BNY Mellon Core Bond ETF (BKAG) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number    811-23477                  

                                    BNY Mellon ETF Trust                       

(Exact name of registrant as specified in charter)

240 Greenwich Street

_____________New York, New York 10286_____________

(Address of principal executive offices) (Zip code)

Deirdre Cunnane, Esq.

240 Greenwich Street

_________________New York, New York 10286_____________

(Name and address of agent for service)

Registrant's telephone number, including area code:       (212) 922-6400

Date of fiscal year end:  June 30

Date of reporting period:  June 30, 2022

The following N-CSR relates only to the Registrant's series listed below and does not relate to any series of the Registrant with a different fiscal year end and, therefore, different N-CSR reporting requirements.  A separate N-CSR will be filed for any series with a different fiscal year end, as appropriate

BNY Mellon Ultra Short Income ETF

BNY Mellon Responsible Horizons Corporate Bond ETF

Item 1. Reports to Stockholders.

(a)

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

BNY

Mellon

ETF

Trust

ANNUAL

REPORT

June

30,

2022

BNY

Mellon

Ultra

Short

Income

ETF

Contents

The

Fund

Save

time.

Save

paper.

View

your

next

shareholder

report

online

as

soon

as

it’s

available.

Log

into

www.

im.bnymellon.com

and

sign

up

for

eCommunications.

It’s

simple

and

only

takes

a

few

minutes.

The

views

expressed

herein

are

current

to

the

date

of

this

report.

These

views

and

the

composition

of

the

fund’s

portfolio

is

subject

to

change

at

any

time

based

on

market

and

other

conditions.

Not

FDIC-Insured

•

Not

Bank-Guaranteed

•

May

Lose

Value

Discussion

of

Fund

Performance

3

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

Liquidity

Risk

Management

Program

27

Board

Members

Information

29

Officers

of

the

Trust

31

FOR

MORE

INFORMATION

Back

Cover

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

3

For

the

period

August

9,

2021

through

June

30,

2022,

as

provided

by

Stephen

Murphy,

CFA,

and

Anthony

Honko,

Portfolio

Managers

both

employed

by

the

fund’s

sub-adviser,

Dreyfus,

a

division

of

Mellon

Investments

Corporation

Market

and

Fund

Performance

Overview

For

the

period

from

August

9,

2021,

the

fund’s

inception,

through

June

30,

2022,

the

BNY

Mellon

Ultra

Short

Income

ETF

(the

“fund”)

produced

a

net

asset

value

total

return

of

−1.54%.

1

In

comparison,

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

(the

“Index”),

the

fund’s

benchmark,

returned

0.16%

for

the

same

period.

2

Rising

interest

rates

pressured

short-term,

fixed-income

yields

during

the

period.

The

fund

underperformed

the

Index

largely

as

a

result

of

its

exposure

to

longer-duration,

fixed-corporate

credit

at

a

time

of

rising

yields.

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

mitigation,

by

proactively

monitoring

issuer

and

counterparty

risk,

and

strive

for

appropriate

portfolio

liquidity

through

a

combination

of

overnight

investments

and

short-term,

highly

liquid

securities.

Rising

Yields

Undermine

Fixed-Income

Performance

In

late

2021,

increasing

inflationary

pressures

caused

by

supply-chain

bottlenecks,

a

tight

labor

market

and

money

remaining

in

the

economy

from

the

massive,

pandemic-

related

government

stimulus

packages

drove

bond

yields

higher,

causing

bond

prices

to

decline

(bond

yields

and

prices

typically

move

in

opposite

directions).

The

unexpected

level

and

persistence

of

these

inflationary

pressures

prompted

the

U.S.

Federal

Reserve

(the

“Fed”)

to

indicate

an

increasing

willingness

to

consider

reducing

accommodative

policies

sooner

rather

than

later.

As

inflationary

pressures

continued

to

mount,

Fed

rhetoric

grew

increasingly

hawkish.

In

November,

the

Fed

dropped

the

word

“transitory”

when

describing

inflation.

At

the

same

time,

the

Fed

forecast

a

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

(continued)

4

possible

end

to

their

asset

purchase

program

as

early

as

June

2022,

thereby

increasing

the

likelihood

of

one

or

more

rate

hikes

later

that

year.

In

December,

the

Fed

again

revised

their

estimate

of

an

end

to

quantitative

easing

in

March

2022,

leading

the

market

to

widely

anticipate

multiple

hikes

in

2022.

Early

2022

saw

accelerating

inflation

as

Russia’s

invasion

of

Ukraine

increased

upward

pressures

on

fuel

and

other

commodity

prices,

with

impacts

rippling

throughout

the

U.S.

and

global

economies.

By

the

end

of

June,

the

U.S.

consumer

price

index

(CPI),

a

widely

accepted

measure

of

inflation,

had

risen

by

approximately

8.6%

from

12-month-

previous

levels,

the

largest

12-month

percentage

increase

since

1981.

In

response,

the

Fed

took

increasingly

aggressive

action,

raising

the

federal

fund

target

rate

by

0.25%

in

March

and

0.50%

in

May,

followed

by

a

0.75%

hike

in

June.

Fed

officials

projected

a

year-end

Federal

Funds

rate

of

3.4%,

compared

with

initial

projections

of

1.9%

made

in

March.

The

yield

on

the

two-year

Treasury

bill

yield

rose

sharply

from

0.23%

on

August

9,

2021,

to

3.40%

on

June

13,

2022,

before

settling

to

2.92%

as

of

the

end

of

the

reporting

period.

Credit

spreads

widened

modestly

as

well.

Duration

Detracts

from

Fund

Performance

The

fund’s

duration

exceeded

that

of

the

Index,

averaging

approximately

nine

months

at

the

beginning

of

the

reporting

period.

We

reduced

the

fund’s

average

duration

as

the

period

progressed

to

approximately

six

months

as

of

the

end

of

the

period,

somewhat

insulating

the

fund

from

further

interest-rate

hikes.

Nevertheless,

the

fund’s

relatively

long

duration

detracted

from

performance

during

a

time

of

rising

rates.

Modestly

widening

credit

spreads

further

detracted

from

relative

returns.

Among

sectors,

the

fund

held

overweight

exposure

to

financials,

which

tend

to

be

less

negatively

affected

by

rising

rates

than

industrials.

However,

spread

widening

proved

largely

uniform

across

sectors.

As

a

result,

sector

allocations

had

little

impact

on

relative

returns.

Conversely,

the

fund’s

relative

performance

benefited

from

substantial

exposure

to

money

market

securities,

particularly

commercial

paper,

due

to

the

very

short

duration

of

those

securities.

Performance

also

benefited

from

a

moderate,

but

increasing,

allocation

to

floating-rate

corporate

bonds,

and

from

the

shortening

of

the

fund’s

average

duration

during

the

second

half

of

the

period.

A

Likelihood

of

Further

Rate

Tightening

As

of

the

end

of

the

period,

the

inflationary

trends

challenging

the

fixed-income

market

remain

intact,

with

the

futures

market

pricing

in

an

additional

1.75%

in

rate

hikes

over

the

next

year.

Accordingly,

we

continue

to

maintain

the

fund’s

six-month

duration

position.

If

recession

fears

continue

to

increase,

we

expect

credit

spreads

to

continue

widening,

potentially

opening

opportunities

to

add

quality

names

in

fixed

credit

at

more

attractive

levels

than

we

saw

earlier

in

2022.

We

remain

committed

to

managing

the

fund

to

provide

liquidity

as

needed,

while

continuing

to

work

to

reduce

interest-rate

exposure

in

the

face

of

the

prevailing

tightening

cycle.

5

July

15,

2022

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.

Index

returns

do

not

reflect

any

management

fees,

transaction

costs

or

expenses.

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.

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.

FUND

PERFORMANCE

(Unaudited)

6

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,

2022

Inception

Date

From

Inception

BNY

Mellon

Ultra

Short

Income

ETF

Net

Asset

Value

Return

8/9/21

(1.54)%

Market

Price

Return

8/9/21

(1.55)%

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

8/9/21

0.16%

UNDERSTANDING

YOUR

FUND’S

EXPENSES

(Unaudited)

7

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

assuming

a

hypothetical

5%

annualized

return,

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,

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

June

30,

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

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

986.90

1,024.20

0.59

0.60

0.12

STATEMENT

OF

INVESTMENTS

June

30,

2022

8

BNY

Mellon

Ultra

Short

Income

ETF

Description

Principal

Amount

($)

Value

($)

Asset-Backed

Securities

–

10.3%

Drive

Auto

Receivables

Trust,

Series

2021-2,

Class

A3,

0.35%,

3/17/2025

300,000

298,475

Ford

Credit

Auto

Lease

Trust,

Series

2021-B,

Class

A4,

0.40%,

12/15/2024

350,000

335,401

Ford

Credit

Floorplan

Master

Owner

Trust,

Series

2019-2,

Class

A,

3.06%,

4/15/2026

300,000

295,889

GMF

Floorplan

Owner

Revolving

Trust,

Series

2020-1,

Class

A,

0.68%,

8/15/2025

(a)

300,000

289,959

Honda

Auto

Receivables

Owner

Trust,

Series

2021-3,

Class

A3,

0.41%,

11/18/2025

350,000

334,431

Hyundai

Auto

Lease

Securitization

Trust,

Series

2021-C,

Class

A4,

0.48%,

9/15/2025

(a)

350,000

332,215

Kubota

Credit

Owner

Trust,

Series

2020-1A,

Class

A4,

2.26%,

7/15/2026

(a)

300,000

293,747

Oscar

US

Funding

XII

LLC,

Series

2021-1A,

Class

A3,

0.70%,

4/10/2025

(a)

300,000

287,994

World

Omni

Automobile

Lease

Securitization

Trust,

Series

2022-A,

Class

A3,

3.21%,

2/18/2025

300,000

298,566

Total

Asset-Backed

Securities

(cost

$2,881,893)

2,766,677

Commercial

Paper

–

41.0%

ASB

Finance

Ltd.,

0.20%,

8/01/2022

(a)(b)

750,000

748,865

Australia

&

New

Zealand

Banking

Group

Ltd.,

0.33%,

11/08/2022

(a)(b)

750,000

743,109

Bank

of

Nova

Scotia

(The),

1.74%

(3

Month

SOFR

+

0.23%),

1/27/2023

(a)(c)

250,000

249,605

Bedford

Row

Funding

Corp.,

2.04%

(1

Month

FED

+

0.46%),

3/27/2023

(a)(c)

500,000

499,925

BPCE

SA,

0.35%,

11/08/2022

(a)(b)

750,000

742,738

Canadian

Imperial

Bank

of

Commerce,

0.19%,

8/12/2022

(a)(b)

750,000

748,534

Chariot

Funding

LLC,

1.70%

(1

Month

SOFR

+

0.18%),

8/11/2022

(a)(c)

750,000

749,967

Collateralized

Commercial

Paper

V

Co.,

LLC,

2.01%

(1

Month

SOFR

+

0.50%),

2/07/2023

(a)(c)

350,000

349,858

HSBC

Bank

PLC,

1.76%

(1

Month

SOFR

+

0.24%),

2/02/2023

(a)(c)

750,000

748,748

National

Australia

Bank,

2.01%

(1

Month

SOFR

+

0.50%),

3/08/2023

(a)(c)

750,000

749,735

National

Bank

of

Canada,

1.85%

(1

Month

SOFR

+

0.34%),

10/12/2022

(a)(c)

750,000

749,963

Nieuw

Amsterdam

Receivables

Co.,

1.32%,

8/03/2022

(a)(b)

500,000

499,148

Oversea-Chinese

Banking

Corp.,

1.90%

(3

Month

SOFR

+

0.40%),

11/14/2022

(a)(c)

750,000

749,835

Skandinaviska

Enskilda

Banken

,

1.91%

(1

Month

SOFR

+

0.39%),

10/28/2022

(a)(c)

750,000

749,925

Societe

Generale

North

America,

Inc.,

0.36%,

11/07/2022

(a)(b)

750,000

743,297

Svenska

Handelsbanken

,

2.08%

(1

Month

SOFR

+

0.56%),

6/23/2023

(a)(c)

600,000

599,375

9

BNY

Mellon

Ultra

Short

Income

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Commercial

Paper

–

41.0%

(continued)

United

Overseas

Bank

Ltd.,

1.96%

(1

Month

SOFR

+

0.46%),

2/23/2023

(a)(c)

625,000

624,807

Total

Commercial

Paper

(cost

$11,071,282)

11,047,434

Corporate

Bonds

–

46.2%

Auto

Manufacturers

–

3.3%

American

Honda

Finance

Corp.,

2.90%,

2/16/2024

300,000

297,062

BMW

US

Capital

LLC,

1.58%

(3

Month

SOFR

+

0.38%),

8/12/2024

(a)(c)

300,000

295,948

Toyota

Motor

Credit

Corp.,

1.16%

(3

Month

SOFR

+

0.32%),

1/13/2025

(c)

300,000

295,734

888,744

Banks

–

28.1%

ANZ

New

Zealand

Int'l

Ltd.,

1.85%

(3

Month

SOFR

+

0.60%),

2/18/2025

(a)(c)

300,000

296,083

ASB

Bank

Ltd.,

3.13%,

5/23/2024

(a)

350,000

345,391

Banco

Santander

SA,

2.50%

(3

Month

SOFR

+

1.24%),

5/24/2024

(c)

350,000

348,802

Bank

of

America

Corp.,

1.94%

(3

Month

BSBY

+

0.43%),

5/28/2024

(c)

300,000

295,398

Bank

of

Montreal,

1.76%

(3

Month

SOFR

+

0.35%),

12/08/2023

(c)

350,000

346,622

Bank

of

Nova

Scotia

(The),

1.24%

(3

Month

SOFR

+

0.46%),

1/10/2025

(c)

300,000

295,001

Canadian

Imperial

Bank

of

Commerce,

1.85%

(3

Month

SOFR

+

0.40%),

12/14/2023

(c)

300,000

298,062

Citigroup,

Inc.,

1.79%

(3

Month

SOFR

+

0.67%),

5/01/2025

(c)

300,000

294,352

Credit

Agricole

SA,

3.75%,

4/24/2023

(a)

300,000

299,859

Goldman

Sachs

Group,

Inc.

(The)

3.63%,

1/22/2023

750,000

752,565

1.67%

(3

Month

SOFR

+

0.70%),

1/24/2025

(c)

200,000

195,519

JPMorgan

Chase

&

Co.,

2.06%

(3

Month

SOFR

+

0.58%),

3/16/2024

(c)

300,000

296,494

Morgan

Stanley,

1.65%

(3

Month

SOFR

+

0.63%),

1/24/2025

(c)

300,000

292,544

Nordea

Bank

Abp

,

0.63%,

5/24/2024

(a)

300,000

282,480

PNC

Financial

Services

Group,

Inc.

