BNY MELLON STRATEGIC MUNICIPAL BOND FUND, INC.

Regulatory Filings • Oct 25, 2019

NPORT-EX 1 c10289bnymellons-august20191.htm Untitled Document

STATEMENT OF INVESTMENTS BNY Mellon Strategic Municipal Bond Fund, Inc.

August 31, 2019 (Unaudited)

| Description | | Maturity Date | Principal Amount
($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Bonds and Notes - .6% | | | | | |
| Collateralized
Municipal-Backed Securities - .6% | | | | | |
| Federal
Home Loan Mortgage Corp. Multifamily Variable Rate Certificate, Revenue Bonds, Ser. M-048 (cost $2,518,150) | 3.15 | 1/1/2036 | 2,500,000 | | 2,752,050 |
| Long-Term Municipal Investments - 98.1% | | | | | |
| Alabama
- 4.6% | | | | | |
| Birmingham
Special Care Facilities Financing Authority, Revenue Bonds (Methodist Home for the Aging Obligated Group) | 5.50 | 6/1/2030 | 1,800,000 | | 2,075,112 |
| Birmingham Special Care
Facilities Financing Authority, Revenue Bonds (Methodist Home for the Aging Obligated Group) | 6.00 | 6/1/2050 | 2,750,000 | | 3,136,485 |
| Jefferson County, Revenue
Bonds, Refunding, Ser. F | 0/7.50 | 10/1/2046 | 6,000,000 | a | 5,807,520 |
| The Lower Alabama Gas District, Revenue Bonds, Ser. A | 5.00 | 9/1/2046 | 5,000,000 | | 7,296,950 |
| University of Alabama
at Birmingham, Revenue Bonds, Ser. B | 4.00 | 10/1/2036 | 2,745,000 | | 3,221,148 |
| | | | | 21,537,215 | |
| Arizona - 2.6% | | | | | |
| Arizona Industrial Development Authority, Revenue Bonds, Refunding
(BASIS Schools Projects) Ser. A | 5.25 | 7/1/2047 | 1,500,000 | b | 1,650,420 |
| Tender Option Bond Trust Receipts (Series 2018-XF2537), (Salt
Verde Financial Corporation, Senior Gas Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.00 | 12.73 | 12/1/2037 | 1,140,000 | b,c | 2,841,632 |
| The Phoenix Industrial Development Authority, Revenue Bonds (Legacy
Traditional Schools Project) Ser. A | 6.75 | 7/1/2044 | 1,000,000 | b | 1,154,110 |
| The Phoenix Industrial Development Authority, Revenue Bonds,
Refunding (BASIS Schools Projects) | 5.00 | 7/1/2045 | 1,000,000 | b | 1,075,100 |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Arizona
- 2.6% (continued) | | | | | |
| The
Phoenix Industrial Development Authority, Revenue Bonds, Refunding (BASIS Schools Projects) Ser. A | 5.00 | 7/1/2046 | 2,000,000 | b | 2,149,120 |
| The Pima County Industrial Development Authority, Revenue Bonds
(American Leadership Academy Project) | 5.00 | 6/15/2047 | 1,500,000 | b | 1,552,200 |
| The Pima County Industrial Development Authority, Revenue Bonds
(American Leadership Academy Project) | 5.00 | 6/15/2052 | 1,500,000 | b | 1,550,190 |
| | | | | 11,972,772 | |
| California
- 4.4% | | | | | |
| California,
GO | 6.00 | 3/1/2033 | 2,250,000 | | 2,304,697 |
| California, GO | 6.00 | 11/1/2035 | 5,000,000 | | 5,040,000 |
| California Public Finance
Authority, Revenue Bonds, Ser. A | 5.00 | 7/1/2037 | 700,000 | b | 759,682 |
| Golden State Tobacco Securitization Corp., Revenue Bonds, Refunding,
Ser. A1 | 5.00 | 6/1/2047 | 1,000,000 | | 1,025,660 |
| San Buenaventura, Revenue
Bonds (Community Memorial Health System) | 7.50 | 12/1/2041 | 1,500,000 | | 1,679,220 |
| Tender Option Bond Trust Receipts (Series 2016-XM0379), (Los
Angeles Department of Water & Power, Revenue Bonds) Non-recourse, Underlying Coupon Rate (%) 5.00 | 11.42 | 7/1/2043 | 1,250,000 | b,c | 1,768,263 |
| Tender Option Bond Trust Receipts (Series 2016-XM0387), (Los
Angeles Department of Airports, Senior Revenue Bonds (Los Angeles International Airport)) Non-recourse,
Underlying Coupon Rate (%) 5.00 | 11.21 | 5/15/2038 | 1,500,000 | b,c | 2,173,785 |
| Tender Option Bond Trust Receipts (Series 2016-XM0390), (The
Regents of the University of California, General Revenue Bonds) Non-recourse, Underlying Coupon Rate
(%) 5.00 | 11.42 | 5/15/2036 | 1,565,000 | b,c | 2,400,804 |
| Tender Option Bond Trust Receipts (Series 2016-XM0440), (Los
Angeles Department of Airports, Senior Revenue Bonds (Los Angeles International Airport)) Recourse, Underlying
Coupon Rate (%) 5.00 | 13.37 | 5/15/2031 | 1,315,000 | b,c | 1,456,231 |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| California
- 4.4% (continued) | | | | | |
| Tender
Option Bond Trust Receipts (Series 2019-XF2838), (San Francisco California City & County Airports
Community International Airport, Revenue Bonds) Recourse, Underlying Coupon Rate (%) 4.00 | 6.55 | 5/1/2050 | 1,295,000 | b,c | 1,936,569 |
| | | | | 20,544,911 | |
| Colorado
- 3.5% | | | | | |
| Belleview
Station Metropolitan District No. 2, GO, Refunding | 5.13 | 12/1/2046 | 2,375,000 | | 2,498,381 |
| Colorado Educational & Cultural Facilities Authority, Revenue
Bonds, Refunding (Johnson & Wales University) Ser. B | 5.00 | 4/1/2031 | 2,685,000 | | 2,921,763 |
| Denver City & County Airport System, Revenue Bonds, Refunding,
Ser. A | 5.00 | 12/1/2048 | 2,300,000 | | 2,807,035 |
| Dominion Water &
Sanitation District, Revenue Bonds | 6.00 | 12/1/2046 | 3,210,000 | | 3,458,165 |
| Sterling Ranch Community
Authority Board, Revenue Bonds (Insured; Municipal Government Guaranteed) Ser. A | 5.00 | 12/1/2047 | 1,250,000 | | 1,294,150 |
| Tender Option Bond Trust Receipts (Series 2016-XM0385), (Board
of Governors of the Colorado State University, Revenue Bonds) Non-recourse, Underlying Coupon Rate (%)
5.00 | 11.27 | 3/1/2038 | 1,240,000 | b,c | 1,712,663 |
| Tender Option Bond Trust Receipts (Series 2019-XM0767), (Colorado
Health Facilities Authority, Revenue Bonds (CommonSpirit Health)) , Underlying Coupon Rate (%) 4.00 | 9.08 | 8/1/2049 | 1,095,000 | b,c | 1,535,037 |
| | | | | 16,227,194 | |
| Connecticut
- .5% | | | | | |
| Connecticut
Housing Finance Authority, Revenue Bonds, Refunding, Ser. A1 | 3.65 | 11/15/2032 | 2,000,000 | | 2,169,400 |
| District of Columbia - 1.1% | | | | | |
| Tender Option Bond Trust Receipts (Series 2016-XM0437), (District
