STATEMENT OF INVESTMENTS
BNY Mellon New York Intermediate Tax-Exempt Bond Fund
November 30, 2023 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% | |||||||||
Alabama - .8% | |||||||||
Black Belt Energy Gas District, Revenue Bonds (Project No. 6) Ser. B | 4.00 | 12/1/2026 | 750,000 | a | 742,589 | ||||
Illinois - 2.1% | |||||||||
Chicago II, GO, Refunding, Ser. A | 5.00 | 1/1/2029 | 500,000 | 526,620 | |||||
Chicago II, GO, Refunding, Ser. A | 5.00 | 1/1/2026 | 500,000 | 511,094 | |||||
Chicago Park District, GO, Refunding, Ser. C | 4.00 | 1/1/2036 | 1,000,000 | 1,007,071 | |||||
2,044,785 | |||||||||
Iowa - .6% | |||||||||
PEFA, Revenue Bonds (Gas Project) | 5.00 | 9/1/2026 | 525,000 | a | 532,698 | ||||
Kentucky - 1.5% | |||||||||
Kentucky Public Energy Authority, Revenue Bonds, Ser. C1 | 4.00 | 6/1/2025 | 1,500,000 | a | 1,493,484 | ||||
Nebraska - 1.0% | |||||||||
Central Plains Energy, Revenue Bonds, Refunding (Central Plains Energy Project) | 4.00 | 8/1/2025 | 1,000,000 | a | 999,901 | ||||
New Jersey - 1.6% | |||||||||
Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. A | 5.00 | 6/1/2029 | 750,000 | 789,055 | |||||
Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. A | 5.00 | 6/1/2028 | 750,000 | 789,213 | |||||
1,578,268 | |||||||||
New York - 92.1% | |||||||||
Albany Capital Resource Corp., Revenue Bonds (Equitable School Revolving Fund Obligated Group) Ser. D | 4.00 | 11/1/2046 | 500,000 | 458,805 | |||||
Battery Park Authority, Revenue Bonds, Ser. A | 5.00 | 11/1/2048 | 1,000,000 | 1,094,022 | |||||
Berne-Knox-Westerlo Central School District, GO, Refunding (Insured; Assured Guaranty Municipal Corp.) | 2.00 | 7/1/2031 | 1,160,000 | 1,025,328 | |||||
Brookhaven, GO, Refunding, Ser. C | 2.00 | 1/15/2030 | 1,000,000 | 922,096 | |||||
Build NYC Resource Corp., Revenue Bonds (KIPP NYC Public Charter Schools) | 5.00 | 7/1/2042 | 1,000,000 | 1,031,491 | |||||
Colonie, GO, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. A | 2.00 | 3/1/2030 | 1,025,000 | 886,139 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
Dutchess County Local Development Corp., Revenue Bonds (Marist College Project) Ser. A | 5.00 | 7/1/2040 | 1,000,000 | 1,011,331 | |||||
Dutchess County Local Development Corp., Revenue Bonds, Refunding (The Culinary Institute of America Project) | 5.00 | 7/1/2028 | 1,000,000 | 1,048,362 | |||||
Dutchess County Local Development Corp., Revenue Bonds, Refunding (The Culinary Institute of America Project) | 5.00 | 7/1/2033 | 1,150,000 | 1,193,909 | |||||
Dutchess County Local Development Corp., Revenue Bonds, Refunding (The Culinary Institute of America Project) | 5.00 | 7/1/2026 | 525,000 | 538,919 | |||||
Dutchess County Local Development Corp., Revenue Bonds, Ser. B | 5.00 | 7/1/2026 | 1,000,000 | 1,022,083 | |||||
Huntington, GO, Ser. A | 2.00 | 6/15/2031 | 1,635,000 | 1,465,499 | |||||
Island Trees Union Free School District, GO, Refunding (Insured; State Aid Withholding) | 2.00 | 5/15/2032 | 1,545,000 | 1,332,694 | |||||
Metropolitan Transportation Authority, Revenue Bonds (Sustainable Bond) Ser. A | 5.00 | 11/15/2035 | 1,000,000 | 1,055,287 | |||||
Metropolitan Transportation Authority, Revenue Bonds, Refunding (Sustainable Bond) Ser. B2 | 4.00 | 11/15/2033 | 1,000,000 | 1,029,586 | |||||
Metropolitan Transportation Authority, Revenue Bonds, Refunding (Sustainable Bond) Ser. C1 | 5.00 | 11/15/2025 | 1,000,000 | 1,032,553 | |||||
Metropolitan Transportation Authority, Revenue Bonds, Refunding, Ser. B | 5.00 | 11/15/2035 | 1,215,000 | 1,249,825 | |||||
Metropolitan Transportation Authority, Revenue Bonds, Refunding, Ser. C1 | 5.25 | 11/15/2030 | 1,000,000 | 1,027,617 | |||||
Monroe County Industrial Development Corp., Revenue Bonds (The Rochester General Hospital) | 5.00 | 12/1/2032 | 1,000,000 | 1,029,477 | |||||
Monroe County Industrial Development Corp., Revenue Bonds (The Rochester General Hospital) | 5.00 | 12/1/2028 | 1,095,000 | 1,133,354 |
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
