BNY
Mellon
ETF
Trust
SEMI-ANNUAL
REPORT
December
31,
2022
BNY
Mellon
Responsible
Horizons
Corporate
Bond
ETF
Contents
The
Fund
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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
Understanding
Your
Fund’s
Expenses
6
Statement
of
Investments
7
Statement
of
Assets
and
Liabilities
17
Statement
of
Operations
18
Statement
of
Changes
in
Net
Assets
19
Financial
Highlights
20
Notes
to
Financial
Statements
21
Liquidity
Risk
Management
Program
34
FOR
MORE
INFORMATION
Back
Cover
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
3
For
the
period
from
July
1,
2022,
through
December
31,
2022,
as
provided
by
Erin
Spalsbury,
CFA
and
Jonathan
William
Earle,
CFA,
Portfolio
Managers
employed
by
the
fund’s
sub-adviser,
Insight
North
America
LLC.
Market
and
Fund
Performance
Overview
For
the
six-month
period
ended
December
31,
2022,
the
BNY
Mellon
Responsible
Horizons
Corporate
Bond
ETF
(the
“fund”)
produced
a
net
asset
total
return
of
−1.36%.
1
In
comparison,
the
ICE
BofA
U.S.
Corporate
Index
(the
“Index”)
achieved
a
total
return
of
−1.51%
for
the
same
period.
2
Fixed-income
markets
produced
negative
returns
over
the
reporting
period
in
an
environment
of
high
inflation
and
rising
rates.
Because
the
fund
cannot
hold
all
of
the
securities
in
the
Index,
the
difference
in
returns
between
the
fund
and
the
Index
is
due
primarily
to
active
management
decisions.
The
Fund’s
Investment
Approach
To
pursue
its
goal,
the
fund
normally
invests
at
least
80%
of
its
net
assets,
plus
the
amount
of
any
borrowings
for
investment
purposes,
in
corporate
debt
securities
issued
by
companies
that
demonstrate
attractive
investment
attributes
and
attractive
business
practices
based
on
an
environmental,
social
and
governance
(ESG)
evaluation
methodology.
The
fund's
investment
in
corporate
debt
securities
principally
includes
corporate
bonds,
notes
and
debentures
of
U.S.
and
non-U.S.
issuers,
including
the
securities
of
issuers
in
emerging
market
countries.
The
fund
may,
from
time
to
time,
invest
a
significant
portion
(more
than
20%)
of
its
total
assets
in
securities
of
companies
in
certain
sectors
or
located
in
particular
countries
or
regions.
The
fund
expects
to
invest
a
significant
portion
of
its
assets
in
securities
of
companies
located
in
the
broader
European
region.
Market
Hindered
by
Inflation,
Rising
Rates
The
reporting
period
was
marked
by
rising
concerns
about
inflation
and
a
hawkish
stance
by
the
Federal
Reserve
(the
“Fed”)
on
raising
the
federal
funds
rate.
This,
combined
with
other
concerns,
including
Russia’s
invasion
of
Ukraine
and
rising
prospects
of
recession,
contributed
to
volatility.
Major
central
banks
continued
to
increase
interest
rates
during
the
period;
however,
the
pace
of
monetary
tightening
slowed
as
there
were
signs,
in
some
countries,
that
inflationary
pressures
were
beginning
to
subside.
U.S.
inflation
continued
its
trend
lower
from
its
peak
in
June
2022.
The
likelihood
of
a
meaningful
global
recession
remained
a
concern.
Industrial
production
levels
continued
to
fall
in
many
markets
(although
not
quite
yet
in
the
U.S.),
and
personal
savings
rates
retraced
to
pre-COVID-19
levels—
with
implications
of
consumer
spending
beginning
to
moderate.
DISCUSSION
OF
FUND
PERFORMANCE
(Unaudited)
(continued)
4
Geopolitical
events
also
roiled
markets
early
in
2022.
The
invasion
of
Ukraine
and
the
sanctions
imposed
on
Russia
led
to
further
spikes
in
energy
and
commodity
prices.
With
the
two
countries
being
major
producers
of
wheat
and
corn,
those
prices,
as
well
as
other
industrial
commodities,
rose
during
the
quarter.
Treasury
yields
were
significantly
higher
across
intermediate
and
longer
maturities,
as
the
yield
curve
went
from
inverted
to
flattened.
The
investment-grade
credit
curve
slightly
flattened
as
spreads
on
intermediate
and
longer-term
corporate
bonds
tightened.
Spreads
on
high
yield
bonds
also
tightened
significantly
from
the
peak
at
the
beginning
of
the
period.
Emerging
market
corporates
slightly
outperformed
emerging
markets
sovereigns.
Security
Selection
Aided
Performance
A
number
of
factors
contributed
positively
to
the
fund’s
performance.
Security
selection
was
positive,
with
positions
in
Prosus
NV,
ProLogis
Euro
Finance
LLC,
Societe
Generale
SA
and
Ashtead
Capital,
Inc.
contributing
most.
Credit
beta
also
added
to
relative
returns
as
spread
sectors
performed
well.
The
fund’s
duration
and
yield
curve
positioning
also
were
advantageous.
In
particular,
the
short-duration
position
initiated
late
in
the
year
was
beneficial.
Finally,
the
pricing
time
for
the
Index
changed
from
3
pm
to
4
pm
Eastern
Time. This
change
caused
a
bump
in
the
six-
month
performance
period
but
detracted
from
the
previous
performance
period. 
The
fund’s
sector
allocation
detracted
from
returns.
While
allocations
to
consumer
cyclicals
and
transports
were
beneficial,
overweights
in
banking
and
REITs
hindered
performance.
An
underweight
in
foreign
agency
bonds
also
hampered
returns.
Certain
security
selections
detracted
as
well,
especially
positions
in
Credit
Suisse
Group
AG
and
General
Motors
Co.
An
underweight
position
in
Sands
China,
Ltd.
also
hurt
performance.
Anticipating
Higher
Rates,
Slower
Growth
Our
outlook
for
the
coming
year
is
relatively
benign.
We
anticipate
that
issuance
will
decline
in
2023,
though
first-quarter
issuance
will
be
heavy. This
could
lead
to
some
widening
of
yield
spreads,
though
flows
into
the
market
have
been
strong.
Yields
are
much
more
attractive
for
U.S.
investors,
but
the
retail
segment
may
need
to
see
successive
quarters
of
positive
returns
before
investing. Institutional
investors
such
as
pensions
and
insurance
will
continue
to
be
drawn
to
the
higher
yields.
We
expect
the
Fed
to
hike
rates
twice
in
2023,
and
we
anticipate
that
the
yield
on
the
10-year
Treasury
will
rise
somewhat
from
its
current
level
of
around
3.5%.
We
do
not
expect
a
recession,
but
growth
is
likely
to
slow.
January
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,
5
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:
Lipper
Inc.
—
ICE
BofA
U.S.
Corporate
Index
is
an
unmanaged
index
comprised
of
U.S.
dollar
denominated
investment
grade,
fixed
rate
corporate
debt
securities
publicly
issued
in
the
U.S.
domestic
market
with
at
least
$250
million
outstanding..
Investors
cannot
invest
directly
in
any
index.
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
declines.
High
yield
bonds
are
subject
to
increased
credit
risk
and
are
considered
speculative
in
terms
of
the
issuer’s
perceived
ability
to
continue
making
interest
payments
on
a
timely
basis
and
to
repay
principal
upon
maturity.
Investing
in
foreign
denominated
and/or
domiciled
securities
involves
special
risks,
including
changes
in
currency
exchange
rates,
political,
economic,
and
social
instability,
limited
company
information,
differing
auditing
and
legal
standards,
and
less
market
liquidity.
These
risks
generally
are
greater
with
emerging
market
countries.
Recent
market
risks
include
pandemic
risks
related
to
COVID-19.
The
effects
of
COVID-19
have
contributed
to
increased
volatility
in
global
markets
and
will
likely
affect
certain
countries,
companies,
industries
and
market
sectors
more
dramatically
than
others.
