BNY
Mellon
ETF
Trust
SEMI-ANNUAL
REPORT
December
31,
2023
BNY
Mellon
Ultra
Short
Income
ETF
IMPORTANT
NOTICE
–
UPCOMING
CHANGES
TO
ANNUAL
AND
SEMI-ANNUAL
REPORTS 
The
Securities
and
Exchange
Commission
(the
“SEC”)
has
adopted
rule
and
form
amendments
that
will
result
in
changes
to
the
design
and
delivery
of
annual
and
semi-annual
fund
reports
(“Reports”).
Beginning
in
July
2024,
Reports
will
be
streamlined
to
highlight
key
information.
Certain
information
currently
included
in
Reports,
including
financial
statements,
will
no
longer
appear
in
the
Reports
but
will
be
available
online,
delivered
free
of
charge
to
shareholders
upon
request,
and
filed
with
the
SEC. 
If
you
previously
elected
to
receive
the
fund’s
Reports
electronically,
you
will
continue
to
do
so.
Otherwise,
you
will
receive
paper
copies
of
the
fund’s
re-designed
Reports
by
USPS
mail
in
the
future.
If
you
would
like
to
receive
the
fund’s
Reports
(and/or
other
communications)
electronically
instead
of
by
mail,
please
contact
your
financial
advisor.
Contents
The
Fund
Save
time.
Save
paper.
View
your
next
shareholder
report
online
as
soon
as
it’s
available.
Log
into
www.
im.bnymellon.com
and
sign
up
for
eCommunications.
It’s
simple
and
only
takes
a
few
minutes.
The
views
expressed
herein
are
current
to
the
date
of
this
report.
These
views
and
the
composition
of
the
fund’s
portfolio
is
subject
to
change
at
any
time
based
on
market
and
other
conditions.
Not
FDIC-Insured
•
Not
Bank-Guaranteed
•
May
Lose
Value
Discussion
of
Fund
Performance
3
Understanding
Your
Fund’s
Expenses
6
Statement
of
Investments
7
Statement
of
Assets
and
Liabilities
13
Statement
of
Operations
14
Statement
of
Changes
in
Net
Assets
15
Financial
Highlights
16
Notes
to
Financial
Statements
17
Liquidity
Risk
Management
Program
26
FOR
MORE
INFORMATION
Back
Cover
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
3
For
the
period
from
July
1,
2023,
through
December
31,
2023,
as
provided
by
Stephen
Murphy,
CFA,
and
Anthony
Honko,
portfolio
managers
employed
by
the
fund’s
sub-adviser,
Dreyfus,
a
division
of
Mellon
Investments
Corporation.
Market
and
Fund
Performance
Overview
For
the
six-month
period
ended
December
31,
2023,
BNY
Mellon
Ultra
Short
Income
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
3.28%.
1
In
comparison,
the
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index
(the
“Index”),
the
fund’s
benchmark,
returned
2.70%
for
the
same
period.
2
Short-term
interest
rates
fell
sharply
during
the
reporting
period,
lifting
fixed-income
prices.
The
fund
outperformed
the
Index,
largely
as
a
result
of
its
relatively
long
duration
and
credit
positioning.
The
Fund’s
Investment
Approach
The
fund
seeks
high
current
income
consistent
with
the
maintenance
of
liquidity
and
low
volatility
of
principal.
To
pursue
its
goal,
the
fund
normally
invests
at
least
80%
of
its
net
assets
in
investment-grade,
U.S.
dollar-denominated,
fixed,
variable,
and
floating-rate
debt
or
cash
equivalents.
The
fund
typically
seeks
to
maintain
an
effective
duration
of
one
year
or
less,
although,
under
certain
market
conditions,
such
as
in
periods
of
significant
volatility
in
interest
rates
and
spreads,
the
fund’s
duration
may
be
longer
than
one
year.
The
fund’s
portfolio,
under
normal
market
conditions,
will
have
an
average
credit
rating
of
at
least
A
or
the
equivalent.
The
fund’s
sub-adviser
seeks
to
achieve
what
they
believe
provides
the
optimal
portfolio
for
the
fund
in
terms
of
preservation
of
principal,
liquidity
and
high
current
income.
To
do
so,
the
sub-adviser
uses
a
top-down
and
bottom-up
investment
process,
and
leverages
the
breadth
and
depth
of
Dreyfus’
research
resources.
The
sub-
adviser
focuses
on
preservation
of
principal
and
downside
protection,
by
proactively
monitoring
issuer
and
counterparty
risk,
and
ensures
appropriate
portfolio
liquidity
through
a
combination
of
overnight
investments
and
short-term,
highly
liquid
securities.
Yields
Decline,
Driving
Bond
Prices
Higher
After
a
final
rate
increase
in
July
2023,
the
U.S.
Federal
Reserve
(the
“Fed”)
paused
its
aggressive
program
of
interest-rate
hikes
in
recognition
of
easing
inflation
levels,
leaving
the
federal
funds
rate
in
a
range
of
5.25%−5.50%
for
the
remainder
of
the
reporting
period.
While
short-term
U.S.
Treasury
yields
rose
mildly
during
the
first
half
of
the
period,
they
fell
sharply
in
the
second
half,
driven
lower
by
the
prospect
of
eventual
rate
cuts.
Yield
declines
accelerated
and
spreads
tightened
further
in
December,
after
the
Fed
indicated
a
likelihood
of
multiple
rate
cuts
in
2024.
From
early
October
through
the
end
of
2023,
the
1-year
Treasury
yield
decreased
from
a
high
of
just
over
5.5%
to
approximately
4.7%
as
of
year-end.
The
2-year
Treasury
experienced
an
even
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
4
steeper
drop
in
yields
during
that
same
period,
from
approximately
5.2%
to
just
over
4.2%.
As
yields
fell,
bond
prices
increased,
reflecting
the
inverse
relationship
between
bond
prices
and
yields.
At
the
same
time,
short-term
yields
continued
to
provide
an
attractive
income
stream.
As
the
1-year
and
2-year
Treasury
examples
above
illustrate,
longer-duration
bonds
experienced
steeper
yield
declines,
and
correspondingly
greater
price
increases,
than
shorter-duration
bonds.
Favorable
Duration
Positioning
Bolsters
Returns
The
fund
benefited
from
the
environment
favoring
longer-duration
instruments.
By
maintaining
a
duration
of
approximately
eight-to-nine
months
during
the
reporting
period
(versus
the
Index
duration
of
three
months),
we
positioned
the
fund
to
capture
the
price
advantage
of
longer-duration
holdings.
These
positions
were
largely
made
up
of
fixed
corporate
(representing
approximately
25%
of
the
portfolio)
and
Treasury
holdings.
The
fund
also
invested
approximately
40%
of
assets
in
commercial
paper
with
durations
of
six
months
to
a
year,
which
further
bolstered
relative
returns
as
a
result
of
duration
and
the
extra
yield
carry
from
the
credit.
No
fund
positions
materially
detracted
from
returns
relative
to
the
Index.
Positioned
for
Moderate
Rate
Cuts
As
of
December
31,
2023,
we
believe
the
market
is
pricing
in
more
aggressive
Fed
rate
cuts
than
are
likely
to
occur
in
2024,
although
some
cuts
appear
likely.
Credit
spreads
appear
unlikely
to
tighten
further
and
may
widen
somewhat,
leading
us
to
position
the
fund
with
a
bias
in
favor
of
higher-quality
credit,
although
the
actual
direction
of
the
economy
over
time
will
determine
the
course
we
set
for
the
fund.
Current
trends
toward
moderating
inflation
and
somewhat
slowing
economic
growth
appear
likely
to
remain
in
place,
barring
unexpected
developments,
with
potential
challenges
for
the
market
implicit
in
high
levels
of
consumer
debt
and
elevated
equity
prices
in
the
wake
of
2023’s
stock
market
boom.
