BNY Mellon International Equity ETF (BKIE) N-CSRS Certified semi-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:  December 31, 2023

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

SEMI-ANNUAL

REPORT

December

31,

2023

BNY

Mellon

Ultra

Short

Income

ETF

IMPORTANT

NOTICE

–

UPCOMING

CHANGES

TO

ANNUAL

AND

SEMI-ANNUAL

REPORTS 

The

Securities

and

Exchange

Commission

(the

“SEC”)

has

adopted

rule

and

form

amendments

that

will

result

in

changes

to

the

design

and

delivery

of

annual

and

semi-annual

fund

reports

(“Reports”).

Beginning

in

July

2024,

Reports

will

be

streamlined

to

highlight

key

information.

Certain

information

currently

included

in

Reports,

including

financial

statements,

will

no

longer

appear

in

the

Reports

but

will

be

available

online,

delivered

free

of

charge

to

shareholders

upon

request,

and

filed

with

the

SEC. 

If

you

previously

elected

to

receive

the

fund’s

Reports

electronically,

you

will

continue

to

do

so.

Otherwise,

you

will

receive

paper

copies

of

the

fund’s

re-designed

Reports

by

USPS

mail

in

the

future.

If

you

would

like

to

receive

the

fund’s

Reports

(and/or

other

communications)

electronically

instead

of

by

mail,

please

contact

your

financial

advisor.

Contents

The

Fund

Save

time.

Save

paper.

View

your

next

shareholder

report

online

as

soon

as

it’s

available.

Log

into

www.

im.bnymellon.com

and

sign

up

for

eCommunications.

It’s

simple

and

only

takes

a

few

minutes.

The

views

expressed

herein

are

current

to

the

date

of

this

report.

These

views

and

the

composition

of

the

fund’s

portfolio

is

subject

to

change

at

any

time

based

on

market

and

other

conditions.

Not

FDIC-Insured

•

Not

Bank-Guaranteed

•

May

Lose

Value

Discussion

of

Fund

Performance

3

Understanding

Your

Fund’s

Expenses

6

Statement

of

Investments

7

Statement

of

Assets

and

Liabilities

13

Statement

of

Operations

14

Statement

of

Changes

in

Net

Assets

15

Financial

Highlights

16

Notes

to

Financial

Statements

17

Liquidity

Risk

Management

Program

26

FOR

MORE

INFORMATION

Back

Cover

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

3

For

the

period

from

July

1,

2023,

through

December

31,

2023,

as

provided

by

Stephen

Murphy,

CFA,

and

Anthony

Honko,

portfolio

managers

employed

by

the

fund’s

sub-adviser,

Dreyfus,

a

division

of

Mellon

Investments

Corporation.

Market

and

Fund

Performance

Overview

For

the

six-month

period

ended

December

31,

2023,

BNY

Mellon

Ultra

Short

Income

ETF

(the

“fund”)

produced

a

net

asset

value

total

return

of

3.28%.

1

In

comparison,

the

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

(the

“Index”),

the

fund’s

benchmark,

returned

2.70%

for

the

same

period.

2

Short-term

interest

rates

fell

sharply

during

the

reporting

period,

lifting

fixed-income

prices.

The

fund

outperformed

the

Index,

largely

as

a

result

of

its

relatively

long

duration

and

credit

positioning.

The

Fund’s

Investment

Approach

The

fund

seeks

high

current

income

consistent

with

the

maintenance

of

liquidity

and

low

volatility

of

principal.

To

pursue

its

goal,

the

fund

normally

invests

at

least

80%

of

its

net

assets

in

investment-grade,

U.S.

dollar-denominated,

fixed,

variable,

and

floating-rate

debt

or

cash

equivalents.

The

fund

typically

seeks

to

maintain

an

effective

duration

of

one

year

or

less,

although,

under

certain

market

conditions,

such

as

in

periods

of

significant

volatility

in

interest

rates

and

spreads,

the

fund’s

duration

may

be

longer

than

one

year.

The

fund’s

portfolio,

under

normal

market

conditions,

will

have

an

average

credit

rating

of

at

least

A

or

the

equivalent.

The

fund’s

sub-adviser

seeks

to

achieve

what

they

believe

provides

the

optimal

portfolio

for

the

fund

in

terms

of

preservation

of

principal,

liquidity

and

high

current

income.

To

do

so,

the

sub-adviser

uses

a

top-down

and

bottom-up

investment

process,

and

leverages

the

breadth

and

depth

of

Dreyfus’

research

resources.

The

sub-

adviser

focuses

on

preservation

of

principal

and

downside

protection,

by

proactively

monitoring

issuer

and

counterparty

risk,

and

ensures

appropriate

portfolio

liquidity

through

a

combination

of

overnight

investments

and

short-term,

highly

liquid

securities.

Yields

Decline,

Driving

Bond

Prices

Higher

After

a

final

rate

increase

in

July

2023,

the

U.S.

Federal

Reserve

(the

“Fed”)

paused

its

aggressive

program

of

interest-rate

hikes

in

recognition

of

easing

inflation

levels,

leaving

the

federal

funds

rate

in

a

range

of

5.25%−5.50%

for

the

remainder

of

the

reporting

period.

While

short-term

U.S.

Treasury

yields

rose

mildly

during

the

first

half

of

the

period,

they

fell

sharply

in

the

second

half,

driven

lower

by

the

prospect

of

eventual

rate

cuts.

Yield

declines

accelerated

and

spreads

tightened

further

in

December,

after

the

Fed

indicated

a

likelihood

of

multiple

rate

cuts

in

2024.

From

early

October

through

the

end

of

2023,

the

1-year

Treasury

yield

decreased

from

a

high

of

just

over

5.5%

to

approximately

4.7%

as

of

year-end.

The

2-year

Treasury

experienced

an

even

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

(continued)

4

steeper

drop

in

yields

during

that

same

period,

from

approximately

5.2%

to

just

over

4.2%.

As

yields

fell,

bond

prices

increased,

reflecting

the

inverse

relationship

between

bond

prices

and

yields.

At

the

same

time,

short-term

yields

continued

to

provide

an

attractive

income

stream.

As

the

1-year

and

2-year

Treasury

examples

above

illustrate,

longer-duration

bonds

experienced

steeper

yield

declines,

and

correspondingly

greater

price

increases,

than

shorter-duration

bonds.

Favorable

Duration

Positioning

Bolsters

Returns

The

fund

benefited

from

the

environment

favoring

longer-duration

instruments.

By

maintaining

a

duration

of

approximately

eight-to-nine

months

during

the

reporting

period

(versus

the

Index

duration

of

three

months),

we

positioned

the

fund

to

capture

the

price

advantage

of

longer-duration

holdings.

These

positions

were

largely

made

up

of

fixed

corporate

(representing

approximately

25%

of

the

portfolio)

and

Treasury

holdings.

The

fund

also

invested

approximately

40%

of

assets

in

commercial

paper

with

durations

of

six

months

to

a

year,

which

further

bolstered

relative

returns

as

a

result

of

duration

and

the

extra

yield

carry

from

the

credit.

No

fund

positions

materially

detracted

from

returns

relative

to

the

Index.

Positioned

for

Moderate

Rate

Cuts

As

of

December

31,

2023,

we

believe

the

market

is

pricing

in

more

aggressive

Fed

rate

cuts

than

are

likely

to

occur

in

2024,

although

some

cuts

appear

likely.

Credit

spreads

appear

unlikely

to

tighten

further

and

may

widen

somewhat,

leading

us

to

position

the

fund

with

a

bias

in

favor

of

higher-quality

credit,

although

the

actual

direction

of

the

economy

over

time

will

determine

the

course

we

set

for

the

fund.

Current

trends

toward

moderating

inflation

and

somewhat

slowing

economic

growth

appear

likely

to

remain

in

place,

barring

unexpected

developments,

with

potential

challenges

for

the

market

implicit

in

high

levels

of

consumer

debt

and

elevated

equity

prices

in

the

wake

of

2023’s

stock

market

boom.

While

we

are

keeping

a

close

eye

on

these

and

other

developments

that

could

affect

the

fund’s

performance,

for

now,

we

are

maintaining

the

duration

and

credit

positioning

described

above.

January

16,

2024

1

Total

return

includes

reinvestment

of

dividends

and

any

capital

gains

paid.

A

fund’s

net

asset

value

(NAV)

is

the

sum

of

all

its

assets

less

any

liabilities,

divided

by

the

number

of

shares

outstanding.

ETFs

are

bought

and

sold

at

market

prices,

not

NAV,

therefore

an

investor’s

return

at

market

price

may

differ

from

NAV.

Past

performance

is

no

guarantee

of

future

results.

Share

price,

yield

and

investment

return

fluctuate

such

that

upon

redemption,

fund

shares

may

be

worth

more

or

less

than

their

original

cost.

2

Source:

FactSet

-

The

ICE

BofA

3-Month

U.S.

Treasury

Bill

Index

is

an

unmanaged

market

index

of

U.S.

Treasury

securities

maturing

in

90

days

that

assumes

reinvestment

of

all

income.

Investors

cannot

invest

directly

in

any

index.

ETFs

trade

like

stocks,

are

subject

to

investment

risk,

including

possible

loss

of

principal.

ETF

shares

are

listed

on

an

exchange,

and

shares

are

generally

purchased

and

sold

in

the

secondary

market

at

market

price.

At

times,

the

market

price

may

be

at

a

premium

or

discount

to

the

ETF’s

per

share

NAV.

In

addition,

ETFs

are

subject

to

the

risk

that

an

active

trading

5

market

for

an

ETF’s

shares

may

not

develop

or

be

maintained.

Buying

or

selling

ETF

shares

on

an

exchange

may

require

payment

of

brokerage

commissions.

Bonds

are

subject

generally

to

interest-rate,

credit,

liquidity

and

market

risks,

to

varying

degrees,

all

of

which

are

more

fully

described

in

the

fund’s

prospectus.

Generally,

all

other

factors

being

equal,

bond

prices

are

inversely

related

to

interest-rate

changes,

and

rate

increases

can

cause

price

decline.

UNDERSTANDING

YOUR

FUND’S

EXPENSES

(Unaudited)

6

As

a

shareholder

of

the

fund,

you

pay

ongoing

expenses,

such

as

management

fees

and

other

expenses.

Using

the

information

below,

you

can

estimate

how

these

expenses

affect

your

investment

and

compare

them

with

the

expenses

of

other

funds.

For

more

information,

see

your

fund’s

prospectus

or

talk

to

your

financial

adviser.

Actual

Expenses

The

table

below

shows

the

expenses

you

would

have

paid

on

a

$1,000

investment

in

the

fund

from

July

1,

2023

to

December

31,

2023.

The

information

under

each

column

in

the

table

below

entitled

“Actual”

provides

information

about

on

how

much

a

$1,000

investment

would

be

worth

at

the

close

of

the

period,

assuming

net

asset

value

total

returns

and

actual

expenses.

You

may

use

the

information

in

these

columns,

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

for

the

fund

under

the

heading

entitled

“Expenses

paid

for

the

period”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Hypothetical

Example

For

Comparison

Purposes

The

Securities

and

Exchange

Commission

(“SEC”)

has

established

guidelines

to

help

investors

assess

fund

expenses.

The

information

under

each

column

in

the

table

entitled

“Hypothetical”

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

the

fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses,

which

is

not

the

fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

expenses

(but

not

transaction

expenses

or

total

cost)

of

investing

in

the

fund

with

those

of

other

funds.

To

do

so,

compare

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

the

other

funds.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs,

such

as

brokerage

commissions

paid

on

purchases

and

sales

of

fund

shares.

Therefore,

the

ending

account

values

and

expenses

paid

for

the

period

in

the

table

are

useful

in

comparing

ongoing

expenses

(but

not

transaction

expenses

or

total

cost)

of

investing

in

the

fund

with

those

of

other

funds.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

For

the

six

months

ended

December

31,

2023

(a)

Expenses

are

calculated

using

the

annualized

expense

ratio,

which

represents

the

ongoing

expenses

as

a

percentage

of

net

assets

for

the

six-month

period

ended

December

31,

2023.

Expenses

are

calculated

by

multiplying

the

fund’s

annualized

expense

ratio

by

the

average

account

value

for

the

period,

then

multiplying

the

result

by

184/366

(to

reflect

the

one-half

period).

Beginning

account

value

($)

Ending

account

value($)

Expense

paid

for

the

period

($)

Annualized

expense

ratios

for

the

period

(%)

Actual

Hypothetical

Actual

Hypothetical

Actual

(a)

Hypothetical

(a)

1,000.00

1,000.00

1,032.80

1,024.53

0.61

0.61

0.12

STATEMENT

OF

INVESTMENTS

December

31,

2023

(Unaudited)

7

Description

Principal

Amount

($)

Value

($)

Asset-Backed

Securities

–

1.7%

Ford

Credit

Floorplan

Master

Owner

Trust,

Series

2019-2,

Class

A,

3.06%,

4/15/2026

300,000

297,695

Honda

Auto

Receivables

Owner

Trust,

Series

2021-3,

Class

A3,

0.41%,

11/18/2025

180,333

175,824

Hyundai

Auto

Lease

Securitization

Trust,

Series

2021-C,

Class

A4,

0.48%,

9/15/2025

(a)

350,000

348,536

Oscar

US

Funding

XII

LLC,

Series

2021-1A,

Class

A3,

0.70%,

4/10/2025

(a)

55,830

55,542

World

Omni

Automobile

Lease

Securitization

Trust,

Series

2022-A,

Class

A3,

3.21%,

2/18/2025

250,151

248,600

Total

Asset-Backed

Securities

(cost

$1,155,720)

1,126,197

Commercial

Paper

–

35.2%

Antalis

SA,

5.60%,

3/21/2024

(a)(b)

1,500,000

1,481,055

Atlantic

Asset

Securitization

LLC,

5.58%,

4/01/2024

(a)(b)

450,000

443,577

Bank

of

Montreal,

5.48%,

9/04/2024

(a)(b)

1,400,000

1,350,705

CAFCO

LLC,

5.69%,

4/30/2024

(a)(b)

1,250,000

1,227,131

Credit

Industriel

et

Commercial,

5.84%,

3/06/2024

(a)(b)

900,000

890,840

DNB

ASA,

5.47%,

6/20/2024

(a)(b)

2,000,000

1,949,961

Gotham

Funding

Corp.,

5.56%,

4/01/2024

(a)(b)

1,200,000

1,182,934

HSBC

Bank

PLC,

6.05%

(1

Month

SOFR

+

0.66%),

6/21/2024

(a)(c)

460,000

460,724

ING

(U.S.)

Funding

LLC,

5.63%,

6/03/2024

(a)(b)

1,250,000

1,221,320

John

Deere

Capital

Corp.,

5.52%,

3/20/2024

(a)(b)

1,750,000

1,728,705

Lloyds

Bank

PLC,

5.51%,

3/05/2024

(b)

2,000,000

1,979,601

LMA

SA/LMA-Americas

LLC

5.84%,

1/22/2024

(a)(b)

250,000

249,098

5.89%,

4/11/2024

(a)(b)

800,000

787,393

MUFG

Bank,

Ltd.,

5.79%,

5/20/2024

(b)

500,000

489,284

Old

Line

Funding,

LLC,

5.89%

(1

Month

SOFR

+

0.50%),

3/04/2024

(a)(c)

275,000

275,058

Sheffield

Receivables

Corp.,

5.58%,

3/20/2024

(a)(b)

2,000,000

1,975,122

Skandinaviska

Enskilda

Banken,

5.77%

(1

Month

SOFR

+

0.38%),

3/04/2024

(a)(c)

500,000

500,249

Societe

Generale

SA,

5.89%,

3/13/2024

(a)(b)

675,000

667,472

Starbird

Funding

Corp.,

5.56%,

6/18/2024

(a)(b)

2,000,000

1,949,676

Svenska

Handelsbanken

AB

5.45%,

6/03/2024

(a)(b)

1,500,000

1,465,411

6.02%,

9/18/2024

(a)(b)

425,000

409,249

Toronto-Dominion

Bank

(The),

5.95%

(3

Month

SOFR

+

0.56%),

10/28/2024

(a)(c)

350,000

350,516

Westpac

Banking

Corp.,

5.79%,

11/14/2024

(b)

500,000

477,933

Total

Commercial

Paper

(cost

$23,511,624)

23,513,014

Corporate

Bonds

–

42.2%

Auto

Manufacturers

–

3.5%

American

Honda

Finance

Corp.

2.90%,

2/16/2024

300,000

298,895

1.30%,

9/09/2026

300,000

275,727

STATEMENT

OF

INVESTMENTS

(continued)

8

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

42.2%

(continued)

Auto

Manufacturers

–

3.5%

(continued)

BMW

US

Capital

LLC

,

5.78%

(

3

Month

SOFRIX

+

0.38%

)

,

8/12/2024

(a)(c)

300,000

300,303

General

Motors

Financial

Co.,

Inc.

,

5.40%

,

4/06/2026

250,000

251,667

Mercedes-Benz

Finance

North

America

LLC

5.20%,

8/03/2026

(a)

325,000

329,494

3.45%,

1/06/2027

(a)

325,000

314,138

PACCAR

Financial

Corp.

,

3.55%

,

8/11/2025

300,000

295,154

Toyota

Motor

Credit

Corp.

,

5.69%

(

3

Month

SOFR

+

0.32%

)

,

1/13/2025

(c)

300,000

299,346

2,364,724

Banks

–

23.2%

ANZ

New

Zealand

Int'l

Ltd.

,

6.00%

(

3

Month

SOFR

+

0.60%

)

,

2/18/2025

(a)(c)

300,000

299,993

ASB

Bank

Ltd.

,

3.13%

,

5/23/2024

(a)

350,000

347,134

Banco

Santander

SA

,

6.64%

(

3

Month

SOFR

+

1.24%

)

,

5/24/2024

(c)

350,000

351,128

Bank

of

America

NA

,

5.53%

,

8/18/2026

300,000

305,641

Bank

of

Montreal

6.48%

(3

Month

SOFRIX

+

1.06%),

6/07/2025

(c)

350,000

350,900

5.27%,

12/11/2026

325,000

329,618

Bank

of

Nova

Scotia

(The)

5.83%

(3

Month

SOFR

+

0.46%),

1/10/2025

(c)

300,000

299,267

5.35%,

12/07/2026

750,000

762,876

Canadian

Imperial

Bank

of

Commerce

3.95%,

8/04/2025

275,000

270,750

6.66%

(3

Month

SOFR

+

1.22%),

10/02/2026

(c)

375,000

376,124

Chariot

Funding

LLC

,

5.67%

,

7/01/2024

750,000

750,052

Citigroup,

Inc.

6.06%

(3

Month

SOFR

+

0.67%),

5/01/2025

(c)

300,000

299,296

6.96%

(3

Month

SOFR

+

1.53%),

3/17/2026

(c)

300,000

302,128

Commonwealth

Bank

of

Australia

,

6.17%

(

3

Month

SOFR

+

0.75%

)

,

3/13/2026

(a)(c)

350,000

350,882

Goldman

Sachs

Group,

Inc.

