ANNUAL
REPORT
June
30,
2023
BNY
Mellon
Ultra
Short
Income
ETF
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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
Fund
Performance
6
Understanding
Your
Fund’s
Expenses
7
Statement
of
Investments
8
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
Report
of
Independent
Registered
Public
Accounting
Firm
25
Important
Tax
Information
26
Information
About
the
Review
and
Renewal
of
the
Fund’s
Management
and
Sub-Investment
Advisory
Agreements
27
Board
Members
Information
30
Officers
of
the
Trust
32
FOR
MORE
INFORMATION
Back
Cover
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
For
the
period
from
July
1,
2022,
through
June
30,
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
12-month
period
ended
June
30,
2023,
BNY
Mellon
Ultra
Short
Income
ETF
(the
“fund”)
produced
a
net
asset
value
total
return
of
3.64%.
1
In
comparison,
the
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index
(the
“Index”),
the
fund’s
benchmark,
returned
3.59%
for
the
same
period.
2
Short-term,
fixed-income
yields
rose
during
the
period
as
interest
rates
rose.
The
fund
outperformed
the
Index
largely
as
a
result
of
its
reinvestment
of
maturing,
short-term,
fixed-rate
corporate
instruments
in
higher-yielding,
fixed-
and
floating-rate
assets.
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
portfolio
managers
seek
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
portfolio
managers
use
a
top-down
and
bottom-up
investment
process,
and
leverage
the
breadth
and
depth
of
Dreyfus’
research
resources.
The
portfolio
managers
focus
on
preservation
of
principal
and
downside
protection,
by
proactively
monitoring
issuer
and
counterparty
risk,
and
ensure
appropriate
portfolio
liquidity
through
a
combination
of
overnight
investments
and
short-term,
highly
liquid
securities.
Inflation
Drives
Yields
Higher
Persistently
high
inflation
led
the
U.S.
Federal
Reserve
(the
“Fed”)
to
implement
a
series
of
aggressive
interest
rate
hikes,
raising
the
federal
funds
rate
by
a
total
of
3.50%
during
the
period.
Rising
rates
drove
bond
yields
sharply
higher,
with
the
one-year
Treasury
bill
increasing
nearly
3%
and
the
two-year
Treasury
bill
up
nearly
2%.
The
yield
curve
inverted
as
the
two-year
Treasury
rate
exceeded
the
10-year
Treasury
rate,
a
condition
widely
viewed
as
a
precursor
to
a
recession.
Credit
spreads
widened
amid
fears
of
a
marked
economic
slowdown.
Credit
spreads
refer
to
the
comparative
yields
of
bonds
of
different
credit
quality
but
the
same
maturity.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
Rising
rates
caused
turmoil
in
the
regional
banking
industry,
leading
to
a
few
high-
profile
bank
failures
in
March
and
April
2023.
While
volatility
spiked
higher,
and
spreads
widened
sharply
in
the
banking
sector,
swift
action
by
federal
authorities
appeared
to
limit
the
impact,
reducing
stresses
and
easing
concerns.
Uncertainty
regarding
federal
debt
ceiling
negotiations
in
May
added
further
short-term
volatility,
which
ended
with
Congressional
agreement
to
raise
the
debt
ceiling.
For
the
period
as
a
whole,
while
long-term
U.S.
bond
prices
struggled
against
the
backdrop
of
rising
yields,
short-term
notes
and
floating-rate
instruments
produced
positive
returns.
Returns
Benefit
from
Reinvesting
in
Higher-Yielding
Instruments
The
fund
benefited
from
the
rising
yield
environment.
By
maintaining
a
duration
of
approximately
six
months
during
the
reporting
period,
we
positioned
the
fund
to
continually
reinvest
funds
from
maturing
assets
at
more
attractive
yields.
Approximately
two-thirds
of
the
fund’s
assets
were
invested
in
short-term
money
market
and
floating-
rate
securities.
Our
focus
on
higher-quality
corporate
credit
rated
A
or
better
enabled
the
fund
to
withstand
the
regional
banking
crisis
of
2023
relatively
well,
and
to
add
exposure
to
credits
in
the
banking
sector
at
more
attractive
spreads
at
the
height
of
the
turmoil.
Conversely,
the
fund’s
modest
exposure
to
longer-term,
fixed-rate
securities,
which
comprised
approximately
10%
to
15%
of
the
portfolio,
detracted
from
returns
relative
to
the
Index.