To
the
extent
the
fund
may
overweight
its
investments
in
certain
countries,
companies,
industries
or
market
sectors,
such
positions
will
increase
the
fund's
exposure
to
risk
of
loss
from
adverse
developments
affecting
those
countries,
companies,
industries
or
sectors.
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.
The
fund’s
incorporation
of
ESG
considerations
into
its
investment
approach
may
cause
it
to
make
different
investments
than
funds
that
invest
principally
in
corporate
bonds
but
do
not
incorporate
ESG
considerations
when
selecting
investments.
Under
certain
economic
conditions,
this
could
cause
the
fund
to
underperform
funds
that
do
not
incorporate
ESG
considerations.
The
fund
may,
but
is
not
required
to,
use
derivative
instruments.
A
small
investment
in
derivatives
could
have
a
potentially
large
impact
on
the
fund’s
performance.
The
use
of
derivatives
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
the
underlying
assets,
and
the
fund's
use
of
derivatives
may
result
in
losses
to
the
fund
and
increased
portfolio
volatility
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
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,
2022
(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,
2022.
Expenses
are
calculated
by
multiplying
the
fund’s
annualized
expense
ratio
by
the
average
account
value
for
the
period,
then
multiplying
the
result
by
184/365.
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
986.40
1,023.44
1.75
1.79
0.35
STATEMENT
OF
INVESTMENTS
December
31,
2022
(Unaudited)
7
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
Advertising
–
0.2%
Lamar
Media
Corp.,
3.63%,
1/15/2031
50,000
41,401
41,401
Auto
Manufacturers
–
2.8%
Ford
Motor
Co.
3.25%,
2/12/2032
75,000
56,379
6.10%,
8/19/2032
35,000
32,385
General
Motors
Co.
5.60%,
10/15/2032
142,000
132,322
5.95%,
4/01/2049
140,000
122,641
Mercedes-Benz
Finance
North
America
LLC,
1.45%,
3/02/2026
(a)
150,000
134,342
Stellantis
Finance
US,
Inc.,
2.69%,
9/15/2031
(a)
200,000
153,074
631,143
Banks
–
20.4%
Bank
of
America
Corp.
Series
X,
6.25%
(b)
225,000
216,644
3.82%,
1/20/2028
165,000
154,200
3.19%,
7/23/2030
200,000
172,430
2.57%,
10/20/2032
203,000
159,493
Citigroup,
Inc.
3.11%,
4/08/2026
125,000
118,429
3.98%,
3/20/2030
250,000
225,979
Citizens
Financial
Group,
Inc.,
5.64%,
5/21/2037
80,000
74,619
Cooperatieve
Rabobank
UA,
1.00%,
9/24/2026
(a)
250,000
221,090
Credit
Suisse
Group
AG
2.59%,
9/11/2025
(a)
250,000
221,161
3.87%,
1/12/2029
(a)
250,000
200,752
Goldman
Sachs
Group,
Inc.
(The)
1.09%,
12/09/2026
150,000
132,384
2.64%,
2/24/2028
150,000
133,771
4.41%,
4/23/2039
220,000
190,932
JPMorgan
Chase
&
Co.
0.77%,
8/09/2025
300,000
277,063
3.88%,
7/24/2038
170,000
141,724
3.11%,
4/22/2051
100,000
65,953
Morgan
Stanley
3.88%,
1/27/2026
250,000
242,293
4.68%,
7/17/2026
130,000
127,897
1.93%,
4/28/2032
250,000
189,216
NatWest
Group
PLC
7.47%,
11/10/2026
200,000
208,342
1.64%,
6/14/2027
200,000
173,328
Nordea
Bank
Abp
,
5.38%,
9/22/2027
(a)
200,000
201,269
PNC
Financial
Services
Group,
Inc.
(The),
4.63%,
6/06/2033
95,000
88,036
STATEMENT
OF
INVESTMENTS
(continued)
8
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Banks
–
20.4%
(continued)
Societe
Generale
SA,
6.22%,
6/15/2033
(a)
200,000
187,601
Sumitomo
Mitsui
Financial
Group,
Inc.,
2.35%,
1/15/2025
200,000
189,394
UBS
Group
AG,
1.49%,
8/10/2027
(a)
200,000
172,317
Westpac
Banking
Corp.,
2.67%,
11/15/2035
50,000
37,267
4,523,584
Beverages
–
1.1%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.,
4.90%,
2/01/2046
100,000
91,412
Anheuser-Busch
InBev
Worldwide,
Inc.
4.60%,
4/15/2048
73,000
63,807
5.55%,
1/23/2049
100,000
99,424
254,643
Biotechnology
–
1.1%
Amgen,
Inc.
1.65%,
8/15/2028
75,000
62,672
4.66%,
6/15/2051
100,000
86,567
4.88%,
3/01/2053
22,000
19,632
Illumina,
Inc.,
5.75%,
12/13/2027
68,000
68,968
237,839
Building
Materials
–
1.1%
Builders
FirstSource
,
Inc.,
6.38%,
6/15/2032
(a)
28,000
26,337
Carrier
Global
Corp.,
2.72%,
2/15/2030
150,000
126,615
Johnson
Controls
International
PLC
/
Tyco
Fire
&
Security
Finance
SCA,
4.90%,
12/01/2032
94,000
92,696
245,648
Chemicals
–
2.6%
Braskem
Netherlands
Finance
BV,
4.50%,
1/31/2030
(a)
200,000
170,543
Dow
Chemical
Co.
(The),
6.30%,
3/15/2033
33,000
34,823
Nutrien
Ltd.,
4.00%,
12/15/2026
200,000
192,581
Sherwin-Williams
Co.
(The),
3.45%,
6/01/2027
200,000
187,902
585,849
Commercial
Services
–
1.4%
Ashtead
Capital,
Inc.,
4.25%,
11/01/2029
(a)
200,000
179,699
ERAC
USA
Finance
LLC,
3.80%,
11/01/2025
(a)
125,000
119,658
299,357
Computers
–
4.4%
Apple,
Inc.
2.20%,
9/11/2029
100,000
86,675
4.65%,
2/23/2046
100,000
95,220
3.95%,
8/08/2052
25,000
21,387
4.10%,
8/08/2062
33,000
27,633
Dell
International
LLC
/
EMC
Corp.
3.38%,
12/15/2041
(a)
80,000
53,858
3.45%,
12/15/2051
(a)
70,000
43,108
9
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Computers
–
4.4%
(continued)
Hewlett
Packard
Enterprise
Co.
1.45%,
4/01/2024
125,000
119,351
6.35%,
10/15/2045
50,000
50,119
HP,
Inc.,
1.45%,
6/17/2026
130,000
114,037
International
Business
Machines
Corp.,
1.95%,
5/15/2030
160,000
130,854
Kyndryl
Holdings,
Inc.
3.15%,
10/15/2031
40,000
26,739
4.10%,
10/15/2041
40,000
24,063
Lenovo
Group
Ltd.,
6.54%,
7/27/2032
(a)
200,000
193,918
986,962
Diversified
Financial
Services
–
5.0%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
3.15%,
2/15/2024
150,000
145,070
3.85%,
10/29/2041
150,000
106,579
Ally
Financial,
Inc.
3.88%,
5/21/2024
100,000
97,394
8.00%,
11/01/2031
100,000
103,507
Capital
One
Financial
Corp.,
2.36%,
7/29/2032
100,000
72,149
Discover
Financial
Services,
6.70%,
11/29/2032
89,000
90,733
Intercontinental
Exchange,
Inc.
4.60%,
3/15/2033
80,000
76,645
4.95%,
6/15/2052
24,000
22,360
LSEGA
Financing
PLC,
1.38%,
4/06/2026
(a)
200,000
175,483
Synchrony
Financial
4.38%,
3/19/2024
150,000
147,371
2.88%,
10/28/2031
100,000
74,904
1,112,195
Electric
–
4.0%
Avangrid
,
Inc.,
3.20%,
4/15/2025
130,000
124,344
Consolidated
Edison
Co.
of
New
York,
Inc.
