STATEMENT OF INVESTMENTS
BNY Mellon New York AMT-Free Municipal Bond Fund
February 28, 2023 (Unaudited)
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% | | | | | |
New York - 101.0% | | | | | |
Albany Capital Resource Corp., Revenue Bonds (Equitable School Revolving Fund Obligated Group) | | 4.00 | | 11/1/2051 | | 3,125,000 | | 2,715,464 | |
Brookhaven Local Development Corp., Revenue Bonds (Jefferson's Ferry Project) | | 4.00 | | 11/1/2045 | | 590,000 | | 484,736 | |
Broome County Local Development Corp., Revenue Bonds, Refunding (Good Shepherd Village at Endwell Obligated Group) | | 4.00 | | 1/1/2047 | | 1,160,000 | | 843,797 | |
Broome County Local Development Corp., Revenue Bonds, Refunding (United Health Services Hospitals Obligated Group) (Insured; Assured Guaranty Municipal Corp.) | | 4.00 | | 4/1/2050 | | 1,000,000 | | 879,059 | |
Build New York City Resource Corp., Revenue Bonds (KIPP NYC Public Charter Schools) | | 5.25 | | 7/1/2057 | | 2,000,000 | | 2,026,530 | |
Build New York City Resource Corp., Revenue Bonds (NY Preparatory Charter School Project) Ser. A | | 4.00 | | 6/15/2051 | | 250,000 | | 186,954 | |
Build New York City Resource Corp., Revenue Bonds (NY Preparatory Charter School Project) Ser. A | | 4.00 | | 6/15/2041 | | 525,000 | | 430,648 | |
Build New York City Resource Corp., Revenue Bonds, Refunding (New York Methodist Hospital Project) | | 5.00 | | 7/1/2024 | | 400,000 | a | 408,930 | |
Build New York City Resource Corp., Revenue Bonds, Refunding (YMCA of Greater New York Project) | | 5.00 | | 8/1/2025 | | 1,000,000 | a | 1,046,517 | |
Dutchess County Local Development Corp., Revenue Bonds, Ser. B | | 4.00 | | 7/1/2041 | | 2,585,000 | | 2,252,881 | |
Dutchess County Local Development Corp., Revenue Bonds, Ser. B | | 5.00 | | 7/1/2032 | | 1,000,000 | | 1,031,422 | |
Dutchess County Local Development Corp., Revenue Bonds, Ser. B | | 5.00 | | 7/1/2035 | | 2,000,000 | | 2,037,960 | |
Glen Cove Local Economic Assistance Corp., Revenue Bonds (Garvies Point Public Improvement Project) Ser. B | | 0.00 | | 1/1/2045 | | 5,900,000 | b | 1,460,147 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
Hempstead Town Local Development Corp., Revenue Bonds, Refunding (Molloy College Project) | | 5.00 | | 7/1/2034 | | 810,000 | | 837,888 | |
Hudson Yards Infrastructure Corp., Revenue Bonds, Refunding, Ser. A | | 5.00 | | 2/15/2039 | | 2,000,000 | | 2,092,232 | |
Long Island Power Authority, Revenue Bonds | | 5.00 | | 9/1/2047 | | 1,000,000 | | 1,033,823 | |
Long Island Power Authority, Revenue Bonds, Refunding, Ser. A | | 4.00 | | 9/1/2039 | | 3,000,000 | | 3,021,602 | |
Long Island Power Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 9/1/2034 | | 1,500,000 | | 1,527,455 | |
Long Island Power Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 9/1/2036 | | 1,500,000 | | 1,664,031 | |
Long Island Power Authority, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 9/1/2036 | | 1,000,000 | | 1,040,664 | |
Long Island Power Authority, Revenue Bonds, Ser. B | | 5.00 | | 9/1/2037 | | 1,700,000 | | 1,754,946 | |
Metropolitan Transportation Authority, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 11/15/2037 | | 1,750,000 | | 1,775,111 | |
Metropolitan Transportation Authority, Revenue Bonds, Refunding, Ser. C1 | | 5.00 | | 11/15/2034 | | 2,260,000 | | 2,282,444 | |