(The)

6.08%

(3

Month

SOFR

+

0.70%),

1/24/2025

(c)

200,000

199,925

6.21%

(3

Month

SOFR

+

0.79%),

12/09/2026

(c)

725,000

718,158

JPMorgan

Chase

&

Co.

,

6.70%

(

3

Month

SOFR

+

1.32%

)

,

4/26/2026

(c)

300,000

301,527

JPMorgan

Chase

Bank

NA

,

5.11%

,

12/08/2026

325,000

328,044

KeyBank

NA

,

4.70%

,

1/26/2026

300,000

293,106

Manufacturers

&

Traders

Trust

Co.

,

4.65%

,

1/27/2026

300,000

293,881

Mitsubishi

UFJ

Financial

Group,

Inc.

,

6.80%

(

3

Month

SOFR

+

1.39%

)

,

9/12/2025

(c)

350,000

351,138

Morgan

Stanley

,

6.01%

(

3

Month

SOFR

+

0.63%

)

,

1/24/2025

(c)

300,000

299,603

Morgan

Stanley

Bank

NA

,

6.55%

(

3

Month

SOFR

+

1.17%

)

,

10/30/2026

(c)

500,000

504,490

National

Australia

Bank

Ltd.

5.75%

(3

Month

SOFR

+

0.38%),

1/12/2025

(a)(c)

300,000

299,491

9

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

42.2%

(continued)

Banks

–

23.2%

(continued)

National

Australia

Bank

Ltd.

(continued)

1.89%,

1/12/2027

(a)

375,000

345,969

National

Bank

of

Canada

,

5.25%

,

1/17/2025

300,000

300,048

NatWest

Markets

PLC

5.93%

(3

Month

SOFR

+

0.53%),

8/12/2024

(a)(c)

350,000

349,971

1.60%,

9/29/2026

(a)

225,000

205,462

Nordea

Bank

Abp

,

0.63%

,

5/24/2024

(a)

300,000

294,434

PNC

Financial

Services

Group,

Inc.

(The)

,

2.60%

,

7/23/2026

325,000

307,904

Royal

Bank

of

Canada

,

Series

G

,

5.82%

(

3

Month

SOFRIX

+

0.44%

)

,

1/21/2025

(c)

300,000

299,243

Standard

Chartered

PLC

,

7.18%

(

3

Month

SOFR

+

1.74%

)

,

3/30/2026

(a)(c)

350,000

351,698

State

Street

Corp.

3.55%,

8/18/2025

98,000

96,215

5.27%,

8/03/2026

225,000

228,356

6.23%

(3

Month

SOFRIX

+

0.85%),

8/03/2026

(c)

350,000

349,889

Sumitomo

Mitsui

Financial

Group,

Inc.

,

1.40%

,

9/17/2026

300,000

273,347

Sumitomo

Mitsui

Trust

Bank

Ltd.

5.86%

(3

Month

SOFR

+

0.44%),

9/16/2024

(a)(c)

300,000

299,783

6.54%

(3

Month

SOFR

+

1.12%),

3/09/2026

(a)(c)

300,000

301,646

5.65%,

9/14/2026

(a)

325,000

330,418

Toronto-Dominion

Bank

(The)

5.77%

(3

Month

SOFR

+

0.35%),

9/10/2024

(c)

300,000

300,192

5.53%,

7/17/2026

200,000

203,896

Truist

Bank

,

3.20%

,

4/01/2024

300,000

298,078

Truist

Financial

Corp.

,

5.82%

(

3

Month

SOFR

+

0.40%

)

,

6/09/2025

(c)

200,000

197,065

UBS

AG

,

0.45%

,

2/09/2024

(a)

300,000

298,392

US

Bancorp

,

Series

V

,

2.38%

,

7/22/2026

325,000

305,232

Wells

Fargo

&

Co.

,

3.00%

,

2/19/2025

300,000

293,447

Westpac

Banking

Corp.

,

5.70%

(

3

Month

SOFR

+

0.30%

)

,

11/18/2024

(c)

300,000

299,537

15,515,374

Computers

–

0.5%

International

Business

Machines

Corp.

,

4.00%

,

7/27/2025

300,000

296,831

296,831

Diversified

Financial

Services

–

2.3%

American

Express

Co.

3.40%,

2/22/2024

300,000

299,672

6.16%

(3

Month

SOFR

+

0.76%),

2/13/2026

(c)

250,000

249,555

Charles

Schwab

Corp.

(The)

5.92%

(3

Month

SOFRIX

+

0.50%),

3/18/2024

(c)

350,000

349,942

5.92%

(3

Month

SOFRIX

+

0.52%),

5/13/2026

(c)

300,000

295,227

5.88%,

8/24/2026

350,000

359,100

1,553,496

STATEMENT

OF

INVESTMENTS

(continued)

10

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

42.2%

(continued)

Food

–

0.5%

Mondelez

International,

Inc.

,

2.13%

,

3/17/2024

300,000

297,680

297,680

Healthcare-Services

–

1.0%

Roche

Holdings,

Inc.

,

6.14%

(

3

Month

SOFR

+

0.74%

)

,

11/13/2026

(a)(c)

650,000

651,651

651,651

Insurance

–

0.4%

Prudential

Financial,

Inc.

,

1.50%

,

3/10/2026

300,000

279,840

279,840

Machinery-Diversified

–

0.9%

John

Deere

Capital

Corp.

4.80%,

1/09/2026

300,000

301,683

1.70%,

1/11/2027

350,000

323,295

624,978

Media

–

1.1%

Comcast

Corp.

,

2.35%

,

1/15/2027

750,000

704,357

704,357

Oil

&

Gas

–

0.4%

BP

Capital

Markets

America,

Inc.

,

3.41%

,

2/11/2026

300,000

293,076

293,076

Pharmaceuticals

–

3.6%

AbbVie,

Inc.

,

2.95%

,

11/21/2026

350,000

335,721

AstraZeneca

Finance

LLC

,

0.70%

,

5/28/2024

300,000

294,266

Cigna

Group

(The)

,

5.69%

,

3/15/2026

650,000

650,529

CVS

Health

Corp.

,

3.00%

,

8/15/2026

300,000

286,781

GlaxoSmithKline

Capital

PLC

,

3.00%

,

6/01/2024

300,000

297,000

Pfizer

Investment

Enterprises

Pte

Ltd.

,

4.45%

,

5/19/2026

250,000

249,358

Shire

Acquisitions

Investments

Ireland

DAC

,

3.20%

,

9/23/2026

300,000

288,717

2,402,372

Real

Estate

–

1.0%

Simon

Property

Group

LP

,

1.38%

,

1/15/2027

725,000

662,499

662,499

Retail

–

1.4%

Target

Corp.

,

1.95%

,

1/15/2027

700,000

653,469

Walmart,

Inc.

,

3.90%

,

9/09/2025

300,000

297,152

950,621

Semiconductors

–

0.5%

Intel

Corp.

,

3.70%

,

7/29/2025

300,000

295,348

295,348

Software

–

0.9%

Oracle

Corp.

,

2.65%

,

7/15/2026

300,000

284,584

Salesforce,

Inc.

,

0.63%

,

7/15/2024

300,000

292,545

577,129

11

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

42.2%

(continued)

Telecommunications

–

1.0%

AT&T,

Inc.

,

4.25%

,

3/01/2027

700,000

692,543

692,543

Total

Corporate

Bonds

(cost

$28,145,840)

28,162,519

U.S.

Treasury

Government

Securities

–

7.5%

U.S.

Treasury

Notes

3.13%,

8/15/2025

2,500,000

2,450,586

4.88%,

11/30/2025

2,500,000

2,526,074

Total

U.S.

Treasury

Government

Securities

(cost

$4,971,408)

4,976,660

Shares

Investment

Companies

–

13.2%

Registered

Investment

Companies

–

13.2%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

5.32%

(d)(e)

(cost

$8,834,231)

8,834,231

8,834,231

Total

Investments

(cost

$66,618,823)

99.8%

66,612,621

Cash

and

Receivables

(Net)

0.2%

151,820

Net

Assets

100.0%

66,764,441

SOFR—Secured

Overnight

Financing

Rate

SOFRIX—Secured

Overnight

Financing

Rate

Index

(a)

Security

exempt

from

registration

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933.

These

securities

may

be

resold

in

transactions

exempt

from

registration,

normally

to

qualified

institutional

buyers.

At

December

31,

2023,

these

securities

were

valued

at

$26,641,133

or

39.90%

of

net

assets.

(b)

Security

is

a

discount

security.

Income

is

recognized

through

the

accretion

of

discount.

(c)

Variable

rate

security

-

rate

shown

is

the

interest

rate

in

effect

at

period

end.

Security

description

also

includes

the

reference

rate

and

spread

if

published

and

available.

(d)

Investment

in

affiliated

issuer.

The

investment

objective

of

this

investment

company

is

publicly

available

and

can

be

found

within

the

investment

company’s

prospectus.

(e)

The

rate

shown

is

the

1-day

yield

as

of

December

31,

2023.

Portfolio

Summary

(Unaudited)

†

Value

(%)

Financial

63.8

Registered

Investment

Companies

13.2

Government

7.5

Consumer,

Non-cyclical

5.1

Consumer,

Cyclical

4.9

Communications

2.1

Technology

1.9

Industrial

0.9

Energy

0.4

99.8

†

Based

on

net

assets.

STATEMENT

OF

INVESTMENTS

(continued)

12

See

Notes

to

Financial

Statements

Holdings

and

transactions

in

these

affiliated

companies

during

the

period

ended

December

31,

2023

are

as

follows:

Description

Value

($)

6/30/23

Purchases

($)

1

Sales

($)

Value

($)

12/31/23

Dividends/

Distributions

($)

Investment

Companies

–

13.2%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

39,339

44,330,981

(35,536,089)

8,834,231

32,233

Total

–

13.2%

39,339

44,330,981

(35,536,089)

8,834,231

32,233

1

Includes

reinvested

dividends/distributions.

STATEMENT

OF

ASSETS

AND

LIABILITIES

December

31,

2023

(Unaudited)

13

See

Notes

to

Financial

Statements

Cost

Value

Assets

($):

Investments

in

securities—See

Statement

of

Investments:

–

Unaffiliated

issuers

57,784,592

57,778,390‌

Affiliated

issuers

8,834,231

8,834,231‌

Interest

receivable

321,039‌

Dividends

receivable

25,853‌

66,959,513‌

Liabilities

($):

Due

to

BNY

Mellon

ETF

Investment

Adviser,

LLC—

Note

3(b)

4,627‌

Distributions

payable—Note

2(e)

190,445‌

195,072‌

Net

Assets

($)

66,764,441‌

Composition

of

Net

Assets

($):

Paid-in

capital

67,056,483‌

Total

distributable

earnings

(loss)

(292,042‌)

Net

Assets

($)

66,764,441‌

Shares

outstanding

no

par

value

(unlimited

shares

authorized):

1,350,001‌

Net

asset

value

per

share

49.46‌

Market

price

per

share

49.46‌

STATEMENT

OF

OPERATIONS

Six

Months

Ended

December

31,

2023

(Unaudited)

14

See

Notes

to

Financial

Statements

Investment

Income

($):

Income:

Cash

dividends:

Affiliated

issuers

32,233‌

Interest

730,965‌

Total

Income

763,198‌

Expenses:

Management

fee—Note

3(a)

19,498‌

Total

Expenses

19,498‌

Net

Investment

Income

743,700‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments—Note

4

($):

Net

realized

gain

(loss)

on

investments

770‌

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

320,449‌

Net

Realized

and

Unrealized

Gain

(Loss)

on

Investments

321,219‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

1,064,919‌

STATEMENT

OF

CHANGES

IN

NET

ASSETS

15

See

Notes

to

Financial

Statements

Six

Months

Ended

December

31,

2023

(Unaudited)

Year

Ended

June

30,

2023

Operations

($):

Net

investment

income

743,700‌

887,148‌

Net

realized

gain

(loss)

on

investments

770‌

(9,700‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

320,449‌

117,584‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

1,064,919‌

995,032‌

Distributions

($):

Distributions

to

shareholders

(893,904‌)

(878,254‌)

Beneficial

Interest

Transactions

($):

Proceeds

from

shares

sold

39,564,596‌

4,886,067‌

Cost

of

shares

redeemed

(2,473,521‌)

(2,436,261‌)

Transaction

fees—Note

5

4,204‌

732‌

Increase

(Decrease)

in

Net

Assets

from

Beneficial

Interest

Transactions

37,095,279‌

2,450,538‌

Total

Increase

(Decrease)

in

Net

Assets

37,266,294‌

2,567,316‌

Net

Assets

($):

Beginning

of

Period

29,498,147‌

26,930,831‌

End

of

Period

66,764,441‌

29,498,147‌

Changes

in

Shares

Outstanding:

Shares

sold

800,000‌

100,000‌

Shares

redeemed

(50,000‌)

(50,000‌)

Net

Increase

(Decrease)

in

Shares

Outstanding

750,000‌

50,000‌

FINANCIAL

HIGHLIGHTS

16

The

following

table

describes

the

performance

for

the

fiscal

periods

indicated

and

these

figures

have

been

derived

from

the

fund’s

financial

statements.

See

Notes

to

Financial

Statements

Six

Months

Ended

December

31,

2023

(Unaudited)

Year

Ended

June

30,

2023

For

the

Period

from

August

11,

2021

(a)

to

June

30,

2022

Per

Share

Data

($):

Net

asset

value,

beginning

of

period

49.16‌

48.97‌

50.00‌

Investment

Operations:

Net

investment

income

(b)

1.13‌

1.56‌

0.17‌

Net

realized

and

unrealized

gain

(loss)

on

investments

0.46‌

0.18‌

(0.94‌)

Total

from

Investment

Operations

1.59‌

1.74‌

(0.77‌)

Distributions:

–

–

–

Dividends

from

net

investment

income

(1.30‌)

(1.55‌)

(0.27‌)

Transaction

fees

(b)

0.01‌

0.00‌

(c)

0.01‌

Net

asset

value,

end

of

period

49.46‌

49.16‌

48.97‌

Market

price,

end

of

period

49.46‌

49.15‌

48.96‌

Net

Asset

Value

Total

Return

(%)

(d)

3.28‌

3.64‌

(1.54‌)

(e)

Market

Price

Total

Return

(%)

(d)

3.32‌

3.62‌

(1.55‌)

(e)

Ratios/Supplemental

Data

(%):

Ratio

of

total

expenses

to

average

net

assets

0.12‌

(f)

0.12‌

0.12‌

(f)

Ratio

of

net

investment

income

to

average

net

assets

4.58‌

(f)

3.19‌

0.39‌

(f)

Portfolio

Turnover

Rate

(g)

21.05‌

20.55‌

43.10‌

Net

Assets,

end

of

period

($

x

1,000)

66,764‌

29,498‌

26,931‌

(a)

Commencement

of

operations.

(b)

Based

on

average

shares

outstanding.

(c)

Amount

represents

less

than

$0.01

per

share.

(d)

Net

asset

value

total

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period,

and

redemption

at

net

asset

value

on

the

last

day

of

the

period.

Net

asset

value

total

return

includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

Market

price

total

return

is

calculated

assuming

an

initial

investment

made

at

the

market

price

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

market

price

during

the

period,

and

sale

at

the

market

price

on

the

last

day

of

the

period.

Total

investment

returns

calculated

for

a

period

of

less

than

one

year

are

not

annualized.

(e)

The

net

asset

value

total

return

and

the

market

price

total

return

is

calculated

from

fund

inception.

The

inception

date

is

the

first

date

the

fund

was

available

on

NYSE

Arca,

Inc.

(f)

Annualized.

(g)

Portfolio

turnover

rate

is

not

annualized

for

periods

less

than

one

year,

if

applicable,

and

does

not

include

securities

received

or

delivered

from

processing

creations

or

redemptions.

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

17

NOTE

1—Organization:

BNY

Mellon

Ultra

Short

Income

ETF (the “fund”) is a

separate

diversified series

of

BNY

Mellon

ETF

Trust

(the

“Trust”),

which is

registered as

a

Massachusetts

business

trust

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“Act”),

as

an

open-ended

management

investment

company.

The

Trust

operates

as

a

series

company

currently

consisting

of

sixteen

series,

including

the

fund.

The

investment

objective

of

the

fund

is

to

seek

high

current

income

consistent

with

the

maintenance

of

liquidity

and

low

volatility

of

principal.

BNY

Mellon

ETF

Investment

Adviser,

LLC

(the

“Adviser”),

a

wholly-owned

subsidiary

of

The

Bank

of

New

York

Mellon

Corporation

(“BNY

Mellon”),

serves

as

the

fund’s

investment

adviser. Dreyfus,

a

division

of

Mellon

Investments

Corporation (the

“Sub-Adviser”),

an

indirect wholly-

owned

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser,

serves

as

the

fund’s

sub-adviser.

The

Bank

of

New

York

Mellon,

a

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser,

serves

as

administrator,

custodian

and

transfer

agent

with

the

Trust.

BNY

Mellon

Securities

Corporation

(the

“Distributor”),

a wholly-owned

subsidiary

of

the

Adviser,

is

the

distributor

of

the

fund’s

shares.

The

shares

of

the

fund

are

referred

to

herein

as

“Shares”

or

“Fund’s

Shares.”

The

Fund’s

Shares

are

listed

and

traded

on

NYSE

Arca,

Inc.

The

market

price

of

each

Share

may

differ

to

some

degree

from

the

fund’s

net

asset

value

(“NAV”).

Unlike

conventional

mutual

funds,

the

fund

issues

and

redeems

Shares

on

a

continuous

basis,

at

NAV,

only

in

a

large

specified

number

of

Shares,

each

called

a

“Creation

Unit”.

Creation

Units

are

issued

and

redeemed

principally

in

exchange

for

the

deposit

or

delivery

of

a

basket

of

securities.

Except

when

aggregated

in

Creation

Units

by

Authorized

Participants,

the

Shares

are

not

individually

redeemable

securities

of

the

fund.

Individual

Fund

Shares

may

only

be

purchased

and

sold

on

the

NYSE

Arca,

Inc.,

other

national

securities

exchanges,

electronic

crossing

networks

and

other

alternative

trading

systems

through

your

broker-dealer

at

market

prices.

Because

Fund

Shares

trade

at

market

prices

rather

than

at

NAV,

Fund

Shares

may

trade

at

a

price

greater

than

NAV

(premium)

or

less

than

NAV

(discount).

When

buying

or

selling

Shares

in

the

secondary

market,

you

may

incur

costs

attributable

to

the

difference

between

the

highest

price

a

buyer

is

willing

to

pay

to

purchase

Shares

of

the

fund

(bid)

and

the

lowest

price

a

seller

is

willing

to

accept

for

Shares

of

the

fund

(ask). 

NOTE

2—Significant

Accounting

Policies: 

The

Financial

Accounting

Standards

Board

(“FASB”)

Accounting

Standards

Codification

(“ASC”)

is

the

exclusive

reference

of

authoritative

U.S.

generally

accepted

accounting

principles

(“GAAP”)

recognized

by

the

FASB

to

be

applied

by

nongovernmental

entities.