While
we
are
keeping
a
close
eye
on
these
and
other
developments
that
could
affect
the
fund’s
performance,
for
now,
we
are
maintaining
the
duration
and
credit
positioning
described
above.
January
16,
2024
1
Total
return
includes
reinvestment
of
dividends
and
any
capital
gains
paid.
A
fund’s
net
asset
value
(NAV)
is
the
sum
of
all
its
assets
less
any
liabilities,
divided
by
the
number
of
shares
outstanding.
ETFs
are
bought
and
sold
at
market
prices,
not
NAV,
therefore
an
investor’s
return
at
market
price
may
differ
from
NAV.
Past
performance
is
no
guarantee
of
future
results.
Share
price,
yield
and
investment
return
fluctuate
such
that
upon
redemption,
fund
shares
may
be
worth
more
or
less
than
their
original
cost.
2
Source:
FactSet
-
The
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index
is
an
unmanaged
market
index
of
U.S.
Treasury
securities
maturing
in
90
days
that
assumes
reinvestment
of
all
income.
Investors
cannot
invest
directly
in
any
index.
ETFs
trade
like
stocks,
are
subject
to
investment
risk,
including
possible
loss
of
principal.
ETF
shares
are
listed
on
an
exchange,
and
shares
are
generally
purchased
and
sold
in
the
secondary
market
at
market
price.
At
times,
the
market
price
may
be
at
a
premium
or
discount
to
the
ETF’s
per
share
NAV.
In
addition,
ETFs
are
subject
to
the
risk
that
an
active
trading
5
market
for
an
ETF’s
shares
may
not
develop
or
be
maintained.
Buying
or
selling
ETF
shares
on
an
exchange
may
require
payment
of
brokerage
commissions.
Bonds
are
subject
generally
to
interest-rate,
credit,
liquidity
and
market
risks,
to
varying
degrees,
all
of
which
are
more
fully
described
in
the
fund’s
prospectus.
Generally,
all
other
factors
being
equal,
bond
prices
are
inversely
related
to
interest-rate
changes,
and
rate
increases
can
cause
price
decline.
UNDERSTANDING
YOUR
FUND’S
EXPENSES
(Unaudited)
6
As
a
shareholder
of
the
fund,
you
pay
ongoing
expenses,
such
as
management
fees
and
other
expenses.
Using
the
information
below,
you
can
estimate
how
these
expenses
affect
your
investment
and
compare
them
with
the
expenses
of
other
funds.
For
more
information,
see
your
fund’s
prospectus
or
talk
to
your
financial
adviser.
Actual
Expenses
The
table
below
shows
the
expenses
you
would
have
paid
on
a
$1,000
investment
in
the
fund
from
July
1,
2023
to
December
31,
2023.
The
information
under
each
column
in
the
table
below
entitled
“Actual”
provides
information
about
on
how
much
a
$1,000
investment
would
be
worth
at
the
close
of
the
period,
assuming
net
asset
value
total
returns
and
actual
expenses.
You
may
use
the
information
in
these
columns,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
for
the
fund
under
the
heading
entitled
“Expenses
paid
for
the
period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical
Example
For
Comparison
Purposes
The
Securities
and
Exchange
Commission
(“SEC”)
has
established
guidelines
to
help
investors
assess
fund
expenses.
The
information
under
each
column
in
the
table
entitled
“Hypothetical”
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
expenses
(but
not
transaction
expenses
or
total
cost)
of
investing
in
the
fund
with
those
of
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
brokerage
commissions
paid
on
purchases
and
sales
of
fund
shares.
Therefore,
the
ending
account
values
and
expenses
paid
for
the
period
in
the
table
are
useful
in
comparing
ongoing
expenses
(but
not
transaction
expenses
or
total
cost)
of
investing
in
the
fund
with
those
of
other
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
For
the
six
months
ended
December
31,
2023
(a)
Expenses
are
calculated
using
the
annualized
expense
ratio,
which
represents
the
ongoing
expenses
as
a
percentage
of
net
assets
for
the
six-month
period
ended
December
31,
2023.
Expenses
are
calculated
by
multiplying
the
fund’s
annualized
expense
ratio
by
the
average
account
value
for
the
period,
then
multiplying
the
result
by
184/366
(to
reflect
the
one-half
period).
Beginning
account
value
($)
Ending
account
value($)
Expense
paid
for
the
period
($)
Annualized
expense
ratios
for
the
period
(%)
Actual
Hypothetical
Actual
Hypothetical
Actual
(a)
Hypothetical
(a)
1,000.00
1,000.00
1,032.80
1,024.53
0.61
0.61
0.12
STATEMENT
OF
INVESTMENTS
December
31,
2023
(Unaudited)
7
Description
Principal
Amount
($)
Value
($)
Asset-Backed
Securities
–
1.7%
Ford
Credit
Floorplan
Master
Owner
Trust,
Series
2019-2,
Class
A,
3.06%,
4/15/2026
300,000
297,695
Honda
Auto
Receivables
Owner
Trust,
Series
2021-3,
Class
A3,
0.41%,
11/18/2025
180,333
175,824
Hyundai
Auto
Lease
Securitization
Trust,
Series
2021-C,
Class
A4,
0.48%,
9/15/2025
(a)
350,000
348,536
Oscar
US
Funding
XII
LLC,
Series
2021-1A,
Class
A3,
0.70%,
4/10/2025
(a)
55,830
55,542
World
Omni
Automobile
Lease
Securitization
Trust,
Series
2022-A,
Class
A3,
3.21%,
2/18/2025
250,151
248,600
Total
Asset-Backed
Securities
(cost
$1,155,720)
1,126,197
Commercial
Paper
–
35.2%
Antalis
SA,
5.60%,
3/21/2024
(a)(b)
1,500,000
1,481,055
Atlantic
Asset
Securitization
LLC,
5.58%,
4/01/2024
(a)(b)
450,000
443,577
Bank
of
Montreal,
5.48%,
9/04/2024
(a)(b)
1,400,000
1,350,705
CAFCO
LLC,
5.69%,
4/30/2024
(a)(b)
1,250,000
1,227,131
Credit
Industriel
et
Commercial,
5.84%,
3/06/2024
(a)(b)
900,000
890,840
DNB
ASA,
5.47%,
6/20/2024
(a)(b)
2,000,000
1,949,961
Gotham
Funding
Corp.,
5.56%,
4/01/2024
(a)(b)
1,200,000
1,182,934
HSBC
Bank
PLC,
6.05%
(1
Month
SOFR
+
0.66%),
6/21/2024
(a)(c)
460,000
460,724
ING
(U.S.)
Funding
LLC,
5.63%,
6/03/2024
(a)(b)
1,250,000
1,221,320
John
Deere
Capital
Corp.,
5.52%,
3/20/2024
(a)(b)
1,750,000
1,728,705
Lloyds
Bank
PLC,
5.51%,
3/05/2024
(b)
2,000,000
1,979,601
LMA
SA/LMA-Americas
LLC
5.84%,
1/22/2024
(a)(b)
250,000
249,098
5.89%,
4/11/2024
(a)(b)
800,000
787,393
MUFG
Bank,
Ltd.,
5.79%,
5/20/2024
(b)
500,000
489,284
Old
Line
Funding,
LLC,
5.89%
(1
Month
SOFR
+
0.50%),
3/04/2024
(a)(c)
275,000
275,058
Sheffield
Receivables
Corp.,
5.58%,
3/20/2024
(a)(b)
2,000,000
1,975,122
Skandinaviska
Enskilda
Banken,
5.77%
(1
Month
SOFR
+
0.38%),
3/04/2024
(a)(c)
500,000
500,249
Societe
Generale
SA,
5.89%,
3/13/2024
(a)(b)
675,000
667,472
Starbird
Funding
Corp.,
5.56%,
6/18/2024
(a)(b)
2,000,000
1,949,676
Svenska
Handelsbanken
AB
5.45%,
6/03/2024
(a)(b)
1,500,000
1,465,411
6.02%,
9/18/2024
(a)(b)
425,000
409,249
Toronto-Dominion
Bank
(The),
5.95%
(3
Month
SOFR
+
0.56%),
10/28/2024
(a)(c)
350,000
350,516
Westpac
Banking
Corp.,
5.79%,
11/14/2024
(b)
500,000
477,933
Total
Commercial
Paper
(cost
$23,511,624)
23,513,014
Corporate
Bonds
–
42.2%
Auto
Manufacturers
–
3.5%
American
Honda
Finance
Corp.
