STATEMENT
OF
INVESTMENTS
March
31,
2024
(Unaudited)
1
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
Airlines
–
0.3%
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
4.75%
,
10/20/2028
(a)
80,000
78,271
78,271
Apparel
–
0.1%
Tapestry,
Inc.
,
7.85%
,
11/27/2033
25,000
27,154
27,154
Auto
Manufacturers
–
3.1%
Ford
Motor
Co.
3.25%,
2/12/2032
75,000
62,428
6.10%,
8/19/2032
110,000
111,534
General
Motors
Co.
,
5.95%
,
4/01/2049
79,000
77,970
General
Motors
Financial
Co.,
Inc.
,
6.10%
,
1/07/2034
142,000
145,861
Mercedes-Benz
Finance
North
America
LLC
,
1.45%
,
3/02/2026
(a)
150,000
140,031
Stellantis
Finance
U.S.,
Inc.
,
2.69%
,
9/15/2031
(a)
200,000
168,336
706,160
Banks
–
21.5%
Bank
of
America
Corp.
3.82%,
1/20/2028
165,000
158,963
5.20%,
4/25/2029
113,000
113,142
3.19%,
7/23/2030
200,000
181,700
2.57%,
10/20/2032
134,000
111,215
5.29%,
4/25/2034
65,000
64,829
Bank
of
Nova
Scotia
(The)
,
4.85%
,
2/01/2030
108,000
107,276
Canadian
Imperial
Bank
of
Commerce
,
5.00%
,
4/28/2028
100,000
99,700
Citigroup,
Inc.
3.11%,
4/08/2026
125,000
121,868
3.98%,
3/20/2030
195,000
183,797
6.17%,
5/25/2034
54,000
54,865
Citizens
Financial
Group,
Inc.
,
5.64%
,
5/21/2037
80,000
74,739
Cooperatieve
Rabobank
UA
,
1.00%
,
9/24/2026
(a)
250,000
233,982
Credit
Agricole
SA
,
6.32%
,
10/03/2029
(a)
250,000
259,307
Goldman
Sachs
Group,
Inc.
(The)
1.09%,
12/09/2026
150,000
139,400
2.64%,
2/24/2028
60,000
55,899
4.41%,
4/23/2039
220,000
197,085
HSBC
Holdings
PLC
,
6.33%
,
3/09/2044
200,000
214,644
Industrial
Bank
of
Korea
,
5.38%
,
10/04/2028
(a)
200,000
204,482
ING
Groep
NV
,
5.55%
,
3/19/2035
400,000
397,144
JPMorgan
Chase
&
Co.
6.07%,
10/22/2027
120,000
122,474
5.01%,
1/23/2030
150,000
149,448
3.88%,
7/24/2038
170,000
147,039
3.11%,
4/22/2051
100,000
69,546
Morgan
Stanley
4.68%,
7/17/2026
130,000
128,646
STATEMENT
OF
INVESTMENTS
(continued)
2
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Banks
–
21.5%
(continued)
Morgan
Stanley
(continued)
1.93%,
4/28/2032
250,000
200,733
5.95%,
1/19/2038
38,000
38,108
5.94%,
2/07/2039
80,000
79,558
PNC
Financial
Services
Group,
Inc.
(The)
4.76%,
1/26/2027
250,000
247,754
4.63%,
6/06/2033
95,000
88,669
State
Street
Corp.
,
Series
I
,
6.70%
(b)
63,000
64,085
Toronto-Dominion
Bank
(The)
,
5.26%
,
12/11/2026
20,000
20,139
Truist
Financial
Corp.
6.05%,
6/08/2027
14,000
14,192
7.16%,
10/30/2029
66,000
70,405
5.87%,
6/08/2034
10,000
10,126
5.71%,
1/24/2035
19,000
19,091
UBS
Group
AG
,
6.30%
,
9/22/2034
(a)
200,000
209,470
US
Bancorp
6.79%,
10/26/2027
102,000
105,651
5.78%,
6/12/2029
86,000
87,525
5.68%,
1/23/2035
46,000
46,467
Westpac
Banking
Corp.
