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File\nNo.\n333-234030

811-23477

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-1A

REGISTRATION\nSTATEMENT UNDER THE SECURITIES ACT OF 1933 [X]

Pre-Effective Amendment No. [ ]

Post-Effective\nAmendment No. 62 [X]

and/or

REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF\n1940 [X]

Amendment No. 64 [X]

(Check appropriate box\nor boxes.)

BNY Mellon ETF Trust

(Exact Name of Registrant as Specified\nin Charter)

240 Greenwich Street, New York, New York 10286

(Address\nof Principal Executive Offices) (Zip Code)

Registrant's\nTelephone Number, including Area Code: (212) 922-6400

Deirdre Cunnane, Esq.

240 Greenwich Street

New York, New York 10286

(Name\nand Address of Agent for Service)

It is proposed that this filing will become\neffective (check appropriate box)

__ immediately\nupon filing pursuant to paragraph (b)

X on\nOctober\n30, 2026 pursuant to paragraph (b)

__\n___ days after filing pursuant to paragraph (a)(1)

__ on\n(date)\npursuant to paragraph (a)(1)

____\ndays after filing pursuant to paragraph (a)(2)

__ on\n\n (date) pursuant to paragraph (a)(2) of Rule 485

If\nappropriate, check the following box:

__ this\npost-effective amendment designates a new effective date for a previously filed post-effective amendment.\n

The following post-effective amendment to the Registrant's Registration Statement\non Form N-1A only affects the Registration Statement of the series listed below:

BNY\nMellon Ultra Short Income ETF

$\"\"$

BNY Mellon\nETF Trust

Prospectus |\n October 30, 2026

BNY Mellon Ultra Short Income ETF\nTicker: BKUI

Principal\nU.S. Listing Exchange: NYSE Arca, Inc.

The Securities and Exchange Commission has\nnot approved or disapproved these securities or passed upon the adequacy of this prospectus. Any representation\nto the contrary is a criminal offense.

Contents

Fund Summary

Fund Details


Goal and Approach	8
Investment Risks	10
Management	15
Distributor and Distribution and Service Plan	16

Additional Information


Additional\nPurchase and Sale Information	18
Portfolio Holdings Disclosure	19
Distributions	19
Additional Tax Information	19
General Information	22

Financial Highlights


Financial Highlights	23

For More Information

See back\ncover.

Fund\nSummary

Investment Objective

The\nfund seeks high current income consistent with the maintenance of liquidity and low volatility of principal.\n

Fees and Expenses

This\ntable describes the fees and expenses that you may pay if you buy, hold and sell shares of the fund.\n You may pay other fees, such as brokerage commissions and other fees to financial\nintermediaries, which are not reflected in the table and Example below.


Annual Fund Operating Expenses^* \n (Expenses that you pay each year as a percentage of the value of your investment)
Management fees	0.12%
Distribution and service (12b-1) fees	None
Other expenses	0.00%
Total annual fund operating expenses	0.12%

^* The fund's management\nagreement provides that BNY Mellon ETF Investment Adviser, LLC (Adviser), the fund's investment adviser,\nwill pay substantially all expenses of the fund, except for the management fees, payments under the fund's\n12b-1 plan (if any), interest expenses, taxes, acquired fund fees and expenses, brokerage commissions,\ncosts of holding shareholder meetings, fees and expenses associated with any securities lending program\nto be adopted by the fund, and litigation and potential litigation and other extraordinary expenses not\nincurred in the ordinary course of the fund's business.

Example

The Example is intended to help you compare the cost of investing in the fund\nwith the cost of investing in other funds. The Example assumes that you invest $10,000 in the fund for\nthe time periods indicated and then hold or redeem all of your shares at the end of those periods. The\nExample also assumes that your investment has a 5% return each year and that the fund's operating expenses\nremain the same. Although your actual costs may be higher or lower, based on these assumptions your\ncosts would be:


1 Year	3 Years	5 Years	10 Years
$12	$39	$68	$154

Portfolio\nTurnover

The fund pays transaction costs, such as commissions,\nwhen it buys and sells securities (or \"turns over\" its portfolio). A higher portfolio turnover may indicate\nhigher transaction costs and may result in higher taxes when fund shares are held in a taxable account.\n These costs, which are not reflected in annual fund operating expenses or in the Example, affect the\nfund's performance. For the fiscal year ended June 30, 2026, the fund's portfolio turnover rate was\n13.55% of the average value of its portfolio.

Principal\nInvestment Strategy

To pursue its goal, the\nfund normally invests at least 80% of its net assets in investment grade, U.S. dollar denominated fixed,\nvariable, and floating rate debt or cash equivalents, including the following:

· Corporate\nsecurities;

· Asset-backed securities;

· Repurchase\nagreements;

· High quality money market instruments, such\nas commercial paper, certificates of deposit, time deposits and bankers' acceptances;

· U.S.\nTreasury securities;

· Securities issued or guaranteed by the U.S.\ngovernment, its agencies or instrumentalities, or government-sponsored enterprises (U.S. government securities);

· Obligations\nissued or guaranteed by one or more foreign governments or any of their political subdivisions or agencies;\n

· Securities\nissued by foreign corporations or a U.S. affiliate of a foreign corporation; and

· Securities\nsubject to purchase and sale restrictions that are offered pursuant to Rule 144A under the Securities\nAct of 1933, as amended.

The\nfund's investments are concentrated in the banking industry. In particular, the fund normally invests\nat least 25% of its net assets in domestic or dollar-denominated foreign bank obligations.

The fund\ntypically seeks to maintain an effective duration of one year or less, although, under certain market\nconditions, such as in periods of significant volatility in interest rates and spreads, the fund's duration\nmay be longer than one year. The fund does not have any restrictions on its average effective portfolio\nmaturity, or on the maturity or effective duration of the individual fixed-income securities the fund\nmay purchase. Duration is an indication of an investment's \"interest rate risk,\" or how sensitive a\nbond or the fund's portfolio may be to changes in interest rates. The maturity\nof a security measures the time until final payment is due.

The fund's\nportfolio, under normal market conditions, will have an average credit rating of at least A or equivalent.\n The fund's investments, at the time of purchase, will have a minimum long-term credit rating of Baa3,\nBBB-, or BBB- by Moody's Investors Service Inc. (Moody's), Standard & Poor's Corporation (S&P),\nor Fitch Ratings (Fitch), respectively, or the equivalent by another nationally recognized statistical\nrating organization (NRSRO); or a short-term credit rating in the top tier (P-1, A-1 or F-1) or second\ntier (P-2, A-2 or F2) of rating categories for short-term investments by Moody's, S&P, or Fitch,\nrespectively, or the equivalent by another NRSRO; or if such investments are unrated, deemed by the fund's\nsub-adviser, Dreyfus, a division of Mellon Investments Corporation (MIC),\nan affiliate of the Adviser, to be of comparable quality. For purposes of calculating the fund's average\ncredit rating, the fund uses the highest long-term or short-term credit rating assigned to an investment.\n All investments that do not have a long-term credit rating but are rated in the top tier short-term\ncredit rating category are treated as having a long-term credit rating of AA and all investments that\ndo not have a long-term credit rating but are rated in the second tier short-term credit rating category\nare treated as having a long-term credit rating of BBB.

The fund's\nsub-adviser seeks to achieve what it believes provides the optimal portfolio for the fund in terms of\npreservation of principal, liquidity and producing high current income. To do so, the sub-adviser uses\na top-down and bottom-up investment process and leverages the breadth and depth of Dreyfus'\nresearch resources. The sub-adviser focuses on preservation of principal and downside protection by\nproactively monitoring issuer and counterparty risk and ensure appropriate portfolio liquidity through\na combination of overnight investments and short-term, highly liquid securities.

In\nselecting securities for the fund's portfolio, the sub-adviser conducts broad top-down, macroeconomic\nanalysis that focuses on overall positioning and asset allocation by identifying general global investment\nthemes and risks with an emphasis on region, country, interest rate curve, duration and regulatory developments.\n

The sub-adviser uses\na bottom-up approach based on proprietary research and its own broad perspective to make overall sector,\nindividual security, duration and yield curve positioning investment decisions. The sub-adviser\nattempts to identify those sectors they believe will outperform. The\nsub-adviser uses a number of valuation indicators and quantitative models to help establish fair market\nvalues for individual bonds. Once the fair market value of a bond is estimated, the sub-adviser then\nassesses broad market factors that may impact the market price of a given security (e.g., expected future\ninflation, expected economic growth, path of interest rates) to determine if and why the bond is over-\nor undervalued. The sub-adviser believes it is best able to capture the highest risk-adjusted returns\nfrom a security: 1) when the sub-adviser can find a security that is undervalued, 2) where research indicates\nthat the fund's portfolio should rebalance in favor of the security, and 3) when the consensus view towards\nthe security is at a bearish extreme. The sub-adviser manages\nthe fund's duration and yield curve positioning based\non the sub-adviser expectations of future interest rates compared\nto current yield curves. Yield curves compare the interest rates of bonds that have the same credit\nquality, but different maturities.

The\nfund is not a money market fund and does not seek to maintain a stable net asset value of $1.00 per share.

Principal\nRisks

An investment in the fund is not a bank deposit.\n It is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government\nagency. It is not a complete investment program. The fund's share price fluctuates, sometimes dramatically,\nwhich means you could lose money.

· Fixed-income market risk: The market\nvalue of a fixed-income security may decline due to general market conditions that are not specifically\nrelated to a particular company, such as real or perceived adverse economic conditions, changes in the\noutlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally.\n The fixed-income securities market can be susceptible to increases in volatility and decreases in liquidity.\n Liquidity can decline unpredictably in response to overall economic conditions or credit tightening.\n Increases in volatility and decreases in liquidity may be caused by a rise in interest rates (or the\nexpectation of a rise in interest rates). Federal Reserve policy in response to market conditions, including\nwith respect to interest rates, may adversely affect the value, volatility and liquidity of dividend\nand interest paying securities. Policy and legislative changes worldwide are affecting many aspects\nof financial regulation. The impact of these changes on the markets and the practical implications for\nmarket participants may not be fully known for some time.

· Interest\nrate risk: Prices of bonds and other fixed rate fixed-income securities\ntend to move inversely with changes in interest rates. Typically, a rise in rates will adversely affect\nfixed-income securities and, accordingly, will cause the value of the fund's investments in these securities\nto decline. A wide variety of market factors can cause interest rates to rise, including central bank\nmonetary policy, rising inflation and changes in general economic conditions. It is difficult to predict\nthe pace at which central banks or monetary authorities may increase (or decrease) interest rates or\nthe timing, frequency, or magnitude of such changes. During periods of very low interest rates, which\noccur from time to time due to market forces or actions of governments and/or their central banks, including\nthe Board of Governors of the Federal Reserve System in the U.S., the fund may be subject to a greater\nrisk of principal decline from rising interest rates. When interest rates fall, the values of already-issued\nfixed rate fixed-income securities generally rise. However, when interest rates fall, the fund's investments\nin new securities may be at lower yields and may reduce the fund's income. Changing interest rates may\nhave unpredictable effects on markets, may result in heightened market volatility and may detract from\nfund performance. The magnitude of these fluctuations in the market price of fixed-income securities\nis generally greater for securities with longer effective maturities and durations because such instruments\ndo not mature, reset interest rates or become callable for longer periods of time.

· Floating\nand variable rate securities risk: Floating and variable rate securities provide\nfor a periodic adjustment in the interest rate paid on the securities. The rate adjustment intervals\nmay be regular and range from daily up to annually, or may be based on an event, such as a change in\nthe prime rate. Securities with floating or variable interest rates can be less sensitive to interest\nrate changes than securities with fixed interest rates, but may decline in value if their coupon rates\ndo not reset as high, or as quickly, as comparable market interest rates, and generally carry lower yields\nthan fixed notes of the same maturity. Floating and variable rate securities may be subject to greater\nliquidity risk than other debt securities, meaning that there may be limitations on the fund's ability\nto sell the securities at any given time. Such securities may also lose value.

· Credit\nrisk: Failure of an issuer of a security to make timely interest or principal payments\nwhen due, or a decline or perception of a decline in the credit quality of the security, can cause the\nsecurity's price to fall, lowering the value of the fund's investment in such security. The lower a\nsecurity's credit rating, the greater the chance that the issuer of the security will default or fail\nto meet its payment obligations.

· Call risk: Some\nsecurities give the issuer the option to prepay or call the securities before their maturity date, which\nmay reduce the market value of the security and the anticipated yield-to-maturity. Issuers often exercise\nthis right when interest rates fall. If an issuer \"calls\" its securities during a time of declining\ninterest rates, the fund might have to reinvest the proceeds in an investment offering a lower yield,\nand therefore might not benefit from any increase in value as a result of declining interest rates.\nDuring periods of market illiquidity or rising interest rates, prices of \"callable\" issues are subject\nto increased price fluctuation.

· Banking industry risk: The risks\ngenerally associated with concentrating investments in the banking industry include interest rate risk,\ncredit risk, and regulatory developments relating to the banking industry such as extensive governmental\nregulation and/or nationalization that affects the scope of their activities, the prices they can charge\nand the amount of capital they must maintain; adverse effects on profitability due to increases in interest\nrates or loan losses; severe price competition; and increased inter-industry consolidation and competition.\n Investments in regional banks, which may be small or medium in size, may involve greater risk than investing\nin larger, more established banks. A regional bank’s financial performance may be dependent upon the\nbusiness environment in certain geographic regions of the United States and, as a result, adverse economic\nor employment developments in such regions may negatively impact such regional bank and, in turn, the\nfund.

· Asset-backed\nsecurities risk: Asset-backed securities are subject to credit, prepayment\nand extension risk, and may be more volatile, less liquid and more difficult to price accurately than\nmore traditional debt securities. General downturns in the economy could cause the value of asset-backed\nsecurities to fall. Asset-backed securities\nare often subject to more rapid repayment than their stated maturity date would\nindicate as a result of the pass-through of prepayments of principal on the underlying loans. During\nperiods of declining interest rates, prepayment of loans underlying asset-backed securities can be expected\nto accelerate. Accordingly, the fund's ability to maintain positions in such securities will be affected\nby reductions in the principal amount of such securities resulting from prepayments, and its ability\nto reinvest the returns of principal at comparable yields is subject to generally prevailing interest\nrates at that time.

· Repurchase agreement counterparty risk: \nThe fund is subject to the risk that a counterparty in a repurchase agreement and/or, for a tri-party\nrepurchase agreement, the third party bank providing payment administration, collateral custody and management\nservices for the transaction, could fail to honor the terms of the agreement.

· Commercial\npaper risk: Commercial paper is a short-term obligation with a maturity\ngenerally ranging from one to 270 days and is issued by U.S. or foreign companies or other entities in\norder to finance their current operations. Such investments are unsecured and usually discounted from\ntheir value at maturity. The value of commercial paper may be affected by changes in the credit rating\nor financial condition of the issuing entities and will tend to fall when interest rates rise and rise\nwhen interest rates fall.

· Certificates of deposit, time deposits and\nbankers' acceptances risk: The activities of banks, which are the primary\nissuers of certificates of deposit, time deposits and bankers' acceptances are subject to comprehensive\nregulations. The enactment of new legislation or regulations, as well as changes in interpretation and\nenforcement of current laws, may affect the manner of operations and profitability of banks. Banks may\nbe particularly susceptible to certain economic factors, such as interest rate changes and adverse developments\nin the real estate markets. Fiscal and monetary policy and general economic cycles can affect the availability\nand cost of funds, loan demand and asset quality and thereby impact the earnings and financial conditions\nof banks.

· U.S. Treasury securities risk: A\nsecurity backed by the U.S. Treasury or the full faith and credit of the United States is guaranteed\nonly as to the timely payment of interest and principal when held to maturity, but the market prices\nfor such securities are not guaranteed and will fluctuate. In addition, such guarantees do not extend\nto shares of the fund itself. Because U.S. Treasury securities trade actively outside the United States,\ntheir prices may rise and fall as changes in global economic conditions affect the demand for these securities.\n

· Government securities risk: Not\nall obligations of the U.S. government, its agencies and instrumentalities are backed by the full faith\nand credit of the U.S. Treasury. Some obligations are backed only by the credit of the issuing agency\nor instrumentality, and in some cases there may be some risk of default by the issuer. Any guarantee\nby the U.S. government or its agencies or instrumentalities of a security held by the fund does not apply\nto the market value of such security or to shares of the fund itself. A security backed by the U.S.\nTreasury or the full faith and credit of the United States is guaranteed only as to the timely payment\nof interest and principal when held to maturity.

· Foreign investment risk: To\nthe extent the fund invests in foreign securities, the fund's performance will be influenced by political,\nsocial and economic factors affecting investments in foreign issuers. Special risks associated with\ninvestments in foreign issuers include exposure to currency fluctuations, less liquidity, less developed\nor less efficient trading markets, lack of comprehensive company information, political and economic\ninstability and differing auditing and legal standards. The imposition of sanctions, confiscations,\ntrade restrictions (including tariffs) and other government restrictions by the United States and other\ngovernments, or problems related to share registration, trade settlement, or asset custody, may result\nin losses for the fund. To the extent securities held by the fund trade in a market that is closed\nwhen the exchange on which the fund's shares trade is open, there may be deviations between the current\nprice of a security and the last quoted price for the security in the closed foreign market. These deviations\ncould result in the fund experiencing premiums or discounts greater than those of ETFs that invest in\ndomestic securities.

· Foreign government obligations, debt obligations\nof supranational entities and sovereign debt obligations risk: Investing\nin foreign government obligations, debt obligations of supranational entities and the sovereign debt\nof foreign countries creates exposure to the direct or indirect consequences of political, social or\neconomic changes in the countries that issue the securities or in which the issuers are located. A governmental\nobligor may default on its obligations.

market price of comparable unrestricted securities for which\na liquid trading market exists. A restricted security that was liquid at the time of purchase may subsequently\nbecome illiquid and its value may decline as a result. The sub-adviser will evaluate the liquidity of\nRule 144A securities prior to investing in such securities and monitor their liquidity thereafter. In\naddition, transaction costs may be higher for restricted securities than for more liquid securities.

· Issuer\nrisk: A security's market value may decline for a number of reasons which directly\nrelate to the issuer, such as management performance, financial leverage and reduced demand for the issuer's\nproducts or services, or factors that affect the issuer's industry, such as labor shortages or increased\nproduction costs and competitive conditions within an industry.

· Management\nrisk: The investment process used by the fund's sub-adviser could fail to achieve\nthe fund's investment goal, and may cause your fund investment to lose value or may cause the fund to\nunderperform other funds with similar investment goals.

· Cash transaction risk: Most\nETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed\nportfolio securities. However, unlike most ETFs, the fund currently intends to effect redemptions for\ncash, rather than in-kind, because of the nature of the fund's investments. As such, the fund may be\nrequired to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which\nincludes cash transaction costs. Therefore, the fund may also recognize a capital gain on these sales\nthat might not have been incurred if the fund had made a redemption in-kind. This may decrease the tax\nefficiency of the fund compared to ETFs that utilize an in-kind redemption process, and there may be\na substantial difference in the after-tax rate of return between the fund and conventional ETFs.

· Market\nrisk: The value of the securities in which the fund invests may be affected by political,\nregulatory, economic and social developments, and developments that impact specific economic sectors,\nindustries or segments of the market. In addition, turbulence in financial markets and reduced liquidity\nin equity, credit and/or fixed-income markets may negatively affect many issuers, which could adversely\naffect the fund. Global economies and financial markets are becoming increasingly interconnected, and\nconditions and events in one country, region or financial market may adversely impact issuers in a different\ncountry, region or financial market. These risks may be magnified if certain events or developments\nadversely interrupt the global supply chain; in these and other circumstances, such risks might affect\ncompanies world-wide. Local, regional or global events such as war, military conflicts, acts of terrorism,\nnatural disasters, the spread of infectious illness or other public health issues, or other events could\nhave a significant impact on the fund and its investments. To the extent the fund may overweight its\ninvestments in certain countries, companies, industries or sectors, such positions will increase the\nfund's exposure to risk of loss from adverse developments affecting those countries, companies, industries\nor sectors.

· Authorized participants, market makers and\nliquidity providers risk: The fund has a limited number of financial\ninstitutions that may act as Authorized Participants, which are responsible for the creation and redemption\nactivity for the fund. In addition, there may be a limited number of market makers and/or liquidity\nproviders in the marketplace. To the extent either of the following events occur, fund shares may trade\nat a material discount to net asset value and possibly face delisting: (i) Authorized Participants exit\nthe business or otherwise become unable or unwilling to process creation and/or redemption orders and\nno other Authorized Participants step forward to perform these services, or (ii) market makers and/or\nliquidity providers exit the business or significantly reduce their business activities and no other\nentities step forward to perform their functions.

· Fluctuation of net asset value, share premiums\nand discounts risk: As with all exchange-traded funds, fund shares may be bought\nand sold in the secondary market at market prices. The trading prices of fund shares in the secondary\nmarket may differ from the fund's daily net asset value per share and there may be times when the market\nprice of the shares is more than the net asset value per share (premium) or less than the net asset value\nper share (discount). This risk is heightened in times of market volatility or periods of steep market\ndeclines.

· Trading issues risk: Although\nfund shares are listed for trading on an exchange and may be listed or traded on other U.S. and non-U.S.\nstock exchanges as well, there can be no assurance that an active trading market for such fund shares\nwill develop or be maintained. Trading in fund shares may be halted due to market conditions or for\nreasons that, in the view of the listing exchange, make trading in fund shares inadvisable. In addition,\ntrading in fund shares on an exchange is subject to trading halts caused by extraordinary market volatility\npursuant to exchange \"circuit breaker\" rules. There can be no assurance that the requirements of the\nlisting exchange necessary to maintain the listing of the fund will continue to be met or will remain\nunchanged or that fund shares will trade with any volume, or at all, on any stock exchange.

investment and credit quality restrictions\napplicable to money market funds. There can be no guarantee that the fund will generate higher returns\nthan money market funds.

Performance

The following\nbar chart and table provide some indication of the risks of investing in the fund. The bar chart shows\nchanges in the performance of the fund from year to year. The table compares the average annual total\nreturns of the fund to those of the Bloomberg U.S. Aggregate Bond Index, a broad measure of market performance,\nand the ICE BofA Merrill Lynch 3-Month US Treasury Bill Index, which measures the performance of a U.S.\nTreasury bill that matures within three months. The fund's past performance (before and after taxes)\nis not necessarily an indication of how the fund will perform in the future. Recent performance information\nmay be available at www.bny.com/investments.