Rules

and

interpretive

releases

of

the

SEC

under

authority

of

federal

laws

are

also

sources

of

authoritative

GAAP

for

SEC

registrants. The

fund

is an

investment

company

and

applies

the

accounting

and

reporting

guidance

of

the

FASB

ASC

Topic

946

Financial

Services-Investment

Companies. The

fund’s

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

18

financial

statements

are

prepared

in

accordance

with

GAAP,

which

may

require

the

use

of

management

estimates

and

assumptions.

Actual

results

could

differ

from

those

estimates.  

The

Trust

accounts

separately

for

the

assets,

liabilities

and

operations

of

each

series.

Expenses

directly

attributable

to

each

series

are

charged

to

that

series’

operations;

expenses

which

are

applicable

to

all

series

are

allocated

among

them

on

a

pro

rata

basis.

The

Trust

enters

into

contracts

that

contain

a

variety

of

indemnifications.

The

fund’s

maximum

exposure

under

these

arrangements

is

unknown.

The

fund

does

not

anticipate

recognizing

any

loss

related

to

these

arrangements. 

(a)

Portfolio

valuation:

The

fair

value

of

a

financial

instrument

is

the

amount

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date

(i.e.,

the

exit

price).

GAAP

establishes

a

fair

value

hierarchy

that

prioritizes

the

inputs

of

valuation

techniques

used

to

measure

fair

value.

This

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Additionally,

GAAP

provides

guidance

on

determining

whether

the

volume

and

activity

in

a

market

has

decreased

significantly

and

whether

such

a

decrease

in

activity

results

in

transactions

that

are

not

orderly.

GAAP

requires

enhanced

disclosures

around

valuation

inputs

and

techniques

used

during

annual

and

interim

periods.

Various

inputs

are

used

in

determining

the

value

of

the

fund’s

investments

relating

to

fair

value

measurements.

These

inputs

are

summarized

in

the

three

broad

levels

listed

below:

Level

1

—

unadjusted

quoted

prices

in

active

markets

for

identical

investments.

Level

2

—

other

significant

observable

inputs

(including

quoted

prices

for

similar

investments

,

interest

rates,

prepayment

speeds,

credit

risk,

etc.).

Level

3

—

significant

unobservable

inputs

(including

the

fund’s

own

assumptions

in

determining

the

fair

value

of

investments).

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Changes

in

valuation

techniques

may

result

in

transfers

in

or

out

of

an

assigned

level

within

the

disclosure

hierarchy.

Valuation

techniques

used

to

value

the

fund’s

investments

are

as

follows:

Registered

investment

companies

that

are

not

traded

on

an

exchange

are

valued

at

their

net

asset

value

and

are

generally

categorized

within

Level 1

of

the

fair

value

hierarchy.

19

The

Trust’s Board

of

Trustees

(the

“Board”)

has

designated

the

Adviser

as

the

fund’s

valuation

designee

to

make

all

fair

value

determinations

with

respect

to

the

fund’s

portfolio

of

investments,

subject

to

the

Board’s

oversight

and

pursuant

to

Rule

2a-5

under

the

Act.

Investments

in

debt

securities

excluding

short-term

investments

(other

than

U.S.

Treasury

Bills)

are

valued

each

business

day

by

one

or

more

independent

pricing

services

(each,

a

“Service”)

approved

by the Board.

Investments

for

which

quoted

bid

prices

are

readily

available

and

are

representative

of

the

bid

side

of

the

market

in

the

judgment

of

a

Service

are

valued

at

the

mean

between

the

quoted

bid

prices

(as

obtained

by

a

Service

from

dealers

in

such

securities)

and

asked

prices

(as

calculated

by

a

Service

based

upon

its

evaluation

of

the

market

for

such

securities).

Securities

are

valued

as

determined

by

a

Service,

based

on

methods

which

include

consideration

of

the

following:

yields

or

prices

of

securities

of

comparable

quality,

coupon,

maturity

and

type;

indications

as

to

values

from

dealers;

and

general

market

conditions.

Each

Service

and

independent

valuation

firm

is

engaged

under

the

general

oversight

of

the

Board.

Overnight

and

certain

other

short-term

debt

instruments

(excluding

U.S.

Treasury

Bills)

will

be

valued

by

the

amortized

cost

method,

which

approximates

value,

unless

a

Service

provides

a

valuation

for

such

security

or,

in

the

opinion

of

the

Board

or

a

committee

or

other

persons

designated

by

the

Board,

the

amortized

cost

method

would

not

represent

fair

value. These

securities

are

generally

categorized

within

Level

2

of

the

fair

value

hierarchy.

When

market

quotations

or

official

closing

prices

are

not

readily

available,

or

are

determined

not

to

reflect

fair

value

accurately,

they are

valued

at

fair

value

as

determined

in

good

faith

based

on

procedures

approved

by

the

Board.

Fair

value

of

investments

may

be

determined

by

valuation

designee

using

such

information

as

it

deems

appropriate

under

the

circumstances.

Certain

factors

may

be

considered

when

fair

valuing

investments

such

as:

fundamental

analytical

data,

the

nature

and

duration

of

restrictions

on

disposition,

an

evaluation

of

the

forces

that

influence

the

market

in

which

the

securities

are

purchased

and

sold,

and

public

trading

in

similar

securities

of

the

issuer

or

comparable

issuers.

These

securities

are

either

categorized

within

Level

2

or

3

of

the

fair

value

hierarchy

depending

on

the

relevant

inputs

used.

For

securities

where

observable

inputs

are

limited,

assumptions

about

market

activity

and

risk

are

used

and

are

generally

categorized

within

Level

3

of

the

fair

value

hierarchy.

The

table

below

summarizes

the

inputs

used

as

of December

31,

2023

in

valuing

the

fund’s

investments:

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

20

Fair

Value

Measurements

(b) Securities

transactions

and

investment

income:

Securities

transactions

are

recorded

on

a

trade

date

basis.

Realized

gains

and

losses

from

securities

transactions

are

recorded

on

the

identified

cost

basis.

Dividend

income

is

recognized

on

the

ex-

dividend

date

and

interest

income,

including,

where

applicable,

accretion

of

discount

and

amortization

of

premium

on

investments,

is

recognized

on

the

accrual

basis.

(c)

Affiliated

issuers:

Investments

in

other

investment

companies

advised

by

the

Adviser

or

its

affiliates are

defined

as

“affiliated”

under

the

Act. 

(d)

Market

Risk:

The

value

of

the

securities

in

which

the

fund

invests

may

be

affected

by

political,

regulatory,

economic

and

social

developments,

and

developments

that

impact

specific

economic

sectors,

industries

or

segments

of

the

market.

In

addition,

turbulence

in

financial

markets

and

reduced

liquidity

in

equity,

credit

and/

or

fixed

income

markets

may

negatively

affect

many

issuers,

which

could

adversely

affect

the

fund.

Global

economies

and

financial

markets

are

becoming

increasingly

interconnected,

and

conditions

and

events

in

one

country,

region

or

financial

market

may

adversely

impact

issuers

in

a

different

country,

region

or

financial

market.

These

risks

may

be

magnified

if

certain

events

or

developments

adversely

interrupt

the

global

supply

chain;

in

these

and

other

circumstances,

such

risks

might

affect

companies

world-wide.

Fixed-Income

Market

Risk:

The

market

value

of

a

fixed-income

security

may

decline

due

to

general

market

conditions

that

are

not

specifically

related

to

a

particular

company,

such

as

real

or

perceived

adverse

economic

conditions,

changes

in

the

outlook

for

corporate

earnings,

changes

in

interest

or

currency

rates

or

adverse

investor

sentiment

generally.

The

fixed-income

securities

market

can

be

susceptible

to

increases

in

volatility

and

decreases

in

liquidity.

Liquidity

can

decline

unpredictably

in

response

to

overall

economic

conditions

or

credit

tightening.

Increases

in

volatility

and

decreases

in

liquidity

may

be

caused

by

a

rise

in

interest

rates

(or

the

expectation

of

a

rise

in

interest

rates).

An

unexpected

increase

in

redemption

requests,

including

Level

1

-

Unadjusted

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

-

Significant

Unobservable

Inputs

Total

Assets

($)

Investments

In

Securities:

†

Asset-Backed

Securities

—

1,126,197

—

1,126,197

Commercial

Paper

—

23,513,014

—

23,513,014

Corporate

Bonds

—

28,162,519

—

28,162,519

U.S.

Treasury

Government

Securities

—

4,976,660

—

4,976,660

Investment

Companies

8,834,231

—

—

8,834,231

†

See

Statement

of

Investments

for

additional

detailed

categorizations,

if

any.

21

requests

from

Authorized

Participants

who

may

own

a

significant

percentage

of

the

fund’s

shares,

which

may

be

triggered

by

market

turmoil

or

an

increase

in

interest

rates,

could

cause

the

fund

to

sell

its

holdings

at

a

loss

or

at

undesirable

prices

and

adversely

affect

the

fund’s

share

price

and

increase

the

fund’s

liquidity

risk,

fund

expenses

and/or

taxable

distributions.

Federal

Reserve

policy

in

response

to

market

conditions,

including

with

respect

to

interest

rates,

may

adversely

affect

the

value,

volatility

and

liquidity

of

dividend

and

interest

paying

securities.

Policy

and

legislative

changes

worldwide

are

affecting

many

aspects

of

financial

regulation.

The

impact

of

these

changes

on

the

markets

and

the

practical

implications

for

market

participants

may

not

be

fully

known

for

some

time.

Commercial

Paper

Risk:

Commercial

paper

is

a

short-term

obligation

with

a

maturity

generally

ranging

from one

to

270

days

and

is

issued

by

U.S.

or

foreign

companies

or

other

entities

in

order

to

finance

their

current

operations.

Such

investments

are

unsecured

and

usually

discounted

from

their

value

at

maturity.

The

value

of

commercial

paper

may

be

affected

by

changes

in

the

credit

rating

or

financial

condition

of

the

issuing

entities

and

will

tend

to

fall

when

interest

rates

rise

and

rise

when

interest

rates

fall.

Authorized

Participants,

Market

Makers

and

Liquidity

Providers

Risk:

The

fund

has

a

limited

number

of

financial

institutions

that

may

act

as

Authorized

Participants,

which

are

responsible

for

the

creation

and

redemption

activity

for

the

fund.

In

addition,

there

may

be

a

limited

number

of

market

makers

and/or

liquidity

providers

in

the

marketplace.

To

the

extent

either

of

the

following

events

occur,

fund

shares

may

trade

at

a

material

discount

to

net

asset

value

and

possibly

face

delisting:

(i)

Authorized

Participants

exit

the

business

or

otherwise

become

unable

to

process

creation

and/or

redemption

orders

and

no

other

Authorized

Participants

step

forward

to

perform

these

services,

or

(ii)

market

makers

and/or

liquidity

providers

exit

the

business

or

significantly

reduce

their

business

activities

and

no

other

entities

step

forward

to

perform

their

functions.

(e)

Dividends

and

distributions

to

shareholders:

Dividends

and

distributions

are

recorded

on

the

ex-dividend

date.

Dividends

from

net

investment

income

are

normally

declared

and

paid

on

a

monthly

basis.

Dividends

from

net

realized

capital

gains,

if

any,

are

normally

declared

and

paid

annually,

but

the

fund

may

make

distributions

on

a

more

frequent

basis

to

comply

with

the

distribution

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

To

the

extent

that

net

realized

capital

gains

can

be

offset

by

capital

loss

carryovers

of

a

fund,

it

is

the

policy

of

the

fund

not

to

distribute

such

gains.

Income

and

capital

gain

distributions

are

determined

in

accordance

with

income

tax

regulations,

which

may

differ

from

GAAP.

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

22

On

December

26,

2023,

the

Board

declared

a

cash

dividend

of

$0.14

per

share

from

net

investment

income,

payable

on

January

3,

2024

to

shareholders

of

record

as

of

the

close

of

business

on

December

28,

2023.

The

ex-dividend

date

was

December

27,

2023.

(f)

Federal

income

taxes:

It

is

the

policy

of

the

fund

to

continue to

qualify

as

a

regulated

investment

company,

if

such

qualification

is

in

the

best

interests

of

its

shareholders,

by

complying

with

the

applicable

provisions

of

the

Code,

and

to

make

distributions

of

taxable

income

and

net

realized

capital

gain sufficient

to

relieve

it

from

substantially

all

federal

income

and

excise

taxes.

As

of

and

during

the period

ended December

31,

2023,

the

fund

did

not

have

any

liabilities

for

any

uncertain

tax

positions.

The

fund

recognizes

interest

and

penalties,

if

any,

related

to

uncertain

tax

positions

as

income

tax

expense

in

the

Statement

of

Operations.

During

the period

ended December

31,

2023,

the

fund

did

not

incur

any

interest

or

penalties.

Each

tax

year

in

the

two-year

period

ended June

30,

2023

remains

subject

to

examination

by

the

Internal

Revenue

Service

and

state

taxing

authorities.

The

fund

is

permitted

to

carry

forward

capital

losses

for

an

unlimited

period.

Furthermore,

capital

loss

carryovers

retain

their

character

as

either

short-term

or

long-

term

capital

losses.

The

fund

has

an

unused

capital

loss

carryover

of

$156,066

available

for

federal

income

tax

purposes

to

be

applied

against

future

net

realized

capital

gains,

if

any,

realized

subsequent

to

June

30,

2023.

The

fund

had

$105,384

of

short-term

capital

losses

and

$50,682

of

long-term

capital

losses

which

can

be

carried

forward

for

an

unlimited

period.

The

tax

character

of

distributions

paid

to

shareholders

during

the

fiscal

year

ended

June

30,

2023

were

as

follows:

ordinary

income

$878,254.

The

tax

character

of

current

year

distributions

will

be

determined

at

the

end

of

the

current

fiscal

year.

NOTE

3—Management

Fee,

Sub-Advisory

Fee

and

Other

Transactions

with

Affiliates:

(a)

Pursuant

to

a

management

agreement

with

the

Adviser,

the

management

fee

is computed

at

an

annual

rate of

0.12%

of

the

value

of

the

fund’s

average

daily

net

assets

and

is

payable

monthly.

The

fund’s

management

agreement

provides

that

the

Adviser

pays

substantially

all

expenses

of

the

fund,

except

for

the

management

fees,

payments

under

the

fund’s

12b-1

plan

(if

any),

interest

expenses,

taxes,

acquired

fund

fees

and

expenses,

brokerage

commissions,

costs

of

holding

shareholder

meetings,

fees

and

expenses

associated

with

the

fund’s

securities

lending

program,

and

litigation

and

potential

litigation

and

other

extraordinary

expenses

not

incurred

in

the

ordinary

course

of

the

fund’s

business.

23

The

Adviser

may

from

time

to

time

voluntarily

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

total

annual

fund

operating

expenses.

Any

such

voluntary

waiver

or

reimbursement

may

be

eliminated

by

the

Adviser

at

any

time.

During

the

period

ended

December

31,

2023,

there

was

no

reduction

in

expenses

pursuant

to

the

undertaking.

Pursuant

to

a

sub-investment

advisory

agreement

between

the

Adviser

and

the

Sub-

Adviser,

the

Sub-Adviser

serves

as

the

fund’s

sub-adviser

responsible

for

the

day-to-day

management

of

the

fund’s

portfolio.

The

Adviser

pays

the

Sub-Adviser

a

monthly

fee

at

an

annual

percentage

of

the

value

of

the

fund’s

average

daily

net

assets.

The

Adviser

has

obtained

an

exemptive

order

from

the

SEC

(the

“Order”),

upon

which

the

fund

may

rely,

to

use

a

manager

of

managers

approach

that

permits

the

Adviser,

subject

to

certain

conditions

and

approval

by

the

Board,

to

enter

into

and

materially

amend

sub-investment

advisory

agreements

with

one

or

more

sub-advisers

who

are

either

unaffiliated

or

affiliated

with

the

Adviser

without

obtaining

shareholder

approval.

The

Order

also

relieves

the

fund

from

disclosing

the

sub-advisory

fee

paid

by

the

Adviser

to

a

Sub-Adviser

in

documents

filed

with

the

SEC

and

provided

to

shareholders.

In

addition,

pursuant

to

the

Order,

it

is

not

necessary

to

disclose

the

sub-advisory

fee

payable

by

the

Adviser

separately

to

a

Sub-Adviser

that

is

a

wholly-owned

subsidiary

(as

defined

in

the

1940

Act)

of

BNY

Mellon

in

documents

filed

with

the

SEC

and

provided

to

shareholders;

such

fees

are

to

be

aggregated

with

fees

payable

to

the

Adviser.

The

Adviser

has

ultimate

responsibility

(subject

to

oversight

by

the

Board)

to

supervise

any

Sub-Adviser

and

recommend

the

hiring,

termination,

and

replacement

of

any

Sub-Adviser

to

the

Board.

Pursuant

to

a

sub-investment

advisory

agreement

between

the

Adviser

and

the

Sub-

Adviser,

the

Adviser

pays

the

Sub-Adviser

a

monthly

fee

at

an

annual

rate

of

0.06%

of

the

value

of

the

fund’s

average

daily

net

assets.

The

Adviser,

and

not

the

fund,

pays

the

Sub-Adviser

fee

rate.

(b)

The

fund

has

an

arrangement

with

The

Bank

of

New

York

Mellon

(the

“Custodian”),

a

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser, whereby

the

fund

will

receive

interest

income

or

be

charged

overdraft

fees

when

cash

balances

are

maintained.

For

financial

reporting

purposes,

the

fund

includes

this

interest

income

and

overdraft

fees,

if

any,

as

interest

income

in

the

Statement

of

Operations.

The

components

of

“Due

to

BNY

Mellon

ETF Investment

Adviser,

LLC”

in

the

Statement

of

Assets

and

Liabilities

consist

of:

management

fee

of $4,627.

(c)

Each

Board

member

serves

as

a

Board

member

of

each

fund

within

the

Trust.

The

Board

members

are

not

compensated

directly

by

the

fund.

The

Board

members

are

paid

by

the

Adviser

from

the

unitary

management

fee

paid

to

the

Adviser

by

the

fund.

The

quarterly

fees

are

paid

by

the

Adviser

from

unitary

management

fees

paid

to

the

Adviser

by

the

funds

within

the

Trust,

including

the

fund.

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

24

NOTE

4—Securities

Transactions:

The

aggregate

amount

of

purchases

and

sales

(including

paydowns,

if

any)

of

investment

securities,

excluding

short-term

securities

and

in-kind

transactions,

during

the

period

ended

December

31,

2023, amounted

to $18,638,014

and

$4,305,795,

respectively.

At December

31,

2023,

accumulated

net

unrealized

depreciation on

investments

was

$6,202,

consisting

of

gross

appreciation

of

$187,002

and

gross

depreciation

of

$193,204.

At

December

31,

2023,

the

cost

of

investments

for

federal

income

tax

purposes

was

substantially

the

same

as

the

cost

for

financial

reporting

purposes

(see

the

Statement

of

Investments).