Metropolitan Transportation Authority, Revenue Bonds, Ser. C | | 5.00 | | 11/15/2030 | | 5,000,000 | | 5,059,040 | |
Metropolitan Transportation Authority, Revenue Bonds, Ser. D1 | | 5.25 | | 11/15/2044 | | 2,000,000 | | 2,000,158 | |
Metropolitan Transportation Authority, Revenue Bonds, Ser. E | | 5.00 | | 11/15/2043 | | 6,210,000 | | 6,181,762 | |
Metropolitan Transportation Authority Hudson Rail Yards Trust Obligation, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 11/15/2051 | | 5,000,000 | | 4,953,847 | |
Monroe County Industrial Development Corp., Revenue Bonds (The Rochester General Hospital) | | 5.00 | | 12/1/2035 | | 1,150,000 | | 1,182,657 | |
Monroe County Industrial Development Corp., Revenue Bonds (The Rochester General Hospital) | | 5.00 | | 12/1/2034 | | 1,100,000 | | 1,137,845 | |
Monroe County Industrial Development Corp., Revenue Bonds, Refunding (Rochester Regional Health Obligated Group) | | 4.00 | | 12/1/2046 | | 555,000 | | 466,470 | |
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
Monroe County Industrial Development Corp., Revenue Bonds, Refunding (University of Rochester Project) Ser. A | | 4.00 | | 7/1/2050 | | 4,420,000 | | 4,036,608 | |
Monroe County Industrial Development Corp., Revenue Bonds, Refunding (University of Rochester Project) Ser. A | | 5.00 | | 7/1/2036 | | 1,000,000 | | 1,072,949 | |
New York City, GO, Refunding, Ser. A1 | | 4.00 | | 8/1/2034 | | 1,000,000 | | 1,021,770 | |
New York City, GO, Refunding, Ser. C | | 5.00 | | 8/1/2033 | | 1,000,000 | | 1,029,564 | |
New York City, GO, Ser. A1 | | 5.00 | | 8/1/2037 | | 3,500,000 | | 3,636,955 | |
New York City, GO, Ser. C | | 4.00 | | 8/1/2039 | | 3,500,000 | | 3,448,570 | |
New York City, GO, Ser. D1 | | 5.50 | | 5/1/2046 | | 1,250,000 | | 1,405,481 | |
New York City, GO, Ser. F1 | | 4.00 | | 3/1/2047 | | 1,000,000 | | 945,403 | |
New York City Housing Development Corp., Revenue Bonds, Ser. C1A | | 4.00 | | 11/1/2053 | | 2,310,000 | | 1,962,685 | |
New York City Industrial Development Agency, Revenue Bonds, Refunding (Queens Baseball Stadium Project) (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 5.00 | | 1/1/2031 | | 1,250,000 | | 1,399,337 | |
New York City Industrial Development Agency, Revenue Bonds, Refunding (Yankee Stadium Project) (Insured; Assured Guaranty Municipal Corp.) | | 4.00 | | 3/1/2032 | | 1,750,000 | | 1,797,042 | |
New York City Industrial Development Agency, Revenue Bonds, Refunding (Yankee Stadium Project) (Insured; Assured Guaranty Municipal Corp.) | | 4.00 | | 3/1/2045 | | 1,000,000 | | 930,628 | |
New York City Municipal Water Finance Authority, Revenue Bonds, Refunding, Ser. CC1 | | 5.00 | | 6/15/2038 | | 3,595,000 | | 3,766,299 | |
New York City Municipal Water Finance Authority, Revenue Bonds, Refunding, Ser. CC2 | | 4.00 | | 6/15/2041 | | 2,000,000 | | 1,964,934 | |
New York City Municipal Water Finance Authority, Revenue Bonds, Ser. DD1 | | 4.00 | | 6/15/2050 | | 2,500,000 | | 2,366,037 | |
New York City Transitional Finance Authority, Revenue Bonds (Insured; State Aid Withholding) Ser. S1 | | 5.00 | | 7/15/2043 | | 5,000,000 | | 5,078,665 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
New York City Transitional Finance Authority, Revenue Bonds (Insured; State Aid Withholding) Ser. S2 | | 5.00 | | 7/15/2040 | | 3,000,000 | | 3,073,605 | |
New York City Transitional Finance Authority, Revenue Bonds (Insured; State Aid Withholding) Ser. S3 | | 5.00 | | 7/15/2043 | �� | 2,000,000 | | 2,112,141 | |