The
fund
maintained
those
longer-term
positions
for
diversification
and
as
a
hedge
against
the
possibility
of
declining
rates.
Expecting
Rates
to
Remain
Elevated
While
inflation
has
declined
from
an
annualized
rate
of
9.06%
in
June
2022
to
4.05%
as
of
May
2023,
it
remains
well
above
the
Fed
target
of
2%.
Accordingly,
while
the
pace
of
the
Fed’s
interest
rate
increases
has
slowed
in
2023,
we
expect
at
least
one
additional
increase
later
this
year.
Although
the
market
has
priced
in
an
expectation
for
rate
cuts
in
the
near
to
medium
term,
we
expect
the
Fed
to
maintain
rates
higher
for
longer
than
the
market
expects,
particularly
in
view
of
recent
labor
market
strength.
Until
we
see
a
likelihood
of
rate
reductions,
we
expect
to
maintain
the
fund’s
current
duration
position,
increasing
exposure
to
floating-rate
credit
as
attractive
opportunities
present
themselves.
We
may
also
seek
to
take
advantage
of
attractive
pricing
in
six-to-
nine
month
fixed-rate
commercial
paper.
July
17,
2023
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
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.
FUND
PERFORMANCE
(Unaudited)
Comparison
of
change
in
value
of
a
$10,000
investment
in
BNY
Mellon
Ultra
Short
Income
ETF
with
a
hypothetical
investment
of
$10,000
in
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index.
†
Sources:
FactSet
Past
performance
is
not
predictive
of
future
performance.
The
above
graph
compares
a
hypothetical
$10,000
investment
made
in
BNY
Mellon
Ultra
Short
Income
ETF
on
8/9/21
to
a
hypothetical
investment
of
$10,000
made
in
the
Index
on
that
date
using
closing
market
price
return.
All
dividends
and
capital
gain
distributions
are
reinvested.
The
fund’s
performance
shown
in
the
line
graph
above
takes
into
account
all
applicable
fees
and
expenses.
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.
Further
information
relating
to
fund
performance,
including
expense
reimbursements,
if
applicable,
is
contained
in
the
Financial
Highlight
section
of
the
prospectus
and
elsewhere
in
this
report.
The
performance
data
quoted
represents
past
performance,
which
is
no
guarantee
of
future
results.
Share
price
and
investment
return
fluctuate
and
an
investor’s
shares
may
be
worth
more
or
less
than
original
cost
upon
redemption.
Current
performance
may
be
lower
or
higher
than
the
performance
quoted.
Go
to
www.
im.bnymellon.com
for
the
fund’s
most
recent
month-end
returns.
The
fund’s
performance
shown
in
the
graph
and
table
does
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
Average
Annual
Total
Returns
as
of
June
30,
2023
Inception
Date
1
Year
From
Inception
BNY
Mellon
Ultra
Short
Income
ETF
Net
Asset
Value
Return
8/9/21
3.64%
2.05%
Market
Price
Return
8/9/21
3.62%
2.02%
ICE
BofA
3-Month
U.S.
Treasury
Bill
Index
8/9/21
3.59%
3.76%
UNDERSTANDING
YOUR
FUND’S
EXPENSES
(Unaudited)
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
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
June
30,
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
June
30,
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
181/365.