2.90%,
2/16/2024
300,000
298,895
1.30%,
9/09/2026
300,000
275,727
STATEMENT
OF
INVESTMENTS
(continued)
8
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
42.2%
(continued)
Auto
Manufacturers
–
3.5%
(continued)
BMW
US
Capital
LLC
,
5.78%
(
3
Month
SOFRIX
+
0.38%
)
,
8/12/2024
(a)(c)
300,000
300,303
General
Motors
Financial
Co.,
Inc.
,
5.40%
,
4/06/2026
250,000
251,667
Mercedes-Benz
Finance
North
America
LLC
5.20%,
8/03/2026
(a)
325,000
329,494
3.45%,
1/06/2027
(a)
325,000
314,138
PACCAR
Financial
Corp.
,
3.55%
,
8/11/2025
300,000
295,154
Toyota
Motor
Credit
Corp.
,
5.69%
(
3
Month
SOFR
+
0.32%
)
,
1/13/2025
(c)
300,000
299,346
2,364,724
Banks
–
23.2%
ANZ
New
Zealand
Int'l
Ltd.
,
6.00%
(
3
Month
SOFR
+
0.60%
)
,
2/18/2025
(a)(c)
300,000
299,993
ASB
Bank
Ltd.
,
3.13%
,
5/23/2024
(a)
350,000
347,134
Banco
Santander
SA
,
6.64%
(
3
Month
SOFR
+
1.24%
)
,
5/24/2024
(c)
350,000
351,128
Bank
of
America
NA
,
5.53%
,
8/18/2026
300,000
305,641
Bank
of
Montreal
6.48%
(3
Month
SOFRIX
+
1.06%),
6/07/2025
(c)
350,000
350,900
5.27%,
12/11/2026
325,000
329,618
Bank
of
Nova
Scotia
(The)
5.83%
(3
Month
SOFR
+
0.46%),
1/10/2025
(c)
300,000
299,267
5.35%,
12/07/2026
750,000
762,876
Canadian
Imperial
Bank
of
Commerce
3.95%,
8/04/2025
275,000
270,750
6.66%
(3
Month
SOFR
+
1.22%),
10/02/2026
(c)
375,000
376,124
Chariot
Funding
LLC
,
5.67%
,
7/01/2024
750,000
750,052
Citigroup,
Inc.
6.06%
(3
Month
SOFR
+
0.67%),
5/01/2025
(c)
300,000
299,296
6.96%
(3
Month
SOFR
+
1.53%),
3/17/2026
(c)
300,000
302,128
Commonwealth
Bank
of
Australia
,
6.17%
(
3
Month
SOFR
+
0.75%
)
,
3/13/2026
(a)(c)
350,000
350,882
Goldman
Sachs
Group,
Inc.
(The)
6.08%
(3
Month
SOFR
+
0.70%),
1/24/2025
(c)
200,000
199,925
6.21%
(3
Month
SOFR
+
0.79%),
12/09/2026
(c)
725,000
718,158
JPMorgan
Chase
&
Co.
,
6.70%
(
3
Month
SOFR
+
1.32%
)
,
4/26/2026
(c)
300,000
301,527
JPMorgan
Chase
Bank
NA
,
5.11%
,
12/08/2026
325,000
328,044
KeyBank
NA
,
4.70%
,
1/26/2026
300,000
293,106
Manufacturers
&
Traders
Trust
Co.
,
4.65%
,
1/27/2026
300,000
293,881
Mitsubishi
UFJ
Financial
Group,
Inc.
,
6.80%
(
3
Month
SOFR
+
1.39%
)
,
9/12/2025
(c)
350,000
351,138
Morgan
Stanley
,
6.01%
(
3
Month
SOFR
+
0.63%
)
,
1/24/2025
(c)
300,000
299,603
Morgan
Stanley
Bank
NA
,
6.55%
(
3
Month
SOFR
+
1.17%
)
,
10/30/2026
(c)
500,000
504,490
National
Australia
Bank
Ltd.
5.75%
(3
Month
SOFR
+
0.38%),
1/12/2025
(a)(c)
300,000
299,491
9
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
42.2%
(continued)
Banks
–
23.2%
(continued)
National
Australia
Bank
Ltd.
(continued)
1.89%,
1/12/2027
(a)
375,000
345,969
National
Bank
of
Canada
,
5.25%
,
1/17/2025
300,000
300,048
NatWest
Markets
PLC
5.93%
(3
Month
SOFR
+
0.53%),
8/12/2024
(a)(c)
350,000
349,971
1.60%,
9/29/2026
(a)
225,000
205,462
Nordea
Bank
Abp
,
0.63%
,
5/24/2024
(a)
300,000
294,434
PNC
Financial
Services
Group,
Inc.
(The)
,
2.60%
,
7/23/2026
325,000
307,904
Royal
Bank
of
Canada
,
Series
G
,
5.82%
(
3
Month
SOFRIX
+
0.44%
)
,
1/21/2025
(c)
300,000
299,243
Standard
Chartered
PLC
,
7.18%
(
3
Month
SOFR
+
1.74%
)
,
3/30/2026
(a)(c)
350,000
351,698
State
Street
Corp.
3.55%,
8/18/2025
98,000
96,215
5.27%,
8/03/2026
225,000
228,356
6.23%
(3
Month
SOFRIX
+
0.85%),
8/03/2026
(c)
350,000
349,889
Sumitomo
Mitsui
Financial
Group,
Inc.
,
1.40%
,
9/17/2026
300,000
273,347
Sumitomo
Mitsui
Trust
Bank
Ltd.
5.86%
(3
Month
SOFR
+
0.44%),
9/16/2024
(a)(c)
300,000
299,783
6.54%
(3
Month
SOFR
+
1.12%),
3/09/2026
(a)(c)
300,000
301,646
5.65%,
9/14/2026
(a)
325,000
330,418
Toronto-Dominion
Bank
(The)
5.77%
(3
Month
SOFR
+
0.35%),
9/10/2024
(c)
300,000
300,192
5.53%,
7/17/2026
200,000
203,896
Truist
Bank
,
3.20%
,
4/01/2024
300,000
298,078
Truist
Financial
Corp.
,
5.82%
(
3
Month
SOFR
+
0.40%
)
,
6/09/2025
(c)
200,000
197,065
UBS
AG
,
0.45%
,
2/09/2024
(a)
300,000
298,392
US
Bancorp
,
Series
V
,
2.38%
,
7/22/2026
325,000
305,232
Wells
Fargo
&
Co.
,
3.00%
,
2/19/2025
300,000
293,447
Westpac
Banking
Corp.
,
5.70%
(
3
Month
SOFR
+
0.30%
)
,
11/18/2024
(c)
300,000
299,537
15,515,374
Computers
–
0.5%
International
Business
Machines
Corp.
,
4.00%
,
7/27/2025
300,000
296,831
296,831
Diversified
Financial
Services
–
2.3%
American
Express
Co.
3.40%,
2/22/2024
300,000
299,672
6.16%
(3
Month
SOFR
+
0.76%),
2/13/2026
(c)
250,000
249,555
Charles
Schwab
Corp.
