STATEMENT OF INVESTMENTS
BNY Mellon Tax Sensitive Total Return Bond Fund
December 31, 2022 (Unaudited)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 92.5% | |||||||||
Arkansas - 3.2% | |||||||||
Arkansas Development Finance Authority, Revenue Bonds, Refunding (Washington Regional Medical Center) Ser. B | 5.00 | 2/1/2025 | 500,000 | 515,510 | |||||
California - 3.3% | |||||||||
California Statewide Communities Development Authority, Revenue Bonds (Loma Linda University Medical Center Obligated Group) Ser. A | 5.00 | 12/1/2031 | 525,000 | a | 536,591 | ||||
Florida - 6.4% | |||||||||
Florida Higher Educational Facilities Financial Authority, Revenue Bonds, Refunding (Nova Southeastern University Project) | 5.00 | 4/1/2026 | 500,000 | 524,465 | |||||
Miami Beach Redevelopment Agency, Tax Allocation Bonds, Refunding | 5.00 | 2/1/2033 | 500,000 | 508,069 | |||||
1,032,534 | |||||||||
Georgia - 4.8% | |||||||||
Fulton County Development Authority, Revenue Bonds, Ser. A | 5.00 | 4/1/2036 | 500,000 | 519,955 | |||||
Main Street Natural Gas Inc., Revenue Bonds, Ser. C | 4.00 | 9/1/2026 | 250,000 | b | 246,552 | ||||
766,507 | |||||||||
Hawaii - 3.3% | |||||||||
Hawaii Airports System, Revenue Bonds, Ser. A | 5.00 | 7/1/2028 | 500,000 | 534,746 | |||||
Illinois - 12.7% | |||||||||
Chicago Il Wastewater Transmission, Revenue Bonds, Refunding, Ser. C | 5.00 | 1/1/2026 | 500,000 | 517,034 | |||||
Chicago Il Waterworks, Revenue Bonds (2nd Lien Project) | 5.00 | 11/1/2026 | 500,000 | 512,366 | |||||
Chicago O'Hare International Airport, Revenue Bonds (Customer Facility Charge) | 5.25 | 1/1/2024 | 500,000 | 500,720 | |||||
Cook County II, Revenue Bonds, Refunding | 5.00 | 11/15/2035 | 500,000 | 528,338 | |||||
2,058,458 | |||||||||
Kansas - .7% | |||||||||
Kansas Development Finance Authority, Revenue Bonds, Ser. B | 4.00 | 11/15/2025 | 125,000 | 116,328 | |||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 92.5% (continued) | |||||||||
Maryland - 3.3% | |||||||||
Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Refunding (University of Maryland Medical System Obligated Group) Ser. B | 5.00 | 7/1/2032 | 500,000 | 530,325 | |||||
Massachusetts - 4.9% | |||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University) | 5.00 | 7/1/2028 | 250,000 | 263,608 | |||||
Massachusetts Port Authority, Revenue Bonds, Refunding (Bosfuel Project) Ser. A | 5.00 | 7/1/2032 | 500,000 | 534,884 | |||||
798,492 | |||||||||
Missouri - 3.3% | |||||||||
The Missouri Health & Educational Facilities Authority, Revenue Bonds, Refunding (St. Luke's Health System Inc. Obligated Group) | 5.00 | 11/15/2027 | 500,000 | 531,889 | |||||
Multi-State - .4% | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Variable Rate Certificates, Revenue Bonds, Ser. M048 | 3.15 | 1/15/2036 | 66,565 | a | 57,904 | ||||
New Jersey - 3.8% | |||||||||
New Jersey Transportation Trust Fund Authority, Revenue Bonds | 5.00 | 6/15/2029 | 560,000 | 608,825 | |||||
Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. B | 3.20 | 6/1/2027 | 5,000 | 4,985 | |||||
613,810 | |||||||||
New York - 1.7% | |||||||||
New York Transportation Development Corp., Revenue Bonds (JFK International Air Terminal LLC) | 5.00 | 12/1/2031 | 250,000 | 267,305 | |||||
North Carolina - 4.0% | |||||||||
The Charlotte-Mecklenburg Hospital Authority, Revenue Bonds (Atrium Health Obligated Group) Ser. G | 3.60 | 1/15/2048 | 650,000 | c | 650,000 | ||||
Pennsylvania - 14.1% | |||||||||