(The),

3.50%,

1/23/2024

300,000

300,282

Royal

Bank

of

Canada,

Series

G,

1.39%

(3

Month

SOFR

+

0.44%),

1/21/2025

(c)

300,000

294,240

Sumitomo

Mitsui

Financial

Group,

Inc.,

0.51%,

1/12/2024

300,000

285,848

Sumitomo

Mitsui

Trust

Bank

Ltd.,

1.89%

(3

Month

SOFR

+

0.44%),

9/16/2024

(a)(c)

300,000

294,843

Svenska

Handelsbanken

AB,

3.90%,

11/20/2023

300,000

301,468

Toronto-Dominion

Bank

(The),

1.78%

(3

Month

SOFR

+

0.35%),

9/10/2024

(c)

300,000

294,925

Truist

Bank,

3.20%,

4/01/2024

300,000

298,858

UBS

AG,

0.45%,

2/09/2024

(a)

300,000

284,587

Wells

Fargo

&

Co.,

3.00%,

2/19/2025

300,000

293,535

Westpac

Banking

Corp.,

1.55%

(3

Month

SOFR

+

0.30%),

11/18/2024

(c)

300,000

295,923

7,583,681

STATEMENT

OF

INVESTMENTS

(continued)

10

BNY

Mellon

Ultra

Short

Income

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

46.2%

(continued)

Beverages

–

2.0%

Diageo

Capital

PLC,

3.50%,

9/18/2023

250,000

250,961

PepsiCo,

Inc.,

0.40%,

10/07/2023

300,000

291,167

542,128

Diversified

Financial

Services

–

2.4%

American

Express

Co.,

3.40%,

2/22/2024

300,000

299,309

Charles

Schwab

Corp.

(The),

2.00%

(3

Month

SOFRIX

+

0.50%),

3/18/2024

(c)

350,000

347,143

646,452

Food

–

1.1%

Mondelez

International,

Inc.,

2.13%,

3/17/2024

300,000

292,607

292,607

Machinery-Construction

&

Mining

–

1.1%

Caterpillar

Financial

Services

Corp.,

0.95%

(3

Month

SOFR

+

0.17%),

1/10/2024

(c)

300,000

297,006

297,006

Machinery-Diversified

–

1.1%

John

Deere

Capital

Corp.,

0.45%,

1/17/2024

300,000

287,851

287,851

Pharmaceuticals

–

2.2%

AstraZeneca

Finance

LLC,

0.70%,

5/28/2024

300,000

284,565

GlaxoSmithKline

Capital

PLC,

3.00%,

6/01/2024

300,000

297,873

582,438

Pipelines

–

1.3%

Enbridge,

Inc.,

1.63%

(3

Month

SOFR

+

0.40%),

2/17/2023

(c)

350,000

348,182

348,182

Software

–

1.0%

Salesforce.com,

Inc.,

0.63%,

7/15/2024

300,000

284,102

284,102

Telecommunications

–

2.6%

AT&T,

Inc.,

2.14%

(3

Month

SOFRIX

+

0.64%),

3/25/2024

(c)

350,000

346,840

Verizon

Communications,

Inc.,

2.00%

(3

Month

SOFRIX

+

0.50%),

3/22/2024

(c)

350,000

345,779

692,619

Total

Corporate

Bonds

(cost

$12,748,912)

12,445,810

Negotiable

Bank

Certificates

of

Deposit

–

1.9%

Nordea

Bank

Abp

,

0.19%,

9/19/2022

500,000

497,931

Total

Negotiable

Bank

Certificates

of

Deposit

(cost

$500,000)

497,931

11

(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,

2022,

these

securities

were

valued

at

$14,350,540

or

53.29%

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.

Holdings

and

transactions

in

these

affiliated

companies

during

the

period

ended

June

30,

2022

are

as

follows:

(e)

The

rate

shown

is

the

1-day

yield

as

of

June

30,

2022.

BNY

Mellon

Ultra

Short

Income

ETF

(continued)

Description

Shares

Value

($)

Investment

Companies

–

0.4%

Registered

Investment

Companies

–

0.4%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

1.43%

(d)(e)

(cost

$119,646)

119,646

119,646

Total

Investments

(cost

$27,321,733)

99.8%

26,877,498

Cash

and

Receivables

(Net)

0.2%

53,333

Net

Assets

100.0%

26,930,831

BSBY—Bloomberg

Short-Term

Bank

Yield

Index

FED—Fed

Funds

Rate

SOFR—Secured

Overnight

Financing

Rate

SOFRIX—Secured

Overnight

Financing

Rate

Index

Description

Value

8/11/21

1

Purchases

($)

2

Sales

($)

Value

6/30/22

Dividends/

Distributions

($)

Investment

Companies

–

0.4%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

—

23,707,403

(23,587,757)

119,646

351

Total

–

0.4%

—

23,707,403

(23,587,757)

119,646

351

1

Commencement

of

operations.

2

Includes

reinvested

dividends/distributions.

STATEMENT

OF

INVESTMENTS

(continued)

12

See

Notes

to

Financial

Statements

Portfolio

Summary

(Unaudited)

†

Value

(%)

Financial

83.7

Consumer,

Non-cyclical

5.3

Consumer,

Cyclical

3.3

Communications

2.6

Industrial

2.2

Energy

1.3

Technology

1.0

Registered

Investment

Companies

0.4

99.8

†

Based

on

net

assets.

STATEMENT

OF

ASSETS

AND

LIABILITIES

June

30,

2022

13

See

Notes

to

Financial

Statements

Cost

Value

Assets

($):

Investments

in

securities—See

Statement

of

Investments:

–

Unaffiliated

issuers

27,202,087

26,757,852‌

Affiliated

issuers

119,646

119,646‌

Interest

receivable

55,794‌

Dividends

receivable

197‌

26,933,489‌

Liabilities

($):

Due

to

BNY

Mellon

ETF

Investment

Adviser,

LLC—

Note

3(b)

2,658‌

2,658‌

Net

Assets

($)

26,930,831‌

Composition

of

Net

Assets

($):

Paid-in

capital

27,510,666‌

Total

distributable

earnings

(loss)

(579,835‌)

Net

Assets

($)

26,930,831‌

Shares

outstanding

no

par

value

(unlimited

shares

authorized):

550,001‌

Net

asset

value

per

share

48.97‌

Market

price

per

share

48.96‌

STATEMENT

OF

OPERATIONS

For

the

Period

from

August

11,

2021

(commencement

of

operations)

to

June

30,

2022

14

See

Notes

to

Financial

Statements

Investment

Income

($):

Income:

Cash

dividends:

Affiliated

issuers

351‌

Interest

123,616‌

Total

Income

123,967‌

Expenses:

Management

fee

—Note

3(a)

29,291‌

Total

Expenses

29,291‌

Net

Investment

Income

94,676‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments—Note

4

($):

Net

realized

gain

(loss)

on

investments

(82,212‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

(444,235‌)

Net

Realized

and

Unrealized

Gain

(Loss)

on

Investments

(526,447‌)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

(431,771‌)

STATEMENT

OF

CHANGES

IN

NET

ASSETS

15

See

Notes

to

Financial

Statements

For

the

Period

from

August

11,

2021

(a)

to

June

30,

2022

Operations

($):

Net

investment

income

94,676‌

Net

realized

gain

(loss)

on

investments

(82,212‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

(444,235‌)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

(431,771‌)

Distributions

($):

Distributions

to

shareholders

(148,064‌)

Beneficial

Interest

Transactions

($):

Proceeds

from

shares

sold

29,996,289‌

Cost

of

shares

redeemed

(2,488,871‌)

Transaction

fees—Note

5

3,248‌

Increase

(Decrease)

in

Net

Assets

from

Beneficial

Interest

Transactions

27,510,666‌

Total

Increase

(Decrease)

in

Net

Assets

26,930,831‌

Net

Assets

($):

Beginning

of

Period

—‌

End

of

Period

26,930,831‌

Changes

in

Shares

Outstanding:

Shares

sold

600,001‌

Shares

redeemed

(50,000‌)

Net

Increase

(Decrease)

in

Shares

Outstanding

550,001‌

(a)

Commencement

of

operations.

FINANCIAL

HIGHLIGHTS

16

The

following

table

describes

the

performance

for

the

fiscal

period

indicated

and

these

figures

have

been

derived

from

the

fund’s

financial

statements.

See

Notes

to

Financial

Statements

For

the

Period

from

August

11,

2021

(a)

to

June

30,

2022

Per

Share

Data

($):

Net

asset

value,

beginning

of

period

50.00‌

Investment

Operations:

Net

investment

income

(b)

0.17‌

Net

realized

and

unrealized

gain

(loss)

on

investments

(0.94‌)

Total

from

Investment

Operations

(0.77‌)

Distributions:

Dividends

from

net

investment

income

(0.27‌)

Transaction

fees

(b)

0.01‌

Net

asset

value,

end

of

period

48.97‌

Market

price,

end

of

period

(c)

48.96‌

Net

Asset

Value

Total

Return

(%)

(d)

(1.54‌)

(e)

Market

Price

Total

Return

(%)

(d)

(1.55‌)

(e)

Ratios/Supplemental

Data

(%):

Ratio

of

total

expenses

to

average

net

assets

0.12‌

(f)

Ratio

of

net

investment

income

to

average

net

assets

0.39‌

(f)

Portfolio

Turnover

Rate

(g)

43.10‌

Net

Assets,

end

of

period

($

x

1,000)

26,931‌

(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

17

NOTE

1—Organization:

BNY

Mellon

Ultra

Short

Income

ETF (the “fund”) is a

separate

diversified series

of

BNY

Mellon

ETF

Trust

(the

“Trust”),

which is

registered as

a

Massachusetts

business

trust

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“Act”),

as

an

open-

ended

management

investment

company.

The

Trust

operates

as

a

series

company

currently

consisting

of

fourteen

series,

including

the

fund.

The

fund

had

no

operations

until August

11,

2021

(commencement

of

operations),

other

than

matters

relating

to

its

organization

and

registration

under

the

Act.

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”),

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.

Effective

May

2,

2022,

“Dreyfus

Cash

Investment

Strategies”

was

renamed

“Dreyfus”.

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

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

18

of

federal

laws

are

also

sources

of

authoritative

GAAP

for

SEC

registrants. The

fund

is an

investment

company

and

applies

the

accounting

and

reporting

guidance

of

the

FASB

ASC

Topic

946

Financial

Services-Investment

Companies. The

fund’s

financial

statements

are

prepared

in

accordance

with

GAAP,

which

may

require

the

use

of

management

estimates

and

assumptions.

Actual

results

could

differ

from

those

estimates.  

The

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:

19

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.

Investments

in

debt

securities

excluding

short-term

investments

(other

than

U.S.

Treasury

Bills),

are

valued

each

business

day

by

one

or

more

independent

pricing

services

(each,

a

“Service”)

approved

by the

Trust’s Board

of

Trustees

(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.

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.

Each

Service

and

independent

valuation

firm

is

engaged

under

the

general

oversight

of

the

Board.

When

market

quotations

or

official

closing

prices

are

not

readily

available,

or

are

determined

not

to

reflect

accurately

fair

value,

such

as

when

the

value

of

a

security

has

been

significantly

affected

by

events

after

the

close

of

the

exchange

or

market

on

which

the

security

is

principally

traded,

but

before

the

fund

calculates

its

net

asset

value,

the

fund

may

value

these

investments

at

fair

value

as

determined

in

accordance

with

the

procedures

approved

by

the

Board.

Certain

factors

may

be

considered

when

fair

valuing

investments

such

as:

fundamental

analytical

data,

the

nature

and

duration

of

restrictions

on

disposition,

an

evaluation

of

the

forces

that

influence

the

market

in

which

the

securities

are

purchased

and

sold,

and

public

trading

in

similar

securities

of

the

issuer

or

comparable

issuers.

These

securities

are

either

categorized

within

Level

2

or

3

of

the

fair

value

hierarchy

depending

on

the

relevant

inputs

used.

For

securities

where

observable

inputs

are

limited,

assumptions

about

market

activity

and

risk

are

used

and

are

generally

categorized

within

Level

3

of

the

fair

value

hierarchy.

The

table

below

summarizes

the

inputs

used

as

of June

30,

2022

in

valuing

the

fund’s

investments:

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

20

Fair

Value

Measurements

(b) Securities

transactions

and

investment

income:

Securities

transactions

are

recorded

on

a

trade

date

basis.

Realized

gains

and

losses

from

securities

transactions

are

recorded

on

the

identified

cost

basis.

Dividend

income

is

recognized

on

the

ex-

dividend

date

and

interest

income,

including,

where

applicable,

accretion

of

discount

and

amortization

of

premium

on

investments,

is

recognized

on

the

accrual

basis.

(c)

Affiliated

issuers:

Investments

in

other

investment

companies

advised

by

the

Adviser

are

defined

as

“affiliated”

under

the

Act. 

(d)

Risk:

Certain

events

particular

to

the

industries

in

which

the

fund’s

investments

conduct

their

operations,

as

well

as

general

economic,

political

and

public

health

conditions,

may

have

a

significant

negative

impact

on

the

investee’s

operations

and

profitability.

In

addition,

turbulence

in

financial

markets

and

reduced

liquidity

in

equity,

credit

and/or

fixed

income

markets

may

negatively

affect

many

issuers,

which

could

adversely

affect

the

fund.

Global

economies

and

financial

markets

are

becoming

increasingly

interconnected,

and

conditions

and

events

in

one

country,

region

or

financial

market

may

adversely

impact

issuers

in

a

different

country,

region

or

financial

market.

These

risks

may

be

magnified

if

certain

events

or

developments

adversely

interrupt

the

global

supply

chain;

in

these

and

other

circumstances,

such

risks

might

affect

companies

world-wide.

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.

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.

The

COVID-19

pandemic

has

had,

and

any

other

outbreak

of

an

infectious

disease

or

other

serious

public

health

concern

could

have,

a

significant

negative

impact

on

economic

and

market

conditions

and

Level

1

-

Unadjusted

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

-

Significant

Unobservable

Inputs

Total

Assets

($)

Investments

In

Securities:

†

Asset-Backed

Securities

—

2,766,677

—

2,766,677

Commercial

Paper

—

11,047,434

—

11,047,434

Corporate

Bonds

—

12,445,810

—

12,445,810

Negotiable

Bank

Certificates

of

Deposit

—

497,931

—

497,931

Investment

Companies

119,646

—

—

119,646

†

See

Statement

of

Investments

for

additional

detailed

categorizations,

if

any.

21

could

trigger

a

prolonged

period

of

global

economic

slowdown.

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.

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.

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.

(e)

Dividends

and

distributions

to

shareholders:

Dividends

and

distributions

are

recorded

on

the

ex-dividend

date.

Dividends

from

net

investment

income

are

normally

declared

and

paid

on

a

monthly

basis.

Dividends

from

net

realized

capital

gains,

if

any,

are

normally

declared

and

paid

annually,

but

the

fund

may

make

distributions

on

a

more

frequent

basis

to

comply

with

the

distribution

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

To

the

extent

that

net

realized

capital

gains

can

be

offset

by

capital

loss

carryovers

of

a

fund,

it

is

the

policy

of

the

fund

not

to

distribute

such

gains.

Income

and

capital

gain

distributions

are

determined

in

accordance

with

income

tax

regulations,

which

may

differ

from

GAAP.

(f)

Federal

income

taxes:

It

is

the

policy

of

the

fund

to

continue to

qualify

as

a

regulated

investment

company,

if

such

qualification

is

in

the

best

interests

of

its

shareholders,

by

complying

with

the

applicable

provisions

of

the

Code,

and

to

make

distributions

of

taxable

income

and

net

realized

capital

gain sufficient

to

relieve

it

from

substantially

all

federal

income

and

excise

taxes.