(The)
5.92%
(3
Month
SOFRIX
+
0.50%),
3/18/2024
(c)
350,000
349,942
5.92%
(3
Month
SOFRIX
+
0.52%),
5/13/2026
(c)
300,000
295,227
5.88%,
8/24/2026
350,000
359,100
1,553,496
STATEMENT
OF
INVESTMENTS
(continued)
10
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
42.2%
(continued)
Food
–
0.5%
Mondelez
International,
Inc.
,
2.13%
,
3/17/2024
300,000
297,680
297,680
Healthcare-Services
–
1.0%
Roche
Holdings,
Inc.
,
6.14%
(
3
Month
SOFR
+
0.74%
)
,
11/13/2026
(a)(c)
650,000
651,651
651,651
Insurance
–
0.4%
Prudential
Financial,
Inc.
,
1.50%
,
3/10/2026
300,000
279,840
279,840
Machinery-Diversified
–
0.9%
John
Deere
Capital
Corp.
4.80%,
1/09/2026
300,000
301,683
1.70%,
1/11/2027
350,000
323,295
624,978
Media
–
1.1%
Comcast
Corp.
,
2.35%
,
1/15/2027
750,000
704,357
704,357
Oil
&
Gas
–
0.4%
BP
Capital
Markets
America,
Inc.
,
3.41%
,
2/11/2026
300,000
293,076
293,076
Pharmaceuticals
–
3.6%
AbbVie,
Inc.
,
2.95%
,
11/21/2026
350,000
335,721
AstraZeneca
Finance
LLC
,
0.70%
,
5/28/2024
300,000
294,266
Cigna
Group
(The)
,
5.69%
,
3/15/2026
650,000
650,529
CVS
Health
Corp.
,
3.00%
,
8/15/2026
300,000
286,781
GlaxoSmithKline
Capital
PLC
,
3.00%
,
6/01/2024
300,000
297,000
Pfizer
Investment
Enterprises
Pte
Ltd.
,
4.45%
,
5/19/2026
250,000
249,358
Shire
Acquisitions
Investments
Ireland
DAC
,
3.20%
,
9/23/2026
300,000
288,717
2,402,372
Real
Estate
–
1.0%
Simon
Property
Group
LP
,
1.38%
,
1/15/2027
725,000
662,499
662,499
Retail
–
1.4%
Target
Corp.
,
1.95%
,
1/15/2027
700,000
653,469
Walmart,
Inc.
,
3.90%
,
9/09/2025
300,000
297,152
950,621
Semiconductors
–
0.5%
Intel
Corp.
,
3.70%
,
7/29/2025
300,000
295,348
295,348
Software
–
0.9%
Oracle
Corp.
,
2.65%
,
7/15/2026
300,000
284,584
Salesforce,
Inc.
,
0.63%
,
7/15/2024
300,000
292,545
577,129
11
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
42.2%
(continued)
Telecommunications
–
1.0%
AT&T,
Inc.
,
4.25%
,
3/01/2027
700,000
692,543
692,543
Total
Corporate
Bonds
(cost
$28,145,840)
28,162,519
U.S.
Treasury
Government
Securities
–
7.5%
U.S.
Treasury
Notes
3.13%,
8/15/2025
2,500,000
2,450,586
4.88%,
11/30/2025
2,500,000
2,526,074
Total
U.S.
Treasury
Government
Securities
(cost
$4,971,408)
4,976,660
Shares
Investment
Companies
–
13.2%
Registered
Investment
Companies
–
13.2%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
5.32%
(d)(e)
(cost
$8,834,231)
8,834,231
8,834,231
Total
Investments
(cost
$66,618,823)
99.8%
66,612,621
Cash
and
Receivables
(Net)
0.2%
151,820
Net
Assets
100.0%
66,764,441
SOFR—Secured
Overnight
Financing
Rate
SOFRIX—Secured
Overnight
Financing
Rate
Index
(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,
2023,
these
securities
were
valued
at
$26,641,133
or
39.90%
of
net
assets.
(b)
Security
is
a
discount
security.
Income
is
recognized
through
the
accretion
of
discount.
(c)
Variable
rate
security
-
rate
shown
is
the
interest
rate
in
effect
at
period
end.
Security
description
also
includes
the
reference
rate
and
spread
if
published
and
available.
(d)
Investment
in
affiliated
issuer.
The
investment
objective
of
this
investment
company
is
publicly
available
and
can
be
found
within
the
investment
company’s
prospectus.
(e)
The
rate
shown
is
the
1-day
yield
as
of
December
31,
2023.
Portfolio
Summary
(Unaudited)
†
Value
(%)
Financial
63.8
Registered
Investment
Companies
13.2
Government
7.5
Consumer,
Non-cyclical
5.1
Consumer,
Cyclical
4.9
Communications
2.1
Technology
1.9
Industrial
0.9
Energy
0.4
99.8
†
Based
on
net
assets.
STATEMENT
OF
INVESTMENTS
(continued)
12
See
Notes
to
Financial
Statements
Holdings
and
transactions
in
these
affiliated
companies
during
the
period
ended
December
31,
2023
are
as
follows:
Description
Value
($)
6/30/23
Purchases
($)
1
Sales
($)
Value
($)
12/31/23
Dividends/
Distributions
($)
Investment
Companies
–
13.2%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares
39,339
44,330,981
(35,536,089)
8,834,231
32,233
Total
–
13.2%
39,339
44,330,981
(35,536,089)
8,834,231
32,233
1
Includes
reinvested
dividends/distributions.
STATEMENT
OF
ASSETS
AND
LIABILITIES
December
31,
2023
(Unaudited)
13
See
Notes
to
Financial
Statements
Cost
Value
Assets
($):
Investments
in
securities—See
Statement
of
Investments:
–
Unaffiliated
issuers
57,784,592
57,778,390‌
Affiliated
issuers
8,834,231
8,834,231‌
Interest
receivable
321,039‌
Dividends
receivable
25,853‌
66,959,513‌
Liabilities
($):
Due
to
BNY
Mellon
ETF
Investment
Adviser,
LLC—
Note
3(b)
4,627‌
Distributions
payable—Note
2(e)
190,445‌
195,072‌
Net
Assets
($)
66,764,441‌
Composition
of
Net
Assets
($):
Paid-in
capital
67,056,483‌
Total
distributable
earnings
(loss)
(292,042‌)
Net
Assets
($)
66,764,441‌
Shares
outstanding
no
par
value
(unlimited
shares
authorized):
1,350,001‌
Net
asset
value
per
share
49.46‌
Market
price
per
share
49.46‌
STATEMENT
OF
OPERATIONS
Six
Months
Ended
December
31,
2023
(Unaudited)
14
See
Notes
to
Financial
Statements
Investment
Income
($):
Income:
Cash
dividends:
Affiliated
issuers
32,233‌
Interest
730,965‌
Total
Income
763,198‌
Expenses:
Management
fee—Note
3(a)
19,498‌
Total
Expenses
19,498‌
Net
Investment
Income
743,700‌
Realized
and
Unrealized
Gain
(Loss)
on
Investments—Note
4
($):
Net
realized
gain
(loss)
on
investments
770‌
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
320,449‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
321,219‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
1,064,919‌
STATEMENT
OF
CHANGES
IN
NET
ASSETS
15
See
Notes
to
Financial
Statements
Six
Months
Ended
December
31,
2023
(Unaudited)
Year
Ended
June
30,
2023
Operations
($):
Net
investment
income
743,700‌
887,148‌
Net
realized
gain
(loss)
on
investments
770‌
(9,700‌)
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
320,449‌
117,584‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
1,064,919‌
995,032‌
Distributions
($):
Distributions
to
shareholders
(893,904‌)
(878,254‌)
Beneficial
Interest
Transactions
($):
Proceeds
from
shares
sold
39,564,596‌
4,886,067‌
Cost
of
shares
redeemed
(2,473,521‌)
(2,436,261‌)
Transaction
fees—Note
5
4,204‌
732‌
Increase
(Decrease)
in
Net
Assets
from
Beneficial
Interest
Transactions
37,095,279‌
2,450,538‌
Total
Increase
(Decrease)
in
Net
Assets
37,266,294‌
2,567,316‌
Net
Assets
($):
Beginning
of
Period
29,498,147‌
26,930,831‌
End
of
Period
66,764,441‌
29,498,147‌
Changes
in
Shares
Outstanding:
Shares
sold
800,000‌
100,000‌
Shares
redeemed
(50,000‌)
(50,000‌)
Net
Increase
(Decrease)
in
Shares
Outstanding
750,000‌
50,000‌
FINANCIAL
HIGHLIGHTS
16
The
following
table
describes
the
performance
for
the
fiscal
periods
indicated
and
these
figures
have
been
derived
from
the
fund’s
financial
statements.