Year-by-Year Total Returns as of 12/31 each year\n(%)


$\"PerformanceBarChartData(16,17,18,19,20,21,22:-0.11,23:5.74,24:5.47,25:4.97)\"$	During\nthe periods shown in the chart: Best Quarter 2024, Q3: 1.98 Worst\nQuarter 2022, Q1: (0.97)

Year\nto date total return for the nine months ended September 30, 2026 was 2.37%.

After-tax\nreturns in the table below are calculated using the historical highest individual federal marginal income\ntax rates, and do not reflect the impact of state and local taxes. Actual after-tax returns depend on\nthe investor's tax situation and may differ from those shown, and the after-tax returns shown are not\nrelevant to investors who hold their shares through U.S. tax-deferred arrangements such as 401(k) plans\nor individual retirement accounts. Returns after taxes on distributions and sale of fund shares may\nbe higher than returns before taxes and or returns after taxes on distributions due to an assumed tax\nbenefit from losses on a sale of the fund's shares at the end of a period.


Average\nAnnual Total Returns as of 12/31/25
	1 Year	Since\nInception (8/09/2021)
Returns\nbefore taxes	4.97%	3.57%
Returns after taxes on distributions	3.07%	2.05%
Returns after taxes on distributions\nand sale of fund shares	2.92%	2.07%
Bloomberg U.S. Aggregate\nBond Index(reflects no deductions for fees, expenses or taxes)	7.30%	-0.17%
ICE BofA Merrill Lynch 3-Month US Treasury Bill Index (reflects no deductions\nfor fees, expenses or taxes)	4.18%	3.61%

Portfolio Management

The\nfund's investment adviser is BNY Mellon ETF Investment Adviser, LLC, and the fund's sub-adviser is Dreyfus,\na division of MIC, which is an affiliate of the Adviser.

Stephen\nMurphy and Anthony Honko are the fund's primary portfolio managers. Each portfolio manager has been\na primary portfolio manager of the fund since its inception in August 2021. Mr. Murphy is Senior Vice\nPresident and Senior Portfolio Manager at MIC. Mr. Honko is a Vice President and Portfolio Manager at\nMIC. Each portfolio manager is jointly and primarily responsible for the day-to-day management of the\nfund's portfolio.

Purchase and Sale of Fund Shares

The fund issues (or redeems) fund shares to certain institutional investors known\nas \"Authorized Participants\" (typically market makers or other broker-dealers) only in large blocks of\nfund shares known as \"Creation Units\" principally in exchange for cash. However, the fund also reserves\nthe right to permit or require Creation Units to be issued in exchange for the deposit or delivery of\na portfolio of in-kind securities designated by the fund.

Individual\nfund shares may only be purchased and sold on the NYSE Arca, Inc., other national securities exchanges,\nelectronic crossing networks and other alternative trading systems through your broker-dealer at market\nprices. Because

fund shares trade at market prices rather than at net asset value, fund shares\nmay trade at a price greater than net asset value (premium) or less than net asset value (discount).\n When buying or selling shares in the secondary market, you may incur costs attributable to the difference\nbetween the highest price a buyer is willing to pay to purchase shares of the fund (bid) and the lowest\nprice a seller is willing to accept for shares of the fund (ask) (the \"bid-ask spread\"). Recent information\nregarding the fund's net asset value, market price, premiums and discounts, and bid-ask spreads is available\nat www.bny.com/investments.

Tax Information

The\nfund's distributions are taxable as ordinary income, qualified dividend income or capital gains, except\nwhen your investment is through an individual retirement account (\"IRA\"), retirement plan or other U.S.\ntax-advantaged investment plan (in which case you may be taxed upon withdrawal of your investment from\nsuch account).

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase fund shares through a broker-dealer or other financial intermediary\n(such as a bank), the Adviser or its affiliates may pay the financial intermediary for certain activities\nrelated to the fund, including educational training programs, conferences, the development of technology\nplatforms and reporting systems, or other services related to the sale or promotion of the fund. These\npayments may create a conflict of interest by influencing the broker-dealer or other intermediary and\nyour salesperson to recommend the fund over another investment. Ask your salesperson or visit your financial\nintermediary's website for more information.

Fund\nDetails

Goal and\nApproach

The fund seeks high current income consistent\nwith the maintenance of liquidity and low volatility of principal. The fund's investment objective may\nbe changed by the fund's board without shareholder approval. To pursue its goal, the fund normally invests\nat least 80% of its net assets in investment grade, U.S. dollar denominated fixed, variable, and floating\nrate debt or cash equivalents, including the following:

· Corporate securities;

· Asset-backed\nsecurities;

· Repurchase agreements;

· High\nquality money market instruments, such as commercial paper, certificates of deposit, time deposits and\nbankers' acceptances;

· U.S. Treasury securities;

· Securities\nissued or guaranteed by the U.S. government, its agencies or instrumentalities, or government-sponsored\nenterprises (U.S. government securities);

· Obligations issued or guaranteed by one or\nmore foreign governments or any of their political subdivisions or agencies;

· Securities\nissued by foreign corporations or a U.S. affiliate of a foreign corporation; and

· Securities\nsubject to purchase and sale restrictions that are offered pursuant to Rule 144A under the Securities\nAct of 1933, as amended.

The fund's\ninvestments are concentrated in the banking industry. In particular, the fund normally invests at least\n25% of its net assets in domestic or dollar-denominated foreign bank obligations.

The\nfund typically seeks to maintain an effective duration of one year or less, although, under certain market\nconditions, such as in periods of significant volatility in interest rates and spreads, the fund's duration\nmay be longer than one year. The fund does not have any restrictions on its average effective portfolio\nmaturity, or on the maturity or effective duration of the individual fixed-income securities the fund\nmay purchase. Duration is an indication of an investment's \"interest rate risk,\" or how sensitive a\nbond or the fund's portfolio may be to changes in interest rates. Generally, the longer a bond's duration,\nthe more likely it is to react to interest rate fluctuations and the greater its long-term risk/return\npotential. The change in the value of a fixed-income security or portfolio can be approximated by multiplying\nits duration by a change in interest rates. For example, the market price of a fixed-income security\nwith a duration of three years would be expected to decline 3% if interest rates rose 1%. Conversely,\nthe market price of the same security would be expected to increase 3% if interest rates fell 1%. The\nmaturity of a security measures the time until final payment is due. The fund may treat a security that\ncan be repurchased by its issuer on an earlier date (known as a \"call date\") as maturing on the call\ndate rather than on its stated maturity date.

The fund's portfolio, under\nnormal market conditions, will have an average credit rating of at least A or equivalent. The fund's\ninvestments, at the time of purchase, will have a minimum long-term credit rating of Baa3, BBB-, or BBB-\nby Moody's, S&P, or Fitch, respectively, or the equivalent by another NRSRO; or a short-term credit\nrating in the top tier (P-1, A-1 or F-1) or second tier (P-2, A-2 or F2) of rating categories for short-term\ninvestments by Moody's, S&P, or Fitch, respectively, or the equivalent by another NRSRO; or if such\ninvestments are unrated, deemed by the fund's sub-adviser, Dreyfus, an affiliate of the Adviser, to be\nof comparable quality. For purposes of calculating the fund's average credit rating, the fund uses the\nhighest long-term or short-term credit rating assigned to an investment. All investments that do not\nhave a long-term credit rating but are rated in the top tier short-term credit rating category are treated\nas having a long-term credit rating of AA and all investments that do not have a long-term credit rating\nbut are rated in the second tier short-term credit rating category are treated as having a long-term\ncredit rating of BBB. In a case when a security is or may be downgraded below investment grade, Dreyfus\nwill decide appropriate action such as an immediate sale of the security, sale at a later time, or hold\nto maturity. While the credit ratings for the asset backed-securities that\n

the fund may invest in will be investment grade, the assets underlying those asset-backed\nsecurities may include \"sub-prime\" assets, which are assets rated below investment grade and subject\nto additional risk.

The fund's sub-adviser seeks to achieve what\nit believes provides the optimal portfolio for the fund in terms of preservation of principal, liquidity\nand producing high current income. To do so, the sub-adviser uses a top-down and bottom-up investment\nprocess and leverages the breadth and depth of Dreyfus' research resources. The sub-adviser focuses\non preservation of principal and downside protection by proactively monitoring issuer and counterparty\nrisk and ensure appropriate portfolio liquidity through a combination of overnight investments and short-term,\nhighly liquid securities.

In selecting securities for\nthe fund's portfolio, the sub-adviser conducts broad top-down, macroeconomic analysis that focuses on\noverall positioning and asset allocation by identifying general global investment themes and risks with\nan emphasis on region, country, interest rate curve, duration and regulatory developments.

The\nsub-adviser uses a bottom-up approach based on proprietary research and its own broad perspective to\nmake overall sector, individual security, duration and yield curve positioning investment decisions.\n The sub-adviser attempts to identify those sectors they believe will outperform. The sub-adviser\nuses a number of valuation indicators and quantitative models to help establish fair market values for\nindividual bonds. Once the fair market value of a bond is estimated, the sub-adviser then assesses broad\nmarket factors that may impact the market price of a given security (e.g., expected future inflation,\nexpected economic growth, path of interest rates) to determine if and why the bond is over- or undervalued.\n The sub-adviser believes it is best able to capture the highest risk-adjusted returns from a security:\n1) when the sub-adviser can find a security that is undervalued, 2) where research indicates that the\nfund's portfolio should rebalance in favor of the security, and 3) when the consensus view towards the\nsecurity is at a bearish extreme. The sub-adviser manages the fund's duration\nand yield curve positioning based on the sub-adviser's expectations of\nfuture interest rates compared to current yield curves. Yield curves compare the interest rates of bonds\nthat have the same credit quality, but different maturities. When the sub-adviser thinks\nabout the term structure of interest rates, they generally consider: 1) inflation expectations, 2) growth\nexpectations, 3) central bank policy expectations and 4) other technical factors such as supply/demand.\n

The fund is not a money market fund and is\nnot subject to the special regulatory requirements (including maturity and credit quality constraints)\ndesigned to enable money market funds to maintain a stable share price. Accordingly, the fund does not\nseek to maintain a stable net asset value of $1.00 per share.

For temporary\ndefensive purposes, during adverse market conditions, any portion of the fund's total assets may be invested\nin cash, money market funds and cash equivalents. During periods when the fund invests for temporary\ndefensive purposes, its assets may not be concentrated in the banking industry. The fund's sub-adviser\nhas broad discretion to shift the fund's exposure to strategies and sectors based on changing market\nconditions and their view of the best mix of investment opportunities.

More\ninformation about the fund's portfolio securities and investment techniques, and associated risks, is\nprovided in the fund's Statement of Additional Information (SAI).

Investment Risks

An\ninvestment in\nthe fund is\nnot a bank deposit.\n It is\nnot insured\nor guaranteed by\nthe FDIC or\nany other government\nagency. It\nis not a\ncomplete investment\nprogram. The\nvalue of\nyour investment\nin the fund\nwill fluctuate, sometimes\ndramatically, which\nmeans you\ncould lose money.\n

The fund is subject to the following principal risks:

· Fixed-income\nmarket risk: The market value of a fixed-income security may decline due\nto general market conditions that are not specifically related to a particular company, such as real\nor perceived adverse economic conditions, changes in the outlook for corporate earnings, changes in interest\nor currency rates or adverse investor sentiment generally. The fixed-income securities market can be\nsusceptible to increases in volatility and decreases in liquidity. Liquidity can decline unpredictably\nin response to overall economic conditions or credit tightening. Increases in volatility and decreases\nin liquidity may be caused by a rise in interest rates (or the expectation of a rise in interest rates).\n During periods of reduced market liquidity, the fund may not be able to readily sell fixed-income securities\nat prices at or near their perceived value. If the fund needed to sell large blocks of fixed-income\nsecurities to meet redemption requests or to raise cash, those sales could further reduce the prices\nof such securities. Redemption requests from Authorized Participants, which may be triggered by market\nturmoil or an increase in interest rates, could cause the fund to sell certain of its holdings at a loss\nor at undesirable prices and adversely affect the fund's share price and increase the fund's liquidity\nrisk, fund expenses and/or taxable distributions. Economic and other market developments can adversely\naffect fixed-income securities markets. Regulations and business practices, for example, have led some\nfinancial intermediaries to curtail their capacity to engage in trading (i.e.,\n\"market making\") activities for certain fixed-income securities, which could have the potential to decrease\nliquidity and increase volatility in the fixed-income securities markets. Federal Reserve policy in\nresponse to market conditions, including with respect to interest rates, may adversely affect the value,\nvolatility and liquidity of dividend and interest paying securities. Policy and legislative changes\nworldwide are affecting many aspects of financial regulation. The impact of these changes on the markets,\nand the practical implications for market participants, may not be fully known for some time.

· Floating and variable rate securities risk:\n Floating and variable rate securities provide for a periodic adjustment in the interest rate paid on\nthe securities. The rate adjustment intervals may be regular and range from daily up to annually, or\nmay be based on an event, such as a change in the prime rate. Securities with floating or variable interest\nrates can be less sensitive to interest rate changes than securities with fixed interest rates, but may\ndecline in value if their coupon rates do not reset as high, or as quickly, as comparable market interest\nrates, and generally carry lower yields than fixed notes of the same maturity. Floating and variable\nrate securities may be subject to greater liquidity risk than other debt securities, meaning that there\nmay be limitations on the fund's ability to sell the securities at any given time. Such securities may\nalso lose value.

· Credit risk: Failure\nof an issuer of a security to make timely interest or principal payments when due, or a decline or perception\nof a decline in the credit quality of the security, can cause the security's price to fall, lowering\nthe value of the fund's investment in such security. The lower a security's credit rating, the greater\nthe chance that the issuer of the security will default or fail to meet its payment obligations.

· Call\nrisk: Some securities give the issuer the option to prepay or call the securities\nbefore their maturity date, which may reduce the market value of the security and the anticipated yield-to-maturity.\n Issuers often exercise this right when interest rates fall. If an issuer \"calls\" its securities during\na time of declining interest rates, the fund might have to reinvest the proceeds in an investment offering\na lower yield, and therefore might not benefit from any increase in

value as a result of declining interest\nrates. During periods of market illiquidity or rising interest rates, prices of \"callable\" issues are\nsubject to increased price fluctuation.

· Asset-backed securities risk: Asset-backed\nsecurities are subject to credit, prepayment and extension risk, and may be more volatile, less liquid\nand more difficult to price accurately than more traditional debt securities. General downturns in the\neconomy could cause the value of asset-backed securities to fall. Asset-backed\nsecurities are often subject to more\nrapid repayment than their stated maturity date would indicate as a result of the pass-through of prepayments\nof principal on the underlying loans. During periods of declining interest rates, prepayment of loans\nunderlying asset-backed securities can be expected to accelerate. Accordingly, the fund's ability to\nmaintain positions in such securities will be affected by reductions in the principal amount of such\nsecurities resulting from prepayments, and its ability to reinvest the returns of principal at comparable\nyields is subject to generally prevailing interest rates at that time. In addition, asset-backed securities\npresent certain risks that are not presented by mortgage-backed securities. Primarily, these securities\nmay provide the fund with a less effective security interest in the related collateral than do mortgage-backed\nsecurities. Therefore, there is the possibility that recoveries on the underlying collateral may not,\nin some cases, be available to support payments on these securities.

· Repurchase\nagreement counterparty risk: The fund is subject to the risk that a counterparty\nin a repurchase agreement and/or, for a tri-party repurchase agreement, the third party bank providing\npayment administration, collateral custody and management services for the transaction, could fail to\nhonor the terms of the agreement.

· Commercial paper risk: Commercial\npaper is a short-term obligation with a maturity generally ranging from one to 270 days and is issued\nby U.S. or foreign companies or other entities in order to finance their current operations. Such investments\nare unsecured and usually discounted from their value at maturity. The value of commercial paper may\nbe affected by changes in the credit rating or financial condition of the issuing entities and will tend\nto fall when interest rates rise and rise when interest rates fall.

· Certificates\nof deposit, time deposits and bankers' acceptances risk: The activities of banks,\nwhich are the primary issuers of certificates of deposit, time deposits and bankers' acceptances are\nsubject to comprehensive regulations. The enactment of new legislation or regulations, as well as changes\nin interpretation and enforcement of current laws, may affect the manner of operations and profitability\nof banks. Banks may be particularly susceptible to certain economic factors, such as interest rate changes\nand adverse developments in the real estate markets. Fiscal and monetary policy and general economic\ncycles can affect the availability and cost of funds, loan demand and asset quality and thereby impact\nthe earnings and financial conditions of banks.

· Government\nsecurities risk: Not all obligations of the U.S. government, its agencies\nand instrumentalities are backed by the full faith and credit of the U.S. Treasury. Some obligations\nare backed only by the credit of the issuing agency or instrumentality, and in some cases there may be\nsome risk of default by the issuer. Any guarantee by the U.S. government or its agencies or instrumentalities\nof a security held by the fund does not apply to the market value of such security or to shares of the\nfund itself. A security backed by the U.S. Treasury or the full faith and credit of the United States\nis guaranteed only as to the timely payment of interest and principal when held to maturity. In addition,\nbecause many types of U.S. government securities trade actively outside the United States, their prices\nmay rise and fall as changes in global economic conditions affect the demand for these securities. A\ndowngrade of the ratings of U.S. government securities, such as securities backed by the U.S. Treasury,\nwhich are often used as a benchmark for other borrowing arrangements, could result in higher interest\nrates for individual and corporate borrowers, cause disruptions in the international bond markets, have\na substantial negative effect on the U.S. economy, and/or cause the value of the fund's holdings in U.S.\ngovernment securities to decline.

· Foreign\ninvestment risk: To the extent the fund invests in foreign securities, the\nfund's performance will be influenced by political, social and economic factors affecting investments\nin foreign issuers. Special risks associated with investments in foreign issuers include exposure to\ncurrency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive\ncompany information, political and economic instability and differing auditing and legal standards.\nThe imposition of sanctions, confiscations, trade restrictions (including tariffs) and other government\nrestrictions by the United States and other governments, or problems related to share registration, trade\nsettlement, or asset custody, may result in losses for the fund. To the extent securities held by the\nfund trade in a market that is closed when the exchange on which the fund's shares trade is open, there\nmay be deviations between the current price of a security and the last quoted price for the security\nin the closed foreign market. These deviations could result in the fund experiencing premiums or discounts\ngreater than those of ETFs that invest in domestic securities.

· Foreign\ngovernment obligations, debt obligations of supranational entities and sovereign debt obligations risk:\n Investing in foreign government obligations, debt obligations of supranational entities and the sovereign\ndebt of foreign countries, including emerging market countries, creates exposure to the direct or indirect\nconsequences of political, social or economic changes in the countries that issue the securities or in\nwhich the issuers are located. The ability and willingness of sovereign obligors or the governmental\nauthorities that control repayment of their external debt to pay principal and interest on such debt\nwhen due may depend on general economic and political conditions within the relevant country. Certain\ncountries in which the fund may invest have historically experienced, and may continue to experience,\nhigh rates of inflation, high interest rates, exchange rate trade difficulties and extreme poverty and\nunemployment. Many of these countries also are characterized by political uncertainty or instability.\n Additional factors which may influence the ability or willingness of a foreign government or country\nto service debt include a country's cash flow situation, the availability of sufficient foreign exchange\non the date a payment is due, the relative size of its debt service burden to the economy as a whole\nand its government's policy towards the International Monetary Fund, the International Bank for Reconstruction\nand Development, the World Bank and other international agencies. The ability of a foreign sovereign\nobligor to make timely payments on its external debt obligations also will be strongly influenced by\nthe obligor's balance of payments, including export performance, its access to international credit and\ninvestments, fluctuations in interest rates and the extent of its foreign reserves. A governmental obligor\nmay default on its obligations. If such an event occurs, the fund may have limited legal recourse against\nthe issuer and/or guarantor. In some cases, remedies must be pursued in the courts of the defaulting\nparty itself, and the ability of the holder of foreign sovereign debt securities to obtain recourse may\nbe subject to the political climate in the relevant country. In addition, no assurance can be given\nthat the holders of commercial bank debt will not contest payments to the holders of other foreign sovereign\ndebt obligations in the event of default under their commercial bank loan agreements. Sovereign obligors\nare among the world's largest debtors to commercial banks, other governments, international financial\norganizations and other financial institutions. Certain of these obligors, in the past, have experienced\nsubstantial difficulties in servicing their external debt obligations, which led to defaults on certain\nobligations and the restructuring of certain indebtedness. Moreover, no established secondary markets\nmay exist for many of the sovereign debt obligations in which the fund may invest. Reduced secondary\nmarket liquidity may have an adverse effect on the market price and the fund's ability to dispose of\nparticular instruments when necessary to meet its liquidity requirements or in response to specific economic\nevents such as a deterioration in the creditworthiness of the issuer. Reduced secondary market liquidity\nfor certain sovereign debt obligations also may make it more difficult for the fund to obtain accurate\nmarket quotations for purposes of valuing its portfolio.

· Rule 144A securities risk: Rule\n144A securities are restricted securities that, while privately placed, are eligible for purchase and\nresale pursuant to Rule 144A by \"qualified institutional buyers,\" as defined under the Securities Act\nof 1933, as amended. The market for Rule 144A securities typically is less active than the market for\npublicly-traded securities. As such, investing in Rule 144A securities may reduce the liquidity of the\nfund's investments, and the fund may be unable to sell the security at the desired time or price, if\nat all. The purchase price and subsequent valuation of Rule 144A securities normally reflect a discount,\nwhich may be significant, from the market price of comparable unrestricted securities for which a liquid\ntrading market exists. A restricted security that was liquid at the time of purchase may subsequently\nbecome illiquid and its value may decline as a result. The sub-adviser will evaluate the liquidity of\nRule 144A securities prior to investing in such securities and monitor their liquidity thereafter. In\naddition, transaction costs may be higher for restricted securities than for more liquid securities.

· Management\nrisk: The investment process and techniques used by the fund's sub-adviser could fail\nto achieve the fund's investment goal, and may cause your fund investment to lose value or may cause\nthe fund to underperform other funds with similar investment goals.

· Cash\ntransaction risk: Most ETFs generally make in-kind redemptions to avoid being\ntaxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs,\nthe fund currently intends to effect redemptions for cash, rather than in-kind, because of the nature\nof the fund's investments. As such, the fund may be required to sell portfolio securities to obtain\nthe cash needed to distribute redemption proceeds, which may result in cash transaction costs. Therefore,\nthe fund may recognize a capital gain on these sales that might not have been incurred if the fund had\nmade a redemption in-kind. This may decrease the tax efficiency of the fund compared to ETFs that utilize\nan in-kind redemption process, and there may be a substantial difference in the after-tax rate of return\nbetween the fund and conventional ETFs.