,
2.67%
,
11/15/2035
50,000
41,283
4,934,446
Beverages
–
1.6%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
,
4.90%
,
2/01/2046
100,000
95,093
Anheuser-Busch
InBev
Worldwide,
Inc.
4.60%,
4/15/2048
15,000
13,723
5.55%,
1/23/2049
50,000
52,167
Diageo
Capital
PLC
,
5.63%
,
10/05/2033
200,000
210,481
371,464
Biotechnology
–
1.6%
Amgen,
Inc.
1.65%,
8/15/2028
75,000
65,637
5.25%,
3/02/2030
33,000
33,514
5.60%,
3/02/2043
33,000
33,594
4.66%,
6/15/2051
100,000
88,635
4.88%,
3/01/2053
22,000
20,046
5.65%,
3/02/2053
31,000
31,610
Gilead
Sciences,
Inc.
,
5.55%
,
10/15/2053
23,000
23,824
Illumina,
Inc.
,
5.75%
,
12/13/2027
61,000
61,739
358,599
Building
Materials
–
1.7%
Builders
FirstSource,
Inc.
6.38%,
6/15/2032
(a)
18,000
18,282
6.38%,
3/01/2034
(a)
26,000
26,140
3
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Building
Materials
–
1.7%
(continued)
Carrier
Global
Corp.
2.72%,
2/15/2030
150,000
132,703
5.90%,
3/15/2034
10,000
10,515
Johnson
Controls
International
PLC
/
Tyco
Fire
&
Security
Finance
SCA
,
4.90%
,
12/01/2032
94,000
92,528
Trane
Technologies
Financing
Ltd.
,
5.25%
,
3/03/2033
100,000
101,514
381,682
Chemicals
–
2.7%
Braskem
Netherlands
Finance
BV
,
4.50%
,
1/31/2030
(a)
200,000
172,100
Dow
Chemical
Co.
(The)
,
6.30%
,
3/15/2033
(c)
33,000
35,586
LYB
International
Finance
III
LLC
,
5.63%
,
5/15/2033
200,000
204,969
Nutrien
Ltd.
4.00%,
12/15/2026
200,000
194,027
4.90%,
3/27/2028
12,000
11,943
618,625
Commercial
Services
–
1.9%
Ashtead
Capital,
Inc.
,
4.25%
,
11/01/2029
(a)
200,000
186,637
ERAC
USA
Finance
LLC
3.80%,
11/01/2025
(a)
125,000
121,923
4.90%,
5/01/2033
(a)
77,000
75,524
United
Rentals
North
America,
Inc.
,
5.25%
,
1/15/2030
50,000
48,810
432,894
Computers
–
2.8%
Dell
International
LLC
/
EMC
Corp.
5.25%,
2/01/2028
100,000
101,248
3.38%,
12/15/2041
80,000
59,557
3.45%,
12/15/2051
26,000
18,318
IBM
International
Capital
Pte
Ltd.
4.75%,
2/05/2031
200,000
196,414
5.25%,
2/05/2044
200,000
195,281
Kyndryl
Holdings,
Inc.
3.15%,
10/15/2031
40,000
33,678
4.10%,
10/15/2041
40,000
30,703
635,199
Diversified
Financial
Services
–
3.7%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
,
3.85%
,
10/29/2041
150,000
118,881
Air
Lease
Corp.
,
2.10%
,
9/01/2028
135,000
118,274
Ally
Financial,
Inc.
3.88%,
5/21/2024
100,000
99,703
8.00%,
11/01/2031
42,000
46,826
STATEMENT
OF
INVESTMENTS
(continued)
4
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Diversified
Financial
Services
–
3.7%
(continued)
Capital
One
Financial
Corp.
,
2.36%
,
7/29/2032
79,000
60,921
Discover
Financial
Services
,
6.70%
,
11/29/2032
89,000
94,156
Intercontinental
Exchange,
Inc.
4.60%,
3/15/2033
80,000
77,546
4.95%,
6/15/2052
24,000
22,840
LSEGA
Financing
PLC
,
1.38%
,
4/06/2026
(a)
200,000
185,477
NASDAQ,
Inc.
,
5.95%
,
8/15/2053
27,000
28,473
853,097
Electric
–
7.5%
Avangrid,
Inc.