See
Notes
to
Financial
Statements
Six
Months
Ended
December
31,
2023
(Unaudited)
Year
Ended
June
30,
2023
For
the
Period
from
August
11,
2021
(a)
to
June
30,
2022
Per
Share
Data
($):
Net
asset
value,
beginning
of
period
49.16‌
48.97‌
50.00‌
Investment
Operations:
Net
investment
income
(b)
1.13‌
1.56‌
0.17‌
Net
realized
and
unrealized
gain
(loss)
on
investments
0.46‌
0.18‌
(0.94‌)
Total
from
Investment
Operations
1.59‌
1.74‌
(0.77‌)
Distributions:
–
–
–
Dividends
from
net
investment
income
(1.30‌)
(1.55‌)
(0.27‌)
Transaction
fees
(b)
0.01‌
0.00‌
(c)
0.01‌
Net
asset
value,
end
of
period
49.46‌
49.16‌
48.97‌
Market
price,
end
of
period
49.46‌
49.15‌
48.96‌
Net
Asset
Value
Total
Return
(%)
(d)
3.28‌
3.64‌
(1.54‌)
(e)
Market
Price
Total
Return
(%)
(d)
3.32‌
3.62‌
(1.55‌)
(e)
Ratios/Supplemental
Data
(%):
Ratio
of
total
expenses
to
average
net
assets
0.12‌
(f)
0.12‌
0.12‌
(f)
Ratio
of
net
investment
income
to
average
net
assets
4.58‌
(f)
3.19‌
0.39‌
(f)
Portfolio
Turnover
Rate
(g)
21.05‌
20.55‌
43.10‌
Net
Assets,
end
of
period
($
x
1,000)
66,764‌
29,498‌
26,931‌
(a)
Commencement
of
operations.
(b)
Based
on
average
shares
outstanding.
(c)
Amount
represents
less
than
$0.01
per
share.
(d)
Net
asset
value
total
return
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period,
and
redemption
at
net
asset
value
on
the
last
day
of
the
period.
Net
asset
value
total
return
includes
adjustments
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
and
as
such,
the
net
asset
value
for
financial
reporting
purposes
and
the
returns
based
upon
those
net
asset
values
may
differ
from
the
net
asset
value
and
returns
for
shareholder
transactions.
Market
price
total
return
is
calculated
assuming
an
initial
investment
made
at
the
market
price
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
market
price
during
the
period,
and
sale
at
the
market
price
on
the
last
day
of
the
period.
Total
investment
returns
calculated
for
a
period
of
less
than
one
year
are
not
annualized.
(e)
The
net
asset
value
total
return
and
the
market
price
total
return
is
calculated
from
fund
inception.
The
inception
date
is
the
first
date
the
fund
was
available
on
NYSE
Arca,
Inc.
(f)
Annualized.
(g)
Portfolio
turnover
rate
is
not
annualized
for
periods
less
than
one
year,
if
applicable,
and
does
not
include
securities
received
or
delivered
from
processing
creations
or
redemptions.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
17
NOTE
1—Organization:
BNY
Mellon
Ultra
Short
Income
ETF (the “fund”) is a
separate
diversified series
of
BNY
Mellon
ETF
Trust
(the
“Trust”),
which is
registered as
a
Massachusetts
business
trust
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”),
as
an
open-ended
management
investment
company.
The
Trust
operates
as
a
series
company
currently
consisting
of
sixteen
series,
including
the
fund.
The
investment
objective
of
the
fund
is
to
seek
high
current
income
consistent
with
the
maintenance
of
liquidity
and
low
volatility
of
principal.
BNY
Mellon
ETF
Investment
Adviser,
LLC
(the
“Adviser”),
a
wholly-owned
subsidiary
of
The
Bank
of
New
York
Mellon
Corporation
(“BNY
Mellon”),
serves
as
the
fund’s
investment
adviser. Dreyfus,
a
division
of
Mellon
Investments
Corporation (the
“Sub-Adviser”),
an
indirect wholly-
owned
subsidiary
of
BNY
Mellon
and
an
affiliate
of
the
Adviser,
serves
as
the
fund’s
sub-adviser.
The
Bank
of
New
York
Mellon,
a
subsidiary
of
BNY
Mellon
and
an
affiliate
of
the
Adviser,
serves
as
administrator,
custodian
and
transfer
agent
with
the
Trust.
BNY
Mellon
Securities
Corporation
(the
“Distributor”),
a wholly-owned
subsidiary
of
the
Adviser,
is
the
distributor
of
the
fund’s
shares.
The
shares
of
the
fund
are
referred
to
herein
as
“Shares”
or
“Fund’s
Shares.”
The
Fund’s
Shares
are
listed
and
traded
on
NYSE
Arca,
Inc.
The
market
price
of
each
Share
may
differ
to
some
degree
from
the
fund’s
net
asset
value
(“NAV”).
Unlike
conventional
mutual
funds,
the
fund
issues
and
redeems
Shares
on
a
continuous
basis,
at
NAV,
only
in
a
large
specified
number
of
Shares,
each
called
a
“Creation
Unit”.
Creation
Units
are
issued
and
redeemed
principally
in
exchange
for
the
deposit
or
delivery
of
a
basket
of
securities.
Except
when
aggregated
in
Creation
Units
by
Authorized
Participants,
the
Shares
are
not
individually
redeemable
securities
of
the
fund.
Individual
Fund
Shares
may
only
be
purchased
and
sold
on
the
NYSE
Arca,
Inc.,
other
national
securities
exchanges,
electronic
crossing
networks
and
other
alternative
trading
systems
through
your
broker-dealer
at
market
prices.
Because
Fund
Shares
trade
at
market
prices
rather
than
at
NAV,
Fund
Shares
may
trade
at
a
price
greater
than
NAV
(premium)
or
less
than
NAV
(discount).
When
buying
or
selling
Shares
in
the
secondary
market,
you
may
incur
costs
attributable
to
the
difference
between
the
highest
price
a
buyer
is
willing
to
pay
to
purchase
Shares
of
the
fund
(bid)
and
the
lowest
price
a
seller
is
willing
to
accept
for
Shares
of
the
fund
(ask). 
NOTE
2—Significant
Accounting
Policies: 
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
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
18
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
Trust
accounts
separately
for
the
assets,
liabilities
and
operations
of
each
series.
Expenses
directly
attributable
to
each
series
are
charged
to
that
series’
operations;
expenses
which
are
applicable
to
all
series
are
allocated
among
them
on
a
pro
rata
basis.
The
Trust
enters
into
contracts
that
contain
a
variety
of
indemnifications.
The
fund’s
maximum
exposure
under
these
arrangements
is
unknown.
The
fund
does
not
anticipate
recognizing
any
loss
related
to
these
arrangements. 