Series
05-A,
5.30%,
3/01/2035
135,000
133,085
Series
A,
4.13%,
5/15/2049
100,000
81,786
ENEL
Finance
America
LLC,
7.10%,
10/14/2027
(a)
200,000
207,154
ENEL
Finance
International
NV,
5.00%,
6/15/2032
(a)
200,000
180,675
Eversource
Energy,
Series
R,
1.65%,
8/15/2030
110,000
85,847
New
England
Power
Co.,
5.94%,
11/25/2052
(a)
71,000
73,442
886,333
Entertainment
–
1.0%
WarnerMedia
Holdings,
Inc.
3.64%,
3/15/2025
(a)
150,000
142,768
5.14%,
3/15/2052
(a)
67,000
48,965
5.39%,
3/15/2062
(a)
50,000
36,701
228,434
STATEMENT
OF
INVESTMENTS
(continued)
10
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Food
–
2.1%
JM
Smucker
Co.
(The),
4.25%,
3/15/2035
50,000
44,861
Kraft
Heinz
Foods
Co.
3.88%,
5/15/2027
100,000
95,697
5.20%,
7/15/2045
55,000
51,015
5.50%,
6/01/2050
56,000
53,828
Mondelez
International
Holdings
Netherlands
BV,
1.25%,
9/09/2041
100,000
68,126
SYSCO
Corp.,
2.40%,
2/15/2030
175,000
145,845
459,372
Forest
Products
&
Paper
–
0.4%
Suzano
Austria
GmbH,
3.75%,
1/15/2031
100,000
84,118
84,118
Gas
–
0.2%
Atmos
Energy
Corp.,
5.50%,
6/15/2041
55,000
54,441
54,441
Healthcare-Products
–
2.4%
Alcon
Finance
Corp.,
5.38%,
12/06/2032
(a)(c)
200,000
201,644
Medtronic
Global
Holdings
SCA,
1.75%,
7/02/2049
100,000
66,410
Thermo
Fisher
Scientific,
Inc.,
1.50%,
10/01/2039
100,000
72,935
Zimmer
Biomet
Holdings,
Inc.,
1.45%,
11/22/2024
200,000
186,077
527,066
Healthcare-Services
–
2.4%
HCA,
Inc.
5.25%,
6/15/2026
150,000
148,382
4.63%,
3/15/2052
(a)
55,000
43,060
Roche
Holdings,
Inc.,
2.08%,
12/13/2031
(a)
200,000
163,252
UnitedHealth
Group,
Inc.
5.15%,
10/15/2025
43,000
43,537
3.05%,
5/15/2041
50,000
37,777
5.88%,
2/15/2053
25,000
27,159
4.95%,
5/15/2062
29,000
27,330
6.05%,
2/15/2063
42,000
45,878
536,375
Home
Builders
–
0.4%
KB
Home,
4.00%,
6/15/2031
50,000
40,256
PulteGroup,
Inc.,
5.50%,
3/01/2026
50,000
50,236
90,492
Housewares
–
0.3%
Newell
Brands,
Inc.
4.45%,
4/01/2026
40,000
37,720
6.63%,
9/15/2029
34,000
33,650
71,370
Insurance
–
3.8%
Allstate
Corp.
(The),
3.85%,
8/10/2049
50,000
38,948
11
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Insurance
–
3.8%
(continued)
Jackson
Financial,
Inc.,
1.13%,
11/22/2023
250,000
240,806
Liberty
Mutual
Group,
Inc.,
4.30%,
2/01/2061
(a)
80,000
48,909
MetLife,
Inc.
6.40%,
12/15/2036
100,000
96,837
5.00%,
7/15/2052
8,000
7,663
Metropolitan
Life
Global
Funding
I,
1.55%,
1/07/2031
(a)
150,000
116,681
Principal
Life
Global
Funding
II,
0.88%,
1/12/2026
(a)
200,000
176,359
Prudential
Financial,
Inc.,
5.63%,
6/15/2043
55,000
54,112
XLIT
Ltd.,
5.50%,
3/31/2045
60,000
56,981
837,296
Internet
–
1.2%
Amazon.com,
Inc.
2.88%,
5/12/2041
100,000
75,017
3.10%,
5/12/2051
50,000
35,860
Prosus
NV,
4.19%,
1/19/2032
(a)
200,000
166,072
276,949
Lodging
–
0.5%
Marriott
International,
Inc.
5.00%,
10/15/2027
38,000
37,562
Series
HH,
2.85%,
4/15/2031
90,000
73,097
110,659
Media
–
2.4%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
Corp.
6.48%,
10/23/2045
60,000
54,361
4.40%,
12/01/2061
50,000
32,172
Comcast
Corp.
4.15%,
10/15/2028
55,000
52,854
3.40%,
7/15/2046
125,000
92,109
2.94%,
11/01/2056
150,000
93,449
Walt
Disney
Co.
(The)
3.35%,
3/24/2025
150,000
145,416
3.50%,
5/13/2040
68,000
55,022
525,383
Mining
–
0.2%
Newmont
Corp.,
2.80%,
10/01/2029
60,000
51,135
51,135
Miscellaneous
Manufacturing
–
0.6%
Eaton
Corp.
4.15%,
3/15/2033
119,000
111,001
4.70%,
8/23/2052
13,000
11,837
122,838
STATEMENT
OF
INVESTMENTS
(continued)
12
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Oil
&
Gas
–
2.5%
AKER
BP
ASA,
3.10%,
7/15/2031
(a)
200,000
164,520
BP
Capital
Markets
America,
Inc.
3.54%,
4/06/2027
200,000
190,379
3.00%,
2/24/2050
65,000
43,647
Parkland
Corp.,
4.50%,
10/01/2029
(a)
50,000
41,736
TotalEnergies
Capital
International
SA,
3.13%,
5/29/2050
90,000
63,994
TotalEnergies
Capital
SA,
3.88%,
10/11/2028
60,000
58,077
562,353
Oil
&
Gas
Services
–
0.9%
Schlumberger
Holdings
Corp.,
4.30%,
5/01/2029
(a)
200,000
188,227
188,227
Packaging
&
Containers
–
0.2%
Ball
Corp.,
2.88%,
8/15/2030
55,000
44,011
44,011
Pharmaceuticals
–
5.4%
AbbVie,
Inc.
2.60%,
11/21/2024
250,000
239,345
4.05%,
11/21/2039
150,000
129,019
4.25%,
11/21/2049
86,000
71,812
AstraZeneca
Finance
LLC,
2.25%,
5/28/2031
150,000
125,159
Cigna
Corp.,
4.38%,
10/15/2028
100,000
96,646
Merck
&
Co.,
Inc.,
2.75%,
12/10/2051
50,000
33,652
Pfizer,
Inc.,
2.63%,
4/01/2030
240,000
211,389
Shire
Acquisitions
Investments
Ireland
DAC,
3.20%,
9/23/2026
100,000
93,921
Takeda
Pharmaceutical
Co.
Ltd.,
5.00%,
11/26/2028
200,000
198,712
1,199,655
Pipelines
–
2.6%
Enbridge,
Inc.
0.55%,
10/04/2023
150,000
145,062
5.50%,
7/15/2077
60,000
53,140
Galaxy
Pipeline
Assets
Bidco
Ltd.,
2.16%,
3/31/2034
(a)
184,932
157,808
Kinder
Morgan,
Inc.,
5.45%,
8/01/2052
50,000
45,139
ONEOK,
Inc.,
7.15%,
1/15/2051
100,000
102,131
Williams
Cos.,
Inc.
