities, such as mortgage pass-through securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”).The fund may also invest in collateralized mortgage obligations (“CMOs”), including stripped mortgage-backed securities. Generally, the fund’s average effective portfolio maturity and the average effective duration of the fund’s portfolio will be less than three years.
When choosing securities, we typically first examine U.S. and global economic conditions and other market factors to estimate long- and short-term interest rates. Using a research-driven investment process, we then seek to identify what we believe are potentially profitable sectors before they are widely perceived by the market. We also seek to identify underpriced or mispriced securities that appear likely to perform well over time.
Falling Rates Favored Longer Duration Bonds
A variety of macroeconomic uncertainties undermined investor confidence early in the reporting period. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Market volatility remained high, with sell-offs in stocks and higher yielding bonds accompanied by a corresponding increase in demand for traditional safe haven investments, such as U.S. government securities. As a result, yields of longer-term U.S. Treasury securities fell sharply and prices climbed.
The macroeconomic picture brightened later in the reporting period as the European Union took steps to address the region’s problems, and the United States experienced accelerating GDP growth and declining unemployment. Statements from the Federal Reserve Board (the “Fed”) indicating that it was unlikely to raise interest rates for the foreseeable future encouraged short-term bond investors to shift to maturities further out on the spectrum and to adopt larger positions in higher yielding mortgage-related securities at the expense of shorter-term Treasury bonds.
DISCUSSION OF FUND PERFORMANCE (continued)
Conservative Positioning Hampered Performance
In light of the U.S. government’s efforts to bolster economic growth by injecting liquidity into the financial system, the fund began the reporting period with a conservative, short-duration investment approach designed to protect it against rising interest rates and inflation. However, this approach detracted from the fund’s relative returns early in the reporting period, as short-term interest rates remained low and shorter duration instruments fell out of favor.We responded by gradually lengthening the fund’s average duration, buying longer duration securities as opportunities to do so at what we believe were attractive prices presented themselves. By the reporting period’s end, the fund’s average duration more closely mirrored that of the benchmark.
We also sought to enhance returns by investing a relatively large percentage of the fund’s assets in U.S. government agency securities instead of Treasuries. As the supply of agency securities dwindled, we cautiously increased holdings of relatively high yielding mortgage-related bonds.The fund’s allocation to mortgage-related securities increased from under 10% in September 2011 to approximately 15% as of the end of the reporting period.
Seeking to Prudently Enhance Returns
We currently believe that moderate domestic economic growth is likely to persist. At the same time, we accept that the Fed’s policy of maintaining low rates over the short- to intermediate-term is likely to prove successful. Therefore, we have continued to look for opportunities to increase the fund’s holdings of longer duration Treasuries and higher yielding mortgage securities when they become available at attractive prices. At the same time, we remain committed to the fund’s longstanding investment approach, seeking to produce competitive levels of current income while seeking to mute volatility during times of heightened market turbulence.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| | The fund may use derivative instruments, such as options, futures and options |
| | on futures.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. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption, fund shares may be |
| | worth more or less than their original cost. |
| 2 | SOURCE: LIPPER INC. – Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Barclays 1-3Year U.S. Government |
| | Index is a widely accepted, unmanaged index of government bond market |
| | performance composed of U.S.Treasury and agency securities with maturities of |
| | 1-3 years. Index return does not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
10
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 advisor.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in each class of each BNY Mellon fixed income fund from September 1, 2011 to February 29, 2012. It also shows how much as $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 | | | | |
| assuming actual returns for the six months ended February 29, 2012 | | | | |
| | | Class M Shares | | Investor Shares |
| BNY Mellon Bond Fund | | | | |
| Expenses paid per $1,000† | $ | 2.77 | $ | 4.03 |
| Ending value (after expenses) | $ | 1,027.60 | $ | 1,027.00 |
| Annualized expense ratio (%) | | .55 | | .80 |
| BNY Mellon Intermediate Bond Fund | | | | |
| Expenses paid per $1,000† | $ | 2.76 | $ | 4.01 |
| Ending value (after expenses) | $ | 1,019.20 | $ | 1,017.90 |
| Annualized expense ratio (%) | | .55 | | .80 |
| BNY Mellon Intermediate U.S. Government Fund | | | | |
| Expenses paid per $1,000† | $ | 3.94 | $ | 5.19 |
| Ending value (after expenses) | $ | 1,008.40 | $ | 1,007.00 |
| Annualized expense ratio (%) | | .79 | | 1.04 |
| BNY Mellon Short-Term U.S. Government Securities Fund | | | | |
| Expenses paid per $1,000† | $ | 2.58 | $ | 3.92 |
| Ending value (after expenses) | $ | 998.30 | $ | 996.30 |
| Annualized expense ratio (%) | | .52 | | .79 |
|
| † Expenses are equal to each fund’s annualized expense ratio as shown above, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the |
| one-half year period). |
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 each fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| | | | |
| Expenses and Value of a $1,000 Investment | | | | |
| assuming a hypothetical 5% annualized return for the six months ended February 29, 2012 | | | | |
| | | Class M Shares | | Investor Shares |
| BNY Mellon Bond Fund | | | | |
| Expenses paid per $1,000† | $ | 2.77 | $ | 4.02 |
| Ending value (after expenses) | $ | 1,022.13 | $ | 1,020.89 |
| Annualized expense ratio (%) | | .55 | | .80 |
| BNY Mellon Intermediate Bond Fund | | | | |
| Expenses paid per $1,000† | $ | 2.77 | $ | 4.02 |
| Ending value (after expenses) | $ | 1,022.13 | $ | 1,020.89 |
| Annualized expense ratio (%) | | .55 | | .80 |
| BNY Mellon Intermediate U.S. Government Fund | | | | |
| Expenses paid per $1,000† | $ | 3.97 | $ | 5.22 |
| Ending value (after expenses) | $ | 1,020.93 | $ | 1,019.69 |
| Annualized expense ratio (%) | | .79 | | 1.04 |
| BNY Mellon Short-Term U.S. Government Securities Fund | | | | |
| Expenses paid per $1,000† | $ | 2.61 | $ | 3.97 |
| Ending value (after expenses) | $ | 1,022.28 | $ | 1,020.93 |
| Annualized expense ratio (%) | | .52 | | .79 |
|
| † Expenses are equal to each fund’s annualized expense ratio as shown above, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the |
| one-half year period). |
12
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | |
| BNY Mellon Bond Fund | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes—98.5% | Rate (%) | Date | Amount ($) | Value ($) |
| Asset-Backed Ctfs./Auto Receivables—1.6% | | | | |
| Ally Auto Receivables Trust, Ser. 2010-3, Cl. A4 | 1.55 | 8/17/15 | 3,545,000 | 3,599,994 |
| Americredit Automobile Receivables Trust, Ser. 2010-3, Cl. A3 | 1.14 | 4/8/15 | 6,890,000 | 6,920,070 |
| Americredit Automobile Receivables Trust, Ser. 2011-3, Cl. A3 | 1.17 | 1/8/16 | 1,500,000 | 1,505,195 |
| Nissan Auto Receivables Owner Trust, Ser. 2010-A, Cl. A4 | 1.31 | 9/15/16 | 3,965,000 | 4,008,856 |
| World Omni Auto Receivables Trust, Ser. 2011-A, Cl. A3 | 1.11 | 5/15/15 | 6,250,000 | 6,283,667 |
| | | | | 22,317,782 |
| Commercial Mortgage Pass-Through Ctfs.—1.5% | | | | |
| Commercial Mortgage Asset Trust, Ser. 1999-C1, Cl. D | 7.35 | 1/17/32 | 2,260,000a | 2,451,411 |
| GE Capital Commercial Mortgage, Ser. 2004-C3, Cl. A3 | 4.87 | 7/10/39 | 366,189a | 366,114 |
| GMAC Commercial Mortgage Securities, Ser. 2001-C2, Cl. B | 6.79 | 4/15/34 | 4,400,000 | 4,399,659 |
| Greenwich Capital Commercial Funding, Ser. 2005-GG3, Cl. A2 | 4.31 | 8/10/42 | 1,331,702 | 1,331,485 |
| JP Morgan Chase Commercial Mortgage | | | | |
| Securities, Ser. 2004-C1, Cl. A2 | 4.30 | 1/15/38 | 185,355 | 189,103 |
| UBS-Citigroup Commercial Mortgage Trust, Ser. 2011-C1, Cl. A2 | 2.80 | 1/10/45 | 10,750,000 | 11,176,259 |
| WF-RBS Commercial Mortgage Trust, Ser. 2011-C5, Cl. A2 | 2.68 | 11/15/44 | 940,000 | 973,932 |
| | | | | 20,887,963 |
| Consumer Discretionary—3.0% | | | | |
| Comcast, Gtd. Notes | 5.90 | 3/15/16 | 8,975,000 | 10,447,824 |
| Johnson Controls, Sr. Unscd. Notes | 5.50 | 1/15/16 | 8,414,000 | 9,536,327 |
| News America, Gtd. Notes | 6.15 | 3/1/37 | 2,375,000 | 2,748,376 |
| Time Warner Cable, Gtd. Notes | 4.13 | 2/15/21 | 10,550,000 | 11,217,530 |
| Time Warner, Gtd. Notes | 4.00 | 1/15/22 | 6,125,000 | 6,513,993 |
| | | | | 40,464,050 |
| Consumer Staples—1.8% | | | | |
| Kraft Foods, Sr. Unscd. Notes | 5.38 | 2/10/20 | 9,265,000 | 10,820,380 |
| Pepsico, Sr. Unscd. Notes | 4.50 | 1/15/20 | 7,040,000 | 8,119,373 |
| Pernod-Ricard, Sr. Unscd. Notes | 4.45 | 1/15/22 | 5,610,000b | 5,859,415 |
| | | | | 24,799,168 |
| Energy—1.1% | | | | |
| BP Capital Markets, Gtd. Notes | 3.88 | 3/10/15 | 7,540,000 | 8,183,169 |
| Petrobras International Finance, Gtd. Notes | 5.38 | 1/27/21 | 6,825,000 | 7,371,805 |
| | | | | 15,554,974 |
| Entertainment & Gaming—.3% | | | | |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.08 | 10/1/16 | 1,640,000b | 1,526,266 |
| Agua Caliente Band of Cahuilla Indians, Scd. Notes | 6.35 | 10/1/15 | 1,420,000b | 1,344,896 |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.44 | 10/1/16 | 1,951,000b | 1,815,698 |
| | | | | 4,686,860 |
| Financial—15.4% | | | | |
| American International Group, Sr. Unscd. Notes | 4.25 | 9/15/14 | 9,360,000 | 9,700,283 |
| Bank of America, Sub. Notes | 5.49 | 3/15/19 | 19,975,000 | 19,686,841 |
| BankAmerica Institutional Capital A, Gtd. Cap. Secs. | 8.07 | 12/31/26 | 6,775,000b | 6,834,281 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon Bond Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Financial (continued) | | | | |
| Barclays Bank, Sr. Unscd. Notes, Ser. 1 | 5.00 | 9/22/16 | 9,290,000 | 10,012,678 |
| BBVA US Senior, Gtd. Notes | 3.25 | 5/16/14 | 6,600,000 | 6,499,878 |
| Bear Stearns, Sub. Notes | 5.55 | 1/22/17 | 5,231,000 | 5,710,515 |
| Blackrock, Sr. Unscd. Notes | 6.25 | 9/15/17 | 7,860,000 | 9,275,004 |
| Boston Properties, Sr. Unscd Notes | 4.13 | 5/15/21 | 7,185,000 | 7,623,982 |
| Citigroup, Sub. Notes | 5.00 | 9/15/14 | 6,815,000 | 7,098,981 |
| Citigroup, Sr. Unscd. Notes | 6.13 | 11/21/17 | 3,135,000 | 3,516,091 |
| Cooperatieve Centrale | | | | |
| Raiffeisen-Boerenleenbank, Bank Gtd. Notes | 5.25 | 5/24/41 | 6,335,000 | 6,720,979 |
| General Electric Capital, Sub. Notes | 5.30 | 2/11/21 | 12,835,000 | 14,166,901 |
| Goldman Sachs Group, Sub. Notes | 6.75 | 10/1/37 | 8,270,000 | 8,312,640 |
| HSBC Finance, Sr. Sub. Notes | 6.68 | 1/15/21 | 10,510,000 | 11,266,289 |
| Jefferies Group, Sr. Unscd. Notes | 5.13 | 4/13/18 | 6,720,000 | 6,350,400 |
| Jefferies Group, Sr. Unscd. Notes | 8.50 | 7/15/19 | 5,853,000 | 6,321,240 |
| Lloyds TSB Bank, Bank Gtd. Notes | 6.38 | 1/21/21 | 9,015,000 | 9,818,786 |
| MetLife, Sr. Unscd. Notes | 7.72 | 2/15/19 | 6,865,000c | 8,756,507 |
| Morgan Stanley, Sub. Notes | 4.75 | 4/1/14 | 9,590,000 | 9,707,401 |
| NYSE Euronext, Sr. Unscd. Notes | 4.80 | 6/28/13 | 7,201,000 | 7,569,245 |
| Prudential Financial, Sr. Unscd. Notes | 4.75 | 9/17/15 | 7,135,000 | 7,779,419 |
| Royal Bank of Scotland, Bank Gtd. Notes | 4.88 | 3/16/15 | 9,115,000 | 9,468,316 |
| Simon Property Group, Sr. Unscd. Notes | 5.65 | 2/1/20 | 8,520,000 | 10,044,458 |
| TD Ameritrade Holding, Gtd. Notes | 4.15 | 12/1/14 | 6,630,000 | 7,052,477 |
| | | | | 209,293,592 |
| Foreign/Governmental—1.2% | | | | |
| Mexican Government, Sr. Unscd. Notes | 5.63 | 1/15/17 | 5,975,000 | 6,916,062 |
| Mexican Government, Sr. Unscd. Notes | 6.63 | 3/3/15 | 1,480,000 | 1,693,120 |
| Province of Ontario Canada, Sr. Unscd. Bonds | 4.00 | 10/7/19 | 6,500,000 | 7,277,829 |
| | | | | 15,887,011 |
| Health Care—.9% | | | | |
| Amgen, Sr. Unscd. Notes | 5.65 | 6/15/42 | 5,850,000 | 6,571,205 |
| Thermo Fisher Scientific, Sr. Unscd. Notes | 2.25 | 8/15/16 | 5,335,000 | 5,546,122 |
| | | | | 12,117,327 |
| Industrial—1.4% | | | | |
| Seminole Indian Tribe of Florida, Sr. Scd. Notes | 5.80 | 10/1/13 | 6,231,000b | 6,255,943 |
| Seminole Indian Tribe of Florida, Notes | 7.75 | 10/1/17 | 1,130,000b | 1,231,700 |
| Tyco International Finance, Gtd. Notes | 3.38 | 10/15/15 | 10,415,000 | 10,931,792 |
| | | | | 18,419,435 |
| Information Technology—1.2% | | | | |
| Hewlett-Packard, Sr. Unscd. Notes | 3.30 | 12/9/16 | 2,805,000 | 2,969,763 |
| Oracle, Sr. Unscd. Notes | 5.75 | 4/15/18 | 10,410,000 | 12,779,274 |
| | | | | 15,749,037 |
14
| | | | | | |
| BNY Mellon Bond Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Materials—.6% | | | | |
| CRH America, Gtd. Notes | 5.30 | 10/15/13 | 7,100,000 | 7,454,901 |
| Municipal Bonds—5.8% | | | | |
| California, GO (Build America Bonds) | 7.30 | 10/1/39 | 11,215,000 | 14,466,341 |
| Chicago, GO | 7.78 | 1/1/35 | 6,460,000 | 8,365,506 |
| Illinois, GO | 4.42 | 1/1/15 | 4,935,000 | 5,205,586 |
| Los Angeles Community College District, | | | | |
| GO (Build America Bonds) | 6.75 | 8/1/49 | 13,725,000 | 19,013,791 |
| Massachusetts, GO (Build America Bonds) | 4.20 | 12/1/21 | 5,340,000 | 5,966,435 |
| New Jersey Turnpike Authority, | | | | |
| Turnpike Revenue (Build America Bonds) | 7.10 | 1/1/41 | 8,145,000 | 11,464,495 |
| New York City Municipal Water Finance Authority, | | | | |
| Water and Sewer System Second General | | | | |
| Resolution Revenue (Build America Bonds) | 6.28 | 6/15/42 | 5,430,000 | 6,232,228 |
| Puerto Rico Commonwealth Government | | | | |
| Development Bank, Revenue Bonds | 3.67 | 5/1/14 | 8,010,000 | 8,123,982 |
| | | | | 78,838,364 |
| Residential Mortgage Pass-Through Ctfs.—.0% | | | | |
| GMAC Mortgage Corporation Loan Trust, Ser. 2004-J2, Cl. A2 | 0.74 | 6/25/34 | 46,926a | 46,796 |
| Telecommunications—2.9% | | | | |
| AT&T, Sr. Unscd. Notes | 4.45 | 5/15/21 | 7,980,000 | 8,970,326 |
| Rogers Communications, Gtd. Notes | 6.38 | 3/1/14 | 6,810,000 | 7,539,596 |
| Telefonica Emisiones, Gtd. Notes | 5.13 | 4/27/20 | 5,875,000 | 5,809,993 |
| Telefonica Emisiones, Gtd. Notes | 5.88 | 7/15/19 | 3,524,000 | 3,678,619 |
| Verizon Communications, Sr. Unscd. Notes | 5.50 | 2/15/18 | 10,755,000 | 12,788,340 |
| | | | | 38,786,874 |
| U.S. Government Agencies—1.0% | | | | |
| Federal Home Loan Banks, Bonds | 3.63 | 10/18/13 | 11,670,000 | 12,291,521 |
| Federal National Mortgage Association, Notes | 3.00 | 9/16/14 | 1,480,000d | 1,574,184 |
| | | | | 13,865,705 |
| U.S. Government Agencies/Mortgage-Backed—34.6% | | | | |
| Federal Home Loan Mortgage Corp.: | | | | |
| 3.00% | | | 19,220,000d,e | 19,916,725 |
| 4.00%, 11/1/40—1/1/41 | | | 22,014,175d | 23,138,960 |
| 4.50%, 3/1/21—11/1/41 | | | 59,473,150d | 63,695,711 |
| 5.00%, 6/1/28—7/1/40 | | | 29,981,825d | 32,436,322 |
| 5.50%, 12/1/37—12/1/38 | | | 24,097,687d | 26,204,935 |
| 6.00%, 5/1/38 | | | 5,276,641d | 5,809,370 |
| Federal National Mortgage Association: | | | | |
| 3.50% | | | 14,285,000d,e | 14,767,119 |
| 3.31%, 4/1/41 | | | 15,064,394a,d | 15,763,203 |
| 3.32%, 10/1/40 | | | 17,272,309a,d | 18,040,783 |
| 3.50%, 1/1/26—12/1/41 | | | 50,622,029d | 53,068,090 |
| 4.00%, 9/1/24—2/1/42 | | | 51,924,609d | 54,928,594 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon Bond Fund (continued) | | | | |
| |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| U.S. Government Agencies/Mortgage-Backed (continued) | | | | |
| Federal National Mortgage Association (continued): | | | | |
| 4.50%, 3/1/23—4/1/41 | | | 35,598,722d | 38,198,913 |
| 5.00%, 12/1/21—2/1/41 | | | 21,145,071d | 23,017,711 |
| 5.50%, 2/1/38—5/1/38 | | | 27,939,769d | 30,587,157 |
| 6.00%, 4/1/33—10/1/38 | | | 24,033,071d | 26,639,724 |
| REMIC, Ser. 2003-65, Cl. BC, 5.50%, 3/25/30 | | | 5,077,155d | 5,171,050 |
| Government National Mortgage Association I; | | | | |
| 5.00%, 11/15/34—1/15/39 | | | 18,050,196 | 19,979,045 |
| | | | | 471,363,412 |
| U.S. Government Securities—23.0% | | | | |
| U.S. Treasury Inflation Protected Securities: | | | | |
| Bonds, 2.38%, 1/15/27 | | | 14,117,951c,f | 18,597,097 |
| Notes, 0.63%, 7/15/21 | | | 8,116,023c,f | 8,925,726 |
| Notes, 1.38%, 7/15/18 | | | 12,449,426c,f | 14,411,182 |
| Notes, 1.38%, 1/15/20 | | | 10,144,570c,f | 11,818,424 |
| Notes, 2.38%, 1/15/17 | | | 14,134,738c,f | 16,722,060 |
| U.S. Treasury Notes: | | | | |
| 0.25%, 1/15/15 | | | 15,500,000c | 15,430,978 |
| 0.50%, 10/15/13 | | | 25,775,000c | 25,872,661 |
| 0.63%, 7/15/14 | | | 1,225,000c | 1,232,752 |
| 0.75%, 9/15/13 | | | 11,750,000c | 11,837,667 |
| 0.75%, 12/15/13 | | | 5,490,000c | 5,535,249 |
| 0.75%, 6/15/14 | | | 19,500,000 | 19,681,291 |
| 0.88%, 12/31/16 | | | 4,000,000c | 4,007,188 |
| 1.00%, 1/15/14 | | | 10,000,000c | 10,131,250 |
| 1.25%, 2/15/14 | | | 9,975,000c | 10,159,308 |
| 1.25%, 3/15/14 | | | 32,355,000c | 32,974,307 |
| 1.38%, 2/28/19 | | | 19,000,000 | 18,976,250 |
| 1.50%, 6/30/16 | | | 3,140,000c | 3,242,788 |
| 1.50%, 7/31/16 | | | 12,500,000c | 12,907,225 |
| 1.75%, 7/31/15 | | | 14,560,000c | 15,162,871 |
| 2.00%, 11/15/21 | | | 16,825,000c | 16,911,750 |
| 2.00%, 2/15/22 | | | 17,000,000c | 17,037,196 |
| 2.13%, 8/15/21 | | | 8,250,000c | 8,416,287 |
| 4.25%, 11/15/13 | | | 12,960,000c | 13,834,295 |
| | | | | 313,825,802 |
| Utilities—1.2% | | | | |
| Boston Gas, Sr. Unscd. Notes | 4.49 | 2/15/42 | 4,750,000b | 4,844,634 |
| Hydro-Quebec, Gtd. Notes | 2.00 | 6/30/16 | 5,130,000 | 5,291,256 |
| Xcel Energy, Sr. Unscd. Notes | 4.70 | 5/15/20 | 5,785,000 | 6,561,075 |
| | | | | 16,696,965 |
| Total Bonds and Notes | | | | |
| (cost $1,263,942,225) | | | | 1,341,056,018 |
16
| | | | |
| BNY Mellon Bond Fund (continued) | | |
| |
| Other Investment—4.2% | Shares | Value ($) |
| Registered Investment Company; | | |
| Dreyfus Institutional Preferred Plus Money Market Fund | | |
| (cost $57,411,824) | 57,411,824g | 57,411,824 |
| |
| Investment of Cash Collateral for Securities Loaned—1.4% | | |
| Registered Investment Company; | | |
| Dreyfus Institutional Cash Advantage Fund | | |
| (cost $19,000,019) | 19,000,019g | 19,000,019 |
| Total Investments (cost $1,340,354,068) | 104.1% | 1,417,467,861 |
| Liabilities, Less Cash and Receivables | (4.1%) | (55,913,552) |
| Net Assets | 100.0% | 1,361,554,309 |
|
| GO—General Obligation |
| REMIC—Real Estate Mortgage Investment Conduit |
| a Variable rate security—interest rate subject to periodic change. |
| b Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, these securities were valued at $29,712,833 or 2.2% of net assets. |
| c Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan $252,478,443 and the value of the collateral held by the fund was |
| $258,717,543, consisting of cash collateral of $19,000,019 and U.S Government & Agency securities valued at $239,717,524. |
| d The Federal Housing Finance Agency (“FHFA”) placed Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA |
| as the conservator.As such, the FHFA oversees the continuing affairs of these companies. |
| e Purchased on a forward commitment basis. |
| f Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index. |
| g Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited)† | | | |
| |
| | Value (%) | | Value (%) |
| U.S. Government & Agencies | 58.6 | Asset/Mortgage-Backed | 3.1 |
| Corporate Bonds | 29.8 | Foreign/Governmental | 1.2 |
| Municipal Bonds | 5.8 | | |
| Money Market Investments | 5.6 | | 104.1 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | |
| BNY Mellon Intermediate Bond Fund | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes—98.6% | Rate (%) | Date | Amount ($) | Value ($) |
| Aerospace & Defense—.2% | | | | |
| United Technologies, Sr. Unscd. Notes | 6.13 | 2/1/19 | 1,860,000 | 2,304,852 |
| Automotive, Trucks & Parts—1.2% | | | | |
| Daimler Finance North America, Gtd. Notes | 6.50 | 11/15/13 | 4,385,000 | 4,787,100 |
| Johnson Controls, Sr. Unscd. Notes | 5.50 | 1/15/16 | 6,075,000 | 6,885,332 |
| | | | | 11,672,432 |
| Bank & Finance—16.6% | | | | |
| American Express Credit, Sr. Unscd. Notes | 2.75 | 9/15/15 | 3,650,000 | 3,800,435 |
| Bank of America, Sub. Notes | 5.42 | 3/15/17 | 20,645,000 | 20,671,570 |
| BankAmerica Institutional Capital A, Gtd. Cap. Secs | 8.07 | 12/31/26 | 4,975,000a | 5,018,531 |
| Barclays Bank, Sr. Unscd. Notes, Ser. 1 | 5.00 | 9/22/16 | 6,900,000 | 7,436,758 |
| BBVA US Senior, Bank Gtd. Notes | 3.25 | 5/16/14 | 4,800,000 | 4,727,184 |
| Caterpillar Financial Services, Sr. Unscd. Notes | 6.13 | 2/17/14 | 4,975,000 | 5,495,146 |
| Citigroup, Sub. Notes | 5.00 | 9/15/14 | 7,780,000 | 8,104,193 |
| Citigroup, Sr. Unscd. Notes | 6.13 | 11/21/17 | 2,840,000 | 3,185,230 |
| Comerica, Sr. Unscd. Notes | 3.00 | 9/16/15 | 4,000,000 | 4,146,076 |
| General Electric Capital, Sr. Unscd. Notes | 1.88 | 9/16/13 | 8,375,000 | 8,491,655 |
| General Electric Capital, Sub. Notes | 5.30 | 2/11/21 | 1,955,000 | 2,157,872 |
| Goldman Sachs Group, Sr. Unscd. Notes | 4.75 | 7/15/13 | 7,780,000 | 8,069,315 |
| HSBC Finance, Sr. Unscd. Notes | 6.38 | 11/27/12 | 5,860,000 | 6,070,292 |
| HSBC Finance, Sr. Sub. Notes | 6.68 | 1/15/21 | 2,956,000 | 3,168,711 |
| Jefferies Group, Sr. Unscd. Notes | 5.13 | 4/13/18 | 4,930,000 | 4,658,850 |
| Jefferies Group, Sr. Unscd. Notes | 8.50 | 7/15/19 | 4,300,000 | 4,644,000 |
| John Deere Capital, Sr. Unscd. Notes | 1.25 | 12/2/14 | 3,000,000 | 3,049,155 |
| JPMorgan Chase & Co., Sub. Notes | 5.13 | 9/15/14 | 4,800,000 | 5,146,286 |
| Lloyds TSB Bank, Bank Gtd. Notes | 4.88 | 1/21/16 | 6,400,000 | 6,633,946 |
| Morgan Stanley, Sub. Notes | 4.75 | 4/1/14 | 5,985,000 | 6,058,268 |
| NYSE Euronext, Sr. Unscd. Notes | 4.80 | 6/28/13 | 3,630,000 | 3,815,631 |
| Private Export Funding, Gov’t Gtd. Notes | 4.38 | 3/15/19 | 15,935,000 | 18,766,857 |
| Rabobank Nederland, Gtd. Notes | 2.13 | 10/13/15 | 4,765,000 | 4,769,894 |
| Royal Bank of Scotland, Bank Gtd. Notes | 4.88 | 3/16/15 | 5,260,000 | 5,463,888 |
| TD Ameritrade Holding, Gtd. Notes | 4.15 | 12/1/14 | 3,650,000 | 3,882,585 |
| Wachovia, Sub. Notes | 5.25 | 8/1/14 | 6,210,000 | 6,708,085 |
| | | | | 164,140,413 |
| Building & Construction—.5% | | | | |
| CRH America, Gtd. Notes | 5.30 | 10/15/13 | 4,784,000 | 5,023,133 |
| Chemicals-Fibers & Diversified—.7% | | | | |
| Dow Chemical, Sr. Unscd. Notes | 4.25 | 11/15/20 | 6,245,000 | 6,711,021 |
| Commercial & Professional Services—1.1% | | | | |
| Seminole Indian Tribe of Florida, Sr. Scd. Notes | 5.80 | 10/1/13 | 4,375,000a | 4,392,513 |
| Seminole Indian Tribe of Florida, Notes | 7.75 | 10/1/17 | 765,000a | 833,850 |
18
| | | | | |
| BNY Mellon Intermediate Bond Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Commercial & Professional Services (continued) | | | | |
| Stanford University, Bonds | 4.75 | 5/1/19 | 5,000,000 | 5,874,115 |
| | | | | 11,100,478 |
| Electric Utilities—1.1% | | | | |
| Duke Energy Carolinas, First Mortgage Bonds | 1.75 | 12/15/16 | 3,010,000 | 3,051,511 |
| Hydro Quebec, Gov’t Gtd. Notes | 2.00 | 6/30/16 | 3,655,000 | 3,769,891 |
| Xcel Energy, Sr. Unscd. Notes | 4.70 | 5/15/20 | 3,705,000 | 4,202,037 |
| | | | | 11,023,439 |
| Entertainment—.3% | | | | |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.08 | 10/1/16 | 1,222,000a | 1,137,254 |
| Agua Caliente Band of Cahuilla Indians, Scd. Notes | 6.35 | 10/1/15 | 699,000a | 662,030 |
| Agua Caliente Band of Cahuilla Indians, Sr. Scd. Notes | 6.44 | 10/1/16 | 1,489,000a | 1,385,738 |
| | | | | 3,185,022 |
| Food & Beverages—2.9% | | | | |
| Diageo Finance, Gtd. Notes | 5.50 | 4/1/13 | 4,415,000 | 4,651,922 |
| Dr Pepper Snapple Group, Gtd. Notes | 2.90 | 1/15/16 | 3,250,000 | 3,401,323 |
| Kraft Foods, Sr. Unscd. Notes | 4.13 | 2/9/16 | 6,930,000 | 7,576,888 |
| Kroger, Sr. Unscd. Notes | 2.20 | 1/15/17 | 3,495,000 | 3,563,037 |
| McDonald’s, Sr. Unscd. Notes | 5.80 | 10/15/17 | 4,460,000 | 5,474,802 |
| Pernod-Ricard, Sr. Unscd. Notes | 4.45 | 1/15/22 | 4,100,000a | 4,282,282 |
| | | | | 28,950,254 |
| Foreign/Governmental—1.5% | | | | |
| Mexican Government, Sr. Unscd. Notes | 6.63 | 3/3/15 | 1,064,000 | 1,217,216 |
| Province of Nova Scotia Canada, Sr. Unscd. Bonds | 5.13 | 1/26/17 | 5,430,000 | 6,362,396 |
| Province of Ontario Canada, Sr. Unscd. Bonds | 4.00 | 10/7/19 | 6,515,000 | 7,294,624 |
| | | | | 14,874,236 |
| Health Care—3.1% | | | | |
| Amgen, Sr. Notes | 5.70 | 2/1/19 | 2,905,000 | 3,374,724 |
| AstraZeneca, Sr. Unscd. Notes | 5.90 | 9/15/17 | 5,895,000 | 7,192,501 |
| GlaxoSmithKline Capital, Gtd. Bonds | 5.65 | 5/15/18 | 5,853,000 | 7,168,093 |
| Pfizer, Sr. Unscd. Notes | 6.20 | 3/15/19 | 4,050,000 | 5,119,973 |
| Thermo Fisher Scientific, Sr. Unscd. Notes | 3.20 | 3/1/16 | 7,090,000 | 7,583,421 |
| | | | | 30,438,712 |
| Industrial—1.5% | | | | |
| BP Capital Markets, Gtd. Notes | 3.20 | 3/11/16 | 6,250,000 | 6,685,375 |
| Occidental Petroleum, Sr. Unscd. Notes | 4.13 | 6/1/16 | 3,005,000 | 3,380,424 |
| Petrobras International Finance, Gtd. Notes | 3.88 | 1/27/16 | 4,860,000 | 5,093,037 |
| | | | | 15,158,836 |
| Media & Telecommunications—5.1% | | | | |
| AT&T, Sr. Unscd. Notes | 4.45 | 5/15/21 | 3,400,000 | 3,821,943 |
| Comcast, Gtd. Notes | 5.90 | 3/15/16 | 5,135,000 | 5,977,669 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | |
| BNY Mellon Intermediate Bond Fund (continued) | | | | |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Media & Telecommunications (continued) | | | | |
| News America, Gtd. Notes | 5.30 | 12/15/14 | 5,260,000 | 5,843,371 |
| Rogers Communications, Gtd. Notes | 6.38 | 3/1/14 | 4,934,000 | 5,462,609 |
| Telefonica Emisiones, Gtd. Notes | 4.95 | 1/15/15 | 6,635,000 | 6,876,905 |
| Time Warner Cable, Gtd. Notes | 4.13 | 2/15/21 | 7,225,000 | 7,682,147 |
| Time Warner, Gtd. Notes | 4.00 | 1/15/22 | 4,930,000 | 5,243,099 |
| Verizon Communications, Sr. Unscd. Notes | 8.75 | 11/1/18 | 6,530,000 | 9,003,198 |
| | | | | 49,910,941 |
| Multi-Line Insurance—1.7% | | | | |
| American International Group, Sr. Unscd. Notes | 4.25 | 9/15/14 | 6,105,000 | 6,326,947 |
| MetLife, Sr. Unscd. Notes | 6.75 | 6/1/16 | 4,450,000 | 5,330,851 |
| Prudential Financial, Sr. Unscd. Notes | 4.75 | 9/17/15 | 4,735,000 | 5,162,656 |
| | | | | 16,820,454 |
| Municipal Bonds—4.4% | | | | |
| California, GO (Various Purpose) | 5.45 | 4/1/15 | 4,550,000 | 4,987,755 |
| California, GO (Various Purpose) | 5.95 | 4/1/16 | 3,255,000 | 3,713,304 |
| Illinois, GO | 4.42 | 1/1/15 | 3,225,000 | 3,401,827 |
| Massachusetts, GO (Build America Bonds) | 4.20 | 12/1/21 | 14,370,000 | 16,055,745 |
| North Texas Tollway Authority, | | | | |
| Special Projects System Revenue, BAN | 2.44 | 9/1/13 | 9,020,000 | 9,249,739 |
| Puerto Rico Commonwealth Government | | | | |
| Development Bank, Revenue Bonds | 3.67 | 5/1/14 | 5,830,000 | 5,912,961 |
| | | | | 43,321,331 |
| Real Estate—.7% | | | | |
| Simon Property Group, Sr. Unscd. Notes | 4.20 | 2/1/15 | 6,367,000 | 6,794,805 |
| Retail—.9% | | | | |
| Wal-Mart Stores, Sr. Unscd. Notes | 2.80 | 4/15/16 | 7,920,000 | 8,486,122 |
| Software & Services—2.2% | | | | |
| Fiserv, Gtd. Notes | 3.13 | 6/15/16 | 5,000,000 | 5,160,840 |
| Intel, Sr. Unscd. Notes | 1.95 | 10/1/16 | 7,180,000 | 7,467,717 |
| Oracle, Sr. Unscd. Notes | 5.75 | 4/15/18 | 7,000,000 | 8,593,172 |
| | | | | 21,221,729 |
| U.S. Government Agencies—5.0% | | | | |
| Federal Farm Credit Banks, Bonds | 3.40 | 2/7/13 | 15,800,000 | 16,271,504 |
| Federal Home Loan Banks, Bonds | 3.63 | 10/18/13 | 6,850,000 | 7,214,817 |
20
| | | | | |
| BNY Mellon Intermediate Bond Fund (continued) | | | | |
| |
| | Coupon | Maturity | Principal | |
| Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| U.S. Government Agencies (continued) | | | | |
| Federal Home Loan Banks, Bonds | 4.25 | 6/14/13 | 7,500,000 | 7,883,662 |
| Federal National Mortgage Association, Notes | 3.00 | 9/16/14 | 4,895,000b | 5,206,508 |
| Federal National Mortgage Association, Notes | 4.38 | 7/17/13 | 12,055,000b | 12,726,271 |
| | | | | 49,302,762 |
| U.S. Government Agencies/ | | | | |
| Mortgage-Backed—.0% | | | | |
| Federal Home Loan Mortgage Corp.; | | | | |
| REMIC, Ser. 2134, Cl. PM, 5.50%, 3/15/14 | | | 195,996b | 202,580 |
| U.S. Government Securities—47.9% | | | | |
| U.S. Treasury Inflation Protected Securities: | | | | |
| Notes, 0.63%, 7/15/21 | | | 8,142,626c,d | 9,425,724 |
| Notes, 1.38%, 7/15/18 | | | 15,556,046c,d | 18,403,534 |
| Notes, 2.38%, 1/15/17 | | | 13,648,537c,d | 15,010,197 |
| U.S. Treasury Notes: | | | | |
| 2.13%, 2/29/16 | | | 18,500,000d | 19,578,199 |
| 0.38%, 11/15/14 | | | 15,000,000d | 14,990,625 |
| 0.50%, 11/30/12 | | | 1,500,000 | 1,503,809 |
| 0.63%, 7/15/14 | | | 19,610,000d | 19,734,092 |
| 0.75%, 3/31/13 | | | 4,000,000 | 4,023,908 |
| 0.75%, 9/15/13 | | | 3,025,000d | 3,047,570 |
| 0.75%, 12/15/13 | | | 10,500,000d | 10,586,541 |
| 0.75%, 6/15/14 | | | 11,250,000d | 11,354,591 |
| 0.88%, 12/31/16 | | | 4,500,000d | 4,508,087 |
| 0.88%, 2/28/17 | | | 16,250,000 | 16,252,535 |
| 1.00%, 9/30/16 | | | 6,250,000d | 6,311,525 |
| 1.13%, 12/15/12 | | | 10,965,000d | 11,047,665 |
| 1.25%, 2/15/14 | | | 12,500,000d | 12,730,963 |
| 1.25%, 3/15/14 | | | 3,305,000d | 3,368,261 |
| 1.25%, 4/15/14 | | | 6,000,000d | 6,117,186 |
| 1.38%, 10/15/12 | | | 15,455,000 | 15,573,323 |
| 1.50%, 6/30/16 | | | 10,175,000d | 10,508,079 |
| 1.75%, 7/31/15 | | | 4,665,000d | 4,858,159 |
| 2.00%, 2/15/22 | | | 6,500,000d | 6,514,222 |
| 2.13%, 11/30/14 | | | 19,000,000 | 19,883,215 |
| 2.13%, 8/15/21 | | | 9,670,000d | 9,864,909 |
| 2.38%, 9/30/14 | | | 18,250,000 | 19,182,466 |
| 2.38%, 10/31/14 | | | 18,250,000d | 19,199,566 |
| 2.38%, 7/31/17 | | | 6,500,000d | 6,976,327 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon Intermediate Bond Fund (continued) | | | | |
| |
| | Principal | | | | | |
| Bonds and Notes (continued) | Amount ($) | Value ($) | Other Investment—.7% | Shares | | Value ($) |
| |
| U.S. Government Securities (continued) | | Registered Investment Company; | | | |
| U.S. Treasury Notes (continued): | | | Dreyfus | | | |
| 2.63%, 1/31/18 | 5,250,000d | 5,708,966 | Institutional Preferred | | | |
| 2.63%, 8/15/20 | 2,430,000d | 2,609,784 | Plus Money Market Fund | | | |
| 2.63%, 11/15/20 | 7,470,000d | 8,005,158 | (cost $6,944,866) | 6,944,866 | e | 6,944,866 |
| 3.13%, 5/15/19 | 3,885,000 | 4,338,453 | | | | |
| 3.13%, 5/15/21 | 5,500,000d | 6,107,580 | Investment of Cash Collateral | | | |
| 3.25%, 7/31/16 | 7,135,000 | 7,912,044 | for Securities Loaned—.7% | | | |
| 3.38%, 11/15/19 | 7,000,000 | 7,944,454 | Registered Investment Company; | | | |
| 3.50%, 5/15/20 | 8,000,000d | 9,160,624 | | | | |
| | | | Dreyfus Institutional Cash | | | |
| 3.75%, 11/15/18 | 2,405,000d | 2,786,419 | | | | |
| | | | Advantage Fund | | | |
| 4.00%, 11/15/12 | 43,500,000d | 44,679,285 | | | | |
| | | | (cost $6,679,635) | 6,679,635 | e | 6,679,635 |
| 4.25%, 8/15/13 | 37,430,000d | 39,605,619 | | | | |
| 4.25%, 11/15/13 | 27,510,000d | 29,365,852 | Total Investments | | | |
| 4.50%, 11/15/15 | 4,070,000 | 4,654,745 | (cost $937,526,185) | 100.0 | % | 987,702,314 |
| | | 473,434,261 | | | | |
| | | | Cash and Receivables (Net) | .0 | % | 399,245 |
| Total Bonds and Notes | | | | | | |
| (cost $923,901,684) | | 974,077,813 | Net Assets | 100.0 | % | 988,101,559 |
|
| BAN—Bond Anticipation Note |
| GO—General Obligation |
| REMIC—Real Estate Mortgage Investment Conduit |
| a Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, these securities were valued at $17,712,198 or 1.8% of net assets. |
| b The Federal Housing Finance Agency (“FHFA”) placed Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA |
| as the conservator.As such, the FHFA oversees the continuing affairs of these companies. |
| c Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index. |
| d Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan was $293,908,019 and the value of the collateral held by the fund was |
| $301,696,265, consisting of cash collateral of $6,679,635 and U.S. Government & Agency securities valued at $295,016,630. |
| e Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited)† | | | |
| |
| | Value (%) | | Value (%) |
| U.S. Government & Agencies | 52.9 | Foreign/Governmental | 1.5 |
| Corporate Bonds | 39.8 | Money Market Investments | 1.4 |
| Municipal Bonds | 4.4 | | 100.0 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
22
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | |
| BNY Mellon Intermediate U.S. Government Fund | | | | |
| |
| | Coupon | Maturity | Principal | |
| Bonds and Notes—98.8% | Rate (%) | Date | Amount ($) | Value ($) |
| Diversified Financial Services—4.2% | | | | |
| Private Export Funding, Gov’t Gtd. Notes | 4.38 | 3/15/19 | 1,635,000 | 1,925,561 |
| U.S. Government Agencies—18.2% | | | | |
| Federal Farm Credit Bank, Bonds, Ser. 1 | 1.18 | 6/6/14 | 1,000,000 | 1,002,026 |
| Federal Home Loan Banks, Bonds | 4.88 | 12/13/13 | 2,750,000 | 2,969,420 |
| Federal Home Loan Mortgage Corp., Notes | 1.10 | 8/8/14 | 1,000,000a | 1,002,618 |
| Federal National Mortgage Association, Notes | 0.45 | 9/6/13 | 500,000a | 500,218 |
| Federal National Mortgage Association, Notes | 0.75 | 12/19/14 | 1,000,000a | 1,008,058 |
| Federal National Mortgage Association, Notes | 0.85 | 9/12/14 | 1,000,000a | 999,988 |
| Federal National Mortgage Association, Notes | 1.13 | 9/17/13 | 500,000a | 505,622 |
| Federal National Mortgage Association, Sub. Notes | 5.13 | 1/2/14 | 440,000a | 475,235 |
| | | | | 8,463,185 |
| U.S. Government Agencies/Mortgage-Backed—2.9% | | | | |
| Federal Home Loan Mortgage Corp.; | | | | |
| REMIC, Ser. 3137, Cl. PA, 5.13%, 12/15/13 | | | 24,609a | 24,657 |
| Government National Mortgage Association I: | | | | |
| Ser. 2004-23, Cl. AB, 3.63%, 9/16/27 | | | 140,494 | 144,736 |
| Ser. 2005-76, Cl. A, 3.96%, 5/16/30 | | | 245,140 | 251,264 |
| Ser. 2005-29, Cl. A, 4.02%, 7/16/27 | | | 51,507 | 52,562 |
| Ser. 2004-12, Cl. BA, 4.81%, 8/16/32 | | | 194,254 | 198,897 |
| Ser. 2003-98, Cl. PD, 5.00%, 4/20/30 | | | 143,163 | 143,823 |
| Ser. 2006-32, Cl. A, 5.08%, 1/16/30 | | | 499,072 | 504,126 |
| Ser. 2004-50, Cl. C, 5.32%, 8/16/30 | | | 27,053b | 27,443 |
| | | | | 1,347,508 |
| U.S. Government Securities—73.5% | | | | |
| U.S. Treasury Bonds; | | | | |
| 7.25%, 5/15/16 | | | 1,500,000 | 1,908,399 |
| U.S. Treasury Inflation Protected Securities: | | | | |
| Notes, 1.38%, 7/15/18 | | | 20,932c | 24,231 |
| Notes, 1.38%, 1/15/20 | | | 986,278c | 1,149,013 |
| Notes, 2.38%, 1/15/17 | | | 2,095,030c | 2,478,519 |
| Notes, 0.63%, 7/15/21 | | | 510,694c | 561,643 |
| U.S. Treasury Notes: | | | | |
| 0.25%, 12/15/14 | | | 1,250,000 | 1,244,726 |
| 0.25%, 1/15/15 | | | 1,250,000 | 1,244,434 |
| 0.38%, 11/15/14 | | | 1,250,000 | 1,249,219 |
| 0.50%, 10/15/14 | | | 1,250,000 | 1,253,711 |
| 0.63%, 7/15/14 | | | 2,500,000 | 2,515,820 |
| 0.88%, 12/31/16 | | | 1,000,000 | 1,001,797 |
| 1.25%, 4/15/14 | | | 1,500,000 | 1,529,297 |
| 1.38%, 11/30/15 | | | 250,000 | 257,149 |
| 1.50%, 7/31/16 | | | 1,000,000 | 1,032,578 |
| 2.00%, 11/15/21 | | | 1,000,000 | 1,005,156 |
| 2.13%, 8/15/21 | | | 750,000 | 765,117 |
| 2.38%, 5/31/18 | | | 1,530,000 | 1,638,774 |
| 2.50%, 3/31/15 | | | 1,250,000 | 1,327,832 |
| 2.50%, 4/30/15 | | | 3,000,000 | 3,190,314 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | |
| BNY Mellon Intermediate U.S. Government Fund (continued) | | |
| |
| | Principal | | | | |
| Bonds and Notes (continued) | Amount ($) | Value ($) | Other Investment—.7% | Shares | Value ($) |
| |
| U.S. Government Securities (continued) | | | Registered | | |
| U.S. Treasury Notes (continued): | | | Investment Company; | | |
| 2.63%, 8/15/20 | 500,000 | 536,993 | Dreyfus | | |
| 3.13%, 1/31/17 | 1,250,000 | 1,386,035 | Institutional Preferred | | |
| 3.13%, 5/15/21 | 1,250,000 | 1,388,086 | Plus Money Market Fund | | |
| 3.50%, 5/15/20 | 1,250,000 | 1,431,348 | (cost $328,831) | 328,831d | 328,831 |
| 3.63%, 2/15/20 | 500,000 | 577,148 | | | |
| 4.50%, 11/15/15 | 2,000,000 | 2,287,344 | Total Investments | | |
| 5.13%, 5/15/16 | 1,000,000 | 1,183,360 | (cost $43,958,906) | 99.5% | 46,233,128 |
| | | 34,168,043 | Cash and Receivables (Net) | .5% | 238,452 |
| |
| Total Bonds and Notes | | | Net Assets | 100.0% | 46,471,580 |
| (cost $43,630,075) | | 45,904,297 | | | |
|
| REMIC—Real Estate Mortgage Investment Conduit |
| a The Federal Housing Finance Agency (“FHFA”) placed Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA |
| as the conservator.As such, the FHFA oversees the continuing affairs of these companies. |
| b Variable rate security—interest rate subject to periodic change. |
| c Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited)† | | | |
| | Value (%) | | Value (%) |
| U.S. Government & Agencies | 94.6 | Money Market Investment | .7 |
| Corporate Bonds | 4.2 | | 99.5 |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
24
STATEMENT OF INVESTMENTS
February 28, 2011 (Unaudited)
| | | | | |
| BNY Mellon Short-Term U.S. Government Securities Fund | | | |
| |
| | Coupon | Maturity | Principal | |
| Bonds and Notes—99.1% | Rate (%) | Date | Amount ($) | Value ($) |
| Municipal Bonds—1.9% | | | | |
| California, GO | 5.25 | 4/1/14 | 1,000,000 | 1,072,110 |
| New York City, GO | 5.13 | 12/1/15 | 1,100,000 | 1,260,886 |
| North Texas Tollway Authority, | | | | |
| Special Projects System Revenue, BAN | 2.44 | 9/1/13 | 2,960,000 | 3,035,391 |
| University of California Regents, | | | | |
| General Revenue (Build America Bonds) | 1.99 | 5/1/13 | 840,000 | 851,357 |
| | | | | 6,219,744 |
| U.S. Government Agencies—23.9% | | | | |
| Federal Farm Credit Bank, Bonds | 1.13 | 2/27/14 | 4,680,000 | 4,742,127 |
| Federal Farm Credit Bank, Bonds, Ser. 1 | 1.18 | 6/6/14 | 10,500,000 | 10,521,273 |
| Federal Home Loan Bank, Bonds | 0.38 | 11/27/13 | 7,000,000 | 7,003,752 |
| Federal Home Loan Mortgage Corp., Notes | 0.50 | 9/19/14 | 6,750,000a | 6,752,970 |
| Federal Home Loan Mortgage Corp., Notes | 1.10 | 8/8/14 | 7,000,000a | 7,018,326 |
| Federal Home Loan Mortgage Corp., Notes | 2.18 | 2/19/14 | 695,000a | 719,672 |
| Federal National Mortgage Association, Notes | 0.45 | 9/6/13 | 8,000,000a | 8,003,496 |
| Federal National Mortgage Association, Notes | 0.63 | 10/30/14 | 6,460,000a,b | 6,501,622 |
| Federal National Mortgage Association, Notes | 0.75 | 12/19/14 | 7,000,000a | 7,056,406 |
| Federal National Mortgage Association, Notes | 0.85 | 9/12/14 | 10,750,000a | 10,749,871 |
| Federal National Mortgage Association, Notes | 0.88 | 8/28/14 | 6,680,000a | 6,763,006 |
| Federal National Mortgage Association, Notes | 1.00 | 9/20/13 | 3,500,000a | 3,502,863 |
| | | | | 79,335,384 |
| U.S. Government Agencies/Mortgage-Backed—10.2% | | | | |
| Federal Home Loan Mortgage Corp.: | | | | |
| 5.00%, 3/1/12—7/1/12 | | | 588,677a | 602,147 |
| REMIC, Ser. 2627, Cl. KW, 3.14%, 11/15/17 | | | 1,451,354a | 1,474,982 |
| REMIC, Ser. 2625, Cl. JD, 3.25%, 7/15/17 | | | 229,195a | 230,370 |
| REMIC, Ser. 2937, Cl. VC, 5.00%, 6/15/14 | | | 231,193a | 238,375 |
| REMIC, Ser. 2707, Cl. PD, 5.00%, 11/15/17 | | | 203,634a | 205,501 |
| REMIC, Ser. 2495, Cl. UC, 5.00%, 7/15/32 | | | 42,506a | 45,424 |
| REMIC, Ser. 3137, Cl. PA, 5.13%, 12/15/13 | | | 77,343a | 77,494 |
| REMIC, Ser. 1961, Cl. H, 6.50%, 5/15/12 | | | 7a | 7 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | |
| BNY Mellon Short-Term U.S. Government Securities Fund (continued) | | |
| |
| | Principal | | | | Principal | |
| Bonds and Notes (continued) | Amount ($) | | Value ($) | | Amount ($) | Value ($) |
| U.S. Government Agencies/ | | | | U.S. Government Agencies/ | | |
| Mortgage-Backed (continued) | | | | Mortgage-Backed (continued) | | |
| Federal National | | | | Government National Mortgage | | |
| Mortgage Association: | | | | Association I (continued): | | |
| 4.50%, 8/1/13 | 15,770 | a | 16,546 | Ser. 2004-12, Cl. BA, | | |
| 5.00%, 11/1/12—11/1/13 | 223,858 | a | 237,885 | 4.81%, 8/16/32 | 5,065,540 | 5,186,632 |
| REMIC, Ser. 2003-65, Cl. CA, | | | | Ser. 2003-98, Cl. PD, | | |
| 3.75%, 7/25/18 | 1,064,143 | a | 1,078,843 | 5.00%, 4/20/30 | 429,488 | 431,469 |
| REMIC, Ser. 2005-85, Cl. AJ, | | | | Ser. 2006-31, Cl. C, | | |
| 4.50%, 2/25/24 | 2,809,218 | a | 2,874,906 | 5.03%, 5/16/34 | 718,514c | 722,947 |
| REMIC, Ser. 2009-12, Cl. KA, | | | | Ser. 2006-32, Cl. A, | | |
| 5.50%, 2/25/38 | 3,212,009 | a | 3,359,152 | 5.08%, 1/16/30 | 950,811 | 960,440 |
| Ser. 2002-T11, Cl. A, | | | | Ser. 2004-51, Cl. C, | | |
| 4.77%, 4/25/12 | 21,688 | a | 21,707 | 5.29%, 7/16/28 | 1,563,070c | 1,598,522 |
| Government National | | | | Ser. 2004-50, Cl. C, | | |
| Mortgage Association I: | | | | 5.32%, 8/16/30 | 81,159c | 82,330 |
| Ser. 2012-22, Cl. AB, | | | | | | 33,683,115 |
| 1.66%, 3/16/33 | 1,000,000 | | 1,008,668 | U.S. Government Securities—63.1% | | |
| Ser. 2010-159, Cl. A, | | | | U.S. Treasury Notes: | | |
| 2.16%, 1/16/33 | 2,809,572 | | 2,859,726 | 0.13%, 8/31/13 | 4,500,000b | 4,491,212 |
| Ser. 2011-16, Cl. A, | | | | 0.13%, 9/30/13 | 9,000,000b | 8,980,317 |
| 2.21%, 11/16/34 | 1,145,011 | | 1,168,500 | 0.13%, 12/31/13 | 9,250,000b | 9,222,907 |
| Ser. 2011-49, Cl. A, | | | | 0.25%, 10/31/13 | 9,500,000b | 9,497,036 |
| 2.45%, 7/16/38 | 1,179,420 | | 1,212,102 | 0.25%, 9/15/14 | 8,750,000 | 8,721,291 |
| Ser. 2004-23, Cl. AB, | | | | 0.25%, 12/15/14 | 13,500,000b | 13,443,044 |
| 3.63%, 9/16/27 | 308,778 | | 318,100 | 0.25%, 1/15/15 | 12,000,000b | 11,946,564 |
| Ser. 2006-67, Cl. A, | | | | 0.25%, 2/15/15 | 8,750,000b | 8,707,615 |
| 3.95%, 11/16/30 | 541,317 | | 548,287 | 0.38%, 11/15/14 | 12,250,000b | 12,242,344 |
| Ser. 2005-76, Cl. A, | | | | 0.50%, 10/15/13 | 11,000,000b | 11,041,679 |
| 3.96%, 5/16/30 | 384,232 | | 393,830 | 0.50%, 11/15/13 | 8,000,000 | 8,030,312 |
| Ser. 2005-29, Cl. A, | | | | 0.50%, 8/15/14 | 8,500,000 | 8,527,888 |
| 4.02%, 7/16/27 | 4,674,999 | | 4,770,806 | 0.50%, 10/15/14 | 11,750,000 | 11,784,886 |
| Ser. 2009-19, Cl. AC, | | | | 0.63%, 7/15/14 | 12,000,000b | 12,075,936 |
| 4.22%, 3/16/34 | 654,929 | | 675,797 | 0.75%, 9/15/13 | 11,000,000b | 11,082,071 |
| Ser. 2006-55, Cl. A, | | | | 0.75%, 12/15/13 | 11,000,000b | 11,090,662 |
| 4.25%, 7/16/29 | 1,276,638 | | 1,281,620 | | | |
26
| | | | | | | |
| BNY Mellon Short-Term U.S. Government Securities Fund (continued) | | |
| |
| | Principal | | | | |
| Bonds and Notes (continued) | Amount ($) | Value ($) | Other Investment—.6% | Shares | Value ($) |
| U.S. Government Securities (continued) | | Registered | | |
| U.S. Treasury Notes (continued): | | | Investment Company; | | |
| 0.75%, 6/15/14 | 8,500,000 | 8,579,024 | Dreyfus Institutional Preferred | | |
| 1.00%, 1/15/14 | 11,000,000b | 11,144,375 | Plus Money Market Fund | | |
| 1.25%, 2/15/14 | 8,500,000b | 8,657,054 | (cost $2,137,600) | 2,137,600d | 2,137,600 |
| 1.25%, 3/15/14 | 10,000,000b | 10,191,410 | | | |
| 1.25%, 4/15/14 | 4,500,000b | 4,587,889 | Total Investments | | |
| 2.50%, 3/31/15 | 5,000,000b | 5,311,330 | (cost $330,293,225) | 99.7% | 330,732,689 |
| | | 209,356,846 | Cash and Receivables (Net) | .3% | 852,110 |
| |
| Total Bonds and Notes | | | Net Assets | 100.0% | 331,584,799 |
| (cost $328,155,625) | | 328,595,089 | | | |
|
| BAN—Bond Anticipation Note |
| GO—General Obligation |
| REMIC—Real Mortagage Investment Conduit |
| a The Federal Housing Finance Agency (“FHFA”) placed Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA |
| as the conservator.As such, the FHFA oversees the continuing affairs of these companies. |
| b Security, or portion thereof, on loan.At February 29, 2012, the value of the fund’s securities on loan was $117,213,899 and the value of the collateral held by the fund was |
| $119,857,082, consisting of U.S. Goverment & Agency securities. |
| c Variable rate security—interest rate subject to periodic change. |
| d Investment in affiliated money market mutual fund. |
| | | |
| Portfolio Summary (Unaudited)† | | | |
| | Value (%) | | Value (%) |
| U.S. Government & Agencies | 97.2 | Money Market Investment | .6 |
| Municipal Bonds | 1.9 | | 99.7 |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF ASSETS AND LIABILITIES
February 29, 2012 (Unaudited)
| | | | | | | | |
| | | | BNY Mellon | BNY Mellon |
| | | BNY Mellon | Intermediate | Short-Term |
| | BNY Mellon | Intermediate | U.S. Government | U.S. Government |
| | Bond Fund | Bond Fund | Fund | Securities Fund |
| Assets ($): | | | | |
| Investments in securities—See Statement of Investments† | | | | |
| (including securities on loan)††—Note 2(b): | | | | |
| Unaffiliated issuers | 1,341,056,018 | 974,077,813 | 45,904,297 | 328,595,089 |
| Affiliated issuers | 76,411,843 | 13,624,501 | 328,831 | 2,137,600 |
| Cash | — | — | 4,810 | 428,322 |
| Receivable for investment securities sold | 29,720,513 | — | — | — |
| Dividends, interest and securities lending income receivable | 8,875,175 | 8,479,564 | 265,399 | 686,042 |
| Receivable for shares of Beneficial Interest subscribed | 1,133,339 | 1,045,534 | — | 209,135 |
| Prepaid expenses | 15,157 | 16,426 | 18,772 | 13,269 |
| | 1,457,212,045 | 997,243,838 | 46,522,109 | 332,069,457 |
| Liabilities ($): | | | | |
| Due to The Dreyfus Corporation and affiliates—Note 4(b) | 470,662 | 344,581 | 23,513 | 106,256 |
| Due to Administrator—Note 4(a) | 133,712 | 97,107 | 4,618 | 32,755 |
| Cash overdraft due to Custodian | 864,916 | 971,700 | — | — |
| Payable for investment securities purchased | 73,944,689 | — | — | — |
| Liability for securities on loan—Note 2(b) | 19,000,019 | 6,679,635 | — | — |
| Payable for shares of Beneficial Interest redeemed | 1,188,648 | 1,008,871 | 138 | 316,641 |
| Accrued expenses | 55,090 | 40,385 | 22,260 | 29,006 |
| | 95,657,736 | 9,142,279 | 50,529 | 484,658 |
| Net Assets ($) | 1,361,554,309 | 988,101,559 | 46,471,580 | 331,584,799 |
| Composition of Net Assets ($): | | | | |
| Paid-in capital | 1,283,173,893 | 949,119,271 | 44,962,256 | 341,836,194 |
| Accumulated distributions in excess of | | | | |
| investment income (investment loss)—net | (2,305,885) | (2,765,852) | (214,137) | (1,288,991) |
| Accumulated net realized gain (loss) on investments | 3,572,508 | (8,427,989) | (550,761) | (9,401,868) |
| Accumulated net unrealized appreciation | | | | |
| (depreciation) on investments | 77,113,793 | 50,176,129 | 2,274,222 | 439,464 |
| Net Assets ($) | 1,361,554,309 | 988,101,559 | 46,471,580 | 331,584,799 |
| Net Asset Value Per Share | | | | |
| Class M Shares | | | | |
| Net Assets ($) | 1,351,649,651 | 983,587,839 | 40,921,589 | 328,706,733 |
| Shares Outstanding | 100,122,326 | 74,799,312 | 3,988,511 | 26,859,681 |
| Net Asset Value Per Share ($) | 13.50 | 13.15 | 10.26 | 12.24 |
| Investor Shares | | | | |
| Net Assets ($) | 9,904,658 | 4,513,720 | 5,549,991 | 2,878,066 |
| Shares Outstanding | 734,983 | 343,174 | 541,498 | 235,451 |
| Net Asset Value Per Share ($) | 13.48 | 13.15 | 10.25 | 12.22 |
| † Investments at cost ($): | | | | |
| Unaffiliated issuers | 1,263,942,225 | 923,901,684 | 43,630,075 | 328,155,625 |
| Affiliated issuers | 76,411,843 | 13,624,501 | 328,831 | 2,137,600 |
| ††Value of securities on loan ($) | 252,478,443 | 293,908,019 | — | — |
| |
| See notes to financial statements. | | | | |
28
STATEMENT OF OPERATIONS
Six Months Ended February 29, 2012 (Unaudited)
| | | | | | | | |
| | | | BNY Mellon | BNY Mellon |
| | | BNY Mellon | Intermediate | Short-Term |
| | BNY Mellon | Intermediate | U.S. Government | U.S. Government |
| | Bond Fund | Bond Fund | Fund | Securities Fund |
| Investment Income ($): | | | | |
| Income: | | | | |
| Interest | 22,199,360 | 13,558,070 | 346,875 | 659,849 |
| Income from securities lending—Note 2(b) | 72,125 | 83,002 | — | 30,269 |
| Cash dividends: | | | | |
| Affiliated issuers | 11,297 | 3,018 | 281 | 1,767 |
| Total Income | 22,282,782 | 13,644,090 | 347,156 | 691,885 |
| Expenses: | | | | |
| Investment advisory fee—Note 4(a) | 2,688,848 | 1,962,472 | 126,538 | 604,379 |
| Administration fee—Note 4(a) | 838,599 | 612,062 | 31,576 | 215,439 |
| Trustees’ fees and expenses—Note 4(c) | 58,794 | 39,869 | 1,892 | 15,447 |
| Custodian fees—Note 4(b) | 38,459 | 34,950 | 3,179 | 14,867 |
| Auditing fees | 15,655 | 16,948 | 15,537 | 13,090 |
| Shareholder servicing costs—Note 4(b) | 13,233 | 5,378 | 7,442 | 2,771 |
| Legal fees | 11,232 | 7,200 | 1,459 | 1,315 |
| Registration fees | 6,538 | 6,251 | 9,668 | 9,757 |
| Loan commitment fees—Note 3 | 5,218 | 59 | 417 | 2,369 |
| Prospectus and shareholders’ reports | 1,289 | 2,141 | 589 | 1,397 |
| Miscellaneous | 23,003 | 16,655 | 8,014 | 15,801 |
| Total Expenses | 3,700,868 | 2,703,985 | 206,311 | 896,632 |
| Less—reduction in fees due to | | | | |
| earnings credits—Note 4(b) | (3) | (214) | (2) | — |
| Net Expenses | 3,700,865 | 2,703,771 | 206,309 | 896,632 |
| Investment Income (Loss)—Net | 18,581,917 | 10,940,319 | 140,847 | (204,747) |
| Realized and Unrealized Gain (Loss) | | | | |
| on Investments—Note 5 ($): | | | | |
| Net realized gain (loss) on investments | 11,157,551 | 3,086,434 | 474,456 | 679,369 |
| Net unrealized appreciation (depreciation) on investments | 7,375,662 | 4,583,937 | (190,033) | (1,096,328) |
| Net Realized and Unrealized Gain (Loss) on Investments | 18,533,213 | 7,670,371 | 284,423 | (416,959) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 37,115,130 | 18,610,690 | 425,270 | (621,706) |
| |
| See notes to financial statements. | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | BNY Mellon Bond Fund | BNY Mellon Intermediate Bond Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 18,581,917 | 41,972,611 | 10,940,319 | 23,876,507 |
| Net realized gain (loss) on investments | 11,157,551 | 15,898,386 | 3,086,434 | 9,837,850 |
| Net unrealized appreciation (depreciation) on investments | 7,375,662 | (3,613,978) | 4,583,937 | (6,121,654) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 37,115,130 | 54,257,019 | 18,610,690 | 27,592,703 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (21,666,546) | (51,511,414) | (14,144,808) | (31,959,623) |
| Investor Shares | (152,512) | (280,940) | (57,570) | (132,490) |
| Net realized gain on investments: | | | | |
| Class M Shares | (2,808,023) | (1,949,838) | (60,140) | — |
| Investor Shares | (18,581) | (10,235) | (259) | — |
| Total Dividends | (24,645,662) | (53,752,427) | (14,262,777) | (32,092,113) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 99,356,825 | 207,907,988 | 92,831,171 | 231,106,543 |
| Investor Shares | 7,690,196 | 9,227,569 | 3,337,350 | 10,465,058 |
| Dividends reinvested: | | | | |
| Class M Shares | 4,546,792 | 7,550,755 | 2,528,352 | 5,667,103 |
| Investor Shares | 132,159 | 218,048 | 54,029 | 125,034 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (118,227,274) | (318,242,341) | (96,340,638) | (240,636,818) |
| Investor Shares | (9,089,285) | (11,374,764) | (3,153,509) | (11,053,561) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (15,590,587) | (104,712,745) | (743,245) | (4,326,641) |
| Total Increase (Decrease) in Net Assets | (3,121,119) | (104,208,153) | 3,604,668 | (8,826,051) |
| Net Assets ($): | | | | |
| Beginning of Period | 1,364,675,428 | 1,468,883,581 | 984,496,891 | 993,322,942 |
| End of Period | 1,361,554,309 | 1,364,675,428 | 988,101,559 | 984,496,891 |
| Undistributed (distributions in | | | | |
| excess of) investment income—net | (2,305,885) | 931,256 | (2,765,852) | 496,207 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 7,430,195 | 15,717,645 | 7,094,651 | 17,777,662 |
| Shares issued for dividends reinvested | 340,981 | 573,560 | 193,749 | 435,762 |
| Shares redeemed | (8,840,395) | (24,057,698) | (7,372,091) | (18,514,059) |
| Net Increase (Decrease) in Shares Outstanding | (1,069,219) | (7,766,493) | (83,691) | (300,635) |
| Investor Shares | | | | |
| Shares sold | 575,650 | 696,544 | 254,801 | 804,396 |
| Shares issued for dividends reinvested | 9,914 | 16,541 | 4,068 | 9,616 |
| Shares redeemed | (680,698) | (855,464) | (241,124) | (851,234) |
| Net Increase (Decrease) in Shares Outstanding | (95,134) | (142,379) | 17,745 | (37,222) |
| |
| See notes to financial statements. | | | | |
30
| | | | | | | | |
| | BNY Mellon Intermediate | BNY Mellon Short-Term |
| | U.S. Government Fund | U.S. Government Securities Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income (loss)—net | 140,847 | 958,155 | (204,747) | 1,844,057 |
| Net realized gain (loss) on investments | 474,456 | 586,651 | 679,369 | 1,954,973 |
| Net unrealized appreciation (depreciation) on investments | (190,033) | (162,448) | (1,096,328) | (1,321,553) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 425,270 | 1,382,358 | (621,706) | 2,477,477 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (423,262) | (1,571,148) | (1,115,962) | (5,009,459) |
| Investor Shares | (45,856) | (143,938) | (4,606) | (8,790) |
| Net realized gain on investments: | | | | |
| Class M Shares | — | (41,533) | — | — |
| Investor Shares | — | (3,710) | — | — |
| Total Dividends | (469,118) | (1,760,329) | (1,120,568) | (5,018,249) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 2,776,537 | 18,119,371 | 54,613,294 | 209,438,125 |
| Investor Shares | 118,141 | 422,484 | 2,432,535 | 3,271,802 |
| Dividends reinvested: | | | | |
| Class M Shares | 97,642 | 345,524 | 224,842 | 1,052,784 |
| Investor Shares | 41,706 | 131,905 | 4,465 | 6,565 |
| Cost of shares redeemed: | | | | |
| Class M Shares | (9,173,309) | (30,681,299) | (74,374,263) | (162,688,297) |
| Investor Shares | (320,659) | (1,499,197) | (720,110) | (3,088,010) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (6,459,942) | (13,161,212) | (17,819,237) | 47,992,969 |
| Total Increase (Decrease) in Net Assets | (6,503,790) | (13,539,183) | (19,561,511) | 45,452,197 |
| Net Assets ($): | | | | |
| Beginning of Period | 52,975,370 | 66,514,553 | 351,146,310 | 305,694,113 |
| End of Period | 46,471,580 | 52,975,370 | 331,584,799 | 351,146,310 |
| Undistributed (distributions in excess of) | | | | |
| investment income (loss)—net | (214,137) | 114,134 | (1,288,991) | 36,324 |
| Capital Share Transactions (Shares): | | | | |
| Class M Shares | | | | |
| Shares sold | 270,537 | 1,786,003 | 4,451,543 | 17,006,597 |
| Shares issued for dividends reinvested | 9,513 | 34,048 | 18,361 | 85,552 |
| Shares redeemed | (892,520) | (3,027,438) | (6,066,804) | (13,217,225) |
| Net Increase (Decrease) in Shares Outstanding | (612,470) | (1,207,387) | (1,596,900) | 3,874,924 |
| Investor Shares | | | | |
| Shares sold | 11,517 | 41,554 | 198,578 | 265,750 |
| Shares issued for dividends reinvested | 4,067 | 12,996 | 350 | 534 |
| Shares redeemed | (31,311) | (146,743) | (58,794) | (250,572) |
| Net Increase (Decrease) in Shares Outstanding | (15,727) | (92,193) | 140,134 | 15,712 |
|
| See notes to financial statements. |
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class of each BNY Mellon fixed income fund 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 each fund would have increased (or decreased) during the period, assuming you had reinvested all dividends and distributions.These figures have been derived from each fund’s financial statements.