Montgomery County Industrial Development Authority, Revenue Bonds, Refunding (ACTS Retirement-Life Communities Inc. Obligated Group) | 5.00 | 11/15/2036 | 500,000 | 500,491 | |||||
Description | Coupon | Maturity Date | Principal Amount ($) |
| Value ($) | ||||
Long-Term Municipal Investments - 92.5% (continued) | |||||||||
Pennsylvania - 14.1% (continued) | |||||||||
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. AX | 5.00 | 6/15/2028 | 500,000 | 549,794 | |||||
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B | 5.00 | 12/1/2027 | 375,000 | 409,843 | |||||
Philadelphia Water & Wastewater, Revenue Bonds, Refunding | 5.00 | 10/1/2033 | 250,000 | 284,910 | |||||
The Philadelphia School District, GO (Insured; State Aid Withholding) Ser. A | 5.00 | 9/1/2027 | 500,000 | 538,858 | |||||
2,283,896 | |||||||||
Rhode Island - 7.2% | |||||||||
Rhode Island Student Loan Authority, Revenue Bonds, Ser. A | 5.00 | 12/1/2025 | 625,000 | 653,049 | |||||
Tobacco Settlement Financing Corp., Revenue Bonds, Refunding, Ser. A | 5.00 | 6/1/2026 | 500,000 | 511,418 | |||||
1,164,467 | |||||||||
Tennessee - 3.6% | |||||||||
Tennessee Energy Acquisition Corp., Revenue Bonds, Ser. A | 5.25 | 9/1/2026 | 560,000 | 578,486 | |||||
Texas - 11.8% | |||||||||
Clifton Higher Education Finance Corp., Revenue Bonds (IDEA Public Schools) (Insured; Permanent School Fund Guarantee Program) | 4.00 | 8/15/2032 | 500,000 | 527,759 | |||||
Clifton Higher Education Finance Corp., Revenue Bonds (International Leadership of Texas Inc.) Ser. D | 5.75 | 8/15/2033 | 500,000 | 508,072 | |||||
Love Field Airport Modernization Corp., Revenue Bonds | 5.00 | 11/1/2027 | 500,000 | 519,963 | |||||
San Antonio Texas Electric & Gas Systems, Revenue Bonds, Refunding, Ser. A | 5.00 | 2/1/2032 | 305,000 | 349,346 | |||||
1,905,140 | |||||||||
Total Long-Term Municipal Investments | 14,942,388 | ||||||||
| |||||||||
Short-Term Municipal Investments - 4.0% | |||||||||
California - 4.0% | |||||||||
University of California, Revenue Bonds, Refunding | 2.40 | 5/15/2048 | 650,000 | c | 650,000 | ||||
Total Investments (cost $16,123,580) | 96.5% | 15,592,388 | |||||||
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Cash and Receivables (Net) | 3.5% | 557,245 | ||
Net Assets | 100.0% | 16,149,633 |
a 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 December 31, 2022, these securities were valued at $594,495 or 3.68% of net assets.
b These securities have a put feature; the date shown represents the put date and the bond holder can take a specific action to retain the bond after the put date.
c The Variable Rate shall be determined by the Remarketing Agent in its sole discretion based on prevailing market conditions and may, but need not, be established by reference to one or more financial indices.
STATEMENT OF INVESTMENTS
BNY Mellon Tax Sensitive Total Return Bond Fund
December 31, 2022 (Unaudited)
The following is a summary of the inputs used as of December 31, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Municipal Securities | - | 15,592,388 | - | 15,592,388 | ||
† 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:
The Trust’s Board of Trustees (the “Board”) has designated the Adviser as the fund’s valuation designee, effective September 8, 2022, 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 (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 December 31, 2022, accumulated net unrealized depreciation on investments was $531,192, consisting of $13,851 gross unrealized appreciation and $545,043 gross unrealized depreciation.
At December 31, 2022, 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.