(The),
5.75%,
6/24/2044
80,000
76,601
579,881
Real
Estate
–
4.8%
Alexandria
Real
Estate
Equities,
Inc.,
1.88%,
2/01/2033
167,000
124,631
American
Homes
4
Rent
LP
2.38%,
7/15/2031
100,000
77,394
4.30%,
4/15/2052
34,000
25,069
Boston
Properties
LP,
2.75%,
10/01/2026
100,000
90,189
Crown
Castle,
Inc.,
1.05%,
7/15/2026
127,000
109,883
Equinix
,
Inc.,
1.00%,
9/15/2025
100,000
89,524
13
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Real
Estate
–
4.8%
(continued)
Extra
Space
Storage
LP
3.90%,
4/01/2029
16,000
14,365
2.35%,
3/15/2032
65,000
49,349
Iron
Mountain
Information
Management
Services,
Inc.,
5.00%,
7/15/2032
(a)
50,000
41,607
ProLogis
Euro
Finance
LLC,
1.50%,
9/10/2049
100,000
61,756
Public
Storage,
1.95%,
11/09/2028
125,000
106,868
Simon
Property
Group
LP
1.75%,
2/01/2028
100,000
85,270
3.25%,
9/13/2049
75,000
49,963
WP
Carey,
Inc.,
3.85%,
7/15/2029
160,000
144,101
1,069,969
Retail
–
3.0%
7-Eleven,
Inc.,
2.50%,
2/10/2041
(a)
100,000
66,355
AutoZone,
Inc.,
4.75%,
8/01/2032
40,000
38,890
Dollar
General
Corp.,
4.25%,
9/20/2024
44,000
43,425
Genuine
Parts
Co.,
1.75%,
2/01/2025
120,000
112,135
Home
Depot,
Inc.
(The),
3.50%,
9/15/2056
150,000
112,554
Lowe's
Cos.,
Inc.
1.70%,
9/15/2028
50,000
42,088
2.80%,
9/15/2041
100,000
68,428
4.25%,
4/01/2052
6,000
4,787
5.63%,
4/15/2053
47,000
45,260
4.45%,
4/01/2062
37,000
28,956
Macy's
Retail
Holdings
LLC,
5.88%,
3/15/2030
(a)
67,000
58,236
O'Reilly
Automotive,
Inc.,
4.70%,
6/15/2032
45,000
43,632
664,746
Semiconductors
–
2.2%
Advanced
Micro
Devices,
Inc.,
4.39%,
6/01/2052
46,000
40,669
Analog
Devices,
Inc.,
1.70%,
10/01/2028
200,000
169,842
Micron
Technology,
Inc.,
2.70%,
4/15/2032
150,000
112,526
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA,
Inc.,
3.25%,
5/11/2041
120,000
84,169
Qualcomm,
Inc.
1.65%,
5/20/2032
50,000
38,646
3.25%,
5/20/2050
50,000
36,478
482,330
Software
–
2.7%
Fidelity
National
Information
Services,
Inc.,
1.15%,
3/01/2026
130,000
114,140
Microsoft
Corp.
2.70%,
2/12/2025
200,000
192,295
2.68%,
6/01/2060
100,000
63,964
Oracle
Corp.
3.65%,
3/25/2041
100,000
74,196
4.00%,
7/15/2046
50,000
36,643
STATEMENT
OF
INVESTMENTS
(continued)
14
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
93.1%
(continued)
Software
–
2.7%
(continued)
VMware,
Inc.,
1.40%,
8/15/2026
130,000
113,493
594,731
Telecommunications
–
3.4%
AT&T,
Inc.
2.30%,
6/01/2027
100,000
89,091
2.55%,
12/01/2033
200,000
154,288
3.50%,
6/01/2041
100,000
74,963
Rogers
Communications,
Inc.
4.50%,
3/15/2042
(a)
80,000
65,532
4.55%,
3/15/2052
(a)
62,000
48,355
T-Mobile
USA,
Inc.,
3.50%,
4/15/2031
150,000
129,859
Verizon
Communications,
Inc.
1.50%,
9/18/2030
100,000
77,973
2.85%,
9/03/2041
60,000
41,521
3.88%,
3/01/2052
100,000
76,328
757,910
Transportation
–
3.4%
Canadian
National
Railway
Co.,
4.40%,
8/05/2052
23,000
20,560
Canadian
Pacific
Railway
Co.,
1.75%,
12/02/2026
50,000
44,626
CSX
Corp.
4.25%,
3/15/2029
100,000
96,404
3.95%,
5/01/2050
90,000
72,208
FedEx
Corp.,
4.75%,
11/15/2045
84,000
71,310
Ryder
System,
Inc.,
4.30%,
6/15/2027
37,000
35,496
Simpar
Europe
SA,
5.20%,
1/26/2031
(a)
200,000
151,766
Union
Pacific
Corp.
2.15%,
2/05/2027
225,000
203,498
4.95%,
9/09/2052
58,000
55,952
751,820
Total
Corporate
Bonds
(cost
$22,864,402)
20,676,515
Municipal
Securities
–
0.1%
California
Health
Facilities
Financing
Authority,
RB,
Series
2022,
4.35%,
6/01/2041
10,000
8,863
Total
Municipal
Securities
(cost
$10,000)
8,863
U.S.
Treasury
Government
Securities
–
5.3%
U.S.
Treasury
Bonds
2.00%,
11/15/2041
175,000
125,039
3.38%,
8/15/2042
461,000
412,163
2.88%,
5/15/2052
476,000
381,544
3.00%,
8/15/2052
210,000
173,086
U.S.
Treasury
Notes,
3.13%,
8/31/2029
84,000
79,756
Total
U.S.
Treasury
Government
Securities
(cost
$1,279,409)
1,171,588
15
Description
Shares
Value
($)
Investment
Companies
–
1.3%
Registered
Investment
Companies
–
1.3%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
4.27%
(d)(e)
(cost
$296,084)
296,084
296,084
Investment
of
Cash
Collateral
for
Securities
Loaned
–
0.9%
Registered
Investment
Companies
–
0.9%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
4.27%
(d)(e)
(cost
$205,117)
205,117
205,117
Total
Investments
(cost
$24,655,012)
100.7%
22,358,167
Liabilities,
Less
Cash
and
Receivables
(0.7)%
(146,222)
Net
Assets
100.0%
22,211,945
RB—Revenue
Bond
(a)
Security
exempt
from
registration
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
December
31,
2022,
these
securities
were
valued
at
$5,044,034
or
22.71%
of
net
assets.
(b)
Perpetual
bond
with
no
specified
maturity
date.
(c)
Security,
or
portion
thereof,
on
loan.
At
December
31,
2022,
the
value
of
the
fund’s
securities
on
loan
was
$201,644
and
the
value
of
the
collateral
was
$205,117,
consisting
of
cash
collateral.
In
addition,
the
value
of
collateral
may
include
pending
sales
that
are
also
on
loan.
(d)
Investment
in
affiliated
issuer.
The
investment
objective
of
this
investment
company
is
publicly
available
and
can
be
found
within
the
investment
company’s
prospectus.
(e)
The
rate
shown
is
the
1-day
yield
as
of
December
31,
2022.
Holdings
and
transactions
in
these
affiliated
companies
during
the
period
ended
December
31,
2022
are
as
follows:
Description
Value
6/30/22
Purchases
($)
1
Sales
($)
Value
12/31/22
Dividends/
Distributions
($)
Investment
Companies
–
1.3%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares
358,629
3,013,904
(3,076,449)
296,084
3,824
Investment
of
Cash
Collateral
for
Securities
Loaned
–
0.9%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares
426,428
2,165,335
(2,386,646)
205,117
247
2
Total
–
2.2%
785,057
5,179,239
(5,463,095)
501,201
4,071
1
Includes
reinvested
dividends/distributions.
2
Represents
securities
lending
income
earned
from
the
reinvestment
of
cash
collateral
from
loaned
securities,
net
of
fees
and
collateral
investment
expenses,
and
other
payments
to
and
from
borrowers
of
securities.
STATEMENT
OF
INVESTMENTS
(continued)
16
See
Notes
to
Financial
Statements
Portfolio
Summary
(Unaudited)
†
Value
(%)
Financial
34.0
Consumer,
Non-cyclical
15.9
Technology
9.3
Consumer,
Cyclical
8.0
Communications
7.2
Energy
6.0
Government
5.4
Industrial
5.3
Utilities
4.2
Basic
Materials
3.2
Registered
Investment
Companies
2.2
100.7
†
Based
on
net
assets.
