STATEMENT OF INVESTMENTS
BNY Mellon Tax Sensitive Total Return Bond Fund
June 30, 2021 (Unaudited)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Bonds and Notes - 4.5% | | | | | |
Asset-Backed Certificates - .0% | | | | | |
Carrington Mortgage Loan Trust, Ser. 2006-NC5, Cl. A2, 1 Month LIBOR +.11% | | 0.20 | | 1/25/2037 | | 9,791 | a | 9,779 | |
Banks - 2.2% | | | | | |
Citigroup, Sr. Unscd. Notes | | 2.88 | | 7/24/2023 | | 1,000,000 | | 1,025,869 | |
JPMorgan Chase & Co., Sr. Unscd. Notes | | 3.80 | | 7/23/2024 | | 1,000,000 | | 1,065,752 | |
| | 2,091,621 | |
Health Care - 2.3% | | | | | |
SSM Health Care, Sr. Unscd. Notes, Ser. 2018 | | 3.69 | | 6/1/2023 | | 2,145,000 | | 2,251,808 | |
Total Bonds and Notes
(cost $4,152,774) | | 4,353,208 | |
| | | | | | | | | |
Long-Term Municipal Investments - 94.2% | | | | | |
Arizona - 1.9% | | | | | |
Maricopa County Industrial Development Authority, Revenue Bonds (Benjamin Franklin Charter School Obligated Group) | | 4.80 | | 7/1/2028 | | 1,600,000 | b | 1,843,986 | |
Arkansas - 2.2% | | | | | |
Arkansas Development Finance Authority, Revenue Bonds, Refunding (Washington Regional Medical Center) Ser. B | | 5.00 | | 2/1/2025 | | 1,835,000 | | 2,109,547 | |
California - 1.9% | | | | | |
California Municipal Finance Authority, Revenue Bonds, Refunding (William Jessup University) | | 5.00 | | 8/1/2027 | | 1,100,000 | | 1,273,024 | |
California Statewide Communities Development Authority, Revenue Bonds (Loma Linda University Medical Center Obligated Group) Ser. A | | 5.00 | | 12/1/2031 | | 525,000 | b | 603,703 | |
| | 1,876,727 | |
Colorado - 2.6% | | | | | |
Colorado Health Facilities Authority, Revenue Bonds, Refunding (CommonSpirit Health Obligated Group) Ser. A | | 5.00 | | 8/1/2029 | | 1,000,000 | | 1,293,811 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
Colorado - 2.6% (continued) | | | | | |
Denver Convention Center Hotel Authority, Revenue Bonds, Refunding | | 5.00 | | 12/1/2031 | | 1,000,000 | | 1,179,710 | |
| | 2,473,521 | |
Connecticut - 1.2% | | | | | |
Connecticut, Revenue Bonds, Ser. A | | 5.00 | | 9/1/2033 | | 1,000,000 | | 1,134,060 | |
Florida - 5.2% | | | | | |
Atlantic Beach, Revenue Bonds (Fleet Landing Project) Ser. B2 | | 3.00 | | 11/15/2023 | | 1,250,000 | | 1,252,030 | |
Florida Higher Educational Facilities Financial Authority, Revenue Bonds, Refunding (Nova Southeastern University Project) | | 5.00 | | 4/1/2026 | | 1,000,000 | | 1,189,032 | |
Miami Beach Redevelopment Agency, Tax Allocation Bonds, Refunding | | 5.00 | | 2/1/2033 | | 1,000,000 | | 1,113,138 | |
Reedy Creek Improvement District, GO, Refunding, Ser. A | | 1.87 | | 6/1/2026 | | 1,435,000 | | 1,493,317 | |
| | 5,047,517 | |
Georgia - 7.1% | | | | | |
Fulton County Development Authority, Revenue Bonds, Ser. A | | 5.00 | | 4/1/2036 | | 1,000,000 | | 1,207,836 | |
Georgia Municipal Electric Authority, Revenue Bonds (Plant Vogtle Unis 3&4 Project) | | 5.00 | | 1/1/2030 | | 1,145,000 | | 1,442,130 | |
Main Street Natural Gas, Revenue Bonds, Ser. B, 1 Month LIBOR x.67 +.75% | | 0.81 | | 9/1/2023 | | 1,000,000 | a,c | 1,005,173 | |
Main Street Natural Gas, Revenue Bonds, Ser. C | | 4.00 | | 9/1/2026 | | 1,750,000 | c | 2,024,197 | |
The Atlanta Development Authority, Revenue Bonds, Ser. A1 | | 5.00 | | 7/1/2029 | | 1,000,000 | | 1,163,679 | |
| | 6,843,015 | |
Hawaii - 1.3% | | | | | |
Hawaii Airports System, Revenue Bonds, Ser. A | | 5.00 | | 7/1/2028 | | 1,000,000 | | 1,267,915 | |
Illinois - 13.4% | | | | | |
Chicago Il Wastewater Transmission, Revenue Bonds (Insured; Assured Guaranty Municipal Corp.) | | 5.00 | | 1/1/2032 | | 1,000,000 | | 1,108,941 | |
Chicago Il Wastewater Transmission, Revenue Bonds, Refunding, Ser. C | | 5.00 | | 1/1/2026 | | 1,000,000 | | 1,156,317 | |