,
3.20%
,
4/15/2025
130,000
126,698
Consolidated
Edison
Co.
of
New
York,
Inc.
Series
05-A,
5.30%,
3/01/2035
135,000
135,995
Series
A,
4.13%,
5/15/2049
100,000
81,852
Constellation
Energy
Generation
LLC
,
6.50%
,
10/01/2053
70,000
77,072
Electricite
de
France
SA
,
9.13%
(a)(b)
200,000
220,837
ENEL
Finance
America
LLC
,
7.10%
,
10/14/2027
(a)
200,000
211,699
ENEL
Finance
International
NV
,
5.00%
,
6/15/2032
(a)
200,000
193,929
Eversource
Energy
Series
R,
1.65%,
8/15/2030
110,000
88,522
5.50%,
1/01/2034
26,000
26,021
Exelon
Corp.
,
4.05%
,
4/15/2030
120,000
113,231
New
England
Power
Co.
,
5.94%
,
11/25/2052
(a)
71,000
73,495
New
York
State
Electric
&
Gas
Corp.
,
5.85%
,
8/15/2033
(a)
95,000
98,080
Public
Service
Electric
&
Gas
Co.
4.65%,
3/15/2033
80,000
78,038
5.13%,
3/15/2053
44,000
43,322
5.45%,
8/01/2053
125,000
128,531
Public
Service
Enterprise
Group,
Inc.
,
6.13%
,
10/15/2033
32,000
33,609
1,730,931
Entertainment
–
1.2%
WarnerMedia
Holdings,
Inc.
3.64%,
3/15/2025
150,000
147,045
4.05%,
3/15/2029
100,000
93,643
5.39%,
3/15/2062
50,000
41,533
282,221
Environmental
Control
–
0.6%
GFL
Environmental,
Inc.
,
6.75%
,
1/15/2031
(a)
35,000
35,912
Waste
Management,
Inc.
,
4.63%
,
2/15/2030
115,000
114,518
150,430
5
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Food
–
3.4%
Bimbo
Bakeries
USA,
Inc.
,
5.38%
,
1/09/2036
(a)
200,000
198,554
General
Mills,
Inc.
,
4.95%
,
3/29/2033
134,000
132,570
J.M.
Smucker
Co.
(The)
5.90%,
11/15/2028
30,000
31,125
4.25%,
3/15/2035
50,000
45,713
6.50%,
11/15/2043
18,000
19,540
6.50%,
11/15/2053
17,000
18,892
Kraft
Heinz
Foods
Co.
5.20%,
7/15/2045
55,000
52,168
5.50%,
6/01/2050
56,000
55,399
SYSCO
Corp.
5.75%,
1/17/2029
47,000
48,397
2.40%,
2/15/2030
175,000
151,767
US
Foods,
Inc.
,
6.88%
,
9/15/2028
(a)
24,000
24,598
778,723
Forest
Products
&
Paper
–
0.4%
Suzano
Austria
GmbH
,
3.75%
,
1/15/2031
100,000
88,465
88,465
Gas
–
0.9%
Atmos
Energy
Corp.
,
5.50%
,
6/15/2041
55,000
56,753
Boston
Gas
Co.
,
6.12%
,
7/20/2053
(a)
150,000
153,341
210,094
Healthcare-Products
–
1.4%
Alcon
Finance
Corp.
,
5.38%
,
12/06/2032
(a)
200,000
201,851
Thermo
Fisher
Scientific,
Inc.
,
1.50%
,
10/01/2039
100,000
82,440
Zimmer
Biomet
Holdings,
Inc.
,
5.35%
,
12/01/2028
28,000
28,417
312,708
Healthcare-Services
–
1.6%
HCA,
Inc.
5.25%,
6/15/2026
150,000
149,608
5.45%,
4/01/2031
40,000
40,222
4.63%,
3/15/2052
55,000
46,020
UnitedHealth
Group,
Inc.
3.05%,
5/15/2041
50,000
37,876
5.88%,
2/15/2053
25,000
27,072
4.95%,
5/15/2062
29,000
27,110
6.05%,
2/15/2063
42,000
46,235
374,143
Home
Builders
–
0.3%
KB
Home
,
4.00%
,
6/15/2031
28,000
24,842
PulteGroup,
Inc.