As

of

and

during

the period

ended June

30,

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 June

30,

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.

At June

30,

2022,

the

components

of

accumulated

earnings

on

a

tax

basis

were

as

follows:

undistributed

ordinary

income

$27,475,

accumulated

capital

losses

$101,488,

and

unrealized depreciation

$505,822.

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.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

22

The

accumulated

capital

loss

carryover

is

available

for

federal

income

tax

purposes

to

be

applied

against

future

net

realized

capital

gains,

if

any,

realized

subsequent

to

June

30,

2022.

The

fund

has

$101,488

of

short-term

capital

losses

which

can

be

carried

forward

for

an

unlimited

period.

The

tax

character

of

distributions

paid

to

shareholders

during

the

fiscal

year

ended

June

30,

2022 were

as

follows:

ordinary

income

$148,064.

(g)

New

Accounting

Pronouncement:

In

March

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

(“ASU

2020-04”),

and

in

January

2021,

the

FASB

issued

Accounting

Standards

Update

2021-01,

Reference

Rate

Reform

(Topic

848):

Scope

(“ASU

2021-01”),

which

provides

optional,

temporary

relief

with

respect

to

the

financial

reporting

of

contracts

subject

to

certain

types

of

modifications

due

to

the

planned

discontinuation

of

the

London

Interbank

Offered

Rate

(“LIBOR”)

and

other

Interbank

Offered

Rate

(“IBOR”)-based

reference

rates

as

of

the

end

of

2021.

The

temporary

relief

provided

by

ASU

2020-04

and

ASU

2021-01 is

effective

for

certain

reference

rate-related

contract

modifications

that

occur

during

the

period

from

March

12,

2020

through

December

31,

2022.

Management

is

evaluating

the

impact

of

ASU

2020-04

and

ASU

2021-01 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.

NOTE

3—Management

Fee,

Sub-Advisory

Fee

and

Other

Transactions

with

Affiliates:

(a)

Pursuant

to

a

management

agreement

with

the

Adviser,

the

management

fee

is computed

at

an

annual

rate of

0.12%

of

the

value

of

the

fund’s

average

daily

net

assets

and

is

payable

monthly.

The

fund’s

management

agreement

provides

that

the

Adviser

pays

substantially

all

expenses

of

the

fund,

except

for

the

management

fees,

payments

under

the

fund’s

12b-1

plan

(if

any),

interest

expenses,

taxes,

acquired

fund

fees

and

expenses,

brokerage

commissions,

costs

of

holding

shareholder

meetings,

fees

and

expenses

associated

with

the

fund’s

securities

lending

program,

and

litigation

and

potential

litigation

and

other

extraordinary

expenses

not

incurred

in

the

ordinary

course

of

the

fund’s

business.

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

June

30,

2022,

there

were

no

reduction

in

expenses

pursuant

to

the

undertaking.

Pursuant

to

a

sub-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

23

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-advisory

agreements

with

one

or

more

sub-advisers

who

are

either

unaffiliated

or

affiliated

with

the

Adviser

without

obtaining

shareholder

approval.

The

Order

also

relieves

the

fund

from

disclosing

the

sub-advisory

fee

paid

by

the

Adviser

to

a

Sub-

Adviser

in

documents

filed

with

the

SEC

and

provided

to

shareholders.

In

addition,

pursuant

to

the

Order,

it

is

not

necessary

to

disclose

the

sub-advisory

fee

payable

by

the

Adviser

separately

to

a

Sub-Adviser

that

is

a

wholly-owned

subsidiary

(as

defined

in

the

1940

Act)

of

BNY

Mellon

in

documents

filed

with

the

SEC

and

provided

to

shareholders;

such

fees

are

to

be

aggregated

with

fees

payable

to

the

Adviser.

The

Adviser

has

ultimate

responsibility

(subject

to

oversight

by

the

Board)

to

supervise

any

Sub-Adviser

and

recommend

the

hiring,

termination,

and

replacement

of

any

Sub-

Adviser

to

the

Board.

Pursuant

to

a

sub-advisory

agreement

between

the

Adviser

and

the

Sub-Adviser,

the

Adviser

pays

the

Sub-Adviser

a

monthly

fee

at

an

annual

rate

of

0.06%

of

the

value

of

the

fund’s

average

daily

net

assets.

The

Adviser,

and

not

the

fund,

pays

the

Sub-

Adviser

fee

rate.

(b)

The

fund

has

an

arrangement

with

The

Bank

of

New

York

Mellon

(the

“Custodian”),

a

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser, whereby

the

fund

will

receive

interest

income

or

be

charged

overdraft

fees

when

cash

balances

are

maintained.

For

financial

reporting

purposes,

the

fund

includes

this

interest

income

and

overdraft

fees,

if

any,

as

interest

income

in

the

Statement

of

Operations.

The

components

of

“Due

to

BNY

Mellon

ETF Investment

Adviser,

LLC”

in

the

Statement

of

Assets

and

Liabilities

consist

of:

management

fee

of $2,658.

(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

June

30,

2022, amounted

to $21,750,930

and

$5,961,073,

respectively.

At June

30,

2022,

the

cost

of

investments

for

federal

income

tax

purposes

was

$27,383,320;

accordingly, accumulated

net

unrealized

depreciation on

investments

for

federal

income

tax

purposes was

$505,822,

consisting

of

only

gross

depreciation. 

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

24

NOTE

5—Shareholder

Transactions:

The

fund

issues

and

redeems

its

shares

on

a

continuous

basis,

at

NAV,

to

certain

institutional

investors

known

as

“Authorized

Participants”

(typically

market

makers

or

other

broker-dealers)

only

in

a

large

specified

number

of

shares

called

a

Creation

Unit.

Except

when

aggregated

in

Creation

Units,

shares

of

the

fund

are

not

redeemable.

The

value

of

the

fund

is

determined

once

each

business

day.

The

Creation

Unit

size

for the

fund

may

change.

Authorized

Participants

will

be

notified

of

such

change.

Creation

Unit

transactions

may

be

made

in-kind,

for

cash,

or

for

a

combination

of

securities

and

cash.

The

principal

consideration

for

creations

and

redemptions

for

the

fund

is

in-kind,

although

this

may

be

revised

at

any

time

without

notice.

The

Trust

issues

and

sells

shares

of

the

fund

only:

in

Creation

Units

on

a

continuous

basis

through

the

Distributor,

without

a

sales

load,

at

their

NAV

per

share

determined

after

receipt

of

an

order,

on

any

Business

Day,

in

proper

form

pursuant

to

the

terms

of

the

Authorized

Participant

Agreement.

Transactions

in

capital

shares

for

the

fund

are

disclosed

in

detail

in

the

Statement

of

Changes

in

Net

Assets.

The

consideration

for

the

purchase

of

Creation

Units

of the

fund

may

consist

of

the

in-kind

deposit

of

a

designated

portfolio

of

securities

and

a

specified

amount

of

cash.

Investors

purchasing

and

redeeming

Creation

Units

may

pay

a

purchase

transaction

fee

and

a

redemption

transaction

fee

directly

to

the

Trust

and/or

custodian

to

offset

transfer

and

other

transaction

costs

associated

with

the

issuance

and

redemption

of

Creation

Units,

including

Creation

Units

for

cash.

The

Adviser

or

its

affiliates

(the

“Selling

Shareholder”)

may

purchase

Creation

Units

through

a

broker-dealer

to

“seed”

(in

whole

or

in

part)

funds

as

they

are

launched

or

may

purchase shares

from

broker-dealers

or

other

investors

that

have

previously

provided

“seed”

for

funds

when

they

were

launched

or

otherwise

in

secondary

market

transactions.

Because

the

Selling

Shareholder

may

be

deemed

an

affiliate

of

such

funds,

the

fund shares

are

being

registered

to

permit

the

resale

of

these

shares

from

time

to

time

after

purchase.

The

fund

will

not

receive

any

of

the

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

year

ended

June

30,

2022,

the

fund

had

no

in-kind

transactions.

REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

25

To

the

Shareholders

and

the

Board

of

Trustees

of

BNY

Mellon

Ultra

Short

Income

ETF.

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

statement

of

assets

and

liabilities

of

BNY

Mellon

Ultra

Short

Income

ETF

(the

“Fund”)

(one

of

the

funds

constituting

BNY

Mellon

ETF

Trust

(the

“Trust”)),

including

the

statement

of

investments,

as

of

June

30,

2022,

and

the

related

statements

of

operations,

changes

in

net

assets,

and

the

financial

highlights

for

the

period

from

August

11,

2021

(commencement

of

operations)

through

June

30,

2022

and

the

related

notes

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

(one

of

the

funds

constituting

BNY

Mellon

ETF

Trust)

at

June

30,

2022,

the

results

of

its

operations,

the

changes

in

its

net

assets

and

its

financial

highlights

for

the

period

from

August

11,

2021

(commencement

of

operations)

through

June

30,

2022,

in

conformity

with

U.S.

generally

accepted

accounting

principles.

Basis

for

Opinion

These

financial

statements

are

the

responsibility

of

the

Trust’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

based

on

our

audit.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(“PCAOB”)

and

are

required

to

be

independent

with

respect

to

the

Trust

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audit

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

The

Trust

is

not

required

to

have,

nor

were

we

engaged

to

perform,

an

audit

of

the

Trust’s

internal

control

over

financial

reporting.

As

part

of

our

audit,

we

are

required

to

obtain

an

understanding

of

internal

control

over

financial

reporting

but

not

for

the

purpose

of

expressing

an

opinion

on

the

effectiveness

of

the

Trust’s

internal

control

over

financial

reporting.

Accordingly,

we

express

no

such

opinion.

Our

audit

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

June

30,

2022,

by

correspondence

with

the

custodian

and

others

or

by

other

appropriate

auditing

procedures

where

replies

were

not

received.

Our

audit

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

We

believe

that

our

audit

provides

a

reasonable

basis

for

our

opinion.

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

the

BNY

Mellon

Family

of

Funds

since

at

least

1957,

but

we

are

unable

to

determine

the

specific

year.

New

York,

New

York

August

23,

2022

IMPORTANT

TAX

INFORMATION

(Unaudited)

26

Form

1099-DIV,

Form

1042-S

and

other

year–end

tax

information

provide

shareholders

with

actual

calendar

year

amounts

that

should

be

included

in

their

tax

returns.

Shareholders

should

consult

their

tax

advisers.

The

following

distribution

information

is

being

provided

as

required

by

the

Internal

Revenue

Code

or

to

meet

a

specific

state’s

requirement.

The

fund

designates

the

following

amounts

or,

if

subsequently

determined

to

be

different,

the

maximum

amount

allowable

for

its

fiscal

year

ended June

30,

2022:

For

federal

tax

purposes

the

fund

hereby

reports

71.34%

of

ordinary

income

dividends

paid

during

the

fiscal

year

ended

June

30,

2022 as

qualifying

interest

related

dividends.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(Unaudited)

27

Effective

April

9,

2020,

the

funds

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

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

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

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

2021

meeting,

the

Board

received

a

written

report

prepared

by

the

Program

Administrator,

for

the

period

April

9,

2020

to

September

30,

2021,

addressing

the

operation

of

the

Program,

assessing

the

Program’s

adequacy

and

effectiveness

and

describing

any

material

changes

made

to

the

Program.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(Unaudited)

(continued)

28

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

April

9,

2020

to

September

30,

2021,

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.

BOARD

MEMBERS

INFORMATION

(Unaudited)

INDEPENDENT

BOARD

MEMBERS

29

J.

Charles

Cardona

(66)

Chairman

of

the

Board

(2020)

Principal

Occupation

During

Past

5

Years:

BNY

Mellon

ETF

Trust,

Chairman

and

Trustee

(2020-Present)

BNY

Mellon

Liquidity

Funds,

Director

(2004-Present)

and

Chairman

(2019-2021)

No.

of

Portfolios

for

which

Board

Member

Serves:

36,

including

22

managed

by

an

affiliate

of

the

Adviser

Kristen

M.

Dickey

(62)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Independent

board

director

of

Marstone,

Inc.,

a

financial

technology

company

(since

2018);

Lead

non-executive

director

for

Aperture

Investors,

LLC,

an

investment

management

firm

(since

2018);

Managing

Director—Global

Head

of

Index

Strategy

at

BlackRock,

Inc.

(until

2017).

No.

of

Portfolios

for

which

Board

Member

Serves:

14

F.

Jack

Liebau,

Jr.

(58)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Managing

Director

at

Beach

Investment

Counsel,

a

financial

advisory

firm

(since

2020)

Corporate

director

(since

2015)

Other

Public

Company

Board

Memberships

During

Past

5

Years:

Myers

Industries,

an

industrial

company,

Director

(2015

–

Present;

Chairman

of

Board

2016

–

Present)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

Jill

I.

Mavro

(50)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Managing

director

at

CapWGlobal,

LLC,

a

financial

technology

consulting

company

(since

2020)

Founder

and

Principal

of

Spoondrift

Advisory,

LLC

(since

2018);

Senior

Managing

Director,

Head

of

Strategic

Relationships

and

Member

of

SPDR

Executive

Committee

at

State

Street

Global

Advisors

(until

2018)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

30

BOARD

MEMBERS

INFORMATION

(Unaudited)

(continued)

INDEPENDENT

BOARD

MEMBERS

Kevin

W.

Quinn

(63)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Partner

at

PricewaterhouseCoopers,

LLC

(until

2019)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

Stacy

L.

Schaus

(62)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Chief

Executive

Officer

of

the

Schaus

Group

LLC,

a

consulting

firm

(since

2019);

Advisory

board

member

of

A&P

Capital,

a

consulting

firm

(from

2019-2021);

Executive

Vice

President—Defined

Contribution

Practice

Founder

at

PIMCO

Investment

Management

(until

2018).

No.

of

Portfolios

for

which

Board

Member

Serves:

14

OFFICERS

OF

THE

TRUST

(Unaudited)

31

DAVID

DIPETRILLO,

President

since

February

2020.

Vice

President

and

Director

of

BNYM

Investment

Adviser

since

February

2021;

Head

of

North

America

Product,

BNY

Mellon

Investment

Management

since

January

2018;

and

Director

of

Product

Strategy,

BNY

Mellon

Investment

Management

from

January

2016

to

December

2017.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

44

years

old

and

has

been

an

employee

of

BNY

Mellon

since

2005.

PETER

M.

SULLIVAN,

Chief

Legal

Officer

since

July

2021,

Vice

President

and

Assistant

Secretary

since

February

2020.

Chief

Legal

Officer

of

BNYM

Investment

Advisor

and

Associate

General

Counsel

of

BNY

Mellon

since

July

2021;

Senior

Managing

Counsel

of

BNY

Mellon

from

December

2020

to

July

2021;

and

Managing

Counsel

of

BNY

Mellon

from

March

2009

to

December

2020.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

54

years

old

and

has

been

an

employee

of

BNY

Mellon

since

April

2004.

JAMES

WINDELS,

Treasurer

since

February

2020.

Vice

President

of

BNYM

Investment

Adviser

since

September

2020;

and

Director-BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

63

years

old

and

has

been

an

employee

of

the

Adviser

since

April

1985.

SARAH

S.

