STATEMENT

OF

INVESTMENTS

September

30,

2023

(Unaudited)

1

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

Airlines

–

0.4%

Delta

Air

Lines,

Inc.

/

SkyMiles

IP

Ltd.,

4.75%,

10/20/2028

(a)

80,000

76,057

76,057

Auto

Manufacturers

–

2.9%

Ford

Motor

Co.

3.25%,

2/12/2032

75,000

57,873

6.10%,

8/19/2032

35,000

33,003

General

Motors

Co.

5.60%,

10/15/2032

(b)

142,000

132,697

5.95%,

4/01/2049

(b)

140,000

118,869

Mercedes-Benz

Finance

North

America

LLC,

1.45%,

3/02/2026

(a)

150,000

136,062

Stellantis

Finance

U.S.,

Inc.,

2.69%,

9/15/2031

(a)

200,000

154,310

632,814

Banks

–

21.7%

Bank

of

America

Corp.

3.82%,

1/20/2028

165,000

153,303

5.20%,

4/25/2029

113,000

108,904

3.19%,

7/23/2030

200,000

171,060

2.57%,

10/20/2032

134,000

103,033

5.29%,

4/25/2034

65,000

60,520

Bank

of

Nova

Scotia

(The),

4.85%,

2/01/2030

108,000

101,767

Canadian

Imperial

Bank

of

Commerce,

5.00%,

4/28/2028

100,000

96,079

Citigroup,

Inc.

3.11%,

4/08/2026

125,000

119,320

3.98%,

3/20/2030

195,000

175,222

6.17%,

5/25/2034

54,000

51,641

Citizens

Financial

Group,

Inc.,

5.64%,

5/21/2037

80,000

67,054

Cooperatieve

Rabobank

UA,

1.00%,

9/24/2026

(a)

250,000

226,159

Credit

Agricole

SA,

6.32%,

10/03/2029

(a)

250,000

250,150

Goldman

Sachs

Group,

Inc.

(The)

1.09%,

12/09/2026

150,000

134,252

2.64%,

2/24/2028

60,000

53,524

4.41%,

4/23/2039

220,000

181,282

HSBC

Holdings

PLC,

6.33%,

3/09/2044

200,000

192,256

Industrial

Bank

of

Korea,

5.38%,

10/04/2028

(a)

200,000

200,059

JPMorgan

Chase

&

Co.

0.77%,

8/09/2025

270,000

257,241

3.88%,

7/24/2038

170,000

135,828

3.11%,

4/22/2051

100,000

62,135

Morgan

Stanley

3.88%,

1/27/2026

250,000

239,101

4.68%,

7/17/2026

130,000

126,671

1.93%,

4/28/2032

250,000

185,813

5.95%,

1/19/2038

38,000

35,545

STATEMENT

OF

INVESTMENTS

(continued)

2

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Banks

–

21.7%

(continued)

PNC

Financial

Services

Group,

Inc.

(The)

4.76%,

1/26/2027

250,000

243,089

4.63%,

6/06/2033

95,000

82,024

Societe

Generale

SA,

6.22%,

6/15/2033

(a)

200,000

181,368

Sumitomo

Mitsui

Financial

Group,

Inc.,

2.35%,

1/15/2025

200,000

190,988

Truist

Financial

Corp.

6.05%,

6/08/2027

14,000

13,853

5.87%,

6/08/2034

10,000

9,419

U.S.

Bancorp,

5.78%,

6/12/2029

86,000

83,758

UBS

Group

AG

1.49%,

8/10/2027

(a)

200,000

174,644

6.30%,

9/22/2034

(a)

200,000

195,482

Westpac

Banking

Corp.,

2.67%,

11/15/2035

50,000

37,499

4,700,043

Beverages

–

1.1%

Anheuser-Busch

Cos.

LLC

/

Anheuser-Busch

InBev

Worldwide,

Inc.,

4.90%,

2/01/2046

100,000

87,217

Anheuser-Busch

InBev

Worldwide,

Inc.

4.60%,

4/15/2048

73,000

61,748

5.55%,

1/23/2049

100,000

95,899

244,864

Biotechnology

–

1.6%

Amgen,

Inc.