,
5.50%
,
3/01/2026
50,000
50,054
74,896
STATEMENT
OF
INVESTMENTS
(continued)
6
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Insurance
–
4.9%
Allianz
SE
,
6.35%
,
9/06/2053
(a)
200,000
210,436
Allstate
Corp.
(The)
,
3.85%
,
8/10/2049
50,000
39,306
Corebridge
Financial,
Inc.
,
5.75%
,
1/15/2034
34,000
34,711
Corebridge
Global
Funding
,
5.20%
,
1/12/2029
(a)
115,000
115,208
Liberty
Mutual
Group,
Inc.
,
4.30%
,
2/01/2061
(a)
54,000
34,447
Lincoln
National
Corp.
,
5.85%
,
3/15/2034
52,000
51,363
Marsh
&
McLennan
Cos.,
Inc.
,
5.45%
,
3/15/2053
85,000
85,618
MetLife,
Inc.
6.40%,
12/15/2036
100,000
102,554
5.00%,
7/15/2052
8,000
7,539
Metropolitan
Life
Global
Funding
I
,
1.55%
,
1/07/2031
(a)
150,000
119,784
Principal
Life
Global
Funding
II
,
0.88%
,
1/12/2026
(a)
200,000
184,851
Prudential
Financial,
Inc.
,
3.70%
,
3/13/2051
85,000
65,186
XL
Group
Ltd.
,
5.25%
,
12/15/2043
75,000
71,189
1,122,192
Leisure
Time
–
0.1%
Royal
Caribbean
Cruises
Ltd.
,
6.25%
,
3/15/2032
(a)
28,000
28,241
28,241
Lodging
–
0.5%
Marriott
International,
Inc.
5.00%,
10/15/2027
38,000
37,899
Series
HH,
2.85%,
4/15/2031
90,000
77,665
115,564
Machinery-Diversified
–
0.1%
AGCO
Corp.
,
5.80%
,
3/21/2034
18,000
18,233
18,233
Media
–
2.9%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
Corp.
6.48%,
10/23/2045
60,000
55,654
5.25%,
4/01/2053
74,000
58,670
4.40%,
12/01/2061
50,000
32,690
Comcast
Corp.
4.15%,
10/15/2028
55,000
53,700
4.65%,
2/15/2033
(c)
225,000
220,894
2.94%,
11/01/2056
150,000
94,523
Fox
Corp.
,
5.58%
,
1/25/2049
56,000
52,188
Paramount
Global
,
6.38%
,
3/30/2062
40,000
36,997
Walt
Disney
Co.
(The)
,
3.50%
,
5/13/2040
68,000
55,938
661,254
Mining
–
0.4%
Newmont
Corp.
,
2.80%
,
10/01/2029
60,000
53,861
Newmont
Corp.
/
Newcrest
Finance
Pty
Ltd.
,
5.35%
,
3/15/2034
(a)
32,000
32,217
86,078
7
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Miscellaneous
Manufacturing
–
0.7%
Eaton
Corp.
4.15%,
3/15/2033
119,000
112,965
4.70%,
8/23/2052
13,000
12,157
Hillenbrand,
Inc.
,
6.25%
,
2/15/2029
38,000
38,374
163,496
Oil
&
Gas
–
3.0%
AKER
BP
ASA
5.60%,
6/13/2028
(a)
300,000
304,012
3.10%,
7/15/2031
(a)
200,000
171,026
BP
Capital
Markets
America,
Inc.
,
3.00%
,
2/24/2050
65,000
44,383
Parkland
Corp.
,
4.50%
,
10/01/2029
(a)
50,000
46,291
TotalEnergies
Capital
International
SA
,
3.13%
,
5/29/2050
90,000
64,145
TotalEnergies
Capital
SA
,
3.88%
,
10/11/2028
60,000
58,117
687,974
Oil
&
Gas
Services
–
0.8%
Schlumberger
Holdings
Corp.
,
4.30%
,
5/01/2029
(a)
200,000
195,356
195,356
Packaging
&
Containers
–
1.0%
Ball
Corp.