KELLEHER,

Vice

President

and

Secretary

since

February

2020.

Vice

President

of

BNY

Mellon

ETF

Investment

Adviser,

LLC

since

February

2020;

Senior

Managing

Counsel

of

BNY

Mellon

since

September

2021;

Managing

Counsel

of

BNY

Mellon

from

December

2017

to

September

2021;

and

Senior

Counsel

of

BNY

Mellon

from

March

2013

to

December

2017.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

46

years

old

and

has

been

an

employee

of

the

Adviser

since

March

2013.

JAMES

BITETTO,

Vice

President

and

Assistant

Secretary

since

February

2020.

Senior

Managing

Counsel

of

BNY

Mellon

since

December

2019;

Managing

Counsel

of

BNY

Mellon

from

April

2014

to

December

2019;

and

Secretary

of

BNYM

Investment

Adviser.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

December

1996.

DEIRDRE

CUNNANE,

Vice

President

and

Assistant

Secretary

since

February

2020.

Managing

Counsel

of

BNY

Mellon

since

December

2021;

Counsel

of

BNY

Mellon

from

August

2018

to

December

2021;

and

Senior

Regulatory

Specialist

at

BNY

Mellon

Investment

Management

Services

from

February

2016

to

August

2018.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

32

years

old

and

has

been

an

employee

of

the

Adviser

since

August

2018.

JEFF

PRUSNOFSKY,

Vice

President

and

Assistant

Secretary

since

February

2020.

Senior

Managing

Counsel

of

BNY

Mellon.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

57

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

October

1990.

AMANDA

QUINN,

Vice

President

and

Assistant

Secretary

since

February

2020.

Counsel

of

BNY

Mellon

since

June

2019;

Regulatory

Administration

Manager

at

BNY

Mellon

Investment

Management

Services

from

September

2018

to

May

2019;

and

Senior

Regulatory

Specialist

at

BNY

Mellon

Investment

Management

Services

from

April

2015

to

August

2018.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

37

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

June

2019.

OFFICERS

OF

THE

TRUST

(Unaudited)

(continued)

32

DANIEL

GOLDSTEIN,

Vice

President

since

March

2022

Head

of

Product

Development

of

North

America

Product,

BNY

Mellon

Investment

Management

since

January

2018;

Co-Head

of

Product

Management,

Development

&

Oversight

of

North

America

Product,

BNYM

Investment

Management

from

January

2010

to

January

2018;

and

Senior

Vice

President,

Development

&

Oversight

of

North

America

Product,

BNY

Mellon

Investment

Management

since

2010.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

53

years

old

and

has

been

an

employee

of

BNY

Mellon

Securities

Corporation

since

1991.

JOSEPH

MARTELLA,

Vice

President

since

March

2022

Head

of

Product

Management

of

North

America

Product,

BNYM

Investment

Management

since

January

2018;

Director

of

Product

Research

and

Analytics

of

North

America

Product,

BNYM

Investment

Management

from

January

2010

to

January

2018;

and

Senior

Vice

President

of

North

America

Product,

BNYM

Investment

Management

since

2010.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

45

years

old

and

has

been

an

employee

of

BNY

Mellon

Securities

Corporation

since

1999.

GAVIN

C.

REILLY,

Assistant

Treasurer

since

February

2020.

Tax

Manager-BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

53

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

April

1991.

ROBERT

SALVIOLO,

Assistant

Treasurer

since

February

2020.

Senior

Accounting

Manager

–

BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

June

1989.

ROBERT

SVAGNA,

Assistant

Treasurer

since

February

2020.

Senior

Accounting

Manager

–

BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

November

1990.

NATALYA

ZELENSKY,

Vice

President

and

Assistant

Secretary

since

February

2020

and

Chief

Compliance

Officer

since

August

2021.

Chief

Compliance

Officer

since

August

2021

and

Vice

President

since

February

2020

of

BNY

Mellon

ETF

Investment

Adviser,

LLC;

Chief

Compliance

Officer

since

August

2021

and

Vice

President

and

Assistant

Secretary

since

February

2020

of

BNY

Mellon

ETF

Trust;

Managing

Counsel

of

BNY

Mellon

from

December

2019

to

August

2021;

Counsel

of

BNY

Mellon

from

May

2016

to

December

2019;

and

Assistant

Secretary

of

BNYM

Investment

Adviser

from

April

2018

to

August

2021.

She

is

an

officer

of

56

investment

companies

(comprised

of

130

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

37

years

old

and

has

been

an

employee

of

BNY

Mellon

since

May

2016.

CARIDAD

M.

CAROSELLA,

Anti-Money

Laundering

Compliance

Officer

since

February

2020.

Anti-Money

Laundering

Compliance

Officer

of

the

BNY

Mellon

Family

of

Funds

and

BNY

Mellon

Funds

Trust.

She

is

an

officer

of

49

investment

companies

(comprised

of

123

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

53

years

old

and

has

been

an

employee

of

the

Distributor

since

1997.

For

More

Information

2022

BNY

Mellon

Securities

Corporation

4862AR0622

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

info@bnymellon.com

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

Dreyfus,

a

division

of

Mellon

Investments

Corporation

BNY

Mellon

Center

One

Boston

Place

Boston,

MA

02108

BNY

Mellon

Securities

Corporation

240

Greenwich

Street

New

York,

NY

10286

Ticker

Symbol:

BNY

Mellon

Ultra

Short

Income

ETF

BKUI

BNY

Mellon

ETF

Trust

ANNUAL

REPORT

June

30,

2022

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

Contents

The

Fund

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time.

Save

paper.

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takes

a

few

minutes.

The

views

expressed

herein

are

current

to

the

date

of

this

report.

These

views

and

the

composition

of

the

fund’s

portfolio

is

subject

to

change

at

any

time

based

on

market

and

other

conditions.

Not

FDIC-Insured

•

Not

Bank-Guaranteed

•

May

Lose

Value

Discussion

of

Fund

Performance

3

Fund

Performance

6

Understanding

Your

Fund’s

Expenses

8

Statement

of

Investments

9

Statement

of

Assets

and

Liabilities

20

Statement

of

Operations

21

Statement

of

Changes

in

Net

Assets

22

Financial

Highlights

23

Notes

to

Financial

Statements

24

Report

of

Independent

Registered

Public

Accounting

Firm

37

Important

Tax

Information

38

Information

About

the

Approval

of

the

Fund’s

Management

and

Sub-Advisory

Agreements

39

Board

Members

Information

42

Officers

of

the

Trust

44

FOR

MORE

INFORMATION

Back

Cover

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

3

For

the

period

March

21,

2022

through

June

30,

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

period

from

March

21,

2022,

the

fund’s

inception,

through

June

30,

2022,

the

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(the

“fund”)

produced

a

net

asset

value

total

return

of

−6.94

%.

1

In

comparison,

the

ICE

BofA

U.S.

Corporate

Index

(the

“Index”)

achieved

a

total

return

of

−6.39%

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

sampling

risk,

the

choice

of

securities

selected

to

replicate

the

Index’s

performance.

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.

As

of

the

date

of

this

Report,

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.

Inflation

continued

to

rise

in

the

first

quarter

of

2022,

and

major

central

banks

continued

to

tighten

their

policies.

Government

bonds

weakened

significantly,

while

credit

markets

generally

declined

even

more

than

government

bonds,

as

spreads

widened.

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

(continued)

4

Data

released

in

March

2022

showed

that

headline

consumer-price

inflation

reached

its

highest

level

in

more

than

40

years.

That

led

the

Fed

to

respond

by

raising

interest

rates

for

the

first

time

since

2018.

The

Fed

subsequently

raised

the

federal

funds

rate

in

May

and

June

2022,

bringing

the

target

rate

to

1.50%-1.75%.

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.

While

Russian

authorities

may

have

expected

to

swiftly

achieve

their

objective,

their

military

advances

slowed,

leading

to

expectations

that

the

conflict

could

persist.

Lower

Credit

Quality

Leads

Market

Lower

The

fund

underperformed

the

Index

for

the

period.

A

modest

overweight

to

credit

beta

detracted

from

performance

as

exposure

to

high

yield

and

emerging

markets

underperformed

investment-grade

markets.

Within

investment

grade,

an

overweight

to

BBB-rated

securities

versus

higher

quality

underperformed.

As

for

sector

allocation

impacts,

an

underweight

to

the

electric

utilities

sector

(heavily

exposed

to

coal/high

carbon

intensity)

and

an

overweight

to

real

estate

investment

trusts

and

consumer

cyclicals

(especially

autos)

hindered

performance.

In

some

cases,

security

selections

detracted,

especially

our

positions

in

insurance

company

Alliance,

equipment

rental

company

Ashtead,

Bank

of

America,

and

Simpar

Europe,

a

logistics

company.

On

a

more

positive

note,

an

overweight

to

communications

and

technology,

and

underweight

to

capital

goods

contributed

positively.

Certain

security

selections

contributed

positively,

especially

Chinese

e-commerce

company

Alibaba,

AT&T,

Home

Depot

and

Aercap,

a

leasing

company.

Duration

for

most

of

the

period

was

close

to

benchmark,

to

slightly

short,

and

did

not

add

meaningfully

to

performance.

Anticipating

a

Possible

Yield

Curve

Inversion

We

expect

rates

at

the

short

end

of

the

yield

curve

to

continue

to

rise

as

the

Fed

reacts

to

inflation

reports.

Structural

support

from

pension

funds

and

insurance

companies,

which

focus

on

yield,

and

rising

expectations

of

an

earlier

recession

due

to

a

likely

Fed

policy

overshoot

are

keeping

longer

end

rates

in

position

and

may

lead

to

inversion.

A

still-growing

U.S.

economy,

front-loaded

first-quarter

issuance

and

the

global

search

for

yield,

as

well

as

attractive

all-in

yields,

are

supporting

valuations.

But

geopolitical

and

policy

risks

are

likely

to

keep

volatility

higher

as

the

potential

for

a

Fed-induced

“hard

landing”

poses

a

significant

headwind.

We

expect

spreads

on

investment-grade

corporate

bonds

to

trade

around

150,

but

they

may

go

as

tight

as

130

or

as

wide

as

180.

July

15,

2022

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

tracks

the

performance

of

U.S.

dollar

denominated

investment

grade

corporate

debt

publicly

issued

in

the

U.S.

domestic

market.

Qualifying

securities

must

have

an

investment

grade

rating

(based

on

an

average

of

Moody’s,

S&P

and

Fitch),

at

least

18

months

to

final

maturity

at

the

time

of

issuance,

at

least

one

year

remaining

term

to

final

maturity

as

of

the

rebalancing

date,

a

fixed

coupon

schedule

and

a

minimum

amount

outstanding

of

$250

million.

Index

returns

do

not

reflect

any

management

fees,

transaction

costs

or

expenses.

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.

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.

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.

FUND

PERFORMANCE

(Unaudited)

6

Comparison

of

change

in

value

of

a

$10,000

investment

in

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

with

a

hypothetical

investment

of

$10,000

in

the

ICE

BofA

U.S.

Corporate

Index

(the

“Index”)

†

Source:

FactSet

Past

performance

is

not

predictive

of

future

performance.

The

above

graph

compares

a

hypothetical

$10,000

investment

made

in

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

on

3/21/22

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

Index

is

a

float

adjusted

market

capitalization

weighted

index

that

is

designed

to

measure

the

performance

of

U.S.

large-capitalization

stocks.

The

Index’s

initial

universe

of

eligible

securities

includes

common

stocks,

tracking

stock

and

shares

of

real

estate

investment

trusts

(REITs)

issued

by

U.S.

companies

and

traded

on

the

New

York

Stock

Exchange,

NASDAQ,

or

NYSE

Market

LLC.

At

each

reconstitution,

the

initial

universe

is

screened

to

exclude

securities

based

on

the

number

of

non-trading

days

in

the

preceding

quarter

and

trading

volume

during

the

preceding

six-month

period.

Securities

with

more

than

10

non-trading

days

in

the

preceding

quarter,

or

that

have

a

bottom

25%

liquidity

score

as

ranked

by

the

index

provider

based

on

the

preceding

six-

month

trading

volume,

are

excluded.

The

remaining

securities

comprise

the

investable

universe.

The

Index

is

composed

of

the

6

securities

of

companies

whose

cumulative

total

market

capitalization

represents

approximately

the

top

70%

of

the

remaining

securities

comprising

the

investable

universe.

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

Average

Annual

Total

Returns

as

of

June

30,

2022

Inception

Date

From

Inception

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

Net

Asset

Value

Return

3/21/22

(6.94)%

Market

Price

Return

3/21/22

(6.44)%

ICE

BofA

U.S.

Corporate

Index

3/21/22

(6.39)%

7

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.

UNDERSTANDING

YOUR

FUND’S

EXPENSES

(Unaudited)

8

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

assuming

a

hypothetical

5%

annualized

return,

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,

2022

(a)

Expenses

are

calculated

using

the

annualized

expense

ratio,

which

represents

the

ongoing

expenses

as

a

percentage

of

net

assets

for

the

period

March

22,

2022

(commencement

of

operations)

to

June

30,

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

101/365.

Hypothetical

expenses

reflect

projected

activity

for

the

full

six

month

period

for

purposes

of

comparability

and

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

930.60

1,023.06

0.93

1.76

0.35

STATEMENT

OF

INVESTMENTS

June

30,

2022

9

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

Advertising

–

0.2%

Lamar

Media

Corp.,

3.63%,

1/15/2031

50,000

41,002

41,002

Auto

Manufacturers

–

2.3%

Daimler

Finance

North

America

LLC,

1.45%,

3/02/2026

(a)

150,000

136,025

General

Motors

Co.

6.80%,

10/01/2027

100,000

105,380

5.95%,

4/01/2049

140,000

130,290

Stellantis

Finance

US,

Inc.,

2.69%,

9/15/2031

(a)

200,000

158,567

530,262

Banks

–

22.1%

Bank

of

America

Corp.

3.82%,

1/20/2028

165,000

158,359

3.19%,

7/23/2030

200,000

179,468

2.57%,

10/20/2032

203,000

167,647

Series

X,

6.25%

(b)

225,000

219,262

Bank

of

Montreal,

0.95%,

1/22/2027

150,000

133,653

Bank

of

Nova

Scotia

(The),

0.65%,

7/31/2024

100,000

93,818

Citigroup,

Inc.

3.11%,

4/08/2026

125,000

120,150

3.98%,

3/20/2030

250,000

234,029

Citizens

Financial

Group,

5.64%,

5/21/2037

80,000

79,064

Cooperatieve

Rabobank

UA,

1.00%,

9/24/2026

(a)

250,000

223,034

Credit

Suisse

Group

AG

2.59%,

9/11/2025

(a)

250,000

235,473

3.87%,

1/12/2029

(a)

250,000

224,888

Goldman

Sachs

Group,

Inc.

(The)

1.09%,

12/09/2026

150,000

133,835

2.64%,

2/24/2028

150,000

136,247

4.41%,

4/23/2039

220,000

200,029

HSBC

Holdings

PLC

4.76%,

6/09/2028

202,000

196,556

2.80%,

5/24/2032

200,000

164,434

JPMorgan

Chase

&

Co.