NOTE

5—Shareholder

Transactions:

The

fund

issues

and

redeems

its

shares

on

a

continuous

basis,

at

NAV,

to

certain

institutional

investors

known

as

“Authorized

Participants”

(typically

market

makers

or

other

broker-dealers)

only

in

a

large

specified

number

of

shares

called

a

Creation

Unit.

Except

when

aggregated

in

Creation

Units,

shares

of

the

fund

are

not

redeemable.

The

value

of

the

fund

is

determined

once

each

business

day.

The

Creation

Unit

size

for the

fund

may

change.

Authorized

Participants

will

be

notified

of

such

change.

Creation

Unit

transactions

may

be

made

in-kind,

for

cash,

or

for

a

combination

of

securities

and

cash.

The

principal

consideration

for

creations

and

redemptions

for

the

fund

is

in-kind,

although

this

may

be

revised

at

any

time

without

notice.

The

Trust

issues

and

sells

shares

of

the

fund

only:

in

Creation

Units

on

a

continuous

basis

through

the

Distributor,

without

a

sales

load,

at

their

NAV

per

share

determined

after

receipt

of

an

order,

on

any

Business

Day,

in

proper

form

pursuant

to

the

terms

of

the

Authorized

Participant

Agreement.

Transactions

in

capital

shares

for

the

fund

are

disclosed

in

detail

in

the

Statement

of

Changes

in

Net

Assets.

The

consideration

for

the

purchase

of

Creation

Units

of the

fund

may

consist

of

the

in-kind

deposit

of

a

designated

portfolio

of

securities

and

a

specified

amount

of

cash.

Investors

purchasing

and

redeeming

Creation

Units

may

pay

a

purchase

transaction

fee

and

a

redemption

transaction

fee

directly

to

the

Trust

and/or

custodian

to

offset

transfer

and

other

transaction

costs

associated

with

the

issuance

and

redemption

of

Creation

Units,

including

Creation

Units

for

cash.

The

Adviser

or

its

affiliates

(the

“Selling

Shareholder”)

may

purchase

Creation

Units

through

a

broker-dealer

to

“seed”

(in

whole

or

in

part)

funds

as

they

are

launched

or

may

purchase shares

from

broker-dealers

or

other

investors

that

have

previously

provided

“seed”

for

funds

when

they

were

launched

or

otherwise

in

secondary

market

transactions.

Because

the

Selling

Shareholder

may

be

deemed

an

affiliate

of

such

funds,

the

fund shares

are

being

registered

to

permit

the

resale

of

these

shares

from

time

to

time

after

purchase.

The

fund

will

not

receive

any

of

the

25

proceeds

from

resale

by

the

Selling

Shareholders

of

these

fund

shares. An

additional

variable

fee

may

be

charged

for

certain

transactions.

Such

variable

charges,

if

any,

are

included

in

“Transaction

fees”

on

the

Statement

of

Changes

in

Net

Assets.

Seed

Capital:

As

of

December

31,

2023,

MBC

Investments

Corporation,

a

wholly-

owned

subsidiary

of

BNY

Mellon,

held

499,001

shares

of

the

fund.

In-kind

Redemptions:

For

financial

reporting

purposes,

in-kind

redemptions

are

treated

as

sales

of

securities

resulting

in

realized

capital

gains

or

losses

to

the

fund.

Because

such

gains

or

losses

are

not

taxable

to

the

fund

and

are

not

distributed

to

existing

fund

shareholders,

the

gains

or

losses

are

reclassified

from

accumulated

net

realized

gain

(loss)

to

paid-in

capital

at

the

end

of

the

fund’s

tax

year.

These

reclassifications

have

no

effect

on

net

assets

or

net

asset

value

per

share.

During

the

period

ended

December

31,

2023,

the

fund

had

no

in-kind

transactions.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(Unaudited)

26

The

funds

of

the

Trust

have

adopted

a

liquidity

risk

management

program

(the

“Program”)

pursuant

to

the

requirements

of

Rule

22e-4

under

the

Investment

Company

Act

of

1940,

as

amended.

Rule

22e-4

requires

registered

open-end

funds,

including

exchange-traded

funds,

to

establish

liquidity

risk

management

programs

in

order

to

effectively

manage

fund

liquidity

and

shareholder

redemptions.

The

rule

is

designed

to

mitigate

the

risk

that

a

fund

could

not

meet

redemption

requests

without

significantly

diluting

the

interests

of

remaining

investors.

The

Board

has

appointed

BNY

Mellon

ETF

Investment

Adviser,

LLC,

the

investment

adviser

to

the

funds,

as

the

Program

Administrator.

The

rule

requires

each

fund

to

assess,

manage

and

review

its

liquidity

risk

at

least

annually,

considering

applicable

factors

such

as

investment

strategy

and

liquidity

during

normal

and

reasonably

foreseeable

stressed

conditions,

including

whether

the

strategy

is

appropriate

for

an

open-end

fund

and

whether

the

fund

has

a

relatively

concentrated

portfolio

or

large

positions

in

particular

issuers.

Each

fund

must

also

assess

its

use

of

borrowings

and

derivatives,

short-

term

and

long-term

cash

flow

projections

in

normal

and

reasonably

foreseeable

stressed

conditions,

holdings

of

cash

and

cash

equivalents,

and

borrowing

arrangements

and

other

funding

sources.

In

addition,

with

respect

to

an

exchange-traded

fund,

a

fund

must

assess

the

relationship

between

the

fund’s

portfolio

liquidity

and

the

way

in

which,

and

the

prices

and

spreads

at

which,

the

fund’s

shares

trade,

and

the

effect

of

the

composition

of

baskets

on

the

overall

liquidity

of

the

fund’s

portfolio.

The

rule

also

generally

requires

funds

to

classify

each

of

their

investments

as

highly

liquid,

moderately

liquid,

less

liquid

or

illiquid

based

on

the

number

of

days

the

fund

expects

it

would

take

to

liquidate

the

investment,

and

to

review

these

classifications

at

least

monthly

or

more

often

under

certain

conditions.

Illiquid

investments

are

those

a

fund

does

not

expect

to

be

able

to

sell

or

dispose

of

within

seven

calendar

days

without

the

sale

or

disposition

significantly

changing

the

market

value

of

the

investment.

A

fund

is

prohibited

from

acquiring

an

investment

if,

after

the

acquisition,

its

holdings

of

illiquid

assets

will

exceed

15%

of

its

net

assets.

In

addition,

if

a

fund

permits

redemptions

in-kind,

the

rule

requires

the

fund

to

establish

redemption

in-kind

policies

and

procedures

governing

how

and

when

it

will

engage

in

such

redemptions.

Pursuant

to

the

rule’s

requirements,

the

Program

has

been

reviewed

and

approved

by

the

Board.

Furthermore,

at

its

November

2023

meeting,

the

Board

received

a

written

report

prepared

by

the

Program

Administrator,

for

the

period

October

1,

2022

to

September

30,

2023,

addressing

the

operation

of

the

Program,

assessing

the

Program’s

adequacy

and

effectiveness

and

describing

any

material

changes

made

to

the

Program.

27

Assessment

of

Program

In

the

opinion

of

the

Program

Administrator,

the

Program

approved

by

the

Board

continues

to

be

adequate

for

the

funds

and

the

Program

has

been

implemented

effectively.

The

Program

Administrator

has

monitored

each

fund’s

liquidity

risk

and

the

liquidity

classification

of

the

securities

held

by

the

funds

and

has

determined

that

the

Program

is

operating

effectively.

During

the

period

from

October

1,

2022

to

September

30,

2023,

there

were

no

material

changes

to

the

Program

and

no

material

liquidity

events

that

impacted

the

funds.

During

the

period,

each

fund

held

sufficient

highly

liquid

assets

to

meet

fund

redemptions.

Under

normal

expected

foreseeable

fund

redemption

forecasts

and

foreseeable

stressed

fund

redemption

forecasts,

the

Program

Administrator

believes

that

each

fund

maintains

sufficient

highly

liquid

assets

to

meet

expected

fund

redemptions.

For

More

Information

2024

BNY

Mellon

Securities

Corporation

4862SA1223

Telephone

Call

your

financial

representative

or

1-833-ETF-BNYM

(383-2696)

(inside

the

U.S.

only)

Mail

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Mellon

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New

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Mellon

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discloses,

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,

the

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and

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fund

daily.

The

fund

files

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complete

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holdings

with

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Securities

and

Exchange

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“

SEC

”

)

for

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first

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third

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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

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holdings

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first

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third

quarters

of

the

most

recent

fiscal

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available

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https://im.bnymellon.com/etfliterature

.

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fund

’

s

complete

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of

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holdings,

as

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on

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N-PORT,

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without

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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

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BNY

Mellon

ETF

Trust

Custodian

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

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Transfer

Agent

&

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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

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

SEMI-ANNUAL

REPORT

December

31,

2023

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

IMPORTANT

NOTICE

–

UPCOMING

CHANGES

TO

ANNUAL

AND

SEMI-ANNUAL

REPORTS 

The

Securities

and

Exchange

Commission

(the

“SEC”)

has

adopted

rule

and

form

amendments

that

will

result

in

changes

to

the

design

and

delivery

of

annual

and

semi-annual

fund

reports

(“Reports”).

Beginning

in

July

2024,

Reports

will

be

streamlined

to

highlight

key

information.

Certain

information

currently

included

in

Reports,

including

financial

statements,

will

no

longer

appear

in

the

Reports

but

will

be

available

online,

delivered

free

of

charge

to

shareholders

upon

request,

and

filed

with

the

SEC. 

If

you

previously

elected

to

receive

the

fund’s

Reports

electronically,

you

will

continue

to

do

so.

Otherwise,

you

will

receive

paper

copies

of

the

fund’s

re-designed

Reports

by

USPS

mail

in

the

future.

If

you

would

like

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receive

the

fund’s

Reports

(and/or

other

communications)

electronically

instead

of

by

mail,

please

contact

your

financial

advisor.

Contents

The

Fund

Save

time.

Save

paper.

View

your

next

shareholder

report

online

as

soon

as

it’s

available.

Log

into

www.

im.bnymellon.com

and

sign

up

for

eCommunications.

It’s

simple

and

only

takes

a

few

minutes.

The

views

expressed

herein

are

current

to

the

date

of

this

report.

These

views

and

the

composition

of

the

fund’s

portfolio

is

subject

to

change

at

any

time

based

on

market

and

other

conditions.

Not

FDIC-Insured

•

Not

Bank-Guaranteed

•

May

Lose

Value

Discussion

of

Fund

Performance

3

Understanding

Your

Fund’s

Expenses

7

Statement

of

Investments

8

Statement

of

Assets

and

Liabilities

19

Statement

of

Operations

20

Statement

of

Changes

in

Net

Assets

21

Financial

Highlights

22

Notes

to

Financial

Statements

23

Liquidity

Risk

Management

Program

37

FOR

MORE

INFORMATION

Back

Cover

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

3

For

the

six-month

period

from

July

1,

2023,

through

December

31,

2023,

as

provided

by

Portfolio

Managers,

Erin

Spalsbury,

CFA

and

Jonathan

William

Earle,

CFA,

of

Insight

North

America

LLC,

sub-adviser.

Market

and

Fund

Performance

Overview

For

the

six-month

period

ended

December

31,

2023,

the

BNY

Mellon

Responsible

Horizons

Corporate

Bond

ETF

(the

“fund”)

produced

a

net

asset

value

total

return

of

5.14%.

1

In

comparison,

the

ICE

BofA

U.S.

Corporate

Index

(the

“Index”)

achieved

a

total

return

of

5.00%

for

the

same

period.

2

Fixed-income

markets

produced

positive

returns

over

the

reporting

period

in

an

environment

of

tightening

monetary

conditions

and

declining

inflation.

The

fund

outperformed

the

Index

by

14

basis

points

due

to

a

number

of

factors,

including

an

overweight

to

beta,

security

selection,

and

duration

positioning

that

was

long

relative

to

the

Index.

The

Fund’s

Investment

Approach

The

fund

seeks

total

return

consisting

of

capital

appreciation

and

income.

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-markets

countries

and

securities

denominated

in

foreign

currencies.

The

fund

may,

from

time

to

time,

invest

a

significant

portion

(more

than

20%)

of

its

total

assets

in

securities

of

companies

in

certain

sectors

or

located

in

particular

countries

or

regions.

The

fund

currently

invests

a

significant

portion

of

its

assets

in

securities

of

companies

located

in

the

broader

European

region,

although

this

may

change

from

time

to

time.

Market

Rebounds

as

Inflation

Eases,

Rate

Hiking

Approaches

an

End

The

reporting

period

was

marked

by

lower

inflation

and

growing

anticipation

that

the

Federal

Reserve’s

(the

“Fed”)

rate-hiking

cycle

was

near

an

end.

But

rate

expectations

vacillated,

alternately

expecting

higher

rates,

leading

to

a

peak

in

the

10-year

Treasury

yield

at

4.99%,

and

later

accepting

the

likely

end

of

rate-hiking,

dropping

that

yield

to

3.88%

at

year

end,

exactly

where

it

started

the

year. 

Having

reduced

inflation

pressures

significantly

in

2022

and

the

first

half

of

2023,

the

Fed

initiated

just

one

additional

rate

increase

during

the

reporting

period.

After

pausing

in

June

2023,

the

Fed

raised

the

federal

funds

target

rate

by

25

basis

points

in

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

(continued)

4

July

to

5.25%–5.50%.

But

Fed

officials

continued

to

sound

hawkish,

indicating

that

rates

could

stay

“higher

for

longer,”

when

an

uptick

in

inflation

occurred

in

August

2023. 

Despite

the

higher

rates,

the

U.S.

economy

surprised

investors

by

continuing

to

avoid

a

long-anticipated

recession.

Following

a

2.2%

expansion

in

the

first

quarter

of

2023,

the

economy

grew

by

2.1%

in

the

second

quarter

and

4.9%

in

the

third

quarter.

The

bond

market

declined

through

much

of

the

reporting

period,

hampered

especially

by

the

unexpectedly

persistent

inflation

and

the

Fed’s

hawkish

tone.

But

in

October

2023,

the

personal

consumption

expenditure

index,

the

Fed’s

preferred

measure

of

inflation,

rose

just

3%

year

over

year,

down

from

4.4%

in

March

2023.

With

that,

markets

began

to

increasingly

look

forward

to

the

end

of

the

Fed’s

rate

hiking. 

Ultimately,

risk

markets

strengthened

significantly,

with

the

S&P

500

increasing

8%

and

investment-grade

(IG)

corporate

option-adjusted

spreads

(OAS)

tightening

by

24

basis

points

(bps)

to

99

bps.

(Constrained

IG

supply

contributed

as

well,

as

issuance

fell

-1.3%

versus

2022,

and

spreads

ended

the

year

31

bps

tighter

year

over

year).

Credit

curves

flattened

as

well,

with

intermediate

spreads

tightening

19

bps

during

the

reporting

period

and

long

spreads

tightening

34

bps.

OAS

on

high-yield

bonds

narrowed

by

67

bps

to

323

bps.

Lower

Quality

Bonds

Aided

Performance

The

fund’s

performance

was

driven

by

a

number

of

factors.

An

overweight

to

credit

beta

contributed

positively

during

the

period

as

lower-rated

securities

outperformed

the

Index.

Security

selection

also

enhanced

returns,

with

leading

contributors

including

EDF

Energy

,

a

French

utility;

Public

Service

Electric

&

Gas

Co.,

a

New

Jersey

utility;

Lenovo,

Ltd.

,

a

Chinese

technology

company;

and

LyondellBasell

,

a

Dutch

chemical

company.

Duration

positioning

that

was

long

relative

to

the

Index,

especially

in

the

fourth

quarter,

also

added

to

performance.

On

the

other

hand,

certain

security

selections

detracted

from

performance.

In

basic

industries

and

insurance,

positions

in

Allianz

SE,

a

German

insurer,

and

Braskem

Netherlands

Finance

BV,

a

Brazilian

petrochemical

company,

were

particularly

detrimental.

Sector

allocation

also

detracted

somewhat.

An

overweight

to

sovereigns

and

Treasuries

and

an

underweight

to

foreign

agency

bonds

hampered

relative

returns,

offset

partially

by

an

overweight

to

real

estate

investment

trusts

(REITs),

consumer

cyclicals

(autos)

and

technology.

A

Positive

Environment

Economic

activity

was

strong

in

the

latter

half

of

2023,

but

it

is

expected

to

grow

only

slowly

in

2024.

Moderating

inflation

should

allow

some

policy

easing,

creating

a

more

positive

environment

for

risk

assets. 

5

Markets

have

already

moved

dramatically

to

price

in

a

level

of

rate

cuts

that

is

beyond

our

expectations.

If

our

view

is

proved

correct

and

markets

are

disappointed,

there

is

a

risk

that

yields

will

adjust

upwards

to

price

in

a

more

realistic

path

for

interest

rates.

We

do

believe

the

Fed

has

effectively

engineered

a

soft

landing,

and

we

expect

investment-

grade

credit

to

continue

to

perform

well.

For

2024,

we

are

forecasting

gross

domestic

product

(GDP)

growth

of

1.6%,

a

consumer

price

index

(CPI)

of

2.4%,

and

two

to

three

rate

cuts

by

the

Fed,

starting

in

the

summer.

Yield

spreads

on

investment-grade

bonds

ended

the

year

31

bps

tighter

year

over

year,

and

current

valuations

overall

look

less

attractive.

But

fundamentals

remain

solid

and

there

has

been

consistent

demand

for

corporate

debt,

driven

in

part

by

higher

all-in

yields.

We

are

forecasting

investment-grade

spreads

to

trade

in

the

95-

140

bps

range

this

year.

Although

this

is

not

our

base

case,

one

risk

is

that

the

economy

could

remain

stronger

than

anticipated

and

inflation

could

remain

elevated,

provoking

the

Fed

to

resume

hikes.

Alternatively,

the

tightening

enacted

to

date

could

slow

the

economy

to

the

point

of

recession.

In

both

scenarios,

spreads

could

widen.

Nevertheless,

we

believe

corporate

bonds

are

generally

able

to

weather

these

scenarios,

limiting

downside

risks.

In

addition,

given

our

view

that

fundamentals

remain

strong,

we

would

seek

to

use

any

meaningful

correction

as

an

opportunity

to

add

to

positions.

Liquidity

profiles

remain

very

strong,

given

companies

have

been

able

to

access

the

new-issue

market

and

other

sources

of

funding,

and

earnings

have

remained

resilient

despite

margins

normalizing

to

pre-Covid

levels.

January

16,

2024

1

Total

return

includes

reinvestment

of

dividends

and

any

capital

gains

paid.

A

fund’s

net

asset

value

(NAV)

is

the

sum

of

all

its

assets

less

any

liabilities,

divided

by

the

number

of

shares

outstanding.

Exchange

Traded

Funds

(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:

Lipper

Inc.

—

ICE

BofA

U.S.

Corporate

Index

is

an

unmanaged

index

comprised

of

U.S.

dollar

denominated

investment

grade,

fixed

rate

corporate

debt

securities

publicly

issued

in

the

U.S.

domestic

market

with

at

least

$250

million

outstanding.

Investors

cannot

invest

directly

in

any

index.