· Market risk: The\nvalue of the securities in which the fund invests may be affected by political, regulatory, economic\nand social developments, and developments that impact specific economic sectors, industries or segments\nof the market. In addition, turbulence in financial markets and reduced liquidity in equity, credit\nand/or fixed-income markets may negatively affect many issuers, which could adversely affect the fund.\n Global economies and financial markets are becoming increasingly interconnected, and conditions and\nevents in one country, region or financial market may adversely impact issuers in a different country,\nregion or financial market. These risks may be magnified if certain events or developments adversely\ninterrupt the global supply chain; in these and other circumstances, such risks might affect companies\nworld-wide. Local, regional or global events such as war, military conflicts, acts of terrorism, natural\ndisasters, the spread of infectious illness or other public health issues, or other events could have\na significant impact on the fund and its investments. To the extent the fund may overweight its investments\nin certain countries, companies, industries or sectors, such positions will increase the fund's exposure\nto risk of loss from adverse developments affecting those countries, companies, industries or sectors.\n

· Fluctuation of net asset value, share premiums\nand discounts risk: The net asset value of fund shares will generally fluctuate\nwith changes in the market value of the fund's securities holdings. The market prices of fund shares\nwill generally fluctuate in accordance with changes in the fund's net asset value and supply and demand\nof fund shares on the exchange. It cannot be predicted whether fund shares will trade below, at or above\ntheir net asset value. Price differences may be due, in large part, to the fact that supply and demand\nforces at work in the secondary trading market for fund shares will be closely related to, but not identical\nto, the same forces influencing the prices of the securities of the underlying portfolio trading individually\nor in the aggregate at any point in time. The market prices of fund shares may deviate significantly\nfrom the net asset value of fund shares during periods of market volatility. However, given that fund\nshares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums\nto the net asset value of fund shares should not be sustained over long periods. While the creation/redemption\nfeature is designed to make it likely that fund shares normally will trade close to the fund's net asset\nvalue, disruptions to creations and redemptions or market volatility may result in trading prices that\ndiffer significantly from the fund's net asset value. If an investor purchases fund shares at a time\nwhen the market price is at a premium to the net asset value of fund shares or sells at a time when the\nmarket price is at a discount to the net asset value of fund shares, then the investor may sustain losses.

· Trading\nissues risk: Although fund shares are listed for trading on an exchange\nand may be listed or traded on other U.S. and non-U.S. stock exchanges as well, there can be no assurance\nthat an active trading market for such fund shares will develop or be maintained. Trading in fund shares\nmay be halted due to market conditions or for reasons that, in the view of the listing exchange, make\ntrading in fund shares inadvisable. In addition, trading in fund shares on an exchange is subject to\ntrading halts caused by extraordinary market volatility pursuant to exchange \"circuit breaker\" rules.\n Similar to the shares of operating companies listed on a stock exchange, fund shares may be sold short\nand are therefore subject to the risk of increased volatility in the trading price of the fund's shares.\n While the fund expects that the ability of Authorized Participants to create and redeem fund shares\nat net asset value should be effective in reducing any such volatility, there is no guarantee that it\nwill eliminate the volatility associated with such short sales. There can be no assurance that the requirements\nof the listing exchange necessary to maintain the listing of the fund will continue to be met or will\nremain unchanged or that fund shares will trade with any volume, or at all, on any stock exchange. Fund\nshares may be available for trading on an exchange during extended trading sessions, including before\nor after regular market trading (typically, 9:30 a.m. to 4:00 p.m. Eastern time). Buying and selling\nfund shares during extended trading sessions may involve heightened risks, including potentially lower\nliquidity, higher price volatility, wider bid-ask spreads, and prices that may not reflect the prices\nat which fund shares trade during

regular market hours. The ability to\ntrade fund shares on an exchange during extended trading sessions can be halted at any time. There can\nbe no guarantee that fund shares will be available for trading on an exchange during any extended trading\nsession.

· Non-money\nmarket fund risk: The fund is not a money market\nfund. The fund does not seek to maintain a stable net asset value of $1.00 per share. The fund's net\nasset value and market value will fluctuate every day and these fluctuations may be significant on certain\ndays. Also, the fund is not subject to the liquidity requirements and investment and credit quality\nrestrictions applicable to money market funds. There can be no guarantee that the fund will generate\nhigher returns than money market funds.

Non-Principal\nInvestment Risks. In addition to the principal risks described above, the\nfund is subject to the following additional risks that are not anticipated to be principal risks of investing\nin the fund:

· Liquidity risk: When\nthere is little or no active trading market for specific types of securities, it can become more difficult\nto sell the securities in a timely manner at or near their perceived value. In such a market, the value\nof such securities and the fund's share price may fall dramatically. Investments that are illiquid or\nthat trade in lower volumes may be more difficult to value. Investments in foreign securities, particularly\nthose of issuers located in emerging markets, tend to have greater exposure to liquidity risk than domestic\nsecurities. No active trading market may exist for some of the floating rate securities in which the\nfund invests and certain other securities may be subject to restrictions on resale. Because some floating\nrate securities that the fund invests in may have a more limited secondary market, liquidity risk is\nmore pronounced for the fund than for funds that invest primarily in other types of fixed-income instruments\nor equity securities. Additionally, other market developments can adversely affect fixed-income securities\nmarkets. Regulations and business practices, for example, have led some financial intermediaries to\ncurtail their capacity to engage in trading (i.e., \"market making\") activities for certain fixed-income\nsecurities, which could have the potential to decrease liquidity and increase volatility in the fixed-income\nsecurities markets. Increases in volatility and decreases in liquidity may be caused by a rise in interest\nrates (or the expectation of a rise in interest rates). Liquidity can decline unpredictably in response\nto overall economic conditions or credit tightening. In addition, in stressed market conditions the\nmarket for the fund's shares may become less liquid in response to deteriorating liquidity with respect\nto the fund's portfolio securities, which could lead to differences between the market price of the fund's\nshares and the net asset value of the fund's shares.

· Costs\nof buying and selling shares risk: Investors buying or selling fund shares in\nthe secondary market will pay brokerage commissions or other charges imposed by brokers, as determined\nby that broker. Brokerage commissions are often a fixed amount and may be a significant proportional\ncost for investors seeking to buy or sell relatively small amounts of fund shares. In addition, secondary\nmarket investors will also incur the cost of the difference between the price that an investor is willing\nto pay for fund shares (the \"bid\" price) and the price at which an investor is willing to sell fund shares\n(the \"ask\" price). This difference in bid and ask prices is often referred to as the \"spread\" or \"bid/ask\nspread.\" The bid/ask spread varies over time for fund shares based on trading volume and market liquidity,\nand is generally lower if fund shares have more trading volume and market liquidity and higher if fund\nshares have little trading volume and market liquidity. Further, increased market volatility may cause\nincreased bid/ask spreads. Due to the costs of buying or selling fund shares, including bid/ask spreads,\nfrequent trading of fund shares may significantly reduce investment results and an investment in fund\nshares may not be advisable for investors who anticipate regularly making small investments.

· Temporary\ninvestment risk: Under adverse market conditions, the fund may invest a significant\nportion or all of its assets in cash, money market funds and cash equivalents. Although the fund would\ndo this for temporary defensive purposes, it could reduce the benefit from any upswing in the market.\n During such periods, the fund's investments may not be consistent with its principal investment strategy,\nand the fund may not achieve its investment objective.

Management

Investment\nAdviser

The investment adviser for the fund is BNY Mellon\nETF Investment Adviser, LLC, located at 201 Washington Street, Boston,\nMassachusetts 02108. The Adviser serves as investment adviser to twenty-four funds, and, as of September\n30, 2026, oversees approximately $19.8 billion in assets. For the fiscal year ended June 30, 2026, the\nfund paid the Adviser a management fee at an annual rate of 0.12% of the value of the fund's average\ndaily net assets.

The fund's management agreement\nprovides that the Adviser will pay substantially all expenses of the fund, except for the management\nfees, payments under the fund's 12b-1 plan (if any), interest expenses, taxes, acquired fund fees and\nexpenses, brokerage commissions, costs of holding shareholder meetings, fees and expenses associated\nwith any securities lending program to be adopted by the fund, and litigation and potential litigation\nand other extraordinary expenses not incurred in the ordinary course of the fund's business.

The\nAdviser may from time to time voluntarily waive and/or reimburse fees or expenses in\norder to limit total annual fund operating expenses. Any such voluntary waiver or reimbursement may\nbe eliminated by the Adviser at any time. Effective October 30, 2026, the Adviser has contractually\nagreed, until at least October 31, 2027, to assume the direct expenses of the fund so that the fund's\ntotal annual operating expenses (including acquired fund fees and expenses (if any)) (excluding payments\nunder the fund's 12b-1 plan (if any), interest expenses, taxes, brokerage commissions, costs of holding\nshareholder meetings, fees and expenses associated with any securities lending program adopted by the\nfund, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary\ncourse of the fund's business) do not exceed 0.12% of the fund's average daily net assets. Prior to October\n31, 2027, this expense limitation agreement may only be terminated by the fund’s board. On or after\nOctober 31, 2027, the Adviser may terminate this expense limitation agreement at any time.

The Adviser is an investment adviser registered with the Securities and Exchange\nCommission (SEC) as such pursuant to the Investment Advisers Act of 1940, as amended. The Adviser is\nthe primary ETF business, and a wholly-owned subsidiary, of The Bank of New York Mellon Corporation (BNY),\na global investments company dedicated to helping its clients manage and service their financial assets\nthroughout the investment lifecycle. Whether providing financial services for institutions, corporations\nor individual investors, BNY delivers informed investment management and investment services in 35 countries.\n BNY is a leading investment management and investment services company, uniquely focused to help clients\nmanage and move their financial assets in the rapidly changing global marketplace. As of September 30,\n2026, BNY had $63.4 trillion in assets under custody and administration and $2.2 trillion in assets under\nmanagement. BNY is the corporate brand of The Bank of New York Mellon Corporation and may be used to\nreference the corporation as a whole and/or its various subsidiaries. BNY Investments is one of the\nworld's leading investment management organizations, and one of the top U.S. wealth managers, encompassing\nBNY's affiliated investment management firms, wealth management services and global distribution companies.\n Additional information is available at www.bny.com/investments.

The asset\nmanagement philosophy of the Adviser is based on the belief that\ndiscipline and consistency are important to investment success. For each fund in the trust, the Adviser\nseeks to establish clear guidelines for portfolio management and to be systematic\nin making decisions. This approach is designed to provide each fund with a distinct, stable identity.

Sub-Adviser

The Adviser has engaged its affiliate, Dreyfus, a division of MIC, a registered\ninvestment adviser and an indirect wholly-owned subsidiary of BNY with its principal office located at\n500 Ross Street, Pittsburgh, PA 15258, to serve as the fund's sub-adviser. The sub-adviser, subject\nto the Adviser's supervision and approval, provides investment advisory assistance and research and the\nday-to-day management of the fund's investments. As of September 30, 2026, MIC had aggregate assets\nunder management of approximately $1.04 trillion.

A discussion\nregarding the basis for the board's approval of the fund's advisory agreement with the Adviser and the\nsub-investment advisory agreement between the Adviser and the sub-adviser on behalf of the fund is available\nin the fund's Form N-CSR filing for the period ended June 30, 2026.

The Adviser\nhas obtained from the SEC an exemptive order, upon which the fund may rely, to use a manager of managers\napproach that permits the Adviser, subject to certain conditions and approval by the fund's board, to\nenter into and materially amend sub-investment advisory agreements with one or more sub-advisers who\nare either unaffiliated or affiliated with the Adviser without\nobtaining shareholder approval. The exemptive order also relieves the fund from disclosing the sub-investment\nadvisory fee paid by the Adviser to a sub-adviser in documents\nfiled with the SEC and provided to shareholders. The fund is required to disclose (as a dollar amount\nand a percentage of the fund's assets) (1) the aggregate fees paid to the Adviser and\nany wholly-owned sub-adviser and (2) the aggregate fees paid to affiliated (i.e., less than wholly-owned)\nand unaffiliated sub-advisers. The Adviser has ultimate responsibility (subject to oversight by

the fund's board) to supervise any sub-adviser and recommend\nthe hiring, termination, and replacement of any sub-adviser to the fund's board. The fund's board, including\na majority of the \"non-interested\" board members, must approve each new sub-adviser. In addition, the\nfund is required to provide shareholders with information about each new sub-adviser within 90 days of\nthe hiring of any new sub-adviser.

The Adviser or BNY Mellon\nSecurities Corporation (BNYSC), the fund’s distributor, may provide cash payments out of their own\nresources to financial intermediaries that sell shares of the fund or provide other services that facilitate\ninvestment in the fund. Such payments are separate from any 12b-1 fees and/or other expenses that may\nbe paid by the fund. Because those payments are not made by fund shareholders or the fund, the fund's\ntotal expense ratio will not be affected by any such payments. These payments may be made to financial\nintermediaries, including affiliates, that provide sub-administration and/or recordkeeping services,\nmarketing support and/or access to sales meetings, sales representatives and management representatives\nof the financial intermediary. Cash compensation also may be paid from the Adviser's or BNYSC's own\nresources to financial intermediaries that make shares of the fund available to their clients, develop\nnew products that feature the fund, create educational content about the fund, or otherwise promote the\nfund or include the fund on a sales list, including a preferred or select sales list or in other sales\nprograms. These payments sometimes are referred to as \"revenue sharing.\" From time to time, the Adviser\nor BNYSC also may provide cash or non-cash compensation to financial intermediaries or their representatives\nin the form of occasional gifts; occasional meals, tickets or other entertainment; support for due diligence\ntrips; educational conference sponsorships; support for recognition programs; technology or infrastructure\nsupport; and other forms of cash or non-cash compensation permissible under broker-dealer regulations.\n In some cases, these payments or compensation may create an incentive for a financial intermediary or\nits employees to recommend or sell shares of the fund to you. This potential conflict of interest may\nbe addressed by policies, procedures or practices that are adopted by the financial intermediary. As\nthere may be many different policies, procedures or practices adopted by different intermediaries to\naddress the manner in which compensation is earned through the sale of investments or the provision of\nrelated services, the compensation rates and other payment arrangements that may apply to a financial\nintermediary and its representatives may vary by intermediary. Please contact your financial representative\nfor details about any payments they or their firm may receive in connection with the sale of fund shares\nor the provision of services to the fund.

Portfolio Managers

Stephen\nMurphy and Anthony Honko are the fund's primary portfolio managers, positions they have held with the\nfund since the fund's inception in August 2021. Mr. Murphy is a Senior Vice President and Senior Portfolio\nManager at MIC, where he is responsible for managing a variety of high-grade multi-sector portfolios.\n He has been employed by MIC or a predecessor company of MIC since 1996. Mr. Honko is a Vice President\nand Portfolio Manager at MIC, where he is responsible for managing a variety of high-grade multi-sector\nportfolios. He has been employed by MIC or a predecessor company of MIC since 2007. Messrs. Murphy\nand Honko are jointly and primarily responsible for managing the fund's portfolio.

The\nfund's SAI provides additional portfolio manager information, including compensation, other accounts\nmanaged and ownership of fund shares.

Code of Ethics

The\nfund, the Adviser, the sub-adviser and BNYSC have each adopted a code of ethics that permits its personnel,\nsubject to such code, to invest in securities, including securities that may be purchased or held by\nthe fund. Each code of ethics restricts the personal securities transactions of employees, and requires\nportfolio managers and other investment personnel to comply with the code's preclearance and disclosure\nprocedures. The primary purpose of the respective codes is to ensure that personal trading by employees\nis done in a manner that does not disadvantage the fund or other client accounts.

Distributor\nand Distribution and Service Plan

BNYSC,\na wholly-owned subsidiary of BNY, serves as the fund's distributor. BNYSC does not distribute fund shares\nin less than creation units, nor does it maintain a secondary market in fund shares. BNYSC may enter\ninto selected agreements with other broker-dealers or other qualified financial institutions for the\nsale of creation units of fund shares. BNYSC also serves as distributor for other affiliated mutual\nfunds.

The board of trustees of the trust has adopted\na distribution and service plan (Plan) pursuant to Rule 12b-1 under the Investment Company Act of 1940,\nas amended (1940 Act), for the fund.

Under the Plan, the fund\nis authorized to pay fees in connection with the sale and distribution of its shares in an amount up\nto 0.25% of the fund's average daily net assets each year. No payments pursuant to the Plan will be\nmade through at least the next twelve (12) months of operation. Additionally, the implementation of\nany such payments would have to

be approved by the board prior to implementation. Because\nthese fees would be paid out of the fund's assets on an ongoing basis, if payments are made in the future,\nthese fees will increase the cost of your investment and will cost you more over time.

Additional\nInformation

Additional\nPurchase and Sale Information

Fund shares are listed\nfor secondary trading on the NYSE Arca, Inc. and individual fund shares may only be purchased and sold\nin the secondary market through a broker-dealer. The secondary markets are closed on weekends and also\nare generally closed on the following holidays: New Year's Day, Dr. Martin Luther King, Jr. Day, Presidents'\nDay, Good Friday, Memorial Day (observed), Juneteenth National Independence Day, Independence Day, Labor\nDay, Thanksgiving Day and Christmas Day. An exchange may close early on the business day before certain\nholidays and on the day after Thanksgiving Day. Exchange holiday schedules are subject to change without\nnotice. If you buy or sell fund shares in the secondary market, you will pay the secondary market price\nfor fund shares. In addition, you may incur customary brokerage commissions and charges and may pay\nsome or all of the spread between the bid and the offered price in the secondary market on each leg of\na round trip (purchase and sale) transaction.

The trading prices of fund\nshares will fluctuate continuously throughout trading hours based on market supply and demand rather\nthan the fund's net asset value, which is calculated at the end of each business day (normally 4:00 p.m.\nEastern time). Fund shares will trade on an exchange at market prices that may be above (i.e., at a\npremium) or below (i.e., at a discount), to varying degrees, the daily net asset value of fund shares.\n The trading prices of fund shares may deviate significantly from the fund's net asset value during periods\nof market volatility. Given, however, that fund shares can be issued and redeemed daily in Creation\nUnits, the Adviser believes that large discounts and premiums to net asset value should not be sustained\nover long periods. Each business day, the following information is available at www.bny.com/investments\nwith respect to the fund: (i) information for each portfolio holding that will form the basis of the\nnext calculation of the fund's net asset value per fund share; (ii) the fund's net asset value per fund\nshare, market price, and premium or discount, each as of the end of the prior business day; (iii) a table\nshowing the number of days the fund's shares traded at a premium or discount during the most recently\ncompleted calendar year and the most recently completed calendar quarter since that year; (iv) a line\ngraph showing fund share premiums or discounts for the most recently completed calendar year and the\nmost recently completed quarter since that year; (v) the fund's median bid-ask spread over the last thirty\ncalendar days; and (vi) if during the past year the fund's premium or discount was greater than 2% for\nmore than seven consecutive trading days, a statement that the fund's premium or discount, as applicable,\nwas greater than 2% and a discussion of the factors that are reasonably believed to have materially contributed\nto the premium or discount.

NYSE Arca, Inc. will disseminate, every fifteen\nseconds during the regular trading day, an indicative optimized portfolio value (IOPV) relating to the\nfund. The IOPV calculations are estimates of the value of the fund's net asset value per fund share.\n Premiums and discounts between the IOPV and the market price may occur. This should not be viewed as\na \"real-time\" update of the net asset value per fund share. The IOPV is based on the current market\nvalue of the published basket of portfolio securities and/or cash required to be deposited in exchange\nfor a Creation Unit and does not necessarily reflect the precise composition of the fund's actual portfolio\nat a particular point in time. Moreover, the IOPV is generally determined by using current market quotations\nand/or price quotations obtained from broker-dealers and other market intermediaries and valuations based\non current market rates. The IOPV may not be calculated in the same manner as the net asset value, which\n(i) is computed only once a day, (ii) unlike the calculation of the IOPV, takes into account fund expenses,\nand (iii) may be subject, in accordance with the requirements of the 1940 Act, to fair valuation at different\nprices than those used in the calculations of the IOPV. The IOPV price is based on quotes and closing\nprices from the securities' local market converted into U.S. dollars at the current currency rates and\nmay not reflect events that occur subsequent to the local market's close. Therefore, the IOPV may not\nreflect the best possible valuation of the fund's current portfolio. Neither the fund nor the Adviser\nor any of their affiliates are involved in, or responsible for, the calculation or dissemination of such\nIOPVs and make no warranty as to their accuracy.

The vast majority of trading\nin fund shares occurs on the secondary market and does not involve the fund directly. Fund shares may\nbe purchased and redeemed directly from the fund only in Creation Units by Authorized Participants, principally\nin exchange for cash. Cash purchases and/or redemptions of Creation Units can result in disruption of\nportfolio management, dilution to the fund and increased transaction costs, which could negatively impact\nthe fund's ability to achieve its investment objective, and may lead to the realization of capital gains.\n These consequences may increase as the frequency of cash purchases and redemptions of Creation Units\nby Authorized Participants increases. Because purchase and redemption transactions with Authorized Participants\nare an essential part of the ETF process and may help keep ETF trading prices in line with net asset\nvalue, the fund accommodates frequent purchases and redemptions by Authorized Participants and the board\nhas not adopted policies and procedures with respect to frequent purchases and redemptions of fund shares.\n To help mitigate the costs associated with cash transactions, the fund

imposes additional transaction fees on purchases and redemptions\nof Creation Units in cash. The fund reserves the right to not accept creation orders.

Portfolio\nHoldings Disclosure

The\nfund's portfolio\nholdings disclosure\npolicy is described\nin the SAI.\n In addition,\nthe identities and\nquantities of the\nsecurities held by\nthe fund are\ndisclosed on the\nfund's website,\nwww.bny.com/investments.

Distributions

\nEach fund shareholder is entitled to the shareholder's pro\nrata share of the fund's income and net realized gains on the fund's investments. The fund pays out\nsubstantially all of its net earnings to its shareholders as \"distributions.\"

The\nfund may earn income dividends from stocks, interest from debt securities and, if participating, securities\nlending income. These amounts, net of expenses and taxes (if applicable), are passed along to fund shareholders\nas \"income dividend distributions.\" The fund will generally realize short-term capital gains or losses\nwhenever it sells or exchanges assets held for one year or less. Net short-term capital gains will generally\nbe treated as ordinary income when distributed to shareholders. The fund will generally realize long-term\ncapital gains or losses whenever it sells or exchanges assets held for more than one year. Net capital\ngains (the excess of the fund's net long-term capital gains over its net short-term capital losses) are\ndistributed to shareholders as \"capital gain distributions.\"

Income\ndividend distributions, if any, for the fund are generally distributed to shareholders monthly, but may\nvary significantly from period to period. Net capital gains for the fund are distributed at least annually.\n Dividends may be declared and paid more frequently or at any other time to comply with the distribution\nrequirements of the Internal Revenue Code of 1986, as amended (the \"Code\").