of Columbia, Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.00 | 13.25 | 12/1/2035 | 3,710,000 | b,c | 5,302,814 |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Florida
- 8.6% | | | | | |
| Atlantic
Beach, Revenue Bonds (Fleet Landing Project) Ser. A | 5.00 | 11/15/2053 | 2,500,000 | | 2,860,125 |
| Cape Coral Health Facilities Authority, Revenue Bonds, Refunding
(Gulf Care Project) | 5.88 | 7/1/2040 | 1,600,000 | b | 1,762,272 |
| Florida Higher Educational Facilities Financial Authority, Revenue
Bonds (Ringling College Project) | 5.00 | 3/1/2049 | 2,000,000 | | 2,398,020 |
| Florida Higher Educational
Facilities Financial Authority, Revenue Bonds, Refunding (St. Leo University Project) | 5.00 | 3/1/2049 | 4,000,000 | | 4,610,720 |
| Lee County Industrial Development Authority, Revenue Bonds (Shell
Point/Waterside Health) | 5.00 | 11/15/2049 | 1,540,000 | | 1,803,941 |
| Mid-Bay Bridge Authority,
Revenue Bonds, Ser. A | 7.25 | 10/1/2021 | 5,000,000 | d | 5,616,950 |
| Palm Beach County Health Facilities Authority, Revenue Bonds
(Adult Communities Total Services, Inc. Retirement - Life Communities) | 5.00 | 11/15/2045 | 5,775,000 | | 6,733,188 |
| Palm Beach County Health Facilities Authority, Revenue Bonds
(Adult Communities Total Services, Inc. Retirement - Life Communities) | 5.50 | 11/15/2020 | 6,825,000 | d | 7,180,241 |
| South Lake County Hospital District, Revenue Bonds (South Lake
Hospital, Inc.) Ser. A | 6.25 | 4/1/2039 | 2,500,000 | | 2,507,400 |
| St. Johns County Industrial
Development Authority, Revenue Bonds, Refunding (Presbyterian Retirement Communities Project) Ser. A | 6.00 | 8/1/2020 | 3,500,000 | d | 3,652,565 |
| Tender Option Bond Trust Receipts (Series 2019-XF0813), (Fort
Myers Florida Utility, Revenue Bonds) Non-recourse, Underlying Coupon Rate (%) 4.00 | 9.99 | 10/1/2049 | 745,000 | b,c | 1,122,559 |
| | | | | 40,247,981 | |
| Georgia
- 3.8% | | | | | |
| Atlanta,
Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. B | 5.25 | 11/1/2034 | 275,000 | | 276,823 |
| Atlanta, Revenue Bonds, Ser. A | 6.00 | 11/1/2019 | 4,865,000 | d | 4,902,996 |
| Atlanta, Revenue Bonds, Ser. D | 3.50 | 11/1/2028 | 1,000,000 | b | 1,044,000 |
| Atlanta Development Authority, Revenue Bonds (Georgia Proton
Treatment Center) Ser. A1 | 7.00 | 1/1/2040 | 1,500,000 | | 1,652,790 |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Georgia
- 3.8% (continued) | | | | | |
| Atlanta
Development Authority, Revenue Bonds, Ser. A1 | 5.25 | 7/1/2040 | 1,000,000 | | 1,196,940 |
| Burke County Development Authority, Revenue Bonds, Refunding
(Oglethorpe power Corp.) Ser. D | 4.13 | 11/1/2045 | 4,200,000 | | 4,552,590 |
| Tender Option Bond Trust
Receipts (Series 2016-XM0435), (Private Colleges and Universities Authority, Revenue Bonds (Emory University))
Recourse, Underlying Coupon Rate (%) 5.00 | 13.26 | 10/1/2043 | 1,500,000 | b,c | 2,261,400 |
| Tender Option Bond Trust Receipts (Series 2019-XM0766), (Brookhaven
Development Authority, Revenue Bonds (Children's Healthcare of Atlanta)), Underlying Coupon Rate (%)
4.00 | 9.59 | 7/1/2049 | 1,115,000 | b,c | 1,708,013 |
| | | | | 17,595,552 | |
| Hawaii
- 1.1% | | | | | |
| Hawaii
Department of Budget & Finance, Revenue Bonds, Refunding (Hawaiian Electric, Co.) | 4.00 | 3/1/2037 | 2,500,000 | | 2,654,550 |
| Hawaii Pacific Health, Revenue Bonds, Ser. B | 5.63 | 7/1/2020 | 2,500,000 | d | 2,592,175 |
| | | | | 5,246,725 | |
| Illinois
- 11.2% | | | | | |
| Chicago,
GO, Refunding, Ser. A | 6.00 | 1/1/2038 | 3,000,000 | | 3,601,320 |
| Chicago, GO, Refunding,
Ser. C | 5.00 | 1/1/2024 | 1,265,000 | | 1,402,417 |
| Chicago, GO, Ser. A | 5.50 | 1/1/2049 | 3,000,000 | | 3,563,010 |
| Chicago, Revenue Bonds,
Refunding, Ser. C | 5.00 | 1/1/2039 | 2,330,000 | | 2,619,013 |
| Chicago Board of Education,
GO, Refunding, Ser. A | 5.00 | 12/1/2033 | 1,250,000 | | 1,452,113 |
| Chicago O'Hare International
Airport, Revenue Bonds | 5.63 | 1/1/2035 | 580,000 | | 612,961 |
| Chicago O'Hare International
Airport, Revenue Bonds | 5.63 | 1/1/2021 | 2,420,000 | d | 2,566,579 |
| Chicago O'Hare International Airport, Revenue Bonds, Refunding,
Ser. A | 5.00 | 1/1/2048 | 4,000,000 | | 4,828,120 |
| Illinois, GO, Refunding,
Ser. A | 5.00 | 10/1/2029 | 2,000,000 | | 2,383,880 |
| Illinois, GO, Ser. A | 5.00 | 5/1/2038 | 2,850,000 | | 3,280,492 |
| Illinois, GO, Ser. C | 5.00 | 11/1/2029 | 5,500,000 | | 6,413,110 |
| Illinois Finance Authority,
Revenue Bonds, Refunding (Plymouth Place, Inc.) | 5.25 | 5/15/2045 | 1,000,000 | | 1,076,250 |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Illinois
- 11.2% (continued) | | | | | |
| Metropolitan
Pier & Exposition Authority, Revenue Bonds (McCormick Place Expansion Project) (Insured; National
Public Finance Guarantee Corp.) Ser. A | 0.00 | 12/15/2036 | 2,500,000 | e | 1,473,800 |
| Metropolitan Pier & Exposition Authority, Revenue Bonds (McCormick
Place Expansion Project) Ser. A | 5.00 | 6/15/2053 | 2,500,000 | | 2,747,350 |
| Metropolitan Pier &
Exposition Authority, Revenue Bonds, Refunding (McCormick Place Project) Ser. B | 5.00 | 12/15/2028 | 2,500,000 | | 2,692,125 |
| Metropolitan Pier & Exposition Authority, Revenue Bonds,
Refunding (McCormick Place Project) Ser. B | 5.00 | 6/15/2052 | 3,550,000 | | 3,743,546 |
| Railsplitter Tobacco Settlement Authority, Revenue Bonds | 6.00 | 6/1/2021 | 3,600,000 | d | 3,902,760 |
| Tender Option Bond Trust Receipts (Series 2017-XM0492), (Illinois
Finance Authority, Revenue Bonds, Refunding (The University of Chicago)) Non-recourse, Underlying Coupon
Rate (%) 5.00 | 11.27 | 10/1/2040 | 2,250,000 | b,c | 3,818,182 |
| | | | | 52,177,028 | |
| Indiana
- .9% | | | | | |
| Indiana
Finance Authority, Revenue Bonds (Parkview Health System Obligated Group) Ser. A | 5.00 | 11/1/2043 | 3,500,000 | | 4,297,650 |
| Iowa - 1.2% | | | | | |
| Iowa Finance Authority, Revenue Bonds, Refunding (Iowa Fertilizer
Co. Project) | 5.25 | 12/1/2025 | 5,125,000 | | 5,621,510 |