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.38 | 13.36 | 12.90 | 12.38 | 12.24 | 12.23 |
| Investment Operations: | | | | | | |
| Investment income—neta | .18 | .39 | .43 | .52 | .60 | .57 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .19 | .14 | .56 | .56 | .15 | .04 |
| Total from Investment Operations | .37 | .53 | .99 | 1.08 | .75 | .61 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.22) | (.49) | (.53) | (.56) | (.61) | (.60) |
| Dividends from net realized gain on investments | (.03) | (.02) | — | — | — | — |
| Total Distributions | (.25) | (.51) | (.53) | (.56) | (.61) | (.60) |
| Net asset value, end of period | 13.50 | 13.38 | 13.36 | 12.90 | 12.38 | 12.24 |
| Total Return (%) | 2.76b | 4.06 | 7.84 | 8.95 | 6.17 | 5.06 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .55c | .55 | .55 | .56 | .55 | .56 |
| Ratio of net expenses to average net assets | .55c | .55 | .55 | .56 | .55 | .56 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.77c | 2.98 | 3.29 | 4.15 | 4.78 | 4.67 |
| Portfolio Turnover Rate | 36.92b | 86.75d | 99.66 | 62.19 | 60.76 | 134.49 |
| Net Assets, end of period ($ x 1,000) | 1,351,650 | 1,353,593 | 1,455,913 | 1,340,824 | 995,421 | 944,416 |
|
| a Based on average shares outstanding at each month end. |
| b Not annualized. |
| c Annualized. |
| d The portfolio turnover rate excluding mortgage dollar roll transactions for the period ended August 31, 2011 was 79.13%. |
| See notes to financial statements. |
32
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.35 | 13.34 | 12.88 | 12.36 | 12.21 | 12.21 |
| Investment Operations: | | | | | | |
| Investment income—neta | .17 | .35 | .39 | .50 | .56 | .53 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .19 | .13 | .57 | .54 | .16 | .04 |
| Total from Investment Operations | .36 | .48 | .96 | 1.04 | .72 | .57 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.20) | (.45) | (.50) | (.52) | (.57) | (.57) |
| Dividends from net realized gain on investments | (.03) | (.02) | — | — | — | — |
| Total Distributions | (.23) | (.47) | (.50) | (.52) | (.57) | (.57) |
| Net asset value, end of period | 13.48 | 13.35 | 13.34 | 12.88 | 12.36 | 12.21 |
| Total Return (%) | 2.70b | 3.72 | 7.60 | 8.74 | 5.81 | 4.82 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .80c | .80 | .81 | .81 | .80 | .81 |
| Ratio of net expenses to average net assets | .80c | .80 | .81 | .81 | .80 | .81 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.53c | 2.73 | 3.03 | 3.88 | 4.52 | 4.42 |
| Portfolio Turnover Rate | 36.92b | 86.75d | 99.66 | 62.19 | 60.76 | 134.49 |
| Net Assets, end of period ($ x 1,000) | 9,905 | 11,083 | 12,971 | 6,696 | 3,472 | 4,621 |
|
| a Based on average shares outstanding at each month end. |
| b Not annualized. |
| c Annualized. |
| d The portfolio turnover rate excluding mortgage dollar roll transactions for the period ended August 31, 2011 was 79.13%. |
| See notes to financial statements. |
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Intermediate Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.09 | 13.15 | 12.81 | 12.37 | 12.19 | 12.14 |
| Investment Operations: | | | | | | |
| Investment income—neta | .15 | .32 | .35 | .46 | .55 | .53 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .10 | .04 | .47 | .50 | .21 | .09 |
| Total from Investment Operations | .25 | .36 | .82 | .96 | .76 | .62 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.19) | (.42) | (.48) | (.52) | (.58) | (.57) |
| Dividends from net realized gain on investments | (.00)b | — | — | — | — | — |
| Total Distributions | (.19) | (.42) | (.48) | (.52) | (.58) | (.57) |
| Net asset value, end of period | 13.15 | 13.09 | 13.15 | 12.81 | 12.37 | 12.19 |
| Total Return (%) | 1.92c | 2.84 | 6.52 | 8.07 | 6.19 | 5.22 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .55d | .55 | .55 | .56 | .55 | .56 |
| Ratio of net expenses to average net assets | .55d | .55 | .55 | .56 | .55 | .56 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.23d | 2.42 | 2.72 | 3.75 | 4.43 | 4.36 |
| Portfolio Turnover Rate | 21.50c | 45.15 | 44.58 | 53.05 | 53.28 | 84.24 |
| Net Assets, end of period ($ x 1,000) | 983,588 | 980,237 | 988,555 | 856,808 | 785,841 | 725,064 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
| See notes to financial statements. |
34
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Intermediate Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.09 | 13.15 | 12.81 | 12.36 | 12.19 | 12.14 |
| Investment Operations: | | | | | | |
| Investment income—neta | .13 | .29 | .31 | .43 | .53 | .48 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .10 | .04 | .48 | .51 | .18 | .11 |
| Total from Investment Operations | .23 | .33 | .79 | .94 | .71 | .59 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.17) | (.39) | (.45) | (.49) | (.54) | (.54) |
| Dividends from net realized gain on investments | (.00)b | — | — | — | — | — |
| Total Distributions | (.17) | (.39) | (.45) | (.49) | (.54) | (.54) |
| Net asset value, end of period | 13.15 | 13.09 | 13.15 | 12.81 | 12.36 | 12.19 |
| Total Return (%) | 1.79c | 2.57 | 6.26 | 7.78 | 5.91 | 4.96 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .80d | .80 | .81 | .81 | .80 | .81 |
| Ratio of net expenses to average net assets | .80d | .80 | .81 | .81 | .80 | .81 |
| Ratio of net investment income | | | | | | |
| to average net assets | 1.98d | 2.18 | 2.44 | 3.48 | 4.19 | 4.10 |
| Portfolio Turnover Rate | 21.50c | 45.15 | 44.58 | 53.05 | 53.28 | 84.24 |
| Net Assets, end of period ($ x 1,000) | 4,514 | 4,260 | 4,768 | 2,740 | 1,616 | 1,931 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
| See notes to financial statements. |
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | | | | |
| | | | | | Class M Shares† | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon Intermediate | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| U.S. Government Fund | | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | | |
| Net asset value, beginning of period | | 10.27 | 10.30 | 10.27 | 10.43 | 9.99 | 9.81 | 9.94 |
| Investment Operations: | | | | | | | | |
| Investment income—netb | | .03 | .16 | .17 | .14 | .42 | .42 | .42 |
| Net realized and unrealized | | | | | | | | |
| gain (loss) on investments | | .06 | .10 | .33 | (.10) | .39 | .23 | (.08) |
| Total from Investment Operations | | .09 | .26 | .50 | .04 | .81 | .65 | .34 |
| Distributions: | | | | | | | | |
| Dividends from investment income—net | | (.10) | (.28) | (.32) | (.20) | (.37) | (.47) | (.47) |
| Dividends from net realized | | | | | | | | |
| gain on investments | | — | (.01) | (.15) | (.00)c | — | — | — |
| Total Distributions | | (.10) | (.29) | (.47) | (.20) | (.37) | (.47) | (.47) |
| Net asset value, end of period | | 10.26 | 10.27 | 10.30 | 10.27 | 10.43 | 9.99 | 9.81 |
| Total Return (%) | | .84d | 2.59 | 5.03 | .41d | 8.31 | 6.80 | 3.58 |
| Ratios/Supplemental Data (%): | | | | | | | | |
| Ratio of total expenses to average net assets | .79e | .79 | .74 | .78e | .76 | .77 | .78 |
| Ratio of net expenses to average net assets | .79e | .78 | .65 | .65e | .65 | .65 | .65 |
| Ratio of net investment income | | | | | | | | |
| to average net assets | | .59e | 1.56 | 1.71 | 2.08e | 4.12 | 4.31 | 4.27 |
| Portfolio Turnover Rate | | 27.39d | 70.98 | 60.52 | 56.74d | 85.47 | 57 | 21 |
| Net Assets, end of period ($ x 1,000) | | 40,922 | 47,258 | 59,832 | 56,037 | 120,970 | 106,650 | 103,686 |
|
| † Represents information for Institutional shares of the fund’s predecessor, BNY Hamilton Intermediate Government Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Amount represents less than $.01 per share. |
| d Not annualized. |
| e Annualized. |
| See notes to financial statements. |
36
| | | | | | | | | | | | | | | |
| | | | | | Investor Shares† | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon Intermediate | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| U.S. Government Fund | | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | | |
| Net asset value, beginning of period | | 10.26 | 10.29 | 10.25 | 10.42 | 9.98 | 9.80 | 9.93 |
| Investment Operations: | | | | | | | | |
| Investment income—netb | | .02 | .13 | .15 | .13 | .39 | .40 | .39 |
| Net realized and unrealized | | | | | | | | |
| gain (loss) on investments | | .05 | .11 | .34 | (.12) | .40 | .23 | (.07) |
| Total from Investment Operations | | .07 | .24 | .49 | .01 | .79 | .63 | .32 |
| Distributions: | | | | | | | | |
| Dividends from investment income—net | | (.08) | (.26) | (.30) | (.18) | (.35) | (.45) | (.45) |
| Dividends from net realized | | | | | | | | |
| gain on investments | | — | (.01) | (.15) | (.00)c | — | — | — |
| Total Distributions | | (.08) | (.27) | (.45) | (.18) | (.35) | (.45) | (.45) |
| Net asset value, end of period | | 10.25 | 10.26 | 10.29 | 10.25 | 10.42 | 9.98 | 9.80 |
| Total Return (%) | | .70d | 2.36 | 4.87 | .14d | 8.06 | 6.53 | 3.32 |
| Ratios/Supplemental Data (%): | | | | | | | | |
| Ratio of total expenses to average net assets | 1.04e | 1.04 | .99 | 1.04e | 1.01 | 1.02 | 1.03 |
| Ratio of net expenses to average net assets | 1.04e | 1.03 | .90 | .90e | .90 | .90 | .90 |
| Ratio of net investment income | | | | | | | | |
| to average net assets | | .33e | 1.30 | 1.46 | 1.89e | 3.87 | 4.06 | 4.02 |
| Portfolio Turnover Rate | | 27.39d | 70.98 | 60.52 | 56.74d | 85.47 | 57 | 21 |
| Net Assets, end of period ($ x 1,000) | | 5,550 | 5,717 | 6,682 | 6,588 | 6,292 | 6,015 | 6,319 |
|
| † Represents information for Class A shares of the fund’s predecessor, BNY Hamilton Intermediate Government Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Amount represents less than $.01 per share. |
| d Not annualized. |
| e Annualized. |
| See notes to financial statements. |
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| BNY Mellon Short-Term | February 29, 2012 | | Year Ended August 31, | |
| U.S. Government Securities Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.30 | 12.40 | 12.39 | 12.19 | 12.02 | 11.99 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.01) | .07 | .13 | .29 | .46 | .56 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | (.01) | .02 | .11 | .30 | .23 | .03 |
| Total from Investment Operations | (.02) | .09 | .24 | .59 | .69 | .59 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.04) | (.19) | (.23) | (.39) | (.52) | (.56) |
| Net asset value, end of period | 12.24 | 12.30 | 12.40 | 12.39 | 12.19 | 12.02 |
| Total Return (%) | (.17)b | .71 | 1.96 | 4.90 | 5.83 | 5.05 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .52c | .52 | .53 | .56 | .55 | .55 |
| Ratio of net expenses to average net assets | .52c | .52 | .53 | .56 | .55 | .55 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.12)c | .56 | 1.07 | 2.32 | 3.79 | 4.65 |
| Portfolio Turnover Rate | 77.37b | 143.65 | 59.58 | 117.43 | 84.77 | 127.30 |
| Net Assets, end of period ($ x 1,000) | 328,707 | 349,975 | 304,707 | 177,005 | 133,857 | 128,628 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
| See notes to financial statements. |
38
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| BNY Mellon Short-Term | February 29, 2012 | | Year Ended August 31, | | |
| U.S. Government Securities Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.29 | 12.40 | 12.39 | 12.20 | 12.02 | 12.00 |
| Investment Operations: | | | | | | |
| Investment income (loss)—neta | (.02) | .04 | .11 | .23 | .45 | .49 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | (.02) | .00b | .10 | .32 | .22 | .06 |
| Total from Investment Operations | (.04) | .04 | .21 | .55 | .67 | .55 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.03) | (.15) | (.20) | (.36) | (.49) | (.53) |
| Net asset value, end of period | 12.22 | 12.29 | 12.40 | 12.39 | 12.20 | 12.02 |
| Total Return (%) | (.37)c | .34 | 1.73 | 4.63 | 5.55 | 4.67 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .79d | .78 | .78 | .82 | .79 | .80 |
| Ratio of net expenses to average net assets | .79d | .78 | .78 | .82 | .79 | .80 |
| Ratio of net investment income | | | | | | |
| (loss) to average net assets | (.41)d | .34 | .84 | 1.93 | 3.61 | 4.51 |
| Portfolio Turnover Rate | 77.37c | 143.65 | 59.58 | 117.43 | 84.77 | 127.30 |
| Net Assets, end of period ($ x 1,000) | 2,878 | 1,171 | 987 | 837 | 94 | 140 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
| See notes to financial statements. |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—General:
BNY Mellon Funds Trust (the “Trust”) was organized as a Massachusetts business trust which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently consisting of twenty-seven series including the following diversified fixed income funds: BNY Mellon Bond Fund, BNY Mellon Intermediate Bond Fund, BNY Mellon Intermediate U.S. Government Fund and BNY Mellon Short-Term U.S. Government Securities Fund (each, a “fund” and collectively, the “funds”). BNY Mellon Bond Fund’s and BNY Mellon Intermediate Bond Fund’s investment objective seek total return (consisting of capital appreciation and current income). BNY Mellon Intermediate U.S. Government Fund’s and BNY Mellon Short-Term U.S. Government Securities Fund’s investment objective seek to provide as high a level of current income as is consistent with the preservation of capital.
BNY Mellon Fund Advisers, a division of The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as each fund’s investment adviser (“Investment Adviser”).The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as administrator for the funds pursuant to an Administration Agreement with the Trust (the “Administration Agreement”). The Bank of New York Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to whichThe Bank of New York Mellon pays Dreyfus for performing certain administrative services. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of each fund’s shares, which are sold without a sales charge.
The Trust is authorized to issue an unlimited number of shares of Beneficial Interest, par value $.001 per share, in Class M and Investor Class shares of each fund. Each class of shares has similar rights and privileges, except with respect to the expenses borne by and the shareholder services offered to each class and the shareholder services plan applicable to the Investor shares, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
TheTrust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses that are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 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. Each 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.
NOTE 2—Significant Accounting Policies:
(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).
40
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 each 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 funds’ 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 funds’ investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are categorized within Level 1 of the fair value hierarchy.
Investments in securities excluding short-term investments (other than U.S. Treasury Bills) are valued each business day by an independent pricing service (the “Service”) approved by the Trust’s Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of the portfolio securities) are valued as determined by the Service, based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.These securities are generally categorized within Level 2 of the fair value hierarchy.
U.S.Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service.These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Trust’s Board.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately 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 Trust’s 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 as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Table 1 summarizes the inputs used as of February 29, 2012 in valuing each fund’s investments.
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement
| | | | | | | |
| Table 1—Fair Value Measurements | | | | | | |
| |
| | | | Investments in Securities | | |
| | | | | Level 2—Other | | | |
| | Level 1—Unadjusted | | Significant | Level 3—Significant | |
| | | Quoted Prices | Observable Inputs | Unobservable Inputs | |
| | Assets ($) | Liabilities ($) | Assets ($) | Liabilities ($) | Assets ($) | Liabilities ($) | Total |
| BNY Mellon Bond Fund | | | | | | | |
| Asset-Backed | — | — | 22,317,782 | — | — | — | 22,317,782 |
| Commercial | | | | | | | |
| Mortgage-Backed | — | — | 20,887,963 | — | — | — | 20,887,963 |
| Corporate Bonds† | — | — | 404,023,183 | — | — | — | 404,023,183 |
| Foreign Government | — | — | 15,887,011 | — | — | — | 15,887,011 |
| Municipal Bonds | — | — | 78,838,364 | — | — | — | 78,838,364 |
| Mutual Funds | 76,411,843 | — | — | — | — | — | 76,411,843 |
| Residential | | | | | | | |
| Mortgage-Backed | — | — | 46,796 | — | — | — | 46,796 |
| U.S. Government Agencies/ | | | | | | | |
| Mortgage-Backed | — | — | 485,229,117 | — | — | — | 485,229,117 |
| U.S. Treasury | — | — | 313,825,802 | — | — | — | 313,825,802 |
| BNY Mellon Intermediate | | | | | | | |
| Bond Fund | | | | | | | |
| Corporate Bonds† | — | — | 392,942,643 | — | — | — | 392,942,643 |
| Foreign Government | — | — | 14,874,236 | — | — | — | 14,874,236 |
| Municipal Bonds | — | — | 43,321,331 | — | — | — | 43,321,331 |
| Mutual Funds | 13,624,501 | — | — | — | — | — | 13,624,501 |
| U.S. Government | | | | | | | |
| Agencies/ | | | | | | | |
| Mortgage-Backed | — | — | 49,505,342 | — | — | — | 49,505,342 |
| U.S. Treasury | — | — | 473,434,261 | — | — | — | 473,434,261 |
| BNY Mellon Intermediate | | | | | | | |
| U.S. Government Fund | | | | | | | |
| Corporate Bonds† | — | — | 1,925,561 | — | — | — | 1,925,561 |
| Mutual Funds | 328,831 | — | — | — | — | — | 328,831 |
| U.S. Government | | | | | | | |
| Agencies/ | | | | | | | |
| Mortgage-Backed | — | — | 9,810,693 | — | — | — | 9,810,693 |
| U.S. Treasury | — | — | 34,168,043 | — | — | — | 34,168,043 |
| Bny Mellon Short-Term U.S. | | | | | | | |
| Government Securities Fund | | | | | | |
| Municipal Bonds | — | — | 6,219,744 | — | — | — | 6,219,744 |
| Mutual Funds | 2,137,600 | — | — | — | — | — | 2,137,600 |
| U.S. Government | | | | | | | |
| Agencies/ | | | | | | | |
| Mortgage-Backed | — | — | 113,018,499 | — | — | — | 113,018,499 |
| U.S. Treasury | — | — | 209,356,846 | — | — | — | 209,356,846 |
| |
| † | See Statements of Investments for additional detailed categorizations. |
42
of and disclosure about fair value between GAAP and IFRS.ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition,ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements.The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011.At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(b) 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 recorded 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 NewYork Mellon, the funds may lend securities to certain qualified institutions. It is the funds’ 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 Dreyfus, U.S. Government and Agency securities or letters of credit. The funds are entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction.Although each security loaned is fully collateralized, the funds bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. Table 2 summarizes the amount The Bank of New York Mellon earned from each relevant fund from lending portfolio securities pursuant to the securities lending agreement during the period ended February 29, 2012.
| | |
| Table 2—Securities Lending Agreement | | |
| BNY Mellon Bond Fund | $ | 38,837 |
| BNY Mellon Intermediate Bond Fund | | 44,693 |
| BNY Mellon Short-Term | | |
| U.S. Government Securities Fund | | 16,299 |
(c) Affiliated issuers: Other investment companies advised by Dreyfus are considered to be “affiliated” with each fund.
The funds may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Table 3 summarizes each fund’s investments in affiliated investment companies for the period ended February 29, 2012.
(d) Concentration of risk:The funds invest primarily in debt securities. Failure of an issuer of the debt securities to make timely interest or principal payments, or a decline or the perception of a decline in the credit quality of a debt security, can cause the debt security’s price to fall, potentially lowering each fund’s share price. In addition, the value of the debt securities may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline because of factors that affect a particular industry.
(e) Dividends to shareholders: Dividends payable to shareholders are recorded by the funds on the ex-dividend date. The funds declare and pay dividends from investment income-net monthly. With respect to each series, dividends from net realized capital gains, if any, are normally declared and paid annually, but the funds may
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers of that fund, it is the policy of the funds not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(f) Federal income taxes: It is the policy of each 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 sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each series is treated as a single entity for the purpose of determining such qualification.
As of and during the period ended February 29, 2012, the funds did not have any liabilities for any uncertain tax positions.The funds recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statements of Operations. During the period, the funds did not incur any interest or penalties.
Each of the tax years in the three-year period ended August 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), each fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than
| | | | | | | |
| Table 3—Affiliated Investment Companies | | | | | | | |
| |
| | Value | | | | Value | | Net |
| Affiliated Investment Company | 8/31/2011 | ($) | Purchases ($) | Sales ($) | 2/29/2012 | ($) | Assets (%) |
| BNY Mellon Bond Fund | | | | | | | |
| Dreyfus Institutional Preferred | | | | | | | |
| Plus Money Market Fund | 15,900,000 | | 185,590,980 | 144,079,156 | 57,411,824 | | 4.2 |
| Dreyfus Institutional Cash | | | | | | | |
| Advantage Fund | 33,781,241 | | 32,554,361 | 47,335,583 | 19,000,019 | | 1.4 |
| Total | 49,681,241 | | 218,145,341 | 191,414,739 | 76,411,843 | | 5.6 |
| BNY Mellon Intermediate Bond Fund | | | | | | | |
| Dreyfus Institutional Preferred | | | | | | | |
| Plus Money Market Fund | 8,293,000 | | 82,205,608 | 83,553,742 | 6,944,866 | | .7 |
| Dreyfus Institutional Cash | | | | | | | |
| Advantage Fund | 36,135,590 | | 33,957,056 | 63,413,011 | 6,679,635 | | .7 |
| Total | 44,428,590 | | 116,162,664 | 146,966,753 | 13,624,501 | | 1.4 |
| BNY Mellon Intermediate | | | | | | | |
| U.S. Government Fund | | | | | | | |
| Dreyfus Institutional Preferred | | | | | | | |
| Plus Money Market Fund | 1,316,000 | | 13,507,451 | 14,494,620 | 328,831 | | .7 |
| BNY Mellon Short-Term U.S. | | | | | | | |
| Government Securities Fund | | | | | | | |
| Dreyfus Institutional Preferred | | | | | | | |
| Plus Money Market Fund | 14,051,000 | | 97,730,454 | 109,643,854 | 2,137,600 | | .6 |
| Dreyfus Institutional Cash | | | | | | | |
| Advantage Fund | — | | 3,546,150 | 3,546,150 | — | | — |
| Total | 14,051,000 | | 101,276,604 | 113,190,004 | 2,137,600 | | .6 |
44
short-term as they were under previous statute.The 2010 Act requires post-enactment losses to be utilized before the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment losses may be more likely to expire unused.
Table 4 summarizes each relevant fund’s unused capital loss carryover available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to August 31, 2011.
Table 5 summarizes each fund’s tax character of distributions paid to shareholders during the fiscal year ended August 31, 2011.The tax character of current year distributions will be determined at the end of the current fiscal year.
(g) New Accounting Pronouncement: In April 2011, FASB issued ASU No. 2011-03 “Transfers and Servicing (Topic 860) Reconsideration of Effective Control for Repurchase Agreements (“ASU 2011-03”) which relates to the accounting for repurchase agreements and similar agreements including mortgage dollar rolls, that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. ASU 2011-03 modifies the criteria for determining effective control of transferred assets and as a result certain agreements may now be accounted for as secured borrowings.ASU 2011-03 is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. Management is currently evaluating the implications of this change and its impact on the financial statements.
NOTE 3—Bank Lines of Credit:
The funds participate with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the funds have agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the funds based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended on February 29, 2012, the funds did not borrow under the Facilities.
| | | | | | | | | | | | | |
| Table 4—Capital Loss Carryover | | | | | | | |
| |
| Expiring in fiscal | 2014($)† | 2015($)† | 2016($)† | 2017($)† | 2018($)† | 2019($)† | Total ($) |
| BNY Mellon Intermediate | | | | | | | |
| U.S. Government Fund | — | — | — | — | — | 4,383 | 4,383 |
| BNY Mellon Short-Term U.S. | | | | | | | |
| Government Securities Fund | 2,822,720 | 4,701,996 | — | — | 28,529 | 64,834 | 7,618,079 |
| |
| † | If not applied, the carryovers expire in the above years. |
| | |
| Table 5—Tax Character of Distributions Paid | | |
| |
| | | Long Term |
| | Ordinary Income ($) | Capital Gains ($) |
| | 2011 | 2011 |
| BNY Mellon Bond Fund | 51,792,354 | 1,960,073 |
| BNY Mellon Intermediate Bond Fund | 32,092,113 | — |
| BNY Mellon Intermediate U.S. Government Fund | 1,716,640 | 43,689 |
| BNY Mellon Short-Term U.S. Government Securities Fund | 5,018,249 | — |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 4—Investment Advisory Fee, Administration Fee and Other Transactions With Affiliates:
(a) Fees payable by the funds pursuant to the provisions of an investment advisory agreement with the Investment Adviser are payable monthly, computed on the average daily value of each fund’s net assets at the following annual rates: .40% of BNY Mellon Bond Fund, .40% of BNY Mellon Intermediate Bond Fund, .50% of BNY Mellon Intermediate U.S. Government Fund and .35% of BNY Mellon Short-Term U.S. Government Securities Fund.
Pursuant to the Administration Agreement,The Bank of New York Mellon provides or arranges for fund accounting, transfer agency and other fund administration services and receives a fee based on the total net assets of the Trust based on the following rates:
| | |
| 0 up to $6 billion | .15% |
| $6 billion up to $12 billion | .12% |
| In excess of $12 billion | .10% |
The Bank of NewYork Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to which The Bank of New York Mellon pays Dreyfus for performing certain administrative services.
(b) The funds have adopted a Shareholder Services Plan with respect to its Investor shares. Each fund pays the Distributor for the provision of certain services to holders of Investor shares a fee at an annual rate of .25% of the value of the average daily net assets attributable to Investor shares.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding a fund and providing reports and other information and services related to the maintenance of such shareholder accounts. The Shareholder Services Plan allows the Distributor to make payments from the shareholder services fees it collects from each fund to compensate service agents (certain banks, securities brokers or dealers and other financial institutions) in respect of these services. Table 6 summarizes the amount Investor shares of each fund were charged during the period ended February 29, 2012, pursuant to the Shareholder Services Plan. Additional fees included in shareholder servicing costs in the Statements of Operations include fees paid for cash management charges.
| | |
| Table 6—Shareholder Service Plan Fees | | |
| BNY Mellon Bond Fund | $ | 12,857 |
| BNY Mellon Intermediate Bond Fund | | 5,339 |
| BNY Mellon Intermediate | | |
| U.S. Government Fund | | 7,098 |
| BNY Mellon Short-Term | | |
| U.S. Government Securities Fund | | 2,734 |
The funds have arrangements with the custodian and cash management bank whereby the funds may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the funds include net earnings credits as an expense offset in the Statements of Operations.
The funds compensate The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. Table 7 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the cash management agreements, which is included in Shareholder servicing costs in the Statements of Operations. These fees were offset by earnings credits pursuant to the cash management agreements, also summarized in Table 7.
46
The funds also compensate The Bank of New York Mellon under a custody agreement for providing custodial services for the funds. Table 8 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the custody agreement. These fees were offset by earnings credits for each relevant fund pursuant to the custody agreement, also summarized in Table 8.
During the period ended February 29, 2012, each fund was charged $3,209 for services performed by the Chief Compliance Officer and his staff.
Table 9 summarizes the components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities for each fund.
(c) Each Trustee who is not an “affiliated person” as defined in the Act receives from the Trust an annual fee of $68,000 and an attendance fee of $7,500 for each in-person meeting attended and $500 for telephone meetings and is reimbursed for travel and out-of-pocket expenses. The Chairman of theTrust’s Board receives an additional annual fee of $15,000 and the Chairman of the Trust’s Audit Committee receives an additional annual fee of $10,000.
| | | | | |
| Table 7—Cash Management Agreement Fees | | | | |
| |
| | | Cash Management Fees ($) | Earnings Credits ($) |
| BNY Mellon Bond Fund | | 223 | | (3) |
| BNY Mellon Intermediate Bond Fund | | 48 | | (1) |
| BNY Mellon Intermediate U.S. Government Fund | | 166 | | (2) |
| BNY Mellon Short-Term U.S. Government Securities Fund | | 32 | | — |
| |
| Table 8—Custody Agreement Fees | | | | |
| |
| | | Custody Fees ($) | Earnings Credits ($) |
| BNY Mellon Bond Fund | | 38,459 | | — |
| BNY Mellon Intermediate Bond Fund | | 34,950 | | (213) |
| BNY Mellon Intermediate U.S. Government Fund | | 3,179 | | — |
| BNY Mellon Short-Term U.S. Government Securities Fund | | 14,867 | | — |
| |
| |
| Table 9—Due to The Dreyfus Corporation and Affiliates | | | | |
| |
| | Investment | | Shareholder | Chief |
| | Advisory | Custodian | Services | Compliance |
| | Fees ($) | Fees ($) | Plan Fees ($) | Officer Fees ($) |
| BNY Mellon Bond Fund | 431,913 | 35,608 | 2,080 | 1,061 |
| BNY Mellon Intermediate Bond Fund | 313,672 | 28,937 | 911 | 1,061 |
| BNY Mellon Intermediate U.S. Government Fund | 18,645 | 2,707 | 1,100 | 1,061 |
| BNY Mellon Short-Term U.S. Government Securities Fund | 92,577 | 12,050 | 568 | 1,061 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Effective March 13, 2012, the annual fee increased to $80,000, with the Chairman of theTrust’s Board andAudit Committee receiving additional annual fees of $20,000 and $15,000, respectively.
NOTE 5—Securities Transactions:
Table 10 summarizes each fund’s aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities, during the period ended February 29, 2012.
Table 11 summarizes accumulated net unrealized appreciation on investments for each fund at February 29, 2012.
At February 29, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statements of Investments).
| | | |
| Table 10—Purchases and Sales | | | |
| |
| | Purchases ($) | | Sales ($) |
| BNY Mellon Bond Fund | 491,678,624 | 507,488,204 |
| BNY Mellon Intermediate Bond Fund | 208,969,764 | 210,308,234 |
| BNY Mellon Intermediate U.S. Government Fund | 13,680,746 | | 21,498,598 |
| BNY Mellon Short-Term U.S. Government Securities Fund | 265,387,543 | 289,930,276 |
| |
| |
| Table 11—Accumulated Net Unrealized Appreciation | | | |
| |
| | Gross | Gross | |
| | Appreciation ($) | Depreciation ($) | Net ($) |
| BNY Mellon Bond Fund | 78,294,450 | 1,180,657 | 77,113,793 |
| BNY Mellon Intermediate Bond Fund | 50,828,781 | 652,652 | 50,176,129 |
| BNY Mellon Intermediate U.S. Government Fund | 2,316,207 | 41,985 | 2,274,222 |
| BNY Mellon Short-Term U.S. Government Securities Fund | 904,098 | 464,634 | 439,464 |
48
For More Information
| | |
| Ticker Symbols: | | |
| BNY Mellon Bond Fund | Class M: MPBFX | Investor: MIBDX |
| BNY Mellon Intermediate Bond Fund | Class M: MPIBX | Investor: MIIDX |
| BNY Mellon Intermediate U.S. Government Fund | Class M: MGVMX | Investor: MOVIX |
| BNY Mellon Short-Term U.S. Government Securities Fund | Class M: MPSUX | Investor: MISTX |
Telephone Wealth Management (WM) Clients, please contact your Account Officer or call 1-888-281-7350. Brokerage Clients of BNY Mellon Wealth Advisors (BNYMWA), please contact your financial representative or call 1-800-830-0549, Option 2. Individual Account holders, please call Dreyfus at 1-800-DREYFUS.
Mail WM Clients, write to your Account Officer, c/o The Bank of New York Mellon, One Mellon Bank Center, Pittsburgh, PA 15258 BNYMWA Brokerage Clients, write to your financial representative, P.O. Box 9012, Hicksville, NY 11802–9012 Individual Account Holders, write to: BNY Mellon Funds, P.O. Box 55268, Boston, MA 02205–8502
The funds file their 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-Q. The funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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 http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
The BNY Mellon Funds
|
| BNY Mellon National Intermediate Municipal Bond Fund |
| BNY Mellon National Short-Term Municipal Bond Fund |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund |
| BNY Mellon Massachusetts Intermediate Municipal Bond Fund |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund |
| BNY Mellon Municipal Opportunities Fund |
| |
| SEMIANNUAL REPORT | February 29, 2012 |
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive and Mary Collette O’Brien, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon National Intermediate Municipal Bond Fund’s Class M shares produced a total return of 4.94%, Investor shares returned 4.74% and Dreyfus Premier shares returned 4.48%.1 Effective September 15, 2011, the fund changed its benchmark to the S&P Municipal Bond Intermediate Index, which produced a 4.76% total return for the same period.2 The fund’s previous benchmark, the BofA Merrill Lynch 2-17 Year Municipal Bond Index, returned 4.63% for the same period.3
Municipal bonds fared well during the reporting period as long-term interest rates fell and a reduced supply of securities was met by robust investor demand. Returns for the fund’s Class M shares were higher than the benchmark, primarily due to an emphasis on maturities of 15 years and greater.
The Fund’s Investment Approach
The fund seeks to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds that provide income exempt from federal income tax. The fund may occasionally, including for temporary defensive purposes, invest in taxable bonds. The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser.4 Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and the average effective duration of the fund’s portfolio will not exceed eight years.
Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities. This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical.At other times, we typically try to maintain a neutral average duration.
Municipal Bonds Advanced Amid Volatility
The reporting period began in the midst of heightened market turmoil sparked by several macroeconomic developments. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened other members of the European Union and uncertainties regarding the sustainability of the U.S. economic recovery. Sell-offs among riskier assets were accompanied by rising demand for traditional safe havens, causing yields of longer-term bonds, including high-quality municipal securities, to fall sharply. Subsequently, better economic data cheered investors and lifted prices of lower-rated securities, but interest rates generally remained low.
Supply-and-demand forces also helped buoy municipal bond prices. New issuance volumes fell sharply in 2011 after a flood of new supply in 2010, and political pressure also led to reduced borrowing last year. Yet, demand remained robust from investors seeking competitive levels of tax-exempt income in a low interest
DISCUSSION OF FUND PERFORMANCE (continued)
rate environment. From a credit perspective, tax receipts generally have trended higher and many states and municipalities have cut spending, helping to relieve current fiscal pressures.
Yield Curve and Credit Selection Strategies Buoyed Results
The fund benefited during the reporting period from an emphasis on maturities of 15 years and longer, which proved to be the “sweet spot” along the market’s maturity spectrum as interest-rates declined.The fund also achieved favorable results from mildly overweighted exposure to A-rated securities, especially those issued on behalf of airports, when investor sentiment improved. Finally, California general obligation bonds rebounded strongly from depressed levels as credit concerns eased.
Strength in these areas was partly offset by the fund’s BBB-rated holdings, which lagged due to their relatively short maturities. Performance also was dampened by a modestly short average duration, a position we had established through a “barbell” emphasis on maturities of 15 years or more on one hand and two-year maturities on the other. Results were mildly hindered by the effects of falling interest rates on futures contracts, which we employed to control certain risks.
Adjusting to a Changing Market Environment
Although we expect municipal bond issuance to rise somewhat over the remainder of 2012, supply-and-demand factors should remain supportive as investors continue to seek competitive tax-exempt yields. However, we are aware that risks remain elevated, including the long-term potential effects of fiscal challenges and the impact of possible tax policy changes.Therefore, we have adopted a generally cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid and |
| | does not take into consideration the applicable contingent deferred sales charges |
| | imposed on redemptions in the case of Dreyfus Premier shares. Past |
| | performance is no guarantee of future results. Share price, yield and investment |
| | return fluctuate such that upon redemption fund shares may be worth more or |
| | less than their original cost. Income may be subject to state and local taxes, and |
| | some income may be subject to the federal alternative minimum tax (AMT) |
| | for certain investors. Capital gains, if any, are fully taxable. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The S&P Municipal Bond Intermediate |
| | Index is composed of bonds in the S&P Municipal Bond Index with a |
| | minimum maturity of three years and a maximum maturity of up to but not |
| | including 15 years as measured from the date on which the Index is |
| | rebalanced. Index returns do not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
| 3 | SOURCE: BLOOMBERG L.P. — Reflects reinvestment of dividends |
| | and, where applicable, capital gain distributions.The BofA Merrill Lynch 2-17 |
| | Year Municipal Bond Index is a broad-based, unmanaged, market-weighted |
| | index of investment grade municipal bonds maturing in the 2-17 year range. |
| | In future reports, the fund’s performance will no longer be compared to the |
| | BofA Merrill Lynch 2-17Year Municipal Bond Index because the S&P |
| | Municipal Bond Intermediate Index is deemed to be more reflective of the |
| | fund’s current investment profile. |
| 4 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
4
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided byTimothy J. Sanville and Jeremy N. Baker, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon National Short-Term Municipal Bond Fund’s Class M shares produced a total return of 0.85%, and Investor shares produced a total return of 0.72%.1 Effective September 15, 2011, the fund changed its benchmark to the S&P Municipal Bond Short Index, which produced a 0.89% total return for the same period.2 The fund’s previous benchmark, the BofA Merrill Lynch 1-5 Year Municipal Bond Index, produced a total return of 1.23% for the same period.3
Longer-term municipal bonds advanced during the reporting period when long-term interest rates fell, but shorter-term securities produced little change in value as their yields remained anchored by historically low short-term interest rates. The fund’s results were roughly in line with the benchmark, with favorable results from the longer end of the fund’s maturity range balanced by shortfalls among securities backed by utilities and health care facilities.
The Fund’s Investment Approach
The fund seeks to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds that provide income exempt from federal income tax.The fund occasionally may invest in taxable bonds, including for temporary defensive purposes.The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser.4 Generally, the average effective portfolio maturity and the average effective portfolio duration of the fund’s portfolio will be less than three years.
Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities. This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical.At other times, we typically try to maintain a neutral average duration.
Municipal Bonds Advanced Amid Volatility
The reporting period began in the midst of market turmoil sparked by several macroeconomic developments. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened other members of the European Union, and uncertainties regarding the sustainability of the U.S. economic recovery. Sell-offs among riskier assets were accompanied by rising demand for traditional safe havens, causing yields of longer-term bonds, including municipal securities, to fall sharply.
DISCUSSION OF FUND PERFORMANCE (continued)
Subsequently, better economic data cheered investors and lifted prices of lower-rated securities, but interest rates generally remained low. From a credit perspective, tax receipts have trended higher, and many states and municipalities have cut spending, helping to relieve current fiscal pressures.
While these developments bolstered prices of longer-term bonds, they had little impact on the short end of the market.Yields of short-term bonds remained anchored by a historically low federal funds rate of between 0% and 0.25%, a position maintained by the Federal Reserve Board since December 2008.
Fund Strategies Produced Mixed Results
The fund benefited during the reporting period from municipal bonds with maturities of four years and longer. These securities responded more favorably to declining long-term interest rates than shorter maturities.They also contributed to a relatively long average duration, which increased the fund’s overall sensitivity to falling interest rates. Moreover, the fund achieved attractive results from a mild emphasis on A-rated securities, especially tax-supported bonds and securities issued to finance industrial development projects. Finally, the fund participated in gains among California general obligation bonds, which rebounded from previous weakness.
Although we maintained overweighted positions among BBB-rated securities, a rating category that fared relatively well, the relatively short maturities of these holdings diminished their positive impact on the fund’s performance. Shorter maturity bonds from the health care and utilities sectors proved particularly weak.
Adjusting to a Changing Market Environment
Although we believe that supply-and-demand factors should remain supportive of municipal bond prices, we feel the majority of the market’s gains stemming from declining interest rates probably is behind us. In addition, we are aware that risks remain elevated, including ongoing fiscal challenges and possible federal tax policy changes.Therefore, we have adopted a generally cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption fund shares may be |
| | worth more or less than their original cost. Income may be subject to state and |
| | local taxes, and some income may be subject to the federal alternative minimum |
| | tax (AMT) for certain investors. Capital gains, if any, are fully taxable. |
| 2 | SOURCE: BLOOMBERG L.P. — Reflects reinvestment of dividends |
| | and, where applicable, capital gain distributions.The S&P Municipal Bond |
| | Short Index is composed of bonds in the S&P Municipal Bond Index with a |
| | minimum maturity of six months and a maximum maturity of up to but not |
| | including four years as measured from the date on which the Index is |
| | rebalanced. Index returns do not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index |
| 3 | SOURCE: BLOOMBERG L.P. — Reflects reinvestment of dividends |
| | and, where applicable, capital gain distributions.The BofA Merrill Lynch 1-5 |
| | Year Municipal Bond Index is a broad-based, unmanaged, market-weighted |
| | index of investment-grade municipal bonds maturing in the 1- to (but not |
| | including) 5-year range. In future reports, the fund’s performance will no longer |
| | be compared to the BofA Merrill Lynch 1-5Year Municipal Bond Index |
| | because the S&P Municipal Bond Short Index is deemed to be more reflective |
| | of the fund’s current investment profile |
| 4 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
6
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Mary Collette O’Brien and Jeremy N. Baker, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Pennsylvania Intermediate Municipal Bond Fund’s Class M shares produced a total return of 4.22% and Investor shares returned 4.17%.1 Effective September 15, 2011, the fund changed its benchmark to the S&P Municipal Bond Intermediate Index, which produced a 4.76% total return for the same period.2 The fund’s previous benchmark, the BofA Merrill Lynch 2-17 Year Municipal Bond Index, returned 4.63% for the same period.3
Municipal bonds fared relatively well during the reporting period as long-term interest rates fell and a reduced supply of newly issued securities was met by robust investor demand.The fund’s returns were lower than the benchmark, primarily due to overweighted exposure to shorter-term maturities.
The Fund’s Investment Approach
The fund seeks as high a level of income exempt from federal and Pennsylvania state income taxes as is consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds, the interest from which is exempt from federal and Pennsylvania state personal income taxes. The fund may also invest in municipal bonds that are exempt from federal income taxes, but not Pennsylvania personal income taxes, and in taxable bonds.The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser.4 Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and the average effective duration of the fund’s portfolio will not exceed eight years.
Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities. This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical.At other times, we typically try to maintain a neutral average duration.
Municipal Bonds Advanced Amid Volatility
The reporting period began in the midst of heightened market turmoil sparked by several macroeconomic developments. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened other members of the European Union and uncertainties regarding the sustainability of the U.S. economic recovery. Sell-offs among riskier assets were accompanied by rising demand for traditional safe havens. Consequently, yields of longer-term bonds, including high-quality municipal securities, fell sharply and prices climbed. Later in the reporting period, better economic data cheered investors and lifted prices of lower-rated securities. However, interest rates generally remained low.
DISCUSSION OF FUND PERFORMANCE (continued)
Supply-and-demand forces also helped buoy municipal bond prices. New issuance volumes fell sharply in 2011 after a flood of new supply in 2010, and political pressure also led to reduced borrowing last year. Yet, demand remained robust from investors seeking competitive levels of tax-exempt income in a low interest rate environment. From a credit perspective, tax receipts in Pennsylvania have trended higher, and the state has cut spending, helping to relieve current fiscal pressures.
Shorter Maturities Hindered Results
Although the fund participated in the market’s strength to a significant degree, its performance compared to the benchmark was dampened by a relatively short average duration stemming from an emphasis on municipal bonds with three-year maturities. Results were also mildly undermined by the fund’s investments in traditionally defensive escrowed bonds and securities issued on behalf of Pennsylvania health care facilities, which lagged during the reporting period. Finally, falling interest rates hurt returns from futures contracts, which we employed to control certain risks.
The fund achieved better results from mildly overweighted exposure to A-rated securities when investor sentiment improved, especially those issued on behalf of transportation facilities such as toll roads and ports.The fund’s longer-term holdings also added value as interest rates declined.
Adjusting to a Changing Market Environment
Although we expect municipal bond issuance to rise somewhat over the remainder of 2012, supply-and-demand factors should remain supportive of prices as investors continue to seek competitive tax-exempt yields. However, we are aware that risks remain elevated, including the long-term potential effects of Pennsylvania’s fiscal challenges and the impact of possible federal tax policy changes.Therefore, we have adopted a generally cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption fund shares may be |
| | worth more or less than their original cost. Income may be subject to state and |
| | local taxes for non-Pennsylvania residents, and some income may be subject to |
| | the federal alternative minimum tax (AMT) for certain investors. Capital |
| | gains, if any, are fully taxable. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The S&P Municipal Bond Intermediate |
| | Index is composed of bonds in the S&P Municipal Bond Index with a |
| | minimum maturity of three years and a maximum maturity of up to but not |
| | including 15 years as measured from the date on which the Index is |
| | rebalanced. Index returns do not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
| 3 | SOURCE: FACTSET — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The BofA Merrill Lynch 2-17Year |
| | Municipal Bond Index is a broad-based, unmanaged, market-weighted index |
| | of investment grade municipal bonds maturing in the 2-17 year range. In |
| | future reports, the fund’s performance will no longer be compared to the BofA |
| | Merrill Lynch 2-17Year Municipal Bond Index because the S&P Municipal |
| | Bond Intermediate Index is deemed to be more reflective of the fund’s current |
| | investment profile. |
| 4 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
8
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive and Mary Collette O’Brien, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Massachusetts Intermediate Municipal Bond Fund’s Class M shares produced a total return of 4.51%, and Investor shares returned 4.38%.1 Effective September 15, 2011, the fund changed its benchmark to the S&P Municipal Bond Intermediate Index, which produced a 4.76% total return for the same period.2 The fund’s previous benchmark, the BofA Merrill Lynch 2-17 Year Municipal Bond Index, returned 4.63% for the same period.3
Municipal bonds fared relatively well during the reporting period as long-term interest rates fell and a reduced supply of newly issued securities was met by robust investor demand.The fund’s returns were lower than the benchmark, primarily due to overweighted exposure to shorter-term maturities.
The Fund’s Investment Approach
The fund seeks as high a level of income exempt from federal and Massachusetts state income taxes as is consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds, the interest from which is exempt from federal and Massachusetts state personal income taxes.The fund may also invest in municipal bonds that are exempt from federal income taxes, but not Massachusetts personal income taxes, and in taxable bonds.The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser.4 Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and the average effective duration of the fund’s portfolio will not exceed eight years.
Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities.This is because yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical. At other times, we typically try to maintain a neutral average duration.
Municipal Bonds Advanced Amid Volatility
The reporting period began in the midst of heightened market turmoil sparked by several macroeconomic developments. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened other members of the European Union and uncertainties regarding the sustainability of the U.S. economic recovery. Sell-offs among riskier assets were accompanied by rising demand for traditional safe havens. Consequently, yields of longer-term bonds, including high-quality municipal securities, fell sharply and prices climbed. Later in the reporting period, better economic data cheered investors and lifted prices of lower-rated securities. However, interest rates generally remained low.
Supply-and-demand forces also helped buoy municipal bond prices. New issuance volumes fell sharply in 2011 after a flood of new supply in 2010, and political pressure also led to reduced borrowing last year. Yet, demand remained robust from investors seeking competitive levels of tax-exempt income in a low interest rate
DISCUSSION OF FUND PERFORMANCE (continued)
environment. From a credit perspective, tax receipts in Massachusetts have trended higher, and the state has cut spending, helping to relieve current fiscal pressures.
Shorter Maturities Hindered Performance
Although the fund participated in the market’s strength to a significant degree, its performance compared to the benchmark was dampened by its holdings of shorter-term bonds, which benefited less from falling interest rates than their longer term counterparts. Results also were mildly undermined by the fund’s investments in BBB-rated municipal bonds and general obligation bonds of local issuers, both of which tended to feature shorter maturities. Falling interest rates proved counterproductive to our risk management strategy using futures contracts.
The fund achieved better results from mildly overweighted exposure to A-rated securities, especially those issued on behalf of educational institutions, health care facilities and transportation projects. Finally, the fund’s longer-term holdings added value as interest rates declined.
Adjusting to a Changing Market Environment
Although we expect municipal bond issuance to rise somewhat over the remainder of 2012, supply-and-demand factors should remain supportive of prices as investors continue to seek competitive tax-exempt yields. However, we are aware that risks remain elevated, including the long-term potential effects of Massachusetts’ fiscal challenges and the impact of possible federal tax policy changes.Therefore, we have adopted a generally cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption fund shares may be |
| | worth more or less than their original cost. Income may be subject to state and |
| | local taxes for non-Massachusetts residents, and some income may be subject to |
| | the federal alternative minimum tax (AMT) for certain investors. Capital |
| | gains, if any, are fully taxable. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The S&P Municipal Bond Intermediate |
| | Index is composed of bonds in the S&P Municipal Bond Index with a |
| | minimum maturity of three years and a maximum maturity of up to but not |
| | including 15 years as measured from the date on which the Index is |
| | rebalanced. Index returns do not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
| 3 | SOURCE: FACTSET — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The BofA Merrill Lynch 2-17Year |
| | Municipal Bond Index is a broad-based, unmanaged, market-weighted index |
| | of investment grade municipal bonds maturing in the 2-17 year range. In |
| | future reports, the fund’s performance will no longer be compared to the BofA |
| | Merrill Lynch 2-17Year Municipal Bond Index because the S&P Municipal |
| | Bond Intermediate Index is deemed to be more reflective of the fund’s current |
| | investment profile. |
| 4 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
10
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive, Portfolio Manager and Director of Fixed Income
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon New York Intermediate Tax-Exempt Bond Fund’s Class M shares produced a total return of 4.93%, and Investor shares returned 4.80%.1 Effective September 15, 2011, the fund changed its benchmark to the S&P Municipal Bond Intermediate Index, which produced a 4.76% total return for the same period.2 The fund’s previous benchmark, the BofA Merrill Lynch 2-17 Year Municipal Bond Index, returned 4.63% for the same period.3
Municipal bonds fared relatively well during the reporting period as long-term interest rates fell and a reduced supply of newly issued securities was met by robust investor demand.The fund’s returns were higher than the benchmark, primarily due to overweighted exposure to bonds with longer-term maturities.
The Fund’s Investment Approach
The fund seeks as high a level of income exempt from federal, New York state and New York city income taxes as is consistent with the preservation of capital. This objective may be changed without shareholder approval.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds that provide income exempt from federal, NewYork state and New York city personal income taxes. These municipal bonds include those issued by NewYork state and New York city as well as those issued by U.S. territories and possessions.4 Generally, the fund’s average effective portfolio maturity will be between three and 10 years.
Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities.This is because yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical. At other times, we typically try to maintain a neutral average duration.
Municipal Bonds Advanced Amid Volatility
The reporting period began in the midst of heightened market turmoil sparked by several macroeconomic developments. These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Sell-offs among riskier assets were accompanied by rising demand for traditional safe havens, such as U.S. government securities. Consequently, yields of longer-term bonds, including high-quality municipal securities, fell sharply, and prices climbed. Later in the reporting period, better economic data cheered investors and lifted prices of lower-rated securities. However, interest rates generally remained low.
DISCUSSION OF FUND PERFORMANCE (continued)
Supply-and-demand forces also helped buoy municipal bond prices. New issuance volumes fell sharply in 2011 after a flood of new supply in 2010, and political pressure also led to reduced borrowing last year. Yet, demand remained robust from investors seeking competitive levels of tax-exempt income in a low interest rate environment. From a credit perspective, tax receipts in NewYork have trended higher, and the state reformed parts of its tax code, helping to relieve some fiscal pressures.
Yield Curve and Credit Selection Strategies Buoyed Results
The fund benefited during the reporting period from an emphasis on maturities of 15 years or more, which proved to be the “sweet spot” along the market’s maturity spectrum as interest rates declined.The fund also achieved favorable results from mildly overweighted exposure to A-rated securities when investor sentiment improved, especially tax-supported bonds and securities issued to finance industrial development projects.
Strength in these areas was partly offset by underweighted positions in the education, utilities and transportation sectors, mainly due to the fund’s emphasis on shorter maturities in these areas. Results also were mildly hindered by the effects of falling interest rates on futures contracts, which we employed to control certain risks.
Adjusting to a Changing Market Environment
Although we expect municipal bond issuance to rise somewhat over the remainder of 2012, supply-and-demand factors should remain supportive of prices as investors continue to seek competitive tax-exempt yields. However, we are aware that risks remain elevated, including the potential long-term effects of New York’s fiscal challenges and the impact of possible changes to federal tax policy.Therefore, we have adopted a generally cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption fund shares may be |
| | worth more or less than their original cost. Income may be subject to state and |
| | local taxes for non-NewYork residents, and some income may be subject to the |
| | federal alternative minimum tax (AMT) for certain investors. Capital gains, if |
| | any, are fully taxable. Return figures provided reflect the absorption of certain |
| | fund expenses by BNY Mellon Fund Advisors pursuant to an agreement in |
| | effect through December 31, 2012, at which time it may be extended, |
| | modified or terminated. Had these expenses not been absorbed, the fund’s |
| | returns would have been lower. |
| 2 | SOURCE: LIPPER Inc. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The S&P Municipal Bond Intermediate |
| | Index is composed of bonds in the S&P Municipal Bond Index with a |
| | minimum maturity of three years and a maximum maturity of up to but not |
| | including 15 years as measured from the date on which the Index is |
| | rebalanced. Index returns do not reflect the fees and expenses associated with |
| | operating a mutual fund. Investors cannot invest directly in any index. |
| 3 | SOURCE: FACTSET — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The BofA Merrill Lynch 2-17Year |
| | Municipal Bond Index is a broad-based, unmanaged, market-weighted index |
| | of investment grade municipal bonds maturing in the 2-17 year range. In |
| | future reports, the fund’s performance will no longer be compared to the BofA |
| | Merrill Lynch 2-17Year Municipal Bond Index because the S&P Municipal |
| | Bond Intermediate Index is deemed to be more reflective of the fund’s current |
| | investment profile. |
| 4 | The fund may continue to own investment-grade bonds (at the time of |
| | purchase), which are subsequently downgraded to below investment grade. |
12
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by John F. Flahive, Portfolio Manager and Director of Fixed Income
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Municipal Opportunities Fund’s Class M shares produced a total return of 9.32%, and Investor shares returned 9.19%.1 In comparison, the Barclays Municipal Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 5.67% for the same period.2
Municipal bonds fared well during the reporting period as long-term interest rates fell and a reduced supply of securities was met by robust investor demand. The fund produced higher returns than the benchmark, primarily due to an emphasis on longer maturities, BBB-rated bonds and securities issued on behalf of health care facilities.