If\nyou buy shares of the fund when the fund has realized but not yet distributed income or capital gains,\nyou will be \"buying a dividend\" by paying the full price for the shares and then receiving a portion\nback in the form of a taxable distribution.

Distributions in cash may\nbe reinvested automatically in additional whole fund shares only if the broker through whom you purchased\nfund shares makes such option available. Distributions which are reinvested will nevertheless be taxable\nto the same extent as if such distributions had not been reinvested (unless you are investing through\nan IRA, retirement plan or other U.S. tax-advantaged investment plan).

Additional\nTax Information

The following\ndiscussion is a summary of certain important U.S. federal income tax considerations generally applicable\nto an investment in the fund. The summary is based on current tax laws, which may be changed by legislative,\njudicial or administrative action. You should not consider this summary to be a comprehensive explanation\nof the tax treatment of the fund, or the tax consequences of an investment in the fund. An investment\nin the fund may have other tax implications. Please consult a tax advisor about the applicable federal,\nstate, local, foreign or other tax laws. Investors, including non-U.S. investors, may wish to consult\nthe SAI tax section for additional disclosure.

Tax Status\nof the Fund. The fund has elected and intends to qualify each year for\nthe special tax treatment afforded a regulated investment company (\"RIC\") under the Code. If the fund\nmaintains its qualification as a RIC and meets certain minimum distribution requirements, as a RIC it\nis not subject to tax at the fund level on income and gains from investments that are timely distributed\nto shareholders. However, if the fund fails to qualify as a RIC or to meet minimum distribution requirements,\nit would result in fund-level taxation if certain relief provisions were not available, and consequently\na reduction in income available for distribution to shareholders. Unless you are a tax-exempt entity\nor your investment in the fund's shares is made through a tax-deferred retirement account, such as an\nIRA, you need to be aware of the possible tax consequences when the fund makes distributions, you sell\nfund shares and you purchase or redeem Creation Units (Authorized Participants only).

Taxes\non Distributions. In general, distributions are subject to federal income\ntax when they are paid, whether the distributions are taken in cash or reinvested in the fund. Ordinary\ndividends, other than the portion reported by the fund as qualified dividend income, and short-term capital\ngain distributions received from the fund will be taxed as ordinary income. Subject to certain limitations,\ndividends that are reported by the fund as qualified dividend income are taxable to non-corporate shareholders\nat rates of up to 20%. Any distributions of the fund's net capital gains are taxable as long-term capital\ngain regardless of how long fund shares have been owned by an investor. Long-term capital gains are\ngenerally taxed to non-corporate shareholders at rates of up to 20%. Distributions in excess of the\nfund's current and accumulated earnings and profits are treated as a tax-free return of capital to the\nextent of the investor' basis in the fund's shares, and, in general, as capital gain thereafter.

In general, dividends may be reported by the fund as qualified\ndividend income if they are attributable to qualified dividend income received by the fund, which, in\ngeneral, includes dividend income from taxable U.S. corporations and certain foreign corporations (i.e.,\ncertain foreign corporations incorporated in a possession of the United States or in certain countries\nwith a comprehensive tax treaty with the United States, and certain other foreign corporations if the\nstock with respect to which the dividend is paid is readily tradable on an established securities market\nin the United States), provided that the fund satisfies certain holding period requirements in respect\nof the stock of such corporations and has not hedged its position in the stock in certain ways. A dividend\ngenerally will not be treated as qualified dividend income if the dividend is received with respect to\nany share of stock held by the fund for fewer than 61 days during the 121-day period beginning at the\ndate which is 60 days before the date on which such share becomes ex-dividend with respect to such dividend\nor, in the case of certain preferred stock, for fewer than 91 days during the 181-day period beginning\n90 days before such date. These holding period requirements will also apply to investor ownership of\nfund shares. Holding periods may be suspended for these purposes for stock that is hedged. Because\nthe fund's income consists primarily of interest income, the fund expects that it will not be able to\ndistribute dividends eligible to be treated as qualified dividend income. Additionally, income derived\nin connection with the fund's securities lending activities (if any) will not be treated as qualified\ndividend income.

U.S. individuals with income exceeding specified\nthresholds are subject to a 3.8% tax on all or a portion of their \"net investment income,\" which includes\ntaxable interest, dividends and certain capital gains (generally including capital gain distributions\nand capital gains realized upon the sale of fund shares). This 3.8% tax also applies to all or a portion\nof the undistributed net investment income of certain shareholders that are estates and trusts.

Corporate shareholders may be entitled to a dividends-received deduction for the\nportion of dividends they receive from the fund that are attributable to dividends received by the fund\nfrom U.S. corporations, subject to certain limitations. Because the fund's income consists primarily\nof interest income, the fund expects that it will not be able to distribute dividends eligible for the\ndividends-received deduction for corporations.

A RIC that receives business\ninterest income may pass through its net business interest income for purposes of the tax rules applicable\nto the interest expense limitations under Section 163(j) of the Code. A RIC's total \"Section 163(j) Interest\nDividend\" for a tax year is limited to the excess of the RIC's business interest income over the sum\nof its business interest expense and its other deductions properly allocable to its business interest\nincome. A RIC may, in its discretion, designate all or a portion of ordinary dividends as Section 163(j)\nInterest Dividends, which would allow the recipient shareholder to treat the designated portion of such\ndividends as interest income for purposes of determining such shareholder's interest expense deduction\nlimitation under Section 163(j). This can potentially increase the amount of a shareholder's interest\nexpense deductible under Section 163(j). In general, to be eligible to treat a Section 163(j) Interest\nDividend as interest income, you must have held your shares in the Fund for more than 180 days during\nthe 361-day period beginning on the date that is 180 days before the date on which the share becomes\nex-dividend with respect to such dividend. Section 163(j) Interest Dividends, if so designated by the\nFund, will be reported to your financial intermediary or otherwise in accordance with the requirements\nspecified by the Internal Revenue Service (\"IRS\").

In general,\nyour distributions are subject to federal income tax for the year in which they are paid. However, distributions\npaid in January, but declared by the fund in October, November or December of the previous year, payable\nto shareholders of record in such a month, may be taxable to an investor in the calendar year in which\nthey were declared. The fund will inform shareholders of the amount of any ordinary income dividends,\nqualified dividend income and capital gain distributions shortly after the close of each calendar year.\n

Distributions of capital gain and distributions of net investment\nincome received shortly after the purchase of shares reduce the net asset value of the fund's shares\nby the amount of the distribution. If you purchase shares just prior to a distribution, the purchase\nprice would reflect the amount of the upcoming distribution. In this case, you could be taxed on the\ndistribution even though, as an economic matter, the distribution represents a return of your investment.\n This is known as \"buying a dividend\" and generally should be avoided by taxable investors.

The fund (or your broker) will inform you of the amount of your ordinary income\ndividends, qualified dividend income, and net capital gain distributions shortly after the close of each\ncalendar year.

Complex Securities. The fund may invest in\ncomplex securities. These investments may be subject to numerous special and complex rules. These rules\ncould affect the fund's ability to qualify as a RIC, affect whether gains and losses recognized by the\nfund are treated as ordinary income or capital gain, accelerate the recognition of income to the fund\nand/or defer the fund's ability to recognize losses. In turn, these rules may affect the amount, timing\nor character of the income distributed to a shareholder by the fund. Additional information pertaining\nto the potential tax consequences to the fund, and to the shareholders, from the fund's potential investment\nin in complex securities can be found in the SAI. Please consult a personal tax advisor regarding the\napplication of these rules.

Foreign\nIncome Taxes. Investment income received by the fund from sources within\nforeign countries may be subject to foreign income taxes withheld at the source. The United States has\nentered into tax treaties with many foreign countries which may entitle the fund to a reduced rate of\nsuch taxes or exemption from taxes on such income. It is impossible to determine the effective rate\nof foreign tax for the fund in advance since the amount of the assets to be invested within various countries\nis not known. If more than 50% of the total assets of the fund at the close of its taxable year consist\nof certain foreign stocks or securities, the fund may elect to \"pass through\" to shareholders certain\nforeign income taxes (including withholding taxes) paid by the fund.

Taxes\non Share Sales. Each sale of shares of the fund will generally be a taxable\nevent. To the extent a shareholder holds fund shares as capital assets, any gain or loss realized upon\na sale of fund shares is generally treated as long-term capital gain or loss if fund shares have been\nheld for more than one year and as short-term capital gain or loss if fund shares have been held for\none year or less, except that any capital loss on the sale of fund shares held for six months or less\nis treated as long-term capital loss to the extent that capital gain dividends were paid with respect\nto such fund shares. Any loss realized on a sale will be disallowed to the extent shares of the fund\nare acquired, including through reinvestment of dividends, within a 61-day period beginning 30 days before\nand ending 30 days after the sale of such shares. The ability to deduct capital losses may be limited.\n

Taxes on Creations and Redemptions of Creation Units.\n An Authorized Participant who exchanges securities for Creation Units generally will recognize a gain\nor loss The gain or loss will be equal to the difference between (i) the market value of the Creation\nUnits received at the time and (ii) the sum of the Authorized Participant’s aggregate basis in the\nsecurities surrendered plus any cash paid for the Creation Units. An Authorized Participant who exchanges\nCreation Units for securities will generally recognize a gain or loss equal to the difference between\nthe aggregate market value of the securities and the amount of cash received, minus the Authorized Participant’s\nadjusted tax basis in the Creation Units redeemed. The IRS, however, may assert that a loss realized\nupon an exchange of securities for Creation Units cannot be deducted currently under the rules governing\n\"wash sales\" (for an Authorized Participant who does not mark-to-market its holdings), or on the basis\nthat there has been no significant change in economic position. Authorized Participants exchanging securities\nshould consult their own tax advisor with respect to whether wash sale rules apply and when a loss might\nbe deductible.

Any gain or loss realized\nupon a creation or redemption of Creation Units will be treated as capital or ordinary gain or loss,\ndepending on the holder's circumstances.

Any capital gain or loss realized\nupon a redemption (or creation) of Creation Units is generally treated as long-term capital gain or loss\nif the fund shares have been held for more than one year and as a short-term capital gain or loss if\nthe fund shares have been held for one year or less.

When creating\nor redeeming Creation Units, a confirmation statement showing the number of fund shares purchased or\nsold and at what price will be sent.

The trust, on behalf of the\nfund, has the right to reject an order for Creation Units if the purchaser (or a group of purchasers)\nwould, upon obtaining the fund shares so ordered, own 80% or more of the outstanding shares of the fund\nand if, pursuant to Section 351 of the Code, the fund would have a basis in the securities different\nfrom the market value of the securities on the date of deposit. The trust also has the right to require\ninformation necessary to determine beneficial share ownership for purposes of the 80% determination.\n If the trust does issue Creation Units to a purchaser (or a group of purchasers) that would, upon obtaining\nthe fund shares so ordered, own 80% or more of the outstanding shares of the fund, the purchaser (or\ngroup of purchasers) will not recognize gain or loss upon the exchange of securities for Creation Units.

If the fund redeems Creation Units in cash in addition to, or in place of, the\ndelivery of a basket of securities, it may bear additional costs and recognize more capital gains than\nit would if it redeems Creation Units in-kind.

Certain\nTax-Exempt Investors. The fund, if investing directly or indirectly in certain\nreal estate investment trusts (“REITs”), residual interests in real estate mortgage investment conduits\n(“REMICs”) or in entities that generate excess inclusion income through taxable mortgage pools, may\nbe required to pass through certain \"excess inclusion income\" and other income as \"unrelated business\ntaxable income\" (\"UBTI\"). Prior to investing in the fund, tax-exempt investors sensitive to UBTI should\nconsult their tax advisors regarding this issue and IRS pronouncements addressing the treatment of such\nincome in the hands of such investors. Certain tax-exempt educational institutions will be subject to\nan excise tax on net investment income. For these purposes, certain dividends and capital gain distributions,\nand certain gains from the disposition of fund shares (among other categories of income), are generally\ntaken into account in computing a shareholder's net investment income.

Non-U.S.\nInvestors. Ordinary income dividends paid by the fund to shareholders who are non-resident\naliens or foreign entities will generally be subject to a 30% U.S. withholding tax (other than distributions\nreported by the fund as interest-related dividends and short-term capital gain dividends), unless a lower\ntreaty rate applies or unless such income is

effectively connected with a U.S. trade or business. In general, the fund may\nreport interest-related dividends to the extent of its net income derived from U.S.-source interest,\nand the fund may report short-term capital gain dividends to the extent its net short-term capital gain\nfor the taxable year exceeds its net long-term capital loss. Gains on the sale of fund shares and dividends\nthat are, in each case, effectively connected with the conduct of a trade or business within the U.S.\nwill generally be subject to U.S. federal net income taxation at regular income tax rates.

Unless\ncertain non-U.S. entities that hold fund shares comply with IRS requirements that will generally require\nthem to report information regarding U.S. persons investing in, or holding accounts with, such entities,\na 30% withholding tax may apply to distributions payable to such entities. A non-U.S. shareholder may\nbe exempt from the withholding described in this paragraph under an applicable intergovernmental agreement\nbetween the U.S. and a foreign government, provided that the shareholder and the applicable foreign government\ncomply with the terms of such agreement.

Backup Withholding.\n The fund may be required to withhold at the 24% backup withholding rate (as “backup withholding”)\non certain reportable payments to a shareholder if (1) the shareholder fails to furnish a taxpayer identification\nnumber in the required manner, (2) the payor is notified that the taxpayer identification number furnished\nby the shareholder is incorrect or, with respect to reportable interest or dividend payments, (3) the\npayor is notified that the shareholder is subject to backup withholding because of underreporting of\ninterest or dividends, or (4) the shareholder fails to certify, when required, that the shareholder is\nnot subject to backup withholding. Backup withholding is not an additional tax. Rather, any amounts\nwithheld may be credited against your federal income tax liability, so long as you provide the required\ninformation or certification.

Certain Potential Tax Reporting\nRequirements. Under U.S. Treasury regulations, if a shareholder recognizes\na loss of $2 million or more for an individual shareholder or S corporation or $10 million or more for\na corporate shareholder (or certain greater amounts over a combination of years), the shareholder must\nfile with the IRS a disclosure statement on Form 8886. Direct shareholders of portfolio securities are\nin many cases excepted from this reporting requirement, but under current guidance shareholders of a\nRIC are not excepted. Significant penalties may be imposed for the failure to comply with the reporting\nrequirements. The fact that a loss is reportable under these regulations does not affect the legal determination\nof whether the taxpayer's treatment of the loss is proper. Shareholders should consult their tax advisors\nto determine the applicability of these regulations in light of their individual circumstances.

Other\nTax Issues. The fund may be subject to tax in certain states where\nthe fund does business (or is treated as doing business as a result of its investments). Furthermore,\nin those states which have income tax laws, the tax treatment of the fund and of fund shareholders with\nrespect to distributions by the fund may differ from federal tax treatment.

The\nforegoing discussion summarizes some of the consequences under current federal income tax law of an investment\nin the fund. It is not a substitute for personal tax advice. Consult a personal tax advisor about the\npotential tax consequences of an investment in the fund under all applicable tax laws.

More\ninformation with respect to taxes is in the SAI.

General Information

\nSection 12(d)(1) of the 1940 Act restricts investments by\ninvestment companies in the securities of other investment companies, including shares of the fund.\nHowever, Rule 12d1-4 permits registered investment companies to invest in the fund beyond the limits\nin Section 12(d)(1), subject to certain terms and conditions, including that such investment companies\nenter into an agreement with the trust.

Financial Highlights

The following financial\nhighlights table is intended to help you understand the fund's financial performance\nfor the fiscal periods indicated. Certain information\nreflects financial results for a single fund share. The total returns in the table represent the rate\nthat an investor would have earned (or lost) on an investment in the fund, assuming reinvestment of all\ndividends and distributions. This information has been derived from the financial statements audited\nby Ernst & Young LLP, an independent registered public accounting firm, whose report, along\nwith the fund's financial statements, are included in the fund's Form N-CSR, which is available free,\nupon request.


			Year Ended June 30,
	2026	2025	2024	2023	2022^a
Per Share Data ($):
Net\nasset value, beginning of period	49.88	49.59	49.16	48.97	50.00
Investment Operations:
Net investment\nincome^b	2.05	2.32	2.41	1.56	.17
Net realized and unrealized\ngain (loss) on investments	(.09)	.37	.36	.18	(.94)
Total from Investment Operations	1.96	2.69	2.77	1.74	(.77)
Distributions:
Dividends\nfrom net investment income	(2.09)	(2.41)	(2.34)	(1.55)	(.27)
Transaction fees^b	.01	.01	.00^c	.00^c	.01
Net asset value, end of\nperiod	49.76	49.88	49.59	49.16	48.97
Market value, end of period	49.76	49.88	49.58	49.15	48.96
Total Return (%)	4.03	5.58	5.76	3.64	(1.54)^d,e
Market Price Total Return\n(%)	4.03	5.61	5.77	3.62	(1.55)^d,e
Ratios/Supplemental\nData (%):
Ratio of total expenses\nto average net assets^f	.12	.12	.12	.12	.12^g
Ratio\nof net expenses to average net assets^f	.12^h	.12	.12	.12	.12^g
Ratio of net investment income to average net\nassets^f	4.12^h	4.68	4.90	3.19	.39^g
Portfolio\nTurnover Rateⁱ	13.55	15.39	42.44	20.55	43.10^e
Net Assets, end of period\n($ x 1,000)	574,675	234,413	74,384	29,498	26,931

^a\n From August 11, 2021 (commencement of operations) to June 30, 2022.

^b Based on average shares\noutstanding.

^c\n Amount represents less than $.01 per share.

^d\nThe net asset value total return and the market price total return is calculated\nfrom fund inception. The inception date is the first date the fund was available on NYSE Arca, Inc.

^e^\n Not annualized.

^fAmount\ndoes not include the expenses of the underlying funds.

^g\n Annualized.

^h\n Amount inclusive of reduction in expenses due to undertaking.

^i\n Portfolio turnover rate does not include securities received or delivered from\nprocessing creations or redemptions.

NOTES

For\nMore Information

BNY Mellon Ultra Short Income ETF

More\ninformation on the fund is available free upon request, including the following:

Annual/Semi-Annual\nReport and Financial Statements

The fund's annual and semi-annual\nreports describe the fund's performance and recent market conditions, economic trends and fund strategies\nthat significantly affected the fund's performance during the period covered by the report. The fund's\nForm N-CSR contains the fund's financial statements and lists the fund's portfolio holdings. The fund's\nmost recent annual and semi-annual reports and other information, such as the fund's financial statements,\nare available at www.bny.com/investments.

Statement of Additional\nInformation (SAI)

The SAI provides more details\nabout the fund and its policies. A current SAI is available at www.bny.com/investments and is on file\nwith the Securities and Exchange Commission (SEC). The SAI is incorporated by reference (and is legally\nconsidered part of this prospectus).

Portfolio Holdings

BNY Mellon\nETF Trust discloses, at www.bny.com/investments, the\nidentities and quantities of the securities held by the fund. A complete description of the fund's policies\nand procedures with respect to the disclosure of the fund's portfolio securities is available in the\nfund's SAI.

How to Request the SAI, the Fund's Annual and Semi-Annual Reports,\nand Other Information about the Fund, and to Make Shareholder Inquiries

By\ntelephone (toll-free). Call\n1-833-ETF-BNYM (383-2696) (inside the U.S. only)

By\nmail.

BNY Mellon\nETF Trust
240\nGreenwich Street
New\nYork, New\nYork 10286

On\nthe Internet.\nCertain fund documents can be viewed online or downloaded from www.bny.com/investments.\n

Reports and other information about the fund are available\non the EDGAR Database on the SEC's website at http://www.sec.gov,\nand copies of this information may be obtained, after paying a duplicating fee, by electronic request\nat the following e-mail address: publicinfo@sec.gov.

This prospectus does not constitute an offer or solicitation in any state or jurisdiction\nin which, or to any person to whom, such offering or solicitation may not lawfully be made.

No\nperson has been authorized to give any information or to make any representations other than those contained\nin this prospectus in connection with the offer of shares of the fund, and, if given or made, the information\nor representations must not be relied upon as having been authorized by the trust or the fund. Neither\nthe delivery of this prospectus nor any sale of shares of the fund shall under any circumstance imply\nthat the information contained herein is correct as of any date after the date of this prospectus.

Dealers effecting transactions in shares of the fund, whether or not participating\nin this distribution, are generally required to deliver a prospectus. This is in addition to any obligation\nof dealers to deliver a prospectus when acting as underwriters.

Investment\nCompany Act file number: 811-23477


© 2026 BNY Mellon Securities\nCorporation 4862P1026

STATEMENT OF ADDITIONAL INFORMATION

October 30, 2026

This\nStatement of Additional Information (\"SAI\"), which is not a prospectus, supplements and should be read\nin conjunction with the current prospectus dated October 30, 2026, of BNY Mellon Ultra Short Income ETF\n(the \"fund\"), a series of BNY Mellon ETF Trust (the \"Trust\"), as such prospectus may be revised from\ntime to time. To obtain a copy of the fund's prospectus, annual report or semi-annual report to shareholders,\nor Form N-CSR, please call your financial adviser, or write to the fund at 240 Greenwich Street, New\nYork, New York 10286, visit at www.bny.com/investments, or call 1-833-ETF-BNYM (383-2696) (inside the\nU.S. only).

The\nmost recent annual report and semi-annual report to shareholders and Form N-CSR for the fund are separate\ndocuments, and the financial statements, accompanying notes and reports of the independent registered\npublic accounting firm appearing in the Form N-CSR are incorporated by reference into this SAI and can\nbe accessed by clicking here.\nCapitalized but undefined terms used in this SAI are defined in the Glossary at the end of this SAI.

The\nfund's Principal U.S. Listing Exchange: NYSE Arca, Inc.

