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).