1.65%,

8/15/2028

75,000

63,187

5.25%,

3/02/2030

33,000

32,254

5.60%,

3/02/2043

33,000

30,700

4.66%,

6/15/2051

100,000

81,017

4.88%,

3/01/2053

22,000

18,318

5.65%,

3/02/2053

31,000

29,035

Gilead

Sciences,

Inc.,

5.55%,

10/15/2053

23,000

22,130

Illumina,

Inc.,

5.75%,

12/13/2027

68,000

66,897

343,538

Building

Materials

–

1.6%

Builders

FirstSource,

Inc.,

6.38%,

6/15/2032

(a)

28,000

26,392

Carrier

Global

Corp.,

2.72%,

2/15/2030

150,000

125,100

Johnson

Controls

International

PLC

/

Tyco

Fire

&

Security

Finance

SCA,

4.90%,

12/01/2032

94,000

89,896

Trane

Technologies

Financing

Ltd.,

5.25%,

3/03/2033

100,000

96,732

338,120

Chemicals

–

3.8%

Braskem

Netherlands

Finance

BV,

4.50%,

1/31/2030

(a)

200,000

163,196

Dow

Chemical

Co.

(The),

6.30%,

3/15/2033

33,000

34,080

LYB

International

Finance

III

LLC,

5.63%,

5/15/2033

200,000

192,753

3

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Chemicals

–

3.8%

(continued)

Nutrien

Ltd.

4.00%,

12/15/2026

200,000

189,725

4.90%,

3/27/2028

12,000

11,598

Sherwin-Williams

Co.

(The),

3.45%,

6/01/2027

200,000

186,331

Valvoline,

Inc.,

3.63%,

6/15/2031

(a)

50,000

38,789

816,472

Commercial

Services

–

1.9%

Ashtead

Capital,

Inc.,

4.25%,

11/01/2029

(a)

200,000

177,245

ERAC

USA

Finance

LLC

3.80%,

11/01/2025

(a)

125,000

120,143

4.90%,

5/01/2033

(a)

77,000

72,568

United

Rentals

North

America,

Inc.,

5.25%,

1/15/2030

50,000

46,311

416,267

Computers

–

3.2%

Dell

International

LLC

/

EMC

Corp.

5.25%,

2/01/2028

100,000

98,520

3.38%,

12/15/2041

(a)

80,000

53,786

3.45%,

12/15/2051

(a)

70,000

43,665

Hewlett

Packard

Enterprise

Co.,

1.45%,

4/01/2024

125,000

122,239

International

Business

Machines

Corp.,

1.95%,

5/15/2030

160,000

128,615

Kyndryl

Holdings,

Inc.

3.15%,

10/15/2031

40,000

30,326

4.10%,

10/15/2041

40,000

26,324

Lenovo

Group

Ltd.,

6.54%,

7/27/2032

(a)

200,000

198,236

701,711

Diversified

Financial

Services

–

4.6%

AerCap

Ireland

Capital

DAC

/

AerCap

Global

Aviation

Trust,

3.85%,

10/29/2041

150,000

106,557

Air

Lease

Corp.,

2.10%,

9/01/2028

135,000

112,215

Ally

Financial,

Inc.

3.88%,

5/21/2024

100,000

98,159

8.00%,

11/01/2031

100,000

101,050

Capital

One

Financial

Corp.,

2.36%,

7/29/2032

79,000

54,185

Discover

Financial

Services,

6.70%,

11/29/2032

89,000

86,097

Intercontinental

Exchange,

Inc.

4.60%,

3/15/2033

80,000

73,501

4.95%,

6/15/2052

24,000

20,898

LSEGA

Financing

PLC,

1.38%,

4/06/2026

(a)

200,000

179,195

NASDAQ,

Inc.,

5.95%,

8/15/2053

27,000

25,241

Synchrony

Financial,

4.38%,

3/19/2024

150,000

148,187

1,005,285

Electric

–

6.6%

Avangrid,

Inc.,

3.20%,

4/15/2025

130,000

124,334

STATEMENT

OF

INVESTMENTS

(continued)

4

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Electric

–

6.6%

(continued)

Consolidated

Edison

Co.

of

New

York,

Inc.