Bonds

are

subject

generally

to

interest-rate,

credit,

liquidity

and

market

risks,

to

varying

degrees,

all

of

which

are

more

fully

described

in

the

fund’s

prospectus.

Generally,

all

other

factors

being

equal,

bond

prices

are

inversely

related

to

interest-rate

changes,

and

rate

increases

can

cause

price

declines.

Investing

internationally

involves

special

risks,

including

changes

in

currency

exchange

rates,

political,

economic,

and

social

instability,

a

lack

of

comprehensive

company

information,

differing

auditing

and

legal

standards,

and

less

market

liquidity.

ETFs

trade

like

stocks,

are

subject

to

investment

risk,

including

possible

loss

of

principal.

ETF

shares

are

listed

on

an

exchange,

and

shares

are

generally

purchased

and

sold

in

the

secondary

market

at

market

price.

At

times,

the

market

price

may

be

at

a

premium

or

discount

to

the

ETF’s

per

share

NAV.

In

addition,

ETFs

are

subject

to

the

risk

that

an

active

trading

market

for

an

ETF’s

shares

may

not

develop

or

be

maintained.

Buying

or

selling

ETF

shares

on

an

exchange

may

require

payment

of

brokerage

commissions.

The

fund’s

incorporation

of

ESG

considerations

into

its

investment

approach

may

cause

it

to

make

different

investments

than

funds

that

invest

principally

in

corporate

bonds

but

do

not

incorporate

ESG

considerations

when

selecting

investments.

Under

certain

economic

conditions,

this

could

cause

the

fund

to

underperform

funds

that

do

not

incorporate

ESG

considerations.

The

fund

may,

but

is

not

required

to,

use

derivative

instruments.

A

small

investment

in

derivatives

could

have

a

potentially

DISCUSSION

OF

FUND

PERFORMANCE

(Unaudited)

(continued)

6

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.

Please

note:

the

position

in

any

security

highlighted

with

italicized

typeface

was

sold

during

the

reporting

period.

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

table

below

shows

the

expenses

you

would

have

paid

on

a

$1,000

investment

in

the

fund

from

July

1,

2023

to

December

31,

2023.

The

information

under

each

column

in

the

table

below

entitled

“Actual”

provides

information

about

on

how

much

a

$1,000

investment

would

be

worth

at

the

close

of

the

period,

assuming

net

asset

value

total

returns

and

actual

expenses.

You

may

use

the

information

in

these

columns,

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

for

the

fund

under

the

heading

entitled

“Expenses

paid

for

the

period”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Hypothetical

Example

For

Comparison

Purposes

The

Securities

and

Exchange

Commission

(“SEC”)

has

established

guidelines

to

help

investors

assess

fund

expenses.

The

information

under

each

column

in

the

table

entitled

“Hypothetical”

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

the

fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses,

which

is

not

the

fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

expenses

(but

not

transaction

expenses

or

total

cost)

of

investing

in

the

fund

with

those

of

other

funds.

To

do

so,

compare

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

the

other

funds.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs,

such

as

brokerage

commissions

paid

on

purchases

and

sales

of

fund

shares.

Therefore,

the

ending

account

values

and

expenses

paid

for

the

period

in

the

table

are

useful

in

comparing

ongoing

expenses

(but

not

transaction

expenses

or

total

cost)

of

investing

in

the

fund

with

those

of

other

funds.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

For

the

six

months

ended

December

31,

2023

(a)

Expenses

are

calculated

using

the

annualized

expense

ratio,

which

represents

the

ongoing

expenses

as

a

percentage

of

net

assets

for

the

six-month

period

ended

December

31,

2023.

Expenses

are

calculated

by

multiplying

the

fund’s

annualized

expense

ratio

by

the

average

account

value

for

the

period,

then

multiplying

the

result

by

184/366

(to

reflect

the

one-half

period).

Beginning

account

value

($)

Ending

account

value($)

Expense

paid

for

the

period

($)

Annualized

expense

ratios

for

the

period

(%)

Actual

Hypothetical

Actual

Hypothetical

Actual

(a)

Hypothetical

(a)

1,000.00

1,000.00

1,051.40

1,023.38

1.80

1.78

0.35

STATEMENT

OF

INVESTMENTS

December

31,

2023

(Unaudited)

8

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

Airlines

–

0.3%

Delta

Air

Lines,

Inc.

/

SkyMiles

IP

Ltd.

,

4.75%

,

10/20/2028

(a)

80,000

78,724

78,724

Apparel

–

0.1%

Tapestry,

Inc.

,

7.85%

,

11/27/2033

25,000

26,682

26,682

Auto

Manufacturers

–

2.7%

Ford

Motor

Co.

3.25%,

2/12/2032

75,000

62,409

6.10%,

8/19/2032

35,000

35,299

General

Motors

Co.

,

5.95%

,

4/01/2049

(b)

79,000

77,460

General

Motors

Financial

Co.,

Inc.

,

6.10%

,

1/07/2034

142,000

146,258

Mercedes-Benz

Finance

North

America

LLC

,

1.45%

,

3/02/2026

(a)

150,000

139,938

Stellantis

Finance

U.S.,

Inc.

,

2.69%

,

9/15/2031

(a)

200,000

167,444

628,808

Banks

–

22.0%

Bank

of

America

Corp.

3.82%,

1/20/2028

165,000

158,636

5.20%,

4/25/2029

113,000

113,771

3.19%,

7/23/2030

200,000

181,512

2.57%,

10/20/2032

134,000

111,151

5.29%,

4/25/2034

65,000

65,184

Bank

of

Nova

Scotia

(The)

,

4.85%

,

2/01/2030

(b)

108,000

107,912

Canadian

Imperial

Bank

of

Commerce

,

5.00%

,

4/28/2028

100,000

100,667

Citigroup,

Inc.

3.11%,

4/08/2026

125,000

121,549

3.98%,

3/20/2030

195,000

185,217

6.17%,

5/25/2034

54,000

55,899

Citizens

Financial

Group,

Inc.

,

5.64%

,

5/21/2037

80,000

73,779

Cooperatieve

Rabobank

UA

,

1.00%

,

9/24/2026

(a)

250,000

232,291

Credit

Agricole

SA

,

6.32%

,

10/03/2029

(a)

250,000

262,092

Goldman

Sachs

Group,

Inc.

(The)

1.09%,

12/09/2026

150,000

138,239

2.64%,

2/24/2028

60,000

55,645

4.41%,

4/23/2039

220,000

199,137

HSBC

Holdings

PLC

,

6.33%

,

3/09/2044

200,000

215,806

Industrial

Bank

of

Korea

,

5.38%

,

10/04/2028

(a)

200,000

206,631

JPMorgan

Chase

&

Co.

0.77%,

8/09/2025

270,000

261,872

6.07%,

10/22/2027

120,000

123,493

3.88%,

7/24/2038

170,000

150,607

3.11%,

4/22/2051

100,000

71,926

Morgan

Stanley

3.88%,

1/27/2026

250,000

244,975

4.68%,

7/17/2026

130,000

128,833

1.93%,

4/28/2032

250,000

201,135

9

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Banks

–

22.0%

(continued)

Morgan

Stanley

(continued)

5.95%,

1/19/2038

38,000

38,446

PNC

Financial

Services

Group,

Inc.

(The)

4.76%,

1/26/2027

250,000

248,129

4.63%,

6/06/2033

95,000

89,651

Sumitomo

Mitsui

Financial

Group,

Inc.

,

2.35%

,

1/15/2025

200,000

194,233

Toronto-Dominion

Bank

(The)

,

5.26%

,

12/11/2026

20,000

20,403

Truist

Financial

Corp.

6.05%,

6/08/2027

14,000

14,254

7.16%,

10/30/2029

66,000

71,330

5.87%,

6/08/2034

10,000

10,208

UBS

Group

AG

1.49%,

8/10/2027

(a)

200,000

180,806

6.30%,

9/22/2034

(a)

200,000

211,871

US

Bancorp

6.79%,

10/26/2027

102,000

106,545

5.78%,

6/12/2029

86,000

88,413

Westpac

Banking

Corp.

,

2.67%

,

11/15/2035

50,000

40,719

5,082,967

Beverages

–

1.9%

Anheuser-Busch

Cos.

LLC

/

Anheuser-Busch

InBev

Worldwide,

Inc.

,

4.90%

,

2/01/2046

100,000

98,102

Anheuser-Busch

InBev

Worldwide,

Inc.

4.60%,

4/15/2048

15,000

14,214

5.55%,

1/23/2049

100,000

107,607

Diageo

Capital

PLC

,

5.63%

,

10/05/2033

200,000

215,840

435,763

Biotechnology

–

1.6%

Amgen,

Inc.

1.65%,

8/15/2028

75,000

66,366

5.25%,

3/02/2030

33,000

33,939

5.60%,

3/02/2043

33,000

34,121

4.66%,

6/15/2051

100,000

91,040

4.88%,

3/01/2053

22,000

20,580

5.65%,

3/02/2053

31,000

32,638

Gilead

Sciences,

Inc.

,

5.55%

,

10/15/2053

23,000

24,941

Illumina,

Inc.

,

5.75%

,

12/13/2027

68,000

69,839

373,464

Building

Materials

–

1.6%

Builders

FirstSource,

Inc.

,

6.38%

,

6/15/2032

(a)

28,000

28,623

Carrier

Global

Corp.

2.72%,

2/15/2030

150,000

134,273

5.90%,

3/15/2034

(a)

10,000

10,820

STATEMENT

OF

INVESTMENTS

(continued)

10

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Building

Materials

–

1.6%

(continued)

Johnson

Controls

International

PLC

/

Tyco

Fire

&

Security

Finance

SCA

,

4.90%

,

12/01/2032

94,000

95,054

Trane

Technologies

Financing

Ltd.

,

5.25%

,

3/03/2033

100,000

103,601

372,371

Chemicals

–

3.5%

Braskem

Netherlands

Finance

BV

,

4.50%

,

1/31/2030

(a)

200,000

155,476

Dow

Chemical

Co.

(The)

,

6.30%

,

3/15/2033

33,000

36,379

LYB

International

Finance

III

LLC

,

5.63%

,

5/15/2033

200,000

209,077

Nutrien

Ltd.

4.00%,

12/15/2026

200,000

195,686

4.90%,

3/27/2028

12,000

12,119

Sherwin-Williams

Co.

(The)

,

3.45%

,

6/01/2027

200,000

193,228

801,965

Commercial

Services

–

1.9%

Ashtead

Capital,

Inc.

,

4.25%

,

11/01/2029

(a)

200,000

186,978

ERAC

USA

Finance

LLC

3.80%,

11/01/2025

(a)

125,000

122,038

4.90%,

5/01/2033

(a)

77,000

76,938

United

Rentals

North

America,

Inc.

,

5.25%

,

1/15/2030

50,000

49,288

435,242

Computers

–

1.1%

Dell

International

LLC

/

EMC

Corp.

5.25%,

2/01/2028

100,000

102,550

3.38%,

12/15/2041

80,000

60,481

3.45%,

12/15/2051

26,000

18,827

Kyndryl

Holdings,

Inc.

3.15%,

10/15/2031

40,000

33,455

4.10%,

10/15/2041

40,000

30,073

245,386

Diversified

Financial

Services

–

4.3%

AerCap

Ireland

Capital

DAC

/

AerCap

Global

Aviation

Trust

,

3.85%

,

10/29/2041

150,000

120,985

Air

Lease

Corp.

,

2.10%

,

9/01/2028

135,000

118,273

Ally

Financial,

Inc.

3.88%,

5/21/2024

100,000

99,161

8.00%,

11/01/2031

42,000

46,060

Capital

One

Financial

Corp.

,

2.36%

,

7/29/2032

79,000

59,891

Discover

Financial

Services

,

6.70%

,

11/29/2032

89,000

93,296

Intercontinental

Exchange,

Inc.

4.60%,

3/15/2033

80,000

79,686

4.95%,

6/15/2052

24,000

23,999

LSEGA

Financing

PLC

,

1.38%

,

4/06/2026

(a)

200,000

184,548

NASDAQ,

Inc.

,

5.95%

,

8/15/2053

27,000

29,053

Synchrony

Financial

,

4.38%

,

3/19/2024

150,000

149,487

1,004,439

11

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Electric

–

6.7%

Avangrid,

Inc.

,

3.20%

,

4/15/2025

130,000

126,386

Consolidated

Edison

Co.

of

New

York,

Inc.

Series

05-A,

5.30%,

3/01/2035

135,000

137,858

Series

A,

4.13%,

5/15/2049

100,000

83,794

Constellation

Energy

Generation

LLC

,

6.50%

,

10/01/2053

20,000

22,595

Electricite

de

France

SA

,

9.13%

(a)(c)

200,000

223,783

ENEL

Finance

America

LLC

,

7.10%

,

10/14/2027

(a)

200,000

213,562

ENEL

Finance

International

NV

,

5.00%

,

6/15/2032

(a)

200,000

195,246

Eversource

Energy

,

Series

R

,

1.65%

,

8/15/2030

110,000

89,345

New

England

Power

Co.

,

5.94%

,

11/25/2052

(a)

71,000

74,377

New

York

State

Electric

&

Gas

Corp.

,

5.85%

,

8/15/2033

(a)

95,000

99,567

Public

Service

Electric

&

Gas

Co.

4.65%,

3/15/2033

80,000

80,066

5.13%,

3/15/2053

44,000

45,881

5.45%,

8/01/2053

125,000

135,128

Public

Service

Enterprise

Group,

Inc.

,

6.13%

,

10/15/2033

32,000

34,423

1,562,011

Entertainment

–

1.5%

WarnerM

edia

Holdings,

Inc.

3.64%,

3/15/2025

150,000

146,823

4.05%,

3/15/2029

100,000

94,929

5.14%,

3/15/2052

67,000

57,550

5.39%,

3/15/2062

50,000

42,873

342,175

Environmental

Control

–

0.7%

GFL

Environmental,

Inc.

,

6.75%

,

1/15/2031

(a)

35,000

36,104

Waste

Management,

Inc.

,

4.63%

,

2/15/2030

115,000

116,379

152,483

Food

–

3.0%

General

Mills,

Inc.

,

4.95%

,

3/29/2033

134,000

135,945

J.M.

Smucker

Co.

(The)

5.90%,

11/15/2028

30,000

31,568

4.25%,

3/15/2035

50,000

46,522

6.50%,

11/15/2043

18,000

20,077

6.50%,

11/15/2053

17,000

19,629

Kraft

Heinz

Foods

Co.

3.88%,

5/15/2027

100,000

98,145

5.20%,

7/15/2045

55,000

53,868

5.50%,

6/01/2050

56,000

57,798

SYSCO

Corp.

5.75%,

1/17/2029

47,000

49,002

2.40%,

2/15/2030

175,000

154,463

US

Foods,

Inc.

,

6.88%

,

9/15/2028

(a)

24,000

24,735

691,752

STATEMENT

OF

INVESTMENTS

(continued)

12

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Forest

Products

&

Paper

–

0.4%

Suzano

Austria

GmbH

,

3.75%

,

1/15/2031

100,000

87,796

87,796

Gas

–

0.9%

Atmos

Energy

Corp.

,

5.50%

,

6/15/2041

55,000

57,693

Boston

Gas

Co.

,

6.12%

,

7/20/2053

(a)

150,000

156,846

214,539

Healthcare-Products

–

2.2%

Alcon

Finance

Corp.

,

5.38%

,

12/06/2032

(a)

200,000

206,387

Thermo

Fisher

Scientific,

Inc.

,

1.50%

,

10/01/2039

100,000

84,648

Zimmer

Biomet

Holdings,

Inc.

1.45%,

11/22/2024

200,000

192,920

5.35%,

12/01/2028

28,000

28,867

512,822

Healthcare-Services

–

1.7%

HCA,

Inc.

5.25%,

6/15/2026

150,000

150,808

4.63%,

3/15/2052

55,000

46,850

UnitedHealth

Group,

Inc.

5.15%,

10/15/2025

43,000

43,492

3.05%,

5/15/2041

50,000

39,099

5.88%,

2/15/2053

25,000

28,337

4.95%,

5/15/2062

29,000

28,647

6.05%,

2/15/2063

42,000

48,507

385,740

Home

Builders

–

0.3%

KB

Home

,

4.00%

,

6/15/2031

28,000

25,117

PulteGroup,

Inc.

,

5.50%

,

3/01/2026

50,000

50,529

75,646

Insurance

–

4.2%

Allianz

SE

,

6.35%

,

9/06/2053

(a)

200,000

207,868

Allstate

Corp.

(The)

,

3.85%

,

8/10/2049

50,000

40,484

Corebridge

Financial,

Inc.

,

5.75%

,

1/15/2034

34,000

34,779

Liberty

Mutual

Group,

Inc.

,

4.30%

,

2/01/2061

(a)

54,000

35,580

Marsh

&

McLennan

Cos.,

Inc.

,

5.45%

,

3/15/2053

85,000

89,056

MetLife,

Inc.

6.40%,

12/15/2036

100,000

103,410

5.00%,

7/15/2052

8,000

7,954

Metropolitan

Life

Global

Funding

I

,

1.55%

,

1/07/2031

(a)

150,000

120,204

Principal

Life

Global

Funding

II

,

0.88%

,

1/12/2026

(a)

200,000

183,757

Prudential

Financial,

Inc.

,

3.70%

,

3/13/2051

85,000

67,293

XL

Group

Ltd.

,

5.25%

,

12/15/2043

75,000

72,180

962,565

13

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Internet

–

0.3%

Amazon.com,

Inc.

,

2.88%

,

5/12/2041

100,000

78,659

78,659

Iron/Steel

–

0.4%

Nucor

Corp.

,

3.85%

,

4/01/2052

100,000

83,192

83,192

Lodging

–

0.5%

Marriott

International,

Inc.

5.00%,

10/15/2027

38,000

38,473

Series

HH,

2.85%,

4/15/2031

90,000

77,938

116,411

Media

–

2.3%

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

Corp.

6.48%,

10/23/2045

60,000

59,013

4.40%,

12/01/2061

50,000

34,609

Comcast

Corp.

4.15%,

10/15/2028

55,000

54,282

4.65%,

2/15/2033

225,000

226,437

2.94%,

11/01/2056

150,000

98,746

Walt

Disney

Co.

(The)

,

3.50%

,

5/13/2040

68,000

57,266

530,353

Mining

–

0.2%

Newmont

Corp.

,

2.80%

,

10/01/2029

60,000

54,812

54,812

Miscellaneous

Manufacturing

–

0.6%

Eaton

Corp.

4.15%,

3/15/2033

119,000

116,493

4.70%,

8/23/2052

13,000

12,812

129,305

Oil

&

Gas

–

3.8%

AKER

BP

ASA

5.60%,

6/13/2028

(a)

300,000

306,043

3.10%,

7/15/2031

(a)

200,000

171,206

BP

Capital

Markets

America,

Inc.

3.54%,

4/06/2027

200,000

194,539

3.00%,

2/24/2050

65,000

46,021

Parkland

Corp.