Futures
Description
Number
of
Contracts
Expiration
Notional
Value
($)
Market
Value
($)
Unrealized
Appreciation
(Depreciation)
($)
Futures
Long
U.S.
Treasury
Long
Bonds
7
3/22/2023
884,744
877,406
(7,338)
Futures
Short
Euro-Bund
1
3/8/2023
151,733
*
142,294
9,439
Euro-
Buxl
2
3/8/2023
344,686
*
289,534
55,152
U.S.
Treasury
10
Year
Notes
4
3/22/2023
451,831
449,187
2,644
U.S.
Treasury
Ultra
Bonds
7
3/22/2023
843,629
827,969
15,660
Gross
Unrealized
Appreciation
82,895
Gross
Unrealized
Depreciation
(7,338)
*
Notional
amounts
in
foreign
currency
have
been
converted
to
USD
using
relevant
foreign
exchange
rates.
Forward
Foreign
Currency
Exchange
Contracts
Counterparty
/
Purchased
Currency
Purchased
Currency
Amounts
Currency
Sold
Sold
Currency
Amounts
Settlement
Date
Unrealized
Appreciation
(Depreciation)
($)
Goldman
Sachs
&
Co.
Euro
64,000
United
States
Dollar
64,357
1/10/2023
4,202
United
States
Dollar
300,884
Euro
308,000
1/10/2023
(29,054)
United
States
Dollar
34,352
Euro
35,000
1/24/2023
(3,179)
United
States
Dollar
80,900
Euro
82,000
2/3/2023
(7,092)
Gross
Unrealized
Appreciation
4,202
Gross
Unrealized
Depreciation
(39,325)
STATEMENT
OF
ASSETS
AND
LIABILITIES
December
31,
2022
(Unaudited)
17
See
Notes
to
Financial
Statements
Cost
Value
Assets
($):
Investments
in
securities—See
Statement
of
Investments
(including
securities
on
loan,
valued
at
$201,644)—Note
2(c):
–
Unaffiliated
issuers
24,153,811
21,856,966‌
Affiliated
issuers
501,201
501,201‌
Cash
denominated
in
foreign
currency
695
712‌
Interest
receivable
217,018‌
Receivable
for
futures
variation
margin—Note
4
73,318‌
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts—Note
4
4,202‌
Dividends
receivable
748‌
Securities
lending
income
receivable
17‌
22,654,182‌
Liabilities
($):
Due
to
BNY
Mellon
ETF
Investment
Adviser,
LLC—
Note
3(b)
6,755‌
Liability
for
securities
on
loan—Note
2(c)
205,117‌
Distributions
payable—Note
2(e)
191,040‌
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts—Note
4
39,325‌
442,237‌
Net
Assets
($)
22,211,945‌
Composition
of
Net
Assets
($):
Paid-in
capital
25,050,050‌
Total
distributable
earnings
(loss)
(2,838,105‌)
Net
Assets
($)
22,211,945‌
Shares
outstanding
no
par
value
(unlimited
shares
authorized):
500,001‌
Net
asset
value
per
share
44.42‌
Market
price
per
share
44.50‌
STATEMENT
OF
OPERATIONS
Six
Months
Ended
December
31,
2022
(Unaudited)
18
See
Notes
to
Financial
Statements
Investment
Income
($):
Income:
Cash
dividends:
Affiliated
issuers
3,824‌
Interest
478,572‌
Income
from
securities
lending—Note
2(c)
247‌
Total
Income
482,643‌
Expenses:
Management
fee—Note
3(a)
39,928‌
Total
Expenses
39,928‌
Net
Investment
Income
442,715‌
Realized
and
Unrealized
Gain
(Loss)
on
Investments—Note
4
($):
Net
realized
gain
(loss)
on
investments
and
foreign
currency
transactions
(340,616‌)
Net
realized
gain
(loss)
on
futures
37,022‌
Net
realized
gain
(loss)
on
forward
foreign
currency
exchange
contracts
47,346‌
Net
realized
gain
(loss)
(256,248‌)
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
and
foreign
currency
transactions
(490,741‌)
Net
change
in
unrealized
appreciation
(depreciation)
on
futures
35,846‌
Net
change
in
unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts
(47,405‌)
Net
change
in
unrealized
appreciation
(depreciation)
(502,300‌)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
(758,548‌)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(315,833‌)
STATEMENT
OF
CHANGES
IN
NET
ASSETS
19
See
Notes
to
Financial
Statements
Six
Months
Ended
December
31,
2022
(Unaudited)
For
the
Period
from
March
22,
2022
(a)
to
June
30,
2022
Operations
($):
Net
investment
income
442,715‌
225,556‌
Net
realized
gain
(loss)
on
investments
(256,248‌)
(252,911‌)
Net
change
in
unrealized
appreciation
(depreciation)
on
investments
(502,300‌)
(1,753,981‌)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(315,833‌)
(1,781,336‌)
Distributions
($):
Distributions
to
shareholders
(577,616‌)
(163,320‌)
Beneficial
Interest
Transactions
($):
Proceeds
from
shares
sold
—‌
25,000,050‌
Transaction
fees—Note
5
—‌
50,000‌
Increase
(Decrease)
in
Net
Assets
from
Beneficial
Interest
Transactions
—‌
25,050,050‌
Total
Increase
(Decrease)
in
Net
Assets
(893,449‌)
23,105,394‌
Net
Assets
($):
Beginning
of
Period
23,105,394‌
—‌
End
of
Period
22,211,945‌
23,105,394‌
Changes
in
Shares
Outstanding:
Shares
sold
—‌
500,001‌
Net
Increase
(Decrease)
in
Shares
Outstanding
—‌
500,001‌
(a)
Commencement
of
operations.
FINANCIAL
HIGHLIGHTS
20
The
following
table
describes
the
performance
for
the
fiscal
periods
indicated
and
these
figures
have
been
derived
from
the
fund’s
financial
statements.
See
Notes
to
Financial
Statements
Six
Months
Ended
December
31,
2022
(Unaudited)
For
the
Period
from
March
22,
2022
(a)
to
June
30,
2022
Per
Share
Data
($):
Net
asset
value,
beginning
of
period
46.21‌
50.00‌
Investment
Operations:
Net
investment
income
(b)
0.89‌
0.45‌
Net
realized
and
unrealized
gain
(loss)
on
investments
(1.52‌)
(4.01‌)
Total
from
Investment
Operations
(0.63‌)
(3.56‌)
Distributions:
Dividends
from
net
investment
income
(1.16‌)
(0.33‌)
Transaction
fees
(b)
—‌
0.10‌
Net
asset
value,
end
of
period
44.42‌
46.21‌
Market
price,
end
of
period
(c)
44.50‌
46.46‌
Net
Asset
Value
Total
Return
(%)
(d)
(1.36‌)
(6.94‌)
(e)
Market
Price
Total
Return
(%)
(d)
(1.73‌)
(6.44‌)
(e)
Ratios/Supplemental
Data
(%):
Ratio
of
total
expenses
to
average
net
assets
0.35‌
(f)
0.35‌
(f)
Ratio
of
net
investment
income
to
average
net
assets
3.88‌
(f)
3.41‌
(f)
Portfolio
Turnover
Rate
(g)
23.96‌
13.06‌
Net
Assets,
end
of
period
($
x
1,000)
22,212‌
23,105‌
(a)
Commencement
of
operations.
(b)
Based
on
average
shares
outstanding.
(c)
The
mean
between
the
last
bid
and
ask
prices.
(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.
(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)
21
NOTE
1—Organization:
BNY
Mellon
Responsible
Horizons
Corporate
Bond
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
fifteen
series,
including
the
fund.
The
investment
objective
of
the
fund
is
to
seek
total
return
consisting
of
capital
appreciation
and
income.
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. Insight
North
America
LLC (the
“Sub-Adviser”),
a
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)
22
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.