Chicago Il Waterworks, Revenue Bonds (2nd LIEN Project) | | 5.00 | | 11/1/2026 | | 1,000,000 | | 1,145,299 | |
Chicago O'Hare International Airport, Revenue Bonds | | 5.25 | | 1/1/2024 | | 1,000,000 | | 1,067,976 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
Illinois - 13.4% (continued) | | | | | |
Chicago O'Hare International Airport, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 1/1/2035 | | 750,000 | | 887,861 | |
Chicago Park District, GO, Refunding, Ser. B | | 5.00 | | 1/1/2028 | | 1,000,000 | | 1,091,818 | |
Cook County II, Revenue Bonds, Refunding | | 5.00 | | 11/15/2035 | | 1,000,000 | | 1,245,520 | |
Illinois Finance Authority, Revenue Bonds, Refunding (Rush University Medical Center Obligated Group) Ser. A | | 5.00 | | 11/15/2026 | | 1,000,000 | | 1,171,363 | |
Illinois Toll Highway Authority, Revenue Bonds, Ser. B | | 5.00 | | 1/1/2031 | | 1,000,000 | | 1,189,921 | |
Illinois Toll Highway Authority, Revenue Bonds, Ser. B | | 5.00 | | 1/1/2027 | | 1,000,000 | | 1,198,268 | |
Northern Illinois University, Revenue Bonds, Refunding (Insured; Build America Mutual) Ser. B | | 5.00 | | 4/1/2027 | | 550,000 | | 669,613 | |
Sales Tax Securitization Corp., Revenue Bonds, Refunding, Ser. A | | 5.00 | | 1/1/2029 | | 750,000 | | 961,766 | |
| | 12,894,663 | |
Iowa - .5% | | | | | |
Iowa Finance Authority, Revenue Bonds, Refunding (Iowa Fertilizer Co.) | | 3.13 | | 12/1/2022 | | 500,000 | | 510,472 | |
Kansas - .4% | | | | | |
Kansas Development Finance Authority, Revenue Bonds, Ser. B | | 4.00 | | 11/15/2025 | | 400,000 | | 411,623 | |
Kentucky - 1.3% | | | | | |
Louisville County Metropolitan Government, Revenue Bonds (Norton Healthcare Obligated Group) Ser. C | | 5.00 | | 10/1/2026 | | 1,000,000 | c | 1,221,175 | |
Maryland - 1.3% | | | | | |
Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Refunding (University of Maryland Medical System Obligated Group) Ser. B | | 5.00 | | 7/1/2032 | | 1,000,000 | | 1,225,121 | |
Massachusetts - 4.7% | | | | | |
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University) | | 5.00 | | 7/1/2028 | | 1,000,000 | | 1,234,719 | |
Massachusetts Educational Financing Authority, Revenue Bonds, Ser. B | | 5.00 | | 7/1/2026 | | 1,000,000 | | 1,199,942 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
Massachusetts - 4.7% (continued) | | | | | |
Massachusetts Educational Financing Authority, Revenue Bonds, Ser. B | | 5.00 | | 7/1/2026 | | 1,200,000 | | 1,439,930 | |
Massachusetts Port Authority, Revenue Bonds, Refunding (Bosfuel Project) Ser. A | | 5.00 | | 7/1/2032 | | 500,000 | | 639,232 | |
| | 4,513,823 | |
Minnesota - .9% | | | | | |
Duluth Independent School District No. 709, COP, Refunding, Ser. B | | 5.00 | | 2/1/2024 | | 800,000 | | 885,935 | |
Missouri - 1.3% | | | | | |
Missouri Health & Educational Facilities Authority, Revenue Bonds, Refunding (St. Luke's Health System Obligated Group) | | 5.00 | | 11/15/2027 | | 1,000,000 | | 1,205,011 | |
Multi-State - 1.4% | | | | | |
Federal Home Loan Mortgage Corp. Multifamily Variable Rate Certificates, Revenue Bonds, Ser. M048 | | 3.15 | | 1/15/2036 | | 1,195,000 | b | 1,324,566 | |
New Jersey - 6.1% | | | | | |
New Jersey Economic Development Authority, Revenue Bonds, Refunding (Port Newark Container Terminal) | | 5.00 | | 10/1/2023 | | 1,000,000 | | 1,090,994 | |
New Jersey Economic Development Authority, Revenue Bonds, Refunding, Ser. XX | | 5.00 | | 6/15/2026 | | 1,000,000 | | 1,169,485 | |
New Jersey Higher Education Student Assistance Authority, Revenue Bonds, Ser. 2015-1A | | 5.00 | | 12/1/2024 | | 1,000,000 | | 1,148,573 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds | | 5.00 | | 6/15/2029 | | 1,120,000 | | 1,422,526 | |