,

4.50%

,

10/01/2029

(a)

50,000

45,890

TotalEnergies

Capital

International

SA

,

3.13%

,

5/29/2050

90,000

66,058

TotalEnergies

Capital

SA

,

3.88%

,

10/11/2028

60,000

58,920

888,677

Oil

&

Gas

Services

–

0.9%

Schlumberger

Holdings

Corp.

,

4.30%

,

5/01/2029

(a)

200,000

198,006

198,006

STATEMENT

OF

INVESTMENTS

(continued)

14

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Packaging

&

Containers

–

0.1%

Ball

Corp.

,

6.00%

,

6/15/2029

27,000

27,605

27,605

Pharmaceuticals

–

4.9%

AbbVie,

Inc.

,

4.05%

,

11/21/2039

150,000

135,524

AstraZeneca

Finance

LLC

,

2.25%

,

5/28/2031

150,000

129,401

Bristol-Myers

Squibb

Co.

4.25%,

10/26/2049

35,000

30,405

6.25%,

11/15/2053

22,000

25,198

6.40%,

11/15/2063

14,000

16,236

Eli

Lilly

&

Co.

,

4.70%

,

2/27/2033

45,000

46,165

Pfizer

Investment

Enterprises

Pte

Ltd.

5.11%,

5/19/2043

57,000

56,832

5.30%,

5/19/2053

86,000

87,861

5.34%,

5/19/2063

87,000

87,907

Pfizer,

Inc.

,

2.63%

,

4/01/2030

240,000

216,576

Shire

Acquisitions

Investments

Ireland

DAC

,

3.20%

,

9/23/2026

100,000

96,239

Takeda

Pharmaceutical

Co.

Ltd.

,

5.00%

,

11/26/2028

200,000

203,094

1,131,438

Pipelines

–

1.8%

Enbridge,

Inc.

6.20%,

11/15/2030

26,000

27,834

5.50%,

7/15/2077

60,000

54,948

Galaxy

Pipeline

Assets

Bidco

Ltd.

,

2.16%

,

3/31/2034

(a)

169,888

147,782

ONEOK,

Inc.

,

7.15%

,

1/15/2051

100,000

115,040

Williams

Cos.,

Inc.

(The)

,

5.75%

,

6/24/2044

80,000

80,786

426,390

Real

Estate

–

5.0%

Alexandria

Real

Estate

Equities,

Inc.

,

1.88%

,

2/01/2033

167,000

130,126

American

Homes

4

Rent

LP

2.38%,

7/15/2031

100,000

82,567

4.30%,

4/15/2052

34,000

27,479

Boston

Properties

LP

,

2.75%

,

10/01/2026

100,000

92,848

Crown

Castle,

Inc.

,

1.05%

,

7/15/2026

127,000

114,651

Equinix,

Inc.

,

1.00%

,

9/15/2025

100,000

93,331

Extra

Space

Storage

LP

3.90%,

4/01/2029

16,000

15,146

2.35%,

3/15/2032

65,000

53,031

Invitation

Homes

Operating

Partnership

LP

,

5.45%

,

8/15/2030

94,000

94,836

Iron

Mountain

Information

Management

Services,

Inc.

,

5.00%

,

7/15/2032

(a)

50,000

45,913

Kite

Realty

Group

Trust

,

4.00%

,

3/15/2025

50,000

48,761

ProLogis

Euro

Finance

LLC

,

1.50%

,

9/10/2049

100,000

67,952

Rexford

Industrial

Realty

LP

,

5.00%

,

6/15/2028

135,000

135,088

WP

Carey,

Inc.

,

3.85%

,

7/15/2029

160,000

150,317

1,152,046

15

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Retail

–

1.8%

7-Eleven,

Inc.

,

2.50%

,

2/10/2041

(a)

100,000

69,091

Home

Depot,

Inc.

(The)

,

3.50%

,

9/15/2056

150,000

118,095

Lowe

’

s

Cos.,

Inc.

1.70%,

9/15/2028

50,000

44,260

2.80%,

9/15/2041

100,000

73,132

4.25%,

4/01/2052

6,000

5,086

5.63%,

4/15/2053

47,000

49,317

4.45%,

4/01/2062

37,000

31,256

Macy

’

s

Retail

Holdings

LLC

,

5.88%

,

3/15/2030

(a)

31,000

29,495

419,732

Semiconductors

–

1.4%

Advanced

Micro

Devices,

Inc.

,

4.39%

,

6/01/2052

46,000

43,670

Intel

Corp.

5.20%,

2/10/2033

(b)

37,000

38,670

5.63%,

2/10/2043

30,000

32,097

5.70%,

2/10/2053

53,000

57,354

NXP

BV

/

NXP

Funding

LLC

/

NXP

USA,

Inc.

,

3.25%

,

5/11/2041

120,000

91,550

Qualcomm,

Inc.

,

1.65%

,

5/20/2032

50,000

40,810

Texas

Instruments,

Inc.

,

5.05%

,

5/18/2063

31,000

31,797

335,948

Software

–

2.3%

Fidelity

National

Information

Services,

Inc.

,

1.15%

,

3/01/2026

130,000

120,167

Microsoft

Corp.

,

2.68%

,

6/01/2060

100,000

66,853

Oracle

Corp.

4.65%,

5/06/2030

49,000

48,835

3.65%,

3/25/2041

100,000

79,425

4.00%,

7/15/2046

50,000

40,166

5.55%,

2/06/2053

48,000

48,069

VMware,

Inc.

,

1.40%

,

8/15/2026

130,000

118,948

522,463

Telecommunications

–

3.9%

AT&T,

Inc.

2.30%,

6/01/2027

100,000

92,861

2.55%,

12/01/2033

200,000

163,109

3.50%,

6/01/2041

100,000

79,477

3.55%,

9/15/2055

50,000

35,983

Rogers

Communications,

Inc.

4.50%,

3/15/2042

80,000

70,662

4.55%,

3/15/2052

62,000

54,133

T-Mobile

USA,

Inc.

3.50%,

4/15/2031

150,000

137,306

3.30%,

2/15/2051

75,000

54,244

Verizon

Communications,

Inc.

1.50%,

9/18/2030

100,000

82,434

2.85%,

9/03/2041

60,000

44,371

STATEMENT

OF

INVESTMENTS

(continued)

16

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

94.5%

(continued)

Telecommunications

–

3.9%

(continued)

Verizon

Communications,

Inc.

(continued)

3.88%,

3/01/2052

100,000

81,096

895,676

Transportation

–

1.7%

Canadian

National

Railway

Co.

,

4.40%

,

8/05/2052

23,000

21,625

Canadian

Pacific

Railway

Co.

,

1.75%

,

12/02/2026

50,000

46,142

CSX

Corp.

,

3.95%

,

5/01/2050

90,000

75,547

FedEx

Corp.

,

4.75%

,

11/15/2045

84,000

77,545

Ryder

System,

Inc.

,

5.65%

,

3/01/2028

80,000

82,458

Union

Pacific

Corp.

,

4.95%

,

9/09/2052

58,000

59,237

XPO,

Inc.

6.25%,

6/01/2028

(a)

30,000

30,417

7.13%,

2/01/2032

(a)

5,000

5,164

398,135

Total

Corporate

Bonds

(cost

$22,567,436)

21,862,188

Municipal

Securities

–

0.0%

California

Health

Facilities

Financing

Authority,

RB,

Series

2022,

4.35%,

6/01/2041

10,000

9,080

Total

Municipal

Securities

(cost

$10,000)

9,080

U.S.

Treasury

Government

Securities

–

3.5%

U.S.

Treasury

Bonds

4.38%,

8/15/2043

163,000

166,438

4.75%,

11/15/2043

125,000

134,121

4.75%,

11/15/2053

25,000

28,041

U.S.

Treasury

Notes

3.38%,

5/15/2033

(b)

105,000

100,800

3.88%,

8/15/2033

218,000

217,796

4.50%,

11/15/2033

152,000

159,624

Total

U.S.

Treasury

Government

Securities

(cost

$786,150)

806,820

Shares

Investment

Companies

–

1.2%

Registered

Investment

Companies

–

1.2%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

5.32%

(d)(e)

(cost

$284,165)

284,165

284,165

Investment

of

Cash

Collateral

for

Securities

Loaned

–

0.1%

Registered

Investment

Companies

–

0.1%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

5.32%

(d)(e)

(cost

$17,985)

17,985

17,985

Total

Investments

(cost

$23,665,736)

99.3%

22,980,238

Cash

and

Receivables

(Net)

0.7%

158,061

Net

Assets

100.0%

23,138,299

RB—Revenue

Bond

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

December

31,

2023,

these

securities

were

valued

at

$5,072,241

or

21.92%

of

net

assets.

(b)

Security,

or

portion

thereof,

on

loan.

At

December

31,

2023,

the

value

of

the

fund’s

securities

on

loan

was

$324,842

and

the

value

of

the

collateral

was

$337,862,

consisting

of

cash

collateral

of

$17,985

and

U.S.

Government

&

Agency

securities

valued

at

$319,877.

In

addition,

the

value

of

collateral

may

include

pending

sales

that

are

also

on

loan.

(c)

Perpetual

bond

with

no

specified

maturity

date.

(d)

Investment

in

affiliated

issuer.

The

investment

objective

of

this

investment

company

is

publicly

available

and

can

be

found

within

the

investment

company’s

prospectus.

(e)

The

rate

shown

is

the

1-day

yield

as

of

December

31,

2023.

Portfolio

Summary

(Unaudited)

†

Value

(%)

Financial

35.5

Consumer,

Non-cyclical

17.2

Utilities

7.6

Consumer,

Cyclical

7.2

Energy

6.5

Communications

6.5

Technology

4.8

Industrial

4.7

Basic

Materials

4.5

Government

3.5

Registered

Investment

Companies

1.3

99.3

†

Based

on

net

assets.

Holdings

and

transactions

in

these

affiliated

companies

during

the

period

ended

December

31,

2023

are

as

follows:

Description

Value

($)

6/30/23

Purchases

($)

1

Sales

($)

Value

($)

12/31/23

Dividends/

Distributions

($)

Investment

Companies

–

1.2%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

100,316

2,632,224

(2,448,375)

284,165

5,037

Investment

of

Cash

Collateral

for

Securities

Loaned

–

0.1%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares

299,170

1,928,010

(2,209,195)

17,985

1,589

2

Total

–

1.3%

399,486

4,560,234

(4,657,570)

302,150

6,626

1

Includes

reinvested

dividends/distributions.

2

Represents

securities

lending

income

earned

from

the

reinvestment

of

cash

collateral

from

loaned

securities,

net

of

fees

and

collateral

investment

expenses,

and

other

payments

to

and

from

borrowers

of

securities.

STATEMENT

OF

INVESTMENTS

(continued)

18

See

Notes

to

Financial

Statements

Futures

Description

Number

of

Contracts

Expiration

Notional

Value

($)

Market

Value

($)

Unrealized

Appreciation

(Depreciation)

($)

Futures

Long

U.S.

Treasury

Long

Bonds

10

3/19/2024

1,156,972

1,249,375

92,403

U.S.

Treasury

2

Year

Notes

6

3/28/2024

1,223,962

1,235,484

11,522

U.S.

Treasury

5

Year

Notes

1

3/28/2024

107,009

108,773

1,764

Futures

Short

Euro-Buxl

2

3/7/2024

311,511

*

302,967

(8,544)

U.S.

Treasury

10

Year

Ultra

Notes

16

3/19/2024

1,970,105

1,888,250

(81,855)

Gross

Unrealized

Appreciation

105,689

Gross

Unrealized

Depreciation

(90,399)

*

Notional

amounts

in

foreign

currency

have

been

converted

to

USD

using

relevant

foreign

exchange

rates.

Forward

Foreign

Currency

Exchange

Contracts

Counterparty

/

Purchased

Currency

Purchased

Currency

Amounts

Currency

Sold

Sold

Currency

Amounts

Settlement

Date

Unrealized

(Depreciation)

($)

Goldman

Sachs

&

Co.

United

States

Dollar

147,232

Euro

134,000

1/25/2024

(856)

United

States

Dollar

151,997

Euro

142,000

1/11/2024

(4,838)

Gross

Unrealized

Depreciation

(5,694)

STATEMENT

OF

ASSETS

AND

LIABILITIES

December

31,

2023

(Unaudited)

19

See

Notes

to

Financial

Statements

Cost

Value

Assets

($):

Investments

in

securities—See

Statement

of

Investments

(including

securities

on

loan,

valued

at

$324,842)—Note

2(c):

–

Unaffiliated

issuers

23,363,586

22,678,088‌

Affiliated

issuers

302,150

302,150‌

Cash

denominated

in

foreign

currency

417

417‌

Interest

receivable

235,724‌

Receivable

for

futures

variation

margin—Note

4

42,945‌

Dividends

receivable

804‌

Securities

lending

income

receivable

145‌

23,260,273‌

Liabilities

($):

Due

to

BNY

Mellon

ETF

Investment

Adviser,

LLC—

Note

3(b)

6,775‌

Liability

for

securities

on

loan—Note

2(c)

17,985‌

Distributions

payable—Note

2(e)

91,520‌

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts—Note

4

5,694‌

121,974‌

Net

Assets

($)

23,138,299‌

Composition

of

Net

Assets

($):

Paid-in

capital

25,050,050‌

Total

distributable

earnings

(loss)

(1,911,751‌)

Net

Assets

($)

23,138,299‌

Shares

outstanding

no

par

value

(unlimited

shares

authorized):

500,001‌

Net

asset

value

per

share

46.28‌

Market

price

per

share

46.43‌

STATEMENT

OF

OPERATIONS

Six

Months

Ended

December

31,

2023

(Unaudited)

20

See

Notes

to

Financial

Statements

Investment

Income

($):

Income:

Cash

dividends:

Affiliated

issuers

5,037‌

Interest

525,650‌

Income

from

securities

lending—Note

2(c)

1,589‌

Total

Income

532,276‌

Expenses:

Management

fee—Note

3(a)

38,981‌

Total

Expenses

38,981‌

Net

Investment

Income

493,295‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments—Note

4

($):

Net

realized

gain

(loss)

on

investments

and

foreign

currency

transactions

(283,785‌)

Net

realized

gain

(loss)

on

futures

(59,598‌)

Net

realized

gain

(loss)

on

forward

foreign

currency

exchange

contracts

6,750‌

Net

realized

gain

(loss)

(336,633‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

and

foreign

currency

transactions

964,963‌

Net

change

in

unrealized

appreciation

(depreciation)

on

futures

12,733‌

Net

change

in

unrealized

appreciation

(depreciation)

on

forward

foreign

currency

exchange

contracts

(4,705‌)

Net

change

in

unrealized

appreciation

(depreciation)

972,991‌

Net

Realized

and

Unrealized

Gain

(Loss)

on

Investments

636,358‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

1,129,653‌

STATEMENT

OF

CHANGES

IN

NET

ASSETS

21

See

Notes

to

Financial

Statements

Six

Months

Ended

December

31,

2023

(Unaudited)

Year

Ended

June

30,

2023

Operations

($):

Net

investment

income

493,295‌

909,217‌

Net

realized

gain

(loss)

on

investments

(336,633‌)

(572,114‌)

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

972,991‌

105,112‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

1,129,653‌

442,215‌

Distributions

($):

Distributions

to

shareholders

(673,246‌)

(865,717‌)

Beneficial

Interest

Transactions

($):

Proceeds

from

shares

sold

—‌

—‌

Increase

(Decrease)

in

Net

Assets

from

Beneficial

Interest

Transactions

—‌

—‌

Total

Increase

(Decrease)

in

Net

Assets

456,407‌

(423,502‌)

Net

Assets

($):

Beginning

of

Period

22,681,892‌

23,105,394‌

End

of

Period

23,138,299‌

22,681,892‌

Changes

in

Shares

Outstanding:

Shares

sold

—‌

—‌

Net

Increase

(Decrease)

in

Shares

Outstanding

—‌

—‌

FINANCIAL

HIGHLIGHTS

22

The

following

table

describes

the

performance

for

the

fiscal

periods

indicated

and

these

figures

have

been

derived

from

the

fund’s

financial

statements.

See

Notes

to

Financial

Statements

Six

Months

Ended

December

31,

2023

(Unaudited)

Year

Ended

June

30,

2023

For

the

Period

from

March

22,

2022

(a)

to

June

30,

2022

Per

Share

Data

($):

Net

asset

value,

beginning

of

period

45.36‌

46.21‌

50.00‌

Investment

Operations:

Net

investment

income

(b)

0.99‌

1.82‌

0.45‌

Net

realized

and

unrealized

gain

(loss)

on

investments

1.28‌

(0.94‌)

(4.01‌)

Total

from

Investment

Operations

2.27‌

0.88‌

(3.56‌)

Distributions:

–

–

–

Dividends

from

net

investment

income

(1.35‌)

(1.73‌)

(0.33‌)

Transaction

fees

(b)

—‌

—‌

0.10‌

Net

asset

value,

end

of

period

46.28‌

45.36‌

46.21‌

Market

price,

end

of

period

46.43‌

45.47‌

46.46‌

Net

Asset

Value

Total

Return

(%)

(c)

5.14‌

2.01‌

(6.94‌)

(d)

Market

Price

Total

Return

(%)

(c)

5.23‌

1.69‌

(6.44‌)

(d)

Ratios/Supplemental

Data

(%):

Ratio

of

total

expenses

to

average

net

assets

0.35‌

(e)

0.35‌

0.35‌

(e)

Ratio

of

net

investment

income

to

average

net

assets

4.43‌

(e)

4.01‌

3.41‌

(e)

Portfolio

Turnover

Rate

(f)

25.62‌

53.59‌

13.06‌

Net

Assets,

end

of

period

($

x

1,000)

23,138‌

22,682‌

23,105‌

(a)

Commencement

of

operations.

(b)

Based

on

average

shares

outstanding.

(c)

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.

(d)

The

net

asset

value

total

return

and

the

market

price

total

return

is

calculated

from

fund

inception.

The

inception

date

is

the

first

date

the

fund

was

available

on

NYSE

Arca,

Inc.

(e)

Annualized.

(f)

Portfolio

turnover

rate

is

not

annualized

for

periods

less

than

one

year,

if

applicable,

and

does

not

include

securities

received

or

delivered

from

processing

creations

or

redemptions.

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

23

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

sixteen

series,

including

the

fund.

The

investment

objective

of

the

fund

is

to

seek

total

return

consisting

of

capital

appreciation

and

income.

BNY

Mellon

ETF

Investment

Adviser,

LLC

(the

“Adviser”),

a

wholly-

owned

subsidiary

of

The

Bank

of

New

York

Mellon

Corporation

(“BNY

Mellon”),

serves

as

the

fund’s

investment

adviser. Insight

North

America

LLC (the

“Sub-Adviser”

or

“INA”),

an

indirect wholly-owned

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser,

serves

as

the

fund’s

sub-adviser.

The

Bank

of

New

York

Mellon,

a

subsidiary

of

BNY

Mellon

and

an

affiliate

of

the

Adviser,

serves

as

administrator,

custodian

and

transfer

agent

with

the

Trust.

BNY

Mellon

Securities

Corporation

(the

“Distributor”),

a wholly-owned

subsidiary

of

the

Adviser,

is

the

distributor

of

the

fund’s

shares.