(a)
Portfolio
valuation:
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:
Registered
investment
companies
that
are
not
traded
on
an
exchange
are
valued
at
their
net
asset
value
and
are
generally
categorized
within
Level 1
of
the
fair
value
hierarchy.
19
The
Trust’s Board
of
Trustees
(the
“Board”)
has
designated
the
Adviser
as
the
fund’s
valuation
designee
to
make
all
fair
value
determinations
with
respect
to
the
fund’s
portfolio
of
investments,
subject
to
the
Board’s
oversight
and
pursuant
to
Rule
2a-5
under
the
Act.
Investments
in
debt
securities
excluding
short-term
investments
(other
than
U.S.
Treasury
Bills)
are
valued
each
business
day
by
one
or
more
independent
pricing
services
(each,
a
“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
a
Service
are
valued
at
the
mean
between
the
quoted
bid
prices
(as
obtained
by
a
Service
from
dealers
in
such
securities)
and
asked
prices
(as
calculated
by
a
Service
based
upon
its
evaluation
of
the
market
for
such
securities).
Securities
are
valued
as
determined
by
a
Service,
based
on
methods
which
include
consideration
of
the
following:
yields
or
prices
of
securities
of
comparable
quality,
coupon,
maturity
and
type;
indications
as
to
values
from
dealers;
and
general
market
conditions.
Each
Service
and
independent
valuation
firm
is
engaged
under
the
general
oversight
of
the
Board.
Overnight
and
certain
other
short-term
debt
instruments
(excluding
U.S.
Treasury
Bills)
will
be
valued
by
the
amortized
cost
method,
which
approximates
value,
unless
a
Service
provides
a
valuation
for
such
security
or,
in
the
opinion
of
the
Board
or
a
committee
or
other
persons
designated
by
the
Board,
the
amortized
cost
method
would
not
represent
fair
value. These
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
reflect
fair
value
accurately,
they are
valued
at
fair
value
as
determined
in
good
faith
based
on
procedures
approved
by
the
Board.
Fair
value
of
investments
may
be
determined
by
valuation
designee
using
such
information
as
it
deems
appropriate
under
the
circumstances.
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
are
generally
categorized
within
Level
3
of
the
fair
value
hierarchy.
The
table
below
summarizes
the
inputs
used
as
of December
31,
2023
in
valuing
the
fund’s
investments:
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
20
Fair
Value
Measurements
(b) Securities
transactions
and
investment
income:
Securities
transactions
are
recorded
on
a
trade
date
basis.
Realized
gains
and
losses
from
securities
transactions
are
recorded
on
the
identified
cost
basis.
Dividend
income
is
recognized
on
the
ex-
dividend
date
and
interest
income,
including,
where
applicable,
accretion
of
discount
and
amortization
of
premium
on
investments,
is
recognized
on
the
accrual
basis.
(c)
Affiliated
issuers:
Investments
in
other
investment
companies
advised
by
the
Adviser
or
its
affiliates are
defined
as
“affiliated”
under
the
Act. 
(d)
Market
Risk:
The
value
of
the
securities
in
which
the
fund
invests
may
be
affected
by
political,
regulatory,
economic
and
social
developments,
and
developments
that
impact
specific
economic
sectors,
industries
or
segments
of
the
market.
In
addition,
turbulence
in
financial
markets
and
reduced
liquidity
in
equity,
credit
and/
or
fixed
income
markets
may
negatively
affect
many
issuers,
which
could
adversely
affect
the
fund.
Global
economies
and
financial
markets
are
becoming
increasingly
interconnected,
and
conditions
and
events
in
one
country,
region
or
financial
market
may
adversely
impact
issuers
in
a
different
country,
region
or
financial
market.
These
risks
may
be
magnified
if
certain
events
or
developments
adversely
interrupt
the
global
supply
chain;
in
these
and
other
circumstances,
such
risks
might
affect
companies
world-wide.
Fixed-Income
Market
Risk:
The
market
value
of
a
fixed-income
security
may
decline
due
to
general
market
conditions
that
are
not
specifically
related
to
a
particular
company,
such
as
real
or
perceived
adverse
economic
conditions,
changes
in
the
outlook
for
corporate
earnings,
changes
in
interest
or
currency
rates
or
adverse
investor
sentiment
generally.
The
fixed-income
securities
market
can
be
susceptible
to
increases
in
volatility
and
decreases
in
liquidity.
Liquidity
can
decline
unpredictably
in
response
to
overall
economic
conditions
or
credit
tightening.
Increases
in
volatility
and
decreases
in
liquidity
may
be
caused
by
a
rise
in
interest
rates
(or
the
expectation
of
a
rise
in
interest
rates).
An
unexpected
increase
in
redemption
requests,
including
Level
1
-
Unadjusted
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Total
Assets
($)
Investments
In
Securities:
†
Asset-Backed
Securities
—
1,126,197
—
1,126,197
Commercial
Paper
—
23,513,014
—
23,513,014
Corporate
Bonds
—
28,162,519
—
28,162,519
U.S.
Treasury
Government
Securities
—
4,976,660
—
4,976,660
Investment
Companies
8,834,231
—
—
8,834,231
†
See
Statement
of
Investments
for
additional
detailed
categorizations,
if
any.
21
requests
from
Authorized
Participants
who
may
own
a
significant
percentage
of
the
fund’s
shares,
which
may
be
triggered
by
market
turmoil
or
an
increase
in
interest
rates,
could
cause
the
fund
to
sell
its
holdings
at
a
loss
or
at
undesirable
prices
and
adversely
affect
the
fund’s
share
price
and
increase
the
fund’s
liquidity
risk,
fund
expenses
and/or
taxable
distributions.
Federal
Reserve
policy
in
response
to
market
conditions,
including
with
respect
to
interest
rates,
may
adversely
affect
the
value,
volatility
and
liquidity
of
dividend
and
interest
paying
securities.
Policy
and
legislative
changes
worldwide
are
affecting
many
aspects
of
financial
regulation.
The
impact
of
these
changes
on
the
markets
and
the
practical
implications
for
market
participants
may
not
be
fully
known
for
some
time.
Commercial
Paper
Risk:
Commercial
paper
is
a
short-term
obligation
with
a
maturity
generally
ranging
from one
to
270
days
and
is
issued
by
U.S.
or
foreign
companies
or
other
entities
in
order
to
finance
their
current
operations.
Such
investments
are
unsecured
and
usually
discounted
from
their
value
at
maturity.
The
value
of
commercial
paper
may
be
affected
by
changes
in
the
credit
rating
or
financial
condition
of
the
issuing
entities
and
will
tend
to
fall
when
interest
rates
rise
and
rise
when
interest
rates
fall.
Authorized
Participants,
Market
Makers
and
Liquidity
Providers
Risk:
The
fund
has
a
limited
number
of
financial
institutions
that
may
act
as
Authorized
Participants,
which
are
responsible
for
the
creation
and
redemption
activity
for
the
fund.
In
addition,
there
may
be
a
limited
number
of
market
makers
and/or
liquidity
providers
in
the
marketplace.
To
the
extent
either
of
the
following
events
occur,
fund
shares
may
trade
at
a
material
discount
to
net
asset
value
and
possibly
face
delisting:
(i)
Authorized
Participants
exit
the
business
or
otherwise
become
unable
to
process
creation
and/or
redemption
orders
and
no
other
Authorized
Participants
step
forward
to
perform
these
services,
or
(ii)
market
makers
and/or
liquidity
providers
exit
the
business
or
significantly
reduce
their
business
activities
and
no
other
entities
step
forward
to
perform
their
functions.
(e)
Dividends
and
distributions
to
shareholders:
Dividends
and
distributions
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
income
are
normally
declared
and
paid
on
a
monthly
basis.