The Camden County Improvement Authority, Revenue Bonds, Refunding (Rowan University Foundation Project) (Insured; Build America Mutual) Ser. A | | 5.00 | | 7/1/2032 | | 500,000 | | 654,151 | |
Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. B | | 3.20 | | 6/1/2027 | | 355,000 | | 364,069 | |
| | 5,849,798 | |
New York - 9.8% | | | | | |
New York City, GO, Ser. C | | 5.00 | | 8/1/2032 | | 400,000 | | 529,468 | |
New York City, GO, Ser. D2 | | 3.86 | | 12/1/2028 | | 2,000,000 | | 2,316,726 | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Garnet Health Medical Center Obligated Group) | | 5.00 | | 12/1/2027 | | 800,000 | b | 990,877 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
New York - 9.8% (continued) | | | | | |
New York State Dormitory Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 5.00 | | 10/1/2030 | | 1,000,000 | | 1,278,148 | |
New York State Urban Development Corp., Revenue Bonds, Refunding, Ser. B | | 2.67 | | 3/15/2023 | | 1,000,000 | | 1,038,424 | |
Niagara Area Development Corp., Revenue Bonds, Refunding (Covanta Holding Project) Ser. B | | 3.50 | | 11/1/2024 | | 1,000,000 | b | 1,056,257 | |
TSASC, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 6/1/2032 | | 1,000,000 | | 1,214,243 | |
TSASC, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 6/1/2022 | | 1,000,000 | | 1,034,891 | |
| | 9,459,034 | |
Oklahoma - 1.9% | | | | | |
Oklahoma Development Finance Authority, Revenue Bonds (Gilcrease Developers) | | 1.63 | | 7/6/2023 | | 1,000,000 | | 1,007,951 | |
Oklahoma Municipal Power Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 5.00 | | 1/1/2028 | | 650,000 | | 816,240 | |
| | 1,824,191 | |
Oregon - .7% | | | | | |
Medford Hospital Facilities Authority, Revenue Bonds, Refunding (Asante Project) Ser. A | | 5.00 | | 8/15/2029 | | 500,000 | | 653,696 | |
Pennsylvania - 11.0% | | | | | |
Commonwealth Financing Authority, Revenue Bonds | | 5.00 | | 6/1/2028 | | 1,000,000 | | 1,264,812 | |
Luzerne County Industrial Development Authority, Revenue Bonds, Refunding (Pennsylvania-American Water Co.) | | 2.45 | | 12/3/2029 | | 1,500,000 | c | 1,631,212 | |
Montgomery County Industrial Development Authority, Revenue Bonds, Refunding (ACTS Retirement-Life Communities Obligated Group) | | 5.00 | | 11/15/2036 | | 1,000,000 | | 1,178,765 | |
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. AX | | 5.00 | | 6/15/2028 | | 500,000 | | 635,629 | |
Pennsylvania Housing Finance Agency, Revenue Bonds, Refunding, Ser. 114A | | 3.35 | | 10/1/2026 | | 1,000,000 | | 1,007,503 | |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
Pennsylvania - 11.0% (continued) | | | | | |
Philadelphia Airport, Revenue Bonds, Refunding, Ser. B | | 5.00 | | 7/1/2027 | | 1,000,000 | | 1,239,179 | |
Philadelphia Gas Works, Revenue Bonds (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 5.00 | | 8/1/2030 | | 750,000 | | 983,180 | |
Philadelphia Gas Works, Revenue Bonds (Insured; Assured Guaranty Municipal Corp.) Ser. A | | 5.00 | | 8/1/2026 | | 600,000 | | 724,582 | |
Philadelphia Water & Wastewater, Revenue Bonds, Refunding | | 5.00 | | 10/1/2033 | | 500,000 | | 669,440 | |
The School District of Philadelphia, GO (Insured; State Aid Withholding) Ser. A | | 5.00 | | 9/1/2027 | | 1,000,000 | | 1,250,424 | |
| | 10,584,726 | |
Rhode Island - 2.7% | | | | | |
Rhode Island Student Loan Authority, Revenue Bonds, Ser. A | | 5.00 | | 12/1/2025 | | 1,250,000 | | 1,472,291 | |
Rhode Island Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. A | | 5.00 | | 6/1/2026 | | 1,000,000 | | 1,176,589 | |
| | 2,648,880 | |
Tennessee - 1.9% | | | | | |
Tennessee Energy Acquisition Corp., Revenue Bonds, Ser. A | | 5.25 | | 9/1/2026 | | 1,120,000 | | 1,344,045 | |