Monroe County Industrial Development Corp., Revenue Bonds, Refunding (University of Rochester Project) Ser. C | 4.00 | 7/1/2035 | 1,000,000 | 1,010,579 | |||||
Nassau County Local Economic Assistance Corp., Revenue Bonds (Roosevelt Children's Academy Charter School) Ser. A | 4.00 | 7/1/2033 | 730,000 | 721,630 | |||||
New York City, GO, Refunding (LOC; TD Bank NA) Ser. I4 | 3.20 | 4/1/2036 | 100,000 | b | 100,000 | ||||
New York City, GO, Ser. E1 | 5.00 | 4/1/2038 | 1,500,000 | 1,689,848 | |||||
New York City Housing Development Corp., Revenue Bonds (Sustainable Bond) | 2.40 | 11/1/2030 | 720,000 | 652,440 | |||||
New York City Housing Development Corp., Revenue Bonds, Ser. A1 | 3.38 | 11/15/2029 | 1,000,000 | 991,684 | |||||
New York City Industrial Development Agency, Revenue Bonds, Refunding (Queens Baseball Stadium Project) (Insured; Assured Guaranty Municipal Corp.) Ser. A | 3.00 | 1/1/2033 | 1,540,000 | 1,409,180 | |||||
New York City Industrial Development Agency, Revenue Bonds, Refunding (Yankee Stadium Project) (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 3/1/2030 | 1,600,000 | 1,752,571 | |||||
New York City Municipal Water Finance Authority, Revenue Bonds, Refunding, Ser. AA2 | 3.25 | 6/15/2050 | 2,000,000 | b | 2,000,000 | ||||
New York City Municipal Water Finance Authority, Revenue Bonds, Refunding, Ser. DD | 3.00 | 6/15/2038 | 500,000 | 434,739 | |||||
New York City Municipal Water Finance Authority, Revenue Bonds, Refunding, Ser. FF2 | 5.00 | 6/15/2035 | 1,000,000 | 1,103,067 | |||||
New York City Transitional Finance Authority, Revenue Bonds | 5.25 | 8/1/2037 | 1,000,000 | 1,081,930 | |||||
New York City Transitional Finance Authority, Revenue Bonds, Refunding, Ser. E1 | 5.00 | 11/1/2038 | 1,000,000 | 1,130,122 | |||||
New York City Transitional Finance Authority, Revenue Bonds, Ser. B | 5.00 | 5/1/2035 | 1,000,000 | 1,184,935 | |||||
New York City Transitional Finance Authority, Revenue Bonds, Ser. E1 | 4.00 | 2/1/2040 | 1,075,000 | 1,073,958 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
New York Liberty Development Corp., Revenue Bonds, Refunding (Bank of America Tower) | 2.63 | 9/15/2069 | 1,500,000 | 1,336,366 | |||||
New York Liberty Development Corp., Revenue Bonds, Refunding (Class 1-3 World Trade Center Project) | 5.00 | 11/15/2044 | 2,000,000 | c | 1,949,261 | ||||
New York Liberty Development Corp., Revenue Bonds, Refunding (Class 2-3 World Trade Center Project) | 5.15 | 11/15/2034 | 1,500,000 | c | 1,500,228 | ||||
New York Liberty Development Corp., Revenue Bonds, Refunding (Sustainable Bond) Ser. A | 1.90 | 11/15/2031 | 1,000,000 | 861,733 | |||||
New York Liberty Development Corp., Revenue Bonds, Refunding, Ser. 1WTC | 3.00 | 2/15/2042 | 500,000 | 405,362 | |||||
New York State Dormitory Authority, Revenue Bonds (Maimonides Medical Center) (Insured; Federal Housing Administration) | 4.00 | 2/1/2040 | 250,000 | 249,858 | |||||
New York State Dormitory Authority, Revenue Bonds (Maimonides Medical Center) (Insured; Federal Housing Administration) | 4.00 | 2/1/2039 | 250,000 | 250,683 | |||||
New York State Dormitory Authority, Revenue Bonds (Maimonides Medical Center) (Insured; Federal Housing Administration) | 4.00 | 2/1/2037 | 225,000 | 227,342 | |||||
New York State Dormitory Authority, Revenue Bonds (Maimonides Medical Center) (Insured; Federal Housing Administration) | 4.00 | 2/1/2038 | 275,000 | 276,238 | |||||
New York State Dormitory Authority, Revenue Bonds (Memorial Sloan-Kettering Cancer Center) | 4.00 | 7/1/2038 | 500,000 | 505,098 | |||||
New York State Dormitory Authority, Revenue Bonds, Refunding (The New School) Ser. A | 5.00 | 7/1/2036 | 1,000,000 | 1,086,643 | |||||
New York State Dormitory Authority, Revenue Bonds, Refunding (The New School) Ser. A | 5.00 | 7/1/2032 | 1,420,000 | 1,446,045 |
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
New York State Dormitory Authority, Revenue Bonds, Refunding (The New York & Presbyterian Hospital Obligated Group) Ser. A | 5.00 | 8/1/2038 | 1,200,000 | 1,337,644 | |||||
New York State Dormitory Authority, Revenue Bonds, Refunding (The Rockefeller University) Ser. A | 5.00 | 7/1/2035 | 1,000,000 | 1,099,845 | |||||