The Fund’s Investment Approach
The fund seeks to maximize total return consisting of high current income exempt from federal income tax and capital appreciation.This objective may be changed without shareholder approval. To pursue its goal, the fund normally invests at least 80% of its assets in U.S. dollar-denominated fixed-income securities that provide income exempt from federal income tax (municipal bonds).While the fund typically invests in a diversified portfolio of municipal bonds, it may invest up to 20% of its assets in taxable fixed-income securities, including taxable municipal bonds and non-U.S. dollar-denominated foreign debt securities, such as Brady bonds and sovereign debt obligations.
We will seek to deliver value-added excess returns (“alpha”) by applying an investment approach designed to identify and exploit relative value opportunities within the municipal bond market and other fixed-income markets. Although the fund seeks to be diversified by geography and sector, the fund may at times invest a significant portion of its assets in a particular state or region or in a particular sector due to market conditions.
Municipal Bonds Gained Value Amid Heightened Volatility
The reporting period began in the midst of intensified market turmoil sparked by several adverse macroeconomic developments.These included an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union and uncertainties regarding the strength and sustainability of the U.S. economic recovery. Sell-offs among riskier assets, including stocks and higher yielding bonds, were accompanied by rising demand for traditional safe havens, such as U.S. government securities.This flight to quality caused yields of longer-term bonds, including high-quality municipal securities, to fall sharply.
DISCUSSION OF FUND PERFORMANCE (continued)
Fortunately, most of these concerns failed to materialize. Progress toward resolution of Europe’s debt crisis and improved U.S. economic data—including long awaited employment gains—cheered investors and lifted prices of lower-rated securities over the final months of 2011 and the opening months of 2012. However, longer-term interest rates generally remained low in response to an aggressively accommodative monetary policy by the Federal Reserve Board.
Supply-and-demand forces also helped buoy municipal bond prices during the reporting period. New issuance volumes fell sharply in 2011 after a flood of new supply in 2010, and political pressure also led to reduced borrowing last year.Yet, demand remained robust from investors seeking competitive levels of tax-exempt income in a low interest rate environment. From a credit perspective, tax receipts generally have trended higher, and many states and municipalities have cut spending, helping to relieve current fiscal pressures.
An Emphasis on Longer Maturities Buoyed Fund Results
The fund benefited during the reporting period from an emphasis on maturities of approximately 20 years, which proved to be one of the “sweet spots” along the market’s maturity spectrum as interest-rates declined.The fund also achieved favorable results from overweighted exposure to BBB-rated securities, especially those issued on behalf of health care facilities, when yield differences narrowed along the credit-quality range. In addition, the fund’s leveraging strategy proved to be effective in this market environment, magnifying the fund’s gains compared to the benchmark.
Strength in these areas was offset to a modest degree by the fund’s cash holdings, which were larger than usual as we maintained ready liquidity in order to take advantage of new opportunities when they became available. Results also were mildly hampered by the effects of falling interest rates on futures contracts, which we employed to control certain risks.
Adjusting to a Changing Market Environment
Although we expect municipal bond issuance to rise somewhat over the remainder of 2012, supply-and-demand factors should remain supportive of prices as investors continue to seek competitive tax-exempt yields. However, we are aware that macroeconomic risks remain elevated, including the potential long-term effects of fiscal challenges and the impact of possible federal tax policy changes. Therefore, we have adopted a more cautious investment posture by more closely approximating characteristics of the fund’s benchmark and maintaining a broadly diversified portfolio.
March 15, 2012
| |
| | Bond funds are subject generally to interest rate, credit, liquidity and market |
| | risks, to varying degrees, all of which are more fully described in the fund’s |
| | prospectus. Generally, all other factors being equal, bond prices are inversely |
| | related to interest-rate changes, and rate increases can cause price declines. |
| 1 | Total return includes reinvestment of dividends and any capital gains paid. |
| | Past performance is no guarantee of future results. Share price, yield and |
| | investment return fluctuate such that upon redemption, fund shares may be |
| | worth more or less than their original cost. Income may be subject to state and |
| | local taxes, and some income may be subject to the federal alternative minimum |
| | tax (AMT) for certain investors. Capital gains, if any, are fully taxable. |
| 2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where |
| | applicable, capital gain distributions.The Barclays Municipal Bond Index is an |
| | unmanaged total return performance benchmark for the investment-grade, |
| | geographically unrestricted tax-exempt bond market. Index return does not |
| | reflect the fees and expenses associated with operating a mutual fund. Investors |
| | cannot invest directly in any index. |
14
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 redemptions 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 each class of each BNY Mellon municipal bond fund from September 1, 2011 to February 29, 2012. 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 | | | | | | |
| assuming actual returns for the six months ended February 29, 2012 | | | | | | |
| | | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | | Premier Shares |
| |
| BNY Mellon National Intermediate | | | | | | |
| Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.55 | $ | 3.82 | $ | 6.36 |
| Ending value (after expenses) | $ | 1,049.40 | $ | 1,047.40 | $ | 1,044.80 |
| Annualized expense ratio (%) | | .50 | | .75 | | 1.25 |
| BNY Mellon National Short-Term | | | | | | |
| Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.55 | $ | 3.79 | | — |
| Ending value (after expenses) | $ | 1,008.50 | $ | 1,007.20 | | — |
| Annualized expense ratio (%) | | .51 | | .76 | | — |
| BNY Mellon Pennsylvania | | | | | | |
| Intermediate Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 3.40 | $ | 4.67 | | — |
| Ending value (after expenses) | $ | 1,042.30 | $ | 1,041.70 | | — |
| Annualized expense ratio (%) | | .67 | | .92 | | — |
| BNY Mellon Massachusetts | | | | | | |
| Intermediate Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.69 | $ | 3.96 | | — |
| Ending value (after expenses) | $ | 1,045.10 | $ | 1,043.80 | | — |
| Annualized expense ratio (%) | | .53 | | .78 | | — |
| BNY Mellon New York | | | | | | |
| Intermediate Tax-Exempt Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 3.01 | $ | 4.28 | | — |
| Ending value (after expenses) | $ | 1,049.30 | $ | 1,048.00 | | — |
| Annualized expense ratio (%) | | .59 | | .84 | | — |
| BNY Mellon Municipal | | | | | | |
| Opportunities Fund | | | | | | |
| Expenses paid per $1,000† | $ | 3.85 | $ | 5.15 | | — |
| Ending value (after expenses) | $ | 1,093.20 | $ | 1,091.90 | | — |
| Annualized expense ratio (%) | | .74 | | .99 | | — |
|
| † Expenses are equal to each fund’s annualized expense ratio as shown above, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half |
| year period). |
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 investores 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 each fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| | | | | | |
| Expenses and Value of a $1,000 Investment | | | | | | |
| assuming actual returns for the six months ended February 29, 2012 | | | | | | |
| | | | | | | Dreyfus |
| | | Class M Shares | | Investor Shares | | Premier Shares |
| |
| BNY Mellon National Intermediate | | | | | | |
| Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.51 | $ | 3.77 | $ | 6.27 |
| Ending value (after expenses) | $ | 1,022.38 | $ | 1,021.13 | $ | 1,018.65 |
| Annualized expense ratio (%) | | .50 | | .75 | | 1.25 |
| BNY Mellon National Short-Term | | | | | | |
| Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.56 | $ | 3.82 | | — |
| Ending value (after expenses) | $ | 1,022.33 | $ | 1,021.08 | | — |
| Annualized expense ratio (%) | | .51 | | .76 | | — |
| BNY Mellon Pennsylvania | | | | | | |
| Intermediate Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 3.37 | $ | 4.62 | | — |
| Ending value (after expenses) | $ | 1,021.53 | $ | 1,020.29 | | — |
| Annualized expense ratio (%) | | .67 | | .92 | | — |
| BNY Mellon Massachusetts | | | | | | |
| Intermediate Municipal Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.66 | $ | 3.92 | | — |
| Ending value (after expenses) | $ | 1,022.23 | $ | 1,020.98 | | — |
| Annualized expense ratio (%) | | .53 | | .78 | | — |
| BNY Mellon New York | | | | | | |
| Intermediate Tax-Exempt Bond Fund | | | | | | |
| Expenses paid per $1,000† | $ | 2.97 | $ | 4.22 | | — |
| Ending value (after expenses) | $ | 1,021.93 | $ | 1,020.69 | | — |
| Annualized expense ratio (%) | | .59 | | .84 | | — |
| BNY Mellon Municipal | | | | | | |
| Opportunities Fund | | | | | | |
| Expenses paid per $1,000† | $ | 3.72 | $ | 4.97 | | — |
| Ending value (after expenses) | $ | 1,021.18 | $ | 1,019.94 | | — |
| Annualized expense ratio (%) | | .74 | | .99 | | — |
|
| † Expenses are equal to each fund’s annualized expense ratio as shown above, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half |
| year period). |
16
| | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments—97.9% | Rate (%) | Date | Amount ($) | Value ($) |
| Alabama—1.7% | | | | |
| Birmingham Special Care Facilities Financing Authority-Baptist | | | | |
| Medical Centers, Revenue (Baptist Health System, Inc.) | 5.00 | 11/15/15 | 5,000,000 | 5,421,700 |
| Jefferson County, Limited Obligation School Warrants | 5.25 | 1/1/15 | 1,180,000 | 1,169,415 |
| Jefferson County, Limited Obligation School Warrants | 5.25 | 1/1/16 | 4,810,000 | 4,768,538 |
| Jefferson County, Limited Obligation School Warrants | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/24 | 13,325,000 | 12,677,538 |
| Montgomery BMC Special Care Facilities | | | | |
| Financing Authority, Revenue (Baptist Health) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/13 | 1,365,000 | 1,466,597 |
| Montgomery BMC Special Care Facilities | | | | |
| Financing Authority, Revenue (Baptist Health) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/14 | 2,500,000 | 2,788,375 |
| Alaska—1.4% | | | | |
| Valdez, Marine Terminal Revenue | | | | |
| (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/16 | 5,000,000 | 5,627,450 |
| Valdez, Marine Terminal Revenue | | | | |
| (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/18 | 8,000,000 | 9,342,640 |
| Valdez, Marine Terminal Revenue | | | | |
| (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/21 | 5,000,000 | 6,040,700 |
| Valdez, Marine Terminal Revenue | | | | |
| (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/21 | 2,500,000 | 3,020,350 |
| Arizona—4.0% | | | | |
| Arizona Board of Regents, Arizona State University | | | | |
| System Revenue (Polytechnic Campus Project) | 6.00 | 7/1/25 | 2,500,000 | 2,992,900 |
| Arizona Board of Regents, Arizona State University | | | | |
| System Revenue (Polytechnic Campus Project) | 6.00 | 7/1/26 | 1,000,000 | 1,191,360 |
| Arizona Board of Regents, Arizona State University | | | | |
| System Revenue (Polytechnic Campus Project) | 6.00 | 7/1/28 | 1,100,000 | 1,302,048 |
| Arizona Transportation Board, Highway Revenue | 5.00 | 7/1/25 | 15,000,000 | 17,285,850 |
| Arizona Transportation Board, Highway Revenue | 5.00 | 7/1/26 | 5,000,000 | 5,817,550 |
| Arizona Water Infrastructure Finance | | | | |
| Authority, Water Quality Revenue | 5.00 | 10/1/21 | 3,000,000 | 3,813,810 |
| Glendale, Senior Lien Water and Sewer Revenue Obligations | 5.00 | 7/1/25 | 6,325,000 | 7,572,733 |
| Glendale, Senior Lien Water and Sewer Revenue Obligations | 5.00 | 7/1/26 | 4,425,000 | 5,249,820 |
| Phoenix, GO | 6.25 | 7/1/16 | 1,250,000 | 1,546,863 |
| Phoenix Civic Improvement Corporation, Transit Excise | | | | |
| Tax Revenue (Light Rail Project) (Insured; AMBAC) | 5.00 | 7/1/16 | 6,000,000 | 6,570,240 |
| Scottsdale Unified School District Number 48 of | | | | |
| Maricopa County, School Improvement Bonds | 6.60 | 7/1/12 | 1,250,000 | 1,276,550 |
| University Medical Center Corporation, HR | 5.25 | 7/1/16 | 2,310,000 | 2,483,666 |
| University of Arizona Board of Regents, System Revenue | 6.20 | 6/1/16 | 10,000,000 | 11,027,900 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| California—13.8% | | | | |
| Agua Caliente Band, Cahuilla Indians Revenue | 5.60 | 7/1/13 | 820,000a | 810,964 |
| Alameda Corridor Transportation Authority, | | | | |
| Revenue (Insured; AMBAC) | 0/5.25 | 10/1/21 | 5,000,000b | 4,965,950 |
| California, Economic Recovery Bonds | 5.00 | 7/1/15 | 2,950,000 | 3,242,640 |
| California, Economic Recovery Bonds (Prerefunded) | 5.00 | 7/1/14 | 2,050,000c | 2,277,201 |
| California, GO | 5.00 | 11/1/12 | 95,000 | 95,309 |
| California, GO | 5.50 | 6/1/20 | 270,000 | 270,983 |
| California, GO | 5.25 | 11/1/26 | 10,500,000 | 11,175,570 |
| California, GO (Various Purpose) | 4.00 | 10/1/15 | 7,050,000 | 7,835,934 |
| California, GO (Various Purpose) | 5.00 | 9/1/16 | 10,000,000 | 11,778,200 |
| California, GO (Various Purpose) | 5.00 | 9/1/21 | 2,700,000 | 3,284,523 |
| California, GO (Various Purpose) | 5.25 | 10/1/23 | 5,000,000 | 6,055,150 |
| California, GO (Various Purpose) | 6.00 | 3/1/33 | 11,445,000 | 13,723,699 |
| California, GO (Various Purpose) | 6.50 | 4/1/33 | 3,000,000 | 3,695,010 |
| California, GO (Various Purpose) | 5.50 | 3/1/40 | 7,950,000 | 8,826,090 |
| California, GO (Various Purpose) (Prerefunded) | 5.00 | 2/1/14 | 1,825,000c | 1,991,933 |
| California County Tobacco Securitization Agency, | | | | |
| Tobacco Settlement Asset-Backed Bonds | | | | |
| (Golden Gate Tobacco Funding Corporation) | 4.50 | 6/1/21 | 2,350,000 | 2,141,249 |
| California County Tobacco Securitization Agency, | | | | |
| Tobacco Settlement Asset-Backed Bonds | | | | |
| (Los Angeles County Securitization Corporation) | 5.25 | 6/1/21 | 1,145,000 | 1,068,377 |
| California Department of Water Resources, Power Supply Revenue | 5.00 | 5/1/22 | 5,000,000 | 6,083,100 |
| California Department of Water Resources, Power Supply | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 5/1/21 | 11,985,000 | 14,130,435 |
| California Department of Water Resources, | | | | |
| Water System Revenue (Central Valley Project) | 5.00 | 12/1/19 | 5,000,000 | 6,333,100 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Cedars-Sinai Medical Center) | 5.00 | 8/15/18 | 2,500,000 | 2,983,350 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Providence Health and Services) | 6.25 | 10/1/24 | 8,500,000 | 10,364,475 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Providence Health and Services) | 6.25 | 10/1/28 | 4,000,000 | 4,749,480 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Providence Health and Services) | 6.50 | 10/1/38 | 3,440,000 | 4,047,986 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Providence Health and Services) (Prerefunded) | 6.50 | 10/1/18 | 60,000c | 80,696 |
| California Infrastructure and Economic Development | | | | |
| Bank, Clean Water State Revolving Fund Revenue | 5.00 | 10/1/17 | 2,500,000 | 2,568,200 |
| California Infrastructure and Economic Development | | | | |
| Bank, Revenue (California Independent System | | | | |
| Operator Corporation Project) | 6.00 | 2/1/30 | 8,000,000 | 8,823,360 |
18
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| California (continued) | | | | |
| California State Public Works Board, LR | | | | |
| (Department of General Services) (Capitol East End | | | | |
| Complex—Blocks 171-174 and 225) (Insured; AMBAC) | 5.25 | 12/1/19 | 5,000,000 | 5,125,050 |
| California State Public Works Board, LR | | | | |
| (Department of General Services) (Capitol East End | | | | |
| Complex—Blocks 171-174 and 225) (Insured; AMBAC) | 5.00 | 12/1/23 | 4,000,000 | 4,107,280 |
| California State Public Works Board, LR | | | | |
| (Department of Mental Health-Coalinga State Hospital) | 5.00 | 6/1/24 | 1,500,000 | 1,538,595 |
| California State Public Works Board, LR (Various Capital Projects) | 5.00 | 10/1/20 | 2,000,000 | 2,308,520 |
| California Statewide Communities Development | | | | |
| Authority, Mortgage Revenue (Methodist Hospital | | | | |
| of Southern California Project) (Collateralized; FHA) | 6.25 | 8/1/24 | 5,000,000 | 6,184,600 |
| California Statewide Communities Development Authority, | | | | |
| Revenue (Saint Joseph Health System) (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 4.50 | 7/1/18 | 3,545,000 | 3,842,106 |
| California Statewide Communities Development | | | | |
| Authority, Revenue (The California Endowment) | 5.25 | 7/1/15 | 1,740,000 | 1,850,507 |
| Golden State Tobacco, Securitization Corporation, | | | | |
| Enhanced Tobacco Settlement Asset-Backed Bonds | 5.00 | 6/1/18 | 590,000 | 590,053 |
| Los Angeles Department of Airports, | | | | |
| Senior Revenue (Los Angeles International Airport) | 5.25 | 5/15/26 | 15,520,000 | 18,316,238 |
| Los Angeles Unified School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/24 | 2,395,000 | 2,792,307 |
| Los Angeles Unified School District, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.75 | 7/1/16 | 2,000,000 | 2,413,240 |
| New Haven Unified School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 0.00 | 8/1/33 | 4,000,000d | 1,284,080 |
| Oakland Joint Powers Financing Authority, LR | | | | |
| (Oakland Convention Centers) (Insured; AMBAC) | 5.50 | 10/1/13 | 1,500,000 | 1,567,485 |
| Port of Oakland, Revenue | 5.00 | 5/1/18 | 1,835,000 | 2,046,007 |
| Port of Oakland, Revenue | 5.00 | 5/1/19 | 2,250,000 | 2,508,998 |
| Port of Oakland, Revenue | 5.00 | 5/1/20 | 3,000,000 | 3,337,140 |
| Port of Oakland, Revenue | 5.00 | 5/1/21 | 2,785,000 | 3,096,809 |
| Port of Oakland, Revenue | 5.00 | 5/1/23 | 1,875,000 | 2,089,594 |
| Sacramento County Water Financing Authority, | | | | |
| Revenue (Sacramento County Water Agency | | | | |
| Zones 40 and 41 Water System Project) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 0.90 | 6/1/34 | 8,000,000e | 5,569,120 |
| Sacramento Municipal Utility District, Electric Revenue | 5.30 | 7/1/12 | 200,000 | 202,930 |
| Sacramento Municipal Utility District, Electric Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 5/15/13 | 3,530,000 | 3,737,035 |
| San Francisco City and County Airport Commission, | | | | |
| Second Series Revenue (San Francisco International Airport) | 5.00 | 5/1/25 | 5,000,000 | 5,874,450 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| California (continued) | | | | | |
| San Francisco City and County Airport Commission, | | | | | |
| Second Series Revenue (San Francisco International Airport) | 5.00 | 5/1/26 | 5,000,000 | | 5,814,750 |
| Southern California Public Power Authority, Power Project Revenue | | | | | |
| (San Juan Unit 3) (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 1/1/13 | 3,010,000 | | 3,142,199 |
| Southern California Public Power Authority, Power Project Revenue | | | | | |
| (San Juan Unit 3) (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 1/1/14 | 2,000,000 | | 2,188,820 |
| Westside Unified School District, GO (Insured; AMBAC) | 6.00 | 8/1/14 | 385,000 | | 422,333 |
| Colorado—4.5% | | | | | |
| Colorado Health Facilities Authority, | | | | | |
| Revenue (Catholic Health Initiatives) | 6.00 | 10/1/23 | 2,000,000 | | 2,404,580 |
| Colorado Health Facilities Authority, | | | | | |
| Revenue (Catholic Health Initiatives) | 6.25 | 10/1/33 | 1,600,000 | | 1,859,408 |
| Colorado Health Facilities Authority, Revenue | | | | | |
| (Vail Valley Medical Center Project) | 5.00 | 1/15/20 | 280,000 | | 294,160 |
| Colorado Health Facilities Authority, Revenue | | | | | |
| (Vail Valley Medical Center Project) (Prerefunded) | 5.00 | 1/15/15 | 970,000 | c | 1,094,849 |
| Colorado Housing and Finance Authority, | | | | | |
| Single Family Program Senior and Subordinate Bonds | 6.75 | 4/1/15 | 30,000 | | 30,499 |
| Colorado Housing and Finance Authority, | | | | | |
| Single Family Program Senior and Subordinate Bonds | 6.05 | 10/1/16 | 40,000 | | 41,130 |
| Colorado Housing and Finance Authority, | | | | | |
| Single Family Program Senior and Subordinate Bonds | 6.70 | 10/1/16 | 20,000 | | 20,385 |
| Colorado Housing and Finance Authority, Single Family | | | | | |
| Program Senior and Subordinate Bonds (Collateralized; FHA) | 6.75 | 10/1/21 | 90,000 | | 91,157 |
| Colorado Housing and Finance Authority, Single Family | | | | | |
| Program Senior and Subordinate Bonds (Collateralized; FHA) | 7.15 | 10/1/30 | 25,000 | | 25,472 |
| Denver City and County, Airport System Revenue | | | | | |
| (Insured: Assured Guaranty Municipal Corp. and | | | | | |
| National Public Finance Guarantee Corp.) | 5.25 | 11/15/19 | 4,445,000 | | 5,103,349 |
| E-470 Public Highway Authority, Senior Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 9/1/16 | 3,565,000 | | 3,902,712 |
| E-470 Public Highway Authority, Senior Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 9/1/16 | 5,000,000 | | 5,526,300 |
| E-470 Public Highway Authority, Senior Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 9/1/17 | 3,500,000 | | 3,843,490 |
| Northwest Parkway Public Highway Authority, | | | | | |
| Revenue (Insured; AMBAC) (Prerefunded) | 5.45 | 6/15/16 | 7,690,000 | c | 9,141,641 |
| Northwest Parkway Public Highway Authority, | | | | | |
| Revenue (Insured; AMBAC) (Prerefunded) | 5.70 | 6/15/16 | 7,345,000 | c | 8,808,565 |
| Northwest Parkway Public Highway Authority, Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) (Prerefunded) | 5.55 | 6/15/16 | 10,960,000 | c | 13,051,935 |
| Public Authority for Colorado Energy, | | | | | |
| Natural Gas Purchase Revenue | 5.75 | 11/15/18 | 2,765,000 | | 3,111,289 |
| Public Authority for Colorado Energy, | | | | | |
| Natural Gas Purchase Revenue | 6.13 | 11/15/23 | 4,645,000 | | 5,267,151 |
20
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Colorado (continued) | | | | |
| Regional Transportation District, COP | 5.00 | 6/1/19 | 1,750,000 | 2,078,440 |
| Regional Transportation District, COP | 5.00 | 6/1/20 | 2,700,000 | 3,218,130 |
| Regional Transportation District, COP | 5.50 | 6/1/22 | 2,200,000 | 2,639,692 |
| University of Colorado Regents, Participation Interest | | | | |
| (Sempra Energy Colorado, Inc., Lease, Development | | | | |
| and Operating Agreement) (Insured; National Public | | | | |
| Finance Guarantee Corp.) (Prerefunded) | 6.00 | 6/1/12 | 5,000,000c | 5,074,100 |
| Connecticut—1.1% | | | | |
| Connecticut, GO | 5.00 | 5/15/23 | 12,500,000 | 15,401,125 |
| Connecticut, GO (Insured; AMBAC) | 5.25 | 6/1/18 | 1,500,000 | 1,865,235 |
| Connecticut Health and Educational Facilities Authority, | | | | |
| Revenue (Connecticut State University System Issue) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 11/1/14 | 1,260,000 | 1,408,100 |
| District of Columbia—.8% | | | | |
| District of Columbia, GO (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 1.45 | 6/1/16 | 5,000,000e | 5,213,550 |
| Metropolitan Washington Airports | | | | |
| Authority, Airport System Revenue | 5.00 | 10/1/23 | 4,250,000 | 4,891,665 |
| Metropolitan Washington Airports | | | | |
| Authority, Airport System Revenue | 5.00 | 10/1/24 | 2,500,000 | 2,842,450 |
| Florida—5.7% | | | | |
| Florida Department of Transportation, | | | | |
| State Infrastructure Bank Revenue | 5.00 | 7/1/19 | 4,220,000 | 4,871,484 |
| Florida Department of Transportation, | | | | |
| State Infrastructure Bank Revenue | 5.00 | 7/1/20 | 2,500,000 | 2,847,850 |
| Florida Hurricane Catastrophe Fund | | | | |
| Finance Corporation, Revenue | 5.00 | 7/1/15 | 10,000,000 | 11,178,800 |
| Florida Municipal Loan Council, Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.75 | 11/1/15 | 55,000 | 55,194 |
| Hillsborough County Aviation Authority, Revenue | | | | |
| (Tampa International Airport) (Insured; AMBAC) | 5.13 | 10/1/20 | 3,540,000 | 3,872,548 |
| Hillsborough County Aviation Authority, Revenue | | | | |
| (Tampa International Airport) (Insured; AMBAC) | 5.13 | 10/1/21 | 3,675,000 | 3,999,061 |
| Jacksonville Electric Authority, Revenue | | | | |
| (Saint Johns River Power Park System) | 5.00 | 10/1/18 | 8,500,000 | 10,351,980 |
| Lee County, Airport Revenue | 5.50 | 10/1/23 | 2,500,000 | 2,861,800 |
| Lee County, Airport Revenue | 5.50 | 10/1/24 | 5,000,000 | 5,664,600 |
| Miami-Dade County, Subordinate Special Obligation | | | | |
| Bonds (Insured; National Public Finance Guarantee Corp.) | 0/5.00 | 10/1/22 | 2,000,000b | 1,933,780 |
| Orlando Utilities Commission, Utility System Revenue | 4.01 | 10/1/16 | 13,400,000e | 13,754,162 |
| Orlando-Orange County Expressway Authority, | | | | |
| Revenue (Insured; AMBAC) | 5.00 | 7/1/13 | 4,710,000 | 4,986,571 |
| Sarasota County, Revenue (Environmentally | | | | |
| Sensitive Lands and Parkland Program) | 5.25 | 10/1/24 | 1,790,000 | 1,963,684 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Florida (continued) | | | | |
| Sarasota County, Revenue (Environmentally | | | | |
| Sensitive Lands and Parkland Program) | 5.25 | 10/1/25 | 6,170,000 | 6,728,200 |
| Sarasota County, Revenue (Environmentally | | | | |
| Sensitive Lands and Parkland Program) | 5.25 | 10/1/28 | 2,105,000 | 2,252,855 |
| Sarasota County, Revenue (Environmentally | | | | |
| Sensitive Lands and Parkland Program) | 5.25 | 10/1/29 | 1,085,000 | 1,155,395 |
| Sarasota County, Revenue (Environmentally Sensitive | | | | |
| Lands and Parkland Program) (Prerefunded) | 5.25 | 10/1/18 | 245,000c | 310,785 |
| Sarasota County, Revenue (Environmentally Sensitive | | | | |
| Lands and Parkland Program) (Prerefunded) | 5.25 | 10/1/18 | 240,000c | 304,442 |
| Sarasota County, Revenue (Environmentally Sensitive | | | | |
| Lands and Parkland Program) (Prerefunded) | 5.25 | 10/1/18 | 210,000c | 266,387 |
| Sarasota County, Revenue (Environmentally Sensitive | | | | |
| Lands and Parkland Program) (Prerefunded) | 5.25 | 10/1/18 | 725,000c | 919,670 |
| Tallahassee, Capital Bonds Revenue (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 5.00 | 10/1/19 | 5,725,000 | 6,311,870 |
| Tallahassee, Capital Bonds Revenue (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 5.00 | 10/1/20 | 3,000,000 | 3,303,450 |
| Tampa Bay Water, A Regional Water Supply | | | | |
| Authority, Utility System Revenue | 5.00 | 10/1/20 | 5,000,000 | 6,283,750 |
| Georgia—2.4% | | | | |
| Burke County Development Authority, PCR | | | | |
| (Georgia Power Company Plant Vogtle Project) | 1.40 | 4/1/15 | 5,000,000 | 5,037,800 |
| Burke County Development Authority, PCR | | | | |
| (Oglethorpe Power Corporation Vogtle Project) | 7.00 | 1/1/23 | 6,000,000 | 7,260,300 |
| Chatham County Hospital Authority, HR Improvement | | | | |
| (Memorial Health University Medical Center, Inc.) | 5.75 | 1/1/29 | 5,000,000 | 5,030,700 |
| Crisp County Development Authority, | | | | |
| EIR (International Paper Company Project) | 5.55 | 2/1/15 | 1,000,000 | 1,070,660 |
| DeKalb County, Water and Sewerage Revenue | 5.25 | 10/1/36 | 3,500,000 | 3,926,965 |
| Fulton County Development Authority, Revenue (Spelman College) | 5.00 | 6/1/24 | 2,010,000 | 2,172,931 |
| Main Street Natural Gas Inc., Gas Project Revenue | 6.38 | 7/15/38 | 1,335,000f | 1,159,634 |
| Municipal Electric Authority of Georgia, GO | | | | |
| (Project One Subordinated Bonds) | 5.75 | 1/1/20 | 5,000,000 | 6,099,300 |
| Private Colleges and Universities Authority, | | | | |
| Revenue (Emory University) | 5.00 | 9/1/18 | 2,000,000 | 2,281,740 |
| Putnam County Development Authority, | | | | |
| PCR (Georgia Power Company) | 5.10 | 6/1/23 | 6,120,000 | 6,279,426 |
| Hawaii—1.1% | | | | |
| Hawaii, GO | 5.00 | 12/1/16 | 9,830,000 | 11,831,683 |
| Hawaii, GO | 5.00 | 12/1/17 | 5,000,000 | 6,152,650 |
| Idaho—.7% | | | | |
| University of Idaho Regents, General Revenue | 5.25 | 4/1/21 | 10,515,000 | 12,616,107 |
22
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Illinois—4.3% | | | | |
| Chicago, GO (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/14 | 5,000,000 | 5,359,150 |
| Chicago, GO (Modern Schools Across | | | | |
| Chicago Program) (Insured; AMBAC) | 5.00 | 12/1/17 | 1,110,000 | 1,292,029 |
| Chicago Metropolitan Water Reclamation | | | | |
| District, GO Capital Improvement | 7.25 | 12/1/12 | 8,500,000 | 8,953,645 |
| Cook County, GO Capital Improvement (Insured; AMBAC) | 5.00 | 11/15/25 | 5,000,000 | 5,139,600 |
| DuPage, Cook and Will Counties Community College | | | | |
| District Number 502, GO (Prerefunded) | 5.25 | 6/1/13 | 5,980,000c | 6,357,099 |
| Illinois, GO | 5.00 | 9/1/19 | 7,500,000 | 8,128,650 |
| Illinois, GO (Fund for Infrastructure, Roads, School and Transit) | 5.25 | 10/1/15 | 3,000,000 | 3,082,290 |
| Illinois, GO (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/20 | 5,000,000 | 5,778,750 |
| Illinois Finance Authority, Gas Supply Revenue (The Peoples | | | | |
| Gas Light and Coke Company Project) (Insured; AMBAC) | 4.30 | 6/1/16 | 2,500,000 | 2,763,525 |
| Railsplitter Tobacco Settlement Authority, | | | | |
| Tobacco Settlement Revenue | 5.00 | 6/1/15 | 3,500,000 | 3,857,770 |
| Railsplitter Tobacco Settlement Authority, | | | | |
| Tobacco Settlement Revenue | 6.25 | 6/1/24 | 10,000,000 | 11,159,600 |
| Regional Transportation Authority, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 7.75 | 6/1/12 | 1,890,000 | 1,924,871 |
| Will County Forest Preserve District, GO Unlimited Tax Bonds | 5.00 | 12/15/20 | 4,000,000 | 4,945,040 |
| Will County School District Number 161, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 1/1/23 | 4,355,000 | 4,665,686 |
| Indiana—.4% | | | | |
| Indiana Finance Authority, Acquisition Revenue | | | | |
| (National Collegiate Athletic Association Project) | 5.00 | 5/1/15 | 1,000,000 | 1,140,490 |
| Indiana Finance Authority, State Revolving | | | | |
| Fund Program Bonds | 5.00 | 2/1/24 | 5,000,000 | 6,181,950 |
| Kansas—2.7% | | | | |
| Kansas Development Finance Authority, | | | | |
| Revenue (University of Kansas Projects) | 4.00 | 5/1/20 | 3,025,000 | 3,527,331 |
| Kansas Development Finance Authority, | | | | |
| Revenue (University of Kansas Projects) | 4.00 | 5/1/21 | 3,370,000 | 3,866,165 |
| Kansas Development Finance Authority, | | | | |
| Revenue (University of Kansas Projects) | 4.00 | 5/1/23 | 3,690,000 | 4,128,261 |
| Kansas Development Finance Authority, | | | | |
| Revenue (University of Kansas Projects) | 4.00 | 5/1/24 | 3,850,000 | 4,261,757 |
| Kansas Development Finance Authority, | | | | |
| Revenue (University of Kansas Projects) | 4.00 | 5/1/25 | 3,720,000 | 4,072,991 |
| Wichita, Water and Sewer Utility Revenue | 5.00 | 10/1/21 | 7,990,000 | 10,014,107 |
| Wichita, Water and Sewer Utility Revenue | 5.00 | 10/1/22 | 8,390,000 | 10,369,872 |
| Wyandotte County/Kansas City Unified Government, | | | | |
| Utility System Revenue (Insured; AMBAC) | 5.65 | 9/1/22 | 4,700,000 | 5,413,836 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Kentucky—.3% | | | | | |
| Kentucky Housing Corporation, Housing Revenue | 4.80 | 7/1/20 | 2,040,000 | | 2,097,365 |
| Kentucky Property and Buildings Commission, | | | | | |
| Revenue (Project Number 100) | 5.00 | 8/1/21 | 1,785,000 | | 2,169,882 |
| Louisiana—2.7% | | | | | |
| Jefferson Sales Tax District, Special Sales | | | | | |
| Tax Revenue (Insured; AMBAC) | 5.25 | 12/1/21 | 4,375,000 | | 5,021,362 |
| Louisiana, Gasoline and Fuels Tax Second Lien Revenue | 0.91 | 6/1/13 | 5,000,000 | e | 5,006,200 |
| Louisiana Citizens Property Insurance Corporation, | | | | | |
| Assessment Revenue (Insured; AMBAC) | 5.25 | 6/1/13 | 4,000,000 | | 4,210,280 |
| Louisiana Citizens Property Insurance Corporation, | | | | | |
| Assessment Revenue (Insured; AMBAC) | 5.00 | 6/1/21 | 5,500,000 | | 5,894,295 |
| Louisiana Citizens Property Insurance Corporation, Assessment | | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 6.13 | 6/1/25 | 14,500,000 | | 16,908,740 |
| Louisiana Local Government Environmental Facilities | | | | | |
| and Community Development Authority, Revenue | | | | | |
| (Louisiana Community and Technical College | | | | | |
| System Facilities Corporation Project) | 5.00 | 10/1/22 | 5,000,000 | | 5,847,800 |
| Louisiana Public Facilities Authority, Revenue | | | | | |
| (CHRISTUS Health Obligated Group) | 6.00 | 7/1/29 | 2,000,000 | | 2,299,400 |
| Maine—.1% | | | | | |
| Maine Housing Authority, Mortgage Purchase Bonds | 4.75 | 11/15/21 | 2,450,000 | | 2,527,591 |
| Maryland—.5% | | | | | |
| Howard County, Consolidated Public Improvement GO | 5.00 | 8/15/17 | 5,030,000 | | 6,179,305 |
| University System of Maryland, Auxiliary Facility | | | | | |
| and Tuition Revenue (Prerefunded) | 5.00 | 4/1/13 | 2,405,000 | c | 2,530,637 |
| Massachusetts—2.3% | | | | | |
| Massachusetts, Consolidated Loan (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.50 | 10/1/20 | 3,285,000 | | 4,274,015 |
| Massachusetts Development Finance Agency, Revenue (Combined | | | | | |
| Jewish Philanthropies of Greater Boston, Inc. Project) | 4.75 | 2/1/15 | 1,935,000 | | 2,055,957 |
| Massachusetts Development Finance Agency, | | | | | |
| Revenue (Olin College Issue) (Insured; XLCA) | 5.25 | 7/1/33 | 8,050,000 | | 8,222,270 |
| Massachusetts Development Finance Agency, | | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/41 | 4,100,000 | | 4,478,512 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Simmons College Issue) | 7.50 | 10/1/22 | 2,000,000 | | 2,532,600 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Simmons College Issue) | 8.00 | 10/1/29 | 5,000,000 | | 5,819,400 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Simmons College Issue) | 8.00 | 10/1/39 | 1,500,000 | | 1,724,910 |
| Massachusetts Housing Finance Agency, Housing Revenue | 5.13 | 12/1/34 | 350,000 | | 352,765 |
| Massachusetts School Building Authority, | | | | | |
| Dedicated Sales Tax Revenue (Insured; AMBAC) | 5.00 | 8/15/20 | 6,000,000 | | 7,066,140 |
| Massachusetts School Building Authority, Dedicated Sales | | | | | |
| Tax Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 8/15/30 | 1,500,000 | | 1,671,315 |
24
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Massachusetts (continued) | | | | | |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.25 | 8/1/17 | 275,000 | | 305,209 |
| Massachusetts Water Pollution Abatement Trust, | | | | | |
| Water Pollution Abatement Revenue (MWRA Program) | 5.75 | 8/1/29 | 380,000 | | 381,471 |
| Michigan—.6% | | | | | |
| Detroit, Water Supply System Second Lien Revenue (Insured; FGIC) | 5.75 | 7/1/22 | 7,000,000 | | 8,218,140 |
| Michigan Municipal Bond Authority, | | | | | |
| Drinking Water Revolving Fund Revenue | 5.50 | 10/1/15 | 1,000,000 | | 1,176,050 |
| Minnesota—1.4% | | | | | |
| Minneapolis, Health Care System Revenue (Fairview Health Services) | 6.63 | 11/15/28 | 12,000,000 | | 14,158,080 |
| Minnesota Higher Education Facilities Authority, | | | | | |
| Revenue (Macalester College) | 5.00 | 3/1/14 | 1,410,000 | | 1,539,692 |
| University of Minnesota Regents, Special Purpose | | | | | |
| Revenue (State Supported Stadium Debt) | 5.00 | 8/1/19 | 6,300,000 | | 7,280,343 |
| Mississippi—.1% | | | | | |
| Mississippi Home Corporation, SFMR | | | | | |
| (Collateralized: FHLMC, FNMA and GNMA) | 4.38 | 12/1/18 | 1,745,000 | | 1,821,937 |
| Mississippi State University Educational Building Corporation, | | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/1/16 | 400,000 | | 477,704 |
| Missouri—.2% | | | | | |
| Curators of the University of Missouri, System Facilities Revenue | 5.00 | 11/1/12 | 2,000,000 | | 2,064,480 |
| Missouri Environmental Improvement and Energy | | | | | |
| Resource Authority, Water PCR (State Revolving | | | | | |
| Fund Program—Master Trust) | 5.50 | 7/1/14 | 1,250,000 | | 1,374,775 |
| Missouri Housing Development Commission, SFMR (Homeownership | | | | | |
| Loan Program) (Collateralized: FNMA and GNMA) | 5.05 | 9/1/24 | 565,000 | | 567,701 |
| Nebraska—.1% | | | | | |
| Nebraska Investment Finance Authority, SFHR | | | | | |
| (Collateralized: FHLMC, FNMA and GNMA) | 4.70 | 9/1/21 | 650,000 | | 666,373 |
| Omaha City, GO (City of Omaha Convention Center/Arena Project) | 6.50 | 12/1/16 | 1,000,000 | | 1,271,880 |
| Nevada—1.6% | | | | | |
| Clark County, Highway Revenue (Motor Vehicle Fuel Tax) | 5.00 | 7/1/28 | 10,000,000 | | 11,213,800 |
| Clark County School District, GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 6/15/20 | 12,930,000 | | 15,121,506 |
| New Hampshire—.1% | | | | | |
| Nashua, Capital Improvement Bonds (Prerefunded) | 5.50 | 7/15/12 | 560,000 | c | 571,357 |
| New Hampshire Business Finance Authority, | | | | | |
| PCR (Central Maine Power Company) | 5.38 | 5/1/14 | 1,000,000 | | 1,078,020 |
| New Jersey—5.7% | | | | | |
| Essex County Improvement Authority, Project Consolidation | | | | | |
| Revenue (County Guaranteed) (Refunding Project) | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 10/1/24 | 12,725,000 | | 16,250,588 |
| Garden State Preservation Trust, Open Space and | | | | | |
| Farmland Preservation Revenue (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 5.13 | 11/1/16 | 1,000,000 | | 1,200,740 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New Jersey (continued) | | | | |
| Garden State Preservation Trust, Open Space and Farmland | | | | |
| Preservation Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.80 | 11/1/17 | 2,500,000 | 2,958,225 |
| Garden State Preservation Trust, Open Space and Farmland | | | | |
| Preservation Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.80 | 11/1/18 | 5,000,000 | 5,886,550 |
| Garden State Preservation Trust, Open Space and Farmland | | | | |
| Preservation Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.80 | 11/1/19 | 5,000,000 | 5,870,650 |
| Garden State Preservation Trust, Open Space and Farmland | | | | |
| Preservation Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.80 | 11/1/23 | 5,000,000 | 5,870,650 |
| New Jersey Economic Development Authority, Cigarette Tax Revenue | 5.38 | 6/15/15 | 4,400,000 | 4,761,944 |
| New Jersey Economic Development Authority, Cigarette Tax Revenue | 5.50 | 6/15/24 | 3,000,000 | 3,016,830 |
| New Jersey Economic Development Authority, | | | | |
| School Facilities Construction Revenue | 5.00 | 3/1/17 | 2,000,000 | 2,229,980 |
| New Jersey Economic Development Authority, | | | | |
| School Facilities Construction Revenue | 2.08 | 2/1/18 | 10,000,000e | 10,053,900 |
| New Jersey Economic Development Authority, | | | | |
| School Facilities Construction Revenue | 5.00 | 3/1/18 | 1,000,000 | 1,088,980 |
| New Jersey Educational Facilities Authority, Revenue | | | | |
| (University of Medicine and Dentistry of New Jersey Issue) | 7.50 | 12/1/32 | 3,750,000 | 4,583,700 |
| New Jersey Health Care Facilities Financing Authority, | | | | |
| Revenue (Meridian Health System Obligated Group Issue) | 5.00 | 7/1/19 | 2,000,000 | 2,320,920 |
| New Jersey Transportation Trust Fund | | | | |
| Authority (Transportation System) | 0.00 | 12/15/29 | 10,000,000d | 4,356,100 |
| New Jersey Transportation Trust Fund | | | | |
| Authority (Transportation System) | 5.50 | 6/15/31 | 5,000,000 | 5,876,250 |
| New Jersey Turnpike Authority, Turnpike Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 1/1/19 | 18,500,000 | 19,541,550 |
| New Mexico—.4% | | | | |
| New Mexico Finance Authority, Revenue | | | | |
| (Public Project Revolving Fund) (Insured; AMBAC) | 5.25 | 6/1/17 | 1,000,000 | 1,103,770 |
| New Mexico Finance Authority, | | | | |
| State Transportation Senior Lien Revenue | 5.00 | 6/15/18 | 5,000,000 | 6,156,000 |
| New York—6.7% | | | | |
| Albany Industrial Development Agency, Civic Facility Revenue | | | | |
| (Saint Peter’s Hospital of the City of Albany Project) | 5.75 | 11/15/22 | 1,000,000 | 1,132,030 |
| Greece Central School District, GO (Insured; FGIC) | 6.00 | 6/15/12 | 950,000 | 966,454 |
| Greece Central School District, GO (Insured; FGIC) | 6.00 | 6/15/13 | 950,000 | 1,021,307 |
| Greece Central School District, GO (Insured; FGIC) | 6.00 | 6/15/14 | 950,000 | 1,074,402 |
| Greece Central School District, GO (Insured; FGIC) | 6.00 | 6/15/15 | 950,000 | 1,122,938 |
| Long Island Power Authority, Electric System General Revenue | 5.25 | 12/1/12 | 4,000,000 | 4,146,640 |
| Metropolitan Transportation Authority, Dedicated Tax Fund | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/28 | 2,880,000 | 3,320,467 |
| Metropolitan Transportation Authority, | | | | |
| State Service Contract Revenue | 5.50 | 7/1/16 | 5,000,000 | 5,745,900 |
26
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| New York (continued) | | | | | |
| Metropolitan Transportation Authority, | | | | | |
| State Service Contract Revenue | 5.75 | 1/1/18 | 1,500,000 | | 1,849,890 |
| Metropolitan Transportation Authority, Transportation Revenue | 6.50 | 11/15/28 | 12,000,000 | | 14,947,320 |
| New York City, GO | 5.13 | 12/1/24 | 5,000,000 | | 5,971,350 |
| New York City Transitional Finance Authority, | | | | | |
| Future Tax Secured Revenue (Prerefunded) | 5.38 | 11/15/12 | 1,050,000 | c | 1,088,934 |
| New York City Transitional Finance Authority, | | | | | |
| Future Tax Secured Subordinate Revenue | 5.00 | 2/1/23 | 13,000,000 | | 15,862,210 |
| New York Liberty Development Corporation, | | | | | |
| Revenue (Goldman Sachs Headquarters Issue) | 5.00 | 10/1/15 | 1,000,000 | | 1,117,180 |
| New York Local Government Assistance Corporation, Revenue | 6.00 | 4/1/12 | 705,000 | | 707,933 |
| New York State Dormitory Authority, Revenue (Consolidated City | | | | | |
| University System) (Insured; Assured Guaranty Municipal Corp.) | 5.75 | 7/1/18 | 200,000 | | 233,928 |
| New York State Dormitory Authority, Third General Resolution | | | | | |
| Revenue (State University Educational Facilities Issue) | 5.00 | 5/15/24 | 5,000,000 | | 6,068,400 |
| New York State Dormitory Authority, Third General Resolution | | | | | |
| Revenue (State University Educational Facilities Issue) | 5.00 | 5/15/25 | 3,000,000 | | 3,608,520 |
| New York State Dormitory Authority, Third General Resolution | | | | | |
| Revenue (State University Educational Facilities Issue) | 5.00 | 5/15/29 | 3,000,000 | | 3,522,780 |
| New York State Thruway Authority, Second | | | | | |
| General Highway and Bridge Trust Fund Bonds | 5.00 | 4/1/15 | 5,000,000 | | 5,709,500 |
| New York State Thruway Authority, Second | | | | | |
| General Highway and Bridge Trust Fund Bonds | 5.00 | 4/1/16 | 5,000,000 | | 5,869,100 |
| New York State Thruway Authority, Second | | | | | |
| General Highway and Bridge Trust Fund Bonds | 5.00 | 4/1/21 | 5,000,000 | | 5,821,850 |
| New York State Thruway Authority, Second General | | | | | |
| Highway and Bridge Trust Fund Bonds (Insured; AMBAC) | 5.00 | 4/1/25 | 3,000,000 | | 3,315,930 |
| New York State Thruway Authority, Second General | | | | | |
| Highway and Bridge Trust Fund Bonds (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 5.00 | 4/1/24 | 4,500,000 | | 5,101,515 |
| Port Authority of New York and New Jersey | | | | | |
| (Consolidated Bonds, 139th Series) (Insured; | | | | | |
| National Public Finance Guarantee Corp. ) | 5.00 | 10/1/16 | 5,440,000 | | 6,150,246 |
| Tobacco Settlement Financing Corporation of | | | | | |
| New York, Asset-Backed Revenue Bonds | | | | | |
| (State Contingency Contract Secured) | 5.50 | 6/1/19 | 5,000,000 | | 5,312,150 |
| Tobacco Settlement Financing Corporation of New York, | | | | | |
| Asset-Backed Revenue Bonds (State Contingency Contract | | | | | |
| Secured) (Insured; National Public Finance Guarantee Corp.) | 5.50 | 6/1/18 | 2,000,000 | | 2,021,800 |
| North Carolina—3.1% | | | | | |
| Charlotte, GO | 5.00 | 4/1/13 | 1,000,000 | | 1,052,580 |
| North Carolina Eastern Municipal Power | | | | | |
| Agency, Power System Revenue | 5.38 | 1/1/16 | 1,500,000 | | 1,554,600 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| North Carolina (continued) | | | | |
| North Carolina Eastern Municipal Power | | | | |
| Agency, Power System Revenue | 5.00 | 1/1/17 | 8,050,000 | 9,448,526 |
| North Carolina Eastern Municipal Power | | | | |
| Agency, Power System Revenue | 5.25 | 1/1/20 | 5,000,000 | 5,862,600 |
| North Carolina Eastern Municipal Power | | | | |
| Agency, Power System Revenue | 5.00 | 1/1/26 | 18,000,000 | 20,192,400 |
| North Carolina Municipal Power Agency | | | | |
| Number 1, Catawba Electric Revenue | 5.50 | 1/1/13 | 1,415,000 | 1,472,987 |
| North Carolina Municipal Power Agency | | | | |
| Number 1, Catawba Electric Revenue | 5.00 | 1/1/24 | 5,500,000 | 6,275,720 |
| Wake County, LOR | 5.00 | 1/1/24 | 5,955,000 | 7,233,003 |
| Ohio—1.2% | | | | |
| Columbus, GO (Various Purpose Limited Tax) | 5.00 | 7/1/21 | 3,005,000 | 3,817,792 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) | 6.00 | 1/1/15 | 1,110,000 | 1,183,848 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) (Prerefunded) | 5.75 | 7/1/13 | 1,960,000c | 2,103,296 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) (Prerefunded) | 5.75 | 7/1/13 | 2,040,000c | 2,189,144 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) (Prerefunded) | 6.00 | 7/1/13 | 1,155,000c | 1,243,300 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) (Prerefunded) | 6.00 | 7/1/13 | 1,990,000c | 2,142,135 |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | |
| Health System Obligated Group) (Prerefunded) | 6.00 | 7/1/13 | 1,910,000c | 2,056,019 |
| Montgomery County, Revenue (Catholic Health Initiatives) | 6.00 | 10/1/23 | 3,055,000 | 3,672,996 |
| Ohio Housing Finance Agency, MFHR (Uptown | | | | |
| Towers Apartments Project) (Collateralized; GNMA) | 4.75 | 10/20/15 | 705,000 | 745,114 |
| Toledo-Lucas County Port Authority, | | | | |
| Port Facilities Revenue (Cargill, Inc. Project) | 4.50 | 12/1/15 | 900,000 | 974,367 |
| Pennsylvania—1.7% | | | | |
| Allegheny County Hospital Development Authority, | | | | |
| Revenue (University of Pittsburgh Medical Center) | 5.25 | 6/15/15 | 1,620,000 | 1,841,373 |
| Pennsylvania Turnpike Commission, Turnpike Subordinate Revenue | 5.00 | 6/1/18 | 5,000,000 | 5,855,600 |
| Philadelphia School District, GO | 5.00 | 9/1/13 | 5,000,000 | 5,335,100 |
| Philadelphia School District, GO (Insured; AMBAC) | 5.00 | 4/1/17 | 2,165,000 | 2,370,372 |
| Pittsburgh, GO | 5.00 | 9/1/25 | 10,000,000 | 11,395,900 |
| Swarthmore Borough Authority, Revenue (Swarthmore College) | 5.00 | 9/15/12 | 1,400,000 | 1,436,834 |
| Rhode Island—.1% | | | | |
| Rhode Island Health and Educational Building Corporation, | | | | |
| Higher Educational Facility Revenue (Providence | | | | |
| College Issue) (Insured; XLCA) | 4.50 | 11/1/17 | 795,000 | 832,071 |
| Rhode Island Health and Educational Building Corporation, | | | | |
| Higher Educational Facility Revenue (Providence | | | | |
| College Issue) (Insured; XLCA) | 5.00 | 11/1/22 | 250,000 | 259,193 |
28
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| South Carolina—.3% | | | | |
| Greenville County School District, Installment Purchase | | | | |
| Revenue (Building Equity Sooner for Tomorrow) | 5.50 | 12/1/18 | 3,000,000 | 3,754,140 |
| Greenville County School District, Installment Purchase | | | | |
| Revenue (Building Equity Sooner for Tomorrow) | 5.00 | 12/1/24 | 350,000 | 372,851 |
| Newberry Investing in Children’s Education, Installment | | | | |
| Purchase Revenue (School District of Newberry | | | | |
| County, South Carolina Project) | 5.25 | 12/1/20 | 1,000,000 | 1,081,780 |
| Tennessee—.7% | | | | |
| Metropolitan Government of Nashville and | | | | |
| Davidson County, GO Improvement Bonds | 5.00 | 7/1/25 | 10,000,000 | 12,033,600 |
| Texas—9.0% | | | | |
| Dallas and Fort Worth, Joint Revenue Improvement | | | | |
| Bonds (Dallas/Fort Worth International Airport) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 11/1/31 | 815,000 | 823,745 |
| Forney Independent School District, Unlimited Tax School | | | | |
| Building Bonds (Permanent School Fund Guarantee Program) | 5.75 | 8/15/33 | 1,000,000 | 1,167,770 |
| Harris County, Toll Road Senior Lien Revenue | 5.00 | 8/15/23 | 12,500,000 | 14,797,000 |
| Harris County, Toll Road Senior Lien Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 8/15/25 | 4,000,000 | 4,371,080 |
| Harris County, Unlimited Tax Road Bonds | 5.00 | 10/1/21 | 13,705,000 | 16,789,584 |
| Harris County Health Facilities Development Corporation, | | | | |
| HR (Memorial Hermann Healthcare System) | 7.00 | 12/1/27 | 5,000,000 | 6,069,550 |
| Houston, Public Improvement GO | 5.00 | 3/1/18 | 5,000,000 | 6,113,650 |
| Houston, Public Improvement GO (Insured; AMBAC) | 5.00 | 3/1/18 | 5,190,000 | 5,946,287 |
| Houston Community College System, Limited Tax Bonds | 5.00 | 2/15/21 | 2,250,000 | 2,818,845 |
| Katy Independent School District, Unlimited Tax Refunding | | | | |
| Bonds (Permanent School Fund Guarantee Program) | 0.00 | 2/15/16 | 1,505,000d | 1,455,621 |
| Klein Independent School District, Unlimited Tax | | | | |
| Schoolhouse Bonds (Permanent School Fund | | | | |
| Guarantee Program) (Prerefunded) | 5.00 | 8/1/12 | 1,575,000c | 1,607,350 |
| Lower Colorado River Authority, Junior Lien Revenue (Seventh | | | | |
| Supplemental Series) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/15 | 1,135,000 | 1,280,337 |
| Lower Colorado River Authority, Revenue | 5.00 | 5/15/16 | 15,000 | 17,713 |
| Lower Colorado River Authority, Revenue | 5.00 | 5/15/16 | 35,000 | 41,442 |
| Lower Colorado River Authority, Revenue | 5.00 | 5/15/16 | 13,950,000 | 16,306,155 |
| Royse City Independent School District, Unlimited Tax School | | | | |
| Building Bonds (Permanent School Fund Guarantee Program) | 0.00 | 8/15/14 | 3,260,000d | 3,211,719 |
| San Antonio, Electric and Gas Systems Revenue | 5.00 | 2/1/17 | 5,000,000 | 6,020,400 |
| San Antonio, Electric and Gas Systems Revenue | 5.00 | 2/1/25 | 10,000,000 | 11,400,000 |
| Texas Department of Housing and Community Affairs, | | | | |
| SFMR (Collateralized: FNMA and GNMA and Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.45 | 9/1/23 | 960,000 | 961,123 |
| Texas Public Finance Authority, GO | 5.00 | 10/1/23 | 9,385,000 | 11,732,845 |
| Texas Public Finance Authority, Unemployment | | | | |
| Compensation Obligation Assessment Revenue | 5.00 | 7/1/17 | 7,500,000 | 8,714,700 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Texas (continued) | | | | |
| Texas Public Finance Authority, Unemployment | | | | |
| Compensation Obligation Assessment Revenue | 5.00 | 1/1/20 | 10,000,000 | 10,574,000 |
| Texas Transportation Commission, | | | | |
| State Highway Fund First Tier Revenue | 5.00 | 4/1/20 | 15,000,000 | 17,945,700 |
| Texas Water Development Board, State | | | | |
| Revolving Fund Subordinate Lien Revenue | 5.00 | 7/15/24 | 3,650,000 | 4,319,009 |
| Utah—1.9% | | | | |
| Metropolitan Water District of Salt Lake and | | | | |
| Sandy, Water Revenue Project Bonds | 4.00 | 7/1/21 | 6,005,000 | 7,068,065 |
| Utah, GO | 5.00 | 7/1/20 | 20,000,000 | 25,440,400 |
| Vermont—.2% | | | | |
| Burlington, Electric Revenue (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 6.25 | 7/1/12 | 2,500,000 | 2,547,350 |
| Virginia—3.7% | | | | |
| Virginia, GO | 5.00 | 6/1/23 | 5,490,000 | 6,902,632 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (21st Century College and Equipment Programs) | 5.00 | 2/1/19 | 7,000,000 | 8,644,440 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (21st Century College and Equipment Programs) | 5.00 | 2/1/20 | 5,000,000 | 6,232,750 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (21st Century College and Equipment Programs) | 5.00 | 2/1/21 | 2,235,000 | 2,800,500 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (21st Century College and Equipment Programs) | 5.00 | 2/1/23 | 11,285,000 | 13,860,688 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (Public Higher Education Financing Program) | 5.00 | 9/1/16 | 4,070,000 | 4,841,876 |
| Virginia Public Building Authority, Public Facilities Revenue | 5.00 | 8/1/18 | 8,370,000 | 10,302,298 |
| Virginia Public Building Authority, Public Facilities Revenue | 5.00 | 8/1/19 | 6,950,000 | 8,656,364 |
| Washington—1.8% | | | | |
| Energy Northwest, Electric Revenue (Columbia Generating Station) | 5.00 | 7/1/20 | 10,955,000g | 13,468,187 |
| Energy Northwest, Electric Revenue (Project Number 1) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 7/1/13 | 1,000,000 | 1,018,000 |
| FYI Properties, LR (State of Washington | | | | |
| Department of Information Services Project) | 5.25 | 6/1/29 | 5,625,000 | 6,302,250 |
| Tumwater Office Properties, LR (Washington State Office Building) | 5.00 | 7/1/28 | 5,000,000 | 5,177,600 |
| Washington, Motor Vehicle Fuel Tax GO | 5.00 | 8/1/23 | 3,570,000 | 4,378,212 |
| West Virginia—.4% | | | | |
| Monongalia County Building Commission, HR | | | | |
| (Monongalia General Hospital) | 5.25 | 7/1/20 | 3,395,000 | 3,624,129 |
| West Virginia Economic Development Authority, PCR | | | | |
| (Appalachian Power Company—Amos Project) | 4.85 | 9/4/13 | 1,000,000 | 1,049,690 |
30
| | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| West Virginia (continued) | | | | |
| West Virginia Economic Development Authority, PCR | | | | |
| (Appalachian Power Company—Amos Project) | 4.85 | 9/4/13 | 2,600,000 | 2,729,194 |
| Wisconsin—1.2% | | | | |
| Wisconsin, GO | 5.00 | 5/1/20 | 5,800,000 | 6,963,886 |
| Wisconsin, Transportation Revenue (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 7/1/18 | 11,825,000 | 13,359,649 |
| U.S. Related—5.2% | | | | |
| Puerto Rico Commonwealth, Public Improvement GO | 5.00 | 7/1/12 | 2,000,000 | 2,027,000 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.50 | 7/1/19 | 5,715,000 | 6,518,300 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 6.25 | 7/1/13 | 1,380,000 | 1,465,312 |
| Puerto Rico Electric Power Authority, Power Revenue | 5.25 | 7/1/18 | 5,000,000 | 5,761,650 |
| Puerto Rico Electric Power Authority, Power Revenue | 5.25 | 7/1/23 | 5,000,000 | 5,678,150 |
| Puerto Rico Electric Power Authority, Power Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 7/1/15 | 2,000,000 | 2,237,480 |
| Puerto Rico Electric Power Authority, Power Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/17 | 3,940,000 | 4,335,261 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/12 | 10,000,000 | 10,298,100 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/13 | 4,000,000 | 4,227,320 |
| Puerto Rico Infrastructure Financing Authority, | | | | |
| Revenue (Ports Authority Project) | 5.00 | 12/15/22 | 5,000,000 | 5,413,400 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.50 | 7/1/14 | 1,000,000 | 1,078,600 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.50 | 7/1/15 | 995,000 | 1,097,236 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.50 | 7/1/15 | 5,000 | 5,824 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.50 | 7/1/16 | 5,000 | 6,073 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.50 | 7/1/16 | 1,995,000 | 2,240,445 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.75 | 7/1/17 | 5,000 | 6,307 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.75 | 7/1/17 | 1,940,000 | 2,227,605 |
| Puerto Rico Public Buildings Authority, Government Facilities Revenue | 5.75 | 7/1/22 | 2,500,000 | 2,736,600 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.75 | 8/1/32 | 11,000,000b | 10,769,880 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.25 | 8/1/33 | 2,500,000b | 1,975,750 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.00 | 8/1/42 | 12,650,000 | 14,360,407 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.50 | 8/1/44 | 2,500,000 | 2,944,400 |
| Total Long-Term Municipal Investments | | | | |
| (cost $1,532,144,279) | | | | 1,658,712,427 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | |
| Investments—3.6% | Rate (%) | Date | Amount ($) | | Value ($) |
| Colorado—.6% | | | | | |
| Colorado Educational and Cultural Facilities | | | | | |
| Authority, Revenue (National Jewish Federation | | | | | |
| Bond Program) (LOC; National City Bank) | 0.12 | 3/1/12 | 1,800,000 | h | 1,800,000 |
| Colorado Educational and Cultural Facilities | | | | | |
| Authority, Revenue (National Jewish Federation | | | | | |
| Bond Program) (LOC; Northern Trust Company) | 0.12 | 3/1/12 | 1,530,000 | h | 1,530,000 |
| Colorado Educational and Cultural Facilities Authority, Revenue | | | | | |
| (National Jewish Federation Bond Program) (LOC; TD Bank) | 0.12 | 3/1/12 | 1,955,000 | h | 1,955,000 |
| Colorado Educational and Cultural Facilities Authority, Revenue | | | | | |
| (National Jewish Federation Bond Program) (LOC; U.S. Bank NA) | 0.12 | 3/1/12 | 4,400,000 | h | 4,400,000 |
| Florida—.0% | | | | | |
| Jacksonville Health Facilities Authority, HR (Baptist Medical | | | | | |
| Center Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 300,000 | h | 300,000 |
| Illinois—.2% | | | | | |
| Chicago Board of Education, Unlimited Tax GO Notes, Refunding | | | | | |
| (Dedicated Revenues) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 3,500,000 | h | 3,500,000 |
| Quincy, Revenue, Refunding (Blessing Hospital) | | | | | |
| (LOC; JPMorgan Chase Bank) | 0.25 | 3/1/12 | 100,000 | h | 100,000 |
| Iowa—.3% | | | | | |
| Iowa Finance Authority, Health Facilities Revenue | | | | | |
| (Great River Medical Center Project) (LOC; Allied Irish Banks) | 0.16 | 3/1/12 | 4,800,000 | h | 4,800,000 |
| Louisiana—.4% | | | | | |
| Louisiana Public Facilities Authority, HR, Refunding | | | | | |
| (Franciscan Missionaries of Our Lady Health | | | | | |
| System Project) (LOC; U.S. Bank NA) | 0.10 | 3/1/12 | 7,000,000 | h | 7,000,000 |
| Massachusetts—.7% | | | | | |
| Massachusetts, GO Notes (Consolidated Loan) | 0.61 | 3/7/12 | 5,000,000 | h | 5,000,400 |
| Massachusetts, GO Notes (Consolidated Loan) | | | | | |
| (LOC; Bank of America) | 0.19 | 3/1/12 | 4,400,000 | h | 4,400,000 |
| Missouri—.5% | | | | | |
| Missouri Development Finance Board, Cultural Facilities Revenue | | | | | |
| (The Nelson Gallery Foundation) (SBPA; JPMorgan Chase Bank) | 0.10 | 3/1/12 | 4,700,000 | h | 4,700,000 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (Ranken Technology | | | | | |
| College) (LOC; Northern Trust Company) | 0.15 | 3/1/12 | 4,075,000 | h | 4,075,000 |
| New Hampshire—.4% | | | | | |
| New Hampshire Health and Education Facilities Authority, Revenue | | | | | |
| (Dartmouth College Issue) (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 2,700,000 | h | 2,700,000 |
| New Hampshire Health and Education Facilities Authority, Revenue | | | | | |
| (Dartmouth College Issue) (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 4,500,000 | h | 4,500,000 |
32
| | | | | | |
| BNY Mellon National Intermediate Municipal Bond Fund (continued) | | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) | |
| New York—.0% | | | | | | |
| Long Island Power Authority, Electric System Subordinated | | | | | | |
| Revenue (LOC; Westdeutsche Landesbank) | 0.15 | 3/1/12 | 600,000 | h | 600,000 | |
| Ohio—.2% | | | | | | |
| Ohio University, General Receipts Bonds | | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 2.70 | 3/7/12 | 2,660,000 | h | 2,660,000 | |
| Ohio Water Development Authority, PCR, Refunding (FirstEnergy | | | | | | |
| Nuclear Generation Corporation Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 1,100,000 | h | 1,100,000 | |
| Texas—.2% | | | | | | |
| Harris County Health Facilities Development Corporation, HR | | | | | | |
| (Baylor College of Medicine) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 3,600,000 | h | 3,600,000 | |
| Vermont—.1% | | | | | | |
| Vermont Educational and Health Buildings Financing | | | | | | |
| Agency, Revenue (Southwestern Vermont Medical | | | | | | |
| Center Project) (LOC; TD Bank) | 0.15 | 3/1/12 | 2,475,000 | h | 2,475,000 | |
| Total Short-Term Municipal Investments | | | | | | |
| (cost $61,195,000) | | | | | 61,195,400 | |
| |
| Total Investments (cost $1,593,339,279) | | | 101.5 | % | 1,719,907,827 | |
| Liabilities, Less Cash and Receivables | | | (1.5 | %) | (24,806,243 | ) |
| Net Assets | | | 100.0 | % | 1,695,101,584 | |
|
| a Security exempt from registration under Rule 144A of the Securities Act of 1933.This security may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, this security was valued at $810,964 or 0.05% of net assets. |
| b Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity. |
| c These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in |
| escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| d Security issued with a zero coupon. Income is recognized through the accretion of discount. |
| e Variable rate security—interest rate subject to periodic change. |
| f Non-income producing—security in default. |
| g Purchased on a delayed delivery basis. |
| h Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
| | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 22.3 |
| AA | | Aa | | AA | | 43.5 |
| A | | A | | A | | 23.6 |
| BBB | | Baa | | BBB | | 7.2 |
| B | | B | | B | | .3 |
| F1 | | MIG1/P1 | | SP1/A1 | | 2.4 |
| Not Ratedi | | Not Ratedi | | Not Ratedi | | .7 |
| | | | | | | 100.0 |
|
| † Based on total investments. |
| i Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to be of comparable quality to those rated securities in which the |
| fund may invest. |
See notes to financial statements.