Tennessee Energy Acquisition Corp., Revenue Bonds, Ser. A | | 4.00 | | 5/1/2023 | | 500,000 | c | 530,910 | |
| | 1,874,955 | |
Texas - 8.8% | | | | | |
Central Texas Regional Mobility Authority, Revenue Bonds, Refunding | | 5.00 | | 1/1/2027 | | 1,250,000 | | 1,486,503 | |
Central Texas Regional Mobility Authority, Revenue Bonds, Ser. A | | 5.00 | | 1/1/2031 | | 1,175,000 | | 1,352,508 | |
Clifton Higher Education Finance Corp., Revenue Bonds (IDEA Public Schools) (Insured; Permanent School Fund Guarantee Program) | | 4.00 | | 8/15/2032 | | 500,000 | | 605,645 | |
Clifton Higher Education Finance Corp., Revenue Bonds, Ser. D | | 5.75 | | 8/15/2033 | | 1,000,000 | | 1,174,835 | |
Harris County-Houston Sports Authority, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 11/15/2029 | | 750,000 | | 841,218 | |
Love Field Airport Modernization Corp., Revenue Bonds | | 5.00 | | 11/1/2027 | | 1,000,000 | | 1,181,522 | |
Mission Economic Development Corp., Revenue Bonds, Refunding (Natgasoline Project) | | 4.63 | | 10/1/2031 | | 1,000,000 | b | 1,058,128 | |
| | | | | | | | | | |
| |
Description | Coupon
Rate (%) | | Maturity Date | | Principal Amount ($) | | Value ($) | |
Long-Term Municipal Investments - 94.2% (continued) | | | | | |
Texas - 8.8% (continued) | | | | | |
San Antonio Texas Electric & Gas Systems, Revenue Bonds, Refunding, Ser. A | | 5.00 | | 2/1/2032 | | 610,000 | | 819,551 | |
| | 8,519,910 | |
Virginia - 1.1% | | | | | |
Virginia Small Business Financing Authority, Revenue Bonds (95 Express Lanes) | | 5.00 | | 7/1/2034 | | 1,000,000 | | 1,023,395 | |
Washington - 1.6% | | | | | |
Port of Seattle, Revenue Bonds | | 5.00 | | 4/1/2027 | | 1,000,000 | | 1,227,491 | |
Spokane Water & Wastewater, Revenue Bonds (Green Bond) | | 4.00 | | 12/1/2031 | | 250,000 | | 279,234 | |
| | 1,506,725 | |
Total Long-Term Municipal Investments
(cost $84,514,803) | | 90,733,987 | |
Total Investments (cost $88,667,577) | | 98.7% | 95,087,195 | |
Cash and Receivables (Net) | | 1.3% | 1,266,037 | |
Net Assets | | 100.0% | 96,353,232 | |
GO—General Obligation
LIBOR—London Interbank Offered Rate
a Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
b 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 June 30, 2021, these securities were valued at $6,877,517 or 7.14% of net assets.
c These securities have a put feature; the date shown represents the put date and the bond holder can take a specific action to retain the bond after the put date.
STATEMENT OF INVESTMENTS
BNY Mellon Tax Sensitive Total Return Bond Fund
June 30, 2021 (Unaudited)
The following is a summary of the inputs used as of June 30, 2021 in valuing the fund’s investments:
| | | | | |
| | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) |
Investments in Securities: † |
Asset-Backed Securities | - | 9,779 | - | 9,779 |
Corporate Bonds | - | 4,343,429 | - | 4,343,429 |
Municipal Securities | - | 90,733,987 | - | 90,733,987 |
† See Statement of Investments for additional detailed categorizations, if any.
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:
Investments in securities are valued each business day by an independent pricing service (the “Service”) approved by the fund's Board (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). Debt 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. All of the preceding securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general oversight of the Board.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
At June 30, 2021, accumulated net unrealized appreciation on investments was $6,419,618, consisting of $6,424,547 gross unrealized appreciation and $4,929 gross unrealized depreciation.
At June 30, 2021, 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.