New York State Dormitory Authority, Revenue Bonds, Ser. A1 | 4.00 | 7/1/2027 | 990,000 | 1,015,384 | |||||
New York State Environmental Facilities Corp., Revenue Bonds, Refunding | 5.00 | 6/15/2041 | 1,100,000 | 1,218,525 | |||||
New York State Housing Finance Agency, Revenue Bonds (Sustainable Bond) (Insured; State of New York Mortgage Agency) Ser. L1 | 1.50 | 11/1/2029 | 520,000 | 455,283 | |||||
New York State Housing Finance Agency, Revenue Bonds (Insured; State of New York Mortgage Agency) Ser. E | 4.13 | 11/1/2028 | 1,000,000 | 1,000,412 | |||||
New York State Mortgage Agency, Revenue Bonds, Refunding, Ser. 203 | 3.10 | 10/1/2032 | 1,500,000 | 1,371,665 | |||||
New York State Mortgage Agency, Revenue Bonds, Ser. 223 | 2.65 | 10/1/2034 | 1,000,000 | 888,926 | |||||
New York State Mortgage Agency, Revenue Bonds, Ser. 226 | 1.70 | 4/1/2027 | 1,270,000 | 1,162,752 | |||||
New York State Urban Development Corp., Revenue Bonds, Refunding, Ser. E | 4.00 | 3/15/2036 | 1,050,000 | 1,076,977 | |||||
New York Transportation Development Corp., Revenue Bonds | 4.00 | 10/31/2034 | 500,000 | 491,953 | |||||
New York Transportation Development Corp., Revenue Bonds | 5.50 | 6/30/2038 | 1,000,000 | 1,056,673 | |||||
Niagara Frontier Transportation Authority, Revenue Bonds, Refunding | 5.00 | 4/1/2025 | 1,330,000 | 1,346,686 | |||||
Niagara Frontier Transportation Authority, Revenue Bonds, Refunding | 5.00 | 4/1/2026 | 925,000 | 948,208 | |||||
Onondaga County Trust for Cultural Resources, Revenue Bonds, Refunding (Syracuse University Project) | 5.00 | 12/1/2040 | 1,350,000 | 1,450,667 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
South Glens Falls Central School District, GO, Refunding (Insured; State Aid Withholding) Ser. A | 2.00 | 7/15/2030 | 1,000,000 | 896,170 | |||||
St. Lawrence County Industrial Development Agency, Revenue Bonds, Refunding (Clarkson University Project) | 5.00 | 9/1/2038 | 250,000 | 257,354 | |||||
St. Lawrence County Industrial Development Agency, Revenue Bonds, Refunding (Clarkson University Project) | 5.00 | 9/1/2040 | 575,000 | 586,988 | |||||
St. Lawrence County Industrial Development Agency, Revenue Bonds, Refunding (Clarkson University Project) | 5.00 | 9/1/2037 | 250,000 | 259,277 | |||||
St. Lawrence County Industrial Development Agency, Revenue Bonds, Refunding (Clarkson University Project) | 5.00 | 9/1/2029 | 1,000,000 | 1,041,102 | |||||
St. Lawrence County Industrial Development Agency, Revenue Bonds, Refunding (Clarkson University Project) | 5.00 | 9/1/2035 | 710,000 | 749,884 | |||||
The New York City Cultural Resources Trust, Revenue Bonds, Refunding (Lincoln Center for the Performing Arts) Ser. A | 4.00 | 12/1/2035 | 1,275,000 | 1,299,540 | |||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. A2 | 2.00 | 5/15/2028 | 1,500,000 | a | 1,385,329 | ||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. B | 5.00 | 11/15/2036 | 1,525,000 | 1,600,097 | |||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. C2 | 3.00 | 5/15/2032 | 2,500,000 | 2,414,155 | |||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. A | 5.00 | 5/15/2044 | 1,000,000 | 1,090,683 | |||||
Troy Capital Resource Corp., Revenue Bonds, Refunding (Rensselaer Polytechnic Institute) | 5.00 | 9/1/2028 | 1,270,000 | 1,363,156 | |||||
Utility Debt Securitization Authority, Revenue Bonds, Refunding, Ser. A | 5.00 | 12/15/2034 | 1,500,000 | 1,566,269 | |||||
Utility Debt Securitization Authority, Revenue Bonds, Refunding, Ser. TE-1 | 5.00 | 12/15/2035 | 2,360,000 | 2,755,073 | |||||
Webster Central School District, GO, Refunding (Insured; State Aid Withholding) | 2.00 | 6/15/2031 | 1,105,000 | 983,879 |
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
New York - 92.1% (continued) | |||||||||
Westchester County, GO, Ser. A | 2.00 | 10/15/2032 | 1,000,000 | 863,404 | |||||
Westchester County Local Development Corp., Revenue Bonds (Purchase Housing Corporation II Project) | 5.00 | 6/1/2037 | 1,000,000 | 1,008,272 | |||||