New York City Transitional Finance Authority, Revenue Bonds, Refunding (Insured; State Aid Withholding) Ser. S2A | | 5.00 | | 7/15/2034 | | 3,000,000 | | 3,300,579 | |
New York City Transitional Finance Authority, Revenue Bonds, Ser. E1 | | 5.00 | | 2/1/2040 | | 4,000,000 | | 4,141,115 | |
New York Convention Center Development Corp., Revenue Bonds, Refunding | | 5.00 | | 11/15/2040 | | 1,250,000 | | 1,277,937 | |
New York Convention Center Development Corp., Revenue Bonds, Ser. B | | 0.00 | | 11/15/2046 | | 4,000,000 | b | 1,175,500 | |
New York Liberty Development Corp., Revenue Bonds, Refunding (Bank of America Tower) | | 2.80 | | 9/15/2069 | | 1,000,000 | | 903,121 | |
New York Liberty Development Corp., Revenue Bonds, Refunding (Class 1-3 World Trade Center Project) | | 5.00 | | 11/15/2044 | | 5,000,000 | c | 4,813,769 | |
New York Liberty Development Corp., Revenue Bonds, Refunding (Goldman Sachs Headquarters) | | 5.25 | | 10/1/2035 | | 2,000,000 | | 2,245,872 | |
New York State Dormitory Authority, Revenue Bonds (Fordham University) | | 4.00 | | 7/1/2046 | | 1,000,000 | | 923,597 | |
New York State Dormitory Authority, Revenue Bonds (Rochester Institute of Technology) Ser. A | | 5.00 | | 7/1/2049 | | 1,000,000 | | 1,057,012 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Garnet Health Medical Center Obligated Group) | | 5.00 | | 12/1/2045 | | 1,400,000 | c | 1,332,713 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Garnet Health Medical Center Obligated Group) | | 5.00 | | 12/1/2036 | | 3,400,000 | c | 3,315,807 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Icahn School of Medicine at Mount Sinai) Ser. A | | 5.00 | | 7/1/2040 | | 1,000,000 | | 1,012,532 | |
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 4.00 | | 10/1/2035 | | 900,000 | | 918,430 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Memorial Sloan-Kettering Cancer Center) Ser. 1 | | 5.00 | | 7/1/2042 | | 500,000 | | 521,109 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Montefiore Obligated Group) Ser. A | | 5.00 | | 8/1/2034 | | 1,010,000 | | 1,019,397 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Montefiore Obligated Group) Ser. A | | 5.00 | | 8/1/2035 | | 2,800,000 | | 2,808,852 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (New York University) Ser. A | | 5.00 | | 7/1/2045 | | 3,540,000 | | 3,608,356 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (NYU Langone Hospitals Obligated Group) | | 5.00 | | 7/1/2034 | | 2,500,000 | | 2,560,280 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (NYU Langone Hospitals Obligation Group) | | 5.00 | | 7/1/2032 | | 500,000 | | 525,105 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (St. John's University) Ser. A | | 4.00 | | 7/1/2048 | | 1,000,000 | | 925,230 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (The New School) Ser. A | | 5.00 | | 7/1/2042 | | 750,000 | | 781,236 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (The New School) Ser. A | | 5.00 | | 7/1/2041 | | 1,000,000 | | 1,046,446 | |
New York State Dormitory Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 5/1/2043 | | 1,300,000 | | 1,316,828 | |
New York State Dormitory Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 7/1/2041 | | 1,000,000 | | 1,027,470 | |