Series

05-A,

5.30%,

3/01/2035

135,000

126,767

Series

A,

4.13%,

5/15/2049

100,000

74,395

Constellation

Energy

Generation

LLC,

6.50%,

10/01/2053

20,000

20,070

Electricite

de

France

SA,

9.13%

(a)(c)

200,000

208,847

ENEL

Finance

America

LLC,

7.10%,

10/14/2027

(a)

200,000

207,003

ENEL

Finance

International

NV,

5.00%,

6/15/2032

(a)

200,000

181,116

Eversource

Energy,

Series

R,

1.65%,

8/15/2030

110,000

84,399

New

England

Power

Co.,

5.94%,

11/25/2052

(a)

71,000

67,612

New

York

State

Electric

&

Gas

Corp.,

5.85%,

8/15/2033

(a)

95,000

93,754

Public

Service

Electric

&

Gas

Co.

4.65%,

3/15/2033

80,000

75,281

5.13%,

3/15/2053

44,000

40,201

5.45%,

8/01/2053

125,000

119,391

1,423,170

Entertainment

–

1.5%

Warnermedia

Holdings,

Inc.

3.64%,

3/15/2025

150,000

144,717

4.05%,

3/15/2029

100,000

89,144

5.14%,

3/15/2052

67,000

49,823

5.39%,

3/15/2062

50,000

36,963

320,647

Environmental

Control

–

0.5%

Waste

Management,

Inc.,

4.63%,

2/15/2030

115,000

109,913

109,913

Food

–

2.4%

General

Mills,

Inc.,

4.95%,

3/29/2033

134,000

125,649

JM

Smucker

Co.

(The),

4.25%,

3/15/2035

50,000

42,200

Kraft

Heinz

Foods

Co.

3.88%,

5/15/2027

100,000

94,263

5.20%,

7/15/2045

55,000

48,109

5.50%,

6/01/2050

56,000

51,105

SYSCO

Corp.,

2.40%,

2/15/2030

175,000

144,259

US

Foods,

Inc.,

6.88%,

9/15/2028

(a)

24,000

23,979

529,564

Forest

Products

&

Paper

–

0.4%

Suzano

Austria

GmbH,

3.75%,

1/15/2031

100,000

82,284

82,284

Gas

–

0.9%

Atmos

Energy

Corp.,

5.50%,

6/15/2041

55,000

51,717

Boston

Gas

Co.,

6.12%,

7/20/2053

(a)

150,000

141,880

193,597

5

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Healthcare-Products

–

2.1%

Alcon

Finance

Corp.,

5.38%,

12/06/2032

(a)

200,000

194,164

Thermo

Fisher

Scientific,

Inc.,

1.50%,

10/01/2039

100,000

70,542

Zimmer

Biomet

Holdings,

Inc.,

1.45%,

11/22/2024

200,000

190,010

454,716

Healthcare-Services

–

1.7%

HCA,

Inc.

5.25%,

6/15/2026

150,000

146,889

4.63%,

3/15/2052

55,000

41,349

UnitedHealth

Group,

Inc.

5.15%,

10/15/2025

43,000

42,884

3.05%,

5/15/2041

50,000

35,305

5.88%,

2/15/2053

25,000

25,122

4.95%,

5/15/2062

29,000

25,041

6.05%,

2/15/2063

42,000

42,544

359,134

Home

Builders

–

0.3%

KB

Home,

4.00%,

6/15/2031

28,000

22,602

PulteGroup,

Inc.,

5.50%,

3/01/2026

50,000

49,682

72,284

Insurance

–

5.1%

Allianz

SE,

6.35%,

9/06/2053

(a)

200,000

193,584

Allstate

Corp.

(The),

3.85%,

8/10/2049

50,000

35,392

Jackson

Financial,

Inc.,

1.13%,

11/22/2023

250,000

248,116

Liberty

Mutual

Group,

Inc.,

4.30%,

2/01/2061

(a)

54,000

32,016

Marsh

&

McLennan

Cos.,

Inc.,

5.45%,

3/15/2053

85,000

79,558

MetLife,

Inc.