23
The
Trust’s Board
of
Trustees
(the
“Board”)
has
designated
the
Adviser
as
the
fund’s
valuation
designee,
effective
September
8,
2022, to
make
all
fair
value
determinations
with
respect
to
the
fund’s
portfolio
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),
futures
and
forward
foreign
currency
exchange
contracts
(“forward
contracts”)
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.
Futures,
which
are
traded
on
an
exchange,
are
valued
at
the
last
sales
price
on
securities
exchange
on
which
such
contracts
are
primarily
traded
or
at
the
last
sales
price
on
the
exchange
on
each
business
day
and
are
generally
categorized
within
Level
1
of
the
fair
value
hierarchy.
Forward
contracts
are
valued
at
the
forward
rate
and
are
generally
categorized
within
Level
2
of
the
fair
value
hierarchy.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
24
The
table
below
summarizes
the
inputs
used
as
of December
31,
2022
in
valuing
the
fund’s
investments:
Fair
Value
Measurements
(b)
Foreign
currency
transactions:
The
fund
does
not
isolate
that
portion
of
the
results
of
operations
resulting
from
changes
in
foreign
exchange
rates
on
investments
from
the
fluctuations
arising
from
changes
in
the
market
prices
of
securities
held.
Such
fluctuations
are
included
with
the
net
realized
and
unrealized
gain
or
loss
on
investments.
Net
realized
foreign
exchange
gains
or
losses
arise
from
sales
of
foreign
currencies,
currency
gains
or
losses
realized
on
securities
transactions
between
trade
and
settlement
date,
and
the
difference
between
the
amounts
of
dividends,
interest
and
foreign
withholding
taxes
recorded
on
the
fund’s
books
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Net
unrealized
foreign
exchange
gains
and
losses
arise
from
changes
in
the
value
of
assets
and
liabilities
other
than
investments
resulting
from
changes
in
exchange
rates.
Foreign
currency
gains
and
losses
on
foreign
currency
transactions
are
also
included
with
net
realized
and
unrealized
gain
or
loss
on
investments.
Level
1
-
Unadjusted
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Total
Assets
($)
Investments
In
Securities:
†
Corporate
Bonds
—
20,676,515
—
20,676,515
Municipal
Securities
—
8,863
—
8,863
U.S.
Treasury
Government
Securities
—
1,171,588
—
1,171,588
Investment
Companies
296,084
—
—
296,084
Investment
of
Cash
Collateral
for
Securities
Loaned
205,117
—
—
205,117
Other
Financial
Instruments:
Futures
††
82,895
—
—
82,895
Forward
Foreign
Currency
Exchange
Contracts
††
—
4,202
—
4,202
Liabilities
($)
Other
Financial
Instruments:
Futures
††
(7,338)
—
—
(7,338)
Forward
Foreign
Currency
Exchange
Contracts
††
—
(39,325)
—
(39,325)
†
See
Statement
of
Investments
for
additional
detailed
categorizations,
if
any.
††
Amount
shown
represents
unrealized
appreciation
(depreciation)
at
period
end,
but
only
variation
margin
on
exchange-
traded
and
centrally
cleared
derivatives,
if
any,
are
reported
in
the
Statement
of
Assets
and
liabilities.
25
Foreign
Taxes:
The
fund
may
be
subject
to
foreign
taxes
(a
portion
of
which
may
be
reclaimable)
on
income,
stock
dividends,
realized
and
unrealized
capital
gains
on
investments
or
certain
foreign
currency
transactions.
Foreign
taxes
are
recorded
in
accordance
with
the
applicable
foreign
tax
regulations
and
rates
that
exist
in
the
foreign
jurisdictions
in
which
the
fund
invests.
These
foreign
taxes,
if
any,
are
paid
by
the
fund
and
are
reflected
in
the
Statement
of
Operations,
if
applicable.
Foreign
taxes
payable
or
deferred
or
those
subject
to
reclaims as
of December
31,
2022,
if
any,
are
disclosed
in
the
fund’s
Statement
of
Assets
and
Liabilities.
(c)
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.
Pursuant
to
a
securities
lending
agreement
with
BNY
Mellon,
the
fund
may
lend
securities
to
qualified
institutions.
It
is
the
fund’s
policy
that,
at
origination,
all
loans
are
secured
by
collateral
of
at
least
102%
of
the
value
of
U.S.
securities
loaned
and
105%
of
the
value
of
foreign
securities
loaned.
Collateral
equivalent
to
at
least
100%
of
the
market
value
of
securities
on
loan
is
maintained
at
all
times.
Collateral
is
either
in
the
form
of
cash,
which
can
be
invested
in
certain
money
market
mutual
funds
managed
by
the
Adviser,
or
U.S.
Government
and
Agency
securities.
The
fund is
entitled
to
receive
all
dividends,
interest
and
distributions
on
securities
loaned,
in
addition
to
income
earned
as
a
result
of
the
lending
transaction.
Should
a
borrower
fail
to
return
the
securities
in
a
timely
manner,
BNY
Mellon
is
required
to
replace
the
securities
for
the
benefit
of
the
fund
or
credit
the
fund
with
the
market
value
of
the
unreturned
securities
and
is
subrogated
to
the
fund’s
rights
against
the
borrower
and
the
collateral.
Additionally,
the
contractual
maturity
of
security
lending
transactions
are
on
an
overnight
and
continuous
basis.
During
the
period
ended
December
31,
2022,
BNY
Mellon
earned
$33 from
the
lending
of
the
fund’s portfolio
securities,
pursuant
to
the
securities
lending
agreement.
(d)
Affiliated
issuers:
Investments
in
other
investment
companies
advised
by
the
Adviser
are
defined
as
“affiliated”
under
the
Act. 
(e)
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.
The
value
of
a
security
may
also
decline
due
to
general
market
conditions
that
are
not
specifically
related
to
a
particular
company
or
industry,
such
as
real
or
perceived
adverse
economic
conditions,
changes
in
the
general
outlook
for
corporate
earnings,
changes
in
interest
or
currency
rates,
changes
to
inflation,
adverse
changes
to
credit
markets
or
adverse
investor
sentiment
generally.
In
addition,
turbulence
in
financial
markets
and
reduced
liquidity
in
equity,
credit
and/or
fixed
income
markets
may
negatively
affect
many
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
26
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.
Recent
examples
include
pandemic
risks
related
to
COVID-19
and
aggressive
measures
taken
world-wide
in
response
by
governments,
including
closing
borders,
restricting
international
and
domestic
travel,
and
the
imposition
of
prolonged
quarantines
of
large
populations,
and
by
businesses,
including
changes
to
operations
and
reducing
staff. 
Debt
Risk:
The
fund
invests
in
debt
securities.
Failure
of
an
issuer
of
the
debt
securities
to
make
timely
interest
or
principal
payments,
or
a
decline
or
the
perception
of
a
decline
in
the
credit
quality
of
a
debt
security,
can
cause
the
debt
security’s
price
to
fall,
potentially
lowering
the
fund’s
share
price.
High
Yield
(“junk”)
bonds
involve
greater
credit
risk,
including
the
risk
of
default,
than
investment
grade
bonds,
and
are
considered
predominantly
speculative
with
respect
to
the
issuer’s
continuing
ability
to
make
principal
and
interest
payments.
In
addition,
the
value
of
debt
securities
may
decline
due
to
general
market
conditions
that
are
not
specifically
related
to
a
particular
issuer,
such
as
real
or
perceived
adverse
economic
conditions,
changes
in
outlook
for
corporate
earnings,
changes
in
interest
or
currency
rates
or
adverse
investor
sentiment.
They
may
also
decline
because
of
factors
that
affect
a
particular
industry.
(f)
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.
On
December
27,
2022,
the
Board
declared
a
cash
dividend
of
$0.38
per
share
from
net
investment
income,
payable
on
January
4,
2023
to
shareholders
of
record
as
of
the
close
of
business
on
December
29,
2022.
The
ex-dividend
date
was
December
28,
2022.
(g)
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.
For
federal
income
tax
purposes,
the
fund
is
treated
as
a
separate
entity.
27
As
of
and
during
the period
ended December
31,
2022,
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,
2022,
the
fund
did
not
incur
any
interest
or
penalties.