New York State Dormitory Authority, Revenue Bonds, Refunding, Ser. D | | 4.00 | | 2/15/2038 | | 1,500,000 | | 1,494,859 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
New York State Dormitory Authority, Revenue Bonds, Ser. A | | 5.00 | | 3/15/2044 | | 5,000,000 | | 5,224,258 | |
New York State Dormitory Authority, Revenue Bonds, Ser. A | | 5.00 | | 3/15/2044 | | 2,000,000 | | 2,022,959 | |
New York State Dormitory Authority, Revenue Bonds, Ser. F | | 5.00 | | 2/15/2039 | | 2,000,000 | | 2,042,631 | |
New York State Mortgage Agency, Revenue Bonds, Ser. 223 | | 3.50 | | 4/1/2049 | | 515,000 | | 507,095 | |
New York State Thruway Authority, Revenue Bonds, Ser. A | | 5.00 | | 1/1/2041 | | 1,000,000 | | 1,025,566 | |
New York State Urban Development Corp., Revenue Bonds (Personal Income Tax) Ser. A | | 5.00 | | 3/15/2037 | | 2,500,000 | | 2,756,623 | |
New York Transportation Development Corp., Revenue Bonds | | 4.00 | | 10/31/2041 | | 1,750,000 | | 1,547,472 | |
New York Transportation Development Corp., Revenue Bonds (Delta Air Lines) | | 4.00 | | 1/1/2036 | | 1,960,000 | | 1,823,445 | |
New York Transportation Development Corp., Revenue Bonds (Delta Air Lines) | | 4.38 | | 10/1/2045 | | 1,240,000 | | 1,127,958 | |
New York Transportation Development Corp., Revenue Bonds (JFK International Air Terminal) | | 5.00 | | 12/1/2041 | | 2,000,000 | | 2,040,504 | |
New York Transportation Development Corp., Revenue Bonds, Refunding (JFK International Air Terminal) | | 4.00 | | 12/1/2042 | | 1,500,000 | | 1,348,087 | |
New York Transportation Development Corp., Revenue Bonds, Refunding (JFK International Air Terminal) Ser. A | | 5.00 | | 12/1/2033 | | 1,450,000 | | 1,547,869 | |
Niagara Area Development Corp., Revenue Bonds, Refunding (Covanta Holding Project) Ser. B | | 3.50 | | 11/1/2024 | | 3,250,000 | c | 3,170,407 | |
Niagara Tobacco Asset Securitization Corp., Revenue Bonds, Refunding | | 5.25 | | 5/15/2034 | | 2,000,000 | | 2,014,201 | |
Niagara Tobacco Asset Securitization Corp., Revenue Bonds, Refunding | | 5.25 | | 5/15/2040 | | 1,750,000 | | 1,756,891 | |
Oneida County Local Development Corp., Revenue Bonds (Mohawk Valley Health System Obligated Group) (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 4.00 | | 12/1/2051 | | 1,000,000 | | 897,325 | |
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
Oneida County Local Development Corp., Revenue Bonds, Refunding (Mohawk Valley Health System Obligated Group) (Insured; Assured Guaranty Municipal Corp.) | | 4.00 | | 12/1/2049 | | 1,000,000 | | 905,069 | |
Onondaga Civic Development Corp., Revenue Bonds, Refunding (Syracuse University Project) Ser. A | | 5.00 | | 12/1/2028 | | 2,000,000 | | 2,241,457 | |
Oyster Bay, GO, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. B | | 4.00 | | 2/1/2033 | | 3,000,000 | | 3,076,383 | |
Port Authority of New York & New Jersey, Revenue Bonds | | 5.00 | | 1/15/2052 | | 3,000,000 | | 3,226,286 | |
Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Ser. 195th | | 5.00 | | 4/1/2036 | | 4,000,000 | | 4,066,601 | |
Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Ser. 197 | | 5.00 | | 11/15/2033 | | 4,000,000 | | 4,105,962 | |
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 184 | | 5.00 | | 9/1/2039 | | 2,000,000 | | 2,029,610 | |
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 218 | | 4.00 | | 11/1/2047 | | 1,000,000 | | 908,747 | |
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 218 | | 4.00 | | 11/1/2041 | | 1,000,000 | | 947,287 | |