,
6.00%
,
6/15/2029
27,000
27,290
Smurfit
Kappa
Treasury
ULC
,
5.44%
,
4/03/2034
(a)
200,000
201,000
228,290
Pharmaceuticals
–
4.6%
AbbVie,
Inc.
4.95%,
3/15/2031
15,000
15,115
4.05%,
11/21/2039
150,000
133,645
5.40%,
3/15/2054
17,000
17,512
AstraZeneca
Finance
LLC
,
2.25%
,
5/28/2031
150,000
126,792
Bristol-Myers
Squibb
Co.
5.10%,
2/22/2031
70,000
70,710
4.25%,
10/26/2049
35,000
29,913
6.25%,
11/15/2053
22,000
24,799
5.55%,
2/22/2054
7,000
7,205
6.40%,
11/15/2063
14,000
16,014
Cigna
Group
(The)
,
5.60%
,
2/15/2054
26,000
26,116
Eli
Lilly
&
Co.
,
4.70%
,
2/27/2033
45,000
44,905
Pfizer
Investment
Enterprises
Pte
Ltd.
5.11%,
5/19/2043
57,000
55,772
5.30%,
5/19/2053
86,000
85,567
5.34%,
5/19/2063
87,000
85,319
Pfizer,
Inc.
,
2.63%
,
4/01/2030
120,000
106,935
Takeda
Pharmaceutical
Co.
Ltd.
,
5.00%
,
11/26/2028
200,000
200,373
1,046,692
STATEMENT
OF
INVESTMENTS
(continued)
8
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Pipelines
–
1.3%
Enbridge,
Inc.
6.20%,
11/15/2030
26,000
27,561
5.50%,
7/15/2077
60,000
56,984
Galaxy
Pipeline
Assets
Bidco
Ltd.
,
2.16%
,
3/31/2034
(a)
169,888
146,443
Williams
Cos.,
Inc.
(The)
,
5.75%
,
6/24/2044
80,000
79,897
310,885
Real
Estate
–
4.7%
Agree
LP
,
2.90%
,
10/01/2030
150,000
129,132
Alexandria
Real
Estate
Equities,
Inc.
,
1.88%
,
2/01/2033
167,000
126,956
American
Homes
4
Rent
LP
5.50%,
2/01/2034
175,000
174,539
4.30%,
4/15/2052
34,000
26,770
Boston
Properties
LP
,
2.75%
,
10/01/2026
100,000
93,192
Equinix,
Inc.
,
1.00%
,
9/15/2025
100,000
93,558
Invitation
Homes
Operating
Partnership
LP
,
5.45%
,
8/15/2030
94,000
94,386
Iron
Mountain
Information
Management
Services,
Inc.
,
5.00%
,
7/15/2032
(a)
50,000
45,714
Kite
Realty
Group
LP
,
5.50%
,
3/01/2034
10,000
9,941
Kite
Realty
Group
Trust
,
4.00%
,
3/15/2025
50,000
49,095
ProLogis
Euro
Finance
LLC
,
1.50%
,
9/10/2049
100,000
65,379
Regency
Centers
LP
,
5.25%
,
1/15/2034
36,000
35,876
Rexford
Industrial
Realty
LP
,
5.00%
,
6/15/2028
126,000
125,253
1,069,791
Retail
–
2.3%
7-Eleven,
Inc.
,
2.50%
,
2/10/2041
(a)
100,000
67,768
AutoZone,
Inc.
,
4.50%
,
2/01/2028
98,000
96,550
Home
Depot,
Inc.
(The)
,
3.50%
,
9/15/2056
150,000
111,323
Lowe's
Cos.,
Inc.
2.80%,
9/15/2041
100,000
71,150
4.25%,
4/01/2052
6,000
4,921
5.63%,
4/15/2053
47,000
47,522
4.45%,
4/01/2062
37,000
30,261
Macy's
Retail
Holdings
LLC
,
5.88%
,
3/15/2030
(a)
31,000
30,163
Starbucks
Corp.
,
5.00%
,
2/15/2034
78,000
77,350
537,008
Semiconductors
–
1.9%
Advanced
Micro
Devices,
Inc.
,
4.39%
,
6/01/2052
46,000
40,841
Intel
Corp.