The
tax
year
in
the
period
ended June
30,
2022
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
$115,750
available
for
federal
income
tax
purposes
to
be
applied
against
future
net
realized
capital
gains,
if
any,
realized
subsequent
to
June
30,
2022.
These
short-term
capital
losses
can
be
carried
forward
for
an
unlimited
period.
The
tax
character
of
distributions
paid
to
shareholders
during
the
fiscal
year
ended
June
30,
2022
were
as
follows:
ordinary
income
$163,320.
The
tax
character
of
current
year
distributions
will
be
determined
at
the
end
of
the
current
fiscal
year.
(g)
New
Accounting
Pronouncement:
In
2020,
the
FASB
issued
Accounting
Standards
Update
2020-04,
Reference
Rate
Reform
(Topic
848):
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting,
which
provides
optional
guidance
to
ease
the
potential
burden
in
accounting
for
(or
recognizing
the
effects
of)
reference
rate
reform
on
financial
reporting.
The
objective
of
the
guidance
in
Topic
848
is
to
provide
temporary
relief
during
the
transition
period.
The
FASB
included
a
sunset
provision
within
Topic
848
based
on
expectations
of
when
the
London
Interbank
Offered
Rate
(“LIBOR”)
would
cease
being
published.
At
the
time
that
Update
2020-04
was
issued,
the
UK
Financial
Conduct
Authority
(FCA)
had
established
its
intent
that
it
would
no
longer
be
necessary
to
persuade,
or
compel,
banks
to
submit
to
LIBOR
after
December
31,
2021.
As
a
result,
the
sunset
provision
was
set
for
December
31,
2022—12
months
after
the
expected
cessation
date
of
all
currencies
and
tenors
of
LIBOR.
In
March
2021,
the
FCA
announced
that
the
intended
cessation
date
of
the
overnight
1-,
3-,
6-,
and
12-month
tenors
of
USD
LIBOR
would
be
June
30,
2023,
which
is
beyond
the
current
sunset
date
of
Topic
848.
Because
the
current
relief
in
Topic
848
may
not
cover
a
period
of
time
during
which
a
significant
number
of
modifications
may
take
place,
the
amendments
in
this
Update
defer
the
sunset
date
of
Topic
848
from
December
31,
2022,
to
December
31,
2024
(“FASB
Sunset
Date”),
after
which
entities
will
no
longer
be
permitted
to
apply
the
relief
in
Topic
848.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
28
Management
had
evaluated
the
impact
of
Topic
848
on
the
fund’s
investments,
derivatives,
debt
and
other
contracts
that
will
undergo
reference
rate-related
modifications
as
a
result
of
the
Reference
Rate
Reform.
Management
has
no
concerns
in
adopting
Topic
848
by
FASB
Sunset
Date.
Management
will
continue
to
work
with
other
financial
institutions
and
counterparties
to
modify
contracts
as
required
by
applicable
regulation
and
within
the
regulatory
deadlines.
As
of
December
31,
2022,
management
believes
these
accounting
standards
have
no
impact
on
the
fund
and
does
not
have
any
concerns
of
adopting
the
regulations
by
FASB
Sunset
Date.
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
0.35%
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.
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,
2022,
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
29
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
0.175%
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 $6,755.
(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
Trust
from
unitary
management
fees
paid
to
the
Adviser
by
the
funds.
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,
2022, amounted
to $5,421,930
and
$5,290,936,
respectively.
Derivatives:
A
derivative
is
a
financial
instrument
whose
performance
is
derived
from
the
performance
of
another
asset.
The
fund
enters
into
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
or
similar
agreements
(collectively,
“Master
Agreements”)
with
its
over-the-counter
(“OTC”)
derivative
contract
counterparties
in
order
to,
among
other
things,
reduce
its
credit
risk
to
counterparties.
Master
Agreements
include
provisions
for
general
obligations,
representations,
collateral
and
events
of
default
or
termination.
Under
a
Master
Agreement,
the
fund
may
offset
with
the
counterparty
certain
derivative
financial
instruments’
payables
and/
or
receivables
with
collateral
held
and/or
posted
and
create
one
single
net
payment
in
the
event
of
default
or
termination.
The
SEC
recently
adopted
Rule
18f-4
under
the
Act
which,
effective
August
18,
2022,
regulates
the
use
of
derivative
transactions
for
certain
funds
registered
under
the
Act.
The
fund’s
derivative
transactions
are
subject
to
a
value-at-risk
leverage
limit
and
certain
reporting
and
other
requirements
pursuant
to
a
derivatives
risk
management
program
adopted
by
the
fund.
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
30
Each
type
of
derivative
instrument
that
was
held
by
the
fund
during
the period
ended
December
31,
2022
is
discussed
below.
Futures:
In
the
normal
course
of
pursuing
its
investment
objective,
exposed
to
market
risk,
including
interest
risk,
as
a
result
of
changes
in
value
of
underlying
financial
instruments.
The
fund
invests
in
futures
in
order
to
manage
the
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
Statements
of
Operations.
When
the
contracts
are
closed,
the
fund
recognizes
a
realized
gain
or
loss
which
is
reflected
in
the
Statements
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.
Futures
open
at December
31,
2022,
are
set
forth
in
the
Statement
of
Investments.
Forward
Foreign
Currency
Exchange
Contracts:
T
he
fund
enters
into
forward
contracts
in
order
to
hedge
its
exposure
to
changes
in
foreign
currency
exchange
rates
on
its
foreign
portfolio
holdings,
to
settle
foreign
currency
transactions
or
as
a
part
of
its
investment
strategy.
When
executing
forward
contracts,
the
fund
is
obligated
to
buy
or
sell
a
foreign
currency
at
a
specified
rate
on
a
certain
date
in
the
future.
With
respect
to
sales
of
forward
contracts,
the
fund
incurs
a
loss
if
the
value
of
the
contract
increases
between
the
date
the
forward
contract
is
opened
and
the
date
the
forward
contract
is
closed.
The
fund
realizes
a
gain
if
the
value
of
the
contract
decreases
between
those
dates.
With
respect
to
purchases
of
forward
contracts,
the
fund
incurs
a
loss
if
the
value
of
the
contract
decreases
between
the
date
the
forward
contract
is
opened
and
the
date
the
forward
contract
is
closed.
The
fund
realizes
a
gain
if
the
value
of
the
contract
increases
between
those
dates.
Any
realized
or
unrealized
gains
or
losses
which
occurred
during
the
period
are
reflected
in
the
Statement
of
Operations.
The
fund
is
exposed
to
foreign
currency
risk
as
a
result
of
changes
in
value
of
underlying
financial
instruments.
The
fund
is
also
exposed
to
credit
risk
associated
with
counterparty
nonperformance
on
these
forward
contracts,
which
is
generally
limited
to
the
unrealized
gain
on
each
open
contract.
This
risk
may
be
mitigated
by
Master
Agreements,
if
any,
between
the
fund
and
the
counterparty
and
the
posting
of
collateral,
if
any,
by
the
counterparty
to
the
fund
to
cover
the
fund’s
exposure
to
the
counterparty.
Forward
contracts
open
at December
31,
2022
are
set
forth
in
the
Statement
of
Investments.
The
following
tables
show
the
fund’s
exposure
to
different
types
of
market
risk
as
it
relates
to
the
Statement
of
Assets
and
Liabilities
and
the
Statement
of
Operations,
respectively. 
31
Fair
value
of
derivative
instruments
as
of December
31,
2022
is
shown
below:
The
effect
of
derivative
instruments
in
the
Statements of
Operations
during
the period
ended
December
31,
2022 is
shown
below:
The
provisions
of
ASC
Topic
210
“Disclosures
about
Offsetting
Assets
and
Liabilities”
require
disclosure
on
the
offsetting
of
financial
assets
and
liabilities.
These
disclosures
are
required
for
certain
investments,
including
derivative
financial
instruments
subject
to
Master
Agreements
which
are
eligible
for
offsetting
in
the
Statement
of
Assets
and
Liabilities
and
require
the
fund
to
disclose
both
gross
and
net
information
with
respect
to
such
investments.