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
1,023.80
1,024.20
0.60
0.60
0.12
STATEMENT
OF
INVESTMENTS
June
30,
2023
Description
Principal
Amount
($)
Value
($)
Asset-Backed
Securities
–
7.8%
Ford
Credit
Auto
Lease
Trust,
Series
2021-B,
Class
A4,
0.40%,
12/15/2024
350,000
344,091
Ford
Credit
Floorplan
Master
Owner
Trust,
Series
2019-2,
Class
A,
3.06%,
4/15/2026
300,000
293,692
GMF
Floorplan
Owner
Revolving
Trust,
Series
2020-1,
Class
A,
0.68%,
8/15/2025
(a)
300,000
298,298
Honda
Auto
Receivables
Owner
Trust,
Series
2021-3,
Class
A3,
0.41%,
11/18/2025
292,211
281,309
Hyundai
Auto
Lease
Securitization
Trust,
Series
2021-C,
Class
A4,
0.48%,
9/15/2025
(a)
350,000
339,454
Kubota
Credit
Owner
Trust,
Series
2020-1A,
Class
A4,
2.26%,
7/15/2026
(a)
255,416
254,010
Oscar
US
Funding
XII
LLC,
Series
2021-1A,
Class
A3,
0.70%,
4/10/2025
(a)
197,049
193,106
World
Omni
Automobile
Lease
Securitization
Trust,
Series
2022-A,
Class
A3,
3.21%,
2/18/2025
300,000
294,444
Total
Asset-Backed
Securities
(cost
$2,374,756)
2,298,404
Commercial
Paper
–
35.4%
Australia
&
New
Zealand
Banking
Group
Ltd.,
5.35%,
8/28/2023
(a)
(b)
550,000
545,326
Bedford
Row
Funding
Corp.,
5.36%
(1
Month
SOFR
+
0.30%),
7/27/2023
(a)(c)
300,000
300,032
Collateralized
Commercial
Paper
V
Co.,
LLC,
5.31%
(1
Month
SOFR
+
0.25%),
8/10/2023
(c)
300,000
300,029
Federation
Caisses
Desjardins,
5.20%,
8/14/2023
(a)(b)
575,000
571,266
HSBC
Bank
PLC,
5.72%
(1
Month
SOFR
+
0.66%),
6/21/2024
(a)(c)
460,000
460,017
ING
Funding,
LLC,
5.14%,
9/01/2023
(b)
750,000
742,977
LMA
SA/LMA-Americas,
LLC
5.47%,
10/12/2023
(a)(b)
275,000
270,612
5.84%,
1/22/2024
(a)(b)
250,000
241,864
Manhattan
Asset
Funding
Co.,
LLC,
5.73%,
12/06/2023
(a)(b)
375,000
365,730
Mizuho
Bank
Ltd.,
5.10%,
7/25/2023
(a)(b)
850,000
846,996
Natixis
NY
Branch,
5.59%,
9/05/2023
(b)
750,000
742,789
Old
Line
Funding,
LLC,
5.56%
(1
Month
SOFR
+
0.50%),
3/04/2024
(a)(c)
275,000
275,000
Sheffield
Receivables
Corp.,
5.47%,
10/10/2023
(a)(b)
850,000
836,742
Skandinav
Enskilda
Bank,
5.81%
(1
Month
SOFR
+
0.75%),
8/02/2023
(a)(c)
850,000
850,469
Societe
Generale
SA,
5.89%,
3/13/2024
(a)(b)
675,000
647,615
Starbird
Funding
Corp.,
5.28%
(1
Month
SOFR
+
0.22%),
12/08/2023
(a)(c)
900,000
899,239
Swedbank
,
5.53%
(1
Month
SOFR
+
0.47%),
12/19/2023
(c)
900,000
900,466
Westpac
Banking
Corp.,
5.39%
(1
Month
SOFR
+
0.33%),
11/27/2023
(a)(c)
650,000
650,052
Total
Commercial
Paper
(cost
$10,449,306)
10,447,221
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
56.2%
Auto
Manufacturers
–
4.9%
American
Honda
Finance
Corp.,
2.90%,
2/16/2024
300,000
294,989
BMW
US
Capital
LLC,
5.47%
(3
Month
SOFRIX
+
0.38%),
8/12/2024
(a)(c)
300,000
299,335
General
Motors
Financial
Co.,
Inc.,
5.40%,
4/06/2026
250,000
247,215
PACCAR
Financial
Corp.,
3.55%,
8/11/2025
300,000
291,086
Toyota
Motor
Credit
Corp.,
5.34%
(3
Month
SOFR
+
0.32%),
1/13/2025
(c)
300,000
298,093
1,430,718
Banks
–
33.6%
ANZ
New
Zealand
Int'l
Ltd.,
5.69%
(3
Month
SOFR
+
0.60%),
2/18/2025
(a)(c)
300,000
299,434
ASB
Bank
Ltd.,
3.13%,
5/23/2024
(a)
350,000
342,058
Banco
Santander
SA,
6.33%
(3
Month
SOFR
+
1.24%),
5/24/2024
(c)
350,000
351,412
Bank
of
Montreal
5.44%
(3
Month
SOFRIX
+
0.35%),
12/08/2023
(c)
350,000
349,905
6.15%
(3
Month
SOFRIX
+
1.06%),
6/07/2025
(c)
350,000
351,265
Bank
of
Nova
Scotia
(The),
5.47%
(3
Month
SOFR
+
0.46%),
1/10/2025
(c)
300,000
298,161
Canadian
Imperial
Bank
of
Commerce
5.49%
(3
Month
SOFRIX
+
0.40%),
12/14/2023
(c)
300,000
299,721
3.95%,
8/04/2025
275,000
265,947
Citigroup,
Inc.,
5.75%
(3
Month
SOFR
+
0.67%),
5/01/2025
(c)
300,000
299,074
Commonwealth
Bank
of
Australia,
5.84%
(3
Month
SOFR
+
0.75%),
3/13/2026
(a)(c)
350,000
349,456
Goldman
Sachs
Group,
Inc.