Dividends
from
net
realized
capital
gains,
if
any,
are
normally
declared
and
paid
annually,
but
the
fund
may
make
distributions
on
a
more
frequent
basis
to
comply
with
the
distribution
requirements
of
the
Internal
Revenue
Code
of
1986,
as
amended
(the
“Code”).
To
the
extent
that
net
realized
capital
gains
can
be
offset
by
capital
loss
carryovers
of
a
fund,
it
is
the
policy
of
the
fund
not
to
distribute
such
gains.
Income
and
capital
gain
distributions
are
determined
in
accordance
with
income
tax
regulations,
which
may
differ
from
GAAP.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
22
On
December
26,
2023,
the
Board
declared
a
cash
dividend
of
$0.14
per
share
from
net
investment
income,
payable
on
January
3,
2024
to
shareholders
of
record
as
of
the
close
of
business
on
December
28,
2023.
The
ex-dividend
date
was
December
27,
2023.
(f)
Federal
income
taxes:
It
is
the
policy
of
the
fund
to
continue to
qualify
as
a
regulated
investment
company,
if
such
qualification
is
in
the
best
interests
of
its
shareholders,
by
complying
with
the
applicable
provisions
of
the
Code,
and
to
make
distributions
of
taxable
income
and
net
realized
capital
gain sufficient
to
relieve
it
from
substantially
all
federal
income
and
excise
taxes.
As
of
and
during
the period
ended December
31,
2023,
the
fund
did
not
have
any
liabilities
for
any
uncertain
tax
positions.
The
fund
recognizes
interest
and
penalties,
if
any,
related
to
uncertain
tax
positions
as
income
tax
expense
in
the
Statement
of
Operations.
During
the period
ended December
31,
2023,
the
fund
did
not
incur
any
interest
or
penalties.
Each
tax
year
in
the
two-year
period
ended June
30,
2023
remains
subject
to
examination
by
the
Internal
Revenue
Service
and
state
taxing
authorities.
The
fund
is
permitted
to
carry
forward
capital
losses
for
an
unlimited
period.
Furthermore,
capital
loss
carryovers
retain
their
character
as
either
short-term
or
long-
term
capital
losses.
The
fund
has
an
unused
capital
loss
carryover
of
$156,066
available
for
federal
income
tax
purposes
to
be
applied
against
future
net
realized
capital
gains,
if
any,
realized
subsequent
to
June
30,
2023.
The
fund
had
$105,384
of
short-term
capital
losses
and
$50,682
of
long-term
capital
losses
which
can
be
carried
forward
for
an
unlimited
period.
The
tax
character
of
distributions
paid
to
shareholders
during
the
fiscal
year
ended
June
30,
2023
were
as
follows:
ordinary
income
$878,254.
The
tax
character
of
current
year
distributions
will
be
determined
at
the
end
of
the
current
fiscal
year.
NOTE
3—Management
Fee,
Sub-Advisory
Fee
and
Other
Transactions
with
Affiliates:
(a)
Pursuant
to
a
management
agreement
with
the
Adviser,
the
management
fee
is computed
at
an
annual
rate of
0.12%
of
the
value
of
the
fund’s
average
daily
net
assets
and
is
payable
monthly.
The
fund’s
management
agreement
provides
that
the
Adviser
pays
substantially
all
expenses
of
the
fund,
except
for
the
management
fees,
payments
under
the
fund’s
12b-1
plan
(if
any),
interest
expenses,
taxes,
acquired
fund
fees
and
expenses,
brokerage
commissions,
costs
of
holding
shareholder
meetings,
fees
and
expenses
associated
with
the
fund’s
securities
lending
program,
and
litigation
and
potential
litigation
and
other
extraordinary
expenses
not
incurred
in
the
ordinary
course
of
the
fund’s
business.
23
The
Adviser
may
from
time
to
time
voluntarily
waive
and/or
reimburse
fees
or
expenses
in
order
to
limit
total
annual
fund
operating
expenses.
Any
such
voluntary
waiver
or
reimbursement
may
be
eliminated
by
the
Adviser
at
any
time.
During
the
period
ended
December
31,
2023,
there
was
no
reduction
in
expenses
pursuant
to
the
undertaking.
Pursuant
to
a
sub-investment
advisory
agreement
between
the
Adviser
and
the
Sub-
Adviser,
the
Sub-Adviser
serves
as
the
fund’s
sub-adviser
responsible
for
the
day-to-day
management
of
the
fund’s
portfolio.
The
Adviser
pays
the
Sub-Adviser
a
monthly
fee
at
an
annual
percentage
of
the
value
of
the
fund’s
average
daily
net
assets.
The
Adviser
has
obtained
an
exemptive
order
from
the
SEC
(the
“Order”),
upon
which
the
fund
may
rely,
to
use
a
manager
of
managers
approach
that
permits
the
Adviser,
subject
to
certain
conditions
and
approval
by
the
Board,
to
enter
into
and
materially
amend
sub-investment
advisory
agreements
with
one
or
more
sub-advisers
who
are
either
unaffiliated
or
affiliated
with
the
Adviser
without
obtaining
shareholder
approval.
The
Order
also
relieves
the
fund
from
disclosing
the
sub-advisory
fee
paid
by
the
Adviser
to
a
Sub-Adviser
in
documents
filed
with
the
SEC
and
provided
to
shareholders.
In
addition,
pursuant
to
the
Order,
it
is
not
necessary
to
disclose
the
sub-advisory
fee
payable
by
the
Adviser
separately
to
a
Sub-Adviser
that
is
a
wholly-owned
subsidiary
(as
defined
in
the
1940
Act)
of
BNY
Mellon
in
documents
filed
with
the
SEC
and
provided
to
shareholders;
such
fees
are
to
be
aggregated
with
fees
payable
to
the
Adviser.
The
Adviser
has
ultimate
responsibility
(subject
to
oversight
by
the
Board)
to
supervise
any
Sub-Adviser
and
recommend
the
hiring,
termination,
and
replacement
of
any
Sub-Adviser
to
the
Board.
Pursuant
to
a
sub-investment
advisory
agreement
between
the
Adviser
and
the
Sub-
Adviser,
the
Adviser
pays
the
Sub-Adviser
a
monthly
fee
at
an
annual
rate
of
0.06%
of
the
value
of
the
fund’s
average
daily
net
assets.
The
Adviser,
and
not
the
fund,
pays
the
Sub-Adviser
fee
rate.
(b)
The
fund
has
an
arrangement
with
The
Bank
of
New
York
Mellon
(the
“Custodian”),
a
subsidiary
of
BNY
Mellon
and
an
affiliate
of
the
Adviser, whereby
the
fund
will
receive
interest
income
or
be
charged
overdraft
fees
when
cash
balances
are
maintained.
For
financial
reporting
purposes,
the
fund
includes
this
interest
income
and
overdraft
fees,
if
any,
as
interest
income
in
the
Statement
of
Operations.
The
components
of
“Due
to
BNY
Mellon
ETF Investment
Adviser,
LLC”
in
the
Statement
of
Assets
and
Liabilities
consist
of:
management
fee
of $4,627.
(c)
Each
Board
member
serves
as
a
Board
member
of
each
fund
within
the
Trust.
The
Board
members
are
not
compensated
directly
by
the
fund.
The
Board
members
are
paid
by
the
Adviser
from
the
unitary
management
fee
paid
to
the
Adviser
by
the
fund.
The
quarterly
fees
are
paid
by
the
Adviser
from
unitary
management
fees
paid
to
the
Adviser
by
the
funds
within
the
Trust,
including
the
fund.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
24
NOTE
4—Securities
Transactions:
The
aggregate
amount
of
purchases
and
sales
(including
paydowns,
if
any)
of
investment
securities,
excluding
short-term
securities
and
in-kind
transactions,
during
the
period
ended
December
31,
2023, amounted
to $18,638,014
and
$4,305,795,
respectively.