6.40%,

12/15/2036

100,000

97,839

5.00%,

7/15/2052

8,000

6,914

Metropolitan

Life

Global

Funding

I,

1.55%,

1/07/2031

(a)

150,000

112,847

Principal

Life

Global

Funding

II,

0.88%,

1/12/2026

(a)

200,000

178,741

Prudential

Financial,

Inc.,

3.70%,

3/13/2051

85,000

59,204

XL

Group

Ltd.,

5.25%,

12/15/2043

75,000

67,197

1,111,408

Internet

–

0.3%

Amazon.com,

Inc.,

2.88%,

5/12/2041

100,000

70,719

70,719

Iron/Steel

–

0.3%

Nucor

Corp.,

3.85%,

4/01/2052

100,000

71,339

71,339

Lodging

–

0.5%

Marriott

International,

Inc.

5.00%,

10/15/2027

38,000

37,052

STATEMENT

OF

INVESTMENTS

(continued)

6

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Lodging

–

0.5%

(continued)

Series

HH,

2.85%,

4/15/2031

90,000

72,613

109,665

Media

–

2.2%

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

6.48%,

10/23/2045

60,000

52,434

4.40%,

12/01/2061

50,000

30,844

Comcast

Corp.

4.15%,

10/15/2028

55,000

52,120

4.65%,

2/15/2033

225,000

210,765

2.94%,

11/01/2056

150,000

85,320

Walt

Disney

Co.

(The),

3.50%,

5/13/2040

68,000

50,967

482,450

Mining

–

0.2%

Newmont

Corp.,

2.80%,

10/01/2029

60,000

50,869

50,869

Miscellaneous

Manufacturing

–

0.6%

Eaton

Corp.

4.15%,

3/15/2033

119,000

107,632

4.70%,

8/23/2052

13,000

11,231

118,863

Oil

&

Gas

–

4.0%

AKER

BP

ASA

5.60%,

6/13/2028

(a)

300,000

293,312

3.10%,

7/15/2031

(a)

200,000

160,186

BP

Capital

Markets

America,

Inc.

3.54%,

4/06/2027

200,000

188,791

3.00%,

2/24/2050

65,000

40,587

Ecopetrol

SA,

8.88%,

1/13/2033

25,000

24,439

Parkland

Corp.,

4.50%,

10/01/2029

(a)

50,000

42,877

TotalEnergies

Capital

International

SA,

3.13%,

5/29/2050

90,000

58,743

TotalEnergies

Capital

SA,

3.88%,

10/11/2028

60,000

56,424

865,359

Oil

&

Gas

Services

–

0.9%

Schlumberger

Holdings

Corp.,

4.30%,

5/01/2029

(a)

200,000

187,678

187,678

Packaging

&

Containers

–

0.1%

Ball

Corp.,

6.00%,

6/15/2029

27,000

26,246

26,246

Pharmaceuticals

–

5.5%

AbbVie,

Inc.,

4.05%,

11/21/2039

150,000

122,792

Astrazeneca

Finance

LLC,

2.25%,

5/28/2031

150,000

120,948

Bristol-Myers

Squibb

Co.,

4.25%,

10/26/2049

35,000

27,750

7

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Pharmaceuticals

–

5.5%

(continued)

CVS

Health

Corp.

5.13%,

2/21/2030

115,000

110,654

5.25%,

1/30/2031

23,000

22,111

5.63%,

2/21/2053

60,000

53,985

5.88%,

6/01/2053

8,000

7,404

Eli

Lilly

&

Co.,

4.70%,

2/27/2033

45,000

43,336

Merck

&

Co.,

Inc.

4.90%,

5/17/2044

48,000

43,831

2.75%,

12/10/2051

50,000

30,239

5.15%,

5/17/2063

14,000

12,779

Pfizer

Investment

Enterprises

Pte

Ltd.