5.20%,
2/10/2033
(c)
37,000
37,529
5.63%,
2/10/2043
30,000
31,037
5.70%,
2/10/2053
(c)
53,000
54,826
9
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Semiconductors
–
1.9%
(continued)
Micron
Technology,
Inc.
,
2.70%
,
4/15/2032
134,000
111,919
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA,
Inc.
,
3.25%
,
5/11/2041
120,000
89,188
Qualcomm,
Inc.
,
1.65%
,
5/20/2032
50,000
39,624
Texas
Instruments,
Inc.
,
5.05%
,
5/18/2063
31,000
30,216
435,180
Software
–
2.8%
Fidelity
National
Information
Services,
Inc.
,
1.15%
,
3/01/2026
130,000
120,408
Fiserv,
Inc.
,
5.45%
,
3/15/2034
115,000
116,517
Microsoft
Corp.
,
2.68%
,
6/01/2060
100,000
64,444
Oracle
Corp.
4.65%,
5/06/2030
49,000
48,069
3.65%,
3/25/2041
100,000
78,569
4.00%,
7/15/2046
50,000
39,415
5.55%,
2/06/2053
48,000
46,988
VMware
LLC
,
1.40%
,
8/15/2026
130,000
118,757
633,167
Telecommunications
–
4.0%
AT&T,
Inc.
2.30%,
6/01/2027
100,000
92,204
2.55%,
12/01/2033
200,000
160,262
3.50%,
6/01/2041
100,000
78,107
3.55%,
9/15/2055
50,000
34,990
Rogers
Communications,
Inc.
4.50%,
3/15/2042
80,000
69,544
4.55%,
3/15/2052
62,000
52,211
T-Mobile
USA,
Inc.
3.50%,
4/15/2031
150,000
135,598
3.30%,
2/15/2051
75,000
52,484
Verizon
Communications,
Inc.
1.50%,
9/18/2030
100,000
81,685
2.85%,
9/03/2041
60,000
43,228
3.88%,
3/01/2052
(c)
100,000
78,687
5.50%,
2/23/2054
34,000
34,392
913,392
Transportation
–
1.7%
Canadian
National
Railway
Co.
,
4.40%
,
8/05/2052
23,000
20,573
Canadian
Pacific
Railway
Co.
,
1.75%
,
12/02/2026
50,000
45,939
CSX
Corp.
,
3.95%
,
5/01/2050
90,000
72,428
FedEx
Corp.
,
4.75%
,
11/15/2045
84,000
74,492
Ryder
System,
Inc.
,
5.65%
,
3/01/2028
80,000
81,572
Union
Pacific
Corp.
,
4.95%
,
9/09/2052
58,000
56,276
XPO,
Inc.
6.25%,
6/01/2028
(a)
30,000
30,304
STATEMENT
OF
INVESTMENTS
(continued)
10
Description
Principal
Amount
($)
Value
($)
Corporate
Bonds
–
96.7%
(continued)
Transportation
–
1.7%
(continued)
XPO,
Inc.
(continued)
7.13%,
2/01/2032
(a)
5,000
5,151
386,735
Trucking
&
Leasing
–
0.7%
Penske
Truck
Leasing
Co.
LP
/
PTL
Finance
Corp.
,
5.55%
,
5/01/2028
(a)
150,000
151,689
151,689
Total
Corporate
Bonds
(cost
$23,055,633)
22,191,419
Foreign
Governmental
–
1.1%
Chile
Government
International
Bond,
4.85%,
1/22/2029
200,000
198,595
Republic
of
Poland
Government
International
Bond,
5.50%,
3/18/2054
59,000
58,830
Total
Foreign
Governmental
(cost
$258,129)
257,425
Municipal
Securities
–
0.1%
California
Health
Facilities
Financing
Authority,
RB,
Series
2022,
4.35%,
6/01/2041
10,000
9,174
Total
Municipal
Securities
(cost
$10,000)
9,174
U.S.
Treasury
Government
Securities
–
0.3%
U.S.
Treasury
Bonds,
4.75%,
11/15/2043
73,000
75,749
Total
U.S.