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 221 | | 5.00 | | 7/15/2035 | | 2,000,000 | | 2,166,898 | |
Port Authority of New York & New Jersey, Revenue Bonds, Ser. 93rd | | 6.13 | | 6/1/2094 | | 1,955,000 | | 2,002,111 | |
Suffolk Tobacco Asset Securitization Corp., Revenue Bonds, Refunding | | 4.00 | | 6/1/2050 | | 1,000,000 | | 872,173 | |
Tender Option Bond Trust Receipts (Series 2016-XM0382), (New York City Transitional Finance Authority, Revenue Bonds) Non-recourse, Underlying Coupon Rate (%) 5.00 | | 13.28 | | 5/1/2042 | | 10,000,000 | c,d,e | 10,028,521 | |
The New York City Trust for Cultural Resources, Revenue Bonds, Refunding (The American Museum of Natural History) Ser. A | | 5.00 | | 7/1/2032 | | 2,210,000 | | 2,247,770 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 11/15/2046 | | 3,500,000 | | 3,596,878 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. A | | 5.25 | | 11/15/2045 | | 1,500,000 | | 1,540,044 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
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Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 101.0% (continued) | | | | | |
New York - 101.0% (continued) | | | | | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Refunding, Ser. C2 | | 5.00 | | 11/15/2042 | | 2,000,000 | | 2,113,041 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. A | | 5.00 | | 11/15/2049 | | 1,000,000 | | 1,065,563 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. A | | 5.00 | | 11/15/2042 | | 3,000,000 | | 3,151,674 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. A | | 5.25 | | 5/15/2057 | | 2,500,000 | | 2,726,247 | |
Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. C1A | | 4.00 | | 5/15/2046 | | 1,500,000 | | 1,393,871 | |
TSASC, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 6/1/2041 | | 2,500,000 | | 2,545,730 | |
TSASC, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 6/1/2045 | | 1,220,000 | | 1,131,824 | |
Utility Debt Securitization Authority, Revenue Bonds, Refunding | | 5.00 | | 12/15/2035 | | 2,500,000 | | 2,602,663 | |
Westchester County Local Development Corp., Revenue Bonds, Refunding (Miriam Osborn Memorial Home Association Obligated Group) | | 5.00 | | 7/1/2029 | | 250,000 | | 263,950 | |
Westchester County Local Development Corp., Revenue Bonds, Refunding (Miriam Osborn Memorial Home Association Obligated Group) | | 5.00 | | 7/1/2027 | | 270,000 | | 283,048 | |
Westchester County Local Development Corp., Revenue Bonds, Refunding (Purchase Senior Learning Community Obligated Group) | | 5.00 | | 7/1/2046 | | 1,800,000 | c | 1,399,095 | |
Westchester Tobacco Asset Securitization Corp., Revenue Bonds, Refunding, Ser. B | | 5.00 | | 6/1/2041 | | 1,500,000 | | 1,534,828 | |
Western Nassau County Water Authority, Revenue Bonds (Green Bonds) Ser. A | | 4.00 | | 4/1/2046 | | 1,000,000 | | 925,712 | |
Yonkers Economic Development Corp., Revenue Bonds (Charter School of Educational Excellence Project) Ser. A | | 5.00 | | 10/15/2039 | | 420,000 | | 390,796 | |
Total Investments (cost $249,661,861) | | 101.0% | 235,261,975 | |
Liabilities, Less Cash and Receivables | | (1.0%) | (2,383,434) | |
Net Assets | | 100.0% | 232,878,541 | |
GO—General Obligation
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 Security issued with a zero coupon. Income is recognized through the accretion of discount.