| Kentucky
- 1.3% | | | | | |
| Christian
County, Revenue Bonds, Refunding (Jennie Stuart Medical Center Obligated Group) | 5.50 | 2/1/2044 | 2,800,000 | | 3,184,608 |
| Kentucky Public Energy Authority, Revenue Bonds, Ser. A1 | 4.00 | 6/1/2025 | 2,560,000 | | 2,875,597 |
| | | | | 6,060,205 | |
| Louisiana - 1.3% | | | | | |
| Louisiana Local Government Environmental Facilities & Community
Development Authority, Revenue Bonds, Refunding (Westlake Chemical Corp. Project) | 3.50 | 11/1/2032 | 2,400,000 | | 2,572,080 |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Louisiana
- 1.3% (continued) | | | | | |
| Tender
Option Bond Trust Receipts (Series 2018-XF2584), (Louisiana Public Facilities Authority, Hospital Revenue
Bonds (Franciscan Missionaries of Our Lady Health System Project)) Recourse, Underlying Coupon Rate (%)
5.00 | 10.83 | 7/1/2047 | 2,050,000 | b,c | 3,434,119 |
| | | | | 6,006,199 | |
| Maine
- .5% | | | | | |
| Maine
Health & Higher Educational Facilities Authority, Revenue Bonds (Maine General Medical Center) | 7.50 | 7/1/2032 | 2,000,000 | | 2,207,880 |
| Maryland
- 1.2% | | | | | |
| Maryland
Health & Higher Educational Facilities Authority, Revenue Bonds (Adventist Healthcare Obligated Group)
Ser. A | 5.50 | 1/1/2046 | 3,250,000 | | 3,862,462 |
| Tender Option Bond Trust
Receipts (Series 2016-XM0391), (Mayor and City Council of Baltimore, Project Revenue Bonds (Water Projects))
Non-recourse, Underlying Coupon Rate (%) 5.00 | 11.24 | 7/1/2042 | 1,000,000 | b,c | 1,549,900 |
| | | | | 5,412,362 | |
| Massachusetts
- 3.6% | | | | | |
| Massachusetts
Development Finance Agency, Revenue Bonds, Refunding (UMass Memorial Health Care Obligated Group) Ser.
K | 5.00 | 7/1/2038 | 2,130,000 | | 2,517,042 |
| Massachusetts Development
Finance Agency, Revenue Bonds, Refunding, Ser. A | 5.00 | 7/1/2029 | 1,000,000 | | 1,267,300 |
| Massachusetts Development Finance Agency, Revenue Bonds, Refunding,
Ser. I | 7.25 | 1/1/2021 | 1,505,000 | d | 1,626,183 |
| Massachusetts Development Finance Agency, Revenue Bonds, Refunding,
Ser. I | 7.25 | 1/1/2021 | 995,000 | d | 1,074,421 |
| Tender Option Bond Trust Receipts (Series 2016-XM0368), (Massachusetts
Development Finance Agency, Revenue Bonds (Harvard University Issue)) Non-recourse, Underlying Coupon
Rate (%) 5.25 | 12.14 | 2/1/2034 | 2,500,000 | b,c | 3,079,500 |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Massachusetts
- 3.6% (continued) | | | | | |
| Tender
Option Bond Trust Receipts (Series 2016-XM0372), (Massachusetts, Revenue Bonds) Non-recourse, Underlying
Coupon Rate (%) 5.00 | 11.27 | 4/1/2027 | 1,600,000 | b,c | 1,988,400 |
| Tender Option Bond Trust Receipts (Series 2016-XM0386), (University
of Massachusetts Building Authority, Project and Refunding Revenue Bonds) Non-recourse, Underlying Coupon
Rate (%) 5.00 | 11.26 | 5/1/2043 | 1,855,000 | b,c | 2,728,315 |
| Tender Option Bond Trust Receipts (Series 2018-XF0610), (Massachusetts
Transportation Fund, Revenue Bonds (Rail Enhancement & Accelerated Bridge Programs)) Recourse, Underlying
Coupon Rate (%) 5.00 | 11.58 | 6/1/2047 | 1,315,000 | b,c | 2,423,545 |
| | | | | 16,704,706 | |
| Michigan
- 4.9% | | | | | |
| Detroit
Water Supply System, Revenue Bonds, Ser. A | 5.00 | 7/1/2036 | 3,290,000 | | 3,470,029 |
| Detroit Water Supply System, Revenue Bonds, Ser. A | 5.00 | 7/1/2031 | 3,780,000 | | 3,999,731 |
| Great Lakes Water Authority
Sewage Disposal System, Revenue Bonds, Refunding, Ser. C | 5.00 | 7/1/2036 | 2,000,000 | | 2,383,420 |
| Michigan Finance Authority, Revenue Bonds, Refunding (Insured;
National Public Finance Guarantee Corp.) Ser. D6 | 5.00 | 7/1/2036 | 1,000,000 | | 1,147,600 |
| Michigan State Building Authority, Revenue Bonds, Refunding (State
of Michigan) | 4.00 | 4/15/2054 | 2,500,000 | | 2,822,875 |
| Michigan Strategic Fund,
Revenue Bonds (AMT-I-75 Improvement Project) | 5.00 | 6/30/2048 | 5,000,000 | | 6,017,050 |
| Michigan Strategic Fund, Revenue Bonds, Refunding (Genesee Power
Station Project) | 7.50 | 1/1/2021 | 1,395,000 | | 1,394,791 |
| Tender Option Bond Trust
Receipts (Series 2019-XF2837), (Michigan State Finance Authority, Revenue Bonds (Henry Ford Health System))
Recourse, Underlying Coupon Rate (%) 4.00 | 9.19 | 11/15/2050 | 975,000 | b,c | 1,414,706 |
| | | | | 22,650,202 | |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Minnesota
- 1.0% | | | | | |
| Duluth
Economic Development Authority, Revenue Bonds, Refunding (Essentia Health Obligated Group) Ser. A | 5.00 | 2/15/2058 | 4,000,000 | | 4,693,360 |
| Missouri
- 2.0% | | | | | |
| Missouri
Health & Educational Facilities Authority, Revenue Bonds, Refunding (Lutheran Senior Services Projects) | 5.00 | 2/1/2046 | 2,200,000 | | 2,477,464 |
| Missouri Health &
Educational Facilities Authority, Revenue Bonds, Refunding (Lutheran Senior Services Projects) Ser. B | 2.88 | 2/1/2022 | 1,365,000 | | 1,375,265 |
| St. Louis Land Clearance
For Redevelopment Authority, Revenue Bonds (National Geospatial-Intelligence Agency Site Improvements
Project) | 5.13 | 6/1/2046 | 4,925,000 | | 5,608,048 |
| | | | | 9,460,777 | |
| Nevada - 1.2% | | | | | |
| Reno, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal
Corp.) | 4.00 | 6/1/2058 | 5,000,000 | | 5,479,150 |
| New
Jersey - 3.0% | | | | | |
| Essex
County Improvement Authority, Revenue Bonds | 5.25 | 7/1/2045 | 1,000,000 | b | 1,016,760 |
| New Jersey Economic Development Authority, Revenue Bonds, Refunding
(American Water Co. Project) Ser. A | 5.70 | 10/1/2039 | 3,000,000 | | 3,009,930 |
| New Jersey Housing &
Mortgage Finance Agency, Revenue Bonds, Refunding, Ser. D | 4.00 | 10/1/2024 | 2,370,000 | | 2,609,180 |
| New Jersey Transportation Trust Fund Authority, Revenue Bonds | 5.00 | 6/15/2046 | 1,365,000 | | 1,602,565 |
| New Jersey Transportation
Trust Fund Authority, Revenue Bonds | 5.25 | 6/15/2043 | 1,500,000 | | 1,811,205 |