(The),
5.75%
(3
Month
SOFR
+
0.70%),
1/24/2025
(c)
200,000
199,715
HSBC
Holdings
PLC,
5.67%
(3
Month
SOFR
+
0.58%),
11/22/2024
(c)
350,000
348,709
JPMorgan
Chase
&
Co.,
6.38%
(3
Month
SOFR
+
1.32%),
4/26/2026
(c)
300,000
302,160
Keybank
NA/Cleveland
Oh,
4.70%,
1/26/2026
300,000
279,450
Manufacturers
&
Traders
Trust
Co.,
4.65%,
1/27/2026
300,000
286,705
Mitsubishi
UFJ
Financial
Group,
Inc.,
6.47%
(3
Month
SOFR
+
1.39%),
9/12/2025
(c)
350,000
352,023
Morgan
Stanley,
5.69%
(3
Month
SOFR
+
0.63%),
1/24/2025
(c)
300,000
299,489
National
Australia
Bank
Ltd.,
5.40%
(3
Month
SOFR
+
0.38%),
1/12/2025
(a)(c)
300,000
299,232
National
Bank
of
Canada,
5.25%,
1/17/2025
300,000
297,427
Natwest
Markets
PLC,
5.62%
(3
Month
SOFR
+
0.53%),
8/12/2024
(a)(c)
350,000
347,965
Nordea
Bank
Abp
,
0.63%,
5/24/2024
(a)
300,000
286,005
PNC
Financial
Services
Group,
Inc.
(The),
3.50%,
1/23/2024
300,000
296,284
Royal
Bank
of
Canada,
Series
G,
5.49%
(3
Month
SOFRIX
+
0.44%),
1/21/2025
(c)
300,000
298,669
Standard
Chartered
PLC,
6.83%
(3
Month
SOFR
+
1.74%),
3/30/2026
(a)(c)
350,000
352,630
State
Street
Corp.,
3.55%,
8/18/2025
98,000
94,462
STATEMENT
OF
INVESTMENTS
(continued)
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
56.2%
(continued)
Banks
–
33.6%
(continued)
Sumitomo
Mitsui
Financial
Group,
Inc.,
0.51%,
1/12/2024
300,000
291,727
Sumitomo
Mitsui
Trust
Bank
Ltd.,
5.53%
(3
Month
SOFR
+
0.44%),
9/16/2024
(a)(c)
300,000
298,723
Svenska
Handelsbanken
AB,
3.90%,
11/20/2023
300,000
297,511
Toronto-Dominion
Bank
(The),
5.44%
(3
Month
SOFR
+
0.35%),
9/10/2024
(c)
300,000
299,119
Truist
Bank,
3.20%,
4/01/2024
300,000
294,086
UBS
AG,
0.45%,
2/09/2024
(a)
300,000
289,993
Wells
Fargo
&
Co.,
3.00%,
2/19/2025
300,000
288,085
Westpac
Banking
Corp.,
5.39%
(3
Month
SOFR
+
0.30%),
11/18/2024
(c)
300,000
298,917
9,905,519
Beverages
–
0.8%
Diageo
Capital
PLC,
3.50%,
9/18/2023
250,000
248,865
248,865
Computers
–
1.0%
International
Business
Machines
Corp.,
4.00%,
7/27/2025
300,000
293,336
293,336
Diversified
Financial
Services
–
3.0%
American
Express
Co.
3.40%,
2/22/2024
300,000
295,601
5.85%
(3
Month
SOFR
+
0.76%),
2/13/2026
(c)
250,000
249,516
Charles
Schwab
Corp.