For
financial
reporting
purposes,
the
fund
does
not
offset
derivative
assets
and
derivative
liabilities
that
are
subject
to
Master
Agreements
in
the
Statement
of
Assets
and
Liabilities.
At December
31,
2022,
derivative
assets
and
liabilities
(by
type)
on
a
gross
basis
are
as
follows:
Derivative
Assets
($)
Derivative
Liabilities
($)
Interest
rate
risk
82,895
(a)
Interest
rate
risk
(7,338)
(a)
Foreign
exchange
risk
4,202
(b)
Foreign
exchange
risk
(39,325)
(b)
Gross
fair
value
of
derivative
contracts
87,097
(46,663)
(a)
Includes
cumulative
appreciation
(depreciation)
on
futures
as
reported
in
the
Statement
of
Investments,
but
only
the
unpaid
variation
margin
is
reported
in
the
Statement
of
Assets
and
Liabilities.
(b)
Unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts.
Amount
of
realized
gain
(loss)
on
derivatives
recognized
in
income
($)
Underlying
Risk
Futures
(a)
Forward
Contracts
(b)
Total
Interest
rate
37,022
—
37,022
Foreign
exchange
—
47,346
47,346
Total
37,022
47,346
84,368
Net
change
in
unrealized
appreciation
(depreciation)
on
derivatives
recognized
in
income
($)
Underlying
Risk
Futures
(c)
Forward
Contracts
(d)
Total
Interest
rate
35,846
—
35,846
Foreign
exchange
—
(47,405)
(47,405)
Total
35,846
(47,405)
(11,559)
(a)
Net
realized
gain
(loss)
on
futures.
(b)
Net
realized
gain
(loss)
on
forward
foreign
currency
exchange
contracts.
(c)
Net
change
in
unrealized
appreciation
(depreciation)
on
futures.
(d)
Net
change
in
unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts.
Derivative
Financial
Instruments:
Assets
($)
Liabilities
($)
Futures
82,895
(7,338)
Forward
contracts
4,202
(39,325)
NOTES
TO
FINANCIAL
STATEMENTS
(Unaudited)
(continued)
32
The
following
tables
present
derivative
assets
and
liabilities
net
of
amounts
available
for
offsetting
under
Master
Agreements
and
net
of
related
collateral
received
or
pledged,
if
any,
as
of December
31,
2022:
The following
table summarizes
the
average market
value of
derivatives
outstanding
during
the period
ended
December
31,
2022:
At December
31,
2022,
accumulated
net
unrealized
depreciation on
investments
inclusive
of
derivative
contracts
was
$2,256,411,
consisting
of
gross
appreciation
of
$125,862
and
gross
depreciation
of
$2,382,273.
At
December
31,
2022,
the
cost
of
investments
for
federal
income
tax
purposes
was
substantially
the
same
as
the
cost
for
financial
reporting
purposes
(see
the
Statement
of
Investments).
NOTE
5—Shareholder
Transactions:
The
fund
issues
and
redeems
its
shares
on
a
continuous
basis,
at
NAV,
to
certain
institutional
investors
known
as
“Authorized
Participants”
(typically
market
makers
or
other
broker-dealers)
only
in
a
large
specified
number
of
shares
called
a
Creation
Unit.
Except
when
aggregated
in
Creation
Units,
shares
of
the
fund
are
not
redeemable.
The
value
of
the
fund
is
determined
once
each
business
day.
The
Creation
Unit
size
for the
fund
may
change.
Authorized
Participants
will
be
notified
of
such
change.
Creation
Derivative
Financial
Instruments:
Assets
($)
Liabilities
($)
Total
gross
amount
of
derivative
assets
and
liabilities
in
the
Statement
of
Assets
and
Liabilities
87,097
(46,663)
Derivatives
not
subject
to  Master
Agreements
82,895
(7,338)
Total
gross
amount
of
derivative
assets
and
liabilities
subject
to
Master
Agreements
4,202
(39,325)
Counterparty
Gross
Amount
of
Assets
($)
†
Financial
Instruments
and
Derivatives
Available
for
Offset
($)
Collateral
Received
($)
Net
Amount
of
Assets
($)
Goldman
Sachs
&
Co.
4,202
(4,202)
–
–
Counterparty
Gross
Amount
of
Liabilities($)
†
Financial
Instruments
and
Derivatives
Available
for
Offset
($)
Collateral
Pledged
($)
Net
Amount
of
Liabilities
($)
Goldman
Sachs
&
Co.
(35,123)
4,202
–
(30,921)
†
Absent
a
default
event
or
early
termination,
OTC
derivative
assets
and
liabilities
are
presented
at
gross
amounts
and
are
not
offset
in
the
Statement
of
Assets
and
Liabilities.
Average
Market
Value
($)
Interest
rate
futures
2,666,314
Forward
contracts
947,656
33
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
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.
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,
2022,
the
fund
had
no
in-kind
transactions.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
(Unaudited)
34
The
funds
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
October
2022
meeting,
the
Board
received
a
written
report
prepared
by
the
Program
Administrator,
for
the
period
October
1,
2021
to
September
30,
2022,
addressing
the
operation
of
the
Program,
assessing
the
Program’s
adequacy
and
effectiveness
and
describing
any
material
changes
made
to
the
Program.
35
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
31,
2021
to
September
30,
2022,
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
2023
BNY
Mellon
Securities
Corporation
4863SA1222
Telephone
Call
your
financial
representative
or
1-833-ETF-BNYM
(383-2696)
(inside
the
U.S.
only)
Mail
BNY
Mellon
ETF
Trust,
240
Greenwich
Street,
New
York,
New
York
10286
E-Mail
Send
your
request
to
[email protected]
Internet
Information
can
be
viewed
online
or
downloaded
at
www.im.bnymellon.com
BNY
Mellon
ETF
Trust
discloses,
at
www.im.bnymellon.com
,
the
identities
and
quantities
of
the
securities
held
by
the
fund
daily.
The
fund
files
its
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(
“
SEC
”
)
for
the
first
and
third
quarters
of
the
fiscal
year
on
Form
N-PORT.
The
fund
’
s
Forms
N-PORT
are
available
on
the
SEC
’
s
website
at
www.sec.gov
.
Additionally,
the
fund
makes
its
portfolio
holdings
for
the
first
and
third
quarters
of
the
most
recent
fiscal
year
available
at
https://im.bnymellon.com/etfliterature
.
The
fund
’
s
complete
schedule
of
portfolio
holdings,
as
filed
on
Form
N-PORT,
can
also
be
obtained
without
charge,
upon
request,
by
calling
1-833-383-2696.
A
description
of
the
policies
and
procedures
that
the
fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities,
and
information
regarding
how
the
fund
voted
these
proxies
for
the
most
recent
12-month
period
ended
June
30
is
available
at
www.im.bnymellon.
com
and
on
the
SEC’s
website
at
www.sec.gov
.
The
description
of
the
policies
and
procedures
is
also
available
without
charge,
upon
request,
by
calling
1-833-383-2696.
BNY
Mellon
ETF
Trust
Custodian
c/o
BNY
Mellon
ETF
Investment
Adviser,
LLC
240
Greenwich
Street
New
York,
NY
10286
The
Bank
of
New
York
Mellon
240
Greenwich
Street
New
York,
NY
10286
Adviser
Transfer
Agent
&
Dividend
Disbursing
Agent
BNY
Mellon
ETF
Investment
Adviser,
LLC
201
Washington
Street
Boston,
MA
02108
The
Bank
of
New
York
Mellon
240
Greenwich
Street
New
York,
NY
10286
Sub-Adviser
Distributor
Insight
North
America
LLC
200
Park
Avenue,
7th
Floor
New
York,
NY
10166
BNY
Mellon
Securities
Corporation
240
Greenwich
Street
New
York,
NY
10286
Ticker
Symbol:
BNY
Mellon
Responsible
Horizons
Corporate
Bond
ETF
RHCB