5.30%,

5/19/2053

46,000

42,775

5.34%,

5/19/2063

72,000

65,831

Pfizer,

Inc.,

2.63%,

4/01/2030

240,000

205,089

Shire

Acquisitions

Investments

Ireland

DAC,

3.20%,

9/23/2026

100,000

93,420

Takeda

Pharmaceutical

Co.

Ltd.,

5.00%,

11/26/2028

200,000

195,819

1,198,763

Pipelines

–

2.4%

Enbridge,

Inc.

0.55%,

10/04/2023

150,000

149,976

5.50%,

7/15/2077

60,000

52,457

Galaxy

Pipeline

Assets

Bidco

Ltd.,

2.16%,

3/31/2034

(a)

169,242

141,390

ONEOK,

Inc.,

7.15%,

1/15/2051

100,000

101,188

Williams

Cos.,

Inc.

(The),

5.75%,

6/24/2044

80,000

72,633

517,644

Real

Estate

–

4.8%

Alexandria

Real

Estate

Equities,

Inc.,

1.88%,

2/01/2033

167,000

118,357

American

Homes

4

Rent

LP

2.38%,

7/15/2031

100,000

76,356

4.30%,

4/15/2052

34,000

24,669

Boston

Properties

LP,

2.75%,

10/01/2026

100,000

89,732

Crown

Castle,

Inc.,

1.05%,

7/15/2026

127,000

111,520

Equinix,

Inc.,

1.00%,

9/15/2025

100,000

90,908

Extra

Space

Storage

LP

3.90%,

4/01/2029

16,000

14,384

2.35%,

3/15/2032

65,000

49,186

Iron

Mountain

Information

Management

Services,

Inc.,

5.00%,

7/15/2032

(a)

50,000

41,156

Prologis

Euro

Finance

LLC,

1.50%,

9/10/2049

100,000

53,017

Public

Storage

Operating

Co.,

1.95%,

11/09/2028

125,000

105,958

Rexford

Industrial

Realty

LP,

5.00%,

6/15/2028

135,000

129,255

WP

Carey,

Inc.,

3.85%,

7/15/2029

160,000

141,573

1,046,071

STATEMENT

OF

INVESTMENTS

(continued)

8

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Retail

–

1.8%

7-Eleven,

Inc.,

2.50%,

2/10/2041

(a)

100,000

61,241

Home

Depot,

Inc.

(The),

3.50%,

9/15/2056

150,000

101,895

Lowe's

Cos.,

Inc.

1.70%,

9/15/2028

50,000

41,776

2.80%,

9/15/2041

100,000

64,665

4.25%,

4/01/2052

6,000

4,431

5.63%,

4/15/2053

47,000

42,760

4.45%,

4/01/2062

37,000

27,045

Macy's

Retail

Holdings

LLC,

5.88%,

3/15/2030

(a)

67,000

56,874

400,687

Semiconductors

–

1.4%

Advanced

Micro

Devices,

Inc.,

4.39%,

6/01/2052

46,000

37,527

Intel

Corp.

5.20%,

2/10/2033

37,000

35,844

5.63%,

2/10/2043

30,000

28,637

5.70%,

2/10/2053

53,000

49,739

NXP

BV

/

NXP

Funding

LLC

/

NXP

USA,

Inc.,

3.25%,

5/11/2041

120,000

80,805

Qualcomm,

Inc.,

1.65%,

5/20/2032

50,000

37,480

Texas

Instruments,

Inc.,

5.05%,

5/18/2063

31,000

27,518

297,550

Software

–

2.2%

Fidelity

National

Information

Services,

Inc.,

1.15%,

3/01/2026

130,000

116,533

Microsoft

Corp.,

2.68%,

6/01/2060

100,000

58,791

Oracle

Corp.

4.65%,

5/06/2030

49,000

45,849

3.65%,

3/25/2041

100,000

71,411

4.00%,

7/15/2046

50,000

35,313

5.55%,

2/06/2053

48,000

42,090

VMware,

Inc.,

1.40%,

8/15/2026

130,000

114,719

484,706

Telecommunications

–

3.5%

AT&T,

Inc.