(The),
5.59%
(3
Month
SOFRIX
+
0.50%),
3/18/2024
(c)
350,000
349,128
894,245
Food
–
1.0%
Mondelez
International,
Inc.,
2.13%,
3/17/2024
300,000
292,720
292,720
Insurance
–
0.9%
Prudential
Financial,
Inc.,
1.50%,
3/10/2026
300,000
274,196
274,196
Machinery-Construction
&
Mining
–
1.0%
Caterpillar
Financial
Services
Corp.,
5.18%
(3
Month
SOFR
+
0.17%),
1/10/2024
(c)
300,000
299,853
299,853
Machinery-Diversified
–
2.0%
John
Deere
Capital
Corp.
0.45%,
1/17/2024
300,000
291,950
4.80%,
1/09/2026
300,000
299,028
590,978
Oil
&
Gas
–
1.0%
BP
Capital
Markets
America,
Inc.,
3.41%,
2/11/2026
300,000
288,383
288,383
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
56.2%
(continued)
Pharmaceuticals
–
2.8%
AstraZeneca
Finance
LLC,
0.70%,
5/28/2024
300,000
287,535
GlaxoSmithKline
Capital
PLC,
3.00%,
6/01/2024
300,000
293,209
Pfizer
Investment
Enterprises
Pte
Ltd.,
4.45%,
5/19/2026
250,000
247,060
827,804
Retail
–
1.0%
Walmart,
Inc.,
3.90%,
9/09/2025
300,000
294,104
294,104
Semiconductors
–
1.0%
Intel
Corp.,
3.70%,
7/29/2025
300,000
291,850
291,850
Software
–
1.0%
Salesforce,
Inc.,
0.63%,
7/15/2024
300,000
285,672
285,672
Telecommunications
–
1.2%
Verizon
Communications,
Inc.,
5.59%
(3
Month
SOFRIX
+
0.50%),
3/22/2024
(c)
350,000
350,063
350,063
Total
Corporate
Bonds
(cost
$16,816,520)
16,568,306
Shares
Investment
Companies
–
0.1%
Registered
Investment
Companies
–
0.1%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
5.07%
(d)(e)
(cost
$39,339)
39,339
39,339
Total
Investments
(cost
$29,679,921)
99.5%
29,353,270
Cash
and
Receivables
(Net)
0.5%
144,877
Net
Assets
100.0%
29,498,147
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
June
30,
2023,
these
securities
were
valued
at
$12,010,659
or
40.72%
of
net
assets.
(b)
Security
is
a
discount
security.
Income
is
recognized
through
the
accretion
of
discount.
(c)
Variable
rate
security
-
rate
shown
is
the
interest
rate
in
effect
at
period
end.
Security
description
also
includes
the
reference
rate
and
spread
if
published
and
available.
(d)
Investment
in
affiliated
issuer.
The
investment
objective
of
this
investment
company
is
publicly
available
and
can
be
found
within
the
investment
company’s
prospectus.
(e)
The
rate
shown
is
the
1-day
yield
as
of
June
30,
2023.
STATEMENT
OF
INVESTMENTS
(continued)
See
Notes
to
Financial
Statements
Holdings
and
transactions
in
these
affiliated
companies
during
the
period
ended
June
30,
2023
are
as
follows:
Description
Value
6/30/22
Purchases
($)
1
Sales
($)
Value
6/30/23
Dividends/
Distributions
($)
Investment
Companies
–
0.1%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares
119,646
14,659,356
(14,739,663)
39,339
9,553
Total
–
0.1%
119,646
14,659,356
(14,739,663)
39,339
9,553
1
Includes
reinvested
dividends/distributions.
Portfolio
Summary
(Unaudited)
†
Value
(%)
Financial
80.7
Consumer,
Cyclical
5.9
Consumer,
Non-cyclical
4.6
Industrial
3.0
Technology
3.0
Communications
1.2
Energy
1.0
Registered
Investment
Companies
0.1
99.5
†
Based
on
net
assets.