0.77%,

8/09/2025

300,000

278,544

3.88%,

7/24/2038

170,000

150,134

3.11%,

4/22/2051

100,000

73,489

Morgan

Stanley

3.74%,

4/24/2024

150,000

149,542

3.88%,

1/27/2026

250,000

246,612

1.93%,

4/28/2032

250,000

198,501

NatWest

Group

PLC,

1.64%,

6/14/2027

200,000

175,697

PNC

Financial

Services,

4.63%,

6/06/2033

95,000

91,874

STATEMENT

OF

INVESTMENTS

(continued)

10

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Banks

–

22.1%

(continued)

Societe

Generale

,

6.22%,

6/15/2033

(a)

400,000

382,219

Sumitomo

Mitsui

Financial

Group,

Inc.,

2.35%,

1/15/2025

200,000

191,504

Toronto-Dominion

Bank

(The),

4.46%,

6/08/2032

57,000

56,416

UBS

Group

AG,

1.49%,

8/10/2027

(a)

200,000

175,157

Westpac

Banking

Corp.,

2.67%,

11/15/2035

50,000

39,848

5,109,483

Beverages

–

1.5%

Anheuser-Busch

Cos.

LLC

/

Anheuser-Busch

InBev

Worldwide,

Inc.,

4.90%,

2/01/2046

100,000

94,177

Anheuser-Busch

InBev

Worldwide,

Inc.

4.60%,

4/15/2048

100,000

90,001

5.55%,

1/23/2049

100,000

102,346

Coca-Cola

Co.

(The),

0.80%,

3/15/2040

100,000

68,989

355,513

Biotechnology

–

0.7%

Amgen,

Inc.

1.65%,

8/15/2028

75,000

64,365

4.66%,

6/15/2051

100,000

93,762

158,127

Building

Materials

–

0.6%

Builders

FirstSource

,

Inc.,

6.38%,

6/15/2032

(a)

12,000

10,736

Carrier

Global

Corp.,

2.72%,

2/15/2030

150,000

129,664

140,400

Chemicals

–

2.6%

Braskem

Netherlands

Finance

BV,

4.50%,

1/31/2030

(a)

200,000

171,118

Nutrien

Ltd.,

4.00%,

12/15/2026

200,000

198,372

Sherwin-Williams

Co.

(The),

3.45%,

6/01/2027

200,000

190,792

Valvoline,

Inc.,

4.25%,

2/15/2030

(a)

50,000

41,837

602,119

Commercial

Services

–

0.8%

Ashtead

Capital,

Inc.,

4.25%,

11/01/2029

(a)

200,000

176,146

176,146

Computers

–

4.2%

Apple,

Inc.

2.85%,

5/11/2024

200,000

198,754

2.20%,

9/11/2029

100,000

90,137

4.65%,

2/23/2046

100,000

103,215

Dell

International

LLC

/

EMC

Corp.

3.38%,

12/15/2041

(a)

80,000

57,280

3.45%,

12/15/2051

(a)

70,000

47,499

Hewlett

Packard

Enterprise

Co.

1.45%,

4/01/2024

125,000

120,047

11

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Computers

–

4.2%

(continued)

6.35%,

10/15/2045

50,000

50,399

HP,

Inc.,

1.45%,

6/17/2026

130,000

115,661

International

Business

Machines

Corp.,

1.95%,

5/15/2030

160,000

134,231

Kyndryl

Holdings,

Inc.

3.15%,

10/15/2031

(a)

40,000

29,656

4.10%,

10/15/2041

(a)

40,000

26,643

973,522

Diversified

Financial

Services

–

4.6%

AerCap

Ireland

Capital

DAC

/

AerCap

Global

Aviation

Trust

3.15%,

2/15/2024

150,000

145,261

3.85%,

10/29/2041

150,000

108,326

Ally

Financial,

Inc.

3.88%,

5/21/2024

100,000

99,189

8.00%,

11/01/2031

100,000

111,290

Capital

One

Financial

Corp.,

2.36%,

7/29/2032

100,000

76,359

Intercontinental

Exchange,

Inc.

4.35%,

6/15/2029

26,000

25,693

4.60%,

3/15/2033

80,000

79,702

4.95%,

6/15/2052

24,000

23,557

LSEGA

Financing

PLC,

1.38%,

4/06/2026

(a)

200,000

179,824

Synchrony

Financial

4.38%,

3/19/2024

150,000

149,188

2.88%,

10/28/2031

100,000

75,890

1,074,279

Electric

–

2.8%

Avangrid

,

Inc.,

3.20%,

4/15/2025

130,000

126,538

Consolidated

Edison

Co.

of

New

York,

Inc.

Series

20A,

3.35%,

4/01/2030

150,000

139,898

Series

A,

4.13%,

5/15/2049

100,000

88,297

ENEL

Finance

International

NV,

5.00%,

6/15/2032

(a)

200,000

193,309

Eversource

Energy,

Series

R,

1.65%,

8/15/2030

110,000

87,715

635,757

Entertainment

–

1.1%

Magallanes,

Inc.

3.64%,

3/15/2025

(a)

150,000

145,466

5.14%,

3/15/2052

(a)

67,000

56,324

5.39%,

3/15/2062

(a)

50,000

41,904

243,694

Food

–

1.8%

JM

Smucker

Co.

(The),

4.25%,

3/15/2035

50,000

46,289

Kraft

Heinz

Foods

Co.

3.88%,

5/15/2027

100,000

96,795

STATEMENT

OF

INVESTMENTS

(continued)

12

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Food

–

1.8%

(continued)

5.20%,

7/15/2045

55,000

51,018

Mondelez

International

Holdings

Netherlands

BV,

1.25%,

9/09/2041

(a)

100,000

65,827

SYSCO

Corp.,

2.40%,

2/15/2030

175,000

149,443

409,372

Forest

Products

&

Paper

–

0.3%

Suzano

Austria

GmbH,

3.75%,

1/15/2031

100,000

81,021

81,021

Gas

–

0.3%

Atmos

Energy

Corp.,

5.50%,

6/15/2041

55,000

57,972

57,972

Healthcare-Products

–

1.5%

Medtronic

Global

Holdings

Sca

,

1.75%,

7/02/2049

100,000

71,519

Thermo

Fisher

Scientific,

Inc.,

Series

E,

1.50%,

10/01/2039

100,000

75,712

Zimmer

Biomet

Holdings,

Inc.,

1.45%,

11/22/2024

200,000

188,446

335,677

Healthcare-Services

–

2.0%

DaVita,

Inc.,

4.63%,

6/01/2030

(a)

50,000

39,151

HCA,

Inc.

5.25%,

6/15/2026

150,000

149,523

4.63%,

3/15/2052

(a)

55,000

44,086

Roche

Holdings,

Inc.,

2.08%,

12/13/2031

(a)

200,000

170,713

UnitedHealth

Group,

Inc.

3.05%,

5/15/2041

50,000

40,387

4.95%,

5/15/2062

29,000

29,463

473,323

Home

Builders

–

0.4%

KB

Home,

4.00%,

6/15/2031

50,000

38,656

PulteGroup,

Inc.,

5.50%,

3/01/2026

50,000

50,901

89,557

Insurance

–

4.2%

Allianz

SE,

3.20%

(a)(b)

200,000

146,500

Allstate

Corp.

(The),

3.85%,

8/10/2049

50,000

42,884

Jackson

Financial,

Inc.,

1.13%,

11/22/2023

(a)

250,000

240,395

Liberty

Mutual

Group,

Inc.,

4.30%,

2/01/2061

(a)

80,000

54,281

Massachusetts

Mutual

Life

Insurance

Co.,

3.38%,

4/15/2050

(a)

50,000

38,851

MetLife,

Inc.,

6.40%,

12/15/2036

100,000

100,817

Metropolitan

Life

Global

Funding

I,

1.55%,

1/07/2031

(a)

150,000

119,636

Principal

Life

Global

Funding

II,

0.88%,

1/12/2026

(a)

200,000

177,325

Prudential

Financial,

Inc.,

5.63%,

6/15/2043

55,000

53,745

974,434

Internet

–

2.2%

Alibaba

Group

Holding

Ltd.,

2.70%,

2/09/2041

200,000

137,772

13

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Internet

–

2.2%

(continued)

Amazon.com,

Inc.

3.45%,

4/13/2029

92,000

89,506

2.88%,

5/12/2041

100,000

80,167

3.10%,

5/12/2051

50,000

39,448

Prosus

NV,

4.19%,

1/19/2032

(a)

200,000

159,884

506,777

Iron/Steel

–

0.4%

Steel

Dynamics,

Inc.,

2.80%,

12/15/2024

85,000

83,036

83,036

Lodging

–

0.3%

Marriott

International,

Inc.,

Series

HH,

2.85%,

4/15/2031

90,000

74,728

74,728

Media

–

2.4%

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

6.48%,

10/23/2045

60,000

58,455

4.40%,

12/01/2061

50,000

36,063

Comcast

Corp.

4.15%,

10/15/2028

55,000

54,900

3.40%,

7/15/2046

125,000

100,097

2.94%,

11/01/2056

150,000

104,540

Walt

Disney

Co.

(The)

3.35%,

3/24/2025

150,000

148,872

3.50%,

5/13/2040

68,000

58,072

560,999

Mining

–

0.2%

Newmont

Corp.,

2.80%,

10/01/2029

60,000

53,043

53,043

Oil

&

Gas

–

2.7%

BP

Capital

Markets

America,

Inc.

3.54%,

4/06/2027

200,000

194,351

3.00%,

2/24/2050

65,000

47,327

Lundin

Energy

Finance

BV,

3.10%,

7/15/2031

(a)

200,000

165,668

Parkland

Corp.,

4.50%,

10/01/2029

(a)

50,000

40,627

Phillips

66,

3.30%,

3/15/2052

50,000

37,319

TotalEnergies

Capital

International

SA,

3.13%,

5/29/2050

90,000

68,981

TotalEnergies

Capital

SA,

3.88%,

10/11/2028

60,000

59,109

613,382

Oil

&

Gas

Services

–

0.8%

Schlumberger

Holdings

Corp.,

4.30%,

5/01/2029

(a)

200,000

192,991

192,991

STATEMENT

OF

INVESTMENTS

(continued)

14

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Pharmaceuticals

–

5.6%

AbbVie,

Inc.

2.60%,

11/21/2024

250,000

242,277

4.05%,

11/21/2039

150,000

134,012

4.25%,

11/21/2049

86,000

76,492

AstraZeneca

Finance

LLC,

2.25%,

5/28/2031

(c)

150,000

130,730

Cigna

Corp.,

4.38%,

10/15/2028

100,000

99,332

ELI

Lilly

&

Co.,

1.38%,

9/14/2061

100,000

58,599

Merck

&

Co.,

Inc.,

2.75%,

12/10/2051

50,000

37,020

Pfizer,

Inc.,

2.63%,

4/01/2030

240,000

219,299

Shire

Acquisitions

Investments

Ireland

DAC,

3.20%,

9/23/2026

100,000

96,117

Takeda

Pharmaceutical

Co.

Ltd.,

5.00%,

11/26/2028

200,000

203,962

1,297,840

Pipelines

–

2.9%

Cheniere

Corpus

Christi

Holdings

LLC,

2.74%,

12/31/2039

65,000

51,414

Enbridge,

Inc.

0.55%,

10/04/2023

150,000

144,524

5.50%,

7/15/2077

60,000

52,987

Enterprise

Products

Operating

LLC,

3.30%,

2/15/2053

125,000

91,120

Galaxy

Pipeline

Assets

Bidco

Ltd.,

2.16%,

3/31/2034

(a)

192,172

163,765

MPLX

LP,

5.50%,

2/15/2049

100,000

92,979

Williams

Cos.,

Inc.

(The),

5.75%,

6/24/2044

80,000

79,960

676,749

Real

Estate

Investment

Trusts

–

5.6%

Alexandria

Real

Estate

Equities,

Inc.,

2.95%,

3/15/2034

150,000

125,030

American

Homes

4

Rent

LP

2.38%,

7/15/2031

100,000

79,848

4.30%,

4/15/2052

34,000

27,460

American

Tower

Corp.,

3.38%,

5/15/2024

175,000

172,563

Boston

Properties

LP,

2.75%,

10/01/2026

100,000

93,289

Crown

Castle

International

Corp.,

1.05%,

7/15/2026

160,000

138,652

Equinix

,

Inc.,

1.00%,

9/15/2025

100,000

89,696

Extra

Space

Storage

LP

3.90%,

4/01/2029

16,000

14,999

2.35%,

3/15/2032

65,000

51,600

Iron

Mountain

Information

Management

Services,

Inc.,

5.00%,

7/15/2032

(a)

50,000

40,455

ProLogis

Euro

Finance

LLC,

1.50%,

9/10/2049

100,000

59,477

Public

Storage,

1.95%,

11/09/2028

125,000

108,196

Simon

Property

Group

LP

1.75%,

2/01/2028

100,000

85,319

3.25%,

9/13/2049

100,000

72,740

Vornado

Realty

LP,

2.15%,

6/01/2026

50,000

44,610

15

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Real

Estate

Investment

Trusts

–

5.6%

(continued)

WP

Carey,

Inc.,

2.45%,

2/01/2032

115,000

92,720

1,296,654

Retail

–

3.1%

7-Eleven,

Inc.

1.30%,

2/10/2028

(a)

100,000

83,248

2.50%,

2/10/2041

(a)

100,000

67,891

Asbury

Automotive

Group,

Inc.,

4.63%,

11/15/2029

(a)

50,000

41,384

Genuine

Parts

Co.,

1.75%,

2/01/2025

120,000

113,165

Home

Depot,

Inc.

(The),

3.50%,

9/15/2056

150,000

122,534

Lowe's

Cos.,

Inc.

1.70%,

9/15/2028

50,000

42,610

2.80%,

9/15/2041

100,000

72,800

4.25%,

4/01/2052

6,000

5,209

4.45%,

4/01/2062

37,000

31,669

Macy's

Retail

Holdings

LLC,

5.88%,

3/15/2030

(a)

50,000

42,040

McDonald's

Corp.,

4.20%,

4/01/2050

55,000

49,248

O'Reilly

Automotive,

Inc.,

4.70%,

6/15/2032

45,000

44,867

716,665

Semiconductors

–

3.2%

Advanced

Micro

Devices,

Inc.,

4.39%,

6/01/2052

46,000

44,851

Analog

Devices,

Inc.,

1.70%,

10/01/2028

200,000

175,449

Micron

Technology,

Inc.,

2.70%,

4/15/2032

150,000

119,774

NXP

BV

/

NXP

Funding

LLC

/

NXP

USA,

Inc.,

3.25%,

5/11/2041

120,000

90,530

Qualcomm,

Inc.

1.65%,

5/20/2032

50,000

40,435

3.25%,

5/20/2050

50,000

40,933

4.50%,

5/20/2052

33,000

32,574

TSMC

Arizona

Corp.,

4.25%,

4/22/2032

200,000

197,473

742,019

Software

–

3.5%

Fidelity

National

Information

Services,

Inc.,

1.15%,

3/01/2026

130,000

115,165

Microsoft

Corp.

2.70%,

2/12/2025

200,000

199,040

2.68%,

6/01/2060

100,000

71,854

Oracle

Corp.

3.65%,

3/25/2041

100,000

74,674

4.00%,

7/15/2046

50,000

37,059

3.95%,

3/25/2051

100,000

73,602

Salesforce.com,

Inc.