34
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | | |
| | | Market Value | | | Unrealized | |
| BNY Mellon National | | Covered by | | | (Depreciation) | |
| Intermediate Municipal Bond Fund | Contracts | Contracts ($) | | Expiration | at 2/29/2012 | ($) |
| Financial Futures Short | | | | | | |
| U.S. Treasury 10 Year Notes | 340 | (44,630,313 | ) | March 2012 | (544,531 | ) |
| |
| See notes to financial statements. | | | | | | |
| | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments—99.1% | Rate (%) | Date | Amount ($) | Value ($) |
| Alabama—.4% | | | | |
| Jefferson County, Limited Obligation School Warrants | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 2/15/16 | 1,370,000 | 1,363,287 |
| Jefferson County, Sewer Revenue Warrants | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 2/1/13 | 3,000,000 | 2,990,340 |
| Alaska—.6% | | | | |
| Alaska Industrial Development and Export | | | | |
| Authority, Revolving Fund Revenue | 5.00 | 4/1/14 | 2,370,000 | 2,571,284 |
| Valdez, Marine Terminal Revenue (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/14 | 2,000,000 | 2,132,680 |
| Valdez, Marine Terminal Revenue (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/16 | 2,500,000 | 2,813,725 |
| Arizona—4.2% | | | | |
| Arizona Health Facilities Authority, Health Facility | | | | |
| Revenue (Catholic Healthcare West) | 5.00 | 7/2/12 | 4,000,000 | 4,062,960 |
| Arizona School Facilities Board, COP (Lease-to-Own-Agreement) | 5.50 | 9/1/13 | 3,300,000 | 3,522,486 |
| Arizona School Facilities Board, COP (Lease-to-Own-Agreement) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 9/1/12 | 1,275,000 | 1,303,687 |
| Arizona School Facilities Board, COP (Lease-to-Own-Agreement) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 9/1/13 | 10,950,000 | 11,606,562 |
| Arizona Transportation Board, Subordinated Highway Revenue | 5.00 | 7/1/14 | 2,165,000 | 2,397,413 |
| Arizona Transportation Board, Subordinated Highway Revenue | 5.00 | 7/1/15 | 9,380,000 | 10,750,606 |
| Arizona Transportation Board, Subordinated Highway Revenue | 5.00 | 7/1/16 | 5,000,000 | 5,918,400 |
| Arizona Transportation Board, Transportation Excise Tax | | | | |
| Revenue (Maricopa County Regional Area Road Fund) | 5.00 | 7/1/16 | 2,300,000 | 2,727,869 |
| Scottsdale, GO (Projects of 2000 and 2004) | 5.00 | 7/1/13 | 3,000,000 | 3,190,560 |
| University of Arizona Board of Regents, System Revenue | 6.20 | 6/1/16 | 5,000,000 | 5,513,950 |
| California—6.3% | | | | |
| California, GO (Economic Recovery) (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.25 | 7/1/14 | 6,820,000 | 7,583,294 |
| California, GO (Various Purpose) | 5.00 | 9/1/12 | 3,220,000 | 3,297,699 |
| California, GO (Various Purpose) | 4.00 | 10/1/15 | 10,000,000 | 11,114,800 |
| California, GO (Various Purpose) | 5.00 | 9/1/16 | 10,000,000 | 11,778,200 |
| California Department of Water Resources, Power Supply Revenue | 5.00 | 5/1/13 | 5,000,000 | 5,282,200 |
| California Health Facilities Financing Authority, | | | | |
| Health Facility Revenue (Catholic Healthcare West) | 5.00 | 7/2/12 | 1,500,000 | 1,523,235 |
| California Health Facilities Financing Authority, | | | | |
| Health Facility Revenue (Catholic Healthcare West) | 5.00 | 7/2/12 | 3,000,000 | 3,046,470 |
| California Health Facilities Financing Authority, | | | | |
| Revenue (Cedars-Sinai Medical Center) | 5.00 | 8/15/15 | 1,000,000 | 1,128,450 |
| California Municipal Finance Authority, | | | | |
| SWDR (Waste Management, Inc. Project) | 2.00 | 9/2/14 | 4,000,000 | 4,041,640 |
| California Statewide Communities Development Authority, | | | | |
| MFHR (Clara Park/Cypress Sunrise/Wysong Plaza | | | | |
| Apartments) (Collateralized; GNMA) | 4.55 | 1/20/16 | 870,000 | 915,753 |
| California Statewide Communities Development Authority, | | | | |
| PCR (Southern California Edison Company) (Insured; XLCA) | 4.10 | 4/1/13 | 1,000,000 | 1,038,760 |
36
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| California (continued) | | | | | |
| California Statewide Communities Development | | | | | |
| Authority, Revenue (Kaiser Permanente) | 5.00 | 4/1/13 | 5,000,000 | | 5,247,650 |
| California Statewide Communities Development | | | | | |
| Authority, Revenue (Kaiser Permanente) | 5.00 | 4/1/14 | 1,000,000 | | 1,085,950 |
| California Statewide Communities Development Authority, | | | | | |
| Revenue (Proposition 1A Receivables Program) | 5.00 | 6/15/13 | 5,000,000 | | 5,294,150 |
| California Statewide Communities Development Authority, | | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | | |
| Campus Apartments, Phase 1 Refunding —CHF—Irvine, L.L.C.) | 4.00 | 5/15/13 | 600,000 | | 619,908 |
| California Statewide Communities Development Authority, | | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | | |
| Campus Apartments, Phase 1 Refunding —CHF—Irvine, L.L.C.) | 4.00 | 5/15/14 | 900,000 | | 945,522 |
| California Statewide Communities Development Authority, | | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | | |
| Campus Apartments, Phase 1 Refunding —CHF—Irvine, L.L.C.) | 4.00 | 5/15/15 | 1,150,000 | | 1,221,530 |
| California Statewide Communities Development Authority, | | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | | |
| Campus Apartments, Phase 1 Refunding —CHF—Irvine, L.L.C.) | 4.00 | 5/15/16 | 1,450,000 | | 1,554,385 |
| Los Angeles Unified School District, GO | 4.00 | 7/1/16 | 4,000,000 | | 4,529,200 |
| Mount San Antonio Community College District, GO | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 8/1/15 | 2,000,000 | | 2,039,120 |
| Sacramento County Sanitation Districts Financing Authority, | | | | | |
| Revenue (Sacramento Regional County Sanitation | | | | | |
| District) (Insured; AMBAC) (Prerefunded) | 5.00 | 12/1/14 | 1,000,000 | a | 1,128,520 |
| Tuolumne Wind Project Authority, | | | | | |
| Revenue (Tuolumne Company Project) | 4.00 | 1/1/13 | 1,000,000 | | 1,027,250 |
| Colorado—1.2% | | | | | |
| Colorado Health Facilities Authority, | | | | | |
| Revenue (Catholic Health Initiatives) | 5.00 | 11/12/13 | 5,000,000 | | 5,381,800 |
| Denver City and County, Airport System Revenue | 4.00 | 11/15/14 | 1,310,000 | | 1,415,940 |
| Denver City and County, GO Medical Facilities Bonds | 5.00 | 8/1/15 | 7,620,000 | | 8,116,367 |
| Connecticut—2.8% | | | | | |
| Connecticut, GO (Economic Recovery) | 5.00 | 1/1/14 | 10,010,000 | | 10,871,060 |
| Connecticut, GO (Economic Recovery) | 5.00 | 1/1/16 | 8,425,000 | | 9,827,931 |
| Connecticut, Special Tax Obligation Revenue | | | | | |
| (Transportation Infrastructure Purposes) | 5.00 | 12/1/16 | 2,900,000 | | 3,489,019 |
| Connecticut Development Authority, PCR | | | | | |
| (The Connecticut Light and Power Company Project) | 1.25 | 9/3/13 | 2,600,000 | | 2,620,358 |
| Connecticut Health and Educational Facilities Authority, | | | | | |
| Revenue (Quinnipiac University Issue) (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 7/1/12 | 1,190,000 | | 1,207,410 |
| Connecticut Health and Educational Facilities | | | | | |
| Authority, Revenue (Yale University Issue) | 2.50 | 2/12/15 | 5,000,000 | | 5,300,150 |
| Delaware—.3% | | | | | |
| Delaware, GO | 5.00 | 10/1/13 | 3,275,000 | | 3,524,784 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Florida—6.7% | | | | |
| Citizens Property Insurance Corporation, | | | | |
| High-Risk Account Senior Secured Revenue | 5.00 | 6/1/13 | 10,000,000 | 10,549,800 |
| Escambia County, SWDR (Gulf Power Company Project) | 2.00 | 4/3/12 | 2,500,000 | 2,503,700 |
| Florida Department of Environmental Protection, Florida Forever | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/13 | 6,100,000 | 6,470,026 |
| Florida Department of Environmental Protection, Florida Forever | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.25 | 7/1/16 | 3,250,000 | 3,328,877 |
| Florida Department of Management Services, Florida Facilities | | | | |
| Pool Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 9/1/13 | 1,825,000 | 1,946,800 |
| Florida Hurricane Catastrophe Fund Finance Corporation, Revenue | 5.00 | 7/1/13 | 4,060,000 | 4,297,266 |
| Florida Hurricane Catastrophe Fund Finance Corporation, Revenue | 5.00 | 7/1/15 | 10,000,000 | 11,178,800 |
| Florida State Board of Education, Lottery Revenue (Insured; AMBAC) | 5.25 | 7/1/14 | 5,000,000 | 5,568,900 |
| Florida State Board of Education, Public | | | | |
| Education Capital Outlay Bonds | 5.00 | 6/1/16 | 10,000,000 | 11,833,000 |
| Florida State Board of Education, Public Education Capital | | | | |
| Outlay Bonds (Insured; National Public Finance Guarantee Corp.) | 5.25 | 6/1/13 | 3,000,000 | 3,191,460 |
| Fort Pierce Utilities Authority, Utilities Revenue (Insured; AMBAC) | 5.00 | 10/1/15 | 4,640,000 | 4,923,086 |
| Kissimmee Utility Authority, Electric System Revenue | 4.00 | 10/1/14 | 1,250,000 | 1,350,200 |
| Miami-Dade County, Double-Barreled Aviation GO | 5.00 | 7/1/14 | 1,000,000 | 1,096,870 |
| Orange County School Board, COP | | | | |
| (Master Lease Purchase Agreement) | 5.00 | 8/1/15 | 1,500,000b | 1,676,505 |
| Orlando, Waste Water System Revenue (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 4.00 | 10/1/14 | 3,025,000 | 3,292,894 |
| Orlando-Orange County Expressway Authority, | | | | |
| Revenue (Insured; AMBAC) | 5.00 | 7/1/12 | 2,000,000 | 2,031,600 |
| Palm Beach County School Board, COP (Master Lease Purchase | | | | |
| Agreement) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 8/1/17 | 5,000,000 | 5,623,150 |
| Georgia—3.0% | | | | |
| Atlanta, Water and Wastewater Revenue | 5.00 | 11/1/15 | 5,000,000 | 5,726,700 |
| Burke County Development Authority, PCR | | | | |
| (Georgia Power Company Plant Vogtle Project) | 1.40 | 4/1/15 | 5,000,000 | 5,037,800 |
| Fulton County, Water and Sewerage Revenue | 5.00 | 1/1/16 | 1,550,000 | 1,804,246 |
| Georgia, GO | 4.00 | 7/1/13 | 5,000,000 | 5,255,650 |
| Georgia, GO | 5.00 | 7/1/15 | 5,000,000 | 5,753,950 |
| Georgia Environmental Loan Acquisition Corporation, | | | | |
| Local Government Loan Securitization Revenue (Loan Pool) | 2.40 | 3/15/16 | 4,000,000 | 4,132,400 |
| Gwinnett County School District, GO | 5.00 | 2/1/13 | 3,000,000 | 3,133,230 |
| Main Street Natural Gas, Inc., Gas Project Revenue | 5.00 | 3/15/12 | 5,790,000 | 5,811,191 |
| Illinois—3.6% | | | | |
| Chicago, Second Lien Passenger Facility Charge Revenue | | | | |
| (Chicago O’Hare International Airport) (Insured; AMBAC) | 5.50 | 1/1/14 | 500,000 | 501,880 |
| Chicago, Second Lien Revenue | | | | |
| (Chicago Midway Airport) (Insured; AMBAC) | 5.00 | 1/1/17 | 4,110,000 | 4,496,833 |
38
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Illinois (continued) | | | | | |
| Chicago Board of Education, Unlimited Tax GO (Dedicated | | | | | |
| Revenues) (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/14 | 2,000,000 | | 2,228,980 |
| Chicago Park District, GO Limited Tax Bonds (Insured; AMBAC) | 5.00 | 1/1/16 | 2,100,000 | | 2,303,175 |
| Chicago Transit Authority, Capital Grant Receipts | | | | | |
| Revenue (Federal Transit Administration | | | | | |
| Section 5307 Formula Funds) (Insured; AMBAC) | 5.00 | 6/1/14 | 3,815,000 | | 4,094,792 |
| Illinois, GO | 5.00 | 1/1/14 | 6,000,000 | | 6,428,700 |
| Illinois, GO (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/16 | 7,500,000 | | 8,495,025 |
| Illinois Finance Authority, SWDR | | | | | |
| (Waste Management, Inc. Project) | 1.13 | 10/1/12 | 2,000,000 | | 2,008,880 |
| Kane, McHenry, Cook and DeKalb Counties Community | | | | | |
| Unit School District Number 300, GO (Insured; XLCA) | 5.00 | 12/1/17 | 3,145,000 | | 3,534,634 |
| Railsplitter Tobacco Settlement Authority, | | | | | |
| Tobacco Settlement Revenue | 5.00 | 6/1/15 | 8,330,000 | | 9,181,493 |
| Indiana—1.3% | | | | | |
| Indiana Finance Authority, Second Lien Water | | | | | |
| Utility Revenue (Citizens Energy Group Project) | 3.00 | 10/1/14 | 2,000,000 | | 2,100,280 |
| Indiana Health Facility Financing Authority, | | | | | |
| Revenue (Ascension Health Credit Group) | 1.50 | 8/1/14 | 2,000,000 | | 2,037,000 |
| Indiana Health Facility Financing Authority, | | | | | |
| Revenue (Ascension Health Credit Group) | 1.60 | 2/1/17 | 2,500,000 | | 2,511,925 |
| Indiana Health Facility Financing Authority, Revenue | | | | | |
| (Ascension Health Subordinate Credit Group) | 1.70 | 9/1/14 | 1,500,000 | | 1,536,135 |
| Indiana Transportation Finance Authority, | | | | | |
| Highway Revenue (Insured; FGIC) (Prerefunded) | 5.25 | 6/1/14 | 1,000,000 | a | 1,111,230 |
| Whiting, Environmental Facilities Revenue | | | | | |
| (BP Products North America, Inc.) | 2.80 | 6/2/14 | 6,000,000 | | 6,261,780 |
| Iowa—.1% | | | | | |
| Iowa Higher Education Loan Authority, Private | | | | | |
| College Facility Revenue (Grinnell College Project) | 4.00 | 12/1/13 | 1,000,000 | | 1,066,010 |
| Kentucky—1.0% | | | | | |
| Kentucky Property and Buildings Commission, Revenue (Project | | | | | |
| Number 82) (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 10/1/13 | 8,480,000 | | 9,119,477 |
| Louisville/Jefferson County Metro Government, PCR | | | | | |
| (Louisville Gas and Electric Company Project) | 1.90 | 4/2/12 | 3,000,000 | | 3,003,600 |
| Louisiana—1.1% | | | | | |
| Louisiana, GO | 0.98 | 7/15/14 | 5,000,000 | c | 5,007,750 |
| Louisiana Offshore Terminal Authority, | | | | | |
| Deepwater Port Revenue (LOOP LLC Project) | 1.88 | 10/1/13 | 2,000,000 | | 2,023,700 |
| Louisiana Public Facilities Authority, Revenue (Loyola University | | | | | |
| Project) (Insured; National Public Finance Guarantee Corp.) | 5.25 | 10/1/16 | 5,000,000 | | 5,886,000 |
| Maryland—1.0% | | | | | |
| Anne Arundel County, Consolidated General Improvements GO | 4.00 | 4/1/14 | 4,000,000 | | 4,310,560 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Maryland (continued) | | | | |
| Maryland, GO (State and Local Facilities | | | | |
| Loan—Capital Improvement Bonds) | 5.00 | 7/15/13 | 5,000,000 | 5,331,700 |
| Maryland Health and Higher Educational | | | | |
| Facilities Authority, Revenue (The Johns | | | | |
| Hopkins Health System Obligated Group Issue) | 1.33 | 11/15/16 | 2,245,000c | 2,252,835 |
| Massachusetts—5.2% | | | | |
| Massachusetts, GO (Consolidated Loan) | 5.25 | 8/1/13 | 1,500,000 | 1,608,195 |
| Massachusetts, GO (Consolidated Loan) | 5.00 | 8/1/14 | 5,000,000 | 5,568,400 |
| Massachusetts, GO (Consolidated Loan) (Insured; FGIC) | 5.50 | 11/1/13 | 1,700,000 | 1,850,790 |
| Massachusetts, GO (Consolidated Loan) | | | | |
| (Insured; XLCA) (Prerefunded) | 5.25 | 11/1/12 | 15,000,000a | 15,504,150 |
| Massachusetts Bay Transportation Authority, Assessment Revenue | 4.00 | 7/1/13 | 1,250,000 | 1,312,700 |
| Massachusetts Bay Transportation Authority, | | | | |
| Assessment Revenue (Prerefunded) | 5.00 | 7/1/14 | 12,705,000a | 14,125,673 |
| Massachusetts Development Finance Agency, Recovery Zone | | | | |
| Facility Revenue (Dominion Energy Brayton Point Issue) | 2.25 | 9/1/16 | 5,000,000 | 5,150,650 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Brandeis University Issue) | 3.00 | 10/1/12 | 1,375,000 | 1,396,505 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Brandeis University Issue) | 3.00 | 10/1/13 | 1,140,000 | 1,185,098 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (UMass Memorial Issue) | 4.00 | 7/1/14 | 4,525,000 | 4,725,955 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Amherst College Issue) | 1.00 | 11/1/14 | 1,875,000 | 1,892,063 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Amherst College Issue) | 1.70 | 11/1/16 | 3,000,000 | 3,079,680 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Northeastern University Issue) | 4.10 | 4/19/12 | 1,000,000 | 1,005,390 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/13 | 1,350,000 | 1,435,374 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/14 | 1,600,000 | 1,761,872 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Simmons College Issue) | 6.13 | 10/1/14 | 1,000,000 | 1,113,070 |
| Michigan—1.7% | | | | |
| Michigan Hospital Finance Authority, HR (Oakwood Obligated Group) | 5.50 | 11/1/15 | 10,000,000 | 10,612,000 |
| Michigan Hospital Finance Authority, Project | | | | |
| Revenue (Ascension Health Senior Credit Group) | 1.50 | 3/1/17 | 10,000,000 | 10,000,000 |
| Minnesota—3.1% | | | | |
| Minnesota, GO | 5.00 | 8/1/16 | 5,200,000 | 6,209,580 |
| Minnesota, GO (Prerefunded) | 5.25 | 11/1/12 | 13,175,000a | 13,626,112 |
| Minnesota, GO (State Trunk Highway Bonds) | 4.00 | 8/1/13 | 1,310,000 | 1,380,661 |
| Minnesota, GO (Various Purpose) | 4.00 | 8/1/13 | 11,500,000 | 12,120,310 |
| Minnesota, GO (Various Purpose) | 5.00 | 8/1/15 | 4,000,000 | 4,614,120 |
40
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Mississippi—.1% | | | | | |
| Mississippi Business Finance Corporation, | | | | | |
| Revenue (Mississippi Power Company Project) | 2.25 | 1/15/13 | 1,150,000 | | 1,160,281 |
| Missouri—.2% | | | | | |
| Saint Louis, Airport Revenue (Lambert-Saint | | | | | |
| Louis International Airport) (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 5.00 | 7/1/13 | 1,800,000 | | 1,885,014 |
| Montana—.1% | | | | | |
| Montana Board of Regents of Higher Education of the | | | | | |
| University of Montana, Facilities Improvement Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.75 | 5/15/24 | 1,610,000 | | 1,624,876 |
| Nebraska—.8% | | | | | |
| Lincoln, GO | 4.00 | 12/1/15 | 2,035,000 | | 2,299,001 |
| Nebraska Public Power District, General Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/13 | 1,300,000 | | 1,350,869 |
| University of Nebraska Facilities Corporation, | | | | | |
| Deferred Maintenance Bonds (Insured; AMBAC) | 5.00 | 7/15/13 | 5,125,000 | | 5,462,789 |
| Nevada—4.5% | | | | | |
| Clark County, Airport System Junior Subordinate Lien Revenue | 5.00 | 7/1/12 | 10,000,000 | | 10,147,400 |
| Clark County, Limited Tax GO Public Safety Bonds | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/14 | 1,000,000 | | 1,077,370 |
| Clark County, Passenger Facility Charge Revenue | | | | | |
| (Las Vegas-McCarran International Airport) | 5.00 | 7/1/14 | 2,500,000 | | 2,731,175 |
| Clark County School District, Limited Tax GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 6/15/14 | 6,745,000 | | 7,447,020 |
| Clark County School District, Limited Tax GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 6/15/15 | 6,800,000 | | 7,745,540 |
| Clark County School District, Limited Tax GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.25 | 6/15/15 | 4,075,000 | | 4,674,718 |
| Las Vegas Convention and Visitors Authority, | | | | | |
| Revenue (Insured; AMBAC) | 5.00 | 7/1/16 | 3,500,000 | | 3,936,415 |
| Las Vegas Valley Water District, GO (Additionally | | | | | |
| Secured by Pledged Revenues) | 5.00 | 2/1/13 | 1,000,000 | | 1,041,240 |
| Las Vegas Valley Water District, GO (Additionally | | | | | |
| Secured by Pledged Revenues) | 5.00 | 6/1/17 | 13,640,000 | | 15,332,588 |
| Las Vegas Valley Water District, GO (Additionally Secured | | | | | |
| by Southern Nevada Water Authority Pledged Revenues) | 5.00 | 6/1/14 | 450,000 | | 492,030 |
| New Hampshire—2.0% | | | | | |
| Manchester, School Facilities Revenue (Insured; National | | | | | |
| Public Finance Guarantee Corp.) (Prerefunded) | 5.50 | 6/1/13 | 4,465,000 | a | 4,743,169 |
| New Hampshire, Turnpike System Revenue | 4.00 | 10/1/14 | 5,315,000 | | 5,748,173 |
| New Hampshire, Turnpike System Revenue | 5.00 | 10/1/15 | 5,565,000 | | 6,353,060 |
| New Hampshire, Turnpike System Revenue | 5.00 | 2/1/17 | 3,000,000 | b | 3,403,590 |
| New Hampshire Health and Education Facilities Authority, | | | | | |
| Revenue (Dartmouth-Hitchcock Obligated Group Issue) | 3.50 | 8/1/12 | 2,535,000 | | 2,566,181 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New Hampshire (continued) | | | | |
| Portsmouth, GO | 5.00 | 9/15/13 | 1,000,000 | 1,036,560 |
| New Jersey—3.9% | | | | |
| New Jersey, COP (Equipment Lease Purchase Agreement) | 5.00 | 6/15/12 | 2,000,000 | 2,027,960 |
| New Jersey, GO | 5.00 | 8/15/15 | 10,000,000 | 11,517,900 |
| New Jersey Economic Development Authority, Cigarette Tax Revenue | 5.38 | 6/15/14 | 2,935,000 | 3,128,358 |
| New Jersey Economic Development Authority, | | | | |
| Cigarette Tax Revenue (Insured; FGIC) | 5.00 | 6/15/13 | 5,000,000 | 5,183,750 |
| New Jersey Economic Development Authority, Exempt Facilities | | | | |
| Revenue (Waste Management of New Jersey, Inc. Project) | 2.20 | 11/1/13 | 2,000,000 | 2,038,020 |
| New Jersey Economic Development Authority, | | | | |
| School Facilities Construction Revenue (Insured; AMBAC) | 5.00 | 9/1/17 | 5,000,000 | 5,627,400 |
| New Jersey Educational Facilities Authority, | | | | |
| Revenue (Princeton University) | 5.00 | 7/1/14 | 2,185,000 | 2,428,780 |
| New Jersey Sports and Exposition Authority, State Contract Bonds | 5.00 | 9/1/16 | 1,665,000 | 1,913,418 |
| New Jersey Transportation Trust Fund | | | | |
| Authority (Transportation System) | 5.00 | 6/15/15 | 1,800,000 | 2,043,342 |
| New Jersey Transportation Trust Fund | | | | |
| Authority (Transportation System) | 5.00 | 6/15/16 | 2,000,000 | 2,331,940 |
| New Jersey Transportation Trust Fund Authority (Transportation | | | | |
| System) (Insured; Assured Guaranty Municipal Corp.) | 5.75 | 12/15/14 | 2,820,000 | 3,210,767 |
| New Jersey Transportation Trust Fund Authority | | | | |
| (Transportation System) (Insured; National | | | | |
| Public Finance Guarantee Corp.) (Prerefunded) | 5.25 | 6/15/15 | 5,000,000a | 5,803,200 |
| New Mexico—1.3% | | | | |
| New Mexico Educational Assistance | | | | |
| Foundation, Education Loan Revenue | 1.23 | 12/1/20 | 4,070,000c | 4,043,830 |
| New Mexico Finance Authority, | | | | |
| State Transportation Senior Lien Revenue | 5.00 | 6/15/13 | 4,940,000 | 5,248,898 |
| New Mexico Finance Authority, State Transportation Senior Lien | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.25 | 6/15/16 | 4,790,000 | 5,295,345 |
| New Mexico Finance Authority, State Transportation | | | | |
| Subordinate Lien Revenue (Insured; AMBAC) | 5.00 | 6/15/13 | 1,000,000 | 1,060,370 |
| New York—11.7% | | | | |
| Long Island Power Authority, Electric System General Revenue | 5.00 | 5/1/15 | 5,400,000 | 6,097,896 |
| Metropolitan Transportation Authority, Transportation Revenue | 5.00 | 11/15/13 | 11,125,000 | 11,934,789 |
| New York City, GO | 5.00 | 8/15/13 | 5,000,000 | 5,349,600 |
| New York City, GO | 5.00 | 8/1/14 | 4,000,000 | 4,446,280 |
| New York City, GO | 5.00 | 8/1/15 | 1,000,000 | 1,148,740 |
| New York City, GO | 5.25 | 8/1/16 | 4,670,000 | 5,171,091 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Revenue | 5.00 | 11/1/14 | 10,000,000 | 11,247,400 |
| New York City Transitional Finance Authority, Future Tax Secured | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.50 | 11/1/14 | 3,910,000 | 4,046,459 |
42
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| New York (continued) | | | | | |
| New York State, GO | 3.00 | 2/1/14 | 10,000,000 | | 10,536,900 |
| New York State, GO | 5.00 | 2/15/15 | 4,320,000 | | 4,920,178 |
| New York State Dormitory Authority, LR (State University | | | | | |
| Dormitory Facilities Issue) (Insured; XLCA) | 5.25 | 7/1/13 | 1,000,000 | | 1,063,930 |
| New York State Dormitory Authority, Revenue | | | | | |
| (Mental Health Services Facilities Improvement) | 5.00 | 8/15/15 | 1,000,000 | | 1,141,060 |
| New York State Dormitory Authority, Revenue (New York | | | | | |
| State Association for Retarded Children, Inc.) | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/12 | 1,100,000 | | 1,117,622 |
| New York State Dormitory Authority, Revenue | | | | | |
| (School Districts Revenue Financing Program) | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.75 | 10/1/17 | 2,500,000 | | 2,569,425 |
| New York State Dormitory Authority, State | | | | | |
| Personal Income Tax Revenue (Education) | 5.00 | 3/15/14 | 4,075,000 | | 4,463,551 |
| New York State Dormitory Authority, State | | | | | |
| Personal Income Tax Revenue (General Purpose) | 5.00 | 8/15/15 | 11,380,000 | | 13,146,859 |
| New York State Dormitory Authority, Third General Resolution | | | | | |
| Revenue (State University Educational Facilities Issue) | 4.00 | 5/15/17 | 4,825,000 | | 5,537,508 |
| New York State Environmental Facilities Corporation, State Clean | | | | | |
| Water and Drinking Water Revolving Funds Revenue | | | | | |
| (New York City Municipal Water Finance Authority Project) | 5.38 | 6/15/16 | 5,000,000 | | 5,074,850 |
| New York State Municipal Bond Bank Agency, | | | | | |
| Special School Purpose Revenue (Prior Year Claims) | 5.50 | 6/1/13 | 5,000,000 | | 5,310,250 |
| New York State Thruway Authority, | | | | | |
| Local Highway and Bridge Service Contract Bonds | 5.50 | 4/1/15 | 2,675,000 | | 2,687,011 |
| New York State Thruway Authority, Second General Highway | | | | | |
| and Bridge Trust Fund Bonds (Insured; AMBAC) (Prerefunded) | 5.00 | 4/1/14 | 1,475,000 | a | 1,613,886 |
| New York State Urban Development Corporation, | | | | | |
| Correctional Capital Facilities Revenue (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 5.25 | 1/1/14 | 735,000 | | 774,029 |
| New York State Urban Development | | | | | |
| Corporation, Service Contract Revenue | 5.00 | 1/1/14 | 1,000,000 | | 1,085,830 |
| New York State Urban Development | | | | | |
| Corporation, Service Contract Revenue | 5.00 | 1/1/15 | 5,610,000 | | 6,318,150 |
| Port Authority of New York and New Jersey (Consolidated Bonds, | | | | | |
| 139th Series) (Insured; National Public Finance Guarantee Corp. ) | 5.00 | 10/1/16 | 5,000,000 | | 5,652,800 |
| Tobacco Settlement Financing Corporation of | | | | | |
| New York, Asset-Backed Revenue Bonds | | | | | |
| (State Contingency Contract Secured) | 5.00 | 6/1/14 | 3,000,000 | | 3,290,130 |
| Triborough Bridge and Tunnel Authority, | | | | | |
| General Revenue (MTA Bridges and Tunnels) | 4.00 | 11/15/12 | 12,325,000 | | 12,657,652 |
| Westchester County, GO | 3.00 | 6/1/13 | 1,350,000 | | 1,398,560 |
| North Carolina—2.4% | | | | | |
| Brunswick County, GO | 5.00 | 5/1/13 | 2,445,000 | | 2,582,482 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| North Carolina (continued) | | | | |
| Charlotte, Water and Sewer System Revenue | 3.00 | 12/1/14 | 1,250,000 | 1,339,075 |
| Forsyth County, GO | 3.00 | 7/1/13 | 1,495,000 | 1,551,451 |
| North Carolina, GO | 5.00 | 6/1/13 | 10,000,000 | 10,605,200 |
| North Carolina, Public Improvement GO | 5.00 | 3/1/16 | 10,000,000 | 11,334,900 |
| North Carolina Eastern Municipal Power Agency, Power System | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/13 | 2,000,000 | 2,072,560 |
| Ohio—2.7% | | | | |
| Cleveland, GO (Various Purpose) (Insured; AMBAC) | 5.25 | 10/1/14 | 5,050,000 | 5,636,355 |
| Cleveland, Water Revenue | 5.00 | 1/1/16 | 3,000,000 | 3,492,090 |
| Ohio, Common Schools GO Bonds | 5.00 | 9/15/16 | 5,780,000 | 6,891,494 |
| Ohio, GO Highway Capital Improvements Bonds (Full Faith and | | | | |
| Credit/Highway User Receipts) (Buckeye Savers Bond Program) | 5.00 | 5/1/16 | 4,650,000 | 5,493,464 |
| Ohio, Mental Health Capital Facilities Bonds | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 6/1/13 | 2,230,000 | 2,358,136 |
| Ohio Building Authority, State Facilities Revenue | | | | |
| (Administrative Building Fund Projects) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 10/1/16 | 3,585,000 | 4,247,831 |
| Ohio Water Development Authority, Solid Waste | | | | |
| Revenue (Waste Management, Inc. Project) | 1.75 | 6/1/13 | 2,500,000 | 2,528,025 |
| Ohio Water Development Authority, Water Development | | | | |
| Revenue (Fresh Water Improvement Series) | 5.00 | 6/1/13 | 2,060,000 | 2,186,072 |
| Oklahoma—.8% | | | | |
| Oklahoma Building Bonds Commission, GO (Insured; | | | | |
| National Public Finance Guarantee Corp.) (Prerefunded) | 5.00 | 7/15/13 | 5,460,000a | 5,871,684 |
| Oklahoma Capitol Improvement Authority, | | | | |
| State Highway Capital Improvement Revenue | 4.00 | 10/1/16 | 2,960,000 | 3,403,230 |
| Oregon—.4% | | | | |
| Oregon Department of Transportation, Highway User Tax Revenue | 5.25 | 11/15/16 | 4,375,000 | 4,916,538 |
| Pennsylvania—6.1% | | | | |
| Allegheny County Airport Authority, Airport | | | | |
| Revenue (Pittsburgh International Airport) | 5.00 | 1/1/13 | 1,400,000 | 1,432,424 |
| Allegheny County Hospital Development Authority, | | | | |
| Revenue (University of Pittsburgh Medical Center) | 5.00 | 6/15/13 | 1,000,000 | 1,057,230 |
| Allegheny County Hospital Development Authority, | | | | |
| Revenue (University of Pittsburgh Medical Center) | 5.00 | 5/15/14 | 2,875,000 | 3,139,816 |
| Berks County Municipal Authority, Revenue | | | | |
| (The Reading Hospital and Medical Center Project) | 5.00 | 11/1/13 | 3,035,000 | 3,250,242 |
| Delaware County Industrial Development | | | | |
| Authority, PCR (PECO Energy Company Project) | 4.00 | 12/1/12 | 8,490,000 | 8,690,279 |
| Delaware Valley Regional Finance Authority, | | | | |
| Local Government Revenue | 5.50 | 7/1/12 | 1,500,000 | 1,524,630 |
| Jim Thorpe Area School District, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.30 | 3/15/16 | 1,000,000 | 1,080,990 |
| Pennsylvania, GO | 5.00 | 7/15/14 | 6,740,000 | 7,496,767 |
44
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Pennsylvania (continued) | | | | |
| Pennsylvania, GO | 5.00 | 9/1/16 | 5,000,000 | 5,558,850 |
| Pennsylvania, GO | 5.00 | 5/1/17 | 14,000,000 | 17,004,120 |
| Pennsylvania, GO (Insured; National Public | | | | |
| Finance Guarantee Corp.) (Prerefunded) | 4.00 | 2/1/14 | 5,000,000a | 5,357,100 |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (The University of Pennsylvania | | | | |
| Health System) (Insured; AMBAC) | 5.00 | 8/15/12 | 6,325,000 | 6,454,726 |
| Philadelphia, Airport Revenue | 5.00 | 6/15/15 | 1,000,000 | 1,101,180 |
| Philadelphia School District, GO | 5.00 | 9/1/12 | 5,000,000 | 5,120,950 |
| State Public School Building Authority, College Revenue | | | | |
| (Northampton County Area Community College Project) | 4.00 | 3/1/14 | 2,165,000 | 2,287,864 |
| State Public School Building Authority, School Revenue | | | | |
| (Chester Upland School District Project) (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 4.00 | 9/15/14 | 1,810,000 | 1,940,917 |
| Swarthmore Borough Authority, Revenue (Swarthmore College) | 5.00 | 9/15/13 | 1,500,000 | 1,605,870 |
| South Carolina—.4% | | | | |
| Piedmont Municipal Power Agency, Electric Revenue | 5.00 | 1/1/15 | 2,000,000 | 2,218,280 |
| South Carolina Jobs-Economic Development Authority, | | | | |
| EDR (Waste Management of South Carolina, Inc. Project) | 2.88 | 2/1/15 | 2,100,000 | 2,131,584 |
| Tennessee—.4% | | | | |
| Metropolitan Government of Nashville and Davidson | | | | |
| County, Subordinate Lien Water and Sewer Revenue | 5.00 | 7/1/16 | 1,250,000 | 1,470,500 |
| Tennessee, GO | 5.00 | 8/1/16 | 3,100,000 | 3,704,872 |
| Texas—6.2% | | | | |
| Austin, Water and Wastewater System Revenue | 4.00 | 11/15/13 | 1,500,000 | 1,596,600 |
| Cypress-Fairbanks Independent School District, Unlimited Tax | | | | |
| Schoolhouse Bonds (Permanent School Fund Guarantee Program) | 5.00 | 2/15/13 | 1,550,000 | 1,622,137 |
| Dallas and Fort Worth, Joint Revenue | | | | |
| (Dallas/Fort Worth International Airport) | 4.00 | 11/1/12 | 2,220,000 | 2,274,057 |
| Frisco Independent School District, Unlimited Tax School Building | | | | |
| Bonds (Permanent School Fund Guarantee Program) | 5.00 | 8/15/15 | 1,000,000 | 1,154,890 |
| Gulf Coast Waste Disposal Authority, Environmental Facilities | | | | |
| Revenue (BP Products North America, Inc. Project) | 2.30 | 9/3/13 | 4,000,000 | 4,099,920 |
| Harris County, Toll Road Senior Lien Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 8/15/16 | 1,500,000 | 1,656,255 |
| Harris County Cultural Education Facilities Finance | | | | |
| Corporation, Revenue (The Methodist Hospital System) | 5.25 | 12/1/12 | 1,800,000 | 1,868,544 |
| Houston Convention and Entertainment Facilities | | | | |
| Department, Hotel Occupancy Tax and Special Revenue | 4.88 | 9/1/17 | 5,000,000 | 5,714,950 |
| Lower Colorado River Authority, Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.88 | 5/15/15 | 1,075,000 | 1,079,805 |
| North Texas Tollway Authority, First Tier System Revenue | 5.00 | 1/1/13 | 2,050,000 | 2,118,573 |
| Northside Independent School District, Unlimited Tax School | | | | |
| Building Bonds (Permanent School Fund Guarantee Program) | 1.50 | 8/1/12 | 10,000,000 | 10,047,000 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Texas (continued) | | | | |
| Plano, GO | 5.25 | 9/1/14 | 1,225,000 | 1,376,177 |
| Richardson Independent School District, Unlimited | | | | |
| Tax Bonds (Permanent School Fund Guarantee Program) | 4.00 | 2/15/15 | 1,000,000 | 1,104,710 |
| San Antonio, Water System Revenue | 5.00 | 5/15/17 | 2,160,000 | 2,621,246 |
| Texas A&M University System Board of Regents, | | | | |
| Financing System Revenue | 5.00 | 5/15/13 | 1,375,000 | 1,454,846 |
| Texas Municipal Gas Acquisition and Supply | | | | |
| Corporation I, Gas Supply Revenue | 5.00 | 12/15/13 | 720,000 | 760,702 |
| Texas Municipal Power Agency, Revenue (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 0.00 | 9/1/14 | 5,000,000d | 4,890,200 |
| Texas Public Finance Authority, GO | 5.00 | 10/1/14 | 2,000,000 | 2,245,820 |
| Texas Public Finance Authority, Unemployment | | | | |
| Compensation Obligation Assessment Revenue | 5.00 | 7/1/15 | 6,000,000 | 6,896,100 |
| Trinity River Authority, Regional Wastewater System Revenue | 5.00 | 8/1/15 | 3,280,000 | 3,775,346 |
| Trinity River Authority, Regional Wastewater System | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.38 | 8/1/15 | 8,865,000 | 9,457,980 |
| University of Texas System Board of Regents, | | | | |
| Financing System Revenue | 5.00 | 8/15/13 | 6,485,000 | 6,942,711 |
| Utah—.9% | | | | |
| Timpanogos Special Service District, Sewer Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 6/1/14 | 1,775,000 | 1,951,932 |
| Utah, GO | 4.00 | 7/1/13 | 8,000,000 | 8,410,160 |
| Virginia—3.7% | | | | |
| Portsmouth, GO | 4.00 | 1/15/15 | 2,750,000 | 2,880,460 |
| Richmond, GO Public Improvement (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 5.25 | 7/15/16 | 6,040,000 | 6,430,969 |
| Roanoke Economic Development Authority, HR | | | | |
| (Carilion Clinic Obligated Group) | 5.00 | 7/1/15 | 2,000,000 | 2,257,460 |
| Tobacco Settlement Financing Corporation of Virginia, | | | | |
| Tobacco Settlement Asset-Backed Bonds (Prerefunded) | 5.63 | 6/1/15 | 12,500,000a | 14,560,250 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (21st Century College and Equipment Programs) | 5.00 | 2/1/14 | 2,610,000 | 2,847,484 |
| Virginia College Building Authority, Educational Facilities | | | | |
| Revenue (Public Higher Education Financing Program) | 5.00 | 9/1/16 | 5,000,000 | 5,948,250 |
| Virginia Commonwealth Transportation Board, | | | | |
| Federal Transportation Grant Anticipation Revenue Notes | 5.00 | 9/15/16 | 1,000,000 | 1,192,790 |
| Virginia Commonwealth Transportation Board, | | | | |
| Federal Transportation Grant Anticipation Revenue Notes | 5.00 | 3/15/17 | 2,500,000 | 3,010,825 |
| Virginia Public Building Authority, Public Facilities Revenue | 5.00 | 8/1/15 | 5,000,000 | 5,755,100 |
46
| | | | | |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Washington—2.3% | | | | |
| Energy Northwest, Electric Revenue (Project 3) | 5.00 | 7/1/18 | 12,445,000 | 14,603,212 |
| Energy Northwest, Electric Revenue | | | | |
| (Project Number 3) (Insured; AMBAC) | 6.00 | 7/1/16 | 5,000,000 | 5,095,450 |
| Energy Northwest, Electric Revenue (Project One) | 5.25 | 7/1/16 | 2,500,000 | 2,985,850 |
| King County, Limited Tax GO (Baseball Stadium) | 5.50 | 12/1/12 | 310,000 | 322,499 |
| King County, Limited Tax GO (Payable From Sewer Revenues) | 5.00 | 1/1/14 | 1,000,000 | 1,087,190 |
| Washington, GO (Various Purpose) (Insured; AMBAC) | 5.00 | 1/1/14 | 3,810,000 | 4,142,194 |
| Wisconsin—.3% | | | | |
| Wisconsin, Petroleum Inspection Fee Revenue | 5.00 | 7/1/13 | 3,500,000 | 3,715,985 |
| U.S. Related—4.3% | | | | |
| Puerto Rico Commonwealth, Public Improvement GO | 5.00 | 7/1/13 | 2,140,000 | 2,237,006 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.50 | 7/1/13 | 1,335,000 | 1,404,327 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.50 | 7/1/13 | 5,000,000 | 5,259,650 |
| Puerto Rico Government Development Bank, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 4.75 | 12/1/15 | 6,145,000 | 6,338,936 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/13 | 3,530,000 | 3,730,610 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/14 | 4,275,000 | 4,620,292 |
| Puerto Rico Highways and Transportation | | | | |
| Authority, Transportation Revenue | 5.00 | 7/1/17 | 5,385,000 | 5,800,937 |
| Puerto Rico Highways and Transportation Authority, | | | | |
| Transportation Revenue (Insured; FGIC) | 5.25 | 7/1/14 | 465,000 | 487,985 |
| Puerto Rico Highways and Transportation Authority, | | | | |
| Transportation Revenue (Insured; FGIC) (Prerefunded) | 5.25 | 7/1/13 | 1,785,000a | 1,904,095 |
| Puerto Rico Infrastructure Financing Authority, | | | | |
| Revenue (Ports Authority Project) | | | | |
| (LOC; Government Bank for Puerto Rico) | 2.75 | 6/17/13 | 10,000,000 | 10,025,200 |
| Puerto Rico Public Buildings Authority, | | | | |
| Government Facilities Revenue (Insured; XLCA) | 5.25 | 7/1/13 | 4,530,000 | 4,745,628 |
| University of Puerto Rico, University System Revenue | 5.00 | 6/1/13 | 2,315,000 | 2,392,807 |
| University of Puerto Rico, University System Revenue | 5.00 | 6/1/14 | 2,930,000 | 3,091,297 |
| Total Long-Term Municipal Investments | | | | |
| (cost $1,176,855,777) | | | | 1,194,795,087 |
| |
| Short-Term Municipal Investments—2.3% | | | | |
| California—.1% | | | | |
| California Statewide Communities Development Authority, | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | |
| Campus Apartments, Phase 1 Refunding—CHF—Irvine, L.L.C.) | 3.00 | 5/15/12 | 1,000,000 | 1,003,490 |
| | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | |
| |
| |
| |
| |
| BNY Mellon National Short-Term Municipal Bond Fund (continued) | | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) | |
| Colorado—.1% | | | | | | |
| Colorado Health Facilities Authority, HR, Refunding (North Colorado | | | | | | |
| Medical Center, Inc. Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 705,000 | e | 705,000 | |
| Florida—.7% | | | | | | |
| Lakeland, Energy System Revenue, Refunding | 0.91 | 3/7/12 | 8,500,000 | e | 8,515,980 | |
| Iowa—.1% | | | | | | |
| Iowa Finance Authority, Educational Facilities Revenue | | | | | | |
| (Holy Family Catholic Schools Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 700,000 | e | 700,000 | |
| Massachusetts—.4% | | | | | | |
| Massachusetts, GO Notes, Refunding | 0.69 | 3/7/12 | 3,700,000 | e | 3,702,590 | |
| Massachusetts Health and Educational Facilities Authority, | | | | | | |
| Revenue (Children’s Hospital Issue) (LOC; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 1,300,000 | e | 1,300,000 | |
| Missouri—.1% | | | | | | |
| Missouri Health and Educational Facilities Authority, | | | | | | |
| Educational Facilities Revenue (The Washington | | | | | | |
| University) (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 1,500,000 | e | 1,500,000 | |
| Pennsylvania—.8% | | | | | | |
| Pennsylvania Turnpike Commission, Turnpike Revenue | 0.78 | 3/7/12 | 10,000,000 | e | 10,018,000 | |
| Wisconsin—.0% | | | | | | |
| Wisconsin Health and Educational Facilities Authority, | | | | | | |
| Revenue (Meriter Hospital, Inc.) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 600,000 | e | 600,000 | |
| Total Short-Term Municipal Investments | | | | | | |
| (cost $28,008,900) | | | | | 28,045,060 | |
| |
| Total Investments (cost $1,204,864,677) | | | 101.4 | % | 1,222,840,147 | |
| Liabilities, Less Cash and Receivables | | | (1.4 | %) | (17,376,777 | ) |
| Net Assets | | | 100.0 | % | 1,205,463,370 | |
|
| a These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in |
| escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| b Purchased on a delayed delivery basis. |
| c Variable rate security—interest rate subject to periodic change. |
| d Security issued with a zero coupon. Income is recognized through the accretion of discount. |
| e Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
48
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 24.9 |
| AA | | Aa | | AA | | 43.9 |
| A | | A | | A | | 23.9 |
| BBB | | Baa | | BBB | | 6.3 |
| F1 | | MIG1/P1 | | SP1/A1 | | .8 |
| Not Ratedf | | Not Ratedf | | Not Ratedf | | .2 |
| | | | | | | 100.0 |
|
| † Based on total investments. |
| f Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to be of comparable quality to those rated securities in which the |
| fund may invest. |
See notes to financial statements.