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 February 28, 2023, these securities were valued at $24,060,312 or 10.33% of net assets.
d The Variable Rate shall be determined by the Remarketing Agent in its sole discretion based on prevailing market conditions and may, but need not, be established by reference to one or more financial indices.
e Collateral for floating rate borrowings. The coupon rate given represents the current interest rate for the inverse floating rate security.
STATEMENT OF FINANCIAL FUTURES
BNY Mellon New York AMT-Free Municipal Bond Fund
February 28, 2023 (Unaudited)
The following is a summary of the inputs used as of February 28, 2023 in valuing the fund’s investments:
| | | | | | | |
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | | Level 3-Significant Unobservable Inputs | Total | |
Assets ($) | | |
Investments in Securities:† | | |
Municipal Securities | - | 235,261,975 | | - | 235,261,975 | |
Liabilities ($) | | |
Other Financial Instruments: | | |
Inverse Floater Notes†† | - | (7,500,000) | | - | (7,500,000) | |
† See Statement of Investments for additional detailed categorizations, if any.
†† Certain of the fund’s liabilities are held at carrying amount, which approximates fair value for financial reporting purposes.
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 fund’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.
Inverse Floater Securities: The fund participates in secondary inverse floater structures in which fixed-rate, tax-exempt municipal bonds are transferred to a trust (the “Inverse Floater Trust”). The Inverse Floater Trust typically issues two variable rate securities that are collateralized by the cash flows of the fixed-rate, tax-exempt municipal bonds. One of these variable rate securities pays interest based on a short-term floating rate set by a remarketing agent at predetermined intervals (“Trust Certificates”). A residual interest tax-exempt security is also created by the Inverse Floater Trust, which is transferred to the fund, and is paid interest based on the remaining cash flows of the Inverse Floater Trust, after payment of interest on the other securities and various expenses of the Inverse Floater Trust. An Inverse Floater Trust may be collapsed without the consent of the fund due to certain termination events such as bankruptcy, default or other credit event.
The fund accounts for the transfer of bonds to the Inverse Floater Trust as secured borrowings, with the securities transferred remaining in the fund’s investments, and the Trust Certificates reflected as fund liabilities in the Statement of Assets and Liabilities.
The fund may invest in inverse floater securities on either a non-recourse or recourse basis. These securities are typically supported by a liquidity facility provided by a bank or other financial institution (the “Liquidity Provider”) that allows the holders of the Trust Certificates to tender their certificates in exchange for payment from the Liquidity Provider of par plus accrued interest on any business day prior to a termination event. When the fund invests in inverse floater securities on a non-recourse basis, the Liquidity Provider is required to make a payment under the liquidity facility due to a termination event to the holders of the Trust Certificates. When this occurs, the Liquidity Provider typically liquidates all or a portion of the municipal securities held in the Inverse Floater Trust. A liquidation shortfall occurs if the Trust Certificates exceed the proceeds of the sale of the bonds in the Inverse Floater Trust (“Liquidation Shortfall”). When a fund invests in inverse floater securities on a recourse basis, the fund typically enters into a reimbursement agreement with the Liquidity Provider where the fund is required to repay the Liquidity Provider the amount of any Liquidation Shortfall. As a result, a fund investing in a recourse inverse floater security bears the risk of loss with respect to any Liquidation Shortfall.
At February 28, 2023, accumulated net unrealized depreciation on investments was $14,399,886, consisting of $251,768 gross unrealized appreciation and $14,651,654 gross unrealized depreciation.
At February 28, 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.