The fund's Ticker: BKUI


4862-SAI-1026

TABLE OF CONTENTS

PART I


BOARD\nINFORMATION	I-1
Information About Each Board Member's Experience, Qualifications,\nAttributes or Skills	I-1
Committee Meetings	I-5
Board Members' Fund Share Ownership	I-6
Board Members' Compensation	I-6
OFFICERS	I-6
CERTAIN PORTFOLIO MANAGER INFORMATION	I-9
ADVISER'S\nAND SUB-ADVISER'S COMPENSATION; COMPLIANCE SERVICES	I-11
Adviser's Compensation	I-11
Sub-Adviser's Compensation	I-11
Compliance Services	I-11
SECURITIES\nLENDING ACTIVITIES	I-11
OFFERING PRICE	I-13
CONTINUOUS OFFERING	I-13
EXCHANGE LISTING AND TRADING	I-14
BOOK ENTRY ONLY SYSTEM	I-15
SECURITIES OF REGULAR BROKERS OR DEALERS	I-16
COMMISSIONS	I-16
PORTFOLIO\nTURNOVER VARIATION	I-16
SHARE OWNERSHIP	I-17

PART\nII


PURCHASE AND REDEMPTION OF CREATION UNITS	II-1
INVESTMENTS,\nINVESTMENT TECHNIQUES AND RISKS	II-7
INVESTMENT RESTRICTIONS	II-8
Fundamental Policies	II-8
Nonfundamental Policies	II-10
Investment Objective	II-10
Funds-of-Funds	II-10
INFORMATION ABOUT THE FUNDS' ORGANIZATION AND STRUCTURE	II-10
CERTAIN\nEXPENSE ARRANGEMENT	II-10
COUNSEL AND INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	II-10

PART III


ADDITIONAL INFORMATION ABOUT BUYING AND SELLING\nSHARES	III-1
Frequent Purchases and Exchanges	III-1
INFORMATION\nABOUT SHAREHOLDER SERVICES	III-1
INFORMATION ABOUT DISTRIBUTION AND SERVICE PLANS	III-1


ADDITIONAL INFORMATION ABOUT INVESTMENTS,\nINVESTMENT TECHNIQUES AND RISKS	III-2
Fixed-Income Securities	III-2
U.S. Government Securities	III-3
Corporate Debt Securities	III-4
Ratings of Securities, Unrated Securities	III-4
High Yield and Lower-Rated Securities	III-4
Inflation-Indexed Securities	III-5
Zero Coupon, Pay-In-Kind and Step-Up Securities	III-6
Variable and Floating Rate Securities	III-7
Variable Rate Demand Notes	III-7
Floating and Inverse Floating Rate Debt\nInstruments	III-7
Mortgage-Backed Securities	III-7
Residential Mortgage-Backed Securities	III-8
Asset-Backed Securities	III-12
Collateralized Debt Obligations	III-12
Municipal Securities	III-12
Money Market Instruments	III-20
Bank Obligations	III-20
Repurchase Agreements	III-21
Commercial Paper	III-21
Foreign Securities	III-22
Emerging Markets	III-23
Sovereign Debt Obligations	III-24
Sovereign Debt Obligations of Emerging Market Countries	III-24
Brady Bonds	III-25
Eurodollar and Yankee Dollar Investments	III-25
Investment Companies	III-25
Exchange-Traded Funds and Similar Exchange-Traded\nProducts	III-26
Derivatives	III-26
Risks	III-27
CPO Exemption	III-28
Specific Types of Derivatives	III-29
Lending Portfolio Securities	III-32
Borrowing Money	III-32
Forward Commitments	III-32
Forward Roll Transactions	III-33
Illiquid Investments	III-33
Section 4(a)(2) Paper and Rule 144A Securities	III-34
Diversification Status	III-34
Cybersecurity Risk	III-34
Recent Market and Economic Developments	III-34
RATING\nCATEGORIES	III-35
S&P	III-35
Long-Term Issue Credit Ratings	III-35
Municipal Short-Term Note Ratings Definitions	III-37
Moody's	III-37
Long-Term Obligation Ratings and Definitions	III-37
Short-Term Ratings	III-38
U.S. Municipal Short-Term Debt and Demand\nObligation Ratings	III-38
Demand Obligation Ratings	III-38
Fitch	III-39
Corporate Finance Obligations – Long-Term\nRating Scales	III-39
Structured, Project & Public Finance\nObligations – Long-Term Rating Scales	III-40
Short-Term Ratings Assigned to Issuers\nand Obligations	III-40
Morningstar DBRS	III-41


Long Term Obligations	III-41
Commercial Paper and Short Term Debt	III-42
ADDITOINAL\nINFORMATION ABOUT THE BOARD	III-42
Board Oversight Role in Management	III-42
Board Composition and Leadership Structure	III-43
Additional Information About the Board and its Committees	III-43
MANAGEMENT\nARRANGEMENTS	III-43
The Adviser	III-43
Sub-Adviser	III-44
Portfolio Managers and Portfolio Manager\nCompensation	III-44
MIC	III-44
Certain Conflicts of Interest with Other\nAccounts	III-45
Code of Ethics	III-46
Distributor	III-46
Service Agents	III-46
Transfer Agent, Custodian, and Administrator	III-47
Annual Anti-Money Laundering Program Review	III-47
Fund's Compliance Policies and Procedures	III-47
Combined Prospectuses	III-47
Escheatment	III-48
DETERMINATION OF NAV	III-48
Valuation of Portfolio Securities	III-48
Calculation of NAV	III-49
Expense Allocations	III-49
Exchange and Transfer Agent Closings	III-49
ADDITIONAL\nINFORMATION ABOUT DIVIDENDS AND DISTRIBUTIONS	III-49
CERTAIN MATERIAL U.S. FEDERAL INCOME TAX\nCONSIDERSATIONS	III-50
Taxation of the Fund	III-50
Taxation of Shareholders - Distributions	III-52
Taxation of Shareholders – Sale of Shares	III-54
Cost Basis Reporting	III-54
Taxation of Fund Investments	III-54
Foreign Taxes	III-56
Tax-Exempt Shareholders	III-56
Foreign Shareholders	III-57
Backup Withholding	III-57
Creation Units	III-58
State Tax Matters	III-58
PORTFOLIO\nTRANSACTIONS	III-59
Trading the Fund's Portfolio Securities	III-59
Soft Dollars	III-61
DISCLOSURE OF PORTFOLIO HOLDINGS	III-61
Policy on Disclosure of Portfolio Holdings	III-61
SUMMARY\nOF THE PROXY VOTING POLICY AND PROCEDURES	III-61
Proxy Voting Operations	III-61
Policies and Procedures; Oversight	III-62
Review of Proxy Voting	III-62
Availability of Fund Proxy Voting Records	III-62
Voting Shares of Certain Registered Investment Companies	III-62
Voting Proxies of Designated BHCs	III-62
Material Conflicts of Interest	III-63


BNY Proxy Conflicts\nPolicy	III-63
ADDITIONAL INFORMATION ABOUT THE FUND'S STRUCTURE; FUND SHARES\nAND VOTING RIGHTS; SHAREHOLDER ACTIONS	III-63
Massachusetts Business Trusts	III-63
Fund Shares and Voting Rights	III-64
Shareholder Actions	III-64
LOCAL\nMARKET HOLIDAY SCHEDULES	III-65
FINANCIAL STATEMENTS	III-65
GLOSSARY	III-65
APPENDIX A: PROXY VOTING POLICIES AND PROCEDURES OF THE FIRM\nDELEGATED FUND PROXY VOTING AUTHORITY	1

PART I

BOARD INFORMATION

Information About\nEach Board Member's Experience, Qualifications, Attributes or Skills

Board\nmembers for the fund, together with information as to their positions with the fund, principal occupations\nand other board memberships during the past five years, are shown below. All of the board members are\nIndependent Board Members. The address of each board member is 240 Greenwich Street, New York, New York\n10286.


Name\n(Age) Position	Year Joining the Board	Principal Occupation During Past 5 Years	Number of Investment Companies in\nFund Complex2\n Overseen by\nTrustee	Other Public Company\nBoard Memberships During\nPast 5 Years
J.\nCharles Cardona\n(70) Chairman of the Board1	2020	BNY Mellon\nFamily of Funds, Interested\nDirector (2014 – 2018), Independent Director (since 2019);\n BNY Mellon Liquidity Funds,\nDirector\n(2004 – 2024)\nand Chairman (2019 – 2021).	46	N/A
Kristen M. Dickey\n(57) Board Member1	2020	Lead non-executive\ndirector for Aperture\nInvestors, LLC, an investment\nmanagement firm (since\n2018);\nIndependent board director of Marstone, Inc., a financial technology company (2018 - 2026); Partner for\nAquarian Holdings (2024 - 2025).	24	N/A

I-1


Name\n(Age) Position	Year Joining the Board	Principal Occupation During Past 5 Years	Number of Investment Companies in\nFund Complex2\n Overseen by\nTrustee	Other Public Company\nBoard Memberships During\nPast 5 Years
F. Jack Liebau, Jr.\n(62) Board Member1	2020	Corporate\ndirector (since 2015); Managing Director at Beach Investment Counsel, a financial advisory firm (2020 – 2024).	24	Myers Industries, an industrial company, Director (since 2015)\nand Chairman\nof the Board (since 2016); STRATTEC Security\nCorp., an automotive power and security solutions company, Director (since 2023) and Chairman\nof the Board (since 2024); and Motorcar Parts of America, an automotive parts company, Director\n(2024-2025).
Jill I.\nMavro\n(54) Board Member¹	2020	Founder\nand President of Spoondrift Advisory, LLC, an investment management consulting company (since 2018);\nManaging Director at Transaction Strategies, LLC (formerly CapWGlobal, LLC), a financial technology consulting\ncompany (2020 – 2025).	24	GoldenTree Opportunistic\nCredit Fund, Trustee (since 2025); and Investment Managers Series Trust, Trustee\n(since 2025).

I-2


Name\n(Age) Position	Year Joining the Board	Principal Occupation During Past 5 Years	Number of Investment Companies in\nFund Complex2\n Overseen by\nTrustee	Other Public Company\nBoard Memberships During\nPast 5 Years
Kevin\nW. Quinn (67) Board Member¹	2020	Partner at PricewaterhouseCoopers, LLC (until 2019).	24	N/A
Stacy\nL. Schaus (66) Board Member¹	2020	Chief Executive Officer of the Schaus Group LLC, a consulting firm (since 2019);\nAdvisory board member of A&P Capital, a consulting firm (2019 – 2021).	24	N/A

¹ Serves on the board's audit committee\nand nominating committee.

² Represents the number of separate portfolios\ncomprising the investment companies in the \"Fund Complex,\" including the fund, for which the board member\nserved as of the date of this SAI. \"Fund complex\" comprises registered investment companies for which\nthe Adviser or an affiliate of the Adviser serves as investment adviser.

Additional\ninformation about each board member follows (supplementing the information provided in the table above)\nthat describes some of the specific experiences, qualifications, attributes or skills that each board\nmember possesses which the board believes has prepared them to be effective board members. The board\nbelieves that the significance of each board member's experience, qualifications, attributes or skills\nis an individual matter (meaning that experience that is important for one board member may not have\nthe same value for another) and that these factors are best evaluated at the board level, with no single\nboard member, or particular factor, being indicative of board effectiveness. However, the board believes\nthat board members need to have the ability to critically review,

I-3

evaluate, question and discuss information provided to them, and to interact effectively\nwith fund management, service providers and counsel, in order to exercise effective business judgment\nin the performance of their duties; the board believes that its members satisfy this standard. Experience\nrelevant to having this ability may be achieved through a board member's educational background; business,\nprofessional training or practice (e.g., medicine, accounting or law), public service or academic positions;\nexperience from service as a board member or as an executive of investment funds, public companies or\nsignificant private or not-for-profit entities or other organizations; and/or other life experiences.

J.\nCharles Cardona – Mr. Cardona has served as the Chairman of the Board for the funds in the\nBNY Mellon ETF Trust since 2020 and the funds in the BNY Mellon ETF Trust II since 2024. He currently\nalso serves as an independent board member for certain funds in the BNY Mellon Family of Funds. Mr.\nCardona was the President and a Director of The Dreyfus Corporation, the predecessor company of BNY Mellon\nInvestment Adviser, Inc., and the Chief Executive Officer of Cash Investment Strategies, a division of\nDreyfus Corp., until he retired in 2016. From 2013 to 2016, Mr. Cardona served as Chairman of MBSC Securities\nCorporation, a predecessor firm to the Distributor, and he previously served as an Executive Vice President\nfrom 1997 to 2013. He also served as President of the Institutional Services Division of MBSC Securities\nCorporation. He joined the Institutional Services Division in 1985 with management responsibility for\nall Institutional Operations and Client Service units. Prior to joining the Institutional Services Division,\nhe served as Assistant Director of Sales and Services in the Dreyfus Retail Division of MBSC Securities\nCorporation (formerly, Dreyfus Service Corporation), which he joined in 1981.

Kristen M. Dickey –\nMs.\nDickey has served as an Independent Board Member for the funds in the BNY Mellon ETF Trust since 2020\nand the funds in the BNY Mellon ETF Trust II since 2024. Ms. Dickey's career spans over 20 years of experience in the investment management industry, before her retirement in 2017. She served in various roles at BlackRock, Inc. over the course of her career, including as Managing Director—Global\nHead\nof\nIndex\nStrategy\nfrom\n2014\nto\n2017,\nManaging\nDirector—Head\nof\nCorporate\nInvestor\nRelations\nfrom\n2012\nto\n2014\nand\nManaging\nDirector—Global\nHead\nof\nFinancial\nInstitutions\nGroup\nfrom\n1996\nto\n2011.\n Ms. Dickey has served as a consultant for Alliance Bernstein since 2026 and served as a Partner for\nAquarian Holdings from 2024 to 2025. Ms. Dickey has served as the lead non-executive director for Aperture Investors, LLC, an investment management firm, since 2018. She also served as an independent board director of Marstone, Inc., a financial technology company from 2018 to 2026, and as\na non-executive director of AIMIA, Inc. from 2022 to 2023. Ms. Dickey has served as a trustee for the New York City park nonprofits Friends of the High Line from 2006, where she is also the head of the investment committee, and served as a trustee\nof the\nBattery\nConservancy\nfrom\n2011 to 2022, where she was also the treasurer. She served as an advisory board member for the nonprofits Girls Who Invest from 2018 to 2024 and\nthe\nCouncil\nfor\nEconomic\nEducation\nfrom\n2017\nto 2024.

F. Jack Liebau, Jr. – Mr. Liebau has served\nas an Independent Board Member for the funds in the BNY Mellon ETF Trust since 2020 and the funds in\nthe BNY Mellon ETF Trust II since 2024. Mr. Liebau has over 30 years of experience in the investment management industry. He has served in various roles over the course of his career, including as a partner, portfolio manager and head of compliance at Primecap Management Co. from 1986 to 2003, president, portfolio manager and head of compliance at Liebau Asset Management from 2003 to 2011, portfolio manager and partner at Davis Advisors from 2011 to 2013, President and Chief Executive Officer at Roundwood Asset Management from 2013 to 2015, Managing Director at\nBeach Investment Counsel from 2020 to 2024, and a private investor and corporate director since 2015. Mr. Liebau has served as a board member of numerous organizations, including as a director of media company Media General from 2008 to 2009, a director of defense firm Herley Industries from 2010 to 2011, a corporate director of automotive aftermarket retailer\nPep\nBoys\nfrom\n2015\nto\n2016,\na\ndirector\nof\nindustrial\ncompany\nMyers\nIndustries\nsince\n2015\nand\nthe\nChairman\nof\nthe\nBoard\nof Myers Industries since 2016, the Non-Executive Chairman of the Board of information technology and investigations firm Special Investigations Limited Company from 2017 to 2024,\nan\nindependent\ndirector\nof\nMuxIP (formerly S3 Software), an unlisted software company serving media companies, since 2020, a director of automotive\npower and security solutions company STRATTEC Security Corp. since 2023 and the Chairman of the Board\nof STRATTEC Security Corp. since 2024, and a director of automotive parts company Motorcar Parts of America\nfrom 2024 to 2025.

Jill I. Mavro – Ms. Mavro has served as an Independent\nBoard Member for the funds in the BNY Mellon ETF Trust since 2020 and the funds in the BNY Mellon ETF\nTrust II since 2024. She brings over 30 years of

I-4

experience in the asset management industry, having held a variety of leadership\nroles throughout her career. From 1995 to 2018, Ms. Mavro was with State Street Global Advisors\n(SSGA), where she initially worked in the asset servicing division from 1995 to 1997 before transitioning\nto the asset management division from 1997 to 2018. She also served on the SPDR Executive Committee\nat SSGA from 2014 to 2018. During her tenure, she held several senior positions, ultimately serving\nas Senior Managing Director, responsible for developing and managing strategic relationships with the\nfirm's largest clients. Ms. Mavro is currently President and Founder of Spoondrift Advisory, LLC, an\ninvestment management consulting firm, since 2018. She also currently serves as an independent trustee\nfor GoldenTree Opportunistic Credit Fund and Investment Managers Series Trust, each since 2025. From\n2020 to 2025, she was a Managing Director at Transaction Strategies, LLC (formerly CapWGlobal, LLC).\n Her board service includes past and present roles with several organizations: Sectoral Asset Management\nfrom 2013 to 2015, Women in ETFs, Inc. since 2013, and the Overseers Board of Beth Israel Deaconess Medical\nCenter since 2014.

Kevin W. Quinn – Mr. Quinn has served as an Independent\nBoard Member for the funds in the BNY Mellon ETF Trust since 2020 and the funds in the BNY Mellon ETF\nTrust II since 2024. Mr. Quinn gained over 35 years of experience in the audit, tax and accounting field\nbefore his retirement in 2019. He served as a partner at PricewaterhouseCoopers, LLC from 1997 to 2019.\n He is a Certified Public Accountant and holds the Chartered Financial Analyst designation from the CFA\nInstitute. Mr. Quinn has also served as trustee as part of the Catholic Charities – Archdiocese\nof Boston, MA from 2001 to 2013, Mutual Funds Against Cancer from 2003 to 2008 and INROADS, an organization\nthat seeks to promote ethnic and racial diversity in the corporate workplace, from 1997 to 2000.

Stacy\nL. Schaus – Ms. Schaus has served as\nan Independent Board Member for the funds in the BNY Mellon ETF Trust since 2020 and the funds in the\nBNY Mellon ETF Trust II since 2024. Ms. Schaus has over 37 years of experience in the financial and investment management industries. She served as a vice president at Merrill Lynch Capital Markets from 1981 to 1989, as the founder and Chief Executive Officer/Chief Operating Officer of Hewitt Financial Services, a registered investment adviser and brokerage, from 1992 to 2006, as the President of the Hewitt Series Trust from 1992 to 2006, as Executive Vice President—Defined\nContribution\nPractice\nFounder\nat\nPIMCO\nInvestment\nManagement\nfrom\n2006\nto\n2018,\nand\nhas\nserved\nas\nthe\nfounder\nand\nChief\nExecutive\nOfficer\nof\nthe\nSchaus\nGroup\nLLC,\na\nconsulting\nfirm,\nsince\n2019.\n Ms.\nSchaus\nhas\nserved\nas\na\nboard\nmember\nof\nseveral\norganizations,\nincluding\nas\na\nboard\nmember\nof\nthe\nnonprofit\nFinancial\nPlanning\nAssociation\nfrom\n2005\nto\n2007,\nthe\nfounder\nand\nchairwoman\nof\nthe\nnonprofit\nDefined\nContribution\nInstitutional\nInvestment\nAssociation\nfrom\n2010\nto\n2012\nand\nthe\nchairwoman\n(from 2018 to 2020) and executive committee member (from 2018 to 2021) of the nonprofit Employee Benefit Research Institute. She has served as a member of the financial technology committee of the nonprofit Society of Actuaries since 2019 and\nas\nan\nadvisory\nboard\nmember\nof\nA&P\nCapital,\na\nconsulting\nfirm,\nfrom\n2019\nuntil 2021.

Committee Meetings

The\nboard\nhas\nthe\nfollowing\nstanding\ncommittees:\naudit\ncommittee\nand\nnominating\ncommittee.\nThe\nBoard's audit and nominating committees met during the year ended June 30, 2026 as indicated below:\n


Fund	Audit	Nominating
BKUI	4	0

I-5

\nBoard Members' Fund Share Ownership

The table below indicates\nthe dollar range of each board member's ownership of fund shares, in each case as of December 31, 2025.


Fund	J. Charles Cardona	Kristen\nM. Dickey	F.\nJack Liebau	Jill\nI. Mavro	Kevin\nW. Quinn	Stacy\nL. Schaus

BKUI	None	None	None	None	None	None
Aggregate\nholdings of funds in the Trust	None	None	$50,001\n- $100,000	Over\n$100,000	$10,001\n- $50,000	Over\n$100,000

As of December 31, 2025,\nnone\nof\nthe\nindependent\nboard\nmembers\nor\ntheir\nimmediate\nfamily\nmembers\nowned\nsecurities\nof\nthe\nAdviser,\nthe Sub-Adviser, the Distributor or any person (other than a registered investment company) directly or indirectly controlling, controlled by or under common control with the Adviser, the Sub-Adviser,\nor\nthe\nDistributor.

\nBoard Members' Compensation

The Independent Board Members are not compensated directly by the fund. The Independent Board Members are paid by the Adviser from the unitary management fee paid to the Adviser by the fund. The Independent Board Members are also reimbursed for their covered expenses. For the fiscal year\nended June 30, 2026, the Adviser paid the Independent Board Members the following:


Name of\nIndependent Board\nMember\n	Aggregate Compensation from the Trust	Pension of Retirement Benefits Accrued as Part\nof\nTrust\nExpenses\n	Estimated\nAnnual Benefits\nUpon Retirement\n	Total\nCompensation\nFrom the Fund and Fund\nComplex Paid to\nIndependent Board Members(1)
J.\nCharles Cardona	$82,878	N/A	N/A	$438,875
Kristen M. Dickey	$66,302	N/A	N/A	$127,500
F. Jack Liebau, Jr.	$66,302	N/A	N/A	$127,500
Jill I. Mavro	$66,302	N/A	N/A	$127,500
Kevin W. Quinn	$76,339	N/A	N/A	$146,625
Stacy L. Schaus	$66,302	N/A	N/A	$127,500

⁽¹⁾ Represents\nthe total compensation from all investment companies in the fund complex, including the fund, for which\nthe board member served as of the date of this SAI. \"Fund complex\" comprises registered investment companies\nfor which the Adviser or an affiliate of the Adviser serves as investment adviser.