The

shares

of

the

fund

are

referred

to

herein

as

“Shares”

or

“Fund’s

Shares.”

The

Fund’s

Shares

are

listed

and

traded

on

NYSE

Arca,

Inc.

The

market

price

of

each

Share

may

differ

to

some

degree

from

the

fund’s

net

asset

value

(“NAV”).

Unlike

conventional

mutual

funds,

the

fund

issues

and

redeems

Shares

on

a

continuous

basis,

at

NAV,

only

in

a

large

specified

number

of

Shares,

each

called

a

“Creation

Unit”.

Creation

Units

are

issued

and

redeemed

principally

in

exchange

for

the

deposit

or

delivery

of

a

basket

of

securities.

Except

when

aggregated

in

Creation

Units

by

Authorized

Participants,

the

Shares

are

not

individually

redeemable

securities

of

the

fund.

Individual

Fund

Shares

may

only

be

purchased

and

sold

on

the

NYSE

Arca,

Inc.,

other

national

securities

exchanges,

electronic

crossing

networks

and

other

alternative

trading

systems

through

your

broker-dealer

at

market

prices.

Because

Fund

Shares

trade

at

market

prices

rather

than

at

NAV,

Fund

Shares

may

trade

at

a

price

greater

than

NAV

(premium)

or

less

than

NAV

(discount).

When

buying

or

selling

Shares

in

the

secondary

market,

you

may

incur

costs

attributable

to

the

difference

between

the

highest

price

a

buyer

is

willing

to

pay

to

purchase

Shares

of

the

fund

(bid)

and

the

lowest

price

a

seller

is

willing

to

accept

for

Shares

of

the

fund

(ask). 

NOTE

2—Significant

Accounting

Policies: 

The

Financial

Accounting

Standards

Board

(“FASB”)

Accounting

Standards

Codification

(“ASC”)

is

the

exclusive

reference

of

authoritative

U.S.

generally

accepted

accounting

principles

(“GAAP”)

recognized

by

the

FASB

to

be

applied

by

nongovernmental

entities.

Rules

and

interpretive

releases

of

the

SEC

under

authority

of

federal

laws

are

also

sources

of

authoritative

GAAP

for

SEC

registrants. The

fund

is an

investment

company

and

applies

the

accounting

and

reporting

guidance

of

the

FASB

ASC

Topic

946

Financial

Services-Investment

Companies. The

fund’s

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

24

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.

25

The

Trust’s Board

of

Trustees

(the

“Board”)

has

designated

the

Adviser

as

the

fund’s

valuation

designee

to

make

all

fair

value

determinations

with

respect

to

the

fund’s

portfolio

of

investments,

subject

to

the

Board’s

oversight

and

pursuant

to

Rule

2a-5

under

the

Act.

Investments

in

debt

securities

excluding

short-term

investments

(other

than

U.S.

Treasury

Bills),

futures

and

forward

foreign

currency

exchange

contracts

(“forward

contracts”)

are

valued

each

business

day

by

one

or

more

independent

pricing

services

(each,

a

“Service”)

approved

by the Board.

Investments

for

which

quoted

bid

prices

are

readily

available

and

are

representative

of

the

bid

side

of

the

market

in

the

judgment

of

a

Service

are

valued

at

the

mean

between

the

quoted

bid

prices

(as

obtained

by

a

Service

from

dealers

in

such

securities)

and

asked

prices

(as

calculated

by

a

Service

based

upon

its

evaluation

of

the

market

for

such

securities).

Securities

are

valued

as

determined

by

a

Service,

based

on

methods

which

include

consideration

of

the

following:

yields

or

prices

of

securities

of

comparable

quality,

coupon,

maturity

and

type;

indications

as

to

values

from

dealers;

and

general

market

conditions.

Each

Service

and

independent

valuation

firm

is

engaged

under

the

general

oversight

of

the

Board.

Overnight

and

certain

other

short-term

debt

instruments

(excluding

U.S.

Treasury

Bills)

will

be

valued

by

the

amortized

cost

method,

which

approximates

value,

unless

a

Service

provides

a

valuation

for

such

security

or,

in

the

opinion

of

the

Board

or

a

committee

or

other

persons

designated

by

the

Board,

the

amortized

cost

method

would

not

represent

fair

value. These

securities

are

generally

categorized

within

Level

2

of

the

fair

value

hierarchy.

When

market

quotations

or

official

closing

prices

are

not

readily

available,

or

are

determined

not

to

reflect

fair

value

accurately,

they are

valued

at

fair

value

as

determined

in

good

faith

based

on

procedures

approved

by

the

Board.

Fair

value

of

investments

may

be

determined

by

valuation

designee

using

such

information

as

it

deems

appropriate

under

the

circumstances.

Certain

factors

may

be

considered

when

fair

valuing

investments

such

as:

fundamental

analytical

data,

the

nature

and

duration

of

restrictions

on

disposition,

an

evaluation

of

the

forces

that

influence

the

market

in

which

the

securities

are

purchased

and

sold,

and

public

trading

in

similar

securities

of

the

issuer

or

comparable

issuers.

These

securities

are

either

categorized

within

Level

2

or

3

of

the

fair

value

hierarchy

depending

on

the

relevant

inputs

used.

For

securities

where

observable

inputs

are

limited,

assumptions

about

market

activity

and

risk

are

used

and

are

generally

categorized

within

Level

3

of

the

fair

value

hierarchy.

Futures,

which

are

traded

on

an

exchange,

are

valued

at

the

last

sales

price

on

securities

exchange

on

which

such

contracts

are

primarily

traded

or

at

the

last

sales

price

on

the

exchange

on

each

business

day

and

are

generally

categorized

within

Level

1

of

the

fair

value

hierarchy.

Forward

contracts

are

valued

at

the

forward

rate

and

are

generally

categorized

within

Level

2

of

the

fair

value

hierarchy.

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

26

The

table

below

summarizes

the

inputs

used

as

of December

31,

2023

in

valuing

the

fund’s

investments:

Fair

Value

Measurements

(b)

Foreign

currency

transactions:

The

fund

does

not

isolate

that

portion

of

the

results

of

operations

resulting

from

changes

in

foreign

exchange

rates

on

investments

from

the

fluctuations

arising

from

changes

in

the

market

prices

of

securities

held.

Such

fluctuations

are

included

with

the

net

realized

and

unrealized

gain

or

loss

on

investments.

Net

realized

foreign

exchange

gains

or

losses

arise

from

sales

of

foreign

currencies,

currency

gains

or

losses

realized

on

securities

transactions

between

trade

and

settlement

date,

and

the

difference

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

fund’s

books

and

the

U.S.

dollar

equivalent

of

the

amounts

actually

received

or

paid.

Net

unrealized

foreign

exchange

gains

and

losses

arise

from

changes

in

the

value

of

assets

and

liabilities

other

than

investments

resulting

from

changes

in

exchange

rates.

Foreign

currency

gains

and

losses

on

foreign

currency

transactions

are

also

included

with

net

realized

and

unrealized

gain

or

loss

on

investments.

Level

1

-

Unadjusted

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

-

Significant

Unobservable

Inputs

Total

Assets

($)

Investments

In

Securities:

†

Corporate

Bonds

—

21,862,188

—

21,862,188

Municipal

Securities

—

9,080

—

9,080

U.S.

Treasury

Government

Securities

—

806,820

—

806,820

Investment

Companies

284,165

—

—

284,165

Investment

of

Cash

Collateral

for

Securities

Loaned

17,985

—

—

17,985

Other

Financial

Instruments:

Futures

††

105,689

—

—

105,689

Liabilities

($)

Other

Financial

Instruments:

Futures

††

(90,399)

—

—

(90,399)

Forward

Foreign

Currency

Exchange

Contracts

††

—

(5,694)

—

(5,694)

†

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.

27

Foreign

Taxes:

The

fund

may

be

subject

to

foreign

taxes

(a

portion

of

which

may

be

reclaimable)

on

income,

stock

dividends,

realized

and

unrealized

capital

gains

on

investments

or

certain

foreign

currency

transactions.

Foreign

taxes

are

recorded

in

accordance

with

the

applicable

foreign

tax

regulations

and

rates

that

exist

in

the

foreign

jurisdictions

in

which

the

fund

invests.

These

foreign

taxes,

if

any,

are

paid

by

the

fund

and

are

reflected

in

the

Statement

of

Operations,

if

applicable.

Foreign

taxes

payable

or

deferred

or

those

subject

to

reclaims as

of December

31,

2023,

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.

Any

non-cash

collateral

received

cannot

be

sold

or

re-pledged

by

the

fund,

except

in

the

event

of

borrower

default.

The

securities

on

loan,

if

any,

are

also

disclosed

in

the

fund’s

Statement

of

Investments.

The

fund is

entitled

to

receive

all

dividends,

interest

and

distributions

on

securities

loaned,

in

addition

to

income

earned

as

a

result

of

the

lending

transaction.

Should

a

borrower

fail

to

return

the

securities

in

a

timely

manner,

BNY

Mellon

is

required

to

replace

the

securities

for

the

benefit

of

the

fund

or

credit

the

fund

with

the

market

value

of

the

unreturned

securities

and

is

subrogated

to

the

fund’s

rights

against

the

borrower

and

the

collateral.

Additionally,

the

contractual

maturity

of

security

lending

transactions

are

on

an

overnight

and

continuous

basis.

During

the

period

ended

December

31,

2023,

BNY

Mellon

earned

$217 from

the

lending

of

the

fund’s portfolio

securities,

pursuant

to

the

securities

lending

agreement.

For

financial

reporting

purposes,

the

fund

elects

not

to

offset

assets

and

liabilities

subject

to

a

securities

lending

agreement,

if

any,

in

the

Statement

of

Assets

and

Liabilities.

Therefore,

all

qualifying

transactions

are

presented

on

a

gross

basis

in

the

Statement

of

Assets

and

Liabilities.

As

of

December

31,

2023,

the

fund

had

securities

lending

and

the

impact

of

netting

of

assets

and

liabilities

and

the

offsetting

of

collateral

pledged

or

received,

if

any,

based

on

contractual

netting/set-off

provisions

in

the

securities

lending

agreement

are

detailed

in

the

following

table:

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

28

(d)

Affiliated

issuers:

Investments

in

other

investment

companies

advised

by

the

Adviser

or

its

affiliates are

defined

as

“affiliated”

under

the

Act. 

(e)

Market

Risk:

The

value

of

the

securities

in

which

the

fund

invests

may

be

affected

by

political,

regulatory,

economic

and

social

developments,

and

developments

that

impact

specific

economic

sectors,

industries

or

segments

of

the

market.

In

addition,

turbulence

in

financial

markets

and

reduced

liquidity

in

equity,

credit

and/

or

fixed

income

markets

may

negatively

affect

many

issuers,

which

could

adversely

affect

the

fund.

Global

economies

and

financial

markets

are

becoming

increasingly

interconnected,

and

conditions

and

events

in

one

country,

region

or

financial

market

may

adversely

impact

issuers

in

a

different

country,

region

or

financial

market.

These

risks

may

be

magnified

if

certain

events

or

developments

adversely

interrupt

the

global

supply

chain;

in

these

and

other

circumstances,

such

risks

might

affect

companies

world-wide.

Fixed-Income

Market

Risk:

The

market

value

of

a

fixed-income

security

may

decline

due

to

general

market

conditions

that

are

not

specifically

related

to

a

particular

company,

such

as

real

or

perceived

adverse

economic

conditions,

changes

in

the

outlook

for

corporate

earnings,

changes

in

interest

or

currency

rates

or

adverse

investor

sentiment

generally.

The

fixed-income

securities

market

can

be

susceptible

to

increases

in

volatility

and

decreases

in

liquidity.

Liquidity

can

decline

unpredictably

in

response

to

overall

economic

conditions

or

credit

tightening.

Increases

in

volatility

and

decreases

in

liquidity

may

be

caused

by

a

rise

in

interest

rates

(or

the

expectation

of

a

rise

in

interest

rates).

An

unexpected

increase

in

redemption

requests,

including

requests

from

Authorized

Participants

who

may

own

a

significant

percentage

of

the

fund’s

shares,

which

may

be

triggered

by

market

turmoil

or

an

increase

in

interest

rates,

could

cause

the

fund

to

sell

its

holdings

at

a

loss

or

at

undesirable

prices

and

adversely

affect

the

fund’s

share

price

and

increase

the

fund’s

liquidity

risk,

fund

expenses

and/or

taxable

distributions.

Federal

Reserve

policy

in

response

to

market

conditions,

including

with

respect

to

interest

rates,

may

adversely

affect

the

value,

volatility

and

liquidity

of

dividend

and

interest

paying

securities.

Policy

and

legislative

changes

worldwide

are

Assets

($)

Liabilities

($)

Securities

Lending

324,842

—

Total

gross

amount

of

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

324,842

—

Collateral

(received)/posted

not

offset

in

the

Statement

of

Assets

and

Liabilities

(324,842)

†

—

Net

Amount

—

—

†

The

value

of

the

related

collateral

received

by

the

fund

normally

exceeded

the

value

of

the

securities

loaded

by

the

fund

pursuant

to

the

securities

lending

agreement.

In

addition,

the

value

of

collateral

may

include

pending

sales

that

are

also

on

loan.

See

Statement

of

Investments

for

detailed

information

regarding

the

collateral

received

for

open

securities

lending.

29

affecting

many

aspects

of

financial

regulation.

The

impact

of

these

changes

on

the

markets

and

the

practical

implications

for

market

participants

may

not

be

fully

known

for

some

time.

ESG

Investment

Approach

Risk:

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.

For

example,

the

incorporation

of

ESG

considerations

may

result

in

the

fund

forgoing

opportunities

to

buy

certain

securities

when

it

might

otherwise

be

advantageous

to

do

so

or

selling

securities

when

it

might

otherwise

be

disadvantageous

for

the

fund

to

do

so.

The

incorporation

of

ESG

considerations

may

also

affect

the

fund’s

exposure

to

certain

sectors

and/or

types

of

investments,

and

may

adversely

impact

the

fund’s

performance

depending

on

whether

such

sectors

or

investments

are

in

or

out

of

favor

in

the

market.

INA’s

security

selection

process

incorporates

ESG

data

provided

by

third

parties,

which

may

be

limited

for

certain

issuers

and/or

only

take

into

account

one

or

a

few

ESG

related

components.

In

addition,

ESG

data

may

include

quantitative

and/

or

qualitative

measures,

and

consideration

of

this

data

may

be

subjective.

Different

methodologies

may

be

used

by

the

various

data

sources

that

provide

ESG

data.

ESG

data

from

third

parties

used

by

INA

as

part

of

its

proprietary

ESG

process

often

lacks

standardization,

consistency

and

transparency,

and

for

certain

issuers

such

data

may

not

be

available

complete

or

accurate.

INA’s

evaluation

of

ESG

factors

relevant

to

a

particular

issuer

may

be

adversely

affected

in

such

instances.

As

a

result,

the

fund’s

investments

may

differ

from,

and

potentially

underperform,

funds

that

incorporate

ESG

data

from

other

sources

or

utilize

other

methodologies.

Foreign

Investment

Risk:

Because

the

fund

invests

in

foreign

securities,

the

fund’s

performance

will

be

influenced

by

political,

social

and

economic

factors

affecting

investments

in

foreign

issuers.

Special

risks

associated

with

investments

in

foreign

issuers

include

exposure

to

currency

fluctuations,

less

liquidity,

less

developed

or

less

efficient

trading

markets,

lack

of

comprehensive

company

information,

political

and

economic

instability

and

differing

auditing

and

legal

standards.

The

imposition

of

sanctions,

confiscations,

trade

restrictions

(including

tariffs)

and

other

government

restrictions

by

the

United

States

and

other

governments,

or

problems

in

share

registration,

settlement

or

custody,

may

result

in

losses

for

the

fund.

Investments

denominated

in

foreign

currencies

are

subject

to

the

risk

that

such

currencies

will

decline

in

value

relative

to

the

U.S.

dollar

and

affect

the

value

of

these

investments

held

by

the

fund.

Some

sovereign

obligors

have

been

among

the

world’s

largest

debtors

to

commercial

banks,

other

governments,

international

financial

organizations

and

other

financial

institutions.

These

obligors,

in

the

past,

may

have

experienced

substantial

difficulties

in

servicing

their

external

debt

obligations,

which

led

to

defaults

on

certain

obligations

and

the

restructuring

of

certain

indebtedness.

To

the

extent

securities

held

by

the

fund

trade

in

a

market

that

is

closed

when

the

exchange

on

which

the

fund’s

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

30

shares

trade

is

open,

there

may

be

deviations

between

the

current

price

of

a

security

and

the

last

quoted

price

for

the

security

in

the

closed

foreign

market.

These

deviations

could

result

in

the

fund

experiencing

premiums

or

discounts

greater

than

those

of

ETFs

that

invest

in

domestic

securities.

High

Yield

Securities Risk:

High

yield

(“junk”)

securities

involve

greater

credit

risk,

including

the

risk

of

default,

than

investment

grade

securities,

and

are

considered

predominantly

speculative

with

respect

to

the

issuer’s

ability

to

make

principal

and

interest

payments.

The

prices

of

high

yield

securities

can

fall

in

response

to

unfavorable

news

about

the

issuer

or

its

industry,

or

the

economy

in

general,

to

a

greater

extent than

those

of

higher

rated

securities.

Authorized

Participants,

Market

Makers

and

Liquidity

Providers

Risk:

The

fund

has

a

limited

number

of

financial

institutions

that

may

act

as

Authorized

Participants,

which

are

responsible

for

the

creation

and

redemption

activity

for

the

fund.

In

addition,

there

may

be

a

limited

number

of

market

makers

and/or

liquidity

providers

in

the

marketplace.

To

the

extent

either

of

the

following

events

occur,

fund

shares

may

trade

at

a

material

discount

to

net

asset

value

and

possibly

face

delisting:

(i)

Authorized

Participants

exit

the

business

or

otherwise

become

unable

to

process

creation

and/or

redemption

orders

and

no

other

Authorized

Participants

step

forward

to

perform

these

services,

or

(ii)

market

makers

and/or

liquidity

providers

exit

the

business

or

significantly

reduce

their

business

activities

and

no

other

entities

step

forward

to

perform

their

functions. 

(f)

Dividends

and

distributions

to

shareholders:

Dividends

and

distributions

are

recorded

on

the

ex-dividend

date.

Dividends

from

net

investment

income

are

normally

declared

and

paid

on

a

monthly

basis. Dividends

from

net

realized

capital

gains,

if

any,

are

normally

declared

and

paid

annually,

but

the

fund

may

make

distributions

on

a

more

frequent

basis

to

comply

with

the

distribution

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

To

the

extent

that

net

realized

capital

gains

can

be

offset

by

capital

loss

carryovers

of

a

fund,

it

is

the

policy

of

the

fund

not

to

distribute

such

gains.

Income

and

capital

gain

distributions

are

determined

in

accordance

with

income

tax

regulations,

which

may

differ

from

GAAP.