| | | | | |
| STATEMENT OF INVESTMENTS | | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments—97.5% | Rate (%) | Date | Amount ($) | | Value ($) |
| Alabama—1.4% | | | | | |
| Jefferson County, Limited Obligation School Warrants | 5.25 | 1/1/15 | 2,500,000 | | 2,477,575 |
| Jefferson County, Limited Obligation School Warrants | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 1/1/21 | 3,500,000 | | 3,445,680 |
| Arizona—.3% | | | | | |
| University Medical Center Corporation, HR | 5.25 | 7/1/15 | 1,160,000 | | 1,254,702 |
| California—4.8% | | | | | |
| Agua Caliente Band, Cahuilla Indians Revenue | 6.00 | 7/1/18 | 1,500,000 | a | 1,448,715 |
| Alameda Corridor Transportation Authority, | | | | | |
| Revenue (Insured; AMBAC) | 0/5.25 | 10/1/21 | 2,000,000 | b | 1,986,380 |
| California, GO | 5.50 | 6/1/20 | 110,000 | | 110,400 |
| California, GO | 5.50 | 11/1/33 | 6,200,000 | | 6,542,860 |
| California, GO (Various Purpose) | 6.50 | 4/1/33 | 1,000,000 | | 1,231,670 |
| California County Tobacco Securitization Agency, | | | | | |
| Tobacco Settlement Asset-Backed Bonds | | | | | |
| (Los Angeles County Securitization Corporation) | 5.25 | 6/1/21 | 1,150,000 | | 1,073,042 |
| Foothill/Eastern Transportation Corridor Agency, Toll Road | | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.88 | 1/15/27 | 6,000,000 | | 6,113,220 |
| Golden State Tobacco Securitization Corporation, Enhanced | | | | | |
| Tobacco Settlement Asset-Backed Bonds (Insured; AMBAC) | 5.00 | 6/1/21 | 2,000,000 | | 2,001,320 |
| Colorado—1.4% | | | | | |
| Northwest Parkway Public Highway Authority, | | | | | |
| Revenue (Insured; AMBAC) (Prerefunded) | 5.70 | 6/15/16 | 5,000,000 | c | 5,996,300 |
| Florida—.8% | | | | | |
| Miami-Dade County School Board, COP (Master Lease Purchase | | | | | |
| Agreement) (Insured; National Public Finance Guarantee Corp.) | 5.00 | 5/1/25 | 3,000,000 | | 3,273,030 |
| Massachusetts—.1% | | | | | |
| Massachusetts Housing Finance Agency, Housing Revenue | 5.13 | 12/1/34 | 350,000 | | 352,765 |
| Michigan—.5% | | | | | |
| Detroit City School District, School Buildings | | | | | |
| and Site Improvement Bonds (Insured; FGIC) | 5.25 | 5/1/17 | 2,000,000 | | 2,251,680 |
| North Carolina—.7% | | | | | |
| North Carolina Eastern Municipal Power | | | | | |
| Agency, Power System Revenue | 5.30 | 1/1/15 | 1,500,000 | | 1,554,690 |
| North Carolina Eastern Municipal Power | | | | | |
| Agency, Power System Revenue | 5.13 | 1/1/23 | 1,500,000 | | 1,530,105 |
| Ohio—1.4% | | | | | |
| Cuyahoga County, Revenue (Cleveland Clinic | | | | | |
| Health System Obligated Group) | 6.00 | 1/1/16 | 2,450,000 | | 2,610,279 |
| Ohio, HR (Cleveland Clinic Health System Obligated Group) | 5.00 | 1/1/25 | 3,000,000 | | 3,466,470 |
| Pennsylvania—74.0% | | | | | |
| Allegheny County Airport Authority, Airport Revenue | | | | | |
| (Pittsburgh International Airport) (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 5.00 | 1/1/17 | 1,000,000 | | 1,108,190 |
50
| | | | | |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Pennsylvania (continued) | | | | |
| Allegheny County Hospital Development Authority, | | | | |
| Revenue (University of Pittsburgh Medical Center) | 5.00 | 6/15/14 | 5,000,000 | 5,476,450 |
| Allegheny County Hospital Development Authority, | | | | |
| Revenue (University of Pittsburgh Medical Center) | 5.00 | 10/15/22 | 1,250,000 | 1,494,000 |
| Allegheny County Port Authority, | | | | |
| Special Transportation Revenue | 5.25 | 3/1/24 | 5,000,000 | 5,872,150 |
| Allegheny County Sanitary Authority, Sewer Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/18 | 2,560,000 | 2,861,261 |
| Allegheny County Sanitary Authority, Sewer Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/21 | 4,815,000 | 5,381,629 |
| Allegheny County Sanitary Authority, Sewer Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/22 | 6,860,000 | 7,715,236 |
| Allentown School District, GO | 5.00 | 2/15/22 | 5,875,000 | 6,678,818 |
| Beaver County Hospital Authority, Revenue | | | | |
| (Heritage Valley Health System, Inc.) | 5.00 | 5/15/23 | 1,370,000 | 1,599,228 |
| Beaver County Hospital Authority, Revenue | | | | |
| (Heritage Valley Health System, Inc.) | 5.00 | 5/15/25 | 1,250,000 | 1,436,275 |
| Berks County Municipal Authority, Revenue | | | | |
| (The Reading Hospital and Medical Center Project) | 5.00 | 11/1/19 | 2,000,000 | 2,396,100 |
| Bucks County, GO | 5.00 | 6/1/23 | 1,955,000 | 2,460,954 |
| Central Bucks School District, GO (Prerefunded) | 5.00 | 5/15/18 | 5,000,000c | 6,234,900 |
| Central Dauphin School District, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) (Prerefunded) | 6.75 | 2/1/16 | 5,000,000c | 6,181,850 |
| Central Dauphin School District, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) (Prerefunded) | 7.00 | 2/1/16 | 1,630,000c | 2,030,328 |
| Central Dauphin School District, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) (Prerefunded) | 7.50 | 2/1/16 | 3,100,000c | 3,918,524 |
| Central York School District, GO (Insured; FGIC) (Prerefunded) | 5.50 | 6/1/12 | 80,000c | 81,099 |
| Chester County, GO | 5.00 | 8/15/18 | 4,545,000 | 5,174,437 |
| Chester County, GO | 5.00 | 7/15/25 | 3,060,000 | 3,651,743 |
| Chester County, GO (Prerefunded) | 5.00 | 7/15/19 | 1,940,000c | 2,452,897 |
| Commonwealth Financing Authority of Pennsylvania, Revenue | 5.00 | 6/1/24 | 5,000,000 | 5,823,200 |
| Delaware County Authority, University Revenue | | | | |
| (Villanova University) (Insured; AMBAC) | 5.00 | 8/1/20 | 2,095,000 | 2,342,838 |
| Delaware River Joint Toll Bridge Commission, Bridge | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.25 | 7/1/17 | 1,485,000 | 1,691,979 |
| Downingtown Area School District, GO | 5.00 | 11/1/18 | 2,010,000 | 2,491,194 |
| East Stroudsburg Area School District, GO (Insured; | | | | |
| Assured Guaranty Municipal Corp.) (Prerefunded) | 7.50 | 9/1/16 | 2,500,000c | 3,267,225 |
| Easton Area School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 7.50 | 4/1/18 | 1,000,000 | 1,238,560 |
| Easton Area School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 7.50 | 4/1/21 | 3,000,000 | 3,684,570 |
| | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Pennsylvania (continued) | | | | |
| Easton Area School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 7.50 | 4/1/22 | 3,000,000 | 3,684,570 |
| Easton Area School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 4/1/23 | 2,260,000 | 2,669,376 |
| Erie County, GO (Insured; National Public Finance Guarantee Corp.) | 5.50 | 9/1/22 | 1,640,000 | 2,113,484 |
| Greater Johnstown School District, GO | 5.00 | 8/1/23 | 3,545,000 | 4,142,120 |
| Lancaster Higher Education Authority, College Revenue | | | | |
| (Franklin and Marshall College Project) | 5.25 | 4/15/16 | 1,815,000 | 1,911,867 |
| Lehigh County General Purpose Authority, | | | | |
| Revenue (Good Shepherd Group) | 5.25 | 11/1/14 | 2,055,000 | 2,168,354 |
| Lower Merion School District, GO | 5.00 | 5/15/18 | 4,735,000 | 5,875,046 |
| Lower Merion School District, GO | 5.00 | 9/1/22 | 2,980,000 | 3,560,504 |
| Lower Merion School District, GO | 5.00 | 5/15/29 | 5,000,000 | 5,213,650 |
| Montgomery County, GO | 5.00 | 12/15/17 | 2,025,000 | 2,493,727 |
| Montgomery County, GO | 5.00 | 12/15/24 | 2,890,000 | 3,489,155 |
| Montgomery County Industrial Development Authority, FHA | | | | |
| Insured Mortgage Revenue (New Regional Medical Center Project) | 5.50 | 8/1/25 | 1,000,000 | 1,182,780 |
| Parkland School District, GO (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.38 | 9/1/14 | 3,110,000 | 3,477,509 |
| Parkland School District, GO (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.38 | 9/1/16 | 1,490,000 | 1,787,270 |
| Pennsylvania, GO | 5.00 | 5/1/20 | 2,195,000 | 2,750,203 |
| Pennsylvania, GO | 5.00 | 7/1/20 | 10,000,000 | 12,559,800 |
| Pennsylvania, GO | 5.00 | 2/15/22 | 1,000,000 | 1,190,670 |
| Pennsylvania, GO | 5.00 | 11/15/23 | 7,500,000 | 9,308,400 |
| Pennsylvania Economic Development Financing Authority, | | | | |
| Governmental LR (Forum Place Project) | 5.00 | 3/1/25 | 1,000,000 | 1,129,490 |
| Pennsylvania Economic Development Financing Authority, | | | | |
| SWDR (Waste Management, Inc. Project) | 4.70 | 11/1/14 | 5,000,000 | 5,382,650 |
| Pennsylvania Higher Educational Facilities | | | | |
| Authority, Revenue (La Salle University) | 5.50 | 5/1/34 | 2,250,000 | 2,282,333 |
| Pennsylvania Higher Educational Facilities | | | | |
| Authority, Revenue (Saint Joseph’s University) | 5.00 | 11/1/25 | 2,010,000 | 2,286,576 |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (State System of Higher Education) | 5.25 | 6/15/24 | 5,000,000 | 6,144,150 |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (The Trustees of the University of Pennsylvania) | 5.00 | 9/1/19 | 5,090,000 | 6,349,317 |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (Thomas Jefferson University) (Insured; AMBAC) | 5.25 | 9/1/17 | 1,700,000 | 2,008,550 |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (Thomas Jefferson University) (Insured; AMBAC) | 5.25 | 9/1/18 | 1,485,000 | 1,767,863 |
| Pennsylvania Housing Finance Agency, SFMR | 5.00 | 10/1/23 | 1,000,000 | 1,074,990 |
| Pennsylvania Intergovernmental Cooperation Authority, | | | | |
| Special Tax Revenue (City of Philadelphia Funding Program) | 5.00 | 6/15/22 | 3,395,000 | 4,076,377 |
52
| | | | |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Pennsylvania (continued) | | | | |
| Pennsylvania State University, GO | 5.00 | 3/1/21 | 2,805,000 | 3,331,162 |
| Pennsylvania State University, GO | 5.00 | 3/1/27 | 2,195,000 | 2,512,419 |
| Pennsylvania Turnpike Commission, Oil Franchise Tax Subordinated | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/21 | 5,000,000 | 5,288,700 |
| Pennsylvania Turnpike Commission, Registration Fee | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 7/15/24 | 5,000,000 | 6,205,050 |
| Pennsylvania Turnpike Commission, Registration Fee | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 7/15/25 | 5,000,000 | 6,253,300 |
| Pennsylvania Turnpike Commission, | | | | |
| Turnpike Revenue (Insured; AMBAC) | 5.00 | 12/1/29 | 5,000,000 | 5,452,950 |
| Pennsylvania Turnpike Commission, | | | | |
| Turnpike Subordinate Revenue | 5.00 | 6/1/26 | 5,000,000 | 5,461,300 |
| Pennsylvania Turnpike Commission, Turnpike Subordinate | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 6.00 | 6/1/28 | 1,500,000 | 1,758,120 |
| Philadelphia, Airport Revenue | 5.00 | 6/15/20 | 1,750,000 | 1,982,575 |
| Philadelphia, Airport Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 6/15/18 | 1,370,000 | 1,612,435 |
| Philadelphia, Water and Wastewater Revenue | 5.00 | 11/1/18 | 1,100,000 | 1,316,216 |
| Philadelphia, Water and Wastewater Revenue | 5.00 | 11/1/24 | 1,040,000 | 1,220,430 |
| Philadelphia, Water and Wastewater Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 7/1/18 | 5,000,000 | 5,561,600 |
| Philadelphia School District, GO | 5.00 | 9/1/20 | 1,805,000 | 2,058,386 |
| Philadelphia School District GO (Insured; AMBAC) | 5.00 | 4/1/17 | 5,000,000 | 5,474,300 |
| Pittsburgh, GO | 5.00 | 9/1/25 | 2,000,000 | 2,279,180 |
| Pittsburgh, GO | 5.00 | 9/1/26 | 5,000,000 | 5,632,050 |
| Pittsburgh School District, GO (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 5.50 | 9/1/16 | 4,000,000 | 4,735,200 |
| Pittsburgh School District, GO (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 5.50 | 9/1/18 | 1,000,000 | 1,223,990 |
| Pocono Mountain School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 9/1/22 | 5,270,000 | 5,826,670 |
| Saint Mary Hospital Authority, Health System | | | | |
| Revenue (Catholic Health East Issue) | 5.00 | 11/15/17 | 2,085,000 | 2,438,720 |
| Saint Mary Hospital Authority, Health System | | | | |
| Revenue (Catholic Health East Issue) | 5.00 | 11/15/21 | 1,000,000 | 1,053,020 |
| Southeastern Pennsylvania Transportation Authority, | | | | |
| Capital Grant Receipts Bonds (Federal Transit Administration | | | | |
| Section 5309 Fixed Guideway Modernization Formula Funds) | 5.00 | 6/1/23 | 2,000,000 | 2,365,440 |
| Southeastern Pennsylvania Transportation Authority, Revenue | 5.00 | 3/1/26 | 3,000,000 | 3,433,140 |
| State Public School Building Authority, College Revenue | | | | |
| (Harrisburg Area Community College Poject) | 5.00 | 10/1/20 | 2,265,000 | 2,576,641 |
| State Public School Building Authority, School | | | | |
| Revenue (Chester Upland School District Project) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 9/15/24 | 5,780,000 | 6,794,621 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Pennsylvania (continued) | | | | | |
| State Public School Building Authority, School | | | | | |
| Revenue (Tuscarora School District Project) | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 4/1/17 | 840,000 | | 879,077 |
| Susquehanna Area Regional Airport Authority, | | | | | |
| Airport System Revenue | 5.38 | 1/1/18 | 5,975,000 | | 5,813,137 |
| Susquehanna Area Regional Airport Authority, | | | | | |
| Airport System Revenue (Insured; AMBAC) | 5.50 | 1/1/20 | 4,370,000 | | 4,390,277 |
| Susquehanna Area Regional Airport Authority, | | | | | |
| Airport System Revenue (Insured; AMBAC) | 5.00 | 1/1/33 | 1,000,000 | | 969,710 |
| University of Pittsburgh—of the Commonwealth System | | | | | |
| of Higher Education, University Capital Project Bonds | 5.50 | 9/15/21 | 2,500,000 | | 3,140,075 |
| University of Pittsburgh—of the Commonwealth System | | | | | |
| of Higher Education, University Capital Project Bonds | 5.00 | 9/15/28 | 1,580,000 | | 1,864,400 |
| Upper Darby School District, GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 5/1/18 | 2,870,000 | | 3,215,950 |
| Upper Merion Area School District, GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 2/15/19 | 1,165,000 | | 1,274,067 |
| West Mifflin Area School District, GO | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 4/1/24 | 1,060,000 | | 1,236,840 |
| Westmoreland County, GO (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 0.00 | 12/1/15 | 1,500,000 | d | 1,361,160 |
| York County, GO (Insured; AMBAC) | 5.00 | 6/1/17 | 1,100,000 | | 1,159,895 |
| York County Solid Waste and Refuse Authority, Solid Waste System | | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.50 | 12/1/14 | 1,000,000 | | 1,127,010 |
| South Carolina—.6% | | | | | |
| Greenville County School District, Installment | | | | | |
| Purchase Revenue (Building Equity Sooner for Tomorrow) | 5.50 | 12/1/18 | 2,000,000 | | 2,502,760 |
| Texas—.4% | | | | | |
| Dallas and Fort Worth, Joint Revenue Improvement Bonds | | | | | |
| (Dallas/Fort Worth International Airport) (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.50 | 11/1/31 | 1,625,000 | | 1,642,436 |
| U.S. Related—11.1% | | | | | |
| Guam, Business Privilege Tax Revenue | 5.00 | 1/1/24 | 1,500,000 | | 1,728,345 |
| Guam, LOR (Section 30) | 5.63 | 12/1/29 | 1,000,000 | | 1,069,850 |
| Puerto Rico Commonwealth, | | | | | |
| Public Improvement GO (Insured; AMBAC) | 5.50 | 7/1/19 | 3,000,000 | | 3,421,680 |
| Puerto Rico Commonwealth, | | | | | |
| Public Improvement GO (Insured; FGIC) | 5.50 | 7/1/18 | 5,000,000 | | 5,729,200 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/14 | 2,500,000 | | 2,703,975 |
| Puerto Rico Electric Power Authority, Power Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 7/1/14 | 5,000,000 | | 5,473,000 |
54
| | | | | |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| U.S. Related (continued) | | | | | |
| Puerto Rico Electric Power Authority, Power Revenue | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/17 | 6,000,000 | | 6,996,960 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/13 | 3,000,000 | | 3,170,490 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/15 | 1,870,000 | | 2,063,508 |
| Puerto Rico Highways and Transportation Authority, | | | | | |
| Highway Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 7/1/13 | 980,000 | | 1,017,005 |
| Puerto Rico Highways and Transportation Authority, Highway | | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/13 | 2,620,000 | | 2,718,931 |
| Puerto Rico Infrastructure Financing Authority, | | | | | |
| Revenue (Ports Authority Project) | 6.00 | 12/15/26 | 2,500,000 | | 2,929,850 |
| Puerto Rico Infrastructure Financing Authority, Special Tax Revenue | 5.00 | 7/1/21 | 5,000,000 | | 5,226,500 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.75 | 8/1/32 | 1,000,000 | b | 979,080 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.25 | 8/1/33 | 500,000 | b | 395,150 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.00 | 8/1/42 | 1,500,000 | | 1,702,815 |
| Total Long-Term Municipal Investments | | | | | |
| (cost $386,330,796) | | | | | 417,298,047 |
| |
| Short-Term Municipal Investments—1.8% | | | | | |
| Colorado—.0% | | | | | |
| Colorado Health Facilities Authority, Revenue (The Visiting Nurse | | | | | |
| Corporation of Colorado, Inc.) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 100,000 | e | 100,000 |
| Pitkin County, IDR, Refunding (Aspen Skiing | | | | | |
| Company Project) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 100,000 | e | 100,000 |
| Florida—.5% | | | | | |
| Jacksonville Health Facilities Authority, HR, Refunding | | | | | |
| (Baptist Medical Center) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 300,000 | e | 300,000 |
| Polk County School Board, COP (Master Lease | | | | | |
| Purchase Agreement) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 1,600,000 | e | 1,600,000 |
| Illinois—.0% | | | | | |
| Quincy, Revenue, Refunding (Blessing Hospital) | | | | | |
| (LOC; JPMorgan Chase Bank) | 0.25 | 3/1/12 | 100,000 | e | 100,000 |
| Massachusetts—.9% | | | | | |
| Massachusetts, GO Notes (Central Artery/Ted Williams | | | | | |
| Tunnel Infrastructure Loan Act of 2000) | | | | | |
| (Liquidity Facility; Bank of America) | 0.19 | 3/1/12 | 3,400,000 | e | 3,400,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Baystate Medical | | | | | |
| Center Issue) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 200,000 | e | 200,000 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund (continued) | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| New Hampshire—.1% | | | | | |
| New Hampshire Health and Education Facilities | | | | | |
| Authority, Revenue (Dartmouth College Issue) | | | | | |
| (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 500,000 | e | 500,000 |
| Pennsylvania—.3% | | | | | |
| Lehigh County General Purpose Authority, HR | | | | | |
| (Lehigh Valley Health Network) (LOC; Bank of America) | 0.20 | 3/1/12 | 1,000,000 | e | 1,000,000 |
| Tennessee—.0% | | | | | |
| Chattanooga Industrial Development Board, Revenue (Hunter | | | | | |
| Museum of American Art Project) (LOC; Bank of America) | 0.58 | 3/7/12 | 100,000 | e | 100,000 |
| Texas—.0% | | | | | |
| Harris County Health Facilities Development Corporation, HR | | | | | |
| (Baylor College of Medicine) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 100,000 | e | 100,000 |
| Total Short-Term Municipal Investments | | | | | |
| (cost $7,500,000) | | | | | 7,500,000 |
| |
| Total Investments (cost $393,830,796) | | | 99.3 | % | 424,798,047 |
| Cash and Receivables (Net) | | | .7 | % | 3,063,165 |
| Net Assets | | | 100.0 | % | 427,861,212 |
|
| a Security exempt from registration under Rule 144A of the Securities Act of 1933.These security may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, this security was valued at $1,448,715 or 0.3% of net assets. |
| b Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity. |
| c These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in |
| escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| d Security issued with a zero coupon. Income is recognized through the accretion of discount. |
| e Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
56
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 22.3 |
| AA | | Aa | | AA | | 43.5 |
| A | | A | | A | | 20.5 |
| BBB | | Baa | | BBB | | 10.2 |
| B | | B | | B | | .6 |
| F1 | | MIG1/P1 | | SP1/A1 | | .9 |
| Not Ratedf | | Not Ratedf | | Not Ratedf | | 2.0 |
| | | | | | | 100.0 |
|
| † Based on total investments. |
| f Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to be of comparable quality to those rated securities in which the |
| fund may invest. |
See notes to financial statements.
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | | |
| | | Market Value | | | Unrealized | |
| BNY Mellon Pennsylvania | | Covered by | | | (Depreciation) | |
| Intermediate Municipal Bond Fund | Contracts | Contracts ($) | | Expiration | at 2/29/2012 | ($) |
| Financial Futures Short | | | | | | |
| U.S. Treasury 10 Year Notes | 90 | (11,813,906 | ) | March 2012 | (144,141 | ) |
| |
| See notes to financial statements. | | | | | | |
58
| | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | |
| |
| |
| |
| |
| BNY Mellon Massachusetts Intermediate Municipal Bond Fund | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments—98.7% | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts—88.7% | | | | |
| Ashland, GO (Insured; AMBAC) | 5.25 | 5/15/21 | 1,305,000 | 1,460,269 |
| Auburn, GO (Insured; AMBAC) | 5.13 | 6/1/20 | 1,225,000 | 1,335,960 |
| Boston, GO | 5.00 | 4/1/15 | 1,905,000 | 2,169,319 |
| Boston, GO | 5.00 | 3/1/20 | 1,700,000 | 2,014,653 |
| Boston, GO | 5.00 | 3/1/21 | 2,000,000 | 2,347,840 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/17 | 2,000,000 | 2,467,140 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/18 | 1,500,000 | 1,873,800 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/19 | 2,170,000 | 2,407,116 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/23 | 3,920,000 | 4,341,714 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/25 | 2,500,000 | 2,981,900 |
| Boston Water and Sewer Commission, General Revenue | 5.00 | 11/1/26 | 2,480,000 | 2,914,422 |
| Brockton, GO (Municipal Purpose Loan) (Insured; AMBAC) | 5.00 | 6/1/19 | 1,430,000 | 1,591,890 |
| Cohasset, GO | 5.00 | 6/15/22 | 895,000 | 979,595 |
| Cohasset, GO | 5.00 | 6/15/23 | 895,000 | 978,307 |
| Everett, GO (Insured; National Public Finance Guarantee Corp.) | 5.38 | 12/15/17 | 1,250,000 | 1,394,000 |
| Falmouth, GO (Municipal Purpose Loan) | 4.00 | 11/15/19 | 625,000 | 739,269 |
| Falmouth, GO (Municipal Purpose Loan) | 4.00 | 11/15/20 | 605,000 | 715,062 |
| Groton-Dunstable Regional School District, GO | 5.00 | 9/1/20 | 725,000 | 883,006 |
| Haverhill, GO (State Qualified Municipal Purpose Loan) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 6/1/16 | 1,580,000 | 1,861,287 |
| Haverhill, GO (State Qualified Municipal Purpose Loan) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 6/1/18 | 505,000 | 586,906 |
| Hopedale, GO (Insured; AMBAC) | 5.00 | 11/15/19 | 650,000 | 712,114 |
| Ipswich, GO (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/14 | 500,000 | 562,575 |
| Lexington, GO | 5.00 | 2/1/17 | 2,030,000 | 2,455,772 |
| Lynnfield, GO (Municipal Purpose Loan) | 5.00 | 7/1/20 | 505,000 | 552,869 |
| Lynnfield, GO (Municipal Purpose Loan) | 5.00 | 7/1/21 | 525,000 | 574,765 |
| Lynnfield, GO (Municipal Purpose Loan) | 5.00 | 7/1/22 | 585,000 | 640,452 |
| Lynnfield, GO (Municipal Purpose Loan) | 5.00 | 7/1/23 | 585,000 | 639,738 |
| Mansfield, GO (Insured; AMBAC) | 5.00 | 8/15/17 | 1,395,000 | 1,585,125 |
| Massachusetts, GO | 5.25 | 8/1/23 | 1,000,000 | 1,298,100 |
| Massachusetts, GO (Consolidated Loan) | 5.50 | 11/1/16 | 1,000,000 | 1,224,640 |
| Massachusetts, GO (Consolidated Loan) | 5.00 | 8/1/20 | 4,000,000 | 4,798,480 |
| Massachusetts, GO (Consolidated Loan) | 5.00 | 4/1/26 | 5,865,000 | 7,073,131 |
| Massachusetts, GO (Consolidated Loan) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 8/1/17 | 1,440,000 | 1,777,896 |
| Massachusetts, GO (Consolidated Loan) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 8/1/22 | 5,825,000 | 6,987,961 |
| Massachusetts, GO (Consolidated Loan) (Insured; FGIC) | 5.50 | 8/1/18 | 1,035,000 | 1,310,165 |
| Massachusetts, GO (Consolidated Loan) (Prerefunded) | 5.00 | 3/1/15 | 1,500,000a | 1,706,520 |
| Massachusetts, GO (Consolidated Loan) (Prerefunded) | 5.00 | 3/1/15 | 1,800,000a | 2,047,824 |
| Massachusetts, GO (Consolidated Loan) (Prerefunded) | 5.00 | 8/1/16 | 1,000,000a | 1,195,120 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Massachusetts, GO (Insured; AMBAC) | 5.50 | 10/1/18 | 225,000 | 285,869 |
| Massachusetts, GO (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 8/1/21 | 2,500,000 | 3,220,100 |
| Massachusetts, GO (Insured; XLCA) | 1.72 | 12/1/12 | 3,110,000b | 3,174,346 |
| Massachusetts, Special Obligation Dedicated Tax | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 1.97 | 1/1/16 | 3,540,000b | 3,686,556 |
| Massachusetts Bay Transportation Authority, Assessment Revenue | 5.00 | 7/1/18 | 4,000,000 | 4,920,920 |
| Massachusetts Bay Transportation Authority, GO | | | | |
| (General Transportation System) (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.25 | 3/1/15 | 1,000,000 | 1,138,590 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.00 | 7/1/15 | 3,500,000 | 4,027,765 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.50 | 7/1/16 | 105,000 | 127,228 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.50 | 7/1/16 | 2,395,000 | 2,902,021 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.25 | 7/1/18 | 1,250,000 | 1,563,725 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.25 | 7/1/21 | 2,000,000 | 2,580,700 |
| Massachusetts Bay Transportation Authority, | | | | |
| Senior Sales Tax Revenue | 5.25 | 7/1/22 | 2,430,000 | 3,144,517 |
| Massachusetts College Building Authority, Project Revenue | 5.00 | 5/1/23 | 1,000,000 | 1,181,100 |
| Massachusetts College Building Authority, Revenue | 5.00 | 5/1/24 | 2,500,000 | 3,100,825 |
| Massachusetts Development Finance Agency, | | | | |
| Education Revenue (Dexter School Project) | 5.00 | 5/1/23 | 1,400,000 | 1,535,632 |
| Massachusetts Development Finance Agency, | | | | |
| Education Revenue (Dexter School Project) | 5.00 | 5/1/24 | 1,465,000 | 1,601,040 |
| Massachusetts Development Finance Agency, | | | | |
| Higher Education Revenue (Emerson College Issue) | 5.00 | 1/1/16 | 1,000,000 | 1,106,590 |
| Massachusetts Development Finance Agency, | | | | |
| Higher Education Revenue (Emerson College Issue) | 5.00 | 1/1/19 | 1,055,000 | 1,166,608 |
| Massachusetts Development Finance Agency, | | | | |
| Higher Education Revenue (Emerson College Issue) | 5.00 | 1/1/22 | 2,000,000 | 2,158,720 |
| Massachusetts Development Finance Agency, Recovery Zone | | | | |
| Facility Revenue (Dominion Energy Brayton Point Issue) | 2.25 | 9/1/16 | 2,560,000 | 2,637,133 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Boston College Issue) | 5.00 | 7/1/20 | 1,000,000 | 1,168,000 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (College of the Holy Cross Issue) | 5.00 | 9/1/21 | 1,800,000 | 2,130,876 |
| Massachusetts Development Finance Agency, Revenue (Combined | | | | |
| Jewish Philanthropies of Greater Boston, Inc. Project) | 5.25 | 2/1/22 | 440,000 | 445,918 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Curry College Issue) (Insured; ACA) | 4.75 | 3/1/20 | 530,000 | 551,142 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Curry College Issue) (Insured; ACA) | 5.25 | 3/1/26 | 1,000,000 | 1,036,850 |
60
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Curry College Issue) (Insured; ACA) | 5.00 | 3/1/36 | 1,000,000 | 1,007,570 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Emerson College Issue) | 4.00 | 1/1/14 | 225,000 | 233,723 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Massachusetts College of Pharmacy and Allied Health | | | | |
| Sciences Issue) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/24 | 2,750,000 | 2,951,465 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Massachusetts College of Pharmacy and Allied Health | | | | |
| Sciences Issue) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/27 | 1,000,000 | 1,063,050 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Olin College Issue) (Insured; XLCA) | 5.25 | 7/1/33 | 5,000,000 | 5,107,000 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/25 | 1,825,000 | 2,176,860 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/26 | 2,000,000 | 2,360,200 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (The Broad Institute Issue) | 5.25 | 4/1/23 | 2,900,000 | 3,456,336 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (The Broad Institute Issue) | 5.25 | 4/1/24 | 2,500,000 | 2,953,900 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Tufts Medical Center Issue) | 5.00 | 1/1/15 | 600,000 | 644,856 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (Tufts Medical Center Issue) | 5.00 | 1/1/17 | 925,000 | 1,028,637 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (UMass Memorial Issue) | 5.00 | 7/1/17 | 2,500,000 | 2,808,475 |
| Massachusetts Development Finance Agency, | | | | |
| Revenue (UMass Memorial Issue) | 5.00 | 7/1/19 | 2,000,000 | 2,258,140 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Worcester City Campus Corporation Issue) | | | | |
| (University of Massachusetts Project) | 4.00 | 10/1/17 | 730,000 | 850,041 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Worcester City Campus Corporation Issue) | | | | |
| (University of Massachusetts Project) | 5.00 | 10/1/19 | 910,000 | 1,130,266 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Worcester City Campus Corporation Issue) | | | | |
| (University of Massachusetts Project) | 5.00 | 10/1/20 | 905,000 | 1,130,001 |
| Massachusetts Development Finance Agency, Revenue | | | | |
| (Worcester City Campus Corporation Issue) | | | | |
| (University of Massachusetts Project) | 5.00 | 10/1/21 | 830,000 | 1,039,442 |
| Massachusetts Development Finance Agency, | | | | |
| RRR (Waste Management, Inc. Project) | 3.40 | 12/1/12 | 1,250,000 | 1,271,137 |
| Massachusetts Development Finance Agency, | | | | |
| SWDR (Dominion Energy Brayton Point Issue) | 5.75 | 5/1/19 | 2,000,000 | 2,356,560 |
| Massachusetts Development Finance Agency, | | | | |
| SWDR (Waste Management, Inc. Project) | 5.45 | 6/1/14 | 1,000,000 | 1,081,220 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Berklee College of Music Issue) | 5.00 | 10/1/24 | 2,155,000 | 2,398,300 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Berklee College of Music Issue) | 5.00 | 10/1/32 | 2,000,000 | 2,150,500 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Berklee College of Music Issue) | 5.00 | 10/1/37 | 3,250,000 | 3,413,703 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Cape Cod Healthcare Obligated Group Issue) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.13 | 11/15/35 | 1,000,000 | 1,068,820 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (CareGroup Issue) | 5.00 | 7/1/18 | 590,000 | 694,678 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (CareGroup Issue) (Capital Asset Program) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.38 | 2/1/27 | 1,650,000 | 1,855,277 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (CareGroup Issue) (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 5.25 | 7/1/20 | 1,000,000 | 1,160,570 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (CareGroup Issue) (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 5.25 | 7/1/23 | 1,000,000 | 1,140,740 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Dana-Farber Cancer Institute Issue) | 5.25 | 12/1/22 | 2,750,000 | 3,149,933 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Dana-Farber Cancer Institute Issue) | 5.25 | 12/1/27 | 2,000,000 | 2,215,820 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Dana-Farber Cancer Institute Issue) | 5.00 | 12/1/37 | 2,500,000 | 2,648,850 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Dartmouth-Hitchcock Obligated Group Issue) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.13 | 8/1/22 | 2,000,000 | 2,018,720 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Harvard University Issue) | 5.00 | 12/15/25 | 2,500,000 | 3,029,900 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Harvard University Issue) | 5.00 | 12/15/27 | 3,230,000 | 3,865,503 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Isabella Stewart Gardner Museum Issue) | 5.00 | 5/1/26 | 2,525,000 | 2,854,159 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Isabella Stewart Gardner Museum Issue) | 5.00 | 5/1/27 | 1,000,000 | 1,123,220 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Massachusetts Eye and Ear Infirmary Issue) | 5.00 | 7/1/14 | 500,000 | 529,910 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Massachusetts Eye and Ear Infirmary Issue) | 5.00 | 7/1/15 | 500,000 | 540,205 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Massachusetts Institute of Technology Issue) | 5.50 | 7/1/22 | 1,500,000 | 2,023,935 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Massachusetts Institute of Technology Issue) | 5.00 | 7/1/23 | 3,335,000 | 4,359,245 |
62
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Massachusetts Institute of Technology Issue) | 5.00 | 7/1/38 | 1,000,000 | 1,154,290 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Milford Regional Medical Center Issue) | 5.00 | 7/15/22 | 500,000 | 517,980 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Northeastern University Issue) | 5.00 | 10/1/24 | 2,495,000 | 2,923,242 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Northeastern University Issue) | 5.63 | 10/1/29 | 3,000,000 | 3,484,440 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Northeastern University Issue) | 5.00 | 10/1/30 | 3,000,000 | 3,375,060 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/16 | 1,045,000 | 1,100,082 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/18 | 1,500,000 | 1,778,520 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/21 | 1,235,000 | 1,441,998 |
| Massachusetts Health and Educational Facilities Authority, | | | | |
| Revenue (Partners HealthCare System Issue) | 5.00 | 7/1/22 | 250,000 | 290,390 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Simmons College Issue) | 7.50 | 10/1/22 | 1,000,000 | 1,266,300 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Simmons College Issue) | 8.00 | 10/1/29 | 1,800,000 | 2,094,984 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Simmons College Issue) | 8.00 | 10/1/39 | 1,500,000 | 1,724,910 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Tufts University Issue) | 5.25 | 8/15/23 | 1,000,000 | 1,176,500 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Tufts University Issue) | 5.38 | 8/15/38 | 2,000,000 | 2,347,980 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (UMass Memorial Issue) | 5.25 | 7/1/25 | 2,000,000 | 2,074,760 |
| Massachusetts Health and Educational Facilities | | | | |
| Authority, Revenue (Wellesley College Issue) | 5.00 | 7/1/24 | 1,000,000 | 1,054,090 |
| Massachusetts Housing Finance Agency, Housing Revenue | 4.00 | 6/1/19 | 3,430,000 | 3,663,343 |
| Massachusetts Housing Finance Agency, Housing Revenue | 5.13 | 12/1/34 | 200,000 | 201,580 |
| Massachusetts Industrial Finance Agency, Education Revenue | | | | |
| (Saint John’s High School of Worcester County, Inc. Issue) | 5.70 | 6/1/18 | 1,290,000 | 1,293,212 |
| Massachusetts Municipal Wholesale Electric Company, | | | | |
| Power Supply Project Revenue (Project Number 6 Issue) | 5.00 | 7/1/15 | 3,000,000 | 3,392,520 |
| Massachusetts Port Authority, Passenger Facility Charge | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/15 | 550,000 | 621,962 |
| Massachusetts Port Authority, Revenue | 5.00 | 7/1/28 | 2,500,000 | 2,867,350 |
| Massachusetts Port Authority, Revenue (Insured; AMBAC) | 5.00 | 7/1/19 | 5,000,000 | 5,631,350 |
| Massachusetts School Building Authority, | | | | |
| Dedicated Sales Tax Revenue (Insured; AMBAC) | 5.00 | 8/15/16 | 2,720,000 | 3,243,382 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Massachusetts School Building Authority, | | | | |
| Dedicated Sales Tax Revenue (Insured; AMBAC) | 5.00 | 8/15/20 | 4,000,000 | 4,710,760 |
| Massachusetts School Building Authority, Dedicated Sales | | | | |
| Tax Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 8/15/15 | 1,900,000 | 2,192,866 |
| Massachusetts School Building Authority, Dedicated Sales | | | | |
| Tax Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 8/15/21 | 2,000,000 | 2,279,180 |
| Massachusetts School Building Authority, Dedicated Sales | | | | |
| Tax Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 8/15/24 | 205,000 | 231,742 |
| Massachusetts School Building Authority, Dedicated Sales | | | | |
| Tax Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 8/15/27 | 1,500,000 | 1,661,160 |
| Massachusetts School Building Authority, | | | | |
| Senior Dedicated Sales Tax Revenue | 5.00 | 10/15/27 | 4,655,000 | 5,599,686 |
| Massachusetts Turnpike Authority, Turnpike Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 1/1/20 | 5,000,000 | 5,864,850 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.63 | 8/1/13 | 25,000 | 25,114 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.50 | 8/1/14 | 30,000 | 30,133 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.25 | 8/1/17 | 170,000 | 188,675 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.00 | 8/1/18 | 75,000 | 76,460 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.00 | 8/1/21 | 2,625,000 | 3,077,340 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.25 | 8/1/23 | 1,500,000 | 1,964,790 |
| Massachusetts Water Pollution Abatement Trust (Pool Program) | 5.00 | 8/1/32 | 2,000,000 | 2,032,660 |
| Massachusetts Water Pollution Abatement Trust, | | | | |
| State Revolving Fund Revenue | 5.00 | 8/1/18 | 1,900,000 | 2,360,769 |
| Massachusetts Water Pollution Abatement Trust, | | | | |
| Water Pollution Abatement Revenue (MWRA Program) | 5.75 | 8/1/29 | 155,000 | 155,600 |
| Massachusetts Water Pollution Abatement Trust, Water Pollution | | | | |
| Abatement Revenue (South Essex Sewer District Loan Program) | 6.38 | 2/1/15 | 130,000 | 130,668 |
| Massachusetts Water Resources Authority, General Revenue | 5.00 | 8/1/19 | 2,475,000 | 3,080,682 |
| Massachusetts Water Resources Authority, General Revenue | 5.00 | 8/1/27 | 5,000,000 | 5,939,350 |
| Massachusetts Water Resources Authority, General Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 8/1/18 | 500,000 | 623,120 |
| Massachusetts Water Resources Authority, General Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/1/19 | 1,500,000 | 1,803,735 |
| Massachusetts Water Resources Authority, General Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/1/21 | 1,000,000 | 1,177,060 |
| Massachusetts Water Resources Authority, General Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/1/24 | 2,500,000 | 2,891,275 |
| Middleborough, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 5.00 | 12/15/16 | 1,000,000 | 1,190,250 |
| Middleborough, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 5.00 | 12/15/18 | 1,275,000 | 1,480,734 |
| Milton, GO School Bonds | 5.00 | 3/1/23 | 500,000 | 558,155 |
| Milton, GO School Bonds | 5.00 | 3/1/24 | 500,000 | 555,250 |
| Milton, GO School Bonds | 5.00 | 3/1/25 | 500,000 | 555,250 |
64
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Massachusetts (continued) | | | | |
| Northampton, GO (Insured; National | | | | |
| Public Finance Guarantee Corp.) | 5.13 | 10/15/16 | 1,985,000 | 2,220,342 |
| Northbridge, GO (Insured; AMBAC) | 5.25 | 2/15/17 | 60,000 | 60,842 |
| Pembroke, GO (Insured; National Public Finance Guarantee Corp.) | 5.00 | 8/1/20 | 960,000 | 1,079,606 |
| Randolph, GO (Insured; AMBAC) | 5.00 | 9/1/17 | 1,045,000 | 1,149,448 |
| Randolph, GO (Insured; AMBAC) | 5.00 | 9/1/24 | 490,000 | 520,503 |
| Springfield Water and Sewer Commission, | | | | |
| General Revenue (Insured; AMBAC) | 5.00 | 7/15/22 | 1,175,000 | 1,294,368 |
| Springfield Water and Sewer Commission, | | | | |
| General Revenue (Insured; AMBAC) | 5.00 | 7/15/23 | 1,235,000 | 1,354,338 |
| University of Massachusetts Building Authority, Revenue | 6.88 | 5/1/14 | 1,500,000 | 1,606,110 |
| Waltham, GO (Municipal Purpose Loan) | 5.00 | 2/1/19 | 1,195,000 | 1,480,091 |
| Worcester, GO (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/15/16 | 1,000,000 | 1,111,620 |
| Worcester, GO (Insured; National Public Finance Guarantee Corp.) | 5.25 | 8/15/17 | 1,000,000 | 1,106,310 |
| Worcester, GO (Insured; National Public Finance Guarantee Corp.) | 5.00 | 4/1/18 | 625,000 | 690,238 |
| U.S. Related—10.0% | | | | |
| Guam, Business Privilege Tax Revenue | 5.00 | 1/1/25 | 1,500,000 | 1,705,260 |
| Guam, Hotel Occupancy Tax Revenue | 6.00 | 11/1/26 | 500,000 | 575,825 |
| Guam, LOR (Section 30) | 5.63 | 12/1/29 | 1,000,000 | 1,069,850 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.50 | 7/1/18 | 2,500,000 | 2,864,600 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.25 | 7/1/22 | 1,500,000 | 1,586,175 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/14 | 500,000 | 540,795 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/15 | 1,135,000 | 1,259,351 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/19 | 1,000,000 | 1,140,560 |
| Puerto Rico Electric Power Authority, Power Revenue | 5.25 | 7/1/23 | 2,000,000 | 2,271,260 |
| Puerto Rico Electric Power Authority, Power Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/17 | 1,000,000 | 1,100,320 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/13 | 3,000,000 | 3,170,490 |
| Puerto Rico Government Development Bank, Senior Notes | 5.25 | 1/1/15 | 2,000,000 | 2,138,120 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/15 | 1,090,000 | 1,202,793 |
| Puerto Rico Highways and Transportation | | | | |
| Authority, Highway Revenue (Insured; FGIC) | 5.50 | 7/1/16 | 3,265,000 | 3,965,604 |
| Puerto Rico Highways and Transportation Authority, | | | | |
| Transportation Revenue (Insured; FGIC) | 5.25 | 7/1/15 | 305,000 | 319,204 |
| Puerto Rico Highways and Transportation Authority, | | | | |
| Transportation Revenue (Insured; FGIC) | 5.25 | 7/1/16 | 330,000 | 344,335 |
| Puerto Rico Infrastructure Financing Authority, | | | | |
| Revenue (Ports Authority Project) | 6.00 | 12/15/26 | 2,500,000 | 2,929,850 |
| Puerto Rico Infrastructure Financing | | | | |
| Authority, Special Tax Revenue | 5.00 | 7/1/20 | 2,260,000 | 2,373,881 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
BNY Mellon Massachusetts Intermediate Municipal Bond Fund (continued)
| | | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| U.S. Related (continued) | | | | | |
| Puerto Rico Public Buildings Authority, | | | | | |
| Government Facilities Revenue | 5.75 | 7/1/22 | 1,780,000 | | 1,948,459 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.75 | 8/1/32 | 1,000,000 | c | 979,080 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.25 | 8/1/33 | 750,000 | c | 592,725 |
| Puerto Rico Sales Tax Financing Corporation, | | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.00 | 8/1/42 | 1,500,000 | | 1,702,815 |
| Total Long-Term Municipal Investments | | | | | |
| (cost $325,824,294) | | | | | 353,543,047 |
| |
| Short-Term Municipal Investments—2.3% | | | | | |
| Massachusetts; | | | | | |
| Massachusetts, GO Notes (Central Artery/Ted Williams | | | | | |
| Tunnel Infrastructure Loan Act of 2000) | | | | | |
| (Liquidity Facility; Bank of America) | 0.19 | 3/1/12 | 2,075,000 | d | 2,075,000 |
| Massachusetts Health and Educational Facilities Authority, Revenue | | | | | |
| (Baystate Medical Center Issue) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 300,000 | d | 300,000 |
| Massachusetts Health and Educational Facilities Authority, Revenue | | | | | |
| (Children’s Hospital Issue) (LOC; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 2,800,000 | d | 2,800,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Harvard University Issue) | 0.07 | 3/1/12 | 300,000 | d | 300,000 |
| Massachusetts Health and Educational Facilities Authority, Revenue | | | | | |
| (Museum of Fine Arts Issue) (Liquidity Facility; Bank of America) | 0.20 | 3/1/12 | 200,000 | d | 200,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Partners HealthCare System Issue) | 0.09 | 3/1/12 | 100,000 | d | 100,000 |
| Massachusetts Health and Educational Facilities Authority, Revenue | | | | | |
| (Tufts University Issue) (Liquidity Facility; Bank of America) | 0.12 | 3/1/12 | 200,000 | d | 200,000 |
| Massachusetts Health and Educational Facilities Authority, Revenue | | | | | |
| (Tufts University Issue) (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 1,500,000 | d | 1,500,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Wellesley College Issue) | 0.09 | 3/1/12 | 885,000 | d | 885,000 |
| Total Short-Term Municipal Investments | | | | | |
| (cost $8,360,000) | | | | | 8,360,000 |
| |
| Total Investments (cost $334,184,294) | | | 101.0 | % | 361,903,047 |
| Liabilities, Less Cash and Receivables | | | (1.0 | %) | (3,760,606) |
| Net Assets | | | 100.0 | % | 358,142,441 |
|
| a These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in |
| escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| b Variable rate security—interest rate subject to periodic change. |
| c Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity. |
| d Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
66
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 29.8 |
| AA | | Aa | | AA | | 38.8 |
| A | | A | | A | | 19.2 |
| BBB | | Baa | | BBB | | 10.8 |
| F1 | | MIG1/P1 | | SP1/A1 | | 1.0 |
| F2 | | VMIG2/MIG3/P2 | | SP2/A2 | | .4 |
| | | | | | | 100.0 |
| |
| † Based on total investments. | | | | | |
| See notes to financial statements. | | | | | |
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | | |
| | | Market Value | | | Unrealized | |
| BNY Mellon Massachusetts | | Covered by | | | (Depreciation) | |
| Intermediate Municipal Bond Fund | Contracts | Contracts ($) | | Expiration | at 2/29/2012 | ($) |
| Financial Futures Short | | | | | | |
| U.S. Treasury 10 Year Notes | 70 | (9,188,594 | ) | March 2012 | (112,109 | ) |
| |
| See notes to financial statements. | | | | | | |
68
| | | | | |
| STATEMENT OF INVESTMENTS | | | | |
| February 29, 2012 (Unaudited) | | | | |
| |
| |
| |
| |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments—98.2% | Rate (%) | Date | Amount ($) | Value ($) |
| New York—88.0% | | | | |
| Albany County Airport Authority, Airport Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 12/15/23 | 1,500,000 | 1,723,290 |
| Albany Industrial Development Agency, Civic Facility | | | | |
| Revenue (Saint Peter’s Hospital of the City of Albany Project) | 5.75 | 11/15/22 | 2,500,000 | 2,830,075 |
| Erie County Fiscal Stability Authority, | | | | |
| Sales Tax and State Aid Secured Revenue | 5.00 | 12/1/24 | 2,000,000 | 2,422,500 |
| Erie County Industrial Development Agency, Revenue | | | | |
| (City School District of the City of Buffalo Project) | 5.00 | 5/1/17 | 2,500,000a | 2,968,775 |
| Katonah-Lewisboro Union Free School District, GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 9/15/15 | 1,000,000a | 1,162,730 |
| Long Island Power Authority, Electric System General Revenue | 5.25 | 6/1/14 | 2,000,000 | 2,203,640 |
| Long Island Power Authority, Electric System General Revenue | 5.00 | 5/1/21 | 1,000,000 | 1,184,120 |
| Long Island Power Authority, Electric System General | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 12/1/18 | 1,000,000 | 1,149,430 |
| Metropolitan Transportation Authority, Dedicated Tax Fund | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/28 | 5,000,000 | 5,764,700 |
| Metropolitan Transportation Authority, Transportation Revenue | 5.00 | 11/15/17 | 1,000,000 | 1,158,900 |
| Nassau County, GO (General Improvement) | 4.00 | 10/1/16 | 1,545,000 | 1,734,417 |
| Nassau County, GO (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/22 | 1,000,000 | 1,136,890 |
| Nassau County Interim Finance Authority, | | | | |
| Sales Tax Secured Revenue (Insured; AMBAC) | 5.00 | 11/15/16 | 1,500,000 | 1,612,305 |
| Nassau County Interim Finance Authority, | | | | |
| Sales Tax Secured Revenue (Insured; AMBAC) | 5.00 | 11/15/17 | 1,500,000 | 1,610,970 |
| Nassau County Interim Finance Authority, Sales Tax Secured | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.00 | 11/15/16 | 1,000,000 | 1,156,010 |
| Nassau County Sewer and Storm Water Finance | | | | |
| Authority, System Revenue (Insured; | | | | |
| Berkshire Hathaway Assurance Corporation) | 5.38 | 11/1/28 | 1,000,000 | 1,170,610 |
| New York City, GO | 5.00 | 8/1/17 | 1,535,000 | 1,854,925 |
| New York City, GO | 5.00 | 8/1/18 | 1,000,000 | 1,161,210 |
| New York City, GO | 5.25 | 9/1/20 | 1,000,000 | 1,213,500 |
| New York City, GO | 5.13 | 12/1/22 | 1,000,000 | 1,196,100 |
| New York City, GO | 5.25 | 9/1/23 | 1,000,000 | 1,177,630 |
| New York City, GO (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 4/1/18 | 1,000,000 | 1,125,760 |
| New York City Industrial Development Agency, Civic Facility | | | | |
| Revenue (United Jewish Appeal—Federation of | | | | |
| Jewish Philanthropies of New York, Inc. Project) | 5.00 | 7/1/27 | 1,250,000a | 1,348,363 |
| New York City Industrial Development Agency, PILOT | | | | |
| Revenue (Queens Baseball Stadium Project) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 6.50 | 1/1/46 | 325,000 | 368,703 |
| New York City Industrial Development Agency, PILOT | | | | |
| Revenue (Yankee Stadium Project) (Insured; | | | | |
| Assured Guaranty Municipal Corp.) | 7.00 | 3/1/49 | 1,000,000 | 1,183,390 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New York (continued) | | | | |
| New York City Industrial Development Agency, Special Revenue | | | | |
| (New York City—New York Stock Exchange Project) | 5.00 | 5/1/21 | 1,000,000 | 1,170,490 |
| New York City Municipal Water Finance Authority, | | | | |
| Water and Sewer System Revenue | 5.00 | 6/15/22 | 1,000,000 | 1,094,520 |
| New York City Municipal Water Finance Authority, | | | | |
| Water and Sewer System Revenue | 5.75 | 6/15/40 | 1,275,000 | 1,482,226 |
| New York City Municipal Water Finance Authority, Water and | | | | |
| Sewer System Second General Resolution Revenue | 5.00 | 6/15/20 | 2,500,000 | 2,983,525 |
| New York City Municipal Water Finance Authority, Water and | | | | |
| Sewer System Second General Resolution Revenue | 5.00 | 6/15/26 | 1,200,000 | 1,442,976 |
| New York City Transitional Finance Authority, Building Aid Revenue | 5.25 | 1/15/25 | 1,545,000a | 1,806,908 |
| New York City Transitional Finance Authority, Building Aid Revenue | 5.00 | 7/15/25 | 3,095,000 | 3,700,444 |
| New York City Transitional Finance Authority, Building Aid Revenue | 5.25 | 1/15/27 | 1,650,000 | 1,909,644 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Revenue | 5.50 | 11/15/17 | 5,000 | 5,182 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Revenue | 5.00 | 8/1/22 | 2,000,000 | 2,316,800 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Revenue | 5.00 | 11/1/24 | 2,000,000 | 2,441,180 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Subordinate Revenue | 5.00 | 11/1/18 | 1,750,000 | 2,155,965 |
| New York City Transitional Finance Authority, | | | | |
| Future Tax Secured Subordinate Revenue | 4.00 | 2/1/29 | 2,000,000 | 2,139,980 |
| New York City Trust for Cultural Resources, Revenue | | | | |
| (Lincoln Center for the Performing Arts, Inc.) | 5.75 | 12/1/16 | 1,000,000 | 1,203,160 |
| New York City Trust for Cultural Resources, | | | | |
| Revenue (The Juilliard School) | 5.00 | 1/1/34 | 2,000,000a | 2,225,320 |
| New York City Trust for Cultural Resources, | | | | |
| Revenue (The Juilliard School) | 5.00 | 1/1/39 | 2,500,000a | 2,754,150 |
| New York City Trust for Cultural Resources, | | | | |
| Revenue (The Museum of Modern Art) | 5.00 | 4/1/25 | 1,150,000 | 1,325,363 |
| New York City Trust for Cultural Resources, | | | | |
| Revenue (The Museum of Modern Art) | 5.00 | 4/1/31 | 1,000,000 | 1,113,370 |
| New York City Trust for Cultural Resources, | | | | |
| Revenue (Whitney Museum of American Art) | 5.00 | 7/1/21 | 2,000,000 | 2,392,500 |
| New York Liberty Development Corporation, | | | | |
| Revenue (Goldman Sachs Headquarters Issue) | 5.00 | 10/1/15 | 3,175,000 | 3,547,046 |
| New York Local Government Assistance | | | | |
| Corporation, Senior Lien Revenue | 5.00 | 4/1/18 | 2,500,000 | 2,983,950 |
| New York Local Government Assistance | | | | |
| Corporation, Subordinate Lien Revenue | 5.00 | 4/1/19 | 2,500,000 | 3,126,375 |
| New York State, GO | 5.00 | 3/1/19 | 1,000,000 | 1,173,390 |
| New York State, GO | 5.00 | 12/15/21 | 2,090,000 | 2,660,277 |
| New York State, GO | 5.00 | 2/15/26 | 2,600,000 | 3,024,450 |
70
| | | | | |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund (continued) | | | |
| |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| New York (continued) | | | | | |
| New York State Dormitory Authority, Consolidated Fifth | | | | | |
| General Resolution Revenue (City University System) | 5.00 | 7/1/19 | 1,000,000 | a | 1,135,870 |
| New York State Dormitory Authority, Consolidated | | | | | |
| Revenue (City University System) (Insured; FGIC) | 5.75 | 7/1/18 | 2,370,000 | a | 2,719,267 |
| New York State Dormitory Authority, LR | | | | | |
| (State University Dormitory Facilities Issue) | 5.00 | 7/1/18 | 1,000,000 | a | 1,117,020 |
| New York State Dormitory Authority, Mental Health | | | | | |
| Services Facilities Improvement Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 2/15/17 | 1,460,000 | | 1,731,385 |
| New York State Dormitory Authority, Mental Health | | | | | |
| Services Facilities Improvement Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 2/15/27 | 2,005,000 | | 2,254,322 |
| New York State Dormitory Authority, | | | | | |
| Revenue (Columbia University) | 5.00 | 7/1/18 | 1,500,000 | a | 1,767,135 |
| New York State Dormitory Authority, Revenue (Convent of the | | | | | |
| Sacred Heart) (Insured; Assured Guaranty Municipal Corp.) | 5.63 | 11/1/35 | 1,000,000 | a | 1,154,830 |
| New York State Dormitory Authority, Revenue (Cornell University) | 5.00 | 7/1/28 | 3,305,000 | a | 3,913,781 |
| New York State Dormitory Authority, Revenue (Fordham University) | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/18 | 405,000 | a | 409,609 |
| New York State Dormitory Authority, Revenue | | | | | |
| (Memorial Sloan-Kettering Cancer Center) | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/23 | 2,000,000 | | 2,562,940 |
| New York State Dormitory Authority, Revenue | | | | | |
| (Memorial Sloan-Kettering Cancer Center) (Insured; | | | | | |
| National Public Finance Guarantee Corp.) (Prerefunded) | 5.00 | 7/1/13 | 3,250,000 | b | 3,456,440 |
| New York State Dormitory Authority, Revenue | | | | | |
| (Mount Sinai Hospital Obligated Group) | 5.00 | 7/1/26 | 3,000,000 | | 3,287,640 |
| New York State Dormitory Authority, Revenue (New York University) | 5.25 | 7/1/34 | 2,650,000 | a | 2,994,394 |
| New York State Dormitory Authority, Revenue (New York | | | | | |
| University) (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/21 | 1,500,000 | a | 1,636,335 |
| New York State Dormitory Authority, | | | | | |
| Revenue (Rochester Institute of Technology) | 5.00 | 7/1/23 | 1,000,000 | a | 1,167,830 |
| New York State Dormitory Authority, Revenue | | | | | |
| (School Districts Revenue Financing Program) | 5.00 | 10/1/18 | 2,000,000 | a | 2,401,020 |
| New York State Dormitory Authority, Revenue | | | | | |
| (State University Educational Facilities) | | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.25 | 5/15/15 | 500,000 | a | 552,070 |
| New York State Dormitory Authority, | | | | | |
| Revenue (The Rockefeller University) | 5.00 | 7/1/25 | 1,000,000 | a | 1,179,120 |
| New York State Dormitory Authority, | | | | | |
| Revenue (The Rockefeller University) | 5.00 | 7/1/40 | 3,000,000 | a | 3,328,830 |
| New York State Dormitory Authority, Revenue (Vassar College) | 5.00 | 7/1/15 | 675,000 | a | 764,032 |
| New York State Dormitory Authority, | | | | | |
| Revenue (Yeshiva University) | 5.00 | 11/1/20 | 3,190,000 | a | 3,726,399 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New York (continued) | | | | |
| New York State Dormitory Authority, Secured | | | | |
| HR (The Bronx-Lebanon Hospital Center) | 4.00 | 8/15/14 | 1,000,000 | 1,079,590 |
| New York State Dormitory Authority, | | | | |
| State Personal Income Tax Revenue (Education) | 5.00 | 3/15/16 | 1,000,000a | 1,085,060 |
| New York State Dormitory Authority, | | | | |
| State Personal Income Tax Revenue (Education) | 5.75 | 3/15/36 | 1,000,000a | 1,173,090 |
| New York State Dormitory Authority, Third General Resolution | | | | |
| Revenue (State University Educational Facilities Issue) | 5.00 | 5/15/25 | 2,500,000a | 3,007,100 |
| New York State Environmental Facilities Corporation, State Clean | | | | |
| Water and Drinking Water Revolving Funds Revenue | | | | |
| (New York City Municipal Water Finance Authority Projects) | 5.00 | 6/15/30 | 1,000,000 | 1,084,780 |
| New York State Environmental Facilities Corporation, | | | | |
| State Water Pollution Control Revolving Fund Revenue | | | | |
| (New York City Municipal Water Finance Authority Project) | 7.00 | 6/15/12 | 50,000 | 50,292 |
| New York State Medical Care Facilities Finance Agency, | | | | |
| Secured Mortgage Revenue (Collateralized; SONYMA) | 6.38 | 11/15/20 | 230,000 | 230,835 |
| New York State Mortgage Agency, Homeowner Mortgage Revenue | 5.38 | 10/1/17 | 235,000 | 235,531 |
| New York State Municipal Bond Bank Agency, Recovery Act | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 5/15/16 | 2,000,000 | 2,304,640 |
| New York State Power Authority, Revenue (Insured; FGIC) | 5.00 | 11/15/20 | 1,000,000 | 1,148,710 |
| New York State Thruway Authority, | | | | |
| General Revenue (Insured; AMBAC) | 5.00 | 1/1/19 | 1,000,000 | 1,113,610 |
| New York State Thruway Authority, Second General | | | | |
| Highway and Bridge Trust Fund Bonds (Insured; AMBAC) | 5.00 | 4/1/25 | 2,000,000 | 2,210,620 |
| New York State Thruway Authority, State | | | | |
| Personal Income Tax Revenue (Transportation) | 5.00 | 3/15/26 | 2,200,000 | 2,625,634 |
| New York State Urban Development | | | | |
| Corporation, Service Contract Revenue | 5.00 | 1/1/16 | 2,000,000 | 2,309,940 |
| New York State Urban Development | | | | |
| Corporation, Service Contract Revenue | 5.25 | 1/1/24 | 2,375,000 | 2,721,869 |
| Onondaga County Trust for Cultural Resources, | | | | |
| Revenue (Syracuse University Project) | 5.00 | 12/1/19 | 2,500,000a | 3,045,275 |
| Orange County, GO | 5.00 | 7/15/19 | 1,000,000 | 1,136,520 |
| Orange County, GO | 5.00 | 7/15/20 | 1,000,000 | 1,135,450 |
| Patchogue-Medford Union Free School District, | | | | |
| GO (Insured; Assured Guaranty Municipal Corp.) | 4.00 | 10/1/21 | 1,555,000a | 1,731,461 |
| Port Authority of New York and New Jersey (Consolidated Bonds, | | | | |
| 125th Series) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 10/15/19 | 2,000,000 | 2,031,000 |
| Port Authority of New York and New Jersey (Consolidated Bonds, | | | | |
| 128th Series) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 11/1/18 | 1,000,000 | 1,039,150 |
| Port Authority of New York and New Jersey (Consolidated Bonds, | | | | |
| 140th Series) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 12/1/19 | 1,000,000 | 1,140,670 |
| Port Authority of New York and New Jersey | | | | |
| (Consolidated Bonds, 142nd Series) | 5.00 | 7/15/21 | 1,000,000 | 1,141,540 |
72
| | | | | |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund (continued) | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New York (continued) | | | | |
| Sales Tax Asset Receivable Corporation, | | | | |
| Sales Tax Asset Revenue (Insured; AMBAC) | 5.00 | 10/15/29 | 2,500,000 | 2,733,875 |
| Sales Tax Asset Receivable Corporation, | | | | |
| Sales Tax Asset Revenue (Insured; | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 10/15/25 | 1,450,000 | 1,602,235 |
| Suffolk County Industrial Development Agency, Civic Facility | | | | |
| Revenue (New York Institute of Technology Project) | 5.00 | 3/1/26 | 750,000a | 773,978 |
| Triborough Bridge and Tunnel Authority, | | | | |
| General Purpose Revenue (Prerefunded) | 5.25 | 1/1/22 | 1,000,000b | 1,310,310 |
| Triborough Bridge and Tunnel Authority, General Revenue | 5.25 | 11/15/15 | 1,000,000 | 1,176,570 |
| Triborough Bridge and Tunnel Authority, General Revenue | 5.00 | 11/15/21 | 1,000,000 | 1,031,240 |
| Triborough Bridge and Tunnel Authority, Subordinate | | | | |
| Revenue (Insured; National Public Finance Guarantee Corp.) | 5.50 | 11/15/21 | 375,000 | 483,836 |
| Westchester County, GO | 4.00 | 11/15/15 | 1,000,000 | 1,099,340 |
| Westchester County Health Care Corporation, Senior Lien Revenue | 5.00 | 11/1/20 | 1,400,000 | 1,595,720 |
| Westchester County Health Care Corporation, Senior Lien Revenue | 5.00 | 11/1/24 | 1,500,000 | 1,661,130 |
| U.S. Related—10.2% | | | | |
| Guam, Business Privilege Tax Revenue | 5.00 | 1/1/24 | 1,000,000 | 1,152,230 |
| Guam, Hotel Occupancy Tax Revenue | 5.00 | 11/1/16 | 1,000,000 | 1,113,530 |
| Puerto Rico Commonwealth, Public Improvement GO | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 7/1/19 | 2,500,000 | 2,851,400 |
| Puerto Rico Electric Power Authority, | | | | |
| Power Revenue (Insured; XLCA) | 5.50 | 7/1/17 | 2,000,000 | 2,326,840 |
| Puerto Rico Government Development Bank, Senior Notes | 5.00 | 12/1/15 | 3,500,000 | 3,862,180 |
| Puerto Rico Housing Finance Authority, Capital Fund Program | | | | |
| Revenue (Puerto Rico Housing Administration Projects) | 5.00 | 12/1/18 | 260,000 | 272,839 |
| Puerto Rico Housing Finance Authority, Capital Fund Program | | | | |
| Revenue (Puerto Rico Housing Administration Projects) | 5.00 | 12/1/19 | 270,000 | 283,333 |
| Puerto Rico Housing Finance Authority, Capital Fund | | | | |
| Program Revenue (Puerto Rico Housing | | | | |
| Administration Projects) (Prerefunded) | 5.00 | 12/1/13 | 730,000b | 788,612 |
| Puerto Rico Infrastructure Financing Authority, | | | | |
| Revenue (Ports Authority Project) | 5.00 | 12/15/22 | 2,500,000 | 2,706,700 |
| Puerto Rico Public Buildings Authority, | | | | |
| Government Facilities Revenue | 5.75 | 7/1/22 | 1,000,000 | 1,094,640 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.75 | 8/1/32 | 1,700,000c | 1,664,436 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.25 | 8/1/33 | 500,000c | 395,150 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.00 | 8/1/42 | 2,500,000 | 2,838,025 |
| Total Long-Term Municipal Investments | | | | |
| (cost $190,075,145) | | | | 206,658,919 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund (continued) | | |
| Short-Term Municipal | Coupon | Maturity | Principal | |
| Investments—.9% | Rate (%) | Date | Amount ($) | Value ($) |
| New York; | | | | |
| Long Island Power Authority, Electric System Subordinated | | | | |
| Revenue (LOC; Westdeutsche Landesbank) | 0.15 | 3/1/12 | 800,000d | 800,000 |
| New York City, GO Notes (LOC; JPMorgan Chase Bank) | 0.09 | 3/1/12 | 200,000d | 200,000 |
| New York City Municipal Water Finance Authority, | | | | |
| Water and Sewer System Second General Resolution | | | | |
| Revenue (Liquidity Facility; Fortis Bank) | 0.12 | 3/1/12 | 200,000d | 200,000 |
| New York State Dormitory Authority, Revenue | | | | |
| (University of Rochester) (LOC; HSBC Bank USA) | 0.09 | 3/1/12 | 600,000a,d | 600,000 |
| Total Short-Term Municipal Investments | | | | |
| (cost $1,800,000) | | | | 1,800,000 |
| |
| Total Investments (cost $191,875,145) | | | 99.1% | 208,458,919 |
| Cash and Receivables (Net) | | | .9% | 1,800,988 |
| Net Assets | | | 100.0% | 210,259,907 |
|
| a At February 29, 2012, the fund had $53,649,752 or 25.5% of net assets invested in securities whose payment of principal and interest is dependent upon revenues generated |
| from education. |
| b These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in |
| escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| c Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity. |
| d Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
74
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 25.5 |
| AA | | Aa | | AA | | 49.4 |
| A | | A | | A | | 15.4 |
| BBB | | Baa | | BBB | | 8.9 |
| F1 | | MIG1/P1 | | SP1/A1 | | .7 |
| Not Ratede | | Not Ratede | | Not Ratede | | .1 |
| | | | | | | 100.0 |
|
| † Based on total investments. |
| e Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to be of comparable quality to those rated securities in which the |
| fund may invest. |
See notes to financial statements.