| South Jersey Port Corp.,
Revenue Bonds, Ser. B | 5.00 | 1/1/2042 | 2,025,000 | | 2,383,060 |
| Tender Option Bond Trust
Receipts (Series 2018-XF2538), (New Jersey Economic Development Authority, Revenue Bonds) Recourse, Underlying
Coupon Rate (%) 5.25 | 13.76 | 6/15/2040 | 1,065,000 | b,c | 1,643,955 |
| | | | | 14,076,655 | |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| New
Mexico - 1.1% | | | | | |
| Farmington,
Revenue Bonds, Refunding (Public Service Company of New Mexico San Juan Project) Ser. D | 5.90 | 6/1/2040 | 5,000,000 | | 5,167,600 |
| New York - 7.1% | | | | | |
| New York City Educational Construction Fund, Revenue Bonds, Ser.
A | 6.50 | 4/1/2028 | 2,785,000 | | 3,012,451 |
| New York Convention
Center Development Corp., Revenue Bonds (Insured; Assured Guaranty Municipal Corp.) Ser. B | 0.00 | 11/15/2049 | 5,600,000 | e | 2,390,248 |
| New York Counties Tobacco Trust V, Revenue Bonds, Ser. S2 | 0.00 | 6/1/2050 | 27,625,000 | e | 4,263,366 |
| New York Liberty Development Corp., Revenue Bonds, Refunding
(Class 1-3 World Trade Center Project) | 5.00 | 11/15/2044 | 3,400,000 | b | 3,776,686 |
| New York Transportation Development Corp., Revenue Bonds (LaGuardia
Airport Terminal B Redevelopment Project) Ser. A | 5.00 | 7/1/2046 | 3,000,000 | | 3,357,240 |
| New York Transportation Development Corp., Revenue Bonds, Refunding
(American Airlines Inc.) | 5.00 | 8/1/2026 | 500,000 | | 530,020 |
| Niagara Area Development
Corp., Revenue Bonds, Refunding (Convanta Holding Project) Ser. A | 4.75 | 11/1/2042 | 1,000,000 | b | 1,064,620 |
| Port Authority of New York & New Jersey, Revenue Bonds (JFK
International Air Terminal LLC Project) | 6.00 | 12/1/2036 | 4,710,000 | | 4,989,538 |
| Tender Option Bond Trust
Receipts (Series 2016-XM0370), (New York City Transitional Finance Authority, Revenue Bonds) Non-recourse,
Underlying Coupon Rate (%) 5.25 | 12.14 | 11/1/2025 | 1,250,000 | b,c | 1,487,288 |
| Tender Option Bond Trust Receipts (Series 2016-XM0436), (New
York City Municipal Water Finance Authority, Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.00 | 13.26 | 6/15/2044 | 3,150,000 | b,c | 4,169,781 |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| New
York - 7.1% (continued) | | | | | |
| Tender
Option Bond Trust Receipts (Series 2016-XM0438), (New York City Transitional Finance Authority, Revenue
Bonds) Recourse, Underlying Coupon Rate (%) 5.50 | 15.22 | 11/1/2027 | 1,250,000 | b,c | 1,500,038 |
| Tender Option Bond Trust Receipts (Series 2019-XM0771), (Metropolitan
Transportation Authority, Revenue Bonds (Insured; Assured Guaranty Municipal Corp.)), Underlying Coupon
Rate (%) 4.00 | 8.12 | 11/15/2048 | 1,530,000 | b,c | 2,423,443 |
| | | | | 32,964,719 | |
| North
Carolina - .5% | | | | | |
| Tender
Option Bond Trust Receipts (Series 2016-XM0444), (North Carolina Medical Care Commission, Revenue Bonds
(Duke University Health System)) Recourse, Underlying Coupon Rate (%) 5.00 | 15.97 | 6/1/2042 | 2,000,000 | b,c | 2,273,800 |
| Ohio - 4.6% | | | | | |
| Buckeye Tobacco Settlement
Financing Authority, Revenue Bonds, Ser. A2 | 5.88 | 6/1/2030 | 2,000,000 | | 2,012,720 |
| Buckeye Tobacco Settlement Financing Authority, Revenue Bonds,
Ser. A2 | 6.50 | 6/1/2047 | 9,085,000 | | 9,312,216 |
| Butler County, Revenue
Bonds | 5.50 | 11/1/2020 | 2,040,000 | d | 2,145,182 |
| Butler County, Revenue Bonds | 5.50 | 11/1/2020 | 960,000 | d | 1,009,498 |
| Centerville, Revenue Bonds, Refunding (Graceworks Lutheran Services) | 5.25 | 11/1/2047 | 1,500,000 | | 1,656,810 |
| Cuyahoga County, Revenue
Bonds, Refunding (The MetroHealth System) | 5.00 | 2/15/2057 | 1,000,000 | | 1,130,310 |
| Ohio Air Quality Development Authority, Revenue Bonds (Ohio Valley
Electric Corp. Project) Ser. E | 5.63 | 10/1/2019 | 4,200,000 | | 4,209,786 |
| | | | | 21,476,522 | |
| Oregon - .3% | | | | | |
| Warm Springs Reservation Confederated Tribe, Revenue Bonds (Pelton
Round Butte Project) Ser. B | 6.38 | 11/1/2033 | 1,500,000 | | 1,512,540 |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Pennsylvania
- 3.7% | | | | | |
| Allentown
School District, GO, Refunding (Insured; Build America Mutual) Ser. B | 5.00 | 2/1/2031 | 1,510,000 | | 1,924,782 |
| Crawford County Hospital Authority, Revenue Bonds, Refunding
(Meadville Medical Center Project) Ser. A | 6.00 | 6/1/2046 | 1,000,000 | | 1,165,180 |
| Franklin County Industrial Development Authority, Revenue Bonds
(Menno-Haven, Inc. Project) | 5.00 | 12/1/2054 | 1,000,000 | | 1,102,190 |
| Pennsylvania Higher
Educational Facilities Authority, Revenue Bonds, Refunding (University of Sciences) | 5.00 | 11/1/2033 | 2,805,000 | | 3,210,687 |
| Pennsylvania Housing Finance Agency, Revenue Bonds, Refunding,
Ser. 114A | 3.35 | 10/1/2026 | 2,000,000 | | 2,054,100 |
| Philadelphia, GO, Refunding | 6.50 | 8/1/2020 | 4,700,000 | d | 4,927,809 |
| Tender Option Bond Trust Receipts (Series 2016-XM0373), (Geisinger
Authority, Revenue Bonds (Geisinger Health System)) Non-recourse , Underlying Coupon Rate (%) 5.13 | 11.71 | 6/1/2041 | 750,000 | b,c | 924,270 |
| Tender Option Bond Trust Receipts (Series 2018-XM0594), (Berks
County Industrial Development Authority, Health System Revenue Bonds, Refunding (Tower Health Project))
Recourse, Underlying Coupon Rate (%) 5.00 | 12.95 | 11/1/2050 | 1,230,000 | b,c | 2,057,753 |
| | | | | 17,366,771 | |
| South
Carolina - 1.0% | | | | | |
| Tender
Option Bond Trust Receipts (Series 2016-XM0384), (South Carolina Public Service Authority, Revenue Bonds
(Santee Cooper)) Non-recourse, Underlying Coupon Rate (%) 5.13 | 8.84 | 12/1/2043 | 3,400,000 | b,c | 4,610,196 |
| Tennessee - .2% | | | | | |
| Tender Option Bond Trust
Receipts (Series 2016-XM0388), (Metropolitan Government of Nashville and Davidson County, Water and Sewer
Revenue Bonds) Non-recourse, Underlying Coupon Rate (%) 5.00 | 10.82 | 7/1/2040 | 750,000 | b,c | 1,118,123 |