On

December

26,

2023,

the

Board

declared

a

cash

dividend

of

$0.18

per

share

from

net

investment

income,

payable

on

January

3,

2024

to

shareholders

of

record

as

of

the

close

of

business

on

December

28,

2023.

The

ex-dividend

date

was

December

27,

2023.

(g)

Federal

income

taxes:

It

is

the

policy

of

the

fund

to

continue to

qualify

as

a

regulated

investment

company,

if

such

qualification

is

in

the

best

interests

of

its

shareholders,

by

complying

with

the

applicable

provisions

of

the

Code,

and

to

make

distributions

of

taxable

income

and

net

realized

capital

gain sufficient

to

relieve

it

from

substantially

all

federal

income

and

excise

taxes.

For

federal

income

tax

purposes,

the

fund

is

treated

as

a

separate

entity.

31

As

of

and

during

the period

ended December

31,

2023,

the

fund

did

not

have

any

liabilities

for

any

uncertain

tax

positions.

The

fund

recognizes

interest

and

penalties,

if

any,

related

to

uncertain

tax

positions

as

income

tax

expense

in

the

Statement

of

Operations.

During

the period

ended December

31,

2023,

the

fund

did

not

incur

any

interest

or

penalties.

Each

tax

year

in

the

two-year

period

ended June

30,

2023

remains

subject

to

examination

by

the

Internal

Revenue

Service

and

state

taxing

authorities.

The

fund

is

permitted

to

carry

forward

capital

losses

for

an

unlimited

period.

Furthermore,

capital

loss

carryovers

retain

their

character

as

either

short-term

or

long-

term

capital

losses.

The

fund

has

an

unused

capital

loss

carryover

of

$851,515

available

for

federal

income

tax

purposes

to

be

applied

against

future

net

realized

capital

gains,

if

any,

subsequent

to

June

30,

2023.

The

fund

has

$798,748

of

short-term

capital

losses

and

$52,767

long-

term

capital

losses

which

can

be

carried

forward

for

an

unlimited

period.

The

tax

character

of

distributions

paid

to

shareholders

during

the

fiscal

year

ended

June

30,

2023

were

as

follows:

ordinary

income

$865,717.

The

tax

character

of

current

year

distributions

will

be

determined

at

the

end

of

the

current

fiscal

year.

NOTE

3—Management

Fee,

Sub-Advisory

Fee

and

Other

Transactions

with

Affiliates:

(a)

Pursuant

to

a

management

agreement

with

the

Adviser,

the

management

fee

is computed

at

an

annual

rate of

0.35%

of

the

value

of

the

fund’s

average

daily

net

assets

and

is

payable

monthly.

The

fund’s

management

agreement

provides

that

the

Adviser

pays

substantially

all

expenses

of

the

fund,

except

for

the

management

fees,

payments

under

the

fund’s

12b-1

plan

(if

any),

interest

expenses,

taxes,

acquired

fund

fees

and

expenses,

brokerage

commissions,

costs

of

holding

shareholder

meetings,

fees

and

expenses

associated

with

the

fund’s

securities

lending

program,

and

litigation

and

potential

litigation

and

other

extraordinary

expenses

not

incurred

in

the

ordinary

course

of

the

fund’s

business.

The

Adviser

may

from

time

to

time

voluntarily

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

total

annual

fund

operating

expenses.

Any

such

voluntary

waiver

or

reimbursement

may

be

eliminated

by

the

Adviser

at

any

time.

During

the

period

ended

December

31,

2023,

there

was

no

reduction

in

expenses

pursuant

to

the

undertaking.

Pursuant

to

a

sub-investment

advisory

agreement

between

the

Adviser

and

the

Sub-

Adviser,

the

Sub-Adviser

serves

as

the

fund’s

sub-adviser

responsible

for

the

day-to-day

management

of

the

fund’s

portfolio.

The

Adviser

pays

the

Sub-Adviser

a

monthly

fee

at

an

annual

percentage

of

the

value

of

the

fund’s

average

daily

net

assets.

The

Adviser

has

obtained

an

exemptive

order

from

the

SEC

(the

“Order”),

upon

which

the

fund

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

32

may

rely,

to

use

a

manager

of

managers

approach

that

permits

the

Adviser,

subject

to

certain

conditions

and

approval

by

the

Board,

to

enter

into

and

materially

amend

sub-investment

advisory

agreements

with

one

or

more

sub-advisers

who

are

either

unaffiliated

or

affiliated

with

the

Adviser

without

obtaining

shareholder

approval.

The

Order

also

relieves

the

fund

from

disclosing

the

sub-advisory

fee

paid

by

the

Adviser

to

a

Sub-Adviser

in

documents

filed

with

the

SEC

and

provided

to

shareholders.

In

addition,

pursuant

to

the

Order,

it

is

not

necessary

to

disclose

the

sub-advisory

fee

payable

by

the

Adviser

separately

to

a

Sub-Adviser

that

is

a

wholly-owned

subsidiary

(as

defined

in

the

1940

Act)

of

BNY

Mellon

in

documents

filed

with

the

SEC

and

provided

to

shareholders;

such

fees

are

to

be

aggregated

with

fees

payable

to

the

Adviser.

The

Adviser

has

ultimate

responsibility

(subject

to

oversight

by

the

Board)

to

supervise

any

Sub-Adviser

and

recommend

the

hiring,

termination,

and

replacement

of

any

Sub-Adviser

to

the

Board.

Pursuant

to

a

sub-investment

advisory

agreement

between

the

Adviser

and

the

Sub-

Adviser,

the

Adviser

pays

the

Sub-Adviser

a

monthly

fee

at

an

annual

rate

of

0.175%

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 $6,775.

(c)

Each

Board

member

serves

as

a

Board

member

of

each

fund

within

the

Trust.

The

Board

members

are

not

compensated

directly

by

the

fund.

The

Board

members

are

paid

by

the

Adviser

from

the

unitary

management

fee

paid

to

the

Adviser

by

the

fund.

The

quarterly

fees

are

paid

by

the

Adviser

from

unitary

management

fees

paid

to

the

Adviser

by

the

funds

within

the

Trust,

including

the

fund.

NOTE

4—Securities

Transactions:

The

aggregate

amount

of

purchases

and

sales

(including

paydowns,

if

any)

of

investment

securities,

excluding

short-term

securities

and

in-kind

transactions,

during

the

period

ended

December

31,

2023, amounted

to $5,608,593

and

$5,943,500,

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.

33

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.

Rule

18f-4

under

the

Act

regulates

the

use

of

derivative

transactions

for

certain

funds

registered

under

the

Act.

The

fund’s

derivative

transactions

are

subject

to

a

value-at-risk

leverage

limit

and

certain

reporting

and

other

requirements

pursuant

to

a

derivatives

risk

management

program

adopted

by

the

fund.

Each

type

of

derivative

instrument

that

was

held

by

the

fund

during

the period

ended

December

31,

2023

is

discussed

below.

Futures:

In

the

normal

course

of

pursuing

its

investment

objective,

exposed

to

market

risk,

including

interest

risk,

as

a

result

of

changes

in

value

of

underlying

financial

instruments.

The

fund

invests

in

futures

in

order

to

manage

the

exposure

to

or

protect

against

changes

in

the

market.

A

futures

contract

represents

a

commitment

for

the

future

purchase

or

a

sale

of

an

asset

at

a

specified

date.

Upon

entering

into

such

contracts,

these

investments

require

initial

margin

deposits

with

a

counterparty,

which

consist

of

cash

or

cash

equivalents.

The

amount

of

these

deposits

is

determined

by

the

exchange

or

Board

of

Trade

on

which

the

contract

is

traded

and

is

subject

to

change.

Accordingly,

variation

margin

payments

are

received

or

made

to

reflect

daily

unrealized

gains

or

losses

which

are

recorded

in

the

Statements

of

Operations.

When

the

contracts

are

closed,

the

fund

recognizes

a

realized

gain

or

loss

which

is

reflected

in

the

Statements

of

Operations.

There

is

minimal

counterparty

credit

risk

to

the

fund

with

futures

since

they

are

exchange

traded,

and

the

exchange

guarantees

the

futures

against

default.

Futures

open

at December

31,

2023,

are

set

forth

in

the

Statement

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

T

he

fund

enters

into

forward

contracts

in

order

to

hedge

its

exposure

to

changes

in

foreign

currency

exchange

rates

on

its

foreign

portfolio

holdings,

to

settle

foreign

currency

transactions

or

as

a

part

of

its

investment

strategy.

When

executing

forward

contracts,

the

fund

is

obligated

to

buy

or

sell

a

foreign

currency

at

a

specified

rate

on

a

certain

date

in

the

future.

With

respect

to

sales

of

forward

contracts,

the

fund

incurs

a

loss

if

the

value

of

the

contract

increases

between

the

date

the

forward

contract

is

opened

and

the

date

the

forward

contract

is

closed.

The

fund

realizes

a

gain

if

the

value

of

the

contract

decreases

between

those

dates.

With

respect

to

purchases

of

forward

contracts,

the

fund

incurs

a

loss

if

the

value

of

the

contract

decreases

between

the

date

the

forward

contract

is

opened

and

the

date

the

forward

contract

is

closed.

The

fund

realizes

a

gain

if

the

value

of

the

contract

increases

between

those

dates.

Any

realized

or

unrealized

gains

or

losses

which

occurred

during

the

period

are

reflected

in

the

Statement

of

Operations.

The

fund

is

exposed

to

foreign

currency

risk

as

a

result

of

changes

in

value

of

underlying

financial

instruments.

The

fund

is

also

exposed

to

credit

risk

associated

with

counterparty

nonperformance

on

these

forward

contracts,

which

is

generally

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

34

limited

to

the

unrealized

gain

on

each

open

contract.

This

risk

may

be

mitigated

by

Master

Agreements,

if

any,

between

the

fund

and

the

counterparty

and

the

posting

of

collateral,

if

any,

by

the

counterparty

to

the

fund

to

cover

the

fund’s

exposure

to

the

counterparty.

Forward

contracts

open

at December

31,

2023

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 December

31,

2023

is

shown

below:

Statement

of

Assets

and

Liabilities

location:

The

effect

of

derivative

instruments

in

the

Statements of

Operations

during

the period

ended

December

31,

2023 is

shown

below:

Statement

of

Operations

location:

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

Derivative

Assets

($)

Derivative

Liabilities

($)

Interest

rate

risk

105,689

(a)

Interest

rate

risk

(90,399)

(a)

Foreign

exchange

risk

—

(b)

Foreign

exchange

risk

(5,694)

(b)

Gross

fair

value

of

derivative

contracts

105,689

(96,093)

(a)

Includes

cumulative

appreciation

(depreciation)

on

futures

as

reported

in

the

Statement

of

Investments,

but

only

the

unpaid

variation

margin

is

reported

in

the

Statement

of

Assets

and

Liabilities.

(b)

Unrealized

appreciation

(depreciation)

on

forward

foreign

currency

exchange

contracts.

Amount

of

realized

gain

(loss)

on

derivatives

recognized

in

income

($)

Underlying

Risk

Futures

(a)

Forward

Contracts

(b)

Total

Interest

rate

(59,598)

—

(59,598)

Foreign

exchange

—

6,750

6,750

Total

(59,598)

6,750

(52,849)

Net

change

in

unrealized

appreciation

(depreciation)

on

derivatives

recognized

in

income

($)

Underlying

Risk

Futures

(c)

Forward

Contracts

(d)

Total

Interest

rate

12,733

—

12,733

Foreign

exchange

—

(4,705)

(4,705)

Total

12,733

(4,705)

8,028

(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.

35

to

Master

Agreements

which

are

eligible

for

offsetting

in

the

Statement

of

Assets

and

Liabilities

and

require

the

fund

to

disclose

both

gross

and

net

information

with

respect

to

such

investments.

For

financial

reporting

purposes,

the

fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

Master

Agreements

in

the

Statement

of

Assets

and

Liabilities.

At December

31,

2023,

derivative

assets

and

liabilities

(by

type)

on

a

gross

basis

are

as

follows:

The

following

tables

present

derivative

assets

and

liabilities

net

of

amounts

available

for

offsetting

under

Master

Agreements

and

net

of

related

collateral

received

or

pledged,

if

any,

as

of December

31,

2023:

The following

table summarizes

the

average market

value of

derivatives

outstanding

during

the period

ended

December

31,

2023:

At December

31,

2023,

accumulated

net

unrealized

depreciation on

investments

was

$675,902,

consisting

of

gross

appreciation

of

$405,329

and

gross

depreciation

of

$1,081,231.

At

December

31,

2023,

the

cost

of

investments

for

federal

income

tax

purposes

was

substantially

the

same

as

the

cost

for

financial

reporting

purposes

(see

the

Statement

of

Investments).

Derivative

Financial

Instruments:

Assets

($)

Liabilities

($)

Futures

105,689

(90,399)

Forward

contracts

—

(5,694)

Total

gross

amount

of

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

105,689

(96,093)

Derivatives

not

subject

to  Master

Agreements

105,689

(90,399)

Total

gross

amount

of

derivative

assets

and

liabilities

subject

to

Master

Agreements

—

(5,694)

Counterparty

Gross

Amount

of

Liabilities($)

†

Financial

Instruments

and

Derivatives

Available

for

Offset

($)

Collateral

Pledged

($)

Net

Amount

of

Liabilities

($)

Goldman

Sachs

&

Co.

(5,694)

–

–

(5,694)

†

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

4,607,638

Forward

contracts

723,420

NOTES

TO

FINANCIAL

STATEMENTS

(Unaudited)

(continued)

36

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.

Seed

Capital:

As

of

December

31,

2023,

MBC

Investments

Corporation,

a

wholly-

owned

subsidiary

of

BNY

Mellon,

held

490,001

shares

of

the

fund.

In-kind

Redemptions:

For

financial

reporting

purposes,

in-kind

redemptions

are

treated

as

sales

of

securities

resulting

in

realized

capital

gains

or

losses

to

the

fund.

Because

such

gains

or

losses

are

not

taxable

to

the

fund

and

are

not

distributed

to

existing

fund

shareholders,

the

gains

or

losses

are

reclassified

from

accumulated

net

realized

gain

(loss)

to

paid-in

capital

at

the

end

of

the

fund’s

tax

year.

These

reclassifications

have

no

effect

on

net

assets

or

net

asset

value

per

share.

During

the

period

ended

December

31,

2023,

the

fund

had

no

in-kind

transactions.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(Unaudited)

37

The

funds

of

the

Trust

have

adopted

a

liquidity

risk

management

program

(the

“Program”)

pursuant

to

the

requirements

of

Rule

22e-4

under

the

Investment

Company

Act

of

1940,

as

amended.

Rule

22e-4

requires

registered

open-end

funds,

including

exchange-traded

funds,

to

establish

liquidity

risk

management

programs

in

order

to

effectively

manage

fund

liquidity

and

shareholder

redemptions.

The

rule

is

designed

to

mitigate

the

risk

that

a

fund

could

not

meet

redemption

requests

without

significantly

diluting

the

interests

of

remaining

investors.

The

Board

has

appointed

BNY

Mellon

ETF

Investment

Adviser,

LLC,

the

investment

adviser

to

the

funds,

as

the

Program

Administrator.

The

rule

requires

each

fund

to

assess,

manage

and

review

its

liquidity

risk

at

least

annually,

considering

applicable

factors

such

as

investment

strategy

and

liquidity

during

normal

and

reasonably

foreseeable

stressed

conditions,

including

whether

the

strategy

is

appropriate

for

an

open-end

fund

and

whether

the

fund

has

a

relatively

concentrated

portfolio

or

large

positions

in

particular

issuers.

Each

fund

must

also

assess

its

use

of

borrowings

and

derivatives,

short-

term

and

long-term

cash

flow

projections

in

normal

and

reasonably

foreseeable

stressed

conditions,

holdings

of

cash

and

cash

equivalents,

and

borrowing

arrangements

and

other

funding

sources.

In

addition,

with

respect

to

an

exchange-traded

fund,

a

fund

must

assess

the

relationship

between

the

fund’s

portfolio

liquidity

and

the

way

in

which,

and

the

prices

and

spreads

at

which,

the

fund’s

shares

trade,

and

the

effect

of

the

composition

of

baskets

on

the

overall

liquidity

of

the

fund’s

portfolio.

The

rule

also

generally

requires

funds

to

classify

each

of

their

investments

as

highly

liquid,

moderately

liquid,

less

liquid

or

illiquid

based

on

the

number

of

days

the

fund

expects

it

would

take

to

liquidate

the

investment,

and

to

review

these

classifications

at

least

monthly

or

more

often

under

certain

conditions.

Illiquid

investments

are

those

a

fund

does

not

expect

to

be

able

to

sell

or

dispose

of

within

seven

calendar

days

without

the

sale

or

disposition

significantly

changing

the

market

value

of

the

investment.

A

fund

is

prohibited

from

acquiring

an

investment

if,

after

the

acquisition,

its

holdings

of

illiquid

assets

will

exceed

15%

of

its

net

assets.

In

addition,

if

a

fund

permits

redemptions

in-kind,

the

rule

requires

the

fund

to

establish

redemption

in-kind

policies

and

procedures

governing

how

and

when

it

will

engage

in

such

redemptions.

Pursuant

to

the

rule’s

requirements,

the

Program

has

been

reviewed

and

approved

by

the

Board.

Furthermore,

at

its

November

2023

meeting,

the

Board

received

a

written

report

prepared

by

the

Program

Administrator,

for

the

period

October

1,

2022

to

September

30,

2023,

addressing

the

operation

of

the

Program,

assessing

the

Program’s

adequacy

and

effectiveness

and

describing

any

material

changes

made

to

the

Program.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(Unaudited)

(continued)

38

Assessment

of

Program

In

the

opinion

of

the

Program

Administrator,

the

Program

approved

by

the

Board

continues

to

be

adequate

for

the

funds

and

the

Program

has

been

implemented

effectively.

The

Program

Administrator

has

monitored

each

fund’s

liquidity

risk

and

the

liquidity

classification

of

the

securities

held

by

the

funds

and

has

determined

that

the

Program

is

operating

effectively.

During

the

period

from

October

1,

2022

to

September

30,

2023,

there

were

no

material

changes

to

the

Program

and

no

material

liquidity

events

that

impacted

the

funds.

During

the

period,

each

fund

held

sufficient

highly

liquid

assets

to

meet

fund

redemptions.

Under

normal

expected

foreseeable

fund

redemption

forecasts

and

foreseeable

stressed

fund

redemption

forecasts,

the

Program

Administrator

believes

that

each

fund

maintains

sufficient

highly

liquid

assets

to

meet

expected

fund

redemptions.

For

More

Information

2024

BNY

Mellon

Securities

Corporation

4863SA1223

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

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.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

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)   Not applicable.

(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)(2)(1) Not applicable.

(a)(2)(2) 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 J. DiPetrillo                                                             
                                                David J. DiPetrillo, President

                                                (Principal Executive Officer)

Date    02/22/2024                             

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 J. DiPetrillo                                                             
                                                David J. DiPetrillo, President

                                                (Principal Executive Officer)

Date    02/22/2024                             

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

                                                (Principal Financial and Accounting Officer)

Date    02/22/2024                             

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