OFFICERS


Name Year\nof Birth Position	Principal Occupation During Past 5 Years	Number of Investment Companies (and Portfolios)\nin the Fund Complex¹for which Officer serves as an Officer

I-6


Name Year\nof Birth Position	Principal Occupation During Past 5 Years	Number of Investment Companies (and Portfolios)\nin the Fund Complex¹for which Officer serves as an Officer

David\nDiPetrillo 1978 President 2020	Vice President and Director\nof BNYIA since February 2021; Head of North America Distribution, BNY Investments since February 2023;\nHead of North America Product, BNY Investments from January 2018 to February 2023; and Chief Executive\nOfficer of the Adviser since February 2023.	45 (91 portfolios)
Sarah\nS. Kelleher 1975 Vice President and Secretary 2020	Vice\nPresident of the Adviser since February 2020; Senior Managing Counsel of BNY since September 2021; and\nManaging Counsel of BNY from December 2017 to September 2021.	45 (97 portfolios)
Lisa\nM. King 1968 Vice President and Assistant Secretary 2020	Counsel\nof BNY since June 2023; and Regulatory Administration Group Manager of BNY Asset Servicing from February\n2016 to June 2023.	45\n(97\nportfolios)
Amanda\nQuinn 1985 Vice President and Assistant Secretary 2020	Managing Counsel of BNY since March 2024 and Counsel of BNY from June 2019 to\nFebruary 2024.	45\n(97\nportfolios)
Deirdre\nCunnane 1990 Vice President and Assistant Secretary 2020	Managing\nCounsel of BNY since December 2021; and Counsel of BNY from August 2018 to December 2021.	45\n(97\nportfolios)
Lisa\nZeller 1982 Chief Compliance Officer 2025	Chief\nCompliance Officer since December 2025 of the Adviser, BNY Mellon ETF Trust, and BNY Mellon ETF Trust\nII; Chief Compliance Officer since January 2026 of BNY Mellon Asset Management Canada Ltd.; Deputy Chief\nCompliance Officer of the Adviser, BNYIA, and the Distributor’s investment advisory business from\nJuly 2023 to December 2025; Head of Funds Compliance at Pagaya Investments US LLC from January 2022 to\nJuly 2023; and Senior Compliance Officer/Chief Compliance Officer at Nordea Investment Management North\nAmerica, Inc. from 2016 to January 2022.	2 (20 portfolios)

I-7


Name Year\nof Birth Position	Principal Occupation During Past 5 Years	Number of Investment Companies (and Portfolios)\nin the Fund Complex¹for which Officer serves as an Officer

Jeff\nS. Prusnofsky 1965 Vice President and Assistant Secretary 2020	Senior\nManaging Counsel of BNY.	45\n(97\nportfolios)
Peter\nM. Sullivan 1968 Chief Legal Officer, Vice President and Assistant Secretary 2020	Chief\nLegal Officer of BNYIA and Associate General Counsel of BNY since July 2021; Senior Managing Counsel\nof BNY from December 2020 to July 2021; and Managing Counsel of BNY from March 2009 to December 2020.	45\n(97\nportfolios)
Daniel\nGoldstein 1969 Vice President 2020	Head of Product Development of North America\nDistribution, BNY Investments since January 2018; Executive Vice President of North America Product,\nBNY Investments since April 2023; and Senior Vice President, Development & Oversight of\nNorth America Product, BNY Investments from 2010 to March 2023.	44 (91 portfolios)
Joseph\nMartella 1976 Vice President 2020	Vice President of the\nBNYIA since December 2022; Head of Product Management of North America Distribution, BNY Investments\nsince January 2018; Executive Vice President North America Product, BNY Investments since April 2023;\nand Senior Vice President of North America Product, BNY Investments from 2010 to March 2023.	44\n(91\nportfolios)
James\nWindels 1958 Treasurer 2020	Director of BNYIA since\nFebruary 2023; Vice President of BNYIA since September 2020; Vice President of the Adviser since July\n2022; and Director – BNY Fund Administration.	45 (97 portfolios)
Roberto\nG. Mazzeo 1980 Assistant Treasurer 2024	Financial\nReporting Manager – BNY Fund Administration.	45 (97 portfolios)
Gavin\nC. Reilly 1968 Assistant Treasurer 2020	Tax\nManager - BNY Fund Administration.	45\n(97\nportfolios)

I-8


Name Year\nof Birth Position	Principal Occupation During Past 5 Years	Number of Investment Companies (and Portfolios)\nin the Fund Complex¹for which Officer serves as an Officer

Robert\nSalviolo 1967 Assistant Treasurer 2020	Senior\nAccounting Manager – BNY Fund Administration; and Vice President – Operations of the Adviser\nsince December 2023.	45\n(97\nportfolios)
Robert\nSvagna 1967 Assistant Treasurer 2020	Senior\nAccounting Manager – BNY Fund Administration.	45 (97 portfolios)
Caridad\nM. Carosella 1968 Anti-Money Laundering Compliance Officer 2020	Anti-Money\nLaundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust.	41\n(91\nportfolios)

^1\n \"Fund complex\" comprises registered investment companies for which the Adviser\nor an affiliate of the Adviser serves as investment adviser.

The\naddress of each officer is 240 Greenwich Street, New York, New York 10286.

CERTAIN\nPORTFOLIO MANAGER INFORMATION

The following table lists the number and types of accounts advised by the fund's primary portfolio managers and assets under management in those accounts as of the end of the fund's\nlast fiscal year, June 30, 2026.


Primary Portfolio\nManager	Registered\nInvestment Companies	Total\nAssets Managed (in millions)	Other Pooled Investment Vehicles	Total Assets Managed (in millions)	Other\nAccounts	Total\nAssets Managed (in millions)

Stephen Murphy	1	$572	5	$11,739	4	$1,354
Anthony Honko	None	N/A	None	N/A	16	$2,707

The following table\nprovides information on accounts managed (included within the table above) by the primary portfolio\nmanagers that are subject to performance-based advisory fees.


Primary Portfolio\nManager	Type\nof Account	Number\nof Accounts Subject to Performance Fees	Total Assets of Accounts (in millions)

Stephen Murphy	None	N/A	N/A
Anthony Honko	None	N/A	N/A

The following table lists\nthe dollar range of fund shares beneficially owned by the primary portfolio managers as of the end of\nthe fund's last fiscal year, June 30, 2026.

I-9


Primary Portfolio Manager	Fund	Dollar Range of Fund Shares Beneficially Owned

Stephen Murphy	BKUI	None

Anthony Honko	BKUI	None

I-10

\n ADVISER'S AND SUB-ADVISER'S COMPENSATION; COMPLIANCE SERVICES

\nAdviser's\nCompensation

The fund pays a monthly management fee to the Adviser at the\nannual rate of 0.12% of the value of the fund's average daily net assets. For the fund's fiscal years\nended June 30, 2024, June 30, 2025 and June 30, 2026, the management fees payable by the fund,\nthe reduction, if any, in the amount of the fee paid due to fee waivers and/or expense reimbursements\nby the Adviser and the net fees paid by the fund were as follows:


Fund		2026 Fiscal Year	2025 Fiscal Year	2024\nFiscal Year
	Fee\nRate	Fee\npayable	Reduction\nin Fee	Net\nFee Paid	Fee\npayable	Reduction\nin Fee	Net\nFee Paid	Fee\npayable	Reduction\nin Fee	Net\nFee Paid

BKUI	0.12%^*	$396,586	$0	$396,586	$176,043	$0	$176,043	$63,419	$0	$63,419

^*\n The Adviser has contractually agreed, until at least October 31, 2027, to assume the direct expenses\nof the fund so that the fund's total annual operating expenses (including acquired fund fees and expenses\n(if any)) (excluding payments under the fund's 12b-1 plan (if any), interest expenses (if any), taxes,\nbrokerage commissions, costs of holding shareholder meetings, fees and expenses associated with any securities\nlending program adopted by the fund, and litigation and potential litigation and other extraordinary\nexpenses not incurred in the ordinary course of the fund's business) do not exceed .12% of the value\nof the fund's average daily net assets. Prior to October 31, 2027, this expense limitation agreement\nmay only be terminated by the fund's board. On or after October 31, 2027, the Adviser may terminate\nthis expense limitation agreement at any time.

Sub-Adviser's Compensation

The\nAdviser pays a monthly sub-advisory fee to Dreyfus, a division of Mellon Investments Corporation at the\nannual rate of .06% of the value of the fund’s average daily net assets. The Adviser, and not\nthe fund, pays the Sub-Adviser’s fee rate. For the fund's fiscal years ended June 30, 2024, June\n30, 2025 and June 30, 2026, the fees payable by the Adviser to the Sub-Adviser, the reduction, if any,\nin the amount of the fee paid due to fee waivers and/or expense reimbursements by the Sub-Adviser and\nthe net fees paid by the fund were as follows:


Fund		2026 Fiscal Year	2025 Fiscal Year	2024\nFiscal Year
Fee\nRate	Fee\npayable	Reduction\nin Fee	Net\nFee Paid	Fee\npayable	Reduction\nin Fee	Net\nFee Paid	Fee\npayable	Reduction\nin Fee	Net\nFee Paid
BKUI	0.06%	$198,293	$1,873	$196,420	$87,870	$0	$87,870	$31,710	$0	$31,710

\nCompliance Services

The fund's compliance\nprogram is developed, implemented and maintained by the fund's CCO and her staff. The CCO's staff works\non the compliance program and related matters for the fund. There will be no allocation to the fund\nof compensation expenses for the CCO and her staff. Because the fund is a unitary fee fund, such compliance\ncompensation and expenses are borne by the Adviser.

SECURITIES LENDING ACTIVITIES

The\nboard has approved participation in a securities lending program for the fund. Under the securities\nlending program, The Bank of New York Mellon serves as the fund's securities lending agent (\"Securities\nLending Agent\").

During its most recent fiscal year ended June 30, 2026, the\nfund did not earn any income from securities lending nor pay any fees to the Securities Lending Agent.\n

I-11

The services provided by The Bank of New York Mellon as Securities Lending Agent\nare as follows: selection of securities to be loaned; utilization of borrowers previously approved by\nthe fund's board; negotiation of loan terms; monitoring daily the value of the loaned securities and\ncollateral; requiring additional collateral as necessary; investing cash collateral in accordance with\nthe fund's instructions; marking to market non-cash collateral; maintaining custody of non-cash collateral;\nrecordkeeping and account servicing; monitoring dividend activity and material proxy votes relating to\nloaned securities; transferring loaned securities; recalling loaned securities in accordance with the\nfund's instructions; and arranging for return of loaned securities to the fund at loan termination.

I-12

\n OFFERING PRICE

The fund offers and issues its shares at their net asset value (\"NAV\") only in aggregations of a specified number of shares (each, a \"Creation Unit\"). The fund generally offers and issues its shares either in exchange for (i) a basket of securities designated by the fund (\"Deposit Securities\") together with the deposit of a specified cash payment (\"Cash Component\") or (ii) a cash payment equal in value to the Deposit Securities (\"Deposit Cash\") together with the Cash Component. The primary consideration accepted by the fund (i.e., Deposit Securities or Deposit Cash) is set forth under \"Purchase and Redemption of Creation Units\" later in this SAI. The Trust reserves the right to permit or require the substitution of a \"cash in lieu\" amount to be added to the Cash Component to replace any Deposit Security and reserves the right to permit or require the substitution of Deposit Securities in lieu of Deposit Cash (subject to applicable legal requirements). The Trust also reserves the right to deviate from a representative selection of the fund's portfolio holdings as part of the Deposit Securities if such deviation is in the best interests of the fund and its shareholders. The shares have been approved for listing and secondary trading on a national securities exchange (\"Exchange\"). The shares will trade on the Exchange at market prices. These prices may differ from the shares' NAVs. The shares are also redeemable only in Creation Unit aggregations, and generally in exchange either for (i) portfolio securities and a specified cash payment or (ii) cash (subject to applicable legal requirements). For the preceding, the Trust reserves the right to deviate from a representative selection of the fund's portfolio holdings if such deviation is in the best interests of the fund and its shareholders.

Shares may be issued in advance of receipt of Deposit Securities subject to various conditions including a requirement to maintain on deposit with the Trust cash at least equal to a specified percentage of the market value of the missing Deposit Securities as set forth in the Participant Agreement. See \"Purchase and Redemption of Creation Units.\" The Trust may impose a transaction fee for each creation or redemption. In all cases, such fees will be limited in accordance with the requirements of the SEC applicable to management investment companies offering redeemable securities. In addition to the fixed creation or redemption transaction fee, an additional transaction fee of up to three times the fixed creation or redemption transaction fee and/or an additional variable charge may apply as discussed in the section \"Purchase and Redemption of Creation Units\" in Part II of this SAI below.

CONTINUOUS\nOFFERING

The method by which Creation Units of shares are created and traded may raise certain issues under applicable securities laws. Because new Creation Units of shares are issued and sold by the Trust on an ongoing basis, at any point a \"distribution,\" as such term is used in the Securities Act, may occur. Broker-dealers and other persons are cautioned that some activities on their part may, depending on the circumstances, result in their being deemed participants in a distribution in a manner which could render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act.

For example, a broker-dealer firm or its client may be deemed a statutory underwriter if it takes Creation Units after placing an order with the Distributor, breaks them down into constituent shares, and sells such shares directly to customers, or if it chooses to couple the creation of a supply of new shares with an active selling effort involving solicitation\nof\nsecondary\nmarket\ndemand\nfor\nshares.\n A\ndetermination\nof\nwhether\none\nis\nan\nunderwriter\nfor\npurposes\nof\nthe\nSecurities\nAct\nmust\ntake\ninto\naccount\nall\nthe\nfacts\nand\ncircumstances\npertaining\nto\nthe\nactivities\nof\nthe\nbroker-\ndealer\nor\nits\nclient\nin\nthe\nparticular\ncase,\nand\nthe\nexamples\nmentioned\nabove\nshould\nnot\nbe\nconsidered\na\ncomplete\ndescription\nof\nall\nthe\nactivities\nthat\ncould\nlead\nto\na categorization as an underwriter.

Broker-dealer firms should also note that dealers who are not \"underwriters\" but are effecting\ntransactions\nin\nshares,\nwhether\nor\nnot\nparticipating\nin\nthe\ndistribution\nof\nshares,\nare\ngenerally\nrequired\nto\ndeliver\na\nprospectus.\n\nThis\nis\nbecause\nthe\nprospectus\ndelivery\nexemption\nin\nSection\n4(a)(3)\nof\nthe\nSecurities\nAct\nis\nnot\navailable\nin\nrespect\nof\nsuch\ntransactions\nas\na\nresult\nof\nSection\n24(d)\nof\nthe\n1940\nAct.\n\nFirms\nthat\nincur\na\nprospectus-delivery\nobligation\nwith\nrespect\nto\nshares\nof\nthe\nfund\nare\nreminded\nthat\nunder\nSecurities\nAct\nRule\n153,\na\nprospectus-delivery\nobligation\nunder\nSection 5(b)(2) of the Securities Act owed to an exchange member in connection with a sale on an exchange is satisfied by the fact that the fund's prospectus is available at the exchange upon request. The prospectus delivery mechanism provided in Rule 153 is only available with respect to transactions on an exchange.

I-13

The\nAdviser\nor\nits\naffiliates\n(the\n\"Selling\nShareholder\")\nmay\npurchase\nCreation\nUnits\nthrough\na\nbroker-dealer\nto\n\"seed\"\n(in\nwhole\nor\nin\npart)\nfunds\nas\nthey\nare\nlaunched,\nor\nmay\npurchase\nshares\nfrom\nbroker-dealers\nor\nother\ninvestors\nthat\nhave\npreviously\nprovided\n\"seed\"\nfor\nfunds\nwhen\nthey\nwere\nlaunched\nor\notherwise\nin\nsecondary\nmarket\ntransactions,\nand\nbecause\nthe\nSelling\nShareholder\nmay\nbe\ndeemed\nan\naffiliate\nof\nsuch\nfunds,\nthe\nfund\nshares\nare\nbeing\nregistered\nto\npermit\nthe\nresale\nof\nthese\nshares\nfrom\ntime\nto\ntime\nafter\npurchase.\n The\nfund\nwill\nnot\nreceive\nany\nof\nthe\nproceeds\nfrom\nthe\nresale\nby\nthe\nSelling\nShareholders\nof\nthese\nfund\nshares.

The\nSelling\nShareholder\nintends\nto\nsell\nall\nor\na\nportion\nof\nthe\nfund\nshares\nowned\nby\nit\nand\noffered\nhereby\nfrom\ntime\nto time\ndirectly\nor\nthrough\none\nor\nmore\nbroker-dealers,\nand\nmay\nalso\nhedge\nsuch\npositions.\n The\nfund\nshares\nmay\nbe\nsold\non\nany\nnational\nsecurities\nexchange\non\nwhich\nthe\nfund\nshares\nmay\nbe\nlisted\nor\nquoted\nat\nthe\ntime\nof\nsale,\nin\nthe\nover-the-counter\nmarket\nor\nin\ntransactions\nother\nthan\non\nthese\nexchanges\nor\nsystems\nat\nfixed\nprices,\nat\nprevailing\nmarket\nprices\nat\nthe\ntime\nof\nthe\nsale,\nat\nvarying\nprices\ndetermined\nat\nthe\ntime\nof\nsale,\nor\nat\nnegotiated\nprices.\n These\nsales\nmay\nbe\neffected\nin\ntransactions,\nwhich\nmay\ninvolve\ncross\nor\nblock\ntransactions.

The\nSelling\nShareholder\nmay\nalso\nloan\nor\npledge\nfund\nshares\nto\nbroker-dealers\nthat\nin\nturn\nmay\nsell\nsuch\nfund\nshares,\nto\nthe\nextent\npermitted\nby\napplicable\nlaw.\n The\nSelling\nShareholder\nmay\nalso\nenter\ninto\noptions\nor\nother\ntransactions\nwith\nbroker-dealers\nor\nother\nfinancial\ninstitutions\nor\nthe\ncreation\nof\none\nor\nmore\nderivative\nsecurities\nwhich\nrequire\nthe\ndelivery\nto\nsuch\nbroker-dealer\nor\nother\nfinancial\ninstitution\nof\nfund\nshares,\nwhich\nfund\nshares\nsuch\nbroker-dealer\nor\nother\nfinancial\ninstitution\nmay\nresell.

The\nSelling\nShareholder\nand\nany\nbroker-dealer\nor\nagents\nparticipating\nin\nthe\ndistribution\nof\nfund\nshares\nmay\nbe\ndeemed\nto\nbe\n\"underwriters\"\nwithin\nthe\nmeaning\nof\nSection\n2(a)(11)\nof\nthe\nSecurities\nAct\nin\nconnection\nwith\nsuch\nsales.\n In\nsuch\nevent,\nany\ncommissions\npaid\nto\nany\nsuch\nbroker-dealer\nor\nagent\nand\nany\nprofit\non\nthe\nresale\nof\nthe\nfund\nshares\npurchased\nby\nthem\nmay\nbe\ndeemed\nto\nbe\nunderwriting\ncommissions\nor\ndiscounts\nunder\nthe\nSecurities\nAct.\n The\nSelling\nShareholder\nwho\nmay\nbe\ndeemed\nan\n\"underwriter\"\nwithin\nthe\nmeaning\nof\nSection\n2(a)(11)\nof\nthe\nSecurities\nAct\nwill\nbe\nsubject\nto\nthe\napplicable\nprospectus\ndelivery\nrequirements\nof\nthe\nSecurities\nAct.

\nEXCHANGE LISTING AND TRADING

A discussion of exchange listing and trading matters associated with an investment in the fund is contained in the fund's prospectus under \"Purchase and Sale of Fund Shares\" and \"Additional Purchase and Sale Information.\" The discussion below supplements, and should be read in conjunction with, such sections of the prospectus.

Shares are approved for listing and trading on the Exchange, subject to notice of issuance. Shares trade on the Exchange at prices that may differ to some degree from their NAV. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of shares of the fund will continue to be met.

The Exchange may consider the suspension of trading in, and may initiate delisting proceedings of, the shares of the fund under any of the following circumstances: (i) if the Exchange\nbecomes aware that the fund is no longer eligible to operate in reliance on Rule 6c-11 under\nthe 1940 Act; (ii) if the fund no longer complies with the applicable listing requirements set forth\nin the Exchange's rules; (iii) if, following the initial twelve-month period after commencement\nof trading on the Exchange of the fund, there are fewer than 50 beneficial holders of the fund; or (iv) if\nsuch other event shall occur or condition exists which, in the opinion of the Exchange, makes further\ndealings on the Exchange inadvisable. The Exchange will remove the shares from listing and trading upon termination of the fund. The Trust reserves the right to adjust the share price of the fund in the future to maintain convenient trading ranges for investors. Any adjustments would be accomplished through stock splits or reverse stock splits, which would have no effect on the net assets of the fund.

As in the case of other publicly traded securities, brokers' commissions on transactions will be based on negotiated commission\nrates\nat\ncustomary\nlevels.

The\nbase\nand\ntrading\ncurrencies\nof\nthe\nfund\nis\nthe\nU.S.\ndollar.\nThe\nbase\ncurrency\nis\nthe\ncurrency\nin\nwhich\nthe\nfund's\nNAV\nper\nshare\nis\ncalculated\nand\nthe\ntrading\ncurrency\nis\nthe\ncurrency\nin\nwhich\nshares\nof\nthe\nfund\nare\nlisted\nand\ntraded\non\nthe\nExchange.

I-14

BOOK ENTRY ONLY SYSTEM

The following information supplements and should be read in conjunction with the section in the prospectus entitled \"Additional\nPurchase\nand\nSale\nInformation.\"

The\nDTC\nacts\nas\nsecurities\ndepositary\nfor\nthe\nshares.\nShares\nof\nthe\nfund\nare\nrepresented\nby\nsecurities\nregistered\nin\nthe\nname\nof\nDTC\nor\nits\nnominee,\nCede\n&\nCo.,\nand\ndeposited\nwith,\nor\non\nbehalf\nof,\nDTC.\n Except\nin\nthe\nlimited\ncircumstance\nprovided\nbelow,\ncertificates\nwill\nnot\nbe\nissued\nfor\nshares.\n DTC,\na\nlimited-purpose\ntrust\ncompany,\nwas\ncreated\nto\nhold\nsecurities\nof\nits\nparticipants\n(the\n\"DTC\nParticipants\")\nand\nto\nfacilitate\nthe\nclearance\nand\nsettlement\nof\nsecurities\ntransactions\namong\nthe\nDTC\nParticipants\nin\nsuch\nsecurities\nthrough\nelectronic\nbook-entry\nchanges\nin\naccounts\nof\nthe\nDTC\nParticipants,\nthereby\neliminating\nthe\nneed\nfor\nphysical\nmovement\nof\nsecurities\ncertificates.\nDTC\nParticipants\ninclude\nsecurities\nbrokers\nand\ndealers,\nbanks,\ntrust\ncompanies,\nclearing\ncorporations\nand\ncertain\nother\norganizations,\nsome\nof\nwhom\n(and/or\ntheir\nrepresentatives)\nown\nDTC.\n More\nspecifically,\nDTC\nis\nowned\nby\na\nnumber\nof\nits\nDTC\nParticipants\nand\nby\nthe\nNYSE\nand\nFINRA.\nAccess\nto the\nDTC\nsystem\nis\nalso\navailable\nto\nothers\nsuch\nas\nbanks,\nbrokers,\ndealers\nand\ntrust\ncompanies\nthat\nclear\nthrough\nor\nmaintain\na\ncustodial\nrelationship\nwith\na\nDTC\nParticipant,\neither\ndirectly\nor\nindirectly\n(the\n\"Indirect\nParticipants\").