2.30%,

6/01/2027

100,000

88,580

2.55%,

12/01/2033

200,000

146,961

3.50%,

6/01/2041

100,000

69,524

3.55%,

9/15/2055

50,000

30,639

Rogers

Communications,

Inc.

4.50%,

3/15/2042

80,000

61,994

4.55%,

3/15/2052

62,000

45,272

T-Mobile

USA,

Inc.,

3.50%,

4/15/2031

150,000

126,984

Verizon

Communications,

Inc.

1.50%,

9/18/2030

100,000

75,910

2.85%,

9/03/2041

60,000

38,830

9

Description

Principal

Amount

($)

Value

($)

Corporate

Bonds

–

96.7%

(continued)

Telecommunications

–

3.5%

(continued)

3.88%,

3/01/2052

100,000

70,462

755,156

Transportation

–

1.7%

Canadian

National

Railway

Co.,

4.40%,

8/05/2052

23,000

19,145

Canadian

Pacific

Railway

Co.

1.75%,

12/02/2026

50,000

44,639

2.45%,

12/02/2031

8,000

6,919

CSX

Corp.,

3.95%,

5/01/2050

90,000

67,095

FedEx

Corp.,

4.75%,

11/15/2045

84,000

68,685

Ryder

System,

Inc.,

5.65%,

3/01/2028

80,000

79,252

Union

Pacific

Corp.,

4.95%,

9/09/2052

58,000

52,054

XPO,

Inc.,

6.25%,

6/01/2028

(a)

30,000

29,083

366,872

Total

Corporate

Bonds

(cost

$23,235,358)

20,982,525

Municipal

Securities

–

0.0%

California

Health

Facilities

Financing

Authority,

RB,

Series

2022,

4.35%,

6/01/2041

10,000

8,418

Total

Municipal

Securities

(cost

$10,000)

8,418

U.S.

Treasury

Government

Securities

–

2.3%

U.S.

Treasury

Bonds,

3.88%,

5/15/2043

168,000

146,081

U.S.

Treasury

Notes

4.38%,

8/31/2028

100,000

99,016

3.38%,

5/15/2033

280,000

253,969

Total

U.S.

Treasury

Government

Securities

(cost

$507,118)

499,066

Shares

Investment

Companies

–

2.3%

Registered

Investment

Companies

–

2.3%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

5.30%

(d)(e)

(cost

$491,398)

491,398

491,398

Investment

of

Cash

Collateral

for

Securities

Loaned

–

0.6%

Registered

Investment

Companies

–

0.6%

Dreyfus

Institutional

Preferred

Government

Money

Market

Fund,

Institutional

Shares,

5.30%

(d)(e)

(cost

$139,160)

139,160

139,160

Total

Investments

(cost

$24,383,034)

101.9%

22,120,567

Liabilities,

Less

Cash

and

Receivables

(1.9)%

(410,770)

Net

Assets

100.0%

21,709,797

RB—Revenue

Bond

STATEMENT

OF

INVESTMENTS

(continued)

10

See

Notes

to

Statement

of

Investments

(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

September

30,

2023,

these

securities

were

valued

at

$5,316,846

or

24.49%

of

net

assets.

(b)

Security,

or

portion

thereof,

on

loan.

At

September

30,

2023,

the

value

of

the

fund’s

securities

on

loan

was

$251,566

and

the

value

of

the

collateral

was

$264,598,

consisting

of

cash

collateral

of

$139,160

and

U.S.

Government

&

Agency

securities

valued

at

$125,438.

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

September

30,

2023.

Futures

Description

Number

of

Contracts

Expiration

Notional

Value

($)

Market

Value

($)

Unrealized

Appreciation

(Depreciation)

($)

Futures

Long

U.S.

Treasury

Long

Bonds

12

12/19/2023

1,422,089

1,365,375

(56,714)

U.S.

Treasury

2

Year

Notes

4

12/29/2023

813,621

810,844

(2,777)

U.S.

Treasury

10

Year

Notes

1

12/19/2023

110,080

108,062

(2,018)

U.S.