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Texas
- 6.3% | | | | | |
| Central
Texas Regional Mobility Authority, Revenue Bonds | 5.00 | 1/1/2048 | 2,500,000 | | 2,965,550 |
| Central Texas Regional Mobility Authority, Revenue Bonds, Ser.
A | 5.00 | 1/1/2045 | 1,500,000 | | 1,717,545 |
| Clifton Higher Education
Finance Corp., Revenue Bonds (International Leadership) Ser. A | 5.75 | 8/15/2045 | 2,500,000 | | 2,762,875 |
| Clifton Higher Education Finance Corp., Revenue Bonds (International
Leadership) Ser. D | 6.13 | 8/15/2048 | 3,000,000 | | 3,381,690 |
| Clifton Higher Education
Finance Corp., Revenue Bonds (Uplift Education) Ser. A | 4.50 | 12/1/2044 | 2,500,000 | | 2,609,950 |
| Gulf Coast Industrial Development Authority, Revenue Bonds (ExxonMobil
Project) | 1.35 | 11/1/2041 | 300,000 | f | 300,000 |
| Harris County-Houston Sports Authority, Revenue Bonds, Refunding
(Insured; Assured Guaranty Municipal Corp.) Ser. A | 0.00 | 11/15/2051 | 7,500,000 | e | 2,066,475 |
| Love Field Airport Modernization Corp., Revenue Bonds (Southwest
Airlines Company Project) | 5.00 | 11/1/2028 | 1,000,000 | | 1,099,060 |
| New Hope Cultural Education
Facilities Finance Corp., Revenue Bonds (NCCD-College Station Properties) Ser. A | 5.00 | 7/1/2035 | 500,000 | | 475,210 |
| Tarrant County Cultural Education Facilities Finance Corp., Revenue
Bonds (Buckingham Senior Living Community, Inc. Project) | 5.50 | 11/15/2045 | 3,000,000 | g | 2,100,000 |
| Tender Option Bond Trust Receipts (Series 2016-XM0377), (San
Antonio, Revenue Bonds) Non-recourse, Underlying Coupon Rate (%) 5.00 | 11.27 | 2/1/2043 | 3,115,000 | b,c | 4,508,651 |
| Tender Option Bond Trust Receipts (Series 2016-XM0443), (Texas
A&M University System Board of Regents, Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.00 | 15.98 | 5/15/2039 | 2,630,000 | b,c | 2,983,919 |
| Texas Private Activity Bond Surface Transportation Corp., Revenue
Bonds (Segment 3C Project) | 5.00 | 6/30/2058 | 2,000,000 | | 2,371,700 |
| | | | | 29,342,625 | |