1.50%,

7/15/2028

90,000

78,690

2.70%,

7/15/2041

50,000

38,737

STATEMENT

OF

INVESTMENTS

(continued)

16

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

93.5%

(continued)

Software

–

3.5%

(continued)

VMware,

Inc.,

1.40%,

8/15/2026

130,000

115,104

803,925

Telecommunications

–

3.4%

AT&T,

Inc.

2.30%,

6/01/2027

100,000

91,356

2.55%,

12/01/2033

200,000

162,478

3.50%,

6/01/2041

100,000

80,014

3.80%,

12/01/2057

150,000

116,194

Rogers

Communications,

Inc.

4.50%,

3/15/2042

(a)

80,000

71,216

4.55%,

3/15/2052

(a)

62,000

54,592

Verizon

Communications,

Inc.

1.50%,

9/18/2030

100,000

80,013

2.85%,

9/03/2041

60,000

45,074

3.88%,

3/01/2052

100,000

84,029

784,966

Transportation

–

3.2%

Canadian

Pacific

Railway

Co.

1.75%,

12/02/2026

50,000

45,286

3.00%,

12/02/2041

50,000

39,199

CSX

Corp.

4.25%,

3/15/2029

100,000

99,564

3.95%,

5/01/2050

90,000

78,191

FedEx

Corp.,

3.25%,

5/15/2041

100,000

78,188

Ryder

System,

Inc.,

4.30%,

6/15/2027

37,000

36,490

Simpar

Europe

SA,

5.20%,

1/26/2031

(a)

200,000

154,807

Union

Pacific

Corp.,

2.15%,

2/05/2027

225,000

208,631

740,356

Total

Corporate

Bonds

(cost

$23,445,107)

21,605,790

Foreign

Governmental

–

0.6%

Colombia

Government

International

Bond,

3.25%,

4/22/2032

200,000

145,017

Total

Foreign

Governmental

(cost

$167,941)

145,017

Municipal

Securities

–

0.0%

California

Health

Facilities

Financing

Authority,

RB,

Series

2022,

4.35%,

6/01/2041

10,000

9,390

Total

Municipal

Securities

(cost

$10,000)

9,390

U.S.

Treasury

Government

Securities

–

3.3%

U.S.

Treasury

Bonds

2.00%,

11/15/2041

230,000

182,760

3.25%,

5/15/2042

57,000

55,646

2.25%,

2/15/2052

(c)

401,700

330,712

17

(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,

2022,

these

securities

were

valued

at

$5,088,438

or

22.02%

of

net

assets.

(b)

Perpetual

bond

with

no

specified

maturity

date.

(c)

Security,

or

portion

thereof,

on

loan.

At

June

30,

2022,

the

value

of

the

fund’s

securities

on

loan

was

$417,301

and

the

value

of

the

collateral

was

$426,428,

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.

Holdings

and

transactions

in

these

affiliated

companies

during

the

period

ended

June

30,

2022

are

as

follows:

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(continued)

Description

Principal

Amount

($)

Value

($)

U.S.

Treasury

Government

Securities

–

3.3%

(continued)

U.S.

Treasury

Notes

2.63%,

5/31/2027

120,000

117,745

1.88%,

2/15/2032

78,000

70,676

Total

U.S.

Treasury

Government

Securities

(cost

$793,046)

757,539

Shares

Investment

Companies

–

1.6%

Registered

Investment

Companies

–

1.6%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

1.43%

(d)(e)

(cost

$358,629)

358,629

358,629

Investment

of

Cash

Collateral

for

Securities

Loaned

–

1.9%

Registered

Investment

Companies

–

1.9%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

1.43%

(d)(e)

(cost

$426,428)

426,428

426,428

Total

Investments

(cost

$25,201,151)

100.9%

23,302,793

Liabilities,

Less

Cash

and

Receivables

(0.9)%

(197,399)

Net

Assets

100.0%

23,105,394

RB—Revenue

Bond

Description

Value

3/22

/22

1

Purchases

($)

2

Sales

($)

Value

6/30/22

Dividends/

Distributions

($)

Investment

Companies

–

1.6%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

—

4,449,308

(4,090,679)

358,629

649

Investment

of

Cash

Collateral

for

Securities

Loaned

–

1.9%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

—

1,326,912

(900,484)

426,428

24

3

Total

–

3.5%

—

5,776,220

(4,991,163)

785,057

673

STATEMENT

OF

INVESTMENTS

(continued)

18

(e)

The

rate

shown

is

the

1-day

yield

as

of

June

30,

2022.

1

Commencement

of

operations.

2

Includes

reinvested

dividends/distributions.

3

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.

Portfolio

Summary

(Unaudited)

†

Value

(%)

Financial

36.5

Consumer,

Non-cyclical

13.9

Technology

10.9

Communications

8.2

Consumer,

Cyclical

7.2

Energy

6.4

Government

3.9

Industrial

3.8

Basic

Materials

3.5

Registered

Investment

Companies

3.5

Utilities

3.1

100.9

†

Based

on

net

assets.

Futures

Description

Number

of

Contracts

Expiration

Notional

Value

($)

Market

Value

($)

Unrealized

Appreciation

(Depreciation)

($)

Futures

Long

U.S.

Treasury

Long

Bonds

4

9/21/2022

557,548

554,500

(3,048)

U.S.

Treasury

Ultra

Bonds

3

9/21/2022

458,148

463,031

4,883

Futures

Short

Euro-Bund

2

9/8/2022

318,558

*

311,829

6,729

Euro-

Buxl

2

9/8/2022

367,164

*

342,807

24,357

U.S.

Treasury

10

Year

Ultra

Notes

4

9/21/2022

515,783

509,500

6,283

U.S.

Treasury

10

Year

Notes

5

9/21/2022

593,163

592,656

507

Gross

Unrealized

Appreciation

42,759

Gross

Unrealized

Depreciation

(3,048)

*

Notional

amounts

in

foreign

currency

have

been

converted

to

USD

using

relevant

foreign

exchange

rates.

19

See

Notes

to

Financial

Statements

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

68,000

United

States

Dollar

74,061

7/15/2022

2,727

Euro

356,000

United

States

Dollar

383,206

8/10/2022

9,047

Euro

51,000

United

States

Dollar

54,170

8/24/2022

508

Gross

Unrealized

Appreciation

12,282

STATEMENT

OF

ASSETS

AND

LIABILITIES

June

30,

2022

20

See

Notes

to

Financial

Statements

Cost

Value

Assets

($):

Investments

in

securities—See

Statement

of

Investments

(including

securities

on

loan,

valued

at

$417,301)—Note

2(c):

–

Unaffiliated

issuers

24,416,094

22,517,736‌

Affiliated

issuers

785,057

785,057‌

Cash

denominated

in

foreign

currency

607

611‌

Collateral

with

brokers

for

initial

margin—Note

4

92,641‌

Interest

receivable

165,899‌

Receivable

for

investment

securities

sold

27,180‌

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts—Note

4

12,282‌

Dividends

receivable

274‌

Securities

lending

income

receivable

9‌

23,601,689‌

Liabilities

($):

Due

to

BNY

Mellon

ETF

Investment

Adviser,

LLC—

Note

3(b)

6,709‌

Liability

for

securities

on

loan—Note

2(c)

426,428‌

Payable

for

investment

securities

purchased

55,503‌

Payable

for

futures

variation

margin—Note

4

7,655‌

496,295‌

Net

Assets

($)

23,105,394‌

Composition

of

Net

Assets

($):

Paid-in

capital

25,050,050‌

Total

distributable

earnings

(loss)

(1,944,656‌)

Net

Assets

($)

23,105,394‌

Shares

outstanding

no

par

value

(unlimited

shares

authorized):

500,001‌

Net

asset

value

per

share

46.21‌

Market

price

per

share

46.46‌

STATEMENT

OF

OPERATIONS

For

the

Period

from

March

22,

2022

(commencement

of

operations)

to

June

30,

2022

21

See

Notes

to

Financial

Statements

Investment

Income

($):

Income:

Cash

dividends:

Affiliated

issuers

649‌

Interest

248,008‌

Income

from

securities

lending—Note

2(c)

24‌

Total

Income

248,681‌

Expenses:

Management

fee

—Note

3(a)

23,125‌

Total

Expenses

23,125‌

Net

Investment

Income

225,556‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments—Note

4

($):

Net

realized

gain

(loss)

on

investments

and

foreign

currency

transactions

(249,239‌)

Net

realized

gain

(loss)

on

futures

(8,912‌)

Net

realized

gain

(loss)

on

forward

foreign

currency

exchange

contracts

5,240‌

Net

realized

gain

(loss)

(252,911‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

and

foreign

currency

transactions

(1,805,974‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

futures

39,711‌

Net

change

in

unrealized

appreciation

(depreciation)

on

forward

foreign

currency

exchange

contracts

12,282‌

Net

change

in

unrealized

appreciation

(depreciation)

(1,753,981‌)

Net

Realized

and

Unrealized

Gain

(Loss)

on

Investments

(2,006,892‌)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

(1,781,336‌)

STATEMENT

OF

CHANGES

IN

NET

ASSETS

22

See

Notes

to

Financial

Statements

For

the

Period

from

March

22,

2022

(a)

to

June

30,

2022

Operations

($):

Net

investment

income

225,556‌

Net

realized

gain

(loss)

on

investments

(252,911‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

(1,753,981‌)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

(1,781,336‌)

Distributions

($):

Distributions

to

shareholders

(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

23,105,394‌

Net

Assets

($):

Beginning

of

Period

—‌

End

of

Period

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

23

The

following

table

describes

the

performance

for

the

fiscal

period

indicated

and

these

figures

have

been

derived

from

the

fund’s

financial

statements.

See

Notes

to

Financial

Statements

For

the

Period

from

March

22,

2022

(a)

to

June

30,

2022

Per

Share

Data

($):

Net

asset

value,

beginning

of

period

50.00‌

Investment

Operations:

Net

investment

income

(b)

0.45‌

Net

realized

and

unrealized

gain

(loss)

on

investments

(4.01‌)

Total

from

Investment

Operations

(3.56‌)

Distributions:

Dividends

from

net

investment

income

(0.33‌)

Transaction

fees

(b)

0.10‌

Net

asset

value,

end

of

period

46.21‌

Market

price,

end

of

period

(c)

46.46‌

Net

Asset

Value

Total

Return

(%)

(d)

(6.94‌)

(e)

Market

Price

Total

Return

(%)

(d)

(6.44‌)

(e)

Ratios/Supplemental

Data

(%):

Ratio

of

total

expenses

to

average

net

assets

0.35‌

(f)

Ratio

of

net

investment

income

to

average

net

assets

3.41‌

(f)

Portfolio

Turnover

Rate

(g)

13

.

06‌

Net

Assets,

end

of

period

($

x

1,000)

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

24

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

fourteen

series,

including

the

fund.

The

fund

had

no

operations

until March

22,

2022

(commencement

of

operations),

other

than

matters

relating

to

its

organization

and

registration

under

the

Act.

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

25

of

the

FASB

ASC

Topic

946

Financial

Services-Investment

Companies. The

fund’s

financial

statements

are

prepared

in

accordance

with

GAAP,

which

may

require

the

use

of

management

estimates

and

assumptions.

Actual

results

could

differ

from

those

estimates.  

The

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.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

26

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

Trust’s Board

of

Trustees

(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.

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.

Each

Service

and

independent

valuation

firm

is

engaged

under

the

general

oversight

of

the

Board.

When

market

quotations

or

official

closing

prices

are

not

readily

available,

or

are

determined

not

to

reflect

accurately

fair

value,

such

as

when

the

value

of

a

security

has

been

significantly

affected

by

events

after

the

close

of

the

exchange

or

market

on

which

the

security

is

principally

traded

(for

example,

a

foreign

exchange

or

market),

but

before

the

fund

calculates

its

net

asset

value,

the

fund

may

value

these

investments

at

fair

value

as

determined

in

accordance

with

the

procedures

approved

by

the

Board.

Certain

factors

may

be

considered

when

fair

valuing

investments

such

as:

fundamental

analytical

data,

the

nature

and

duration

of

restrictions

on

disposition,

an

evaluation

of

the

forces

that

influence

the

market

in

which

the

securities

are

purchased

and

sold,

and

public

trading

in

similar

securities

of

the

issuer

or

comparable

issuers.

These

securities

are

either

categorized

within

Level

2

or

3

of

the

fair

value

hierarchy

depending

on

the

relevant

inputs

used.

For

securities

where

observable

inputs

are

limited,

assumptions

about

market

activity

and

risk

are

used

and

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.

The

table

below

summarizes

the

inputs

used

as

of June

30,

2022

in

valuing

the

fund’s

investments:

27

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

—

21,605,790

—

21,605,790

Foreign

Governmental

—

145,017

—

145,017

Municipal

Securities

—

9,390

—

9,390

U.S.

Treasury

Government

Securities

—

757,539

—

757,539

Investment

Companies

358,629

—

—

358,629

Investment

of

Cash

Collateral

for

Securities

Loaned

426,428

—

—

426,428

Other

Financial

Instruments:

Futures

††

42,759

—

—

42,759

Forward

Foreign

Currency

Exchange

Contracts

††

—

12,282

—

12,282

Liabilities

($)

Other

Financial

Instruments:

Futures

††

(3,048)

—

—

(3,048)

†

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.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

28

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 

June

30,

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

June

30,

2022,

BNY

Mellon

earned

$4 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)

Risk:

Certain

events

particular

to

the

industries

in

which

the

fund’s

investments

conduct

their

operations,

as

well

as

general

economic,

political

and

public

health

conditions,

may

have

a

significant

negative

impact

on

the

investee’s

operations

and

profitability.

In

addition,

turbulence

in

financial

markets

and

reduced

liquidity

in

equity,

credit

and/or

fixed

income

markets

may

negatively

affect

many

issuers,

which

could

adversely

affect

the

fund.

Global

economies

and

financial

markets

are

becoming

increasingly

interconnected,

and

conditions

and

events

in

one

country,

region

or

financial

market

may

adversely

impact

issuers

in

a

different

country,

region

or

financial

market.

These

risks

may

be

magnified

if

certain

events

or

developments

adversely

interrupt

29

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.

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.

The

COVID-19

pandemic

has

had,

and

any

other

outbreak

of

an

infectious

disease

or

other

serious

public

health

concern

could

have,

a

significant

negative

impact

on

economic

and

market

conditions

and

could

trigger

a

prolonged

period

of

global

economic

slowdown.

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.

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.

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.

(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

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.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

30

As

of

and

during

the period

ended June

30,

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 June

30,

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.

At June

30,

2022,

the

components

of

accumulated

earnings

on

a

tax

basis

were

as

follows:

undistributed

ordinary

income

$1,517,

accumulated

capital

losses

$115,750,

and

unrealized depreciation

$1,830,423.

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

accumulated

capital

loss

carryover

is

available

for

federal

income

tax

purposes

to

be

applied

against

future

net

realized

capital

gains,

if

any,

realized

subsequent

to

June

30,

2022.

The

fund

has

$115,750

of

short-term

capital

losses

which

can

be

carried

forward

for

an

unlimited

period.