Treasury

5

Year

Notes

1

12/29/2023

106,291

105,359

(932)

Futures

Short

Euro-Bund

2

12/7/2023

277,038

*

272,009

5,029

U.S.

Treasury

10

Year

Ultra

Notes

17

12/19/2023

1,949,828

1,896,563

53,265

Gross

Unrealized

Appreciation

58,294

Gross

Unrealized

Depreciation

(62,441)

*

Notional

amounts

in

foreign

currency

have

been

converted

to

USD

using

relevant

foreign

exchange

rates.

Forward

Foreign

Currency

Exchange

Contracts

Counterparty

/

Purchased

Currency

Purchased

Currency

Amounts

Currency

Sold

Sold

Currency

Amounts

Settlement

Date

Unrealized

Appreciation

(Depreciation)

($)

Goldman

Sachs

&

Co.

Euro

63,000

United

States

Dollar

67,524

11/16/2023

(781)

United

States

Dollar

220,993

Euro

205,000

11/16/2023

3,815

United

States

Dollar

148,586

Euro

136,000

11/7/2023

4,566

Gross

Unrealized

Appreciation

8,381

Gross

Unrealized

Depreciation

(781)

NOTES

TO

STATEMENT

OF

INVESTMENTS

(Unaudited)

11

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.

NOTES

TO

STATEMENT

OF

INVESTMENTS

(Unaudited)

(continued)

12

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.

13

The

table

below

summarizes

the

inputs

used

as

of September

30,

2023

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

—

20,982,525

—

20,982,525

Municipal

Securities

—

8,418

—

8,418

U.S.

Treasury

Government

Securities

—

499,066

—

499,066

Investment

Companies

491,398

—

—

491,398

Investment

of

Cash

Collateral

for

Securities

Loaned

139,160

—

—

139,160

Other

Financial

Instruments:

Futures

††

58,294

—

—

58,294

Forward

Foreign

Currency

Exchange

Contracts

††

—

8,381

—

8,381

Liabilities

($)

Other

Financial

Instruments:

Futures

††

(62,441)

—

—

(62,441)

Forward

Foreign

Currency

Exchange

Contracts

††

—

(781)

—

(781)

†

See

Statement

of

Investments

for

additional

detailed

categorizations,

if

any.

††

Amount

shown

represents

unrealized

appreciation

(depreciation)

at

period

end.

NOTES

TO

STATEMENT

OF

INVESTMENTS

(Unaudited)

(continued)

14

Derivatives:

A

derivative

is

a

financial

instrument

whose

performance

is

derived

from

the

performance

of

another

asset.

The

fund

enters

into

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

or

similar

agreements

(collectively,

“Master

Agreements”)

with

its

over-the-counter

(“OTC”)

derivative

contract

counterparties

in

order

to,

among

other

things,

reduce

its

credit

risk

to

counterparties.

Master

Agreements

include

provisions

for

general

obligations,

representations,

collateral

and

events

of

default

or

termination.

Under

a

Master

Agreement,

the

fund

may

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/

or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment

in

the

event

of

default

or

termination.

The

SEC

adopted

Rule

18f-4

under

the

Act,

which

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

September

30,

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

.

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 September

30,

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

15

gains

or

losses

which

occurred

during

the

period

are

reflected

in

the

Statement

of

Operations.

The

fund

is

exposed

to

foreign

currency

risk

as

a

result

of

changes

in

value

of

underlying

financial

instruments.

The

fund

is

also

exposed

to

credit

risk

associated

with

counterparty

nonperformance

on

these

forward

contracts,

which

is

generally

limited

to

the

unrealized

gain

on

each

open

contract.

This

risk

may

be

mitigated

by

Master

Agreements,

if

any,

between

the

fund

and

the

counterparty

and

the

posting

of

collateral,

if

any,

by

the

counterparty

to

the

fund

to

cover

the

fund’s

exposure

to

the

counterparty.

Forward

contracts

open

at September

30,

2023

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 September

30,

2023,

accumulated

net

unrealized

depreciation on

investments

was

$2,259,014,

consisting

of

gross

appreciation

of

$115,161

and

gross

depreciation

of

$2,374,175.

At

September

30,

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).