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | | |
| | | Market Value | | | Unrealized | |
| BNY Mellon New York | | Covered by | | | (Depreciation) | |
| Intermediate Tax-Exempt Bond Fund | Contracts | Contracts ($) | | Expiration | at 2/29/2012 | ($) |
| Financial Futures Short | | | | | | |
| U.S. Treasury 10 Year Notes | 40 | (5,250,625 | ) | March 2012 | (64,063 | ) |
| |
| See notes to financial statements. | | | | | | |
76
| | | | | |
| STATEMENT OF INVESTMENTS | | | | | |
| February 29, 2012 (Unaudited) | | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund | | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments—84.1% | Rate (%) | Date | Amount ($) | | Value ($) |
| Alabama—1.5% | | | | | |
| Jefferson County, Limited Obligation School Warrants | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 1/1/18 | 5,000,000 | | 4,940,600 |
| Jefferson County, Limited Obligation School Warrants | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.50 | 2/15/16 | 5,000,000 | | 4,975,500 |
| Tuscaloosa Public Educational Building Authority, Student | | | | | |
| Housing Revenue (Ridgecrest Student Housing, LLC | | | | | |
| University of Alabama Ridgecrest Residential Project) | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 6.75 | 7/1/33 | 1,100,000 | | 1,308,483 |
| Alaska—.4% | | | | | |
| Valdez, Marine Terminal Revenue (BP Pipelines (Alaska) Inc. Project) | 5.00 | 1/1/21 | 2,500,000 | | 3,020,350 |
| Arizona—1.0% | | | | | |
| Arizona Board of Regents, Arizona State University | | | | | |
| System Revenue (Polytechnic Campus Project) | 6.00 | 7/1/27 | 750,000 | | 891,112 |
| Pima County Industrial Development Authority, | | | | | |
| IDR (Tucson Electric Power Company Project) | 5.25 | 10/1/40 | 3,250,000 | | 3,335,703 |
| University Medical Center Corporation, HR | 6.00 | 7/1/39 | 2,500,000 | | 2,774,125 |
| California—9.4% | | | | | |
| California, GO (Various Purpose) | 6.50 | 4/1/33 | 1,000,000 | | 1,231,670 |
| California, GO (Various Purpose) | 5.50 | 3/1/40 | 7,950,000 | | 8,826,090 |
| California Health Facilities Financing Authority, | | | | | |
| Revenue (Providence Health and Services) | 6.50 | 10/1/38 | 490,000 | | 576,603 |
| California Health Facilities Financing Authority, Revenue | | | | | |
| (Providence Health and Services) (Prerefunded) | 6.50 | 10/1/18 | 10,000 | a | 13,449 |
| California Infrastructure and Economic Development Bank, | | | | | |
| Revenue (The J. David Gladstone Institutes Project) | 5.25 | 10/1/34 | 750,000 | | 785,347 |
| California Municipal Finance Authority, | | | | | |
| Revenue (Emerson College Issue) | 6.00 | 1/1/42 | 6,000,000 | | 6,663,360 |
| California Municipal Finance Authority, | | | | | |
| Revenue (Southwestern Law School) | 6.50 | 11/1/31 | 300,000 | | 323,409 |
| California Municipal Finance Authority, | | | | | |
| Revenue (Southwestern Law School) | 6.50 | 11/1/41 | 750,000 | | 807,937 |
| California State Public Works Board, LR (Judicial | | | | | |
| Council of California) (Various Judicial Council Projects) | 5.00 | 12/1/31 | 2,000,000 | | 2,145,900 |
| California Statewide Communities Development Authority, | | | | | |
| Charter School Revenue (Green Dot Public Schools) | | | | | |
| (Animo Inglewood Charter High School Project) | 7.25 | 8/1/41 | 1,000,000 | | 1,063,380 |
| California Statewide Communities Development Authority, | | | | | |
| Mortgage Revenue (Methodist Hospital of Southern | | | | | |
| California Project) (Collateralized; FHA) | 6.75 | 2/1/38 | 2,500,000 | | 2,995,325 |
| California Statewide Communities Development | | | | | |
| Authority, Revenue (Sutter Health) | 6.00 | 8/15/42 | 6,000,000 | | 6,945,000 |
| California Statewide Communities Development Authority, | | | | | |
| Student Housing Revenue (University of California, Irvine East | | | | | |
| Campus Apartments, Phase 1 Refunding —CHF—Irvine, L.L.C.) | 5.38 | 5/15/38 | 1,500,000 | | 1,566,900 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| California (continued) | | | | |
| JPMorgan Chase Putters/Drivers Trust (Los Angeles Department | | | | |
| of Airports, Senior Revenue (Los Angeles International Airport)) | 5.25 | 5/15/18 | 10,000,000b,c | 11,801,700 |
| Los Angeles Unified School District, GO | 5.00 | 1/1/34 | 1,000,000 | 1,106,870 |
| M-S-R Energy Authority, Gas Revenue | 7.00 | 11/1/34 | 3,730,000 | 4,830,835 |
| New Haven Unified School District, GO | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 0.00 | 8/1/32 | 4,500,000d | 1,538,505 |
| Newport Beach, Revenue (Hoag Memorial Hospital Presbyterian) | 6.00 | 12/1/40 | 4,630,000 | 5,526,507 |
| Northern California Gas Authority Number 1, Gas Project Revenue | 1.11 | 7/1/27 | 660,000e | 489,159 |
| San Diego County Regional Airport Authority, | | | | |
| Subordinate Airport Revenue | 5.00 | 7/1/34 | 1,000,000 | 1,080,200 |
| San Diego Regional Building Authority, LR (County | | | | |
| Operations Center and Annex Redevelopment Project) | 5.38 | 2/1/36 | 2,000,000 | 2,222,220 |
| San Diego Unified School District, GO | 0.00 | 7/1/25 | 4,000,000d | 2,386,360 |
| San Francisco City and County Redevelopment Financing | | | | |
| Authority, Tax Allocation Revenue (San Francisco | | | | |
| Redevelopment Projects) | 6.63 | 8/1/41 | 1,750,000 | 1,988,350 |
| South Bayside Waste Management Authority, Solid Waste | | | | |
| Enterprise Revenue (Shoreway Environmental Center) | 6.00 | 9/1/36 | 1,000,000 | 1,088,340 |
| Colorado—.5% | | | | |
| Colorado Health Facilities Authority, | | | | |
| Revenue (Catholic Health Initiatives) | 6.00 | 10/1/23 | 500,000 | 601,145 |
| Denver City and County, Airport System Revenue | 5.00 | 11/15/21 | 1,500,000 | 1,758,630 |
| Denver City and County, Airport System Revenue | | | | |
| (Insured: Assured Guaranty Municipal Corp. and | | | | |
| National Public Finance Guarantee Corp.) | 5.25 | 11/15/19 | 1,000,000 | 1,148,110 |
| Northern Colorado Water Conservancy District Building | | | | |
| Corporation, COP (Lease Purchase Agreement) | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.50 | 10/1/16 | 500,000 | 513,505 |
| Connecticut—2.9% | | | | |
| Connecticut, GO (Teachers’ Retirement Fund) | 5.85 | 3/15/32 | 11,500,000 | 14,124,875 |
| Connecticut Health and Educational Facilities Authority, | | | | |
| Revenue (Western Connecticut Health Network Issue) | 5.38 | 7/1/41 | 1,250,000 | 1,363,937 |
| Connecticut Health and Educational Facilities | | | | |
| Authority, Revenue (Yale University Issue) | 5.05 | 7/1/42 | 5,000,000 | 5,515,500 |
| Florida—3.6% | | | | |
| Brevard County Health Facilities Authority, Health | | | | |
| Facilities Revenue (Health First, Inc. Project) | 7.00 | 4/1/39 | 1,500,000 | 1,755,630 |
| Florida Municipal Power Agency, | | | | |
| All-Requirements Power Supply Project Revenue | 6.25 | 10/1/31 | 1,000,000 | 1,199,550 |
| Miami-Dade County, Aviation Revenue (Miami International Airport) | 5.50 | 10/1/41 | 1,200,000 | 1,344,996 |
| Miami-Dade County Educational Facilities Authority, | | | | |
| Revenue (University of Miami Issue) (Insured; | | | | |
| Berkshire Hathaway Assurance Corporation) | 5.50 | 4/1/38 | 600,000 | 650,658 |
78
| | | | | |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Florida (continued) | | | | | |
| Miami-Dade County Expressway Authority, Toll System Revenue | 5.00 | 7/1/40 | 2,000,000 | | 2,125,220 |
| Miami-Dade County School Board, COP (Master | | | | | |
| Lease Purchase Agreement) (Insured; AMBAC) | 5.00 | 11/1/25 | 5,000,000 | | 5,387,050 |
| Mid-Bay Bridge Authority, Springing Lien Revenue | 7.25 | 10/1/34 | 5,000,000 | | 5,507,850 |
| Mid-Bay Bridge Authority, Springing Lien Revenue | 7.25 | 10/1/40 | 5,000,000 | | 5,469,400 |
| Palm Beach County School Board, COP (Master | | | | | |
| Lease Purchase Agreement) (Insured; | | | | | |
| National Public Finance Guarantee Corp.) | 5.00 | 8/1/12 | 500,000 | | 509,215 |
| Sarasota County Public Hospital District, HR | | | | | |
| (Sarasota Memorial Hospital Project) | 5.63 | 7/1/39 | 2,000,000 | | 2,148,860 |
| Georgia—2.2% | | | | | |
| Burke County Development Authority, PCR | | | | | |
| (Oglethorpe Power Corporation Vogtle Project) | 7.00 | 1/1/23 | 1,000,000 | | 1,210,050 |
| Chatham County Hospital Authority, HR Improvement | | | | | |
| (Memorial Health University Medical Center, Inc.) | 5.75 | 1/1/29 | 2,140,000 | | 2,153,140 |
| DeKalb County, GO | 5.00 | 1/1/19 | 500,000 | | 533,075 |
| DeKalb County, GO (Special Transportation, | | | | | |
| Parks and Greenspace and Libraries Tax District) | 5.00 | 12/1/18 | 750,000 | | 844,087 |
| DeKalb County, Water and Sewerage Revenue | 5.25 | 10/1/41 | 9,000,000 | | 10,051,740 |
| Municipal Electric Authority of Georgia, GO | | | | | |
| (Project One Subordinated Bonds) | 5.75 | 1/1/20 | 1,000,000 | | 1,219,860 |
| Hawaii—4.3% | | | | | |
| Hawaii Department of Budget and Finance, | | | | | |
| Special Purpose Revenue (Hawaiian Electric | | | | | |
| Company, Inc. and Subsidiary Projects) | 6.50 | 7/1/39 | 6,000,000 | | 6,683,040 |
| JPMorgan Chase Putters/Drivers Trust (Hawaii, GO) | 5.00 | 12/1/19 | 20,000,000 | b,c | 24,769,517 |
| Idaho—.7% | | | | | |
| University of Idaho Regents, General Revenue | 5.25 | 4/1/21 | 4,485,000 | | 5,381,193 |
| Illinois—1.5% | | | | | |
| Chicago, General Airport Third Lien Revenue | | | | | |
| (Chicago O’Hare International Airport) | 5.75 | 1/1/39 | 2,500,000 | | 2,874,100 |
| Chicago, General Airport Third Lien Revenue | | | | | |
| (Chicago O’Hare International Airport) | 6.50 | 1/1/41 | 5,000,000 | | 6,028,100 |
| Illinois Finance Authority, Revenue (The Art Institute of Chicago) | 6.00 | 3/1/38 | 1,000,000 | | 1,123,410 |
| Metropolitan Pier and Exposition Authority, Revenue | | | | | |
| (McCormick Place Expansion Project) (Insured; | | | | | |
| Assured Guaranty Municipal Corp.) | 0.00 | 6/15/26 | 2,000,000 | d | 1,115,720 |
| Indiana—.9% | | | | | |
| Indiana Finance Authority, First Lien Wastewater | | | | | |
| Utility Revenue (CWA Authority Project) | 5.25 | 10/1/38 | 2,500,000 | | 2,787,875 |
| Indiana Finance Authority, First Lien Wastewater | | | | | |
| Utility Revenue (CWA Authority Project) | 5.00 | 10/1/41 | 2,330,000 | | 2,530,403 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Indiana (continued) | | | | | |
| Whiting, Environmental Facilities Revenue | | | | | |
| (BP Products North America, Inc.) | 2.80 | 6/2/14 | 1,570,000 | | 1,638,499 |
| Kentucky—.2% | | | | | |
| Kentucky Property and Buildings Commission, | | | | | |
| Revenue (Project Number 90) | 5.38 | 11/1/23 | 1,500,000 | | 1,758,930 |
| Louisiana—1.9% | | | | | |
| Jefferson Parish Hospital Service District Number 2, | | | | | |
| HR (East Jefferson General Hospital) | 6.25 | 7/1/31 | 5,000,000 | | 5,683,300 |
| Louisiana Citizens Property Insurance Corporation, Assessment | | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 6.13 | 6/1/25 | 4,000,000 | | 4,664,480 |
| Louisiana Public Facilities Authority, | | | | | |
| Revenue (CHRISTUS Health Obligated Group) | 6.00 | 7/1/29 | 1,000,000 | | 1,149,700 |
| New Orleans Aviation Board, Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 6.00 | 1/1/23 | 2,000,000 | | 2,390,920 |
| Maine—.9% | | | | | |
| Maine Health and Higher Educational Facilities Authority, | | | | | |
| Revenue (MaineGeneral Medical Center Issue) | 6.75 | 7/1/41 | 2,500,000 | | 2,719,900 |
| Maine Health and Higher Educational Facilities Authority, | | | | | |
| Revenue (MaineGeneral Medical Center Issue) | 7.00 | 7/1/41 | 3,500,000 | | 3,871,000 |
| Maryland—1.3% | | | | | |
| Frederick County, Special Obligation Bonds | | | | | |
| (Urbana Community Development Authority) | 5.00 | 7/1/40 | 2,000,000 | | 2,093,560 |
| Maryland Economic Development | | | | | |
| Corporation, EDR (Terminal Project) | 5.75 | 6/1/35 | 3,500,000 | | 3,706,290 |
| Maryland Economic Development Corporation, | | | | | |
| Port Facilities Revenue (CNX Marine | | | | | |
| Terminals Inc. Port of Baltimore Facility) | 5.75 | 9/1/25 | 1,000,000 | | 1,041,180 |
| Maryland Health and Higher Educational Facilities | | | | | |
| Authority, Revenue (Anne Arundel Health System Issue) | 6.75 | 7/1/29 | 2,000,000 | | 2,455,280 |
| Maryland Health and Higher Educational Facilities Authority, | | | | | |
| Revenue (University of Maryland Medical System Issue) | 5.13 | 7/1/39 | 250,000 | | 266,820 |
| Massachusetts—4.2% | | | | | |
| JPMorgan Chase Putters/Drivers Trust | | | | | |
| (Massachusetts, GO Consolidated Loan) | 5.00 | 4/1/19 | 15,000,000 | b,c | 18,489,375 |
| Massachusetts Development Finance Agency, | | | | | |
| Revenue (Tufts Medical Center Issue) | 7.25 | 1/1/32 | 3,090,000 | | 3,687,637 |
| Massachusetts Development Finance Agency, | | | | | |
| Revenue (Tufts Medical Center Issue) | 6.75 | 1/1/36 | 1,165,000 | | 1,318,454 |
| Massachusetts Development Finance Agency, | | | | | |
| Revenue (Tufts Medical Center Issue) | 6.88 | 1/1/41 | 1,000,000 | | 1,133,700 |
| Massachusetts Development Finance Agency, | | | | | |
| SWDR (Dominion Energy Brayton Point Issue) | 5.75 | 5/1/19 | 2,000,000 | | 2,356,560 |
| Massachusetts Development Finance Agency, | | | | | |
| SWDR (Waste Management, Inc. Project) | 5.50 | 5/1/14 | 1,000,000 | | 1,083,810 |
80
| | | | | |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Massachusetts (continued) | | | | | |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Simmons College Issue) | 7.50 | 10/1/22 | 500,000 | | 633,150 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Simmons College Issue) | 8.00 | 10/1/39 | 2,000,000 | | 2,299,880 |
| Massachusetts Water Pollution Abatement Trust, | | | | | |
| Water Pollution Abatement Revenue (MWRA Program) | 5.75 | 8/1/29 | 50,000 | | 50,193 |
| Michigan—2.4% | | | | | |
| Detroit, Water Supply System Senior Lien Revenue | 5.75 | 7/1/37 | 10,000,000 | | 11,100,900 |
| Detroit, Water Supply System Second Lien Revenue | | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/22 | 950,000 | | 1,023,910 |
| Michigan Building Authority, Revenue (Facilities Program) | 5.38 | 10/15/41 | 3,000,000 | | 3,367,590 |
| Michigan Strategic Fund, LOR (State of Michigan | | | | | |
| Cadillac Place Office Building Project) | 5.25 | 10/15/31 | 2,000,000 | | 2,215,760 |
| Minnesota—4.8% | | | | | |
| JPMorgan Chase Putters/Drivers Trust | | | | | |
| (Minnesota, GO (Various Purpose)) | 5.00 | 8/1/18 | 17,125,000 | b,c | 21,486,898 |
| JPMorgan Chase Putters/Drivers Trust | | | | | |
| (Minnesota, GO (Various Purpose)) | 5.00 | 8/1/18 | 10,000,000 | b,c | 12,689,600 |
| Minneapolis, Health Care System Revenue | | | | | |
| (Fairview Health Services) | 6.63 | 11/15/28 | 1,000,000 | | 1,179,840 |
| Mississippi—.2% | | | | | |
| Warren County, Gulf Opportunity Zone Revenue | | | | | |
| (International Paper Company Project) | 5.80 | 5/1/34 | 1,500,000 | | 1,582,875 |
| Missouri—1.3% | | | | | |
| Cape Girardeau County Industrial Development Authority, | | | | | |
| Health Facilities Revenue (Saint Francis Medical Center) | 5.50 | 6/1/34 | 385,000 | | 395,345 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (The Washington University) | 5.00 | 11/15/37 | 4,000,000 | | 4,638,400 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (The Washington University) | 5.00 | 11/15/41 | 4,000,000 | | 4,605,760 |
| New Hampshire—.6% | | | | | |
| New Hampshire, Turnpike System Revenue | 5.00 | 2/1/22 | 2,350,000 | f | 2,722,616 |
| New Hampshire, Turnpike System Revenue | 5.00 | 2/1/24 | 1,775,000 | f | 2,025,080 |
| New Jersey—1.4% | | | | | |
| New Jersey, COP (Equipment Lease Purchase Agreement) | 5.25 | 6/15/28 | 1,000,000 | | 1,116,180 |
| New Jersey Educational Facilities Authority, Revenue | | | | | |
| (University of Medicine and Dentistry of New Jersey Issue) | 7.50 | 12/1/32 | 2,000,000 | | 2,444,640 |
| New Jersey Health Care Facilities Financing Authority, Revenue | | | | | |
| (Saint Peter’s University Hospital Obligated Group Issue) | 6.00 | 7/1/26 | 2,500,000 | | 2,824,925 |
| New Jersey Health Care Facilities Financing Authority, Revenue | | | | | |
| (Saint Peter’s University Hospital Obligated Group Issue) | 6.25 | 7/1/35 | 1,500,000 | | 1,679,415 |
| New Jersey Transportation Trust Fund | | | | | |
| Authority (Transportation System) | 0.00 | 12/15/29 | 5,000,000 | d | 2,178,050 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| New York—13.1% | | | | |
| Albany Industrial Development Agency, Civic Facility | | | | |
| Revenue (Saint Peter’s Hospital of the City of Albany Project) | 5.75 | 11/15/22 | 4,225,000 | 4,782,827 |
| Brooklyn Arena Local Development Corporation, | | | | |
| PILOT Revenue (Barclays Center Project) | 6.00 | 7/15/30 | 8,000,000 | 8,579,680 |
| Hudson Yards Infrastructure Corporation, | | | | |
| Hudson Yards Senior Revenue | 5.75 | 2/15/47 | 5,000,000 | 5,659,450 |
| Metropolitan Transportation Authority, Transportation Revenue | 6.50 | 11/15/28 | 500,000 | 622,805 |
| New York City, GO | 6.00 | 10/15/23 | 500,000 | 616,845 |
| New York City Industrial Development Agency, | | | | |
| PILOT Revenue (Queens Baseball Stadium Project) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 6.50 | 1/1/46 | 325,000 | 368,703 |
| New York City Industrial Development Agency, | | | | |
| PILOT Revenue (Yankee Stadium Project) | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 7.00 | 3/1/49 | 1,300,000 | 1,538,407 |
| New York City Industrial Development Agency, | | | | |
| PILOT Revenue (Yankee Stadium Project) (Insured; FGIC) | 3.75 | 3/1/20 | 5,000,000e | 4,459,150 |
| New York City Municipal Water Finance | | | | |
| Authority, Water and Sewer System Revenue | 5.75 | 12/15/16 | 5,090,000b,c | 5,917,271 |
| New York City Municipal Water Finance | | | | |
| Authority, Water and Sewer System Revenue | 5.75 | 12/15/16 | 9,000,000b,c | 10,462,770 |
| New York City Municipal Water Finance Authority, Water and | | | | |
| Sewer System Second General Resolution Revenue | 5.00 | 6/15/44 | 10,000,000 | 11,020,500 |
| New York City Municipal Water Finance Authority, Water and | | | | |
| Sewer System Second General Resolution Revenue | 5.00 | 6/15/45 | 14,070,000 | 15,505,844 |
| New York Liberty Development Corporation, | | | | |
| Liberty Revenue (4 World Trade Center Project) | 5.75 | 11/15/51 | 5,000,000 | 5,691,600 |
| New York State Dormitory Authority, Revenue (Yeshiva University) | 5.00 | 11/1/40 | 500,000 | 533,750 |
| New York State Dormitory Authority, | | | | |
| State Personal Income Tax Revenue (Education) | 5.75 | 3/15/36 | 1,000,000 | 1,173,090 |
| New York State Dormitory Authority, Third General Resolution | | | | |
| Revenue (State University Educational Facilities Issue) | 5.00 | 11/15/19 | 10,000,000b,c | 12,385,800 |
| Port Authority of New York and New Jersey, Special Project | | | | |
| Revenue (JFK International Air Terminal LLC Project) | 6.00 | 12/1/42 | 5,000,000 | 5,594,200 |
| Westchester County Health Care Corporation, Senior Lien Revenue | 5.13 | 11/1/41 | 500,000 | 518,100 |
| North Carolina—.6% | | | | |
| North Carolina Capital Facilities Finance | | | | |
| Agency, Revenue (Davidson College) | 5.00 | 3/1/40 | 1,000,000 | 1,137,010 |
| North Carolina Eastern Municipal | | | | |
| Power Agency, Power System Revenue | 5.00 | 1/1/26 | 2,500,000 | 2,804,500 |
| North Carolina Eastern Municipal Power Agency, Power System | | | | |
| Revenue (Insured; Assured Guaranty Municipal Corp.) | 6.00 | 1/1/19 | 250,000 | 289,105 |
| North Carolina Eastern Municipal Power | | | | |
| Agency, Power System Revenue (Insured; FGIC) | 5.50 | 1/1/17 | 150,000 | 150,552 |
82
| | | | |
| BNY Mellon Municipal Opportunities Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Ohio—.3% | | | | |
| Cleveland, Airport System Revenue | | | | |
| (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 1/1/31 | 1,000,000 | 1,073,470 |
| Montgomery County, Revenue (Catholic Health Initiatives) | 6.25 | 10/1/33 | 1,000,000 | 1,162,130 |
| Oregon—.3% | | | | |
| Oregon Health and Science University, Revenue | 5.75 | 7/1/39 | 2,000,000 | 2,277,140 |
| Pennsylvania—1.0% | | | | |
| Pennsylvania Higher Educational Facilities Authority, | | | | |
| Revenue (University of Pennsylvania Health System) | 5.75 | 8/15/41 | 2,550,000 | 2,906,133 |
| Pittsburgh, GO | 5.00 | 9/1/26 | 4,000,000 | 4,505,640 |
| Tennessee—.4% | | | | |
| Tennessee Energy Acquisition Corporation, Gas Project Revenue | 5.25 | 9/1/23 | 2,500,000 | 2,716,350 |
| Texas—8.9% | | | | |
| Central Texas Regional Mobility Authority, Senior Lien Revenue | 6.00 | 1/1/41 | 5,000,000 | 5,379,200 |
| Clifton Higher Education Finance Corporation, | | | | |
| Educational Revenue (IDEA Public Schools) | 5.50 | 8/15/31 | 1,250,000 | 1,293,775 |
| Clifton Higher Education Finance Corporation, | | | | |
| Educational Revenue (IDEA Public Schools) | 5.75 | 8/15/41 | 1,000,000 | 1,034,620 |
| Forney Independent School District, Unlimited Tax School | | | | |
| Building Bonds (Permanent School Fund Guarantee Program) | 5.75 | 8/15/33 | 1,000,000 | 1,167,770 |
| Harris County Health Facilities Development Corporation, | | | | |
| HR (Memorial Hermann Healthcare System) | 7.00 | 12/1/27 | 1,000,000 | 1,213,910 |
| Houston Higher Education Finance Corporation, | | | | |
| Higher Education Revenue (Cosmos Foundation, Inc.) | 5.88 | 5/15/21 | 1,000,000 | 1,091,640 |
| Houston Higher Education Finance Corporation, | | | | |
| Higher Education Revenue (Cosmos Foundation, Inc.) | 6.50 | 5/15/31 | 2,800,000 | 3,119,872 |
| Houston Higher Education Finance Corporation, | | | | |
| Higher Education Revenue (Cosmos Foundation, Inc.) | 6.88 | 5/15/41 | 3,000,000 | 3,425,130 |
| Liberty Hill Independent School District, Unlimited Tax School | | | | |
| Building Bonds (Permanent School Fund Guarantee Program) | 5.00 | 8/1/40 | 7,000,000 | 7,745,990 |
| North Texas Tollway Authority, First Tier System Revenue | 6.00 | 1/1/38 | 7,000,000 | 8,008,070 |
| North Texas Tollway Authority, | | | | |
| Special Projects System Revenue | 5.50 | 9/1/41 | 2,500,000 | 2,882,775 |
| Texas Private Activity Bond Surface Transportation | | | | |
| Corporation, Senior Lien Revenue (LBJ Infrastructure | | | | |
| Group LLC IH-635 Managed Lanes Project) | 7.00 | 6/30/40 | 7,000,000 | 7,980,070 |
| Texas Private Activity Bond Surface Transportation Corporation, | | | | |
| Senior Lien Revenue (NTE Mobility Partners LLC North | | | | |
| Tarrant Express Managed Lanes Project) | 7.50 | 12/31/31 | 2,500,000 | 2,959,625 |
| Texas Public Finance Authority Charter School Finance | | | | |
| Corporation, Education Revenue (Cosmos Foundation, Inc.) | 6.20 | 2/15/40 | 5,900,000 | 6,416,663 |
| Waco Education Finance Corporation, | | | | |
| Revenue (Baylor University Issue) | 5.00 | 3/1/43 | 10,000,000 | 11,198,700 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | |
| Long-Term Municipal | Coupon | Maturity | Principal | |
| Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Washington—1.3% | | | | |
| Energy Northwest, Electric Revenue | | | | |
| (Columbia Generating Station) | 5.00 | 7/1/21 | 8,000,000f | 9,885,840 |
| Wisconsin—.9% | | | | |
| Oneida Tribe of Indians, Retail Sales Revenue | 6.50 | 2/1/31 | 1,325,000c | 1,508,618 |
| Southeast Wisconsin Professional Baseball Park District, Sales | | | | |
| Tax Revenue (Insured; National Public Finance Guarantee Corp.) | 5.50 | 12/15/23 | 1,000,000 | 1,244,270 |
| Wisconsin, General Fund Annual Appropriation Bonds | 5.38 | 5/1/25 | 1,000,000 | 1,178,460 |
| Wisconsin, General Fund Annual Appropriation Bonds | 5.75 | 5/1/33 | 1,500,000 | 1,769,115 |
| Wisconsin, General Fund Annual Appropriation Bonds | 6.00 | 5/1/33 | 1,000,000 | 1,209,840 |
| U.S. Related—9.2% | | | | |
| Guam, Business Privilege Tax Revenue | 5.13 | 1/1/42 | 1,500,000 | 1,629,075 |
| Guam, Hotel Occupancy Tax Revenue | 6.00 | 11/1/26 | 2,500,000 | 2,879,125 |
| Guam, Hotel Occupancy Tax Revenue | 6.13 | 11/1/31 | 5,000,000 | 5,630,750 |
| Guam, Hotel Occupancy Tax Revenue | 6.50 | 11/1/40 | 2,000,000 | 2,279,180 |
| Guam Government Department of Education, COP | | | | |
| (John F. Kennedy High School Project) | 6.63 | 12/1/30 | 1,000,000 | 1,053,240 |
| Puerto Rico Aqueduct and Sewer Authority, Senior Lien Revenue | 5.00 | 7/1/33 | 7,500,000 | 7,515,075 |
| Puerto Rico Aqueduct and Sewer Authority, Senior Lien Revenue | 5.13 | 7/1/37 | 5,000,000 | 5,006,000 |
| Puerto Rico Commonwealth, Public Improvement GO | 6.00 | 7/1/40 | 9,000,000 | 10,052,280 |
| Puerto Rico Commonwealth, Public Improvement GO | 5.75 | 7/1/41 | 2,000,000 | 2,192,780 |
| Puerto Rico Electric Power Authority, Power Revenue | 5.75 | 7/1/36 | 5,000,000 | 5,486,700 |
| Puerto Rico Electric Power Authority, Power Revenue | | | | |
| (Insured; National Public Finance Guarantee Corp.) | 5.00 | 7/1/17 | 750,000 | 825,240 |
| Puerto Rico Infrastructure Financing Authority, | | | | |
| Revenue (Ports Authority Project) | 5.25 | 12/15/26 | 7,000,000 | 7,490,140 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.75 | 8/1/32 | 6,000,000g | 5,874,480 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 0/6.25 | 8/1/33 | 750,000g | 592,725 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 5.38 | 8/1/39 | 1,500,000 | 1,623,465 |
| Puerto Rico Sales Tax Financing Corporation, | | | | |
| Sales Tax Revenue (First Subordinate Series) | 6.00 | 8/1/42 | 3,870,000 | 4,393,263 |
| Virgin Islands Public Finance Authority, Subordinated Revenue | | | | |
| (Virgin Islands Matching Fund Loan Note—Diageo Project) | 6.75 | 10/1/37 | 2,000,000 | 2,300,780 |
| Total Long-Term Municipal Investments | | | | |
| (cost $561,297,626) | | | | 616,440,205 |
84
| | | | | |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | |
| Investments—25.2% | Rate (%) | Date | Amount ($) | | Value ($) |
| Colorado—.5% | | | | | |
| Colorado Educational and Cultural Facilities Authority, | | | | | |
| Revenue (National Jewish Federation Bond | | | | | |
| Program) (LOC; Northern Trust Company) | 0.12 | 3/1/12 | 700,000 | h | 700,000 |
| Colorado Educational and Cultural Facilities Authority, | | | | | |
| Revenue (National Jewish Federation Bond | | | | | |
| Program) (LOC; U.S. Bank NA) | 0.12 | 3/1/12 | 1,000,000 | h | 1,000,000 |
| Pitkin County, IDR, Refunding (Aspen Skiing Company | | | | | |
| Project) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 2,300,000 | h | 2,300,000 |
| Connecticut—.2% | | | | | |
| Connecticut Health and Educational Facilities | | | | | |
| Authority, Revenue (Yale University Issue) | 0.07 | 3/1/12 | 1,200,000 | h | 1,200,000 |
| Florida—2.0% | | | | | |
| Jacksonville Health Facilities Authority, HR (Baptist | | | | | |
| Medical Center Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 2,100,000 | h | 2,100,000 |
| Polk County School Board, COP (Master Lease | | | | | |
| Purchase Agreement) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 1,100,000 | h | 1,100,000 |
| Polk County School Board, COP (Master Lease | | | | | |
| Purchase Agreement) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 6,300,000 | h | 6,300,000 |
| Sarasota County Public Hospital District, HR, Refunding | | | | | |
| (Sarasota Memorial Hospital Project) (LOC: Northern Trust Co.) | 0.12 | 3/1/12 | 4,900,000 | h | 4,900,000 |
| Illinois—1.7% | | | | | |
| Chicago Board of Education, Unlimited Tax GO Notes, | | | | | |
| Refunding (Dedicated Revenues) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 1,700,000 | h | 1,700,000 |
| Chicago Board of Education, Unlimited Tax GO Notes, | | | | | |
| Refunding (Dedicated Revenues) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 3,575,000 | h | 3,575,000 |
| Illinois Finance Authority, Revenue (The University of | | | | | |
| Chicago Medical Center) (LOC; Wells Fargo Bank) | 0.12 | 3/1/12 | 1,100,000 | h | 1,100,000 |
| Illinois Finance Authority, Revenue (The University of | | | | | |
| Chicago Medical Center) (LOC; Wells Fargo Bank) | 0.12 | 3/1/12 | 4,400,000 | h | 4,400,000 |
| Quincy, Revenue, Refunding (Blessing Hospital) | | | | | |
| (LOC; JPMorgan Chase Bank) | 0.25 | 3/1/12 | 1,700,000 | h | 1,700,000 |
| Iowa—.8% | | | | | |
| Iowa Finance Authority, Educational Facilities Revenue | | | | | |
| (Holy Family Catholic Schools Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 2,700,000 | h | 2,700,000 |
| Iowa Finance Authority, Private College Facility | | | | | |
| Revenue (Morningside College Project) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 1,500,000 | h | 1,500,000 |
| Iowa Higher Education Loan Authority, Private College Facility | | | | | |
| Revenue (Des Moines University Project) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 1,400,000 | h | 1,400,000 |
| | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| |
| Short-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Kentucky—.6% | | | | | |
| Louisville and Jefferson County Visitors and Convention | | | | | |
| Commission, Dedicated Tax Revenue, Refunding (Kentucky | | | | | |
| International Convention Center Expansion Project) | | | | | |
| (Insured; Assured Guaranty Municipal Corp. and | | | | | |
| Liquidity Facility; JPMorgan Chase Bank) | 0.13 | 3/1/12 | 1,900,000 | h | 1,900,000 |
| Shelby County, Lease Program Revenue (Kentucky | | | | | |
| Association of Counties Leasing Trust) (LOC; U.S. Bank NA) | 0.10 | 3/1/12 | 2,140,000 | h | 2,140,000 |
| Massachusetts—4.4% | | | | | |
| Massachusetts, GO Notes (Central Artery/Ted Williams | | | | | |
| Tunnel Infrastructure Loan Act of 2000) | | | | | |
| (Liquidity Facility; Bank of America) | 0.19 | 3/1/12 | 4,100,000 | h | 4,100,000 |
| Massachusetts, GO Notes | | | | | |
| (Consolidated Loan) (LOC; Bank of America) | 0.19 | 3/1/12 | 5,380,000 | h | 5,380,000 |
| Massachusetts Development Finance Agency, Revenue | | | | | |
| (Boston University Issue) (LOC; JPMorgan Chase Bank) | 0.11 | 3/1/12 | 2,500,000 | h | 2,500,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Baystate Medical Center | | | | | |
| Issue) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 900,000 | h | 900,000 |
| Massachusetts Health and Educational Facilities Authority, | | | | | |
| Revenue (Children’s Hospital Issue) (LOC; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 2,600,000 | h | 2,600,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Museum of Fine Arts Issue) | | | | | |
| (Liquidity Facility; Bank of America) | 0.20 | 3/1/12 | 2,800,000 | h | 2,800,000 |
| Massachusetts Health and Educational Facilities Authority, | | | | | |
| Revenue (Partners HealthCare System Issue) | 0.09 | 3/1/12 | 2,600,000 | h | 2,600,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Tufts University Issue) | | | | | |
| (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 2,900,000 | h | 2,900,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Wellesley College Issue) | 0.09 | 3/1/12 | 2,200,000 | h | 2,200,000 |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Wellesley College Issue) | 0.09 | 3/1/12 | 3,100,000 | h | 3,100,000 |
| Massachusetts Water Resources Authority, Subordinated | | | | | |
| General Revenue, Refunding (LOC; Landesbank | | | | | |
| Hessen-Thuringen Girozentrale) | 0.14 | 3/1/12 | 3,955,000 | h | 3,955,000 |
| Michigan—.3% | | | | | |
| Eastern Michigan University Board of Regents, | | | | | |
| General Revenue, Refunding (LOC; JPMorgan Chase Bank) | 0.16 | 3/1/12 | 2,000,000 | h | 2,000,000 |
| Minnesota—.7% | | | | | |
| Center City, Health Care Facilities Revenue | | | | | |
| (Hazelden Foundation Project) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 2,000,000 | h | 2,000,000 |
| Richfield, MFHR (Woodlake Richfield | | | | | |
| Apartments, LLC Project) (LOC; Wells Fargo Bank) | 0.15 | 3/1/12 | 3,400,000 | h | 3,400,000 |
86
| | | | | |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Mississippi—1.4% | | | | | |
| Mississippi Business Finance Corporation, | | | | | |
| Gulf Opportunity Zone IDR (Chevron U.S.A. Inc. Project) | 0.10 | 3/1/12 | 200,000 | h | 200,000 |
| Mississippi Business Finance Corporation, | | | | | |
| Gulf Opportunity Zone IDR (Chevron U.S.A. Inc. Project) | 0.13 | 3/1/12 | 6,200,000 | h | 6,200,000 |
| Mississippi Business Finance Corporation, | | | | | |
| Gulf Opportunity Zone IDR (Chevron U.S.A. Inc. Project) | 0.13 | 3/1/12 | 3,600,000 | h | 3,600,000 |
| Missouri—3.1% | | | | | |
| Missouri Development Finance Board, Cultural Facilities Revenue | | | | | |
| (The Nelson Gallery Foundation) (SBPA; JPMorgan Chase Bank) | 0.10 | 3/1/12 | 7,260,000 | h | 7,260,000 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (Saint Louis | | | | | |
| University) (LOC; Wells Fargo Bank) | 0.10 | 3/1/12 | 5,400,000 | h | 5,400,000 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (Saint Louis | | | | | |
| University) (LOC; Wells Fargo Bank) | 0.12 | 3/1/12 | 2,100,000 | h | 2,100,000 |
| Missouri Health and Educational Facilities Authority, | | | | | |
| Educational Facilities Revenue (The Washington | | | | | |
| University) (Liquidity Facility; JPMorgan Chase Bank) | 0.10 | 3/1/12 | 6,500,000 | h | 6,500,000 |
| Missouri Health and Educational Facilities Authority, Health | | | | | |
| Facilities Revenue (SSM Health Care) (LOC; PNC Bank NA) | 0.09 | 3/1/12 | 1,200,000 | h | 1,200,000 |
| Montana—.6% | | | | | |
| Forsyth, PCR, Refunding (PacifiCorp Project) | | | | | |
| (LOC; Rabobank Nederland) | 0.26 | 3/1/12 | 4,700,000 | h | 4,700,000 |
| New Hampshire—2.7% | | | | | |
| New Hampshire Business Finance Authority, Revenue | | | | | |
| (Littleton Regional Hospital Issue) (LOC; TD Bank) | 0.16 | 3/1/12 | 5,700,000 | h | 5,700,000 |
| New Hampshire Health and Education Facilities Authority, | | | | | |
| Revenue (Dartmouth College Issue) (Liquidity | | | | | |
| Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 6,400,000 | h | 6,400,000 |
| New Hampshire Health and Education Facilities Authority, | | | | | |
| Revenue (Dartmouth College Issue) (Liquidity F | | | | | |
| acility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 8,050,000 | h | 8,050,000 |
| New York—.6% | | | | | |
| New York City Municipal Water Finance Authority, | | | | | |
| Water and Sewer System Second General Resolution | | | | | |
| Revenue (Liquidity Facility; Fortis Bank) | 0.12 | 3/1/12 | 4,200,000 | h | 4,200,000 |
| Ohio—.3% | | | | | |
| Cleveland-Cuyahoga County Port Authority, Educational Facility | | | | | |
| Revenue (Laurel School Project) (LOC; JPMorgan Chase Bank) | 0.16 | 3/1/12 | 2,500,000 | h | 2,500,000 |
| Pennsylvania—.8% | | | | | |
| Delaware County Industrial Development Authority, | | | | | |
| Airport Facilities Revenue (United Parcel Service Project) | 0.13 | 3/1/12 | 1,800,000 | h | 1,800,000 |
| | | | | | |
| STATEMENT OF INVESTMENTS (Unaudited) (continued) | | | | | | |
| |
| |
| |
| |
| BNY Mellon Municipal Opportunities Fund (continued) | | | | | |
| Short-Term Municipal | Coupon | Maturity | Principal | | | |
| Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) | |
| Pennsylvania (continued) | | | | | | |
| Lehigh County General Purpose Authority, HR | | | | | | |
| (Lehigh Valley Health Network) (LOC; Bank of America) | 0.20 | 3/1/12 | 3,940,000 | h | 3,940,000 | |
| Tennessee—.2% | | | | | | |
| Montgomery County Public Building Authority, Pooled Financing | | | | | | |
| Revenue (Tennessee County Loan Pool) (LOC; Bank of America) | 0.30 | 3/1/12 | 400,000 | h | 400,000 | |
| Montgomery County Public Building Authority, Pooled Financing | | | | | | |
| Revenue (Tennessee County Loan Pool) (LOC; Bank of America) | 0.30 | 3/1/12 | 1,400,000 | h | 1,400,000 | |
| Texas—.8% | | | | | | |
| Dallas Performing Arts Cultural Facilities Corporation, | | | | | | |
| Cultural Facility Revenue (Dallas Center for the Performing | | | | | | |
| Arts Foundation, Inc. Project) (LOC; JPMorgan Chase Bank) | 0.10 | 3/1/12 | 2,300,000 | h | 2,300,000 | |
| Tarrant County Cultural Education Facilities Finance | | | | | | |
| Corporation, HR (Methodist Hospitals of Dallas | | | | | | |
| Project) (LOC; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 3,600,000 | h | 3,600,000 | |
| Utah—.9% | | | | | | |
| Utah Transit Authority, Subordinated | | | | | | |
| Sales Tax Revenue (LOC; Fortis Bank) | 0.13 | 3/1/12 | 6,500,000 | h | 6,500,000 | |
| Vermont—.2% | | | | | | |
| Vermont Educational and Health Buildings Financing | | | | | | |
| Agency, Revenue (Northeastern Vermont | | | | | | |
| Regional Hospital Project) (LOC; TD Bank) | 0.15 | 3/1/12 | 1,100,000 | h | 1,100,000 | |
| Washington—1.1% | | | | | | |
| Washington Health Care Facilities Authority, Revenue | | | | | | |
| (MultiCare Health System) (LOC; Barclays Bank PLC) | 0.12 | 3/1/12 | 8,000,000 | h | 8,000,000 | |
| Wisconsin—1.3% | | | | | | |
| Wisconsin Health and Educational Facilities Authority, | | | | | | |
| Revenue (Meriter Hospital, Inc.) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 8,520,000 | h | 8,520,000 | |
| Wisconsin Health and Educational Facilities Authority, | | | | | | |
| Revenue (Edgewood College) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 1,015,000 | h | 1,015,000 | |
| Total Short-Term Municipal Investments | | | | | | |
| (cost $184,735,000) | | | | | 184,735,000 | |
| |
| Total Investments (cost $746,032,626) | | | 109.3 | % | 801,175,205 | |
| Liabilities, Less Cash and Receivables | | | (9.3 | %) | (68,362,577 | ) |
| Net Assets | | | 100.0 | % | 732,812,628 | |
|
| a This security is prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in escrow |
| and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date. |
| b Collateral for floating rate borrowings. |
| c Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012 , these securities were valued at $119,511,549 or 16.3% of net assets. |
| d Security issued with a zero coupon. Income is recognized through the accretion of discount. |
| e Variable rate security—interest rate subject to periodic change. |
| f Purchased on a delayed delivery basis. |
| g Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity. |
| h Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012 . Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
88
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| AAA | | Aaa | | AAA | | 7.9 |
| AA | | Aa | | AA | | 30.2 |
| A | | A | | A | | 18.3 |
| BBB | | Baa | | BBB | | 23.3 |
| BB | | Ba | | BB | | .1 |
| B | | B | | B | | .1 |
| F1 | | MIG1/P1 | | SP1/A1 | | 20.1 |
| | | | | | | 100.0 |
| |
| † Based on total investments. | | | | | |
| See notes to financial statements. | | | | | |
STATEMENT OF FINANCIAL FUTURES
February 29, 2012 (Unaudited)
| | | | | | |
| | | | | | Unrealized |
| | | Market Value | | | Appreciation |
| BNY Mellon | Notional | Covered by | | | (Depreciation) |
| Municipal Opportunities Fund | Amount | Contracts ($) | | Expiration | at 2/29/2012($) |
| Financial Futures Long | | | | | |
| 10 year MMD Index | 20,000,000 | 20,289,000 | | April 2012 | 289,000 |
| | Contracts | | | | |
| Financial Futures Short | | | | | |
| U.S. Treasury 10 Year Notes | 500 | (65,632,813 | ) | March 2012 | (800,781) |
| U.S. Treasury Long Bond | 300 | (42,928,125 | ) | March 2012 | (20,532) |
| Gross Unrealized Appreciation | | | | | 289,000 |
| Gross Unrealized Depreciation | | | | | (821,313) |
See notes to financial statements.
90
STATEMENT OF ASSETS AND LIABILITIES
February 29, 2012 (Unaudited)
| | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | National | National | Pennsylvania | Massachusetts |
| | Intermediate | Short-Term | Intermediate | Intermediate |
| | Municipal Bond Fund | Municipal Bond Fund | Municipal Bond Fund | Municipal Bond Fund |
| Assets ($): | | | | |
| Investments in securities— | | | | |
| See Statement of Investments† | 1,719,907,827 | 1,222,840,147 | 424,798,047 | 361,903,047 |
| Cash on Initial Margin—Note 5 | 374,000 | — | 99,000 | 77,000 |
| Interest receivable | 18,495,073 | 11,559,529 | 4,814,465 | 3,381,772 |
| Receivable for investment securites sold | 1,956,487 | 4,654,564 | 35,292 | 18,790 |
| Receivable for futures variation margin—Note 5 | 138,125 | — | 36,563 | 28,438 |
| Prepaid expenses and other receivables | 26,018 | 20,831 | 13,437 | 16,267 |
| | 1,740,897,530 | 1,239,075,071 | 429,796,804 | 365,425,314 |
| Liabilities ($): | | | | |
| Due to The Dreyfus Corporation | | | | |
| and affiliates—Note 4(c) | 517,391 | 368,802 | 187,076 | 114,226 |
| Due to Administrator—Note 4(a) | 166,036 | 119,232 | 42,083 | 35,243 |
| Cash overdraft due to Custodian | 1,360,102 | 484,950 | 832,087 | 406,714 |
| Payable for investment securities purchased | 42,814,061 | 31,025,350 | — | 6,647,316 |
| Payable for shares of Beneficial Interest redeemed | 871,162 | 1,561,571 | 848,161 | 38,064 |
| Accrued expenses and other liabilities | 67,194 | 51,796 | 26,185 | 41,310 |
| | 45,795,946 | 33,611,701 | 1,935,592 | 7,282,873 |
| Net Assets ($) | 1,695,101,584 | 1,205,463,370 | 427,861,212 | 358,142,441 |
| Composition of Net Assets ($): | | | | |
| Paid—in capital | 1,564,808,131 | 1,186,857,460 | 396,782,902 | 327,691,126 |
| Accumulated undistributed investment income—net | 157,270 | 15,765 | 13,199 | — |
| Accumulated net realized gain (loss) on investments | 4,112,166 | 614,675 | 242,001 | 2,844,671 |
| Accumulated net unrealized appreciation | | | | |
| (depreciation) on investments [including | | | | |
| ($544,531) (depreciation) on financial futures | | | | |
| for BNY Mellon National Intermediate Municipal | | | | |
| Bond Fund, ($144,141) (depreciation) on financial | | | | |
| futures for BNY Mellon Pennsylvania Intermediate | | | | |
| Municipal Bond Fund and ($112,109) (depreciation) | | | | |
| on financial futures for BNY Mellon Massachusetts | | | | |
| Intermediate Municipal Bond Fund] | 126,024,017 | 17,975,470 | 30,823,110 | 27,606,644 |
| Net Assets ($) | 1,695,101,584 | 1,205,463,370 | 427,861,212 | 358,142,441 |
| Net Asset Value Per Share | | | | |
| Class M Shares | | | | |
| Net Assets ($) | 1,655,573,330 | 1,202,718,552 | 419,511,502 | 349,032,900 |
| Shares Outstanding | 119,232,190 | 92,382,570 | 32,048,638 | 25,880,289 |
| Net Asset Value Per Share ($) | 13.89 | 13.02 | 13.09 | 13.49 |
| Investor Shares | | | | |
| Net Assets ($) | 39,452,524 | 2,744,818 | 8,349,710 | 9,109,541 |
| Shares Outstanding | 2,844,549 | 211,097 | 638,600 | 675,527 |
| Net Asset Value Per Share ($) | 13.87 | 13.00 | 13.08 | 13.49 |
| Dreyfus Premier Shares | | | | |
| Net Assets ($) | 75,730 | — | — | — |
| Shares Outstanding | 5,458 | — | — | — |
| Net Asset Value Per Share ($) | 13.88 | — | — | — |
| † Investments at cost ($) | 1,593,339,279 | 1,204,864,677 | 393,830,796 | 334,184,294 |
| |
| See notes to financial statements. | | | | |
STATEMENT OF ASSETS AND LIABILITIES (continued)
| | | |
| | BNY Mellon | |
| | New York | BNY Mellon |
| | Intermediate | Municipal |
| | Tax-Exempt Bond Fund | Opportunities Fund |
| Assets ($): | | |
| Investments in securities—See Statement of Investments† | 208,458,919 | 801,175,205 |
| Cash on Initial Margin—Note 5 | 44,000 | 1,390,000 |
| Interest receivable | 2,253,541 | 6,338,025 |
| Receivable for investment securites sold | 130,000 | — |
| Receivable for futures variation margin—Note 5 | 16,250 | 707,750 |
| Prepaid expenses and other receivables | 16,156 | 17,840 |
| | 210,918,866 | 809,628,820 |
| Liabilities ($): | | |
| Due to The Dreyfus Corporation and affiliates—Note 4(c) | 67,599 | 287,751 |
| Due to Administrator—Note 4(a) | 20,606 | 66,549 |
| Cash overdraft due to Custodian | 288,545 | 1,288,370 |
| Payable for investment securities purchased | — | 13,544,599 |
| Payable for floating rate notes issued—Note 5 | — | 61,205,000 |
| Payable for shares of Beneficial Interest redeemed | 248,241 | 268,404 |
| Interest and expense payable related | | |
| to floating rate notes issued—Note 5 | — | 72,986 |
| Accrued expenses and other liabilities | 33,968 | 82,533 |
| | 658,959 | 76,816,192 |
| Net Assets ($) | 210,259,907 | 732,812,628 |
| Composition of Net Assets ($): | | |
| Paid—in capital | 191,878,290 | 678,347,112 |
| Accumulated undistributed investment income—net | 7,879 | 142,129 |
| Accumulated net realized gain (loss) on investments | 1,854,027 | (286,879) |
| Accumulated net unrealized appreciation (depreciation) on investments | | |
| [including ($64,063) (depreciation) on financial futures for BNY Mellon | | |
| New York Intermediate Tax-Exempt Bond Fund and ($532,313) (depreciation) | | |
| on financial futures for BNY Mellon Municipal Opportunities Fund] | 16,519,711 | 54,610,266 |
| Net Assets ($) | 210,259,907 | 732,812,628 |
| Net Asset Value Per Share | | |
| Class M Shares | | |
| Net Assets ($) | 191,477,183 | 730,569,377 |
| Shares Outstanding | 16,206,920 | 55,615,412 |
| Net Asset Value Per Share ($) | 11.81 | 13.14 |
| Investor Shares | | |
| Net Assets ($) | 18,782,724 | 2,243,251 |
| Shares Outstanding | 1,588,853 | 170,761 |
| Net Asset Value Per Share ($) | 11.82 | 13.14 |
| † Investments at cost ($) | 191,875,145 | 746,032,626 |
| |
| See notes to financial statements. | | |
92
STATEMENT OF OPERATIONS
Six Months Ended February 29, 2012 (Unaudited)
| | | | | | | |
| | BNY Mellon | BNY Mellon | BNY Mellon | BNY Mellon |
| | National | National | Pennsylvania | Massachusetts |
| | Intermediate | Short-Term | Intermediate | Intermediate |
| | Municipal Bond Fund | Municipal Bond Fund | Municipal Bond Fund | Municipal Bond Fund |
| Investment Income ($): | | | | |
| Interest Income | 30,227,641 | 10,040,943 | 8,525,708 | 6,609,598 |
| Expenses: | | | | |
| Investment advisory fee—Note 4(a) | 2,830,582 | 2,023,682 | 1,059,406 | 617,956 |
| Administration fee—Note 4(a) | 1,008,865 | 721,268 | 264,326 | 220,259 |
| Shareholder servicing costs—Note 4(c) | 51,548 | 3,955 | 11,035 | 10,399 |
| Trustees’ fees and expenses—Note 4(d) | 49,846 | 47,899 | 18,212 | 12,658 |
| Custodian fees—Note 4(c) | 46,129 | 38,285 | 16,905 | 13,990 |
| Registration fees | 20,503 | 25,192 | 13,669 | 19,249 |
| Auditing fees | 17,599 | 16,261 | 16,770 | 17,554 |
| Legal fees | 13,869 | 10,919 | 5,063 | 4,187 |
| Prospectus and shareholders’ reports | 7,351 | 2,761 | 2,617 | 3,169 |
| Loan commitment fees—Note 3 | 6,179 | 6,819 | 2,598 | 2,166 |
| Distribution fees—Note 4(b) | 221 | — | — | 35 |
| Miscellaneous | 51,478 | 39,434 | 21,344 | 30,119 |
| Total Expenses | 4,104,170 | 2,936,475 | 1,431,945 | 951,741 |
| Less—reduction in fees due to | | | | |
| earnings credits—Note 4(c) | (4) | — | — | (1) |
| Net Expenses | 4,104,166 | 2,936,475 | 1,431,945 | 951,740 |
| Investment Income—Net | 26,123,475 | 7,104,468 | 7,093,763 | 5,657,858 |
| Realized and Unrealized Gain (Loss) | | | | |
| on Investments—Note 5 ($): | | | | |
| Net realized gain (loss) on investments | 5,525,269 | 1,707,337 | 3,618,959 | 3,354,983 |
| Net realized gain (loss) on financial futures | (2,983,196) | — | (789,669) | (614,187) |
| Net Realized Gain (Loss) | 2,542,073 | 1,707,337 | 2,829,290 | 2,740,796 |
| Net unrealized appreciation | | | | |
| (depreciation) on investments | 47,102,473 | 1,116,274 | 7,212,931 | 6,762,443 |
| Net unrealized appreciation | | | | |
| (depreciation) on financial futures | 1,976,250 | — | 523,125 | 406,875 |
| Net Unrealized Appreciation (Depreciation) | 49,078,723 | 1,116,274 | 7,736,056 | 7,169,318 |
| Net Realized and Unrealized | | | | |
| Gain (Loss) on Investments | 51,620,796 | 2,823,611 | 10,565,346 | 9,910,114 |
| Net Increase in Net Assets | | | | |
| Resulting from Operations | 77,744,271 | 9,928,079 | 17,659,109 | 15,567,972 |
| |
| See notes to financial statements. | | | | |
STATEMENT OF OPERATIONS (continued)
| | | | |
| | BNY Mellon | BNY Mellon |
| | New York Intermediate | Municipal |
| | Tax-Exempt Bond Fund | Opportunities Fund |
| Investment Income ($): | | |
| Interest Income | 3,796,802 | 13,502,240 |
| Expenses: | | |
| Investment advisory fee—Note 4(a) | 502,868 | 1,374,144 |
| Administration fee—Note 4(a) | 125,462 | 342,735 |
| Interest and expense for floating rate notes issued—Note 5 | — | 175,390 |
| Shareholder servicing costs—Note 4(c) | 23,655 | 2,288 |
| Auditing fees | 15,021 | 17,614 |
| Registration fees | 13,930 | 36,277 |
| Custodian fees—Note 4(c) | 8,554 | 20,956 |
| Trustees’ fees and expenses—Note 4(d) | 7,064 | 17,476 |
| Prospectus and shareholders’ reports | 5,495 | 3,669 |
| Legal fees | 3,958 | 6,131 |
| Loan commitment fees—Note 3 | 1,212 | 2,602 |
| Miscellaneous | 26,360 | 27,022 |
| Total Expenses | 733,579 | 2,026,304 |
| Less—reduction in investment advisory fee | | |
| due to undertaking—Note 4(a) | (116,531) | — |
| Less—reduction in fees due to earnings credits—Note 4(c) | (5) | — |
| Net Expenses | 617,043 | 2,026,304 |
| Investment Income—Net | 3,179,759 | 11,475,936 |
| Realized and Unrealized Gain (Loss) on Investments—Note 5 ($): | | |
| Net realized gain (loss) on investments | 2,177,175 | 15,778,798 |
| Net realized gain (loss) on financial futures | (350,964) | (6,281,669) |
| Net Realized Gain (Loss) | 1,826,211 | 9,497,129 |
| Net unrealized appreciation (depreciation) on investments | 4,584,475 | 25,597,129 |
| Net unrealized appreciation (depreciation) on financial futures | 232,500 | 2,893,062 |
| Net Unrealized Appreciation (Depreciation) | 4,816,975 | 28,490,191 |
| Net Realized and Unrealized Gain (Loss) on Investments | 6,643,186 | 37,987,320 |
| Net Increase in Net Assets Resulting from Operations | 9,822,945 | 49,463,256 |
| |
| See notes to financial statements. | | |
94
STATEMENT OF CASH FLOWS
February 29, 2012 (Unaudited)
| | | | |
| BNY Mellon Municipal Opportunities Fund | | | |
| Cash Flows from Operating Activities ($): | | | |
| Purchases of portfolio securities | (396,846,106 | ) | |
| Proceeds from sale of portfolio securities | 387,210,593 | | |
| Financial futures transactions | (3,297,294 | ) | |
| Net purchase of short-term portfolio securities | (175,460,000 | ) | |
| Interest received | 13,326,959 | | |
| Operating expenses paid | (591,321 | ) | |
| Paid to The Dreyfus Corporation | (1,322,054 | ) | (176,979,223) |
| Cash Flows from Financing Activities ($): | | | |
| Net Beneffical Interest transactions | | | 185,721,994 |
| Dividends paid | | | (8,461,260) |
| Cash at beginning of period | | | (1,569,881) |
| Cash at end of period | | | (1,288,370) |
| Reconciliation of Net Increase in Net Assets Resulting from | | | |
| Operations to Net Cash Used by Operating Activities ($): | | | |
| Net Increase in Net Assets Resulting From Operations | | | 49,463,256 |
| Adjustments to reconcile net increase in net assets resulting | | | |
| from operations to net cash provided by operating activities ($): | | | |
| Purchases of portfolio securities | | | (396,846,106) |
| Proceeds from sales of portfolio securities | | | 387,210,593 |
| Financial futures transactions | | | (3,297,294) |
| Net purchase of short-term portfolio securities | | | (175,460,000) |
| Increase in interest receivable | | | (458,385) |
| Increase in accrued operating expenses | | | 54,705 |
| Decrease in prepaid expenses | | | 6,136 |
| Increase in Due to The Dreyfus Corporation | | | 52,090 |
| Net realized gain on investments | | | (9,497,131) |
| Net unrealized appreciation on investments | | | (28,490,191) |
| Net amortization of premiums on investments | | | 283,104 |
| Net Cash Used by Operating Activities | | | (176,979,223) |
| |
| See notes to financial statements. | | | |
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | BNY Mellon National Intermediate | BNY Mellon National Short-Term |
| | Municipal Bond Fund | Municipal Bond Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 26,123,475 | 56,855,743 | 7,104,468 | 14,366,171 |
| Net realized gain (loss) on investments | 2,542,073 | 2,413,939 | 1,707,337 | 551,530 |
| Net unrealized appreciation (depreciation) on investments | 49,078,723 | (30,670,758) | 1,116,274 | (1,849,883) |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 77,744,271 | 28,598,924 | 9,928,079 | 13,067,818 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (25,355,910) | (55,351,649) | (7,073,283) | (14,287,423) |
| Investor Shares | (609,189) | (1,172,675) | (15,420) | (37,079) |
| Dreyfus Premier Shares | (1,106) | (3,074) | — | — |
| Net realized gain on investments: | | | | |
| Class M Shares | (58,171) | (9,584,383) | — | — |
| Investor Shares | (1,569) | (208,965) | — | — |
| Dreyfus Premier Shares | (3) | (715) | — | — |
| Total Dividends | (26,025,948) | (66,321,461) | (7,088,703) | (14,324,502) |
| Beneficial Interest Transactions ($): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 199,286,376 | 325,713,494 | 388,386,057 | 745,588,285 |
| Investor Shares | 8,089,951 | 24,852,532 | 2,121,387 | 9,654,306 |
| Dreyfus Premier Shares | 229 | 617 | — | — |
| Dividends reinvested: | | | | |
| Class M Shares | 3,060,927 | 11,909,817 | 1,858,638 | 3,634,774 |
| Investor Shares | 359,743 | 871,371 | 11,255 | 20,763 |
| Dreyfus Premier Shares | — | 244 | — | — |
| Cost of shares redeemed: | | | | |
| Class M Shares | (132,745,172) | (402,966,796) | (278,693,974) | (720,325,268) |
| Investor Shares | (11,541,109) | (17,796,785) | (3,413,865) | (8,002,347) |
| Dreyfus Premier Shares | (29,919) | (14,621) | — | — |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | 66,481,026 | (57,430,127) | 110,269,498 | 30,570,513 |
| Total Increase (Decrease) in Net Assets | 118,199,349 | (95,152,664) | 113,108,874 | 29,313,829 |
| Net Assets ($): | | | | |
| Beginning of Period | 1,576,902,235 | 1,672,054,899 | 1,092,354,496 | 1,063,040,667 |
| End of Period | 1,695,101,584 | 1,576,902,235 | 1,205,463,370 | 1,092,354,496 |
| Undistributed investment income—net | 157,270 | — | 15,765 | — |
96
| | | | | | | | |
| | BNY Mellon National Intermediate | BNY Mellon National Short-Term |
| | Municipal Bond Fund | Municipal Bond Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Capital Share Transactions: | | | | |
| Class M Shares | | | | |
| Shares sold | 14,625,418 | 24,656,277 | 29,948,683 | 57,722,325 |
| Shares issued for dividends reinvested | 224,394 | 905,280 | 143,307 | 281,309 |
| Shares redeemed | (9,744,786) | (30,570,651) | (21,483,503) | (55,789,246) |
| Net Increase (Decrease) in Shares Outstanding | 5,105,026 | (5,009,094) | 8,608,487 | 2,214,388 |
| Investor Shares | | | | |
| Shares sold | 598,128 | 1,882,584 | 164,039 | 748,410 |
| Shares issued for dividends reinvested | 26,403 | 66,043 | 869 | 1,607 |
| Shares redeemed | (848,229) | (1,350,880) | (263,746) | (621,431) |
| Net Increase (Decrease) in Shares Outstanding | (223,698) | 597,747 | (98,838) | 128,586 |
| Dreyfus Premier Shares | | | | |
| Shares sold | 17 | 47 | — | — |
| Shares issued for dividends reinvested | — | 18 | — | — |
| Shares redeemed | (2,211) | (1,126) | — | — |
| Net Increase (Decrease) in Shares Outstanding | (2,194) | (1,061) | — | — |
| |
| See notes to financial statements. | | | | |
STATEMENT OF CHANGES IN NET ASSETS (continued)
| | | | |
| | BNY Mellon Pennsylvania |
| | Intermediate Municipal Bond Fund |
| | Six Months Ended | |
| | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 |
| Operations ($): | | |
| Investment income—net | 7,093,763 | 16,727,021 |
| Net realized gain (loss) on investments | 2,829,290 | (114,431) |
| Net unrealized appreciation (depreciation) on investments | 7,736,056 | (9,107,869) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 17,659,109 | 7,504,721 |
| Dividends to Shareholders from ($): | | |
| Investment income—net: | | |
| Class M Shares | (6,944,445) | (16,374,997) |
| Investor Shares | (136,119) | (307,935) |
| Total Dividends | (7,080,564) | (16,682,932) |
| Beneficial Interest Transactions ($): | | |
| Net proceeds from shares sold: | | |
| Class M Shares | 17,892,932 | 31,935,369 |
| Investor Shares | 535,039 | 3,374,139 |
| Dividends reinvested: | | |
| Class M Shares | 334,386 | 731,683 |
| Investor Shares | 51,306 | 94,258 |
| Cost of shares redeemed: | | |
| Class M Shares | (29,667,883) | (103,950,517) |
| Investor Shares | (1,602,835) | (3,543,447) |
| Increase (Decrease) in Net Assets from | | |
| Beneficial Interest Transactions | (12,457,055) | (71,358,515) |
| Total Increase (Decrease) in Net Assets | (1,878,510) | (80,536,726) |
| Net Assets ($): | | |
| Beginning of Period | 429,739,722 | 510,276,448 |
| End of Period | 427,861,212 | 429,739,722 |
| Undistributed investment income—net | 13,199 | — |
| Capital Share Transactions (Shares): | | |
| Class M Shares | | |
| Shares sold | 1,387,986 | 2,553,355 |
| Shares issued for dividends reinvested | 25,929 | 58,398 |
| Shares redeemed | (2,306,437) | (8,332,855) |
| Net Increase (Decrease) in Shares Outstanding | (892,522) | (5,721,102) |
| Investor Shares | | |
| Shares sold | 41,151 | 269,703 |
| Shares issued for dividends reinvested | 3,988 | 7,522 |
| Shares redeemed | (124,249) | (284,727) |
| Net Increase (Decrease) in Shares Outstanding | (79,110) | (7,502) |
| |
| See notes to financial statements. | | |
98
| | | | |
| | BNY Mellon Massachusetts |
| | Intermediate Municipal Bond Fund |
| | Six Months Ended | |
| | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 |
| Operations ($): | | |
| Investment income—net | 5,657,858 | 13,021,891 |
| Net realized gain (loss) on investments | 2,740,796 | 383,010 |
| Net unrealized appreciation (depreciation) on investments | 7,169,318 | (7,948,924) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 15,567,972 | 5,455,977 |
| Dividends to Shareholders from ($): | | |
| Investment income—net: | | |
| Class M Shares | (5,531,739) | (12,749,845) |
| Investor Shares | (125,942) | (270,869) |
| Dreyfus Premier Shares | (177) | (538) |
| Net realized gain on investments: | | |
| Class M Shares | (132,840) | (2,090,359) |
| Investor Shares | (3,141) | (45,562) |
| Dreyfus Premier Shares | (8) | (105) |
| Total Dividends | (5,793,847) | (15,157,278) |
| Beneficial Interest Transactions ($): | | |
| Net proceeds from shares sold: | | |
| Class M Shares | 21,150,847 | 54,639,613 |
| Investor Shares | 1,441,296 | 2,820,454 |
| Dreyfus Premier Shares | — | — |
| Dividends reinvested: | | |
| Class M Shares | 1,507,125 | 4,508,772 |
| Investor Shares | 105,471 | 243,502 |
| Dreyfus Premier Shares | 178 | 643 |
| Cost of shares redeemed: | | |
| Class M Shares | (32,928,843) | (107,515,944) |
| Investor Shares | (1,104,829) | (2,607,668) |
| Dreyfus Premier Shares | (20,751) | — |
| Increase (Decrease) in Net Assets from | | |
| Beneficial Interest Transactions | (9,849,506) | (47,910,628) |
| Total Increase (Decrease) in Net Assets | (75,381) | (57,611,929) |
| Net Assets ($): | | |
| Beginning of Period | 358,217,822 | 415,829,751 |
| End of Period | 358,142,441 | 358,217,822 |
STATEMENT OF CHANGES IN NET ASSETS (continued)
| | | | |
| | BNY Mellon Massachusetts |
| | Intermediate Municipal Bond Fund |
| | Six Months Ended | |
| | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 |
| Capital Share Transactions: | | |
| Class M Shares | | |
| Shares sold | 1,591,420 | 4,234,325 |
| Shares issued for dividends reinvested | 113,550 | 350,081 |
| Shares redeemed | (2,484,906) | (8,370,437) |
| Net Increase (Decrease) in Shares Outstanding | (779,936) | (3,786,031) |
| Investor Shares | | |
| Shares sold | 108,122 | 217,763 |
| Shares issued for dividends reinvested | 7,934 | 18,896 |
| Shares redeemed | (83,120) | (202,297) |
| Net Increase (Decrease) in Shares Outstanding | 32,936 | 34,362 |
| Dreyfus Premier Shares | | |
| Shares issued for dividends reinvested | 13 | 50 |
| Shares redeemed | (1,554) | — |
| Net Increase (Decrease) in Shares Outstanding | (1,541) | 50 |
| |
| See notes to financial statements. | | |
100
| | | | |
| | BNY Mellon New York |
| | Intermediate Tax-Exempt Bond Fund |
| | Six Months Ended | |
| | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 |
| Operations ($): | | |
| Investment income—net | 3,179,759 | 6,887,000 |
| Net realized gain (loss) on investments | 1,826,211 | 455,791 |
| Net unrealized appreciation (depreciation) on investments | 4,816,975 | (3,475,065) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 9,822,945 | 3,867,726 |
| Dividends to Shareholders from ($): | | |
| Investment income—net: | | |
| Class M Shares | (2,909,081) | (6,330,855) |
| Investor Shares | (262,799) | (541,015) |
| Net realized gain on investments: | | |
| Class M Shares | (423,352) | (169,336) |
| Investor Shares | (40,654) | (15,169) |
| Total Dividends | (3,635,886) | (7,056,375) |
| Beneficial Interest Transactions ($): | | |
| Net proceeds from shares sold: | | |
| Class M Shares | 19,886,584 | 33,908,897 |
| Investor Shares | 3,555,103 | 2,734,033 |
| Dividends reinvested: | | |
| Class M Shares | 556,698 | 785,105 |
| Investor Shares | 236,301 | 428,850 |
| Cost of shares redeemed: | | |
| Class M Shares | (17,116,324) | (45,978,230) |
| Investor Shares | (2,769,188) | (3,112,881) |
| Increase (Decrease) in Net Assets from | | |
| Beneficial Interest Transactions | 4,349,174 | (11,234,226) |
| Total Increase (Decrease) in Net Assets | 10,536,233 | (14,422,875) |
| Net Assets ($): | | |
| Beginning of Period | 199,723,674 | 214,146,549 |
| End of Period | 210,259,907 | 199,723,674 |
| Undistributed investment income—net | 7,879 | — |
| Capital Share Transactions (Shares): | | |
| Class M Shares | | |
| Shares sold | 1,712,599 | 3,003,814 |
| Shares issued for dividends reinvested | 48,057 | 70,015 |
| Shares redeemed | (1,479,444) | (4,108,386) |
| Net Increase (Decrease) in Shares Outstanding | 281,212 | (1,034,557) |
| Investor Shares | | |
| Shares sold | 306,803 | 242,235 |
| Shares issued for dividends reinvested | 20,348 | 38,167 |
| Shares redeemed | (235,930) | (277,334) |
| Net Increase (Decrease) in Shares Outstanding | 91,221 | 3,068 |
| |
| See notes to financial statements. | | |
STATEMENT OF CHANGES IN NET ASSETS (continued)
| | | | |
| | BNY Mellon |
| | Municipal Opportunities Fund |
| | Six Months Ended | |
| | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 |
| Operations ($): | | |
| Investment income—net | 11,475,936 | 19,741,912 |
| Net realized gain (loss) on investments | 9,497,129 | (6,364,235) |
| Net unrealized appreciation (depreciation) on investments | 28,490,191 | 1,131,702 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 49,463,256 | 14,509,379 |
| Dividends to Shareholders from ($): | | |
| Investment income—net: | | |
| Class M Shares | (11,299,447) | (19,364,294) |
| Investor Shares | (34,360) | (43,687) |
| Net realized gain on investments: | | |
| Class M Shares | — | (5,311,842) |
| Investor Shares | — | (14,701) |
| Total Dividends | (11,333,807) | (24,734,524) |
| Beneficial Interest Transactions ($): | | |
| Net proceeds from shares sold: | | |
| Class M Shares | 212,764,369 | 222,249,291 |
| Investor Shares | 1,729,906 | 1,698,372 |
| Dividends reinvested: | | |
| Class M Shares | 2,843,714 | 6,846,926 |
| Investor Shares | 28,833 | 51,096 |
| Cost of shares redeemed: | | |
| Class M Shares | (28,080,328) | (98,825,673) |
| Investor Shares | (790,469) | (1,697,687) |
| Increase (Decrease) in Net Assets from | | |
| Beneficial Interest Transactions | 188,496,025 | 130,322,325 |
| Total Increase (Decrease) in Net Assets | 226,625,474 | 120,097,180 |
| Net Assets ($): | | |
| Beginning of Period | 506,187,154 | 386,089,974 |
| End of Period | 732,812,628 | 506,187,154 |
| Undistributed investment income—net | 142,129 | — |
| Capital Share Transactions (Shares): | | |
| Class M Shares | | |
| Shares sold | 16,452,357 | 18,734,411 |
| Shares issued for dividends reinvested | 223,303 | 565,817 |
| Shares redeemed | (2,231,015) | (8,240,383) |
| Net Increase (Decrease) in Shares Outstanding | 14,444,645 | 11,059,845 |
| Investor Shares | | |
| Shares sold | 136,594 | 140,036 |
| Shares issued for dividends reinvested | 2,265 | 4,206 |
| Shares redeemed | (62,027) | (140,799) |
| Net Increase (Decrease) in Shares Outstanding | 76,832 | 3,443 |
| |
| See notes to financial statements. | | |
102
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class of each BNY Mellon municipal bond fund for the fiscal periods indicated.All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in each fund would have increased (or decreased) during the period, assuming you had reinvested all dividends and distributions.These figures have been derived from each fund’s financial statements.