The

tax

character

of

distributions

paid

to

shareholders

during

the

fiscal

year

ended

June

30,

2022 were

as

follows:

ordinary

income

$163,320.

(h)

New

Accounting

Pronouncement:

In

March

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

(“ASU

2020-04”),

and

in

January

2021,

the

FASB

issued

Accounting

Standards

Update

2021-01,

Reference

Rate

Reform

(Topic

848):

Scope

(“ASU

2021-01”),

which

provides

optional,

temporary

relief

with

respect

to

the

financial

reporting

of

contracts

subject

to

certain

types

of

modifications

due

to

the

planned

discontinuation

of

the

London

Interbank

Offered

Rate

(“LIBOR”)

and

other

Interbank

Offered

Rate

(“IBOR”)-based

reference

rates

as

of

the

end

of

2021.

The

temporary

relief

provided

by

ASU

2020-04

and

ASU

2021-01 is

effective

for

certain

reference

rate-related

contract

modifications

that

occur

during

the

period

from

March

12,

2020

through

December

31,

2022.

Management

is

evaluating

the

impact

of

ASU

2020-04

and

ASU

2021-01 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.

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,

31

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

June

30,

2022,

there

were

no

reduction

in

expenses

pursuant

to

the

undertaking.

Pursuant

to

a

sub-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-advisory

agreements

with

one

or

more

sub-advisers

who

are

either

unaffiliated

or

affiliated

with

the

Adviser

without

obtaining

shareholder

approval.

The

Order

also

relieves

the

fund

from

disclosing

the

sub-advisory

fee

paid

by

the

Adviser

to

a

Sub-

Adviser

in

documents

filed

with

the

SEC

and

provided

to

shareholders.

In

addition,

pursuant

to

the

Order,

it

is

not

necessary

to

disclose

the

sub-advisory

fee

payable

by

the

Adviser

separately

to

a

Sub-Adviser

that

is

a

wholly-owned

subsidiary

(as

defined

in

the

1940

Act)

of

BNY

Mellon

in

documents

filed

with

the

SEC

and

provided

to

shareholders;

such

fees

are

to

be

aggregated

with

fees

payable

to

the

Adviser.

The

Adviser

has

ultimate

responsibility

(subject

to

oversight

by

the

Board)

to

supervise

any

Sub-Adviser

and

recommend

the

hiring,

termination,

and

replacement

of

any

Sub-

Adviser

to

the

Board.

Pursuant

to

a

sub-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 $6,709.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

32

(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,

futures,

forward

contracts

and

in-kind

transactions,

during

the

period

ended

June

30,

2022, amounted

to $28,351,811

and

$3,806,291,

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.

Each

type

of

derivative

instrument

that

was

held

by

the

fund

during

the period

ended

June

30,

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 June

30,

2022,

are

set

forth

in

the

Statement

of

Investments.

33

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 June

30,

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. 

Fair

value

of

derivative

instruments

as

of June

30,

2022

is

shown

below:

Derivative

Assets

($)

Derivative

Liabilities

($)

Interest

rate

risk

42,759

(a)

Interest

rate

risk

(3,048)

(a)

Foreign

exchange

risk

12,282

(b)

Foreign

exchange

risk

—

(b)

Gross

fair

value

of

derivative

contracts

55,041

(3,048)

Statement

of

Assets

and

Liabilities

location:

(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.

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

34

The

effect

of

derivative

instruments

in

the

Statement

of

Operations

during

the period

ended

June

30,

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 June

30,

2022,

derivative

assets

and

liabilities

(by

type)

on

a

gross

basis

are

as

follows:

Amount

of

realized

gain

(loss)

on

derivatives

recognized

in

income

($)

Underlying

Risk

Futures

(a)

Forward

Contracts

(b)

Total

Interest

rate

(8,912)

—

(8,912)

Foreign

exchange

—

5,240

5,240

Total

(8,912)

5,240

(3,672)

Net

change

in

unrealized

appreciation

(depreciation)

on

derivatives

recognized

in

income

($)

Underlying

Risk

Futures

(c)

Forward

Contracts

(d)

Total

Interest

rate

39,711

—

39,711

Foreign

exchange

—

12,282

12,282

Total

39,711

12,282

51,993

Statement

of

Operations

location:

(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

42,759

(3,048)

Forward

contracts

12,282

—

Total

gross

amount

of

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

55,041

(3,048)

Derivatives

not

subject

to  Master

Agreements

(42,759)

3,048

Total

gross

amount

of

derivative

assets

and

liabilities

subject

to

Master

Agreements

12,282

—

35

The

following

table

presents

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 June

30,

2022:

The following

table summarizes

the

average market

value of

derivatives

outstanding

during

the period

ended

June

30,

2022:

At June

30,

2022,

the

cost

of

investments

for

federal

income

tax

purposes

was

$25,133,216;

accordingly, accumulated

net

unrealized

depreciation on

investments

inclusive

of

derivative

contracts

for

federal

income

tax

purposes was

$1,830,423,

consisting

of

gross

appreciation

of

$93,575

and

gross

depreciation

of

$1,923,998.

NOTE

5—Shareholder

Transactions:

The

fund

issues

and

redeems

its

shares

on

a

continuous

basis,

at

NAV,

to

certain

institutional

investors

known

as

“Authorized

Participants”

(typically

market

makers

or

other

broker-dealers)

only

in

a

large

specified

number

of

shares

called

a

Creation

Unit.

Except

when

aggregated

in

Creation

Units,

shares

of

the

fund

are

not

redeemable.

The

value

of

the

fund

is

determined

once

each

business

day.

The

Creation

Unit

size

for the

fund

may

change.

Authorized

Participants

will

be

notified

of

such

change.

Creation

Unit

transactions

may

be

made

in-kind,

for

cash,

or

for

a

combination

of

securities

and

cash.

The

principal

consideration

for

creations

and

redemptions

for

the

fund

is

in-kind,

although

this

may

be

revised

at

any

time

without

notice.

The

Trust

issues

and

sells

shares

of

the

fund

only:

in

Creation

Units

on

a

continuous

basis

through

the

Distributor,

without

a

sales

load,

at

their

NAV

per

share

determined

after

receipt

of

an

order,

on

any

Business

Day,

in

proper

form

pursuant

to

the

terms

of

the

Authorized

Participant

Agreement.

Transactions

in

capital

shares

for

the

fund

are

disclosed

in

detail

in

the

Statement

of

Changes

in

Net

Assets.

The

consideration

for

the

purchase

of

Creation

Units

of the

fund

may

consist

of

the

in-kind

deposit

of

a

designated

portfolio

of

securities

and

a

specified

amount

of

cash.

Investors

purchasing

and

redeeming

Creation

Units

may

pay

a

purchase

transaction

fee

and

a

redemption

transaction

fee

directly

to

the

Trust

and/or

custodian

to

offset

transfer

and

other

transaction

costs

associated

with

the

issuance

and

redemption

of

Creation

Units,

including

Creation

Units

for

cash.

The

Adviser

or

its

affiliates

(the

“Selling

Shareholder”)

may

purchase

Counterparty

Gross

Amount

of

Assets

($)

†

Financial

Instruments

and

Derivatives

Available

for

Offset

($)

Collateral

Received

($)

Net

Amount

of

Assets

($)

Goldman

Sachs

&

Co.

12,282

—

–

12,282

†

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

1,948,165

Forward

contracts

958,888

NOTES

TO

FINANCIAL

STATEMENTS

(continued)

36

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

June

30,

2022,

the

fund

had

no

in-kind

transactions.

REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

37

To

the

Shareholders

and

the

Board

of

Trustees

of

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF.

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

statement

of

assets

and

liabilities

of

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(the

“Fund”)

(one

of

the

funds

constituting

BNY

Mellon

ETF

Trust

(the

“Trust”)),

including

the

statement

of

investments,

as

of

June

30,

2022,

and

the

related

statements

of

operations,

changes

in

net

assets,

and

the

financial

highlights

for

the

period

from

March

22,

2022

(commencement

of

operations)

through

June

30,

2022

and

the

related

notes

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

(one

of

the

funds

constituting

BNY

Mellon

ETF

Trust)

at

June

30,

2022,

the

results

of

its

operations,

the

changes

in

its

net

assets

and

its

financial

highlights

for

the

period

from

March

22,

2022

(commencement

of

operations)

through

June

30,

2022,

in

conformity

with

U.S.

generally

accepted

accounting

principles.

Basis

for

Opinion

These

financial

statements

are

the

responsibility

of

the

Trust’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

based

on

our

audit.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(“PCAOB”)

and

are

required

to

be

independent

with

respect

to

the

Trust

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audit

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

The

Trust

is

not

required

to

have,

nor

were

we

engaged

to

perform,

an

audit

of

the

Trust’s

internal

control

over

financial

reporting.

As

part

of

our

audit,

we

are

required

to

obtain

an

understanding

of

internal

control

over

financial

reporting

but

not

for

the

purpose

of

expressing

an

opinion

on

the

effectiveness

of

the

Trust’s

internal

control

over

financial

reporting.

Accordingly,

we

express

no

such

opinion.

Our

audit

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

June

30,

2022,

by

correspondence

with

the

custodian

and

others

or

by

other

appropriate

auditing

procedures

where

replies

were

not

received.

Our

audit

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

We

believe

that

our

audit

provides

a

reasonable

basis

for

our

opinion.

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

the

BNY

Mellon

Family

of

Funds

since

at

least

1957,

but

we

are

unable

to

determine

the

specific

year.

New

York,

New

York

August

23,

2022

IMPORTANT

TAX

INFORMATION

(Unaudited)

38

Form

1099-DIV,

Form

1042-S

and

other

year–end

tax

information

provide

shareholders

with

actual

calendar

year

amounts

that

should

be

included

in

their

tax

returns.

Shareholders

should

consult

their

tax

advisers.

The

following

distribution

information

is

being

provided

as

required

by

the

Internal

Revenue

Code

or

to

meet

a

specific

state’s

requirement.

The

fund

designates

the

following

amounts

or,

if

subsequently

determined

to

be

different,

the

maximum

amount

allowable

for

its

fiscal

year

ended June

30,

2022:

For

federal

tax

purposes

the

fund

hereby

reports

100.00%

of

ordinary

income

dividends

paid

during

the

fiscal

year

ended

June

30,

2022 as

qualifying

interest

related

dividends.

INFORMATION

ABOUT

THE

APPROVAL

OF

THE

FUND’S

MANAGEMENT

AND

SUB-ADVISORY

AGREEMENTS

(Unaudited)

39

At

a

meeting

held

August

2,

2021,

the

Board

of

Trustees

of

the

Trust

(the

“Board”),

all

the

members

of

which

are

not

“interested

persons”

of

the

Trust

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended,

evaluated

proposals

to

approve

the

Management

Agreement

(the

“Agreement”)

between

the

Trust

and

BNY

Mellon

ETF

Investment

Adviser,

LLC

(the

“Adviser”)

pursuant

to

which

the

Adviser

will

provide

the

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(the

“fund”),

which

commenced

operations

during

the

period

covered

by

this

Annual

Report,

with

investment

advisory

and

administrative

services,

and

the

Sub-Investment

Advisory

Agreement

(together,

the

“Agreements”)

between

the

Adviser

and

Insight

North

America

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

pursuant

to

which

the

Sub-Adviser

will

provide

day-to-day

management

of

the

fund’s

investments.

The

Board

was

advised

by

legal

counsel

throughout

the

process.

To

evaluate

the

Agreements,

the

Board

requested,

and

the

Adviser

and

Sub-Adviser

provided,

such

materials

as

the

Board,

with

the

advice

of

counsel,

deemed

reasonably

necessary.

In

deciding

whether

to

approve

the

Agreements,

the

Board

considered

various

factors,

including

the

(i)

nature,

extent

and

quality

of

services

expected

to

be

provided

by

the

Adviser

and

Sub-Adviser

under

each

respective

Agreement,

(ii)

fees

charged

to

comparable

funds,

(iii)

other

benefits

to

the

Adviser

and

Sub-Adviser,

and

(iv)

extent

to

which

economies

of

scale

would

be

shared

as

the

fund

grows.

The

Board

considered

the

Agreements

for

the

fund

and

the

engagement

of

the

Adviser

and

the

Sub-Adviser

separately.

Nature,

Extent

and

Quality

of

Services

The

Board

considered

the

nature,

extent

and

quality

of

services

expected

to

be

provided

by

the

Adviser

and

Sub-Adviser.

The

Board

reviewed

the

Agreements

and

the

Adviser’s

anticipated

responsibilities

of

investment

advisory

and

administrative

services

for

the

fund,

including

oversight

of

day-to-day

fund

operations,

fund

accounting,

administration,

and

assistance

in

meeting

legal

and

regulatory

requirements.

The

Board

considered

the

background

and

experience

of

the

Adviser

and

Sub-Adviser’s

senior

management,

including

those

individuals

responsible

for

portfolio

management

and

regulatory

compliance

of

the

fund.

The

Board

also

considered

the

Adviser’s

extensive

administrative,

accounting,

and

compliance

infrastructures,

as

well

as

the

Adviser’s

supervisory

activities

over

the

Sub-Adviser.

The

Board

appreciated

the

nature

of

the

fund

as

an

exchange-traded

fund

and

considered

the

portfolio

management

resources,

structures

and

practices

of

the

Adviser

and

Sub-Adviser,

including

those

associated

with

monitoring

and

securing

the

fund’s

compliance

with

its

investment

objective

and

policies

and

with

applicable

laws

and

regulations.

The

Board

also

considered

information

about

the

Sub-Adviser’s

best

execution

procedures

and

overall

investment

management

business.

The

Board

looked

at

the

Adviser’s

general

knowledge

of

the

investment

management

business

and

that

of

its

affiliates,

including

the

Sub-Adviser.

INFORMATION

ABOUT

THE

APPROVAL

OF

THE

FUND’S

MANAGEMENT

AND

SUB-ADVISORY

AGREEMENTS

(Unaudited)

(continued)

40

As

the

fund

had

not

yet

commenced

operations,

the

Board

was

not

able

to

review

the

fund’s

performance.

The

Board

discussed

with

representatives

of

the

Adviser

and

the

Sub-Adviser

the

proposed

portfolio

management

team

and

the

investment

strategy

to

be

employed

in

the

management

of

the

fund's

assets.

The

Board

considered

the

reputation

and

experience

of

the

Adviser

and

its

affiliates,

including

the

Sub-Adviser.

Fees

Charged

to

Comparable

Funds

The

Board

evaluated

the

fund’s

proposed

unitary

fee

through

review

of

comparative

information

with

respect

to

fees

paid

by

similar

funds

–

i.e.,

actively

managed

corporate

bond

exchange-traded

funds.

The

Board

reviewed

the

universe

of

similar

exchange-

traded

funds

for

the

fund

based

upon

data

independently

obtained

from

Broadridge

Financial

Solutions,

Inc.

and

related

comparative

information

for

similar

exchange-

traded

funds.

The

Board

also

reviewed

the

estimated

expense

ratio

for

the

fund.

The

Board

considered

the

fee

to

be

paid

to

the

Sub-Adviser

in

relation

to

the

fee

to

be

paid

to

the

Adviser

by

the

fund

and

the

respective

services

to

be

provided

by

the

Sub-Adviser

and

the

Adviser.