At December
31,
2023,
accumulated
net
unrealized
depreciation on
investments
was
$6,202,
consisting
of
gross
appreciation
of
$187,002
and
gross
depreciation
of
$193,204.
At
December
31,
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).
NOTE
5—Shareholder
Transactions:
The
fund
issues
and
redeems
its
shares
on
a
continuous
basis,
at
NAV,
to
certain
institutional
investors
known
as
“Authorized
Participants”
(typically
market
makers
or
other
broker-dealers)
only
in
a
large
specified
number
of
shares
called
a
Creation
Unit.
Except
when
aggregated
in
Creation
Units,
shares
of
the
fund
are
not
redeemable.
The
value
of
the
fund
is
determined
once
each
business
day.
The
Creation
Unit
size
for the
fund
may
change.
Authorized
Participants
will
be
notified
of
such
change.
Creation
Unit
transactions
may
be
made
in-kind,
for
cash,
or
for
a
combination
of
securities
and
cash.
The
principal
consideration
for
creations
and
redemptions
for
the
fund
is
in-kind,
although
this
may
be
revised
at
any
time
without
notice.
The
Trust
issues
and
sells
shares
of
the
fund
only:
in
Creation
Units
on
a
continuous
basis
through
the
Distributor,
without
a
sales
load,
at
their
NAV
per
share
determined
after
receipt
of
an
order,
on
any
Business
Day,
in
proper
form
pursuant
to
the
terms
of
the
Authorized
Participant
Agreement.
Transactions
in
capital
shares
for
the
fund
are
disclosed
in
detail
in
the
Statement
of
Changes
in
Net
Assets.
The
consideration
for
the
purchase
of
Creation
Units
of the
fund
may
consist
of
the
in-kind
deposit
of
a
designated
portfolio
of
securities
and
a
specified
amount
of
cash.
Investors
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Trust
and/or
custodian
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
The
Adviser
or
its
affiliates
(the
“Selling
Shareholder”)
may
purchase
Creation
Units
through
a
broker-dealer
to
“seed”
(in
whole
or
in
part)
funds
as
they
are
launched
or
may
purchase shares
from
broker-dealers
or
other
investors
that
have
previously
provided
“seed”
for
funds
when
they
were
launched
or
otherwise
in
secondary
market
transactions.
Because
the
Selling
Shareholder
may
be
deemed
an
affiliate
of
such
funds,
the
fund shares
are
being
registered
to
permit
the
resale
of
these
shares
from
time
to
time
after
purchase.
The
fund
will
not
receive
any
of
the
25
proceeds
from
resale
by
the
Selling
Shareholders
of
these
fund
shares. An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
variable
charges,
if
any,
are
included
in
“Transaction
fees”
on
the
Statement
of
Changes
in
Net
Assets.
Seed
Capital:
As
of
December
31,
2023,
MBC
Investments
Corporation,
a
wholly-
owned
subsidiary
of
BNY
Mellon,
held
499,001
shares
of
the
fund.
In-kind
Redemptions:
For
financial
reporting
purposes,
in-kind
redemptions
are
treated
as
sales
of
securities
resulting
in
realized
capital
gains
or
losses
to
the
fund.
Because
such
gains
or
losses
are
not
taxable
to
the
fund
and
are
not
distributed
to
existing
fund
shareholders,
the
gains
or
losses
are
reclassified
from
accumulated
net
realized
gain
(loss)
to
paid-in
capital
at
the
end
of
the
fund’s
tax
year.
These
reclassifications
have
no
effect
on
net
assets
or
net
asset
value
per
share.
During
the
period
ended
December
31,
2023,
the
fund
had
no
in-kind
transactions.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
(Unaudited)
26
The
funds
of
the
Trust
have
adopted
a
liquidity
risk
management
program
(the
“Program”)
pursuant
to
the
requirements
of
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended.
Rule
22e-4
requires
registered
open-end
funds,
including
exchange-traded
funds,
to
establish
liquidity
risk
management
programs
in
order
to
effectively
manage
fund
liquidity
and
shareholder
redemptions.
The
rule
is
designed
to
mitigate
the
risk
that
a
fund
could
not
meet
redemption
requests
without
significantly
diluting
the
interests
of
remaining
investors.
The
Board
has
appointed
BNY
Mellon
ETF
Investment
Adviser,
LLC,
the
investment
adviser
to
the
funds,
as
the
Program
Administrator.
The
rule
requires
each
fund
to
assess,
manage
and
review
its
liquidity
risk
at
least
annually,
considering
applicable
factors
such
as
investment
strategy
and
liquidity
during
normal
and
reasonably
foreseeable
stressed
conditions,
including
whether
the
strategy
is
appropriate
for
an
open-end
fund
and
whether
the
fund
has
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers.
Each
fund
must
also
assess
its
use
of
borrowings
and
derivatives,
short-
term
and
long-term
cash
flow
projections
in
normal
and
reasonably
foreseeable
stressed
conditions,
holdings
of
cash
and
cash
equivalents,
and
borrowing
arrangements
and
other
funding
sources.
In
addition,
with
respect
to
an
exchange-traded
fund,
a
fund
must
assess
the
relationship
between
the
fund’s
portfolio
liquidity
and
the
way
in
which,
and
the
prices
and
spreads
at
which,
the
fund’s
shares
trade,
and
the
effect
of
the
composition
of
baskets
on
the
overall
liquidity
of
the
fund’s
portfolio.
The
rule
also
generally
requires
funds
to
classify
each
of
their
investments
as
highly
liquid,
moderately
liquid,
less
liquid
or
illiquid
based
on
the
number
of
days
the
fund
expects
it
would
take
to
liquidate
the
investment,
and
to
review
these
classifications
at
least
monthly
or
more
often
under
certain
conditions.
Illiquid
investments
are
those
a
fund
does
not
expect
to
be
able
to
sell
or
dispose
of
within
seven
calendar
days
without
the
sale
or
disposition
significantly
changing
the
market
value
of
the
investment.
A
fund
is
prohibited
from
acquiring
an
investment
if,
after
the
acquisition,
its
holdings
of
illiquid
assets
will
exceed
15%
of
its
net
assets.
In
addition,
if
a
fund
permits
redemptions
in-kind,
the
rule
requires
the
fund
to
establish
redemption
in-kind
policies
and
procedures
governing
how
and
when
it
will
engage
in
such
redemptions.
Pursuant
to
the
rule’s
requirements,
the
Program
has
been
reviewed
and
approved
by
the
Board.
Furthermore,
at
its
November
2023
meeting,
the
Board
received
a
written
report
prepared
by
the
Program
Administrator,
for
the
period
October
1,
2022
to
September
30,
2023,
addressing
the
operation
of
the
Program,
assessing
the
Program’s
adequacy
and
effectiveness
and
describing
any
material
changes
made
to
the
Program.
27
Assessment
of
Program
In
the
opinion
of
the
Program
Administrator,
the
Program
approved
by
the
Board
continues
to
be
adequate
for
the
funds
and
the
Program
has
been
implemented
effectively.
The
Program
Administrator
has
monitored
each
fund’s
liquidity
risk
and
the
liquidity
classification
of
the
securities
held
by
the
funds
and
has
determined
that
the
Program
is
operating
effectively.
During
the
period
from
October
1,
2022
to
September
30,
2023,
there
were
no
material
changes
to
the
Program
and
no
material
liquidity
events
that
impacted
the
funds.
During
the
period,
each
fund
held
sufficient
highly
liquid
assets
to
meet
fund
redemptions.
Under
normal
expected
foreseeable
fund
redemption
forecasts
and
foreseeable
stressed
fund
redemption
forecasts,
the
Program
Administrator
believes
that
each
fund
maintains
sufficient
highly
liquid
assets
to
meet
expected
fund
redemptions.
For
More
Information
2024
BNY
Mellon
Securities
Corporation
4862SA1223