Beneficial\nownership\nof\nshares\nis\nlimited\nto\nDTC\nParticipants,\nIndirect\nParticipants\nand\npersons\nholding\ninterests\nthrough\nDTC\nParticipants\nand\nIndirect\nParticipants.\nOwnership\nof\nbeneficial\ninterests\nin\nshares\n(owners\nof\nsuch\nbeneficial\ninterests\nare\nreferred\nto\nherein\nas\n\"Beneficial\nOwners\")\nis\nshown\non,\nand\nthe\ntransfer\nof\nownership\nis\neffected\nonly\nthrough,\nrecords\nmaintained\nby\nDTC\n(with\nrespect\nto\nDTC\nParticipants)\nand\non\nthe\nrecords\nof\nDTC\nParticipants\n(with\nrespect\nto\nIndirect\nParticipants\nand\nBeneficial\nOwners\nthat\nare\nnot\nDTC\nParticipants).\n Beneficial\nOwners\nwill\nreceive\nfrom\nor\nthrough\nthe\nDTC\nParticipant\na\nwritten\nconfirmation\nrelating\nto\ntheir\npurchase\nof\nshares.

Conveyance\nof\nall\nnotices,\nstatements\nand\nother\ncommunications\nto\nBeneficial\nOwners\nis\neffected\nas\nfollows.\nPursuant\nto\nthe\ndepositary\nagreement\nbetween\nthe\nTrust\nand\nDTC,\nDTC\nis\nrequired\nto\nmake\navailable\nto\nthe\nTrust\nupon\nrequest\nand\nfor\na\nfee\nto\nbe\ncharged\nto\nthe\nTrust\na\nlisting\nof\nthe\nshares\nof\nthe\nfund\nheld\nby\neach\nDTC\nParticipant.\n The\nTrust,\neither\ndirectly\nor\nthrough\na\nthird\nparty\nservice,\nshall\ninquire\nof\neach\nsuch\nDTC\nParticipant\nas\nto\nthe\nnumber\nof\nBeneficial\nOwners\nholding\nshares,\ndirectly\nor\nindirectly,\nthrough\nsuch\nDTC\nParticipant.\n The\nTrust,\neither\ndirectly\nor\nthrough\na\nthird\nparty\nservice,\nshall\nprovide\neach\nsuch\nDTC\nParticipant\nwith\ncopies\nof\nsuch\nnotice,\nstatement\nor\nother\ncommunication,\nin\nsuch\nform,\nnumber\nand\nat\nsuch\nplace\nas\nsuch\nDTC\nParticipant\nmay\nreasonably\nrequest,\nin\norder\nthat\nsuch\nnotice,\nstatement\nor\ncommunication\nmay\nbe\ntransmitted\nby\nsuch\nDTC\nParticipant,\ndirectly\nor\nindirectly,\nto\nsuch\nBeneficial\nOwners.\n In\naddition,\nthe\nTrust\nshall\npay\nto\neach\nsuch\nDTC\nParticipant\nand/or\nthird\nparty\nservice\na\nfair\nand\nreasonable\namount\nas\nreimbursement\nfor\nthe\nexpenses\nattendant\nto\nsuch\ntransmittal,\nall\nsubject\nto applicable\nstatutory\nand\nregulatory\nrequirements.

Share\ndistributions\nshall\nbe\nmade\nto\nDTC\nor\nits\nnominee,\nCede\n&\nCo.,\nas\nthe\nregistered\nholder\nof\nall\nshares.\nDTC\nor\nits\nnominee,\nupon\nreceipt\nof\nany\nsuch\ndistributions,\nshall\ncredit\nimmediately\nDTC\nParticipants'\naccounts\nwith\npayments\nin\namounts\nproportionate\nto\ntheir\nrespective\nbeneficial\ninterests\nin\nshares\nof\nthe\nfund\nas\nshown\non\nthe\nrecords\nof\nDTC\nor\nits\nnominee.\n Payments\nby\nDTC\nParticipants\nto\nIndirect\nParticipants\nand\nBeneficial\nOwners\nof\nshares\nheld\nthrough\nsuch\nDTC\nParticipants\nwill\nbe\ngoverned\nby\nstanding\ninstructions\nand\ncustomary\npractices,\nas\nis\nnow\nthe\ncase\nwith\nsecurities\nheld\nfor\nthe\naccounts\nof\ncustomers\nin\nbearer\nform\nor\nregistered\nin\na\n\"street\nname,\"\nand\nwill\nbe\nthe\nresponsibility\nof\nsuch\nDTC\nParticipants.

The\nTrust\nhas\nno\nresponsibility\nor\nliability\nfor\nany\naspects\nof\nthe\nrecords\nrelating\nto\nor\nnotices\nto\nBeneficial\nOwners,\nor\npayments\nmade\non\naccount\nof\nbeneficial\nownership\ninterests\nin\nsuch\nshares,\nor\nfor\nmaintaining,\nsupervising\nor\nreviewing\nany\nrecords\nrelating\nto\nsuch\nbeneficial\nownership\ninterests\nor\nfor\nany\nother\naspect\nof\nthe\nrelationship\nbetween\nDTC\nand\nthe\nDTC\nParticipants\nor\nthe\nrelationship\nbetween\nsuch\nDTC\nParticipants\nand\nthe\nIndirect\nParticipants\nand\nBeneficial\nOwners\nowning\nthrough\nsuch\nDTC\nParticipants.

DTC\nmay\ndetermine\nto\ndiscontinue\nproviding\nits\nservice\nwith\nrespect\nto\nshares\nat\nany\ntime\nby\ngiving\nreasonable\nnotice\nto\nthe\nTrust\nand\ndischarging\nits\nresponsibilities\nwith\nrespect\nthereto\nunder\napplicable\nlaw.\n Under\nsuch\ncircumstances,\nthe\nTrust\nshall\ntake\naction\neither\nto\nfind\na\nreplacement\nfor\nDTC\nto\nperform\nits\nfunctions\nat\na\ncomparable\ncost\nor,\nif\nsuch\na\nreplacement\nis\nunavailable,\nto\nissue\nand\ndeliver\nprinted\ncertificates\nrepresenting\nownership\nof\nshares,\nunless\nthe\nTrust\nmakes\nother\narrangements\nwith\nrespect\nthereto\nsatisfactory\nto\nthe\nExchange.

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\nSECURITIES OF REGULAR BROKERS OR DEALERS

The fund may acquire securities issued by one or more of its \"regular brokers or dealers,\" as defined in Rule 10b-1 under the 1940 Act. Rule 10b-1 provides that a \"regular broker or dealer\" is one of the ten brokers or dealers that, during the fund's last fiscal year: (1) received the greatest dollar amount of brokerage commissions from participating, either directly or indirectly, in the fund's portfolio transactions, (2) engaged as principal in the largest dollar amount of the fund's portfolio transactions, or (3) sold the largest dollar amount of the fund's securities. The following is\na list of the issuers of the securities, and the aggregate value per issuer, of the fund's regular brokers\nor dealers held by the fund as of June 30, 2026, the end of its most recent fiscal year:


Regular\nBroker or Dealer	Aggregate\nValue Per Issuer Held by the Fund

RBC Capital Markets	$5,668,358.27
TD\nSECURITIES (USA) LLC	$5,094,773.99
BMO Capital Markets	$4,571,506.04
Barclays\nCapital Inc.	$4,238,445.64
Goldman\nSachs & Co. LLC	$4,011,152.22
Citigroup Global Markets Inc.	$3,601,336.52
Wells\nFargo Securities, LLC	$2,906,261.81
Morgan Stanley & Co. LLC	$2,787,647.00
J.P.\nMorgan Securities LLC	$2,333,479.81
BofA Securities, Inc.	$2,276,373.44

\nCOMMISSIONS

During the fiscal years ended June 30, 2024,\nJune 30, 2025 and June 30, 2026, the fund paid no brokerage commissions.

PORTFOLIO\nTURNOVER VARIATION

The fund's portfolio turnover rate for its two most recent\nfiscal years is shown in the prospectus.

Reason for Any Significant Portfolio Turnover Rate Variation, or Anticipated Variation

N/A

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\nSHARE OWNERSHIP

Although the Trust does\nnot have information concerning the beneficial ownership of shares held in the names of DTC participants\nas of October 2, 2026, the name and percentage ownership of each DTC participant that owned of record\n5% or more outstanding shares of the fund were as follows:


Date	Fund	Name\nand Address	Percent\nOwned

October 2, 2026	BKUI	Pershing LLC P.O.\nBox 2052 Jersey City, NJ 07303-2052	76.26%

		Charles Schwab & Company, Incorporated 211\nMain Street San Francisco, CA 94105	10.22%

		National Financial Services LLC 499 Washington Blvd,\n4^th\nFloor Jersey City, New Jersey 07310-1995	5.05%

A shareholder who beneficially owns, directly\nor indirectly, more than 25% of the fund's voting securities may be deemed to \"control\" (as defined in\nthe 1940 Act) the fund. An Authorized Participant may hold of record more than 25% of the outstanding\nshares of the fund. From time to time, Authorized Participants may be a beneficial and/or legal owner\nof the fund, may be deemed to have control of the fund and/or may be able to affect the outcome of matters\npresented for a vote of the shareholders of the fund. Authorized Participants may execute an irrevocable\nproxy granting the Distributor or an affiliate of the Distributor (the \"Agent\") power to vote or abstain\nfrom voting such Authorized Participant's beneficially or legally owned shares of the fund. In such\ncases, the Agent shall mirror vote (or abstain from voting) such shares in the same proportion as all\nother beneficial owners of the fund.

Board members and officers, as a group, owned\nless than 1% of the fund's voting securities outstanding as of October 1, 2026.

Certain\nshareholders of the fund may from time to time own or control a significant percentage of the fund's\nshares (\"Large Shareholders\"). Large Shareholders may include, for example, institutional investors,\nfunds of funds, affiliates of the Adviser, and discretionary advisory clients whose buy-sell decisions\nare controlled by a single decision-maker, including separate accounts and/or funds managed by the Adviser\nor its affiliates. Large Shareholders may sell all or a portion of their shares of the fund at any time\nor may be required to sell all or a portion of their shares in order to comply with applicable regulatory\nrestrictions (including, but not limited to, restrictions that apply to U.S. banking entities and their\naffiliates, such as the Adviser). Sales by Large Shareholders of their shares of the fund may cause\nAuthorized Participants to engage in redemption requests, which in turn may force the fund to sell securities\nat an unfavorable time and/or under unfavorable conditions, or sell more liquid assets of the fund, in\norder to meet redemption requests for any redemptions in cash as opposed to in-kind. These sales for\nany cash redemption baskets may adversely affect both the fund's market price and NAV and may result\nin increasing the fund's liquidity risk, transaction costs and/or taxable distributions.

From\ntime to time, BNY Investments' managers, and the Adviser, may sponsor and/or manage a fund in which a\nBNY affiliate invests seed capital (\"Seed Capital\"). Such investments may raise potential conflicts\nof interest because a BNY affiliate, as an investor in the fund, may possess material information about\nthe fund that may not be available to other fund investors. This informational advantage could be perceived\nas enabling a BNY affiliate to invest or redeem Seed Capital in a manner that conflicts with the interests\nof other fund investors and/or benefits BNY or its affiliates. In order to mitigate such conflicts,\nBNY has implemented a policy (the \"Seed Capital Investment and Redemption Policy\") that governs its affiliates'\ninvestment and redemption of Seed Capital in the

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fund. The Seed Capital Investment and Redemption Policy includes specific parameters\nthat govern the timing and extent of the investment and redemption of Seed Capital, which may be set\naccording to one or more objective factors expressed in terms of timing, asset level, investment performance\ngoals or other criteria approved by BNY. In extraordinary circumstances and subject to certain conditions,\nBNY will have the authority to modify the application of the Seed Capital Investment and Redemption Policy\nto a particular investment of Seed Capital after the investment has been made. The Seed Capital Investment\nand Redemption Policy does not apply (i) in cases where Seed Capital is invested in a fund that has\nno third party investors and (ii) to investments or redemptions that are required in order to comply\nwith applicable regulatory restrictions (including, but not limited to, restrictions that apply to U.S.\nbanking entities and their affiliates, such as the Adviser).

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PART II

PURCHASE AND REDEMPTION OF CREATION UNITS

The\nfund\nissues\nand\nredeems\nits\nshares\non\na\ncontinuous\nbasis,\nat\nNAV,\nonly\nin\na\nlarge\nspecified\nnumber\nof\nshares\ncalled a \"Creation Unit.\" The value of the fund is determined once each business day. The Creation Unit size for the fund may change. Authorized Participants will be notified of such change. Creation Unit transactions may be made in-kind, for cash, or for a combination of securities and cash. The principal consideration for creations and redemptions for the fund is cash, although this may be revised at any time without notice.

PURCHASE (CREATION). The Trust issues and sells shares of the fund only: in Creation Units on a continuous basis through the Distributor, without a sales load (but subject to transaction fees), at their NAV per share next determined after receipt of an order, on any Business Day, in proper form pursuant to the terms of the Authorized Participant Agreement (\"Participant Agreement\").

FUND DEPOSIT. The consideration for purchase of a Creation Unit of the fund generally consists of either (i) the Deposit Securities and the Cash Component (defined below), computed as described below; or (ii) the cash value of the Deposit Securities and the Cash Component, computed as described below. When accepting purchases of Creation Units for cash, the fund may incur additional costs associated with the acquisition of Deposit Securities that would otherwise be provided by an in-kind purchaser.

Together, the Deposit Securities or Deposit Cash, as applicable, and the Cash Component constitute the \"Fund Deposit,\" which represents the minimum initial and subsequent investment amount for a Creation Unit of the fund. The Cash Component, which may include a Dividend Equivalent Payment, is an amount equal to the difference between the NAV of the shares (per Creation Unit) and the market value of the Deposit Securities or Deposit Cash, as applicable. The \"Dividend Equivalent Payment\" enables the fund to make a complete distribution of dividends on the day preceding the next dividend payment date, and is an amount equal, on a per Creation Unit basis, to the dividends on all the portfolio securities of the fund (\"Dividend Securities\") with ex-dividend dates within the accumulation period for such distribution (the \"Accumulation Period\"), net of expenses and liabilities\nfor\nsuch\nperiod,\nas\nif\nall\nof\nthe\nDividend\nSecurities\nhad\nbeen\nheld\nby\nthe\nfund\nfor\nthe\nentire\nAccumulation\nPeriod.\n The\nAccumulation\nPeriod\nbegins\non\nthe\nex-dividend\ndate\nfor\nthe\nfund\nand\nends\non\nthe\nday\npreceding\nthe\nnext\nex-\ndividend\ndate.\n If\nthe\nCash\nComponent\nis\na\npositive\nnumber\n(i.e.,\nthe\nNAV\nper\nCreation\nUnit\nexceeds\nthe\nmarket\nvalue\nof\nthe\nDeposit\nSecurities\nor\nDeposit\nCash,\nas\napplicable),\nthe\nCash\nComponent\nshall\nbe\nsuch\npositive\namount.\n If\nthe\nCash\nComponent\nis\na\nnegative\nnumber\n(i.e.,\nthe\nNAV\nper\nCreation\nUnit\nis\nless\nthan\nthe\nmarket\nvalue\nof\nthe\nDeposit\nSecurities\nor\nDeposit\nCash,\nas\napplicable),\nthe\nCash\nComponent\nshall\nbe\nsuch\nnegative\namount\nand\nthe\ncreator\nwill\nbe\nentitled\nto\nreceive\ncash\nin\nan\namount\nequal\nto\nthe\nCash\nComponent.\n The\nCash\nComponent\nserves\nthe\nfunction\nof\ncompensating\nfor\nany\ndifferences\nbetween\nthe\nNAV\nper\nCreation\nUnit\nand\nthe\nmarket\nvalue\nof\nthe\nDeposit\nSecurities\nor\nDeposit\nCash,\nas\napplicable.\n Computation\nof\nthe\nCash\nComponent\nexcludes\nany\nstamp\nduty\nor\nother\nsimilar\nfees\nand\nexpenses\npayable\nupon\ntransfer\nof\nbeneficial\nownership\nof\nthe\nDeposit\nSecurities,\nif\napplicable,\nwhich\nshall\nbe\nthe\nsole\nresponsibility\nof\nthe\nAuthorized\nParticipant\n(as\ndefined\nbelow).

The\nCustodian, through NSCC, makes available on each Business Day, prior to the opening of business on the\nExchange (currently 9:30 a.m., Eastern time), the list of the names and the required number of shares\nof each Deposit Security or the required amount of Deposit Cash, as applicable, to be included in the\ncurrent standard Fund Deposit (based on information at the end of the previous Business Day) for the\nfund. Such standard Fund Deposit is subject to any applicable adjustments as described below, in order\nto effect purchases of Creation Units of the fund until such time as the next-announced composition of\nthe Deposit Securities or the required amount of Deposit Cash, as applicable, is made available.

The\nidentity\nand\nnumber\nof\nshares\nof\nthe\nDeposit\nSecurities\nor\nthe\namount\nof\nDeposit\nCash,\nas\napplicable,\nrequired\nfor\na\nFund\nDeposit\nfor\nthe\nfund\nmay\nbe\nchanged\nfrom\ntime\nto\ntime\nwith\na\nview\nto\nthe\ninvestment\nobjective\nof\nthe\nfund.\n Information\nregarding\nthe\nFund\nDeposit\nnecessary\nfor\nthe\npurchase\nof\na\nCreation\nUnit\nis\nmade\navailable\nto\nAuthorized\nParticipants\nand\nother\nmarket\nparticipants\nseeking\nto\ntransact\nin\nCreation\nUnit\naggregations.\n

With respect to in-kind purchases of the fund, the Trust intends to require the\nsubstitution of an amount of cash (i.e., a \"cash in lieu\" amount) to replace any Deposit Security that\nis a TBA transaction. The amount of cash contributed

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will\nbe equivalent to the price of the TBA transaction listed as a Deposit Security. As noted above, the Trust reserves the right to permit or require the substitution of Deposit Cash to replace any Deposit Security, which shall be added to the Cash Component, including, without limitation, in situations where the Deposit Security: (i) may not be available in sufficient quantity for delivery, (ii) may not be eligible for transfer through the systems of DTC for corporate securities and municipal securities or the Federal Reserve System for U.S. Treasury securities; (iii) may not be eligible for trading by an Authorized Participant or the investor for which it is acting; (iv) would be restricted under the securities laws or where the delivery of the Deposit Security to the Authorized Participant would result in the disposition of the Deposit Security by the Authorized Participant becoming restricted under the securities laws, or (v) in certain other situations (collectively, \"non-standard orders\"). The Trust also reserves the right to: (i) permit or require the substitution of Deposit Securities in lieu of Deposit Cash; and (ii) include or remove Deposit Securities from the basket in anticipation of portfolio\nchanges.

PROCEDURES\nFOR\nPURCHASE\nOF\nCREATION\nUNITS.\n To\nbe\neligible\nto\nplace\norders\nwith\nthe\nDistributor,\nas\nfacilitated\nvia\nthe\nTransfer\nAgent,\nto\npurchase\na\nCreation\nUnit\nof\nthe\nfund,\nan\nentity\nmust\nbe\n(i)\na\n\"Participating\nParty\",\ni.e.,\na\nbroker-dealer\nor\nother\nparticipant\nin\nthe\nclearing\nprocess\nthrough\nthe\nContinuous\nNet\nSettlement System of the NSCC (the \"Clearing Process\"), a clearing agency that is registered with the SEC; or (ii) a DTC Participant (see \"Book Entry Only System\"), and, with respect\nto fixed-income, must have the ability to clear through the Federal Reserve System. In addition, each Participating Party or DTC Participant (each, an \"Authorized Participant\") must execute a Participant Agreement that has been agreed to by the Distributor and the Transfer Agent, and that has been accepted\nby\nthe\nTrust,\nwith\nrespect\nto\npurchases\nand\nredemptions\nof\nCreation\nUnits.\n Each\nAuthorized\nParticipant\nwill\nagree,\npursuant\nto\nthe\nterms\nof\na\nParticipant\nAgreement,\non\nbehalf\nof\nitself\nor\nany\ninvestor\non\nwhose\nbehalf\nit\nwill\nact,\nto\ncertain\nconditions,\nincluding\nthat\nit\nwill\npay\nto\nthe\nTrust,\nan\namount\nof\ncash\nsufficient\nto\npay\nthe\nCash\nComponent\ntogether\nwith\nthe\ncreation\ntransaction\nfee\n(described\nbelow)\nand\nany\nother\napplicable\nfees,\ntaxes\nand\nadditional\nvariable\ncharge.

All\norders\nto\npurchase\nshares\ndirectly\nfrom\nthe\nfund,\nincluding\nnon-standard\norders,\nmust\nbe\nplaced\nfor\none\nor\nmore\nCreation\nUnits\nand\nin\nthe\nmanner\nand\nby\nthe\ntime\nset\nforth\nin\nthe\nParticipant\nAgreement\nand/or\nthe\napplicable\norder\nform.\n The\ndate\non\nwhich\nan\norder\nto\npurchase\nCreation\nUnits\n(or\nan\norder\nto\nredeem\nCreation\nUnits,\nas\nset\nforth\nbelow)\nis\nreceived\nand\naccepted\nis\nreferred\nto\nas\nthe\n\"Order\nPlacement\nDate.\"

An\nAuthorized\nParticipant\nmay\nrequire\nan\ninvestor\nto\nmake\ncertain\nrepresentations\nor\nenter\ninto\nagreements\nwith\nrespect\nto\nthe\norder\n(e.g.,\nto\nprovide\nfor\npayments\nof\ncash,\nwhen\nrequired).\n Investors\nshould\nbe\naware\nthat\ntheir\nparticular\nbroker\nmay\nnot\nhave\nexecuted\na\nParticipant\nAgreement\nand\nthat,\ntherefore,\norders\nto\npurchase\nshares\ndirectly\nfrom\nthe\nfund\nin\nCreation\nUnits\nhave\nto\nbe\nplaced\nby\nthe\ninvestor's\nbroker\nthrough\nan\nAuthorized\nParticipant\nthat\nhas\nexecuted\na\nParticipant\nAgreement.\n In\nsuch\ncases\nthere\nmay\nbe\nadditional\ncharges\nto\nsuch\ninvestor.\n At\nany\ngiven\ntime,\nthere\nmay\nbe\nonly\na\nlimited\nnumber\nof\nbroker-dealers\nthat\nhave\nexecuted\na\nParticipant\nAgreement\nand\nonly\na\nsmall\nnumber\nof\nsuch\nAuthorized\nParticipants\nmay\nhave\ninternational\ncapabilities.