The

Board

also

took

into

consideration

that

the

Sub-

Adviser's

fee

will

be

paid

by

the

Adviser

and

not

the

fund.

Other

Benefits

The

Board

also

considered

whether

the

Adviser,

Sub-Adviser

or

their

affiliates

benefited

in

other

ways

from

their

relationship

with

the

fund,

noting

that

neither

the

Adviser

nor

Sub-Adviser

expected

to

maintain

soft-dollar

arrangements

in

connection

with

the

fund’s

brokerage

transactions.

Profitability

and

Economies

of

Scale

The

Board

reviewed

information

regarding

economies

of

scale

or

other

efficiencies

that

may

result

as

the

fund’s

assets

grow

in

size.

The

Board

noted

that

the

Agreement

did

not

provide

for

breakpoints

in

the

fund’s

advisory

fee

rate

as

assets

of

the

fund

increase.

However,

the

Board

further

noted

the

Adviser’s

assertion

that

future

economies

of

scale

(among

several

factors)

had

been

taken

into

consideration

for

the

fund

by

fixing

relatively

low

advisory

fees,

effectively

sharing

the

benefits

of

lower

fees

with

the

fund

from

the

time

of

its

inception.

The

Adviser

also

asserted

that

one

of

the

benefits

of

the

unitary

fee

was

to

provide

an

unvarying

expense

structure,

which

could

be

lost

or

diluted

with

the

addition

of

breakpoints.

The

Board

noted

that,

because

the

fund

is

new,

there

are

no

economies

of

scale

to

share,

but

it

intends

to

continue

to

monitor

fees

as

the

fund

grows

in

size

and

to

the

extent

in

the

future

it

were

determined

that

material

economies

of

scale

had

not

been

shared

with

the

fund,

the

Board

would

seek

to

have

those

economies

of

scale

shared

with

the

fund

in

connection

with

future

renewals.

As

the

fund

had

not

yet

commenced

operations,

the

Adviser’s

representatives

were

not

able

to

review

the

dollar

amount

of

expenses

allocated

and

profit

received

by

the

Adviser

or

Sub-Adviser.

41

Conclusion

After

weighing

the

foregoing

factors,

none

of

which

was

dispositive

in

itself

and

may

have

been

weighed

differently

by

each

Trustee,

the

Board

approved

the

Agreements

for

the

fund.

The

Board’s

conclusions

with

respect

to

the

factors

were

as

follows:

(a)

the

nature

and

extent

of

the

services

expected

to

be

provided

by

the

Adviser

and

Sub-

Adviser

with

respect

to

the

fund

was

appropriate;

(b)

the

Adviser’s

unitary

fee

for

the

fund,

considered

in

relation

to

services

expected

to

be

provided

and

in

relation

to

fees

charged

to

comparable

funds,

was

fair

and

reasonable;

and

(c)

any

additional

potential

benefits

to

the

Adviser,

Sub-Adviser

or

their

affiliates

were

not

of

a

magnitude

to

materially

affect

the

Board’s

conclusions.

BOARD

MEMBERS

INFORMATION

(Unaudited)

INDEPENDENT

BOARD

MEMBERS

42

J.

Charles

Cardona

(66)

Chairman

of

the

Board

(2020)

Principal

Occupation

During

Past

5

Years:

BNY

Mellon

ETF

Trust,

Chairman

and

Trustee

(2020-Present)

BNY

Mellon

Liquidity

Funds,

Director

(2004-Present)

and

Chairman

(2019-2021)

No.

of

Portfolios

for

which

Board

Member

Serves:

36,

including

22

managed

by

an

affiliate

of

the

Adviser

Kristen

M.

Dickey

(62)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Independent

board

director

of

Marstone,

Inc.,

a

financial

technology

company

(since

2018);

Lead

non-executive

director

for

Aperture

Investors,

LLC,

an

investment

management

firm

(since

2018);

Managing

Director—Global

Head

of

Index

Strategy

at

BlackRock,

Inc.

(until

2017).

No.

of

Portfolios

for

which

Board

Member

Serves:

14

F.

Jack

Liebau,

Jr.

(58)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Managing

Director

at

Beach

Investment

Counsel,

a

financial

advisory

firm

(since

2020)

Corporate

director

(since

2015)

Other

Public

Company

Board

Memberships

During

Past

5

Years:

Myers

Industries,

an

industrial

company,

Director

(2015

–

Present;

Chairman

of

Board

2016

–

Present)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

Jill

I.

Mavro

(50)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Managing

director

at

CapWGlobal,

LLC,

a

financial

technology

consulting

company

(since

2020)

Founder

and

Principal

of

Spoondrift

Advisory,

LLC

(since

2018);

Senior

Managing

Director,

Head

of

Strategic

Relationships

and

Member

of

SPDR

Executive

Committee

at

State

Street

Global

Advisors

(until

2018)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

43

Kevin

W.

Quinn

(63)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Partner

at

PricewaterhouseCoopers,

LLC

(until

2019)

No.

of

Portfolios

for

which

Board

Member

Serves:

14

Stacy

L.

Schaus

(62)

Board

Member

(2020)

Principal

Occupation

During

Past

5

Years:

Chief

Executive

Officer

of

the

Schaus

Group

LLC,

a

consulting

firm

(since

2019);

Advisory

board

member

of

A&P

Capital,

a

consulting

firm

(from

2019-2021);

Executive

Vice

President—Defined

Contribution

Practice

Founder

at

PIMCO

Investment

Management

(until

2018).

No.

of

Portfolios

for

which

Board

Member

Serves:

14

OFFICERS

OF

THE

TRUST

(Unaudited)

44

DAVID

DIPETRILLO,

President

since

February

2020.

Vice

President

and

Director

of

BNYM

Investment

Adviser

since

February

2021;

Head

of

North

America

Product,

BNY

Mellon

Investment

Management

since

January

2018;

and

Director

of

Product

Strategy,

BNY

Mellon

Investment

Management

from

January

2016

to

December

2017.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

44

years

old

and

has

been

an

employee

of

BNY

Mellon

since

2005.

PETER

M.

SULLIVAN,

Chief

Legal

Officer

since

July

2021,

Vice

President

and

Assistant

Secretary

since

February

2020.

Chief

Legal

Officer

of

BNYM

Investment

Advisor

and

Associate

General

Counsel

of

BNY

Mellon

since

July

2021;

Senior

Managing

Counsel

of

BNY

Mellon

from

December

2020

to

July

2021;

and

Managing

Counsel

of

BNY

Mellon

from

March

2009

to

December

2020.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

54

years

old

and

has

been

an

employee

of

BNY

Mellon

since

April

2004.

JAMES

WINDELS,

Treasurer

since

February

2020.

Vice

President

of

BNYM

Investment

Adviser

since

September

2020;

and

Director-BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

63

years

old

and

has

been

an

employee

of

the

Adviser

since

April

1985.

SARAH

S.

KELLEHER,

Vice

President

and

Secretary

since

February

2020.

Vice

President

of

BNY

Mellon

ETF

Investment

Adviser,

LLC

since

February

2020;

Senior

Managing

Counsel

of

BNY

Mellon

since

September

2021;

Managing

Counsel

of

BNY

Mellon

from

December

2017

to

September

2021;

and

Senior

Counsel

of

BNY

Mellon

from

March

2013

to

December

2017.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

46

years

old

and

has

been

an

employee

of

the

Adviser

since

March

2013.

JAMES

BITETTO,

Vice

President

and

Assistant

Secretary

since

February

2020.

Senior

Managing

Counsel

of

BNY

Mellon

since

December

2019;

Managing

Counsel

of

BNY

Mellon

from

April

2014

to

December

2019;

and

Secretary

of

BNYM

Investment

Adviser.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

December

1996.

DEIRDRE

CUNNANE,

Vice

President

and

Assistant

Secretary

since

February

2020.

Managing

Counsel

of

BNY

Mellon

since

December

2021;

Counsel

of

BNY

Mellon

from

August

2018

to

December

2021;

and

Senior

Regulatory

Specialist

at

BNY

Mellon

Investment

Management

Services

from

February

2016

to

August

2018.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

32

years

old

and

has

been

an

employee

of

the

Adviser

since

August

2018.

JEFF

PRUSNOFSKY,

Vice

President

and

Assistant

Secretary

since

February

2020.

Senior

Managing

Counsel

of

BNY

Mellon.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

57

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

October

1990.

AMANDA

QUINN,

Vice

President

and

Assistant

Secretary

since

February

2020.

Counsel

of

BNY

Mellon

since

June

2019;

Regulatory

Administration

Manager

at

BNY

Mellon

Investment

Management

Services

from

September

2018

to

May

2019;

and

Senior

Regulatory

Specialist

at

BNY

Mellon

Investment

Management

Services

from

April

2015

to

August

2018.

She

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

37

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

June

2019.

45

DANIEL

GOLDSTEIN,

Vice

President

since

March

2022

Head

of

Product

Development

of

North

America

Product,

BNY

Mellon

Investment

Management

since

January

2018;

Co-Head

of

Product

Management,

Development

&

Oversight

of

North

America

Product,

BNYM

Investment

Management

from

January

2010

to

January

2018;

and

Senior

Vice

President,

Development

&

Oversight

of

North

America

Product,

BNY

Mellon

Investment

Management

since

2010.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

53

years

old

and

has

been

an

employee

of

BNY

Mellon

Securities

Corporation

since

1991.

JOSEPH

MARTELLA,

Vice

President

since

March

2022

Head

of

Product

Management

of

North

America

Product,

BNYM

Investment

Management

since

January

2018;

Director

of

Product

Research

and

Analytics

of

North

America

Product,

BNYM

Investment

Management

from

January

2010

to

January

2018;

and

Senior

Vice

President

of

North

America

Product,

BNYM

Investment

Management

since

2010.

He

is

an

officer

of

56

investment

companies

(comprised

of

110

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

45

years

old

and

has

been

an

employee

of

BNY

Mellon

Securities

Corporation

since

1999.

GAVIN

C.

REILLY,

Assistant

Treasurer

since

February

2020.

Tax

Manager-BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

53

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

April

1991.

ROBERT

SALVIOLO,

Assistant

Treasurer

since

February

2020.

Senior

Accounting

Manager

–

BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

June

1989.

ROBERT

SVAGNA,

Assistant

Treasurer

since

February

2020.

Senior

Accounting

Manager

–

BNY

Mellon

Fund

Administration.

He

is

an

officer

of

57

investment

companies

(comprised

of

131

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

He

is

55

years

old

and

has

been

an

employee

of

BNY

Mellon

Investment

Adviser,

Inc.,

an

affiliate

of

the

Adviser,

since

November

1990.

NATALYA

ZELENSKY,

Vice

President

and

Assistant

Secretary

since

February

2020

and

Chief

Compliance

Officer

since

August

2021.

Chief

Compliance

Officer

since

August

2021

and

Vice

President

since

February

2020

of

BNY

Mellon

ETF

Investment

Adviser,

LLC;

Chief

Compliance

Officer

since

August

2021

and

Vice

President

and

Assistant

Secretary

since

February

2020

of

BNY

Mellon

ETF

Trust;

Managing

Counsel

of

BNY

Mellon

from

December

2019

to

August

2021;

Counsel

of

BNY

Mellon

from

May

2016

to

December

2019;

and

Assistant

Secretary

of

BNYM

Investment

Adviser

from

April

2018

to

August

2021.

She

is

an

officer

of

56

investment

companies

(comprised

of

130

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

37

years

old

and

has

been

an

employee

of

BNY

Mellon

since

May

2016.

CARIDAD

M.

CAROSELLA,

Anti-Money

Laundering

Compliance

Officer

since

February

2020.

Anti-Money

Laundering

Compliance

Officer

of

the

BNY

Mellon

Family

of

Funds

and

BNY

Mellon

Funds

Trust.

She

is

an

officer

of

49

investment

companies

(comprised

of

123

portfolios)

managed

by

the

Adviser

or

an

affiliate

of

the

Adviser.

She

is

53

years

old

and

has

been

an

employee

of

the

Distributor

since

1997.

For

More

Information

2022

BNY

Mellon

Securities

Corporation

4863AR0622

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

info@bnymellon.com

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

Item 1. Reports to Stockholders (cont.).

(b)        Not applicable.

Item 2. Code of Ethics.

(a)        As of the period ended June 30, 2022 (the “Reporting Period”), the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.

(c)        During the Reporting Period, there have been no amendments to a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description.

(d)       During the Reporting Period, the Registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that Mr. Kevin W. Quinn is qualified to serve as an audit committee financial expert serving on the Registrant’s audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a)        Audit Fees

The aggregate fees billed for the last fiscal year

for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal year was $42,450 in 2022.  The funds were not active for the 2021 fiscal year end.

(b)        Audit-Related Fees

The aggregate fees billed for the last fiscal year for assurance and related services rendered to the Registrant by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item was $12,000 in 2022. These services consisted of security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended. The funds were not active for the 2021 fiscal year end.

(c)        Tax Fees

The aggregate fees billed for the last fiscal year for professional services rendered to the Registrant by the principal accountant for tax compliance, tax advice and tax planning was $7600 in 2022. These services consisted

of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local entity tax planning, advice and assistance regarding statutory, regulatory or administrative developments; and (iii) tax advice regarding tax qualification

.  The funds were not active for the 2021 fiscal year end.

(d)       All Other Fees

The aggregate fees billed for the last fiscal year for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item was $0 in 2022.  The funds were not active for the 2021 fiscal year end.

(e)(1)   Pursuant to the Registrant’s Audit Committee Charter that has been adopted by the audit committee, the audit committee shall approve all audit and permissible non-audit services to be provided to the Registrant and all permissible non-audit services to be provided to its investment adviser or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant.

(e)(2)   The percentage of services described in paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees was 100%; Tax Fees was 100%; and All Other Fees was 0%. 

(f)        The percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. 

(g)        The aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant for the last fiscal year of the Registrant was and $500,896 in 2022.  The funds were not active for the 2021 fiscal year end.

(h)        The Registrant’s audit committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i)

Not applicable.

(j)

Not applicable.

Item 5. Audit Committee of Listed Registrants.

(a)        The Registrant has a separately designated audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended, which consists of independent trustees of the Registrant.  The audit committee members are J. Charles Cardona, Kristen M. Dickey, F. Jack Liebau, Jr., Jill I. Mavro, Kevin W. Quinn, and Stacy L. Schaus.

(b)        Not applicable.

Item 6. Investments.

(a)        The Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1(a) of this Form N-CSR.

(b)        Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a)

The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)  

Code of ethics that is the subject of disclosure required by Item 2 of this Form N-CSR is attached hereto.

(a)(2)  

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)   Not applicable.

(a)(4)   Not applicable.

(b)        

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)                             BNY Mellon ETF Trust                                 

By (Signature and Title)*       /s/ David DiPetrillo                                        
                                                David DiPetrillo, President

                                                (Principal Executive Officer)

Date    08/22/2022     

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*       /s/ David DiPetrillo                                        
                                                David DiPetrillo, President

                                                (Principal Executive Officer)

Date    08/22/2022

By (Signature and Title)*       /s/ James Windels                                          
                                                James Windels, Treasurer

                                                (Principal Financial and Accounting Officer)

Date    08/18/2022     

*

Print the name and title of each signing officer under his or her signature.