Westchester County Local Development Corp., Revenue Bonds (Westchester Medical Center) (Insured; Assured Guaranty Municipal Corp.) | 5.25 | 11/1/2031 | 1,500,000 | 1,679,866 | |||||
Westchester County Local Development Corp., Revenue Bonds, Refunding (Sarah Lawrence College) Ser. A | 5.00 | 6/1/2026 | 1,210,000 | 1,238,404 | |||||
Westchester County Local Development Corp., Revenue Bonds, Refunding (Sarah Lawrence College) Ser. A | 5.00 | 6/1/2025 | 1,105,000 | 1,118,458 | |||||
Westchester County Local Development Corp., Revenue Bonds, Refunding (Westchester Medical Center) | 5.00 | 11/1/2028 | 1,000,000 | 1,004,427 | |||||
Westchester Tobacco Asset Securitization Corp., Revenue Bonds, Refunding, Ser. B | 5.00 | 6/1/2024 | 1,000,000 | 1,006,849 | |||||
Yonkers Economic Development Corp., Revenue Bonds (Charter School of Educational Excellence Project) Ser. A | 4.00 | 10/15/2029 | 200,000 | 189,057 | |||||
Yonkers Economic Development Corp., Revenue Bonds (Charter School of Educational Excellence Project) Ser. A | 5.00 | 10/15/2039 | 320,000 | 298,692 | |||||
89,597,902 | |||||||||
U.S. Related - .4% | |||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding (Hospital Auxilio Mutuo Obligated Group) | 5.00 | 7/1/2029 | 140,000 | 149,194 | |||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding (Hospital Auxilio Mutuo Obligated Group) | 5.00 | 7/1/2028 | 120,000 | 126,783 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 100.1% (continued) | |||||||||
U.S. Related - .4% (continued) | |||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding (Hospital Auxilio Mutuo Obligated Group) | 5.00 | 7/1/2027 | 140,000 | 146,209 | |||||
422,186 | |||||||||
Total Investments (cost $101,525,182) | 100.1% | 97,411,813 | |||||||
Liabilities, Less Cash and Receivables | (0.1%) | (118,531) | |||||||
Net Assets | 100.0% | 97,293,282 |
GO—General Obligation
a These securities have a put feature; the date shown represents the put date and the bond holder can take a specific action to retain the bond after the put date.
b The Variable Rate is determined by the Remarketing Agent in its sole discretion based on prevailing market conditions and may, but need not, be established by reference to one or more financial indices.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2023, these securities were valued at $3,449,489 or 3.55% of net assets.
Futures | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized (Depreciation) ($) | |
Futures Short | ||||||
Ultra 10 Year U.S. Treasury Notes | 9 | 3/19/2024 | 1,017,194 | 1,021,641 | (4,447) | |
Gross Unrealized Depreciation | (4,447) |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon New York Intermediate Tax-Exempt Bond Fund
November 30, 2023 (Unaudited)
The following is a summary of the inputs used as of November 30, 2023 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Municipal Securities | - | 97,411,813 | - | 97,411,813 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Futures†† | (4,447) | - | - | (4,447) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Trust's Board of Trustees (the "Board") has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Investments in municipal securities are valued each business day by an independent pricing service (the “Service”) approved by the 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). Municipal 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 the following: yields or prices of municipal securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Service is engaged under the general oversight of the Board. All of the preceding securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at November 30, 2023 is discussed below.
Futures: 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 futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
At November 30, 2023, accumulated net unrealized depreciation on investments was $4,117,816, consisting of $415,199 gross unrealized appreciation and $4,533,015 gross unrealized depreciation.
At November 30, 2023, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.