On\ndays\nwhen\nthe\nExchange\nor the bond market closes earlier than normal, the fund may require orders to create Creation Units to be placed earlier in the day. In addition, if a market or markets on which the fund's investments are primarily traded is closed, the fund will also generally not accept orders on such day(s). Orders must be transmitted by an Authorized Participant by telephone or other transmission method acceptable to the Distributor pursuant to procedures set forth in the Participant Agreement and in accordance with the applicable order form. Those placing orders through an Authorized Participant should allow sufficient time to permit proper submission of the purchase order by the cut-off time. Economic or market disruptions or changes, or telephone or other communication failure may impede the ability to reach the Distributor or an Authorized Participant.

Fund Deposits must be delivered by an Authorized Participant through the Federal Reserve System (for cash and U.S. government securities), or through DTC (for corporate securities and municipal securities), through a subcustody agent (for foreign securities) and/or through such other arrangements allowed by the Trust or its agents. With respect to foreign Deposit Securities, the Custodian shall cause the subcustodian of the fund to maintain an account into which the Authorized Participant shall deliver, on behalf of itself or the party on whose behalf it is acting, such Deposit Securities. Foreign Deposit Securities must be delivered to an account maintained at the applicable local subcustodian. The Fund Deposit transfer must be ordered by the Authorized Participant in a timely fashion so as to ensure the delivery of the requisite number of Deposit Securities or Deposit Cash, as applicable, to the account of the fund or its agents by no later\nthan\nthe\nSettlement\nDate.\n The\n\"Settlement\nDate\"\nfor\nthe\nfund\nis\ngenerally\nthe\nfirst Business Day (\"T+1\") after the Order Placement Date. All\nquestions\nas\nto\nthe\nnumber\nof\nDeposit\n

II-2

Securities\nor\nDeposit\nCash\nto\nbe\ndelivered,\nas\napplicable,\nand\nthe\nvalidity,\nform\nand\neligibility\n(including\ntime\nof\nreceipt)\nfor\nthe\ndeposit\nof\nany\ntendered\nsecurities\nor\ncash,\nas\napplicable,\nwill\nbe\ndetermined\nby\nthe\nTrust,\nwhose\ndetermination\nshall\nbe\nfinal\nand\nbinding.\n The\namount\nof\ncash\nrepresented\nby\nthe\nCash\nComponent\nmust\nbe\ntransferred\ndirectly\nto\nthe\nCustodian\nthrough\nthe\nFederal\nReserve\nBank\nwire\ntransfer\nsystem\nin\na\ntimely\nmanner\nso\nas to be received by the Custodian no later\nthan\nthe\nSettlement\nDate.\n If\nthe\nCash\nComponent\nand\nthe\nDeposit\nSecurities\nor\nDeposit\nCash,\nas\napplicable,\nare\nnot\nreceived\nin\na\ntimely\nmanner\nby\nthe\nSettlement\nDate,\nthe\ncreation\norder\nmay\nbe\ncancelled.\n Upon\nwritten\nnotice\nto\nthe\nDistributor,\nsuch\ncanceled\norder\nmay\nbe\nresubmitted\nthe\nfollowing\nBusiness\nDay\nusing\na\nFund\nDeposit\nas\nnewly\nconstituted\nto\nreflect\nthe\nthen\ncurrent\nNAV\nof\nthe\nfund.\n The\ndelivery\nof\nCreation\nUnits\nso\ncreated\ngenerally\nwill\noccur\nno\nlater than the first Business\nDay\nfollowing\nthe\nday\non\nwhich\nthe\npurchase\norder\nis\ndeemed\nreceived\nby\nthe\nDistributor.

The\norder\nshall\nbe\ndeemed\nto\nbe\nreceived\non\nthe\nBusiness\nDay\non\nwhich\nthe\norder\nis\nplaced\nprovided\nthat\nthe\norder\nis\nplaced\nin\nproper\nform\nprior\nto\nthe\napplicable\ncut-off\ntime\nand\nthe\nfederal\nfunds\nin\nthe\nappropriate\namount\nare\ndeposited\nwith\nthe\nCustodian\non\nthe\nSettlement\nDate\nper\napplicable\ninstructions.\n If\nthe\norder\nis\nnot\nplaced\nin\nproper\nform\nas\nrequired,\nor\nfederal\nfunds\nin\nthe\nappropriate\namount\nare\nnot\nreceived\non\nthe\nSettlement\nDate\nper\napplicable\ninstructions,\nthen\nthe\norder\nmay\nbe\ndeemed\nto\nbe\nrejected\nand\nthe\nAuthorized\nParticipant\nshall\nbe\nliable\nto\nthe\nfund\nfor\nlosses,\nif\nany,\nresulting\ntherefrom.\n A\ncreation\nrequest\nis\nconsidered\nto\nbe\nin\n\"proper\nform\"\nif\nall\nprocedures\nset\nforth\nin\nthe\nParticipant\nAgreement,\norder\nform\nand\nthis\nSAI\nare\nproperly\nfollowed.


Fund	Order\nType	Cutoff\nTime (Eastern Standard Time)
BNY Mellon Ultra Short\nIncome ETF	Standard	3:00\nPM
Negotiated	3:00\nPM
Cash	3:00\nPM

ISSUANCE OF A CREATION UNIT. Except as provided herein, Creation Units will not be issued until the transfer of good title to the Trust of the Deposit Securities or payment of Deposit Cash, as applicable, and the payment of the Cash Component have been completed. When the subcustodian has confirmed to the Custodian that the required Deposit Securities (or the cash value thereof) have been delivered to the account of the relevant subcustodian or subcustodians, the Distributor and the Adviser shall be notified of such delivery, and the Trust will issue and cause the delivery of the Creation Units.

In instances where the Trust accepts Deposit Securities for the purchase of a Creation Unit, the Creation Unit may be purchased in advance of receipt by the Trust of all or a portion of the applicable Deposit Securities as described below. In these circumstances, the initial deposit will have a value greater than the NAV of the shares on the date the order is placed in proper form since in addition to available Deposit Securities, cash must be deposited in an amount equal to the sum of (i) the Cash Component, plus (ii) an additional amount of cash equal to a percentage of the market value as set forth in the Participant Agreement, of the undelivered Deposit Securities (the \"Additional Cash Deposit\"), which shall be maintained in a general non-interest bearing collateral account. An additional amount of cash shall be required to be deposited with the Trust, pending delivery of the missing Deposit Securities to the extent necessary to maintain the Additional Cash Deposit with the Trust in an amount at least equal to the applicable percentage, as set forth in the Participant Agreement, of the daily marked to market value of the missing Deposit Securities. The Trust may use such Additional Cash Deposit to buy the missing Deposit Securities at any time. Authorized Participants will be liable to the Trust for all costs, expenses, dividends, income and taxes associated with missing Deposit Securities, including the costs incurred by the Trust in connection with any such purchases. These costs will be deemed to include the amount by which the actual purchase price of the Deposit Securities exceeds the market value of such Deposit Securities on the day the purchase order was deemed received by the Distributor plus the brokerage and related transaction costs associated with such purchases. The Trust will return any unused portion of the Additional Cash Deposit once all of the missing Deposit Securities have been properly received by the Custodian or purchased by the Trust and deposited into the Trust. In addition, a transaction fee as set forth below under \"Creation and Redemption\nTransaction\nFees\"\nwill\nbe\ncharged\nin\nall\ncases\nand\nan\nadditional\nvariable\ncharge\nmay\nalso\nbe\napplied.\n The\ndelivery\nof\nCreation\nUnits\nso\ncreated\ngenerally\nwill\noccur\nno\nlater than the Settlement Date.

II-3

ACCEPTANCE\nOF\nORDERS\nOF\nCREATION\nUNITS.\n The\nTrust\nreserves\nthe\nright\nto\nreject\nan\norder\nfor\nCreation\nUnits\ntransmitted\nfor\nthe fund\nat\nits\ndiscretion,\nfor any legally permissible reason, including, but not limited to,\nif\n(a)\nthe\norder\nis\nnot\nin\nproper\nform;\n(b)\nthe\nDeposit\nSecurities\nor\nDeposit\nCash,\nas\napplicable,\ndelivered\nby\nthe\nAuthorized\nParticipant\nare\nnot\nas\ndisseminated\nthrough\nthe\nfacilities\nof\nthe\nNSCC\nfor\nthat\ndate\nby\nthe\nCustodian;\n(c)\nthe\ninvestor(s),\nupon\nobtaining\nthe\nshares\nordered,\nwould\nown\n80%\nor\nmore\nof\nthe\ncurrently\noutstanding\nshares\nof\nthe\nfund;\n(d)\nthe\nacceptance\nof\nthe\nFund\nDeposit\nwould,\nin\nthe\nopinion\nof\ncounsel,\nbe\nunlawful;\n(e)\nthe\nacceptance\nor\nreceipt\nof\nthe\norder\nfor\na\nCreation\nUnit\nwould,\nin\nthe\nopinion\nof\ncounsel\nto\nthe\nTrust,\nbe\nunlawful;\nor\n(f)\nin\nthe\nevent\nthat\ncircumstances\noutside\nthe\ncontrol\nof\nthe\nTrust,\nthe\nCustodian,\nthe\nTransfer\nAgent,\nthe Distributor and/or the Adviser make it for all practical\npurposes\nnot\nfeasible\nto\nprocess\norders\nfor\nCreation\nUnits.\n Examples\nof\nsuch\ncircumstances\ninclude\nacts\nof\nGod\nor\npublic\nservice\nor\nutility\nproblems\nsuch\nas\nfires,\nfloods,\nextreme\nweather\nconditions\nand\npower\noutages\nresulting\nin\ntelephone,\ntelecopy\nand\ncomputer\nfailures;\nmarket\nconditions\nor\nactivities\ncausing\ntrading\nhalts;\nsystems\nfailures\ninvolving\ncomputer\nor\nother\ninformation\nsystems\naffecting\nthe\nTrust,\nthe\nDistributor,\nthe\nCustodian,\nthe\nTransfer\nAgent,\nDTC,\nNSCC,\nFederal\nReserve\nSystem,\nor\nany\nother\nparticipant\nin\nthe\ncreation\nprocess,\nand\nother\nextraordinary\nevents.\n The\nTrust\nor\nits\nagents\nshall\ncommunicate\nto\nthe\nAuthorized\nParticipant\nits\nrejection\nof\nan\norder.\n The\nTrust,\nthe\nTransfer\nAgent,\nthe\nCustodian\nand\nthe\nDistributor\nare\nunder\nno\nduty,\nhowever,\nto\ngive\nnotification\nof\nany\ndefects\nor\nirregularities\nin\nthe\ndelivery\nof\nFund\nDeposits\nnor\nshall\neither\nof\nthem\nincur\nany\nliability\nfor\nthe\nfailure\nto\ngive\nany\nsuch\nnotification.\n The\nTrust,\nthe\nTransfer\nAgent,\nthe\nCustodian\nand\nthe\nDistributor\nshall\nnot\nbe\nliable\nfor\nthe\nrejection\nof\nany\npurchase\norder\nfor\nCreation\nUnits.\n Given the importance of the ongoing issuance of Creation Units to maintaining a market price that is\nat or close to the underlying net asset value of a fund, the Trust does not intend to suspend acceptance\nof orders for Creation Units.

All questions as to the number of shares of each security in the Deposit Securities and the validity, form, eligibility and acceptance for deposit of any securities to be delivered shall be determined by the Trust, and the Trust's determination shall be final and binding.

REDEMPTION. Shares may be redeemed only in Creation Units at their NAV next determined after receipt of a redemption request in proper form by the fund through the Transfer Agent and only on a Business Day. Except upon liquidation of the fund,\nthe\nTrust\nwill\nnot\nredeem\nshares\nin\namounts\nless\nthan\nCreation\nUnits.\n Investors\nmust\naccumulate\nenough\nshares\nin\nthe\nsecondary\nmarket\nto\nconstitute\na\nCreation\nUnit\nin\norder\nto\nhave\nsuch\nshares\nredeemed\nby\nthe\nTrust.\n There\ncan\nbe\nno\nassurance,\nhowever,\nthat\nthere\nwill\nbe\nsufficient\nliquidity\nin\nthe\npublic\ntrading\nmarket\nat\nany\ntime\nto\npermit\nassembly\nof\na\nCreation\nUnit.\n Investors\nshould\nexpect\nto\nincur\nbrokerage\nand\nother\ncosts\nin\nconnection\nwith\nassembling\na\nsufficient\nnumber\nof\nshares\nto\nconstitute\na\nredeemable\nCreation\nUnit.

The\nCustodian,\nthrough\nthe\nNSCC,\nmakes\navailable\nprior\nto\nthe\nopening\nof\nbusiness\non\nthe\nExchange\n(currently\n9:30\na.m.\n Eastern\ntime)\non\neach\nBusiness\nDay,\nthe\nlist\nof\nthe\nnames\nand\nshare\nquantities\nof\nsecurities\ndesignated\nby\nthe\nfund\nthat\nwill\nbe\napplicable\n(subject\nto\npossible\namendment\nor\ncorrection)\nto\nredemption\nrequests\nreceived\nin\nproper\nform\n(as\ndefined\nbelow)\non\nthat\nday\n(\"Redemption\nSecurities\").\n Redemption\nSecurities\nreceived\non\nredemption\nmay\nnot\nbe\nidentical\nto\nDeposit\nSecurities.\n The\nidentity\nand\nnumber\nof\nshares\nof\nthe\nRedemption\nSecurities\nor\nthe\nCash\nRedemption\nAmount\n(defined\nbelow)\nmay\nbe\nchanged\nfrom\ntime\nto\ntime\nwith\na\nview\nto\nthe\ninvestment\nobjective\nof\nthe\nfund.\n

Redemption\nproceeds\nfor\na\nCreation\nUnit\nare\npaid\neither\nin-kind\nor\nin\ncash\nor\na\ncombination\nthereof,\nas\ndetermined\nby\nthe\nTrust.\n With\nrespect\nto\nin-kind\nredemptions\nof\nthe\nfund,\nredemption\nproceeds\nfor\na\nCreation\nUnit\nwill\nconsist\nof\nRedemption\nSecurities\nplus\ncash\nin\nan\namount\nequal\nto\nthe\ndifference\nbetween\nthe\nNAV\nof\nthe\nshares\nbeing\nredeemed,\nas\nnext\ndetermined\nafter\na\nreceipt\nof\na\nrequest\nin\nproper\nform,\nand\nthe\nvalue\nof\nthe\nRedemption\nSecurities\n(the\n\"Cash\nRedemption\nAmount\"),\nless\na\nfixed\nredemption\ntransaction\nfee\nand\nany\napplicable\nadditional\nvariable\ncharge\nas\nset\nforth\nbelow.\n In\nthe\nevent\nthat\nthe\nRedemption\nSecurities\nhave\na\nvalue\ngreater\nthan\nthe\nNAV\nof\nthe\nshares,\na\ncompensating\ncash\npayment\nequal\nto\nthe\ndifferential\nis\nrequired\nto\nbe\nmade\nby\nor\nthrough\nan\nAuthorized\nParticipant\nby\nthe\nredeeming\nshareholder.\n Notwithstanding the foregoing: (i) the Trust will substitute a cash in lieu amount to replace any fund\nsecurity that is a TBA transaction and the amount of cash paid out in such cases will be equivalent to\nthe value of the TBA transaction listed as a fund security and (ii) at the Trust's discretion, an Authorized Participant may receive the corresponding cash value of the securities in lieu of the in-kind securities value representing one or more Redemption Securities.

PROCEDURES FOR REDEMPTION OF CREATION UNITS. After the Trust has deemed an order for redemption received, the Trust will initiate procedures to transfer the requisite Redemption Securities and the Cash Redemption Amount to the Authorized Participant by the Settlement Date. The \"Settlement\nDate\" for orders to redeem shares is

II-4

generally\nthe first Business Day (T+1) after the Order Placement Date. With respect to in-kind redemptions of the fund, the calculation of the value of the Redemption Securities and the Cash Redemption Amount to be delivered upon redemption will be made by the Custodian computed on the Business Day on which a redemption order is deemed received by the Trust. Therefore, if a redemption order in proper form is submitted to the Distributor by a DTC Participant by the specified time on the Order Placement Date, and the requisite number of shares of the fund are delivered to the Custodian per applicable instructions on the Settlement Date, then the value of the Redemption Securities and the Cash Redemption Amount to be delivered will be determined by the Custodian on such Order Placement Date. If\nthe\nrequisite\nnumber\nof\nshares\nof\nthe\nfund\nare\nnot\ndelivered\non\nthe\nSettlement\nDate\nper\napplicable\ninstructions,\nthe\nfund\nwill\nnot\nrelease\nthe\nunderlying\nsecurities\nfor\ndelivery\nunless\ncollateral\nis\nposted\nin\nsuch\npercentage\namount\nof\nmissing\nshares\nas\nset\nforth\nin\nthe\nParticipant\nAgreement\n(marked\nto\nmarket\ndaily).


Fund	Order\nType	Cutoff\nTime (Eastern Standard Time)
BNY Mellon Ultra Short\nIncome ETF	Standard	3:00\nPM
Negotiated	3:00\nPM
Cash	3:00\nPM

With respect to in-kind redemptions of the fund, in connection with taking delivery of shares of Redemption Securities upon redemption of Creation Units, an Authorized Participant must maintain appropriate custody arrangements with a qualified broker-dealer, bank or other custody providers in each jurisdiction in which any of the Redemption Securities are customarily traded (or such other arrangements as allowed by the Trust or its agents), to which account\nsuch\nRedemption\nSecurities\nwill\nbe\ndelivered.\n The Fund generally intends to effect deliveries of redemption proceeds on a T+1 basis. With\nrespect to in-kind redemptions of the fund, due to the schedule of holidays in certain countries, however, the delivery of in-kind redemption proceeds may take longer than the standard settlement\nperiod following the day on which the redemption request is received in proper form. If the Authorized Participant has not made appropriate arrangements to take delivery of the Redemption Securities in the applicable foreign jurisdiction and it is not possible to make other such arrangements, or if it is not possible to effect deliveries of the Redemption Securities in such jurisdiction, the Trust may, in its discretion, exercise its option to redeem such shares in cash, and the Authorized Participant will be required to receive its redemption proceeds in cash. If it is not possible to make other such arrangements, or if it is not possible to effect deliveries of the Redemption Securities, the Trust may in its discretion exercise its option to redeem such shares in cash, and the redeeming investor will be required to receive its redemption proceeds in cash. In addition, an investor may request a redemption in cash that the fund may, in its sole discretion, permit. In either case, the investor will receive a cash payment equal to the NAV of its shares based on the NAV of shares of the fund next determined after the redemption request is received in proper form (minus a redemption transaction fee and additional charge for cash redemptions described below,\nto\noffset\nthe\nTrust's\nbrokerage\nand\nother\ntransaction\ncosts\nassociated\nwith\nthe\ndisposition\nof\nRedemption\nSecurities).\n The fund may also, in its sole discretion, upon request of a shareholder, provide such redeemer a portfolio of securities that differs from the exact composition of the Redemption Securities but does not differ in NAV.

An Authorized Participant submitting a redemption request is deemed to represent to the Trust that, as of the close of the Business Day on which the redemption request was submitted, it (or its client) will own (within the meaning of Rule 200 of Regulation SHO) or has arranged to borrow for delivery to the Trust on or prior to the Settlement Date of the redemption request, the requisite number of shares of the fund to be redeemed as a Creation Unit. In either case, the Authorized Participant is deemed to acknowledge that: (i) it (or its client) has full legal authority and legal right to tender for redemption the requisite number of shares of the fund and to receive the entire proceeds of the redemption; and (ii) if such shares submitted for redemption have been loaned or pledged to another\nparty\nor\nare\nthe\nsubject\nof\na\nrepurchase\nagreement,\nsecurities\nlending\nagreement\nor\nany\nother\narrangement\naffecting\nlegal\nor\nbeneficial\nownership\nof\nsuch\nshares\nbeing\ntendered,\nthere\nare\nno\nrestrictions\nprecluding\nthe\ntender\nand\ndelivery\nof\nsuch\nshares\n(including\nborrowed\nshares,\nif\nany)\nfor\nredemption,\nfree\nand\nclear\nof\nliens,\non\nthe\nredemption\nSettlement\nDate.\n The\nTrust\nreserves\nthe\nright\nto\nverify\nthese\nrepresentations\nat\nits\ndiscretion,\nbut\nwill\ntypically\nrequire\nverification\nwith\nrespect\nto\na redemption\nrequest\nfrom\nthe\nfund\nin\nconnection\nwith\nhigher\nlevels\nof\nredemption\nactivity\nand/or\nshort\ninterest\nin\nthe\nfund.\n If\nthe\nAuthorized\nParticipant,\nupon\nreceipt\nof\na\nverification\nrequest,\ndoes\nnot\nprovide\nsufficient\nverification\nof\nits\nrepresentations\nas\ndetermined\nby\nthe\nTrust,\nthe\nredemption\nrequest\nwill\nnot\nbe\nconsidered\nto\nhave\nbeen\nreceived\nin\nproper\nform\nand\nmay\nbe\nrejected\nby\nthe\nTrust.

II-5

Redemptions\nof\nshares\nfor\nRedemption\nSecurities\nwill\nbe\nsubject\nto\ncompliance\nwith\napplicable\nfederal\nand\nstate\nsecurities\nlaws\nand\nthe\nfund\n(whether\nor\nnot\nit\notherwise\npermits\ncash\nredemptions)\nreserves\nthe\nright\nto\nredeem\nCreation\nUnits\nfor\ncash\nto\nthe\nextent\nthat\nthe\nTrust\ncould\nnot\nlawfully\ndeliver\nspecific\nRedemption\nSecurities\nupon\nredemptions\nor\ncould\nnot\ndo\nso\nwithout\nfirst\nregistering\nthe\nRedemption\nSecurities\nunder\nsuch\nlaws.\n An\nAuthorized\nParticipant\nor\nan\ninvestor\nfor