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon National | February 29, 2012 | | | Year Ended August 31, | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.45 | 13.75 | 13.10 | 12.84 | 12.81 | 13.01 |
| Investment Operations: | | | | | | |
| Investment income—neta | .22 | .48 | .50 | .52 | .52 | .50 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .44 | (.22) | .65 | .27 | .02 | (.20) |
| Total from Investment Operations | .66 | .26 | 1.15 | .79 | .54 | .30 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.22) | (.48) | (.50) | (.52) | (.51) | (.50) |
| Dividends from net realized gain on investments | (.00)b | (.08) | — | (.01) | — | — |
| Total Distributions | (.22) | (.56) | (.50) | (.53) | (.51) | (.50) |
| Net asset value, end of period | 13.89 | 13.45 | 13.75 | 13.10 | 12.84 | 12.81 |
| Total Return (%) | 4.94c | 2.07 | 8.96 | 6.37 | 4.32 | 2.36 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .50d | .50 | .50 | .51 | .51 | .51 |
| Ratio of net expenses to average net assets | .50d | .50 | .50 | .51 | .51 | .51 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.24d | 3.65 | 3.76 | 4.11 | 4.01 | 3.90 |
| Portfolio Turnover Rate | 15.78c | 39.88 | 42.75 | 42.82 | 49.50 | 27.18 |
| Net Assets, end of period ($ x 1,000) | 1,655,573 | 1,535,563 | 1,638,004 | 1,366,960 | 1,045,019 | 944,909 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
The Funds 103
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon National | February 29, 2012 | | | Year Ended August 31, | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.44 | 13.73 | 13.09 | 12.83 | 12.80 | 13.00 |
| Investment Operations: | | | | | | |
| Investment income—neta | .20 | .45 | .47 | .49 | .48 | .47 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .43 | (.21) | .64 | .27 | .03 | (.20) |
| Total from Investment Operations | .63 | .24 | 1.11 | .76 | .51 | .27 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.20) | (.45) | (.47) | (.49) | (.48) | (.47) |
| Dividends from net realized gain on investments | (.00)b | (.08) | — | (.01) | — | — |
| Total Distributions | (.20) | (.53) | (.47) | (.50) | (.48) | (.47) |
| Net asset value, end of period | 13.87 | 13.44 | 13.73 | 13.09 | 12.83 | 12.80 |
| Total Return (%) | 4.74c | 1.90 | 8.61 | 6.11 | 4.06 | 2.11 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .75d | .75 | .75 | .76 | .76 | .76 |
| Ratio of net expenses to average net assets | .75d | .75 | .75 | .76 | .76 | .76 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.00d | 3.41 | 3.51 | 3.88 | 3.77 | 3.65 |
| Portfolio Turnover Rate | 15.78c | 39.88 | 42.75 | 42.82 | 49.50 | 27.18 |
| Net Assets, end of period ($ x 1,000) | 39,453 | 41,237 | 33,931 | 26,368 | 21,668 | 25,262 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
104
| | | | | | | | | | | | |
| | | | Dreyfus Premier Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon National | February 29, 2012 | | | Year Ended August 31, | | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.45 | 13.74 | 13.10 | 12.84 | 12.81 | 13.00 |
| Investment Operations: | | | | | | |
| Investment income—neta | .17 | .38 | .40 | .42 | .41 | .39 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .43 | (.21) | .64 | .27 | .04 | (.17) |
| Total from Investment Operations | .60 | .17 | 1.04 | .69 | .45 | .22 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.17) | (.38) | (.40) | (.42) | (.42) | (.41) |
| Dividends from net realized gain on investments | (.00)b | (.08) | — | (.01) | — | — |
| Total Distributions | (.17) | (.46) | (.40) | (.43) | (.42) | (.41) |
| Net asset value, end of period | 13.88 | 13.45 | 13.74 | 13.10 | 12.84 | 12.81 |
| Total Return (%)c | 4.48d | 1.39 | 8.06 | 5.66 | 3.46 | 1.68 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | 1.25e | 1.25 | 1.25 | 1.26 | 1.26 | 1.26 |
| Ratio of net expenses to average net assets | 1.25e | 1.25 | 1.25 | 1.26 | 1.26 | 1.26 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.52e | 2.92 | 3.02 | 3.37 | 3.27 | 3.13 |
| Portfolio Turnover Rate | 15.78d | 39.88 | 42.75 | 42.82 | 49.50 | 27.18 |
| Net Assets, end of period ($ x 1,000) | 76 | 103 | 120 | 166 | 177 | 327 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Exclusive of sales charge. |
| d | Not annualized. |
| e | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon National Short-Term | February 29, 2012 | | | Year Ended August 31, | |
| Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.99 | 13.01 | 12.80 | 12.69 | 12.59 | 12.59 |
| Investment Operations: | | | | | | |
| Investment income—neta | .08 | .18 | .21 | .31 | .41 | .40 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .03 | (.02) | .21 | .14 | .10 | — |
| Total from Investment Operations | .11 | .16 | .42 | .45 | .51 | .40 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.08) | (.18) | (.21) | (.34) | (.41) | (.40) |
| Net asset value, end of period | 13.02 | 12.99 | 13.01 | 12.80 | 12.69 | 12.59 |
| Total Return (%) | .85b | 1.31 | 3.22 | 3.61 | 4.09 | 3.21 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .51c | .51 | .51 | .54 | .54 | .55 |
| Ratio of net expenses to average net assets | .51c | .51 | .51 | .54 | .54 | .54 |
| Ratio of net investment income | | | | | | |
| to average net assets | 1.23c | 1.38 | 1.60 | 2.50 | 3.23 | 3.14 |
| Portfolio Turnover Rate | 19.97b | 24.33 | 16.46 | 12.61 | 22.93 | 33.74 |
| Net Assets, end of period ($ x 1,000) | 1,202,719 | 1,088,334 | 1,060,685 | 536,597 | 168,243 | 145,395 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
106
| | | | | | | | | | | | |
| | | | Investor Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon National Short-Term | February 29, 2012 | | | Year Ended August 31, | | |
| Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.97 | 12.99 | 12.78 | 12.68 | 12.58 | 12.58 |
| Investment Operations: | | | | | | |
| Investment income—neta | .06 | .15 | .19 | .31 | .38 | .37 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .03 | (.02) | .20 | .10 | .10 | (.01) |
| Total from Investment Operations | .09 | .13 | .39 | .41 | .48 | .36 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.06) | (.15) | (.18) | (.31) | (.38) | (.36) |
| Net asset value, end of period | 13.00 | 12.97 | 12.99 | 12.78 | 12.68 | 12.58 |
| Total Return (%) | .72b | .98 | 3.05 | 3.28 | 3.83 | 2.95 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .76c | .77 | .77 | .80 | .80 | .80 |
| Ratio of net expenses to average net assets | .76c | .77 | .77 | .80 | .80 | .80 |
| Ratio of net investment income | | | | | | |
| to average net assets | .99c | 1.15 | 1.39 | 2.38 | 2.99 | 2.94 |
| Portfolio Turnover Rate | 19.97b | 24.33 | 16.46 | 12.61 | 22.93 | 33.74 |
| Net Assets, end of period ($ x 1,000) | 2,745 | 4,021 | 2,356 | 1,420 | 662 | 635 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | | |
| | Six Months Ended | | | | | |
| BNY Mellon Pennsylvania | February 29, 2012 | | Year Ended August 31, | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.77 | 12.96 | 12.40 | 12.35 | 12.43 | 12.66 |
| Investment Operations: | | | | | | |
| Investment income—neta | .21 | .46 | .46 | .48 | .48 | .48 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .32 | (.19) | .56 | .09 | (.06) | (.20) |
| Total from Investment Operations | .53 | .27 | 1.02 | .57 | .42 | .28 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.21) | (.46) | (.46) | (.48) | (.48) | (.48) |
| Dividends from net realized gain on investments | — | — | (.00)b | (.04) | (.02) | (.03) |
| Total Distributions | (.21) | (.46) | (.46) | (.52) | (.50) | (.51) |
| Net asset value, end of period | 13.09 | 12.77 | 12.96 | 12.40 | 12.35 | 12.43 |
| Total Return (%) | 4.22c | 2.21 | 8.44 | 4.90 | 3.43 | 2.23 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .67d | .66 | .66 | .67 | .66 | .66 |
| Ratio of net expenses to average net assets | .67d | .66 | .66 | .67 | .66 | .66 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.35d | 3.67 | 3.68 | 4.02 | 3.87 | 3.83 |
| Portfolio Turnover Rate | 18.54c | 9.72 | 7.11 | 12.75 | 10.14 | 20.18 |
| Net Assets, end of period ($ x 1,000) | 419,512 | 420,586 | 500,892 | 501,978 | 566,767 | 610,618 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
108
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| BNY Mellon Pennsylvania | February 29, 2012 | | Year Ended August 31, | | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 12.75 | 12.94 | 12.39 | 12.33 | 12.41 | 12.65 |
| Investment Operations: | | | | | | |
| Investment income—neta | .20 | .43 | .44 | .46 | .46 | .45 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .33 | (.19) | .54 | .09 | (.07) | (.21) |
| Total from Investment Operations | .53 | .24 | .98 | .55 | .39 | .24 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.20) | (.43) | (.43) | (.45) | (.45) | (.45) |
| Dividends from net realized gain on investments | — | — | (.00)b | (.04) | (.02) | (.03) |
| Total Distributions | (.20) | (.43) | (.43) | (.49) | (.47) | (.48) |
| Net asset value, end of period | 13.08 | 12.75 | 12.94 | 12.39 | 12.33 | 12.41 |
| Total Return (%) | 4.17c | 1.95 | 8.08 | 4.72 | 3.17 | 1.89 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .92d | .91 | .92 | .92 | .91 | .91 |
| Ratio of net expenses to average net assets | .92d | .91 | .92 | .92 | .91 | .91 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.11d | 3.42 | 3.42 | 3.76 | 3.63 | 3.59 |
| Portfolio Turnover Rate | 18.54c | 9.72 | 7.11 | 12.75 | 10.14 | 20.18 |
| Net Assets, end of period ($ x 1,000) | 8,350 | 9,153 | 9,385 | 2,563 | 1,442 | 1,295 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Amount represents less than $.01 per share. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon Massachusetts | February 29, 2012 | | | Year Ended August 31, | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.12 | 13.39 | 12.86 | 12.57 | 12.42 | 12.58 |
| Investment Operations: | | | | | | |
| Investment income—neta | .21 | .45 | .45 | .46 | .47 | .47 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .38 | (.20) | .53 | .29 | .14 | (.16) |
| Total from Investment Operations | .59 | .25 | .98 | .75 | .61 | .31 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.21) | (.45) | (.45) | (.46) | (.46) | (.47) |
| Dividends from net realized gain on investments | (.01) | (.07) | — | — | — | — |
| Total Distributions | (.22) | (.52) | (.45) | (.46) | (.46) | (.47) |
| Net asset value, end of period | 13.49 | 13.12 | 13.39 | 12.86 | 12.57 | 12.42 |
| Total Return (%) | 4.51b | 2.02 | 7.75 | 6.18 | 5.02 | 2.47 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .53c | .53 | .52 | .54 | .52 | .53 |
| Ratio of net expenses to average net assets | .53c | .52 | .52 | .54 | .52 | .50 |
| Ratio of net investment income | | | | | | |
| to average net assets | 3.21c | 3.49 | 3.44 | 3.70 | 3.71 | 3.72 |
| Portfolio Turnover Rate | 19.12b | 10.43 | 21.44 | 16.78 | 8.75 | 18.85 |
| Net Assets, end of period ($ x 1,000) | 349,033 | 349,768 | 407,667 | 381,129 | 374,115 | 342,583 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
110
| | | | | | | | | | | | |
| | | | Investor Shares | | |
| | Six Months Ended | | | | | |
| BNY Mellon Massachusetts | February 29, 2012 | | | Year Ended August 31, | | |
| Intermediate Municipal Bond Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 13.12 | 13.39 | 12.86 | 12.57 | 12.42 | 12.58 |
| Investment Operations: | | | | | | |
| Investment income—neta | .19 | .42 | .42 | .43 | .44 | .44 |
| Net realized and unrealized | | | | | | |
| gain (loss) on investments | .39 | (.20) | .53 | .29 | .14 | (.16) |
| Total from Investment Operations | .58 | .22 | .95 | .72 | .58 | .28 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.20) | (.42) | (.42) | (.43) | (.43) | (.44) |
| Dividends from net realized gain on investments | (.01) | (.07) | — | — | — | — |
| Total Distributions | (.21) | (.49) | (.42) | (.43) | (.43) | (.44) |
| Net asset value, end of period | 13.49 | 13.12 | 13.39 | 12.86 | 12.57 | 12.42 |
| Total Return (%) | 4.38b | 1.77 | 7.49 | 5.92 | 4.76 | 2.21 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .78c | .78 | .77 | .79 | .77 | .78 |
| Ratio of net expenses to average net assets | .78c | .77 | .77 | .79 | .77 | .75 |
| Ratio of net investment income | | | | | | |
| to average net assets | 2.97c | 3.24 | 3.20 | 3.45 | 3.47 | 3.48 |
| Portfolio Turnover Rate | 19.12b | 10.43 | 21.44 | 16.78 | 8.75 | 18.85 |
| Net Assets, end of period ($ x 1,000) | 9,110 | 8,430 | 8,143 | 9,096 | 8,574 | 9,024 |
| |
| a | Based on average shares outstanding at each month end. |
| b | Not annualized. |
| c | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | | | | |
| | | | | Class M Shares† | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon New York Intermediate | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| Tax-Exempt Bond Fund | | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | | |
| Net asset value, beginning of period | | 11.46 | 11.60 | 11.16 | 10.71 | 10.81 | 10.75 | 10.74 |
| Investment Operations: | | | | | | | | |
| Investment income—netb | | .18 | .38 | .38 | .25 | .37 | .38 | .37 |
| Net realized and unrealized | | | | | | | | |
| gain (loss) on investments | | .38 | (.13) | .44 | .45 | (.09) | .07 | .01 |
| Total from Investment Operations | | .56 | .25 | .82 | .70 | .28 | .45 | .38 |
| Distributions: | | | | | | | | |
| Dividends from investment income—net | (.18) | (.38) | (.38) | (.25) | (.37) | (.38) | (.37) |
| Dividends from net realized | | | | | | | | |
| gain on investments | | (.03) | (.01) | (.00)c | (.00)c | (.01) | (.01) | (.00)c |
| Total Distributions | | (.21) | (.39) | (.38) | (.25) | (.38) | (.39) | (.37) |
| Net asset value, end of period | | 11.81 | 11.46 | 11.60 | 11.16 | 10.71 | 10.81 | 10.75 |
| Total Return (%) | | 4.93d | 2.31 | 7.45 | 6.58d | 2.64 | 4.33 | 3.64 |
| Ratios/Supplemental Data (%): | | | | | | | | |
| Ratio of total expenses to average net assets | .71e | .70 | .72 | .72e | .75 | .75 | .76 |
| Ratio of net expenses to average net assets | .59e | .59 | .59 | .59e | .59 | .59 | .59 |
| Ratio of net investment income | | | | | | | | |
| to average net assets | | 3.18e | 3.41 | 3.33 | 3.40e | 3.49 | 3.56 | 3.46 |
| Portfolio Turnover Rate | | 19.38d | 21.91 | 4.80 | 1.47d | 6 | 17 | 13 |
| Net Assets, end of period ($ x 1,000) | | 191,477 | 182,547 | 196,795 | 153,785 | 113,699 | 97,935 | 94,789 |
|
| † Represents information for Institutional shares of the fund’s predecessor, BNY Hamilton Intermediate NewYork Tax-Exempt Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Amount represents less than $.01 per share. |
| d Not annualized. |
| e Annualized. |
See notes to financial statements.
112
| | | | | | | | | | | | | | | |
| | | | | Investor Shares† | | | |
| | Six Months Ended | | | | | | |
| BNY Mellon New York Intermediate | February 29, 2012 | Year Ended August 31, | Eight Months Ended | Year Ended December 31, |
| Tax-Exempt Bond Fund | | (Unaudited) | 2011 | 2010 | August 31, 2009a | 2008 | 2007 | 2006 |
| Per Share Data ($): | | | | | | | | |
| Net asset value, beginning of period | | 11.47 | 11.61 | 11.17 | 10.72 | 10.82 | 10.76 | 10.75 |
| Investment Operations: | | | | | | | | |
| Investment income—netb | | .17 | .36 | .35 | .23 | .34 | .35 | .34 |
| Net realized and unrealized | | | | | | | | |
| gain (loss) on investments | | .38 | (.14) | .44 | .45 | (.08) | .08 | .01 |
| Total from Investment Operations | | .55 | .22 | .79 | .68 | .26 | .43 | .35 |
| Distributions: | | | | | | | | |
| Dividends from investment income—net | (.17) | (.35) | (.35) | (.23) | (.35) | (.36) | (.34) |
| Dividends from net realized | | | | | | | | |
| gain on investments | | (.03) | (.01) | (.00)c | (.00)c | (.01) | (.01) | (.00)c |
| Total Distributions | | (.20) | (.36) | (.35) | (.23) | (.36) | (.37) | (.34) |
| Net asset value, end of period | | 11.82 | 11.47 | 11.61 | 11.17 | 10.72 | 10.82 | 10.76 |
| Total Return (%) | | 4.80d | 2.05 | 7.17 | 6.40d | 2.39e | 4.07e | 3.38e |
| Ratios/Supplemental Data (%): | | | | | | | | |
| Ratio of total expenses to average net assets | .96f | .95 | .97 | .96f | 1.00 | 1.00 | 1.01 |
| Ratio of net expenses to average net assets | .84f | .84 | .84 | .84f | .84 | .84 | .84 |
| Ratio of net investment income | | | | | | | | |
| to average net assets | | 2.93f | 3.16 | 3.08 | 3.15f | 3.24 | 3.31 | 3.21 |
| Portfolio Turnover Rate | | 19.38d | 21.91 | 4.80 | 1.47d | 6 | 17 | 13 |
| Net Assets, end of period ($ x 1,000) | | 18,783 | 17,177 | 17,352 | 16,810 | 16,198 | 17,153 | 18,131 |
|
| † Represents information for Class A shares of the fund’s predecessor, BNY Hamilton Intermediate NewYork Tax-Exempt Fund, through September 12, 2008. |
| a The fund has changed its fiscal year end from December 31 to August 31. |
| b Based on average shares outstanding at each month end. |
| c Amount represents less than $.01 per share. |
| d Not annualized. |
| e Exclusive of sales charge. |
| f Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | |
| | | Class M Shares | |
| | Six Months Ended | | | |
| | February 29, 2012 | | Year Ended August 31, |
| BNY Mellon Municipal Opportunities Fund | (Unaudited) | 2011 | 2010 | 2009a |
| Per Share Data ($): | | | | |
| Net asset value, beginning of period | 12.27 | 12.78 | 12.22 | 10.00 |
| Investment Operations: | | | | |
| Investment income—netb | .26 | .52 | .50 | .43 |
| Net realized and unrealized gain (loss) on investments | .87 | (.35) | .95 | 2.19 |
| Total from Investment Operations | 1.13 | .17 | 1.45 | 2.62 |
| Distributions: | | | | |
| Dividends from investment income—net | (.26) | (.50) | (.52) | (.39) |
| Dividends from net realized gain on investments | — | (.18) | (.37) | (.01) |
| Total Distributions | (.26) | (.68) | (.89) | (.40) |
| Net asset value, end of period | 13.14 | 12.27 | 12.78 | 12.22 |
| Total Return (%) | 9.32c | 1.54 | 12.38 | 26.58c |
| Ratios/Supplemental Data (%): | | | | |
| Ratio of total expenses to average net assets | .74d | .73 | .71 | .87d |
| Ratio of net expenses to average net assets | .74d | .73 | .71 | .75d |
| Ratio of interest and expense related to | | | | |
| floating rate notes issued to average net assets | .06d | .06 | .01 | — |
| Ratio of net investment income | | | | |
| to average net assets | 4.18d | 4.22 | 4.12 | 4.36d |
| Portfolio Turnover Rate | 73.30c | 129.00 | 145.57 | 161.70c |
| Net Assets, end of period ($ x 1,000) | 730,569 | 505,035 | 384,933 | 140,887 |
| |
| a | From October 15, 2008 (commencement of initial offering) to August 31, 2009. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d | Annualized. |
See notes to financial statements.
114
| | | | | | | | |
| | | Investor Shares | |
| | Six Months Ended | | | |
| | February 29, 2012 | | Year Ended August 31, |
| BNY Mellon Municipal Opportunities Fund | (Unaudited) | 2011 | 2010 | 2009a |
| Per Share Data ($): | | | | |
| Net asset value, beginning of period | 12.27 | 12.79 | 12.22 | 10.00 |
| Investment Operations: | | | | |
| Investment income—netb | .25 | .48 | .50 | .42 |
| Net realized and unrealized gain (loss) on investments | .87 | (.35) | .93 | 2.18 |
| Total from Investment Operations | 1.12 | .13 | 1.43 | 2.60 |
| Distributions: | | | | |
| Dividends from investment income—net | (.25) | (.47) | (.49) | (.37) |
| Dividends from net realized gain on investments | — | (.18) | (.37) | (.01) |
| Total Distributions | (.25) | (.65) | (.86) | (.38) |
| Net asset value, end of period | 13.14 | 12.27 | 12.79 | 12.22 |
| Total Return (%) | 9.19c | 1.21 | 12.19 | 26.29c |
| Ratios/Supplemental Data (%): | | | | |
| Ratio of total expenses to average net assets | .99d | .98 | .96 | 1.11d |
| Ratio of net expenses to average net assets | .99d | .98 | .95 | .99d |
| Ratio of interest and expense related to | | | | |
| floating rate notes issued to average net assets | .06d | .06 | .01 | — |
| Ratio of net investment income | | | | |
| to average net assets | 3.95d | 3.93 | 4.00 | 4.48d |
| Portfolio Turnover Rate | 73.30c | 129.00 | 145.57 | 161.70c |
| Net Assets, end of period ($ x 1,000) | 2,243 | 1,152 | 1,157 | 1,208 |
| |
| a | From October 15, 2008 (commencement of initial offering) to August 31, 2009. |
| b | Based on average shares outstanding at each month end. |
| c | Not annualized. |
| d Annualized. |
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—General:
BNY Mellon FundsTrust (the “Trust”) was organized as a Massachusetts business trust which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently comprised of twenty-seven series, including the following non-diversified municipal bond funds: BNY Mellon National Intermediate Municipal Bond Fund, BNY Mellon National Short-Term Municipal Bond Fund, BNY Mellon Pennsylvania Intermediate Municipal Bond Fund, BNY Mellon Massachusetts Intermediate Municipal Bond Fund, BNY Mellon New York Intermediate Tax-Exempt Bond Fund and BNY Mellon Municipal Opportunities Fund, (each, a “fund” and collectively, the “funds”). BNY Mellon National Intermediate Municipal Bond Fund, BNY Mellon National Short-Term Municipal Bond Fund and BNY Mellon Municipal Opportunities Fund seek to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital. BNY Mellon Pennsylvania Intermediate Municipal Bond Fund seeks as high a level of income exempt from federal and Pennsylvania state income taxes as is consistent with the preservation of capital. BNY Mellon Massachusetts Intermediate Municipal Bond Fund seeks as high a level of income exempt from federal and Massachusetts state income taxes as is consistent with the preservation of capital. BNY Mellon New York Intermediate Tax-Exempt Bond Fund seeks as high a level of current income exempt from federal, New York state and New York city income taxes as is consistent with the preservation of capital.
BNY Mellon Fund Advisers, a division of The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as each fund’s investment adviser (“Investment Adviser”).The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as administrator for the funds pursuant to an Administration Agreement with the Trust (the “Administration Agreement”). The Bank of New York Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to whichThe Bank of New York Mellon pays Dreyfus for performing certain administrative services. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of each fund’s shares.
The Trust is authorized to issue an unlimited number of shares of Beneficial Interest, par value $.001 per share, in Class M and Investor class shares of each fund and in the Dreyfus Premier class shares of BNY Mellon National Intermediate Municipal Bond Fund and BNY Mellon Massachusetts Intermediate Municipal Bond Fund. Dreyfus Premier shares of BNY Mellon National Intermediate Municipal Bond Fund and BNY Mellon Massachusetts Intermediate Municipal Bond Fund were subject to a contingent deferred sales charge (“CDSC”) imposed on redemptions of Dreyfus Premier shares made within six years of purchase and automatically converted to Investor class shares after six years. These funds no longer offer Dreyfus Premier shares. Effective January 5, 2012, for BNY Mellon Massachusetts Intermediate Bond Fund, and March 13, 2012, for BNY Mellon National Intermediate Municipal Bond Fund, all outstanding Dreyfus Premier shares were automatically converted to the funds’ Investor shares. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
TheTrust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive refer-
116
ence 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’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.
NOTE 2—Significant Accounting Policies:
(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 funds’ 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 securities are valued each business day by an independent pricing service (the “Service”) approved by the Trust’s Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of the portfolio securities) are carried at fair value as determined by the Service, based on methods which include consideration of: yields or prices of municipal securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.All of the preceding securities are categorized within Level 2 of the fair value hierarchy. Financial futures on municipal and U.S. Treasury securities 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.These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Trust’s Board.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately 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 Trust’s
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
The following is a summary of the inputs used as of February 29, 2012 in valuing the fund’s investments:
| | | | | | | | | |
| Table 1—Fair Value Measurements | | | | | | | | |
| |
| | | | | Investments in Securities | | | |
| | | | | | Level 2—Other | | Level 3— | | |
| | Level 1—Unadjusted | | | Significant | | Significant | | |
| | | Quoted Prices | | Observable Inputs | Unobservable Inputs | | |
| | Assets ($) | Liabilities ($) | | Assets ($) | Liabilities ($) | Assets ($) | Liabilities ($) | Total | |
| BNY Mellon National | | | | | | | | | |
| Intermediate Municipal | | | | | | | | | |
| Bond Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 1,719,907,827 | — | — | — | 1,719,907,827 | |
| Other Financial Instruments: | | | | | | | | | |
| Futures† | — | (544,531 | ) | — | — | — | — | (544,531 | ) |
| BNY Mellon National | | | | | | | | | |
| Short-Term Municipal | | | | | | | | | |
| Bond Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 1,222,840,147 | — | — | — | 1,222,840,147 | |
| BNY Mellon Pennsylvania | | | | | | | | | |
| Intermediate Municipal | | | | | | | | | |
| Bond Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 424,798,047 | — | — | — | 424,798,047 | |
| Other Financial Instruments: | | | | | | | | | |
| Futures† | — | (144,141 | ) | — | — | — | — | (144,141 | ) |
| BNY Mellon Massachusetts | | | | | | | | | |
| Intermediate Municipal | | | | | | | | | |
| Bond Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 361,903,047 | — | — | — | 361,903,047 | |
| Other Financial Instruments: | | | | | | | | | |
| Futures† | — | (112,109 | ) | — | — | — | — | (112,109 | ) |
| BNY Mellon New York | | | | | | | | | |
| Intermediate Tax-Exempt | | | | | | | | | |
| Bond Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 208,458,919 | — | — | — | 208,458,919 | |
| Other Financial Instruments: | | | | | | | | | |
| Futures† | — | (64,063 | ) | — | — | — | — | (64,063 | ) |
| BNY Mellon Municipal | | | | | | | | | |
| Opportunities Fund | | | | | | | | | |
| Municipal Bonds | — | — | | 801,175,205 | — | — | — | 801,175,205 | |
| Other Financial Instruments: | | | | | | | | | |
| Futures† | — | (821,313 | ) | 289,000 | — | — | — | (532,313 | ) |
| |
| † | Amount shown represents unrealized appreciation (depreciation) at period end. |
118
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition,ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements.The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(b) Securities transactions and investment income:
Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on the identified cost basis. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized on the accrual basis. Securities purchased or sold on a when issued or delayed-delivery basis may be settled a month or more after the trade date.
(c) Concentration of risk: BNY Mellon Pennsylvania Intermediate Municipal Bond Fund, BNY Mellon Massachusetts Intermediate Municipal Bond Fund and BNY Mellon New York Intermediate Tax-Exempt Bond Fund each follow an investment policy of investing primarily in municipal obligations of one state.
Economic changes affecting the state and certain of its public bodies and municipalities may affect the ability of issuers within the state to pay interest on, or repay principal of, municipal obligations held by the fund.
(d) Dividends to shareholders: The funds declare dividends daily from investment income-net; such dividends are paid monthly. With respect to each series, dividends from net realized capital gains, if any, are normally declared and paid annually, but the funds may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers of that fund, it is the policy of each fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of each fund to continue to qualify as a regulated investment company, which can distribute tax exempt dividends, by complying with the applicable provisions of the Code, and to make distributions of income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each series is treated as a single entity for the purpose of determining such qualification.
As of and during the period ended February 29, 2012, the funds did not have any liabilities for any uncertain tax positions.The funds recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statements of Operations. During the period, the funds did not incur any interest or penalties.
Each of the tax years in the three-year period ended August 31, 2011, remain subject to examination by the Internal Revenue Service and state taxing authorities.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), the fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than short-term as they were under previous statute.The 2010 Act requires post-enactment losses to be utilized before the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment losses may be more likely to expire unused.
Table 2 summarizes each relevant fund’s unused capital loss carryover available for federal income tax purposes to be applied against future net realized capital gains. if any, realized subsequent to August 31, 2011.
Table 3 summarizes each fund’s tax character of distributions paid to shareholders during the fiscal year ended August 31, 2011. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 3—Bank Lines of Credit:
The funds participate with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the funds have agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the funds based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended February 29, 2012, the funds did not borrow under the Facilities.
| | | | | | | | | | | |
| Table 2—Capital Loss Carryover | | | | | | |
| |
| |
| Expiring in fiscal | 2014($)† | 2015($)† | 2016($)† | 2017($)† | 2018($)† | Total ($) |
| BNY Mellon National Short-Term | | | | | | |
| Municipal Bond Fund | 323,023 | 501,053 | 99,584 | 62,757 | 172,218 | 1,158,635 |
| BNY Mellon Pennsylvania Intermediate | | | | | | |
| Municipal Bond Fund | — | — | — | — | 2,118,450 | 2,118,450 |
| |
| † | If not applied, the carryovers expire in the above years. |
| | | |
| Table 3—Tax Character of Distributions Paid | | | |
| |
| | Tax-Exempt | Ordinary | Long-Term |
| | Income ($) | Income ($) | Capital Gains ($) |
| | 2011 | 2011 | 2011 |
| BNY Mellon National Intermediate Municipal Bond Fund | 56,527,164 | 9,046,388 | 747,909 |
| BNY Mellon National Short-Term Municipal Bond Fund | 14,286,069 | 38,433 | — |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund | 16,682,932 | — | — |
| BNY Mellon Massachusetts Intermediate Municipal Bond Fund | 13,011,649 | 14,495 | 2,131,134 |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund | 6,871,870 | 67,294 | 117,211 |
| BNY Mellon Municipal Opportunities Fund | 18,588,402 | 6,146,122 | — |
120
NOTE 4—Investment Advisory Fee, Administration Fee and Other Transactions with Affiliates:
(a) Fees payable by the funds pursuant to the provisions of an Investment Advisory Agreement with the Investment Adviser are payable monthly, computed on the average daily value of each fund’s net assets at the following annual rates: .35% of BNY Mellon National Intermediate Municipal Bond Fund, .35% of BNY Mellon National Short-Term Municipal Bond Fund, .50% of BNY Mellon Pennsylvania Intermediate Municipal Bond Fund, .35% of BNY Mellon Massachusetts Intermediate Municipal Bond Fund, .50% of BNY Mellon New York Intermediate Tax- Exempt Bond Fund and .50% of BNY Mellon Municipal Opportunities Fund.
Pursuant to the Administration Agreement,The Bank of New York Mellon provides or arranges for fund accounting, transfer agency and other fund administration services and receives a fee based on the total net assets of the Trust based on the following rates:
| | |
| 0 up to $6 billion | .15% |
| $6 billion up to $12 billion | .12% |
| In excess of $12 billion | .10% |
The Bank of NewYork Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to which The Bank of New York Mellon pays Dreyfus for performing certain administrative services.
For BNY Mellon New York Intermediate Tax-Exempt Bond Fund, the Investment Adviser has contractually agreed until December 31, 2012, to waive receipt of its fees and/or assume the expenses of the fund so that the direct expenses of neither class (excluding shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .59% of the value of the fund’s average daily net assets. The reduction in investment advisory fee, pursuant to the undertaking, amounted to $116,531, during the period ended February 29, 2012.
(b) BNY Mellon National Intermediate Municipal Bond Fund and BNY Mellon Massachusetts Intermediate Municipal Bond Fund had adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act for distributing its Dreyfus Premier shares. The funds each paid the Distributor a fee at an annual rate of .50% of the value of the fund’s average daily net assets attributable to its Dreyfus Premier shares. During the period ended February 29, 2012, BNY Mellon National Intermediate Municipal Bond Fund’s and BNY Mellon Massachusetts Intermediate Municipal Bond Fund’s Dreyfus Premier shares were charged $221 and $35, respectively, pursuant to the Plan.
(c) The funds have adopted a Shareholder Services Plan with respect to its Investor shares, and BNY Mellon National Intermediate Municipal Bond Fund and BNY Mellon Massachusetts Intermediate Municipal Bond Fund had adopted a Shareholder Services Plan with respect to its Dreyfus Premier shares. Each fund paid the Distributor for the provision of certain services to holders of Investor shares and Dreyfus Premier shares a fee at an annual rate of .25% of the value of the average daily net assets attributable to Investor shares and Dreyfus Premier shares.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding a fund, and providing reports and other information and services related to the maintenance of such shareholder accounts. The Shareholder Services Plan allows the Distributor to make payments from the shareholder services fees it collects from each fund to compensate service agents (certain banks, securities brokers or dealers and other financial institutions) in respect of these services.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Table 4 summarizes the amounts Investor shares and Dreyfus Premier shares were charged during the period ended February 29, 2012, pursuant to the Shareholder Services Plan.Additional fees included in shareholder servicing costs in the Statements of Operations include fees paid for cash management charges.
| |
| Table 4—Shareholder Service Plan Fees | |
| |
| BNY Mellon National Intermediate | |
| Municipal Bond Fund (Investor Shares) | 51,099 |
| BNY Mellon National Intermediate | |
| Municipal Bond Fund | |
| (Dreyfus Premier Shares) | 110 |
| BNY Mellon National Short-Term | |
| Municipal Bond Fund (Investor Shares) | 3,898 |
| BNY Mellon Pennsylvania Intermediate | |
| Municipal Bond Fund (Investor Shares) | 10,953 |
| BNY Mellon Massachusetts Intermediate | |
| Municipal Bond Fund (Investor Shares) | 10,607 |
| BNY Mellon Massachusetts Intermediate | |
| Municipal Bond Fund | |
| (Dreyfus Premier Shares) | 18 |
| BNY Mellon New York Intermediate | |
| Tax-Exempt Bond Fund | |
| (Investor Shares) | 22,446 |
| BNY Mellon Municipal | |
| Opportunities Fund (Investor Shares) | 2,205 |
The funds have arrangements with the custodian and cash management bank whereby the funds may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the funds include net earnings credits as expense offsets in the Statements of Operations.
The funds compensate The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. Table 5 summarizes the amount each fund was charged during the period ended February 29, 2012 pursuant to the cash management agreements, which is included in Shareholder servicing costs in the Statements of Operations.These fees were partially offset by earnings credits, also summarized in Table 5.
| | | |
| Table 5—Cash Management Agreement Fees | | |
| Cash Management | Earnings | |
| | Fees ($) | Credits ($) | |
| |
| BNY Mellon National | | | |
| Intermediate Municipal | | | |
| Bond Fund | 371 | (4 | ) |
| BNY Mellon National | | | |
| Short-Term Municipal | | | |
| Bond Fund | 37 | — | |
| BNY Mellon Pennsylvania | | | |
| Intermediate Municipal | | | |
| Bond Fund | 32 | — | |
| BNY Mellon Massachusetts | | | |
| Intermediate Municipal | | | |
| Bond Fund | 119 | (1 | ) |
| BNY Mellon New York | | | |
| Intermediate Tax-Exempt | | | |
| Bond Fund | 418 | (5 | ) |
| BNY Mellon Municipal | | | |
| Opportunities Fund | 23 | — | |
The funds also compensateThe Bank of NewYork Mellon under a custody agreement for providing custodial services for the funds. Table 6 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the custody agreement.
| |
| Table 6—Custody Agreement Fees | |
| | Custody |
| | Fees ($) |
| |
| BNY Mellon National Intermediate | |
| Municipal Bond Fund | 46,129 |
| BNY Mellon National Short-Term | |
| Municipal Bond Fund | 38,285 |
| BNY Mellon Pennsylvania Intermediate | |
| Municipal Bond Fund | 16,905 |
| BNY Mellon Massachusetts Intermediate | |
| Municipal Bond Fund | 13,990 |
| BNY Mellon New York Intermediate | |
| Tax-Exempt Bond Fund | 8,554 |
| BNY Mellon Municipal | |
| Opportunities Fund | 20,956 |
During the period ended February 29, 2012, each fund was charged $3,209 for services performed by the Chief Compliance Officer and his staff.
122
Table 7 summarizes the components of “Due to The Dreyfus Corporation and affiliates” in the Statements of Assets and Liabilities for each fund.
(d) Each trustee who is not an “affiliated person” as defined in the Act receives from theTrust an annual fee of $68,000 and an attendance fee of $7,500 for each in person meeting attended and $500 for telephone meetings and is reimbursed for travel and out-of-pocket expenses. The Chairman of the Trust’s Board receives an additional annual fee of $15,000 and the Chairman of the Trust’s Audit Committee receives an additional fee of $10,000. Effective March 13, 2012, the annual fee increased to $80,000, with the Chairman of the Trust’s Board and Audit Committee receiving additional annual fees of $20,000 and $15,000, respectively.
NOTE 5—Securities Transactions:
Table 8 summarizes each fund’s aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended February 29, 2012.
Inverse Floater Securities: BNY Mellon Municipal Opportunities Fund participates in secondary inverse floater structures in which fixed-rate, tax-exempt municipal bonds are transferred to a trust.The trust subsequently issues two or more variable rate securities that are collateralized by the cash flows of the fixed-rate, tax-exempt municipal bonds. One or more of these variable rate securities pays interest based on a short- term floating rate set by a remarketing agent at predetermined intervals. A residual interest tax-exempt security is also
| | | | | | | |
| Table 7—Due to The Dreyfus Corporation and Affiliates | | | | |
| |
| | Investment | Rule 12b-1 | Shareholder | | Chief | |
| | Advisory | Distribution | Services | Custodian | Compliance | Less Expense |
| | Fees ($) | Plan Fees ($) | Plan Fees ($) | Fees ($) | Officer Fees ($) | Reimbursement ($) |
| BNY Mellon National Intermediate | | | | | | |
| Municipal Bond Fund | 469,285 | 30 | 7,992 | 39,023 | 1,061 | — |
| BNY Mellon National Short-Term | | | | | | |
| Municipal Bond Fund | 336,948 | — | 551 | 30,242 | 1,061 | — |
| BNY Mellon Pennsylvania Intermediate | | | | | | |
| Municipal Bond Fund | 170,019 | — | 1,676 | 14,320 | 1,061 | — |
| BNY Mellon Massachusetts Intermediate | | | | | | |
| Municipal Bond Fund | 99,610 | — | 1,829 | 11,726 | 1,061 | — |
| BNY Mellon New York Intermediate | | | | | | |
| Tax-Exempt Bond Fund | 83,199 | — | 3,677 | 7,230 | 1,061 | (27,568) |
| BNY Mellon Municipal | | | | | | |
| Opportunities Fund | 268,703 | — | 427 | 17,560 | 1,061 | — |
| |
| Table 8—Purchases and Sales | | | | | | |
| |
| | | | | Purchases ($) | Sales ($) |
| BNY Mellon National Intermediate Municipal Bond Fund | | | 329,250,199 | 247,901,606 |
| BNY Mellon National Short-Term Municipal Bond Fund | | | 385,989,810 | 222,823,679 |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund | | | 77,623,406 | 92,714,355 |
| BNY Mellon Massachusetts Intermediate Municipal Bond Fund | | | 66,568,613 | 71,678,584 |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund | | | 43,320,874 | 38,345,616 |
| BNY Mellon Municipal Opportunities Fund | | | | 388,183,809 | 371,746,815 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
created by the trust, which is transferred to the fund, and is paid interest based on the remaining cash flow of the trust, after payment of interest on the other securities and various expenses of the trust.
The fund accounts for the transfer of bonds to the trust as secured borrowings, with the securities transferred remaining in the fund’s investments, and the related floating rate certificate securities reflected as fund liabilities in the Statement of Assets and Liabilities.
The average amount of borrowings outstanding under the inverse floater structure during the period ended February 29, 2012, was approximately $57,910,000, with a related weighted average annualized interest rate of .61%.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk, as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statements of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counter party credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at February 29, 2012 are set forth in Statement of Financial Futures for each relevant fund.
Table 9 summarizes each relevant fund’s average market value of derivatives outstanding, during the period ended February 29, 2012.
Table 9—Average Market Value of Derivatives
| |
| | Average |
| | Market Values ($) |
| |
| BNY Mellon National Intermediate | |
| Municipal Bond Fund | |
| Interest rate futures contracts | 44,354,063 |
| BNY Mellon Pennsylvania | |
| Intermediate Municipal Bond Fund | |
| Interest rate futures contracts | 11,739,375 |
| BNY Mellon Massachusetts | |
| Intermediate Municipal Bond Fund | |
| Interest rate futures contracts | 9,131,719 |
| BNY Mellon New York Intermediate | |
| Tax-Exempt Bond Fund | |
| Interest rate futures contracts | 5,218,125 |
| BNY Mellon Municipal | |
| Opportunities Fund | |
| Interest rate futures contracts | 101,988,866 |
Table 10 summarizes accumulated net unrealized appreciation on investments for each fund at February 29, 2012.
At February 29, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statements of Investments).
Table 10—Accumulated Net Unrealized Appreciation
| | | |
| | Gross | Gross | |
| | Appreciation ($) | (Depreciation) ($) | Net ($) |
| BNY Mellon National Intermediate Municipal Bond Fund | 129,205,113 | 2,636,565 | 126,568,548 |
| BNY Mellon National Short-Term Municipal Bond Fund | 19,209,726 | 1,234,256 | 17,975,470 |
| BNY Mellon Pennsylvania Intermediate Municipal Bond Fund | 31,341,541 | 374,290 | 30,967,251 |
| BNY Mellon Massachusetts Intermediate Municipal Bond Fund | 27,755,440 | 36,687 | 27,718,753 |
| BNY Mellon New York Intermediate Tax-Exempt Bond Fund | 16,664,249 | 80,475 | 16,583,774 |
| BNY Mellon Municipal Opportunities Fund | 57,603,235 | 2,460,656 | 55,142,579 |
124
For More Information
Telephone Wealth Management (WM) Clients, please contact your Account Officer or call 1-888-281-7350. Brokerage Clients of BNY Mellon Wealth Advisors (BNYMWA), please contact your financial representative or call 1-800-830-0549, Option 2. Individual Account holders, please call Dreyfus at 1-800-DREYFUS.
Mail WM Clients, write to your Account Officer, c/o The Bank of New York Mellon, One Mellon Bank Center, Pittsburgh, PA 15258 BNYMWA Brokerage Clients, write to your financial representative, P.O. Box 9012, Hicksville, NY 11802–9012 Individual Account Holders, write to: BNY Mellon Funds, P.O. Box 55268, Boston, MA 02205–8502
The funds file their 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-Q. The funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Information regarding how the funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available on the SEC’s website at http://www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
The BNY Mellon Funds
|
| BNY Mellon Money Market Fund |
| BNY Mellon National Municipal Money Market Fund |
| |
| SEMIANNUAL REPORT | February 29, 2012 |
| |
| Contents | |
| |
| The Funds | |
| Letter from the President | 2 |
| Discussion of Funds’ Performance | |
| BNY Mellon Money Market Fund | 3 |
| BNY Mellon National Municipal | |
| Money Market Fund | 5 |
| UnderstandingYour Fund’s Expenses | 7 |
| ComparingYour Fund’s Expenses | |
| With Those of Other Funds | 7 |
| Statements of Investments | 8 |
| Statements of Assets and Liabilities | 18 |
| Statements of Operations | 19 |
| Statements of Changes in Net Assets | 20 |
| Financial Highlights | 21 |
| Notes to Financial Statements | 25 |
|
| For More Information |
| Back cover |
The views expressed herein are current to the date of this report. These views and the composition of the funds’ portfolios are subject to change at any time based on market and other conditions.
|
| • Not FDIC-Insured |
| • Not Bank-Guaranteed |
| • May Lose Value |
The Funds
LETTER FROM
THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for the BNY Mellon FundsTrust, covering the six-month period from September 1, 2011, through February 29, 2012. For information about how the funds performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
U.S. financial markets encountered heightened volatility at the start of the reporting period when investors fled riskier assets due to adverse macroeconomic developments ranging from an unprecedented downgrade of long-term U.S. debt securities to the resurgence of a sovereign debt crisis in Europe. These factors triggered a rally among traditional safe havens, such as U.S. government securities. Better economic news derailed the fixed-income rally in October, but government bond yields continued to trend downward and prices rose over much of the remainder of the reporting period. In the midst of this turmoil affecting longer-term bonds, money market instruments remained stable and anchored near zero percent, as the Federal Reserve Board continued to maintain its target for short-term interest rates at historically low levels.
Our economic forecast calls for faster U.S. GDP growth in 2012 than in 2011, and we expect the United States to continue to post better economic data than most of the rest of the developed world.An aggressively accommodative monetary policy, pent-up demand in several industry groups and gradual improvement in housing prices appear likely to offset risks stemming from the ongoing European debt crisis and volatile energy prices. As always, we encourage you to talk with your portfolio manager about how these developments may affect your investments.
Thank you for your continued confidence and support.
David K. Mossman
President
BNY Mellon Funds Trust
March 15, 2012
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Patricia A. Larkin, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon Money Market Fund’s Class M shares produced an annualized yield of 0.00%, and its Investor shares produced an annualized yield of 0.00%. Taking into account the effects of compounding, the fund’s Class M shares produced an annualized effective yield of 0.00%, and its Investor shares produced an annualized effective yield of 0.00%.1
Yields of money market instruments hovered near historically low levels throughout the reporting period as short-term interest rates remained unchanged despite signs of a stronger U.S. economy.
The Fund’s Investment Approach
The fund seeks as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity.To pursue its goal, the fund invests in a diversified portfolio of high-quality, short-term debt securities, including U.S. government securities; certificates of deposit, time deposits, bankers’ acceptances and other short-term domestic or foreign bank obligations; repurchase agreements; high-grade commercial paper and other short-term corporate obligations; and taxable municipal obligations. Normally, the fund invests at least 25% of its net assets in bank obligations.
Global Economic Developments Sparked Volatility
The reporting period began in the midst of heightened volatility in most financial markets, as investors responded nervously to several adverse macroeconomic developments.Worries at the time included an ongoing sovereign debt crisis in Greece, which threatened to spread to other members of the European Union. Meanwhile, in the United States, bond rating agency Standard & Poor’s just weeks earlier had downgraded its credit rating on long-term U.S. debt securities, a move unprecedented in U.S. history. However, its rating on short-term government debt, including securities purchased by many money market funds, was left unchanged. Finally, investors reacted negatively to disappointing releases of new U.S. economic data, which kindled fears that the U.S. economy might be headed for a double-dip recession.
Fortunately, many of these fears failed to materialize over the remainder of the reporting period. New data in September proved encouraging as the unemployment rate moderated to 9.0%, existing-home sales moved higher and U.S. households reduced their debt-service burdens to a level not seen since 1994. These developments enabled U.S. GDP to grow at an annualized 1.8% rate during the third quarter.
Perhaps as a consequence of an improving economic outlook, market sentiment changed dramatically in October. Investors became less averse to risks as the U.S. economy continued to show resilience and European officials moved closer toward implementing credible measures to address the region’s debt crisis. The U.S. industrial and manufacturing sectors continued to improve, and housing starts surged to their highest level in nearly 18 months. These developments sparked strong rebounds among investments that had been severely punished during the earlier downturn.
November brought more positive economic news, most notably a steep decline in the unemployment rate from 9.0% to 8.6%. In addition, early data from retailers during the holiday season suggested that consumers
DISCUSSION OF FUND PERFORMANCE (continued)
were spending more freely, while orders and production in the manufacturing sector accelerated. December witnessed more economic improvement, including an unemployment rate that inched lower to 8.5%, the measure’s lowest reading in nearly three years, and consumer confidence climbed to an eight-month high. It later was estimated that the U.S. economy grew at a respectable 3.0% annualized rate during the fourth quarter of 2011.
The upward trend in economic data persisted in January 2012. Most notably, the unemployment rate fell to 8.3% amid a net gain of 243,000 jobs. Even the long-depressed housing market showed signs of life, as it was announced that existing home sales posted a 5% gain in December 2011. In February, new reports suggested that the U.S. economy continued to gain traction, with the private sector adding another 233,000 jobs and the unemployment rate holding steady. What’s more, retail and food service sales climbed 1.1% in February, according to the U.S. Department of Commerce, which many saw as a promising sign for a domestic economy fueled mainly by consumers.
Rates Likely to Stay Low
As has been the case for the past several years, yields of money market instruments remained near zero percent throughout the reporting period. In addition, yield differences along the market’s maturity spectrum remained relatively narrow, so it made little sense to incur the additional risks that longer-dated securities typically entail. Therefore, we continued to maintain the fund’s weighted average maturity in a range that was roughly in line with industry averages.
Despite recently encouraging signs of economic improvement, the Fed has repeatedly reiterated its intention to keep short-term interest rates near historical lows at least through late 2014. Consequently, we intend to maintain the fund’s focus on quality and liquidity.
March 15, 2012
| |
| | An investment in the fund is not insured or guaranteed by the FDIC or any |
| | other government agency. Although the fund seeks to preserve the value of |
| | your investment at $1.00 per share, it is possible to lose money by investing |
| | in the fund. |
| | Short-term corporate, asset-backed securities holdings and municipal securities |
| | holdings (as applicable), while rated in the highest rating category by one or |
| | more NRSRO (or unrated, if deemed of comparable quality by the investment |
| | adviser), involve credit and liquidity risks and risk of principal loss. |
| 1 | Annualized effective yield is based upon dividends declared daily and |
| | reinvested monthly. Past performance is no guarantee of future results.Yields |
| | fluctuate.Yields provided reflect the absorption of certain fund expenses by the |
| | investment adviser pursuant to an undertaking, which is voluntary and |
| | temporary, not contractual, and can be terminated at any time without notice. |
| | Had these expenses not been absorbed, fund yields would have been lower, and |
| | in some cases, 7-day yields during the reporting period would have been |
| | negative absent the expense absorption. |
4
DISCUSSION OF
FUND PERFORMANCE
For the period of September 1, 2011, through February 29, 2012, as provided by Joseph Irace, Senior Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended February 29, 2012, BNY Mellon National Municipal Money Market Fund’s Class M shares produced an annualized yield of 0.00%, and Investor shares produced an annualized yield of 0.00%. Taking into account the effects of compounding, the fund’s Class M and Investor shares also produced annualized effective yields of 0.00% and 0.00%, respectively.1
Despite heightened volatility among stocks and bonds during the reporting period stemming from shifting investor sentiment, tax-exempt money market yields remained stable at historically low levels as short-term interest rates were left unchanged despite a stronger U.S. economy.
The Fund’s Investment Approach
The fund seeks as high a level of current income exempt from federal income tax as is consistent with the preservation of capital and maintenance of liquidity. To pursue its goal, the fund invests at least 80% of its assets in short-term municipal obligations that provide income exempt from federal income tax. Among these are municipal notes, short-term municipal bonds, tax-exempt commercial paper and municipal leases. The fund may invest up to 20% of its total assets in taxable money market securities, such as U.S. government obligations, bank and corporate obligations and commercial paper. The fund also may invest in custodial receipts.
Yields Steady Despite Shifting Economic Sentiment
The reporting period began in the midst of heightened volatility in most financial markets, as investors responded nervously to several adverse macroeconomic developments.Worries at the time included an ongoing sovereign debt crisis in Greece, which threatened to spread to other members of the European Union. Meanwhile, in the United States, bond rating agency Standard & Poor’s just weeks earlier had downgraded its credit rating on long-term U.S. debt securities, a move unprecedented in U.S. history. Finally, investors reacted negatively to disappointing releases of new U.S. economic data, which kindled fears that the domestic economy might be headed for a double-dip recession.
Fortunately, many of these fears failed to materialize over the remainder of the reporting period.The macroeconomic picture brightened as the European Union took credible steps to address the region’s problems, and the United States experienced accelerating GDP growth and declining unemployment. Despite these signs of improvement, the Federal Reserve Board (the “Fed”) maintained its longstanding policy stance, leaving the overnight federal funds rate in a range between 0% and 0.25%. Consequently, municipal money market yields remained near zero percent.
As was the case earlier in 2011, the supply of newly issued municipal money market instruments remained relatively meager during the reporting period, in part due to a glut of issuance at the end of 2010 in advance of the expiration of federal subsidies. Subsequently, political pressure to reduce government spending and borrowing also dampened issuance volumes.Although the European debt crisis reduced the availability of the bank letters of credit that typically support short-term municipal borrowing, a rising volume of variable rate demand notes (VRDNs) has picked up much of the slack, providing municipalities with long-term financing at short-term rates. Meanwhile, demand remained steady from individuals and institutional investors, enabling yields on tax-exempt money market instruments to remain attractive relative to taxable instruments with comparable maturities. From a credit-quality perspec-
DISCUSSION OF FUND PERFORMANCE (continued)
tive, state general funds have achieved consecutive quarters of growth in personal income tax and sales tax revenues, and many states and municipalities have reduced spending in order to balance their budgets for the next fiscal year.