Treasury
Government
Securities
(cost
$74,849)
75,749
Shares
Investment
Companies
–
1.3%
Registered
Investment
Companies
–
1.3%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
5.28%
(d)(e)
(cost
$307,785)
307,785
307,785
Investment
of
Cash
Collateral
for
Securities
Loaned
–
0.5%
Registered
Investment
Companies
–
0.5%
Dreyfus
Institutional
Preferred
Government
Money
Market
Fund,
Institutional
Shares,
5.28%
(d)(e)
(cost
$119,440)
119,440
119,440
Total
Investments
(cost
$23,825,836)
100.0%
22,960,992
Cash
and
Receivables
(Net)
0.0%
1,700
Net
Assets
100.0%
22,962,692
RB—Revenue
Bond
(a)
Security
exempt
from
registration
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
March
31,
2024,
these
securities
were
valued
at
$5,612,359
or
24.44%
of
net
assets.
(b)
Perpetual
bond
with
no
specified
maturity
date.
(c)
Security,
or
portion
thereof,
on
loan.
At
March
31,
2024,
the
value
of
the
fund’s
securities
on
loan
was
$270,442
and
the
value
of
the
collateral
was
$277,347,
consisting
of
cash
collateral
of
$119,440
and
U.S.
Government
&
Agency
securities
valued
at
$157,907.
In
addition,
the
value
of
collateral
may
include
pending
sales
that
are
also
on
loan.
11
See
Notes
to
Statement
of
Investments
(d)
Investment
in
affiliated
issuer.
The
investment
objective
of
this
investment
company
is
publicly
available
and
can
be
found
within
the
investment
company’s
prospectus.
(e)
The
rate
shown
is
the
1-day
yield
as
of
March
31,
2024.
Futures
Description
Number
of
Contracts
Expiration
Notional
Value
($)
Market
Value
($)
Unrealized
Appreciation
(Depreciation)
($)
Futures
Long
U.S.
Treasury
Long
Bonds
13
6/18/2024
1,535,364
1,565,688
30,324
U.S.
Treasury
2
Year
Notes
8
6/28/2024
1,638,371
1,635,875
(2,496)
Futures
Short
Euro-Bund
2
6/6/2024
290,682
*
287,795
(2,887)
U.S.
Treasury
10
Year
Notes
2
6/18/2024
220,465
221,594
(1,129)
U.S.
Treasury
5
Year
Notes
3
6/28/2024
320,972
321,047
(75)
U.S.
Treasury
10
Year
Ultra
Notes
22
6/18/2024
2,508,836
2,521,406
(12,570)
Gross
Unrealized
Appreciation
30,324
Gross
Unrealized
Depreciation
(19,157)
*
Notional
amounts
in
foreign
currency
have
been
converted
to
USD
using
relevant
foreign
exchange
rates.
Forward
Foreign
Currency
Exchange
Contracts
Counterparty
/
Purchased
Currency
Purchased
Currency
Amounts
Currency
Sold
Sold
Currency
Amounts
Settlement
Date
Unrealized
Appreciation
(Depreciation)
($)
Goldman
Sachs
&
Co.
United
States
Dollar
146,697
Euro
134,000
6/4/2024
1,749
United
States
Dollar
154,323
Euro
142,000
5/21/2024
811
Gross
Unrealized
Appreciation
2,561
NOTES
TO
STATEMENT
OF
INVESTMENTS
(Unaudited)
12
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
Securities
and
Exchange
Commission
(“SEC”)
under
authority
of
federal
laws
are
also
sources
of
authoritative
GAAP
for
SEC
registrants. BNY
Mellon
Responsible
Horizons
Corporate
Bond
ETF (the
“fund”)
is an
investment
company
and
applies
the
accounting
and
reporting
guidance
of
the
FASB
ASC
Topic
946
Financial
Services-Investment
Companies. The
fund’s
financial
statements
are
prepared
in
accordance
with
GAAP,
which
may
require
the
use
of
management
estimates
and
assumptions.
Actual
results
could
differ
from
those
estimates.
(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.
13
BNY
Mellon
ETF
Trust’s
(the
“Trust”) 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
STATEMENT
OF
INVESTMENTS
(Unaudited)
(continued)
14
The
table
below
summarizes
the
inputs
used
as
of March
31,
2024
in
valuing
the
fund’s
investments:
Fair
Value
Measurements
Pursuant
to
a
securities
lending
agreement
with
BNY
Mellon,
the
fund
may
lend
securities
to
qualified
institutions.