STATEMENT OF INVESTMENTS (Unaudited) (continued)

| Description | | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| U.S.
Related - 1.0% | | | | | |
| Puerto
Rico, GO, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. A | 5.00 | 7/1/2035 | 2,500,000 | | 2,631,125 |
| Puerto Rico Highway & Transportation Authority, Revenue Bonds,
Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. CC | 5.25 | 7/1/2034 | 2,000,000 | | 2,239,580 |
| | | | | 4,870,705 | |
| Utah
- .5% | | | | | |
| Utah
Infrastructure Agency, Revenue Bonds, Refunding, Ser. A | 5.00 | 10/15/2040 | 2,000,000 | | 2,177,800 |
| Virginia - 3.8% | | | | | |
| Chesterfield County Economic Development Authority, Revenue Bonds,
Refunding (Brandermill Woods Project) | 5.13 | 1/1/2043 | 700,000 | | 721,987 |
| Henrico County Economic
Development Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) | 7.35 | 8/23/2027 | 5,450,000 | f | 7,460,505 |
| Tender Option Bond Trust Receipts (Series 2018-XM0593), (Hampton
Roads Transportation Accountability Commission, Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.50 | 13.32 | 7/1/2057 | 1,875,000 | b,c | 3,814,219 |
| Virginia College Building Authority, Revenue Bonds (Green Bond)
(Marymount University Project) | 5.00 | 7/1/2045 | 1,000,000 | b | 1,078,380 |
| Virginia Small Business Financing Authority, Revenue Bonds (Transform
66 P3 Project) | 5.00 | 12/31/2049 | 4,100,000 | | 4,760,797 |
| | | | | 17,835,888 | |
| Washington - 2.8% | | | | | |
| King County School District No. 210, GO (Insured; School Bond
Guaranty) | 4.00 | 12/1/2034 | 2,000,000 | | 2,321,980 |
| Port of Seattle, Revenue
Bonds | 4.00 | 4/1/2044 | 1,000,000 | | 1,127,860 |
| Tender Option Bond Trust
Receipts (Series 2017-XF2423), (King County, Server Revenue Bonds) Recourse, Underlying Coupon Rate (%)
5.00 | 11.36 | 1/1/2029 | 2,145,000 | b,c | 2,579,749 |