A Credit-Conscious Investment Posture
In this environment, we continued to maintain a careful and well-researched approach to credit selection. We emphasized state general obligation bonds; essential service revenue bonds issued by water, sewer and electric enterprises; and certain local credits with strong financial positions and stable tax bases. We generally shied away from instruments issued by localities that depend heavily on state aid, and we maintained the fund’s weighted average maturity in a range that was roughly in line with industry averages.
Outlook Still Clouded by Economic Uncertainty
We are cautiously optimistic regarding the prospects for economic growth in 2012.The U.S. economy appears to have gained some momentum, particularly with respect to a recovering labor market. However, the outlook remains cloudy due to the persistence of the European debt crisis and uncertainty regarding the potential impact of recent international banking agreements on municipal financing costs. In addition, the Fed has signaled that it is prepared to maintain short-term interest rates near current levels at least through late 2014. With money market yields likely to remain near historical lows, we believe that the prudent course continues to be an emphasis on preservation of capital and liquidity.
March 15, 2012
| |
| | An investment in the fund is not insured or guaranteed by the FDIC or any |
| | other government agency.Although the fund seeks to preserve the value of |
| | your investment at $1.00 per share, it is possible to lose money by investing |
| | in the fund. |
| | Short-term corporate and asset-backed securities holdings, while rated in the |
| | highest rating category by one or more NRSRO (or unrated, if deemed of |
| | comparable quality by the investment adviser), involve credit and liquidity |
| | risks and risk of principal loss. |
| 1 | Annualized effective yield is based upon dividends declared daily and |
| | reinvested monthly. Past performance is no guarantee of future results.Yields |
| | fluctuate.Yields provided reflect the absorption of certain fund expenses by the |
| | investment adviser pursuant to an undertaking, which is voluntary and |
| | temporary, not contractual, and can be terminated at any time without notice. |
| | Had these expenses not been absorbed, fund yields would have been lower, |
| | and in some cases, 7-day yields during the reporting period would have been |
| | negative absent the expense absorption. |
6
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 advisor.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in each class of each BNY Mellon money market fund from September 1, 2011 to February 29, 2012. 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 | | | | |
| assuming actual returns for the six months ended February 29, 2012 | | | | |
| | | Class M Shares | | Investor Shares |
| BNY Mellon Money Market Fund | | | | |
| Expenses paid per $1,000† | $ | .85 | $ | .90 |
| Ending value (after expenses) | $ | 1,000.00 | $ | 1,000.00 |
| Annualized expense ratio (%) | | .17 | | .18 |
| BNY Mellon National Municipal Money Market Fund | | | | |
| Expenses paid per $1,000† | $ | .90 | $ | .90 |
| Ending value (after expenses) | $ | 1,000.00 | $ | 1,000.00 |
| Annualized expense ratio (%) | | .18 | | .18 |
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 each fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| | | | |
| Expenses and Value of a $1,000 Investment | | | | |
| assuming a hypothetical 5% annualized return for the six months ended February 29, 2012 | | | | |
| | | Class M Shares | | Investor Shares |
| BNY Mellon Money Market Fund | | | | |
| Expenses paid per $1,000† | $ | .86 | $ | .91 |
| Ending value (after expenses) | $ | 1,024.02 | $ | 1,023.97 |
| Annualized expense ratio (%) | | .17 | | .18 |
| BNY Mellon National Municipal Money Market Fund | | | | |
| Expenses paid per $1,000† | $ | .91 | $ | .91 |
| Ending value (after expenses) | $ | 1,023.97 | $ | 1,023.97 |
| Annualized expense ratio (%) | | .18 | | .18 |
|
| † Expenses are equal to each fund’s annualized expense ratios as shown above, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the |
| one-half year period). |
| | | | | | | |
| STATEMENT OF INVESTMENTS | | | | | | |
| February 29, 2012 (Unaudited) | | | | | | | |
| |
| |
| |
| |
| BNY Mellon Money Market Fund | | | | | | |
| |
| Negotiable Bank | Principal | | | Asset-Backed | Principal | | |
| Certificates of Deposit—13.0% | Amount ($) | | Value ($) | Commercial Paper—10.6% | Amount ($) | | Value ($) |
| Bank of Tokyo-Mitsubishi Ltd. (Yankee) | | | | Alpine Securitization Corp. | | | |
| 0.50%, 4/4/12 | 45,000,000 | | 45,000,000 | 0.21%, 3/1/12 | 45,000,000 | a | 45,000,000 |
| Barclays Bank (Yankee) | | | | FCAR Owner Trust, Ser. II | | | |
| 0.54%, 4/30/12 | 45,000,000 | | 45,000,000 | 0.29%, 3/8/12 | 25,000,000 | | 24,998,590 |
| Deutsche Bank AG (Yankee) | | | | Metlife Short Term Funding LLC | | | |
| 0.25%, 4/2/12 | 40,000,000 | | 40,000,000 | 0.18%, 5/14/12 | 35,500,000 | a | 35,486,865 |
| Total Negotiable Bank | | | | Total Asset-Backed | | | |
| Certificates of Deposit | | | | Commercial Paper | | | |
| (cost $130,000,000) | | | 130,000,000 | (cost $105,485,455) | | | 105,485,455 |
| |
| Commercial Paper—34.1% | | | | Time Deposits—17.9% | | | |
| Bank of Nova Scotia | | | | Canadian Imperial Bank of | | | |
| 0.17%, 5/29/12 | 30,000,000 | | 29,987,392 | Commerce (Grand Cayman) | | | |
| HSBC USA Inc. | | | | 0.07%, 3/1/12 | 45,000,000 | | 45,000,000 |
| 0.26%, 5/29/12 | 45,000,000 | | 44,971,075 | Northern Trust Co. | | | |
| JPMorgan Chase & Co. | | | | (Grand Cayman) | | | |
| 0.30%, 8/16/12 | 45,000,000 | | 44,937,000 | 0.05%, 3/1/12 | 43,000,000 | | 43,000,000 |
| Mizuho Funding LLC | | | | Royal Bank of Canada (Toronto) | | | |
| 0.47%, 4/16/12 | 45,000,000 | a | 44,972,975 | 0.08%, 3/1/12 | 45,000,000 | | 45,000,000 |
| Nordea North America Inc. | | | | Skandinaviska Enskilda | | | |
| 0.25%, 4/26/12 | 45,000,000 | | 44,982,500 | Banken (Grand Cayman) | | | |
| Sumitomo Mitsui | | | | 0.12%, 3/1/12 | 45,000,000 | | 45,000,000 |
| Banking Corporation | | | | Total Time Deposits | | | |
| 0.45%, 4/13/12 | 40,000,000 | a | 39,978,500 | (cost $178,000,000) | | | 178,000,000 |
| Svenska Handelsbanken Inc. | | | | | | | |
| 0.20%, 3/28/12 | 45,800,000 | | 45,793,130 | U.S. Government Agency—4.4% | | | |
| UBS Finance Delaware Inc. | | | | Federal Home Loan Bank | | | |
| 0.56%, 4/12/12 | 45,000,000 | | 44,970,863 | 0.09%, 3/2/12 | | | |
| Total Commercial Paper | | | | (cost $44,174,896) | 44,175,000 | | 44,174,896 |
| (cost $340,593,435) | | | 340,593,435 | | | | |
8
| | | | | | | |
| BNY Mellon Money Market Fund (continued) | | | | | |
| |
| | Principal | | Repurchase | | Principal | | |
| U.S. Treasury Notes—2.3% | Amount ($) | Value ($) | Agreements (continued) | | Amount ($) | | Value ($) |
| |
| 0.02%, 3/15/12 | | | RBS Securities, Inc. | | | | |
| (cost $23,011,983) | 23,000,000 | 23,011,983 | 0.16%, dated 2/29/12, due 3/1/12 | | | |
| | | | in the amount of $150,000,667 | | | | |
| | | | (fully collateralized by | | | | |
| Repurchase Agreements—17.6% | | | | | | | |
| | | | $150,890,000 U.S. Treasury | | | | |
| Goldman, Sachs & Co. | | | Bonds, 3.13%, due 2/15/42, | | | | |
| 0.18%, dated 2/29/12, | | | value $153,004,250) | 150,000,000 | | 150,000,000 |
| due 3/1/12 in the | | | Total Repurchase Agreements | | | | |
| amount of $25,000,125 | | | (cost $175,000,000) | | | | 175,000,000 |
| (fully collateralized by | | | | | | | |
| $148,806,703 Government | | | Total Investments (cost $996,265,769) | 99.9 | % | 996,265,769 |
| National Mortgage | | | | | | | |
| Association, 4.50%-6.40%, | | | Cash and Receivables (Net) | | .1 | % | 877,760 |
| due 6/20/27-6/20/41, | | | Net Assets | | 100.0 | % | 997,143,529 |
| value $25,500,000) | 25,000,000 | 25,000,000 | | | | | |
|
| a Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, these securities amounted to $165,438,340 or 16.6% of net assets. |
| | | |
| Portfolio Summary (Unaudited) † | | | |
| |
| | Value (%) | | Value (%) |
| Banking | 65.0 | Asset-Backed/Insurance | 3.6 |
| Repurchase Agreements | 17.6 | Asset-Backed/Single Seller | 2.5 |
| U.S. Government/Agency | 6.7 | | |
| Asset-Backed/Banking | 4.5 | | 99.9 |
| |
| † Based on net assets. | | | |
| See notes to financial statements. | | | |
STATEMENT OF INVESTMENTS
February 29, 2012 (Unaudited)
| | | | | |
| BNY Mellon National Municipal Money Market Fund | | | | |
| |
| | Coupon | Maturity | Principal | | |
| Short-Term Investments—98.1% | Rate (%) | Date | Amount ($) | | Value ($) |
| California—5.4% | | | | | |
| California Statewide Communities Development | | | | | |
| Authority, Revenue (Kaiser Permanente) | 0.13 | 3/7/12 | 27,800,000 | a | 27,800,000 |
| California Statewide Communities Development | | | | | |
| Authority, Revenue, CP (Kaiser Permanente) | 0.25 | 5/24/12 | 12,000,000 | | 12,000,000 |
| California Statewide Communities Development | | | | | |
| Authority, Revenue, CP (Kaiser Permanente) | 0.30 | 6/21/12 | 20,000,000 | | 20,000,000 |
| Golden State Tobacco Securitization Corporation, Enhanced | | | | | |
| Tobacco Settlement Asset-Backed Bonds (Citigroup ROCS, | | | | | |
| Series RR II R-11674) (Insured; Berkshire Hathaway | | | | | |
| Assurance Corporation and Liquidity Facility; Citibank NA) | 0.17 | 3/7/12 | 13,500,000 a,b,c | | 13,500,000 |
| Colorado—3.4% | | | | | |
| Colorado Educational and Cultural Facilities Authority, | | | | | |
| Revenue, Refunding (The Nature Conservancy Project) | 0.14 | 3/7/12 | 10,000,000 | a | 10,000,000 |
| Commerce City Northern Infrastructure General | | | | | |
| Improvement District, GO Notes (LOC; U.S. Bank NA) | 0.18 | 3/7/12 | 6,150,000 | a | 6,150,000 |
| Commerce City Northern Infrastructure General Improvement | | | | | |
| District, GO Notes, Refunding (LOC; U.S. Bank NA) | 0.18 | 3/7/12 | 9,390,000 | a | 9,390,000 |
| Parker Automotive Metropolitan District, | | | | | |
| GO Notes (LOC; U.S. Bank NA) | 0.18 | 3/7/12 | 850,000 | a | 850,000 |
| Southern Ute Indian Tribe of the | | | | | |
| Southern Ute Indian Reservation, Revenue | 0.14 | 3/7/12 | 20,000,000 | a | 20,000,000 |
| Connecticut—6.7% | | | | | |
| Connecticut Health and Educational Facilities Authority, | | | | | |
| Revenue (Hartford HealthCare Issue) (LOC; Bank of America) | 0.23 | 3/7/12 | 26,085,000 | a | 26,085,000 |
| Connecticut Health and Educational Facilities Authority, | | | | | |
| Revenue (The Jerome Home Issue) (LOC; Bank of America) | 0.24 | 3/7/12 | 1,040,000 | a | 1,040,000 |
| Connecticut Health and Educational Facilities Authority, | | | | | |
| Revenue (Westminster School Issue) (LOC; Bank of America) | 0.22 | 3/7/12 | 6,230,000 | a | 6,230,000 |
| Connecticut Housing Finance Authority, | | | | | |
| Revenue (Housing Mortgage Finance Program) | | | | | |
| (Liquidity Facility; Bank of Tokyo-Mitsubishi UFJ) | 0.16 | 3/7/12 | 8,380,000 | a | 8,380,000 |
| Connecticut Housing Finance Authority, | | | | | |
| Revenue (Housing Mortgage Finance Program) | | | | | |
| (Liquidity Facility; Bank of Tokyo-Mitsubishi UFJ) | 0.16 | 3/7/12 | 13,240,000 | a | 13,240,000 |
| Connecticut Housing Finance Authority, | | | | | |
| Revenue (Housing Mortgage Finance Program) | | | | | |
| (Liquidity Facility; Bank of Tokyo-Mitsubishi UFJ) | 0.16 | 3/7/12 | 12,780,000 | a | 12,780,000 |
| Connecticut Housing Finance Authority, | | | | | |
| Revenue (Housing Mortgage Finance Program) | | | | | |
| (Liquidity Facility; Bank of Tokyo-Mitsubishi UFJ) | 0.16 | 3/7/12 | 20,935,000 | a | 20,935,000 |
| Connecticut Housing Finance Authority, | | | | | |
| Revenue (Housing Mortgage Finance Program) | | | | | |
| (Liquidity Facility; Bank of Tokyo-Mitsubishi UFJ) | 0.16 | 3/7/12 | 1,300,000 | a | 1,300,000 |
10
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | | | |
| | Coupon | Maturity | Principal | | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| District of Columbia—.6% | | | | | |
| District of Columbia, GO Notes, Refunding (LOC; TD Bank) | 0.15 | 3/7/12 | 5,900,000 | a | 5,900,000 |
| District of Columbia, Revenue (American Geophysical | | | | | |
| Union Issue) (LOC; Bank of America) | 0.36 | 3/7/12 | 1,925,000 | a | 1,925,000 |
| Florida—6.1% | | | | | |
| Hillsborough County Industrial Development Authority, Revenue | | | | | |
| (Tampa Metropolitan Area YMCA Project) (LOC; Bank of America) | 0.26 | 3/7/12 | 4,050,000 | a | 4,050,000 |
| Jacksonville, Transportation Revenue (LOC; Wells Fargo Bank) | 0.15 | 3/7/12 | 11,900,000 | a | 11,900,000 |
| Jacksonville Health Facilities Authority, HR (Baptist Medical | | | | | |
| Center Project) (LOC; Branch Banking and Trust Co.) | 0.15 | 3/7/12 | 9,710,000 | a | 9,710,000 |
| Miami-Dade County Health Facilities Authority, HR, Refunding | | | | | |
| (Miami Children’s Hospital Project) (LOC; Wells Fargo Bank) | 0.14 | 3/7/12 | 18,425,000 | a | 18,425,000 |
| Miami-Dade County Health Facilities Authority, HR, Refunding | | | | | |
| (Miami Children’s Hospital Project) (LOC; Wells Fargo Bank) | 0.14 | 3/7/12 | 36,725,000 | a | 36,725,000 |
| Palm Beach County, IDR (Gulfstream Goodwill | | | | | |
| Industies, Inc. Project) (LOC; Wells Fargo Bank) | 0.25 | 3/7/12 | 1,155,000 | a | 1,155,000 |
| Georgia—.5% | | | | | |
| Fulton County Development Authority, Revenue (King’s Ridge | | | | | |
| Christian School Project) (LOC; Branch Banking and Trust Co.) | 0.16 | 3/7/12 | 6,865,000 | a | 6,865,000 |
| Illinois—4.9% | | | | | |
| Chicago, Second Lien Water Revenue, Refunding | | | | | |
| (LOC; California Public Employees Retirement System) | 0.17 | 3/7/12 | 14,535,000 | a | 14,535,000 |
| Chicago, Second Lien Water Revenue, Refunding | | | | | |
| (LOC; State Street Bank and Trust Co.) | 0.15 | 3/7/12 | 3,155,000 | a | 3,155,000 |
| Chicago Board of Education, GO Notes, Refunding | | | | | |
| (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 18,325,000 | a | 18,325,000 |
| Illinois Finance Authority, Revenue (Gift of Hope Organ and | | | | | |
| Tissue Donor Network Project) (LOC; JPMorgan Chase Bank) | 0.19 | 3/7/12 | 7,010,000 | a | 7,010,000 |
| Illinois Finance Authority, Revenue (Merit School | | | | | |
| of Music Project) (LOC; Bank of America) | 0.53 | 3/7/12 | 1,500,000 | a | 1,500,000 |
| Illinois Finance Authority, Revenue | | | | | |
| (Provena Health) (LOC; Union Bank NA) | 0.14 | 3/7/12 | 9,335,000 | a | 9,335,000 |
| Illinois Finance Authority, Revenue (Resurrection | | | | | |
| Health Care) (LOC; JPMorgan Chase Bank) | 0.12 | 3/1/12 | 12,570,000 | a | 12,570,000 |
| Indiana—2.0% | | | | | |
| Indiana Bond Bank, Advance Funding Program Notes | 1.25 | 1/3/13 | 4,500,000 | | 4,533,902 |
| Indiana Finance Authority, Environmental Revenue, | | | | | |
| Refunding (Duke Energy Indiana, Inc. Project) | | | | | |
| (LOC; Mizuho Corporate Bank Ltd.) | 0.12 | 3/7/12 | 12,425,000 | a | 12,425,000 |
| Indiana Health Facility Financing Authority, Hospital Improvement | | | | | |
| Revenue, Refunding (Community Hospitals Projects) | | | | | |
| (P-FLOATS Series MT-662) (Liquidity Facility; | | | | | |
| Bank of America and LOC; Bank of America) | 0.47 | 3/7/12 | 10,000,000 a,b,c | | 10,000,000 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | | | |
| | Coupon | Maturity | Principal | | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Iowa—2.2% | | | | | |
| Hills, Health Facilities Revenue | | | | | |
| (Mercy Hospital Project) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 22,100,000 | a | 22,100,000 |
| Iowa Higher Education Loan Authority, Private College Facility | | | | | |
| Revenue (Des Moines University Project) (LOC; U.S. Bank NA) | 0.15 | 3/1/12 | 8,060,000 | a | 8,060,000 |
| Kentucky—.8% | | | | | |
| Trimble County, Lease Program Revenue (Kentucky | | | | | |
| Association of Counties Leasing Trust) (LOC; U.S. Bank NA) | 0.10 | 3/1/12 | 11,350,000 | a | 11,350,000 |
| Louisiana—.5% | | | | | |
| Saint James Parish, PCR, Refunding | | | | | |
| (Texaco Project) (LOC; Chevron Corp.) | 0.10 | 3/1/12 | 6,300,000 | a | 6,300,000 |
| Maryland—5.2% | | | | | |
| Howard County, Revenue, Refunding (Glenelg Country | | | | | |
| School, Inc. Facility) (LOC; PNC Bank NA) | 0.16 | 3/7/12 | 4,435,000 | a | 4,435,000 |
| Maryland Economic Development Corporation, EDR | | | | | |
| (Catholic Relief Services Facility) (LOC; Bank of America) | 0.24 | 3/7/12 | 12,325,000 | a | 12,325,000 |
| Maryland Health and Higher Educational Facilities | | | | | |
| Authority, Revenue, CP (Johns Hopkins University) | 0.15 | 3/5/12 | 15,667,000 | | 15,667,000 |
| Maryland Health and Higher Educational Facilities | | | | | |
| Authority, Revenue, CP (Johns Hopkins University) | 0.15 | 3/8/12 | 10,000,000 | | 10,000,000 |
| Maryland Industrial Development Financing Authority, | | | | | |
| Recovery Zone Facility Revenue (Wexford Maryland | | | | | |
| BioPark 3, LLC Facility) (LOC; M&T Trust) | 0.21 | 3/7/12 | 10,000,000 | a | 10,000,000 |
| Montgomery County, EDR (George Meany Center for | | | | | |
| Labor Studies—The National Labor College | | | | | |
| Facility) (LOC; Bank of America) | 0.31 | 3/7/12 | 17,265,000 | a | 17,265,000 |
| Massachusetts—.2% | | | | | |
| Massachusetts Health and Educational Facilities | | | | | |
| Authority, Revenue (Tufts University Issue) | | | | | |
| (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 2,800,000 | a | 2,800,000 |
| Michigan—4.9% | | | | | |
| Lenawee County Economic Development Corporation, Revenue, | | | | | |
| Refunding (Siena Heights University Project) (LOC; FHLB) | 0.17 | 3/7/12 | 8,420,000 | a | 8,420,000 |
| Michigan Finance Authority, Unemployment | | | | | |
| Obligation Assessment Revenue (LOC; Citibank NA) | 0.16 | 3/7/12 | 39,000,000 | a | 39,000,000 |
| Michigan Higher Education Facilities Authority, | | | | | |
| LOR (Adrian College Project) (LOC; Comerica Bank) | 0.18 | 3/7/12 | 12,625,000 | a | 12,625,000 |
| Michigan Strategic Fund, LOR | | | | | |
| (MANS, LLC Project) (LOC; Comerica Bank) | 0.21 | 3/7/12 | 6,400,000 | a | 6,400,000 |
| Minnesota—5.8% | | | | | |
| Minnesota Higher Education Facilities Authority, Revenue | | | | | |
| (Gustavus Adolphus College) (LOC; Wells Fargo Bank) | 0.17 | 3/7/12 | 12,450,000 | a | 12,450,000 |
| Minnesota Higher Education Facilities Authority, Revenue | | | | | |
| (The College of Saint Catherine) (LOC; U.S. Bank NA) | 0.15 | 3/7/12 | 2,740,000 | a | 2,740,000 |
12
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | |
| | Coupon | Maturity | Principal | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Minnesota (continued) | | | | |
| Saint Louis Park, MFHR, Refunding (Parkshore Senior | | | | |
| Campus Project) (Liquidity Facility; FHLMC and LOC; FHLMC) | 0.14 | 3/7/12 | 3,100,000a | 3,100,000 |
| University of Minnesota, CP | 0.15 | 3/5/12 | 18,750,000 | 18,750,000 |
| University of Minnesota, CP | 0.15 | 4/5/12 | 18,250,000 | 18,250,000 |
| University of Minnesota, CP | 0.15 | 5/7/12 | 22,600,000 | 22,597,763 |
| Nebraska—1.3% | | | | |
| Lancaster County Hospital Authority Number 1, HR, | | | | |
| Refunding (BryanLGH Medical Center) (LOC; U.S. Bank NA) | 0.14 | 3/7/12 | 17,565,000a | 17,565,000 |
| Nevada—.5% | | | | |
| Clark County, Airport System Subordinate | | | | |
| Lien Revenue (LOC; Citibank NA) | 0.13 | 3/7/12 | 6,600,000a | 6,600,000 |
| New Hampshire—5.3% | | | | |
| New Hampshire Health and Education Facilities | | | | |
| Authority, Revenue (Dartmouth College Issue) | | | | |
| (Liquidity Facility; JPMorgan Chase Bank) | 0.14 | 3/1/12 | 18,300,000a | 18,300,000 |
| New Hampshire Health and Education Facilities Authority, | | | | |
| Revenue (University System of New Hampshire Issue) | | | | |
| (Liquidity Facility; JPMorgan Chase Bank) | 0.11 | 3/1/12 | 23,810,000a | 23,810,000 |
| New Hampshire Health and Education Facilities Authority, | | | | |
| Revenue (University System of New Hampshire Issue) | | | | |
| (Liquidity Facility; U.S. Bank NA) | 0.11 | 3/1/12 | 29,000,000a | 29,000,000 |
| New Jersey—5.2% | | | | |
| East Brunswick Township, GO Notes, BAN | 2.00 | 4/13/12 | 14,400,000 | 14,420,455 |
| East Brunswick Township, GO Notes, BAN | 1.00 | 9/28/12 | 4,000,000 | 4,002,266 |
| East Brunswick Township, GO Notes, BAN | 2.00 | 1/4/13 | 12,777,000 | 12,902,059 |
| Kearny Board of Education, GO Notes, GAN | 1.50 | 10/12/12 | 5,000,000 | 5,015,195 |
| Livingston Township Board of Education, GO Notes, GAN | 1.50 | 9/27/12 | 6,250,000 | 6,276,681 |
| Montclair Township, Temporary Notes | 1.50 | 3/9/12 | 5,000,000 | 5,000,540 |
| Rahway, GO Notes, BAN | 1.00 | 10/3/12 | 7,000,000 | 7,008,161 |
| Rutgers, The State University, GO Notes, | | | | |
| Refunding (Liquidity Facility; TD Bank) | 0.09 | 3/1/12 | 2,500,000a | 2,500,000 |
| West Milford Township, GO Notes, BAN | 1.00 | 10/5/12 | 2,000,000 | 2,002,947 |
| Woodbridge Township Board of Education, Temporary Notes | 1.00 | 2/6/13 | 10,500,000 | 10,548,798 |
| New Mexico—.7% | | | | |
| Alamogordo, Hospital Improvement Revenue, | | | | |
| Refunding (Gerald Champion Regional Medical | | | | |
| Center Project) (LOC; Bank of America) | 0.24 | 3/7/12 | 10,000,000a | 10,000,000 |
| New York—4.8% | | | | |
| Albany Industrial Development Agency, Civic Facility Revenue | | | | |
| (Renaissance Corporation of Albany Project) (LOC; M&T Trust) | 0.21 | 3/7/12 | 1,000,000a | 1,000,000 |
| Amherst Industrial Development Agency, Civic Facility | | | | |
| Revenue (Daemen College Project) (LOC; M&T Trust) | 0.21 | 3/7/12 | 12,200,000a | 12,200,000 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | | |
| | Coupon | Maturity | Principal | | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| New York (continued) | | | | | |
| Dutchess County Industrial Development Agency, Civic Facility | | | | | |
| Revenue (Brookview, Inc. Project) (LOC; M&T Trust) | 0.21 | 3/7/12 | 8,435,000 | a | 8,435,000 |
| Erie County Industrial Development Agency, | | | | | |
| Civic Facility Revenue (The Canisius High | | | | | |
| School of Buffalo, N.Y. Project) (LOC; M&T Trust) | 0.21 | 3/7/12 | 21,015,000 | a | 21,015,000 |
| New York City Capital Resource Corporation, Recovery Zone | | | | | |
| Facility Revenue (WytheHotel Project) (LOC; M&T Trust) | 0.22 | 3/7/12 | 3,700,000 | a | 3,700,000 |
| New York State Housing Finance Agency, | | | | | |
| Housing Revenue (25 Washington Street) (LOC; M&T Trust) | 0.18 | 3/7/12 | 7,800,000 | a | 7,800,000 |
| Onondaga County Industrial Development Agency, | | | | | |
| Civic Facility Revenue (Syracuse Research | | | | | |
| Corporation Facility) (LOC; M&T Trust) | 0.21 | 3/7/12 | 3,920,000 | a | 3,920,000 |
| Tompkins County Industrial Development Agency, | | | | | |
| Civic Facility Revenue (Community Development | | | | | |
| Properties Ithaca, Inc. Project) (LOC; M&T Trust) | 0.26 | 3/7/12 | 6,500,000 | a | 6,500,000 |
| North Carolina—.5% | | | | | |
| North Carolina Capital Facilities Finance Agency, | | | | | |
| Educational Facilities Revenue (High Point University | | | | | |
| Project) (LOC; Branch Banking and Trust Co.) | 0.16 | 3/7/12 | 5,325,000 | a | 5,325,000 |
| North Carolina Capital Facilities Finance Agency, Revenue | | | | | |
| (Montessori Children’s Center, Inc.) (LOC; Bank of America) | 0.28 | 3/7/12 | 1,175,000 | a | 1,175,000 |
| Ohio—4.0% | | | | | |
| Akron, GO Notes, BAN (Various Purpose) | 1.13 | 11/15/12 | 4,650,000 | | 4,667,139 |
| Hamilton County, Hospital Facilities Revenue (University | | | | | |
| Hospital) (P-FLOATS Series MT-640) (Liquidity Facility; | | | | | |
| Bank of America and LOC; Bank of America) | 0.57 | 3/7/12 | 40,000,000 a,b,c | | 40,000,000 |
| Warren County, Health Care Facilities Improvement | | | | | |
| Revenue (Otterbein Homes Project) (LOC; U.S. Bank NA) | 0.16 | 3/7/12 | 9,200,000 | a | 9,200,000 |
| Oregon—1.5% | | | | | |
| Umatilla Indian Reservation Confederated Tribes, | | | | | |
| Tribal Infrastructure Revenue (LOC; Wells Fargo Bank) | 0.15 | 3/7/12 | 20,705,000 | a | 20,705,000 |
| Pennsylvania—9.7% | | | | | |
| Allegheny County, GO Notes, TRAN | 1.50 | 7/16/12 | 40,000,000 | | 40,192,909 |
| Allegheny County, GO Notes, TRAN | 2.00 | 7/16/12 | 18,300,000 | | 18,422,446 |
| Allegheny County Industrial Development Authority, | | | | | |
| Revenue (The Watson Institute Friendship | | | | | |
| Academy Project) (LOC; PNC Bank NA) | 0.16 | 3/7/12 | 3,750,000 | a | 3,750,000 |
| Beaver County Industrial Development Authority, PCR, | | | | | |
| Refunding (FirstEnergy Nuclear Generation | | | | | |
| Corporation Project) (LOC; Citibank NA) | 0.15 | 3/7/12 | 39,500,000 | a | 39,500,000 |
| Chester County Industrial Development Authority, | | | | | |
| Revenue (Archdiocese of Philadelphia) (LOC; PNC Bank NA) | 0.14 | 3/7/12 | 7,675,000 | a | 7,675,000 |
| Emmaus General Authority, Local Government | | | | | |
| Revenue (LOC; U.S. Bank NA) | 0.14 | 3/7/12 | 3,400,000 | a | 3,400,000 |
14
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | | | |
| |
| | Coupon | Maturity | Principal | | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | | Value ($) |
| Pennsylvania (continued) | | | | | |
| Monroe County Hospital Authority, HR | | | | | |
| (Pocono Medical Center) (LOC; PNC Bank NA) | 0.16 | 3/7/12 | 3,330,000 | a | 3,330,000 |
| RBC Municipal Products Inc. Trust (Series C-14) | | | | | |
| (Central Bradford Progress Authority, Revenue | | | | | |
| (Robert Packer Hospital Issue)) (Liquidity Facility; | | | | | |
| Royal Bank of Canada and LOC; Royal Bank of Canada) | 0.16 | 3/7/12 | 6,995,000 a,b,c | | 6,995,000 |
| RBC Municipal Products Inc. Trust (Series E-28) (Manheim | | | | | |
| Township School District, GO Notes) (Liquidity Facility; | | | | | |
| Royal Bank of Canada and LOC; Royal Bank of Canada) | 0.16 | 3/7/12 | 6,000,000 a,b,c | | 6,000,000 |
| Rhode Island—.7% | | | | | |
| Rhode Island State and Providence Plantations, GO Notes, TAN | 2.00 | 6/29/12 | 9,000,000 | | 9,050,049 |
| South Carolina—1.3% | | | | | |
| South Carolina Association of Governmental Organizations, COP | 1.50 | 4/13/12 | 18,000,000 | | 18,026,728 |
| Tennessee—.5% | | | | | |
| Blount County Public Building Authority, Local Government | | | | | |
| Public Improvement Revenue (Liquidity Facility; | | | | | |
| Branch Banking and Trust Co.) | 0.16 | 3/7/12 | 5,450,000 | a | 5,450,000 |
| Chattanooga Health Educational and Housing Facility | | | | | |
| Board, Revenue (Southern Adventist University | | | | | |
| Project) (LOC; Bank of America) | 0.26 | 3/7/12 | 1,885,000 | a | 1,885,000 |
| Texas—8.3% | | | | | |
| Jefferson County Industrial Development Corporation, | | | | | |
| Hurricane Ike Disaster Area Revenue (Jefferson | | | | | |
| Refinery, L.L.C. Project) (LOC; Branch Banking and Trust Co.) | 0.30 | 3/29/12 | 3,000,000 | | 3,000,000 |
| Jefferson County Industrial Development Corporation, | | | | | |
| Hurricane Ike Disaster Area Revenue (Jefferson | | | | | |
| Refinery, L.L.C. Project) (LOC; Branch Banking and Trust Co.) | 0.50 | 3/29/12 | 28,900,000 | | 28,900,000 |
| JPMorgan Chase Putters/Drivers Trust (Series 3946) (Texas, | | | | | |
| GO Notes, TRAN) (Liquidity Facility; JPMorgan Chase Bank) | 0.13 | 3/1/12 | 29,000,000 a,b,c | | 29,000,000 |
| JPMorgan Chase Putters/Drivers Trust (Series 3964) (Texas, | | | | | |
| GO Notes, TRAN) (Liquidity Facility; JPMorgan Chase Bank) | 0.13 | 3/1/12 | 35,000,000 a,b,c | | 35,000,000 |
| Lower Colorado River Authority, Revenue, CP | | | | | |
| (Lower Colorado River Authority Transportation | | | | | |
| Services Corp.) (Liquidity Facility; JPMorgan Chase Bank) | 0.16 | 4/4/12 | 6,250,000 | | 6,249,768 |
| RBC Municipal Products Inc. Trust (Series E-27) (Harris County | | | | | |
| Health Facilities Development Corporation, HR, Refunding | | | | | |
| (Memorial Hermann Healthcare System)) (Liquidity Facility; | | | | | |
| Royal Bank of Canada and LOC; Royal Bank of Canada) | 0.16 | 3/7/12 | 5,000,000 a,b,c | | 5,000,000 |
| Texas Transportation Commission, State Highway Fund | | | | | |
| First Tier Revenue (P-FLOATS Series MT-715) | | | | | |
| (Liquidity Facility; Bank of America) | 0.22 | 3/7/12 | 5,000,000 a,b,c | | 5,000,000 |
| Utah—.2% | | | | | |
| Utah Housing Corporation, MFHR | | | | | |
| (Timbergate Apartments Project) (LOC; FHLMC) | 0.21 | 3/7/12 | 3,125,000 | a | 3,125,000 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | |
| BNY Mellon National Municipal Money Market Fund (continued) | | | |
| | Coupon | Maturity | Principal | |
| Short-Term Investments (continued) | Rate (%) | Date | Amount ($) | Value ($) |
| Virginia—1.4% | | | | |
| Alexandria Industrial Development Authority, Revenue (Institute | | | | |
| for Defense Analyses Project) (LOC; Branch Banking and Trust Co.) | 0.16 | 3/7/12 | 9,875,000a | 9,875,000 |
| Williamsburg Industrial Development Authority, Revenue | | | | |
| (The Colonial Williamsburg Foundation) (LOC; Wells Fargo Bank) | 0.15 | 3/7/12 | 8,800,000a | 8,800,000 |
| Washington—2.5% | | | | |
| Tulalip Tribes of the Tulalip Reservation, Revenue, | | | | |
| Refunding (Capital Projects) (LOC; Wells Fargo Bank) | 0.15 | 3/7/12 | 2,625,000a | 2,625,000 |
| Vancouver Housing Authority, Pooled Housing Revenue, | | | | |
| Refunding (Liquidity Facility; FHLMC and LOC; FHLMC) | 0.20 | 3/7/12 | 4,400,000a | 4,400,000 |
| Washington, Various Purpose GO, Refunding (P-FLOATS | | | | |
| Series PT-4658) (Liquidity Facility; Bank of America) | 0.22 | 3/7/12 | 6,065,000 a,b,c | 6,065,000 |
| Wells Fargo Stage Trust (Series 36C) (Washington Health Care | | | | |
| Facilities Authority, Revenue (PeaceHealth)) (Liquidity | | | | |
| Facility; Wells Fargo Bank and LOC; Wells Fargo Bank) | 0.17 | 3/7/12 | 19,995,000 a,b,c | 19,995,000 |
| Wisconsin—.5% | | | | |
| Wisconsin Health and Educational Facilities Authority, | | | | |
| Revenue (Cedar Crest, Inc.) (LOC; Bank of Montreal) | 0.16 | 3/7/12 | 7,120,000a | 7,120,000 |
| |
| Total Investments (cost $1,322,784,098) | | | 98.1% | 1,322,784,806 |
| Cash and Receivables (Net) | | | 1.9% | 25,979,352 |
| Net Assets | | | 100.0% | 1,348,764,158 |
|
| a Variable rate demand note—rate shown is the interest rate in effect at February 29, 2012. Maturity date represents the next demand date, or the ultimate maturity date if earlier. |
| b Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in transactions exempt from registration, normally to qualified |
| institutional buyers.At February 29, 2012, these securities amounted to $176,555,000 or 13.1% of net assets. |
| c The fund does not directly own the municipal security indicated; the fund owns an interest in a special purpose entity that, in turn, owns the underlying municipal security.The |
| special purpose entity permits the fund to own interests in underlying assets, but in a manner structured to provide certain advantages not inherent in the underlying bonds (e.g., |
| enhanced liquidity, yields linked to short-term rates). |
16
| | | | | | |
| Summary of Abbreviations | | | | |
| |
| |
| ABAG | Association of Bay Area Governments | | ACA | American Capital Access |
| AGC | ACE Guaranty Corporation | | AGIC | Asset Guaranty Insurance Company |
| AMBAC | American Municipal Bond Assurance Corporation | ARRN | Adjustable Rate Receipt Notes |
| BAN | Bond Anticipation Notes | | BPA | Bond Purchase Agreement |
| CIFG | CDC Ixis Financial Guaranty | | COP | Certificate of Participation |
| CP | Commercial Paper | | DRIVERS | Derivative Inverse Tax-Exempt Receipts |
| EDR | Economic Development Revenue | | EIR | Environmental Improvement Revenue |
| FGIC | Financial Guaranty Insurance Company | | FHA | Federal Housing Administration |
| FHLB | Federal Home Loan Bank | | FHLMC | Federal Home Loan Mortgage Corporation |
| FNMA | Federal National Mortgage Association | | GAN | Grant Anticipation Notes |
| GIC | Guaranteed Investment Contract | | GNMA | Government National Mortgage Association |
| GO | General Obligation | | HR | Hospital Revenue | |
| IDB | Industrial Development Board | | IDC | Industrial Development Corporation |
| IDR | Industrial Development Revenue | | LOC | Letter of Credit | |
| LOR | Limited Obligation Revenue | | LR | Lease Revenue | |
| MERLOTS | Municipal Exempt Receipt Liquidity Option Tender | MFHR | Multi-Family Housing Revenue |
| MFMR | Multi-Family Mortgage Revenue | | PCR | Pollution Control Revenue |
| PILOT | Payment in Lieu of Taxes | | P-FLOATS | Puttable Floating Option Tax-Exempt Receipts |
| PUTTERS | Puttable Tax-Exempt Receipts | | RAC | Revenue Anticipation Certificates |
| RAN | Revenue Anticipation Notes | | RAW | Revenue Anticipation Warrants |
| ROCS | Reset Options Certificates | | RRR | Resources Recovery Revenue |
| SAAN | State Aid Anticipation Notes | | SBPA | Standby Bond Purchase Agreement |
| SFHR | Single Family Housing Revenue | | SFMR | Single Family Mortgage Revenue |
| SONYMA | State of New York Mortgage Agency | | SWDR | Solid Waste Disposal Revenue |
| TAN | Tax Anticipation Notes | | TAW | Tax Anticipation Warrants |
| TRAN | Tax and Revenue Anticipation Notes | | XLCA | XL Capital Assurance | |
| |
| |
| |
| Summary of Combined Ratings (Unaudited) | | | |
| |
| Fitch | or | Moody’s | or | Standard & Poor’s | Value (%)† |
| F1+,F1 | | VMIG1,MIG1,P1 | | SP1+,SP1,A1+,A1 | 92.8 |
| AAA,AA,Ad | | Aaa,Aa,Ad | | AAA,AA,Ad | | .4 |
| Not Ratede | | Not Ratede | | Not Ratede | | 6.8 |
| | | | | | | 100.0 |
|
| † Based on total investments. |
| d Notes which are not F, MIG and SP rated are represented by bond ratings of the issuers. |
| e Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to be of comparable quality to those rated securities in which the |
| fund may invest. |
See notes to financial statements.
STATEMENT OF ASSETS AND LIABILITIES
February 29, 2012 (Unaudited)
| | | | |
| | BNY Mellon | BNY Mellon |
| | Money Market | National Municipal |
| | Fund | Money Market Fund |
| Assets ($): | | |
| Investments in securities—See Statement of Investments† | | |
| (including Repurchase Agreements of $175,000,000 | | |
| for BNY Mellon Money Market Fund)—Note 2(c) | 996,265,769 | 1,322,784,806 |
| Cash | 951,448 | 114,883 |
| Receivable for investment securities sold | — | 25,000,355 |
| Interest receivable | 206,678 | 1,140,238 |
| Prepaid expenses | 22,103 | 24,603 |
| | 997,445,998 | 1,349,064,885 |
| Liabilities ($): | | |
| Due to The Dreyfus Corporation and affiliates—Note 3(b) | 110,334 | 110,929 |
| Due to Administrator—Note 3(a) | 98,076 | 136,281 |
| Payable for shares of Beneficial Interest redeemed | 40,604 | — |
| Accrued expenses | 53,455 | 53,517 |
| | 302,469 | 300,727 |
| Net Assets ($) | 997,143,529 | 1,348,764,158 |
| Composition of Net Assets ($): | | |
| Paid-in capital | 997,145,562 | 1,350,235,825 |
| Accumulated net realized gain (loss) on investments | (2,033) | (1,472,375) |
| Accumulated gross unrealized appreciation on investments | — | 708 |
| Net Assets ($) | 997,143,529 | 1,348,764,158 |
| Net Asset Value Per Share | | |
| Class M Shares | | |
| Net Assets ($) | 991,112,363 | 1,347,662,125 |
| Shares Outstanding | 991,114,390 | 1,349,133,545 |
| Net Asset Value Per Share ($) | 1.00 | 1.00 |
| Investor Shares | | |
| Net Assets ($) | 6,031,166 | 1,102,033 |
| Shares Outstanding | 6,031,172 | 1,103,195 |
| Net Asset Value Per Share ($) | 1.00 | 1.00 |
| † Investments at cost ($) | 996,265,769 | 1,322,784,098 |
| |
| See notes to financial statements. | | |
18
STATEMENT OF OPERATIONS
Six Months Ended February 29, 2012 (Unaudited)
| | | | |
| | BNY Mellon | BNY Mellon |
| | Money Market | National Municipal |
| | Fund | Money Market Fund |
| Investment Income ($): | | |
| Interest Income | 861,449 | 1,267,093 |
| Expenses: | | |
| Investment advisory fee—Note 3(a) | 756,049 | 1,052,538 |
| Administration fee—Note 3(a) | 628,803 | 875,401 |
| Custodian fees—Note 3(b) | 53,029 | 45,958 |
| Trustees’ fees and expenses—Note 3(c) | 31,707 | 46,580 |
| Professional fees | 18,605 | 22,224 |
| Registration fees | 14,059 | 13,639 |
| Prospectus and shareholders’ reports | 5,253 | 4,879 |
| Shareholder servicing costs—Note 3(b) | 4,576 | 882 |
| Miscellaneous | 11,746 | 21,776 |
| Total Expenses | 1,523,827 | 2,083,877 |
| Less—reduction in expenses due to undertaking—Note 3(a) | (662,172) | (817,041) |
| Less—reduction in fees due to earnings credits—Note 3(b) | (393) | — |
| Net Expenses | 861,262 | 1,266,836 |
| Investment Income—Net | 187 | 257 |
| Realized and Unrealized Gain (Loss) on Investments—Note 2(b) ($): | | |
| Net realized gain (loss) on investments | — | 7,676 |
| Net unrealized appreciation (depreciation) on investments | — | 708 |
| Net Realized and Unrealized Gain (Loss) on Investments | — | 8,384 |
| Net Increase in Net Assets Resulting from Operations | 187 | 8,641 |
| |
| See notes to financial statements. | | |
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | | BNY Mellon National |
| | BNY Mellon Money Market Fund | Municipal Money Market Fund |
| | Six Months Ended | | Six Months Ended | |
| | February 29, 2012 | Year Ended | February 29, 2012 | Year Ended |
| | (Unaudited) | August 31, 2011 | (Unaudited) | August 31, 2011 |
| Operations ($): | | | | |
| Investment income—net | 187 | 188,295 | 257 | 501,481 |
| Net realized gain (loss) from investments | — | 1,862 | 7,676 | 70,969 |
| Net unrealized appreciation (depreciation) on investments | — | — | 708 | — |
| Net Increase (Decrease) in Net Assets | | | | |
| Resulting from Operations | 187 | 190,157 | 8,641 | 572,450 |
| Dividends to Shareholders from ($): | | | | |
| Investment income—net: | | | | |
| Class M Shares | (180) | (188,295) | (257) | (501,481) |
| Investor Shares | (7) | — | — | — |
| Total Dividends | (187) | (188,295) | (257) | (501,481) |
| Beneficial Interest Transactions ($1.00 per share): | | | | |
| Net proceeds from shares sold: | | | | |
| Class M Shares | 939,491,300 | 2,272,717,006 | 1,256,484,228 | 3,261,289,405 |
| Investor Shares | 6,819,307 | 5,353,986 | 2,294,141 | 1,016,239 |
| Dividends reinvested: | | | | |
| Class M Shares | — | 20 | — | 9 |
| Investor Shares | 7 | — | — | — |
| Cost of shares redeemed: | | | | |
| Class M Shares | (954,489,868) | (2,359,378,733) | (1,261,591,898) | (3,459,874,403) |
| Investor Shares | (2,310,211) | (4,144,401) | (1,463,263) | (745,031) |
| Increase (Decrease) in Net Assets from | | | | |
| Beneficial Interest Transactions | (10,489,465) | (85,452,122) | (4,276,792) | (198,313,781) |
| Total Increase (Decrease) In Net Assets | (10,489,465) | (85,450,260) | (4,268,408) | (198,242,812) |
| Net Assets ($): | | | | |
| Beginning of Period | 1,007,632,994 | 1,093,083,254 | 1,353,032,566 | 1,551,275,378 |
| End of Period | 997,143,529 | 1,007,632,994 | 1,348,764,158 | 1,353,032,566 |
| |
| See notes to financial statements. | | | | |
20
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class of each BNY Mellon money market fund for the fiscal periods indicated.All information reflects financial results for a single fund share.Total return shows how much your investment in each fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the funds’ financial statements.
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Money Market Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Investment Operations: | | | | | | |
| Investment income—net | .000a | .000a | .001 | .012 | .037 | .050 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.000)a | (.000)a | (.001) | (.012) | (.037) | (.050) |
| Net asset value, end of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Total Return (%) | .00b,c | .02 | .07 | 1.24 | 3.72 | 5.16 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .30b | .30 | .30 | .33 | .30 | .30 |
| Ratio of net expenses to average net assets | .17b | .26 | .29 | .33 | .30 | .30 |
| Ratio of net investment income to average net assets | .00b,c | .02 | .07 | 1.08 | 3.53 | 5.04 |
| Net Assets, end of period ($ x 1,000) | 991,112 | 1,006,111 | 1,092,771 | 1,934,739 | 1,175,866 | 843,242 |
| |
| a | Amount represents less than $.001 per share. |
| b | Annualized. |
| c | Amount represents less than .01%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon Money Market Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Investment Operations: | | | | | | |
| Investment income—net | .000a | .000a | .000a | .010 | .034 | .048 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.000)a | (.000)a | (.000)a | (.010) | (.034) | (.048) |
| Net asset value, end of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Total Return (%) | .00b,c | .00c | .00c | .99 | 3.47 | 4.89 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .58b | .55 | .55 | .58 | .55 | .55 |
| Ratio of net expenses to average net assets | .18b | .26 | .38 | .58 | .55 | .55 |
| Ratio of net investment income to average net assets | .00b,c | .00c | .00c | .97 | 3.39 | 4.80 |
| Net Assets, end of period ($ x 1,000) | 6,031 | 1,522 | 312 | 1,701 | 1,588 | 1,354 |
| |
| a | Amount represents less than $.001 per share. |
| b | Annualized. |
| c | Amount represents less than .01%. |
See notes to financial statements.
22
| | | | | | | | | | | | |
| | | | Class M Shares | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | |
| BNY Mellon National Municipal Money Market Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Investment Operations: | | | | | | |
| Investment income—net | .000a | .000a | .000a | .008 | .024 | .033 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.000)a | (.000)a | (.000)a | (.008) | (.024) | (.033) |
| Net asset value, end of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Total Return (%) | .00b,c | .03 | .05 | .79 | 2.39 | 3.40 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .30b | .29 | .30 | .35 | .31 | .30 |
| Ratio of net expenses to average net assets | .18b | .26 | .28 | .34 | .28 | .30 |
| Ratio of net investment income to average net assets | .00b,c | .03 | .04 | .80 | 2.24 | 3.35 |
| Net Assets, end of period ($ x 1,000) | 1,347,662 | 1,352,760 | 1,551,274 | 1,770,608 | 1,629,931 | 940,257 |
| |
| a | Amount represents less than $.001 per share. |
| b | Annualized. |
| c | Amount represents less than .01%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS (continued)
| | | | | | | | | | | | |
| | | | Investor Shares | | | |
| | Six Months Ended | | | | | |
| | February 29, 2012 | | Year Ended August 31, | | |
| BNY Mellon National Municipal Money Market Fund | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
| Per Share Data ($): | | | | | | |
| Net asset value, beginning of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Investment Operations: | | | | | | |
| Investment income—net | .000a | .000a | .000a | .006 | .021 | .031 |
| Distributions: | | | | | | |
| Dividends from investment income—net | (.000)a | (.000)a | (.000)a | (.006) | (.021) | (.031) |
| Net asset value, end of period | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Total Return (%) | .00b,c | .00c | .00c | .60 | 2.13 | 3.15 |
| Ratios/Supplemental Data (%): | | | | | | |
| Ratio of total expenses to average net assets | .57b | .54 | .55 | .60 | .56 | .56 |
| Ratio of net expenses to average net assets | .18b | .29 | .33 | .53 | .53 | .55 |
| Ratio of net investment income to average net assets | .00b,c | .00c | .00c | .57 | 2.05 | 3.16 |
| Net Assets, end of period ($ x 1,000) | 1,102 | 272 | 1 | 1 | 1 | 1 |
| |
| a | Amount represents less than $.001 per share. |
| b | Annualized. |
| c | Amount represents less than .01%. |
See notes to financial statements.
24
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—General:
BNY Mellon Funds Trust (the “Trust”) was organized as a Massachusetts business trust which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently consisting of twenty-seven series, including the following diversified money market funds: BNY Mellon Money Market Fund and BNY Mellon National Municipal Money Market Fund (each, a “fund” and collectively, the “funds”). BNY Mellon Money Market Fund’s investment objective is to seek as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. BNY Mellon National Municipal Money Market Fund’s investment objective is to provide investors with as high a level of current income exempt from federal income tax as is consistent with the preservation of capital and the maintenance of liquidity.
BNY Mellon Fund Advisers, a division of The Dreyfus Corporation (the “Manager” or “Dreyfus), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as each fund’s investment adviser (“Investment Adviser”).The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as administrator for the funds pursuant to an Administration Agreement with the Trust (the “Administration Agreement”). The Bank of New York Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to whichThe Bank of New York Mellon pays Dreyfus for performing certain administrative services. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of each fund’s shares, which are sold without a sales charge.
The Trust is authorized to issue an unlimited number of shares of Beneficial Interest, par value $.001 per share, in Class M and Investor Class shares of each fund. Each class of shares has similar rights and privileges, except with respect to the expenses borne by and the shareholder services offered to each class and the shareholder services plan applicable to the Investor shares, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized gains or losses on investments are allocated to each class of shares based on its relative net assets.
TheTrust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses that are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 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. Each 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.
NOTE 2—Significant Accounting Policies:
(a) Portfolio valuation: Investments in securities are valued at amortized cost in accordance with Rule 2a-7 of the Act, which has been determined by the Trust’s Board to represent the fair value of the funds’ investments.
It is the funds’ policy to maintain a continuous net asset value per share of $1.00; the funds have adopted certain investment, portfolio valuation and dividend and distribution policies to enable them to do so. There is no assurance, however, that the funds will be able to maintain a stable net asset value per share of $1.00.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 each 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 funds’ 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. For example, money market securities are valued using amortized cost, in accordance with rules under theAct. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected within Level 2 of the fair value hierarchy.
Table 1 summarizes the inputs used as of February 29, 2012 in valuing each fund’s investments.
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS.ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements.The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
| | | | |
| Table 1—Fair Value Measurements | | | | |
| |
| |
| | | Short-Term Investments ($)† | |
| | Level 1—Unadjusted | Level 2—Other Significant | Level 3—Significant | |
| | Quoted Prices | Observable Inputs | Unobservable Inputs | Total |
| BNY Mellon Money Market Fund | — | 996,265,769 | — | 996,265,769 |
| BNY Mellon National Municipal | | | | |
| Money Market Fund | — | 1,322,784,806 | — | 1,322,784,806 |
| |
| † | See Statements of Investments for additional detailed categorizations. |
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(b) Securities transactions and investment income:
Securities transactions are recorded on a trade date basis. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized on the accrual basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Cost of investments represents amortized cost.
(c) Repurchase agreements: The funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, a fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed upon price and time, thereby determining the yield during the fund’s holding period.This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund’s holding period.The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counterparty default, the fund has the right to use the collateral to offset losses incurred.There is potential loss to the fund in the event the fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert its rights. The Investment Adviser reviews the value of the collateral and the credit-worthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks.
(d) Dividends to shareholders: Dividends payable to shareholders are recorded by the funds on the ex-dividend date.The funds declare dividends daily from investment income-net; such dividends are paid monthly.With respect to each series, dividends from net realized capital gains, if any, are normally declared and paid annually, but the funds may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers of that fund, it is the policy of the fund not to distribute such gains.
(e) Federal income taxes: It is the policy of BNY Mellon Money Market 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 sufficient to relieve it from substantially all federal income and excise taxes. It is the policy of BNY Mellon National Municipal Market Fund to continue to qualify as a regulated investment company, which can distribute tax exempt dividends, by complying with the applicable provisions of the Code, and to make distributions of income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each series is treated as a single entity for the purpose of determining such qualification.
As of and during the period ended February 29, 2012, the funds did not have any liabilities for any uncertain tax positions.The funds recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statements of Operations. During the period, the funds did not incur any interest or penalties.
Each of the tax years in the three-year period ended August 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), the fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than short-term as they were under previous statute.The 2010 Act requires post-enactment losses to be utilized before
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment losses may be more likely to expire unused.
BNY Mellon Money Market Fund has an unused capital loss carryover of $2,033 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to August 31, 2011. If not applied, the carryover expires in fiscal 2017.
BNY Mellon National Municipal Money Market Fund has an unused capital loss carryover of $1,480,051 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to August 31, 2011. If not applied, the carryover expires in fiscal 2017.
The tax character of distributions paid to shareholders during the fiscal year ended August 31, 2011 was all ordinary income for BNY Mellon Money Market Fund and for BNY Mellon National Municipal Money Market Fund was all tax-exempt income.The tax character of current year distributions will be determined at the end of the current fiscal year.
At February 29, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statements of Investments).
NOTE 3—Investment Advisory Fee, Administration Fee and Other Transactions With Affiliates:
(a) Fees payable by the funds pursuant to the provisions of an investment advisory agreement with the Investment Adviser are payable monthly, computed on the average daily value of each fund’s net assets at the following annual rates: .15% of BNY Mellon Money Market Fund and .15% of BNY Mellon National Municipal Money Market Fund.
Pursuant to the Administration Agreement,The Bank of New York Mellon provides or arranges for fund accounting, transfer agency and other fund administration services and receives a fee based on the total net assets of the Trust based on the following rates:
| | |
| 0 up to $6 billion | .15% |
| $6 billion up to $12 billion | .12% |
| In excess of $12 billion | .10% |
The Bank of NewYork Mellon has entered into a Sub-Administration Agreement with Dreyfus pursuant to which The Bank of New York Mellon pays Dreyfus for performing certain administrative services.
BNY Mellon Fund Advisors have undertaken to waive receipt of the management fee and/or reimburse operating expenses in order to facilitate a daily yield at or above a certain level which may change from time to time. Table 2 summarizes the amount of the reduction in expenses for Class M and Investor shares of each fund.
Table 2—Yield Floor Expense Reimbursement Amounts
| | |
| | Class M | Investor |
| | Shares | Shares |
| |
| BNY Mellon | | |
| Money Market Fund | 655,411 | 6,761 |
| BNY Mellon National Municipal | | |
| Money Market Fund | 815,766 | 1,275 |
(b) The funds have adopted a Shareholder Services Plan with respect to its Investor shares pursuant to which each fund pays the Distributor for the provision of certain services to holders of Investor shares a fee at an annual rate of .25% of the value of the average daily net assets attributable to Investor shares.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding a fund, and providing reports and other information, and services related to the maintenance of such shareholder accounts. The
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Shareholder Services Plan allows the Distributor to make payments from the shareholder services fees it collects from each fund to compensate service agents (certain banks, securities brokers or dealers and other financial institutions) in respect of these services. Table 3 summarizes the amount Investor shares of each fund were charged during the period ended February 29, 2012, pursuant to the Shareholder Services Plan. Additional fees included in shareholder servicing costs in the Statements of Operations include fees paid for cash management charges.
| | |
| Table 3—Shareholder Services Plan Fees | | |
| BNY Mellon Money Market Fund | $ | 4,557 |
| BNY Mellon National Municipal | | |
| Money Market Fund | | 868 |
The funds have arrangements with the custodian and cash management bank whereby the funds may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the funds include net earnings credits as an expense offset in the Statements of Operations.
The funds compensate The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. Table 4 summarizes the amount each fund was charged during the period ended February 29, 2012, pursuant to the cash management agreements, which is included in Shareholder servicing costs in the Statements of Operations.
| |
| Table 4—Cash Management Agreement Fees |
| | Cash Management |
| | Fees ($) |
| |
| BNY Mellon | |
| Money Market Fund | 10 |
| BNY Mellon National | |
| Municipal Money Market Fund | 7 |
The funds also compensate The Bank of New York Mellon under a custody agreement for providing custodial services for each fund.These fees were partially offset by earnings credits pursuant to the custody agreement, also summarized in Table 5 for each relevant fund.
| | | |
| Table 5—Custody Agreement Fees | | |
| | Custody | Earnings |
| | Fees ($) | Credits ($) |
| BNY Mellon Money Market Fund | 53,029 | (393) |
| BNY Mellon National Municipal | | |
| Money Market Fund | 45,958 | — |
During the period ended February 29, 2012, each fund was charged $3,209 for services performed by the Chief Compliance Officer and his staff.
Table 6 summarizes the components of “Due to The Dreyfus Corporation and affiliates” in the Statements of Assets and Liabilities for each fund.
| | | | | | |
| Table 6—Due to The Dreyfus Corporation and Affiliates | | | | |
| |
| |
| | Investment | Shareholder | | Chief | |
| | Advisory | Services | Custody | Compliance | Less Expense |
| | Fees ($) | Plan Fees ($) | Fees ($) | Officer Fees ($) | Reimbursement ($) |
| BNY Mellon Money Market Fund | 118,686 | 1,251 | 42,500 | 1,061 | (53,164) |
| BNY Mellon National | | | | | |
| Municipal Money Market Fund | 165,079 | 201 | 37,800 | 1,061 | (93,212) |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(c) Each trustee who is not an “affiliated person” as defined in the Act receives from the Trust an annual fee of $68,000 and an attendance fee of $7,500 for each in-person meeting attended and $500 for telephone meetings and is reimbursed for travel and out-of-pocket expenses.The Chairman of the Trust’s Board receives an additional annual fee of $15,000 and the Chairman of the Trust’s Audit Committee receives an additional annual fee of $10,000. Effective March 13, 2012, the annual fee increased to $80,000, with the Chairman of the Trust’s Board and Audit Committee receiving additional annual fees of $20,000 and $15,000, respectively.
NOTE 4—Securities Transactions:
BNY Mellon National Municipal Money Market Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Trust’s Board.The procedures have been designed to ensure that any purchase or sale of securities by the fund from or to another fund or portfolio that are, or could be, considers an affiliate by virtue of having a common investment adviser (or affiliated investment adviser), common Trustees and/or common officers, complies with Rule 17a-7 of the Act. During the period ended February 29, 2012, BNY Mellon National Municipal Money Market Fund engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act amounting to $249,364,000 and $361,750,000, respectively.
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For More Information
Telephone Wealth Management (WM) Clients, please contact your Account Officer or call 1-888-281-7350. Brokerage Clients of BNY Mellon Wealth Advisors (BNYMWA), please contact your financial representative or call 1-800-830-0549, Option 2. Individual Account holders, please call Dreyfus at 1-800-DREYFUS.
Mail WM Clients, write to your Account Officer, c/o The Bank of New York Mellon, One Mellon Bank Center, Pittsburgh, PA 15258 BNYMWA Brokerage Clients, write to your financial representative, P.O. Box 9012, Hicksville, NY 11802–9012 Individual Account Holders, write to: BNY Mellon Funds, P.O. Box 55268, Boston, MA 02205–8502
Each fund will disclose daily, on http://www.dreyfus.com, the fund’s complete schedule of holdings as of the end of the previous business day. The schedule of holdings will remain on the website until the fund files its Form N-Q or Form N-CSR for the period that includes the date of the posted holdings.
The funds file their 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-Q. The funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Information regarding how the funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available on the SEC’s website at http://www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED END FUNDS ONLY]
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. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
BNY Mellon Funds Trust
By: /s/ David K. Mossman |
David K. Mossman, President |
Date: | 4/23/2012 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. |
|
By: /s/ David K. Mossman |
David K. Mossman, President |
Date: | 4/23/2012 |
|
By: /s/ James Windels |
James Windels, Treasurer |
Date: | 4/23/2012 |
|
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)