It
is
the
fund’s
policy
that,
at
origination,
all
loans
are
secured
by
collateral
of
at
least
102%
of
the
value
of
U.S.
securities
loaned
and
105%
of
the
value
of
foreign
securities
loaned.
Collateral
equivalent
to
at
least
100%
of
the
market
value
of
securities
on
loan
is
maintained
at
all
times.
Collateral
is
either
in
the
form
of
cash,
which
can
be
invested
in
certain
money
market
mutual
funds
managed
by
the
Adviser,
or
U.S.
Government
and
Agency
securities.
The
fund is
entitled
to
receive
all
dividends,
interest
and
distributions
on
securities
loaned,
in
addition
to
income
earned
as
a
result
of
the
lending
transaction.
Should
a
borrower
fail
to
return
the
securities
in
a
timely
manner,
The
Bank
of
New
York
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.
Level
1
-
Unadjusted
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Total
Assets
($)
Investments
In
Securities:
†
Corporate
Bonds
—
22,191,419
—
22,191,419
Foreign
Governmental
—
257,425
—
257,425
Municipal
Securities
—
9,174
—
9,174
U.S.
Treasury
Government
Securities
—
75,749
—
75,749
Investment
Companies
307,785
—
—
307,785
Investment
of
Cash
Collateral
for
Securities
Loaned
119,440
—
—
119,440
Other
Financial
Instruments:
Futures
††
30,324
—
—
30,324
Forward
Foreign
Currency
Exchange
Contracts
††
—
2,561
—
2,561
Liabilities
($)
Other
Financial
Instruments:
Futures
††
(19,157)
—
—
(19,157)
†
See
Statement
of
Investments
for
additional
detailed
categorizations,
if
any.
††
Amount
shown
represents
unrealized
appreciation
(depreciation)
at
period
end.
15
Derivatives:
A
derivative
is
a
financial
instrument
whose
performance
is
derived
from
the
performance
of
another
asset.
The
fund
enters
into
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
or
similar
agreements
(collectively,
“Master
Agreements”)
with
its
over-the-counter
(“OTC”)
derivative
contract
counterparties
in
order
to,
among
other
things,
reduce
its
credit
risk
to
counterparties.
Master
Agreements
include
provisions
for
general
obligations,
representations,
collateral
and
events
of
default
or
termination.
Under
a
Master
Agreement,
the
fund
may
offset
with
the
counterparty
certain
derivative
financial
instruments’
payables
and/
or
receivables
with
collateral
held
and/or
posted
and
create
one
single
net
payment
in
the
event
of
default
or
termination.
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
March
31,
2024
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
.
When
the
contracts
are
closed,
the
fund
recognizes
a
realized
gain
or
loss
.
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 March
31,
2024,
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
NOTES
TO
STATEMENT
OF
INVESTMENTS
(Unaudited)
(continued)
16
Operations.
The
fund
is
exposed
to
foreign
currency
risk
as
a
result
of
changes
in
value
of
underlying
financial
instruments.
The
fund
is
also
exposed
to
credit
risk
associated
with
counterparty
nonperformance
on
these
forward
contracts,
which
is
generally
limited
to
the
unrealized
gain
on
each
open
contract.
This
risk
may
be
mitigated
by
Master
Agreements,
if
any,
between
the
fund
and
the
counterparty
and
the
posting
of
collateral,
if
any,
by
the
counterparty
to
the
fund
to
cover
the
fund’s
exposure
to
the
counterparty.
Forward
contracts
open
at March
31,
2024
are
set
forth
in
the
Statement
of
Investments.
Additional
investment
related
disclosures
are
hereby
incorporated
by
reference
to
the
annual
and
semi-annual
reports
previously
filed
with
the
SEC
on
Form
N-CSR.
At March
31,
2024,
accumulated
net
unrealized
depreciation on
investments
was
$851,116,
consisting
of
gross
appreciation
of
$261,824
and
gross
depreciation
of
$1,112,940.
At
March
31,
2024,
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).