STATEMENT
OF
ASSETS
AND
LIABILITIES
June
30,
2023
See
Notes
to
Financial
Statements
Cost
Value
Assets
($):
Investments
in
securities—See
Statement
of
Investments:
–
Unaffiliated
issuers
29,640,582
29,313,931
Affiliated
issuers
39,339
39,339
Interest
receivable
147,123
Dividends
receivable
658
29,501,051
Liabilities
($):
Due
to
BNY
Mellon
ETF
Investment
Adviser,
LLC—
Note
3(b)
2,904
2,904
Net
Assets
($)
29,498,147
Composition
of
Net
Assets
($):
Paid-in
capital
29,961,204
Total
distributable
earnings
(loss)
(463,057)
Net
Assets
($)
29,498,147
Shares
outstanding
no
par
value
(unlimited
shares
authorized):
600,001
Net
asset
value
per
share
49.16
Market
price
per
share
49.15
STATEMENT
OF
OPERATIONS
Year
Ended
June
30,
2023
See
Notes
to
Financial
Statements
Investment
Income
($):
Income:
Cash
dividends:
Affiliated
issuers
9,553
Interest
910,939
Total
Income
920,492
Expenses:
Management
fee—Note
3(a)
33,344
Total
Expenses
33,344
Net
Investment
Income
887,148
Realized
and
Unrealized
Gain
(Loss)
on
Investments—Note
4
($):
Net
realized
gain
(loss)
on
investments
(9,700)
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
117,584
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
107,884
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
995,032
STATEMENT
OF
CHANGES
IN
NET
ASSETS
See
Notes
to
Financial
Statements
Year
Ended
June
30,
2023
For
the
Period
from
August
11,
2021
(a)
to
June
30,
2022
Operations
($):
Net
investment
income
887,148
94,676
Net
realized
gain
(loss)
on
investments
(9,700)
(82,212)
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
117,584
(444,235)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
995,032
(431,771)
Distributions
($):
Distributions
to
shareholders
(878,254)
(148,064)
Beneficial
Interest
Transactions
($):
Proceeds
from
shares
sold
4,886,067
29,996,289
Cost
of
shares
redeemed
(2,436,261)
(2,488,871)
Transaction
fees—Note
5
732
3,248
Increase
(Decrease)
in
Net
Assets
from
Beneficial
Interest
Transactions
2,450,538
27,510,666
Total
Increase
(Decrease)
in
Net
Assets
2,567,316
26,930,831
Net
Assets
($):
Beginning
of
Period
26,930,831
—
End
of
Period
29,498,147
26,930,831
Changes
in
Shares
Outstanding:
Shares
sold
100,000
600,001
Shares
redeemed
(50,000)
(50,000)
Net
Increase
(Decrease)
in
Shares
Outstanding
50,000
550,001
(a)
Commencement
of
operations.
The
following
table
describes
the
performance
for
the
fiscal
periods
indicated
and
these
figures
have
been
derived
from
the
fund’s
financial
statements.
See
Notes
to
Financial
Statements
Year
Ended
June
30,
2023
For
the
Period
from
August
11,
2021
(a)
to
June
30,
2022
Per
Share
Data
($):
Net
asset
value,
beginning
of
period
48.97
50.00
Investment
Operations:
Net
investment
income
(b)
1.56
0.17
Net
realized
and
unrealized
gain
(loss)
on
investments
0.18
(0.94)
Total
from
Investment
Operations
1.74
(0.77)
Distributions:
Dividends
from
net
investment
income
(1.55)
(0.27)
Transaction
fees
(b)
0.00
(c)
0.01
Net
asset
value,
end
of
period
49.16
48.97
Market
price,
end
of
period
(d)
49.15
48.96
Net
Asset
Value
Total
Return
(%)
(e)
3.64
(1.54)
(f)
Market
Price
Total
Return
(%)
(e)
3.62
(1.55)
(f)
Ratios/Supplemental
Data
(%):
Ratio
of
total
expenses
to
average
net
assets
0.12
0.12
(g)
Ratio
of
net
investment
income
to
average
net
assets
3.19
0.39
(g)
Portfolio
Turnover
Rate
(h)
20.55
43.10
Net
Assets,
end
of
period
($
x
1,000)
29,498
26,931
(a)
Commencement
of
operations.
(b)
Based
on
average
shares
outstanding.
(c)
Amount
represents
less
than
$0.01
per
share.
(d)
The
mean
between
the
last
bid
and
ask
prices.
(e)
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.
(f)
The
net
asset
value
total
return
and
the
market
price
total
return
is
calculated
from
fund
inception.
(g)
Annualized.
(h)
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
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
seventeen
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,