| Description | Coupon Rate (%) | Maturity Date | Principal
Amount ($) | | Value ($) |
| --- | --- | --- | --- | --- | --- |
| Long-Term Municipal Investments - 98.1% (continued) | | | | | |
| Washington
- 2.8% (continued) | | | | | |
| Tender
Option Bond Trust Receipts (Series 2018-XM0680), (Washington Convention Center Public Facilities District,
Revenue Bonds) Recourse, Underlying Coupon Rate (%) 5.00 | 6.30 | 7/1/2058 | 5,000,000 | b,c | 6,995,100 |
| | | | | 13,024,689 | |
| Wisconsin
- 1.7% | | | | | |
| Public
Finance Authority, Revenue Bonds (Denver International Airport Great Hall Project) | 5.00 | 9/30/2049 | 2,000,000 | | 2,074,120 |
| Public Finance Authority, Revenue Bonds (Gannon University Project) | 5.00 | 5/1/2042 | 750,000 | | 854,715 |
| Public Finance Authority,
Revenue Bonds (Insured; Assured Guaranty Municipal Corp.) | 5.00 | 7/1/2058 | 3,665,000 | | 4,240,075 |
| Public Finance Authority, Revenue Bonds (Mary's Woods At Marylhurst
Project) | 5.25 | 5/15/2042 | 750,000 | b | 847,013 |
| | | | | 8,015,923 | |
| Total Long-Term Municipal Investments (cost $408,447,416) | | | 457,450,149 | | |
| Description | Annualized Yield (%) | Maturity Date | Principal Amount ($) | | Value
($) |
| Short-Term Investments
- .0% | | | | | |
| U.S. Government Securities | | | | | |
| U.S. Treasury Bills (cost
$318,872) | 1.90 | 11/7/2019 | 320,000 | h,i | 318,877 |
| Total
Investments (cost $411,284,438) | | | 98.7% | 460,521,076 | |
| Cash and Receivables (Net) | | | 11.9% | 55,186,609 | |
| Preferred
Stock, at redemption value | | | (10.6%) | (49,300,000) | |
| Net Assets Applicable
to Common Shareholders | | | 100.0% | 466,407,685 | |

a Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity.

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 August 31, 2019, these securities were valued at $110,227,275 or 23.63% of net assets.

c Collateral for floating rate borrowings. The coupon rate given represents the current interest rate for the inverse floating rate security.

d 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.

e Security issued with a zero coupon. Income is recognized through the accretion of discount.

f 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.

g Non-income producing—security in default.

h Held by a counterparty for open exchange traded derivative contracts.

i Security is a discount security. Income is recognized through the accretion of discount.

STATEMENT OF FINANCIAL FUTURES BNY Mellon Strategic Municipal Bond Fund, Inc.

August 31, 2019 (Unaudited)

Description	Number of Contracts	Expiration	Notional Value ($)	Value ($)	Unrealized Appreciation ($)
Futures Short
U.S. Treasury Ultra Long Bond	69	12/19	13,757,781	13,623,188	134,593
Gross
Unrealized Appreciation				134,593

See notes to financial statements.

STATEMENT OF FINANCIAL FUTURES BNY Mellon Strategic Municipal Bond Fund, Inc.

August 31, 2019 (Unaudited)

The following is a summary of the inputs used as of August 31, 2019 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: † | | | | |
| Collateralized Municipal-Backed Securities | - | 2,752,050 | - | 2,752,050 |
| Municipal Securities | - | 457,450,149 | - | 457,450,149 |
| U.S. Treasury | - | 318,877 | - | 318,877 |
| Other Financial Instruments: | | | | |
| Futures †† | 134,593 | - | - | 134,593 |

† See Statement of Investments for additional detailed categorizations, if any.

†† Amount shown represents unrealized appreciation at period end.

NOTES

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. 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 Members (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). Other investments (which constitute a majority of the portfolio securities) are carried at

NOTES

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, 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 restricted 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

NOTES

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.

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 August 31, 2019 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 August 31, 2019, accumulated net unrealized appreciation on investments was $49,236,638, consisting of $50,437,129 gross unrealized appreciation and $1,200,491 gross unrealized depreciation.

At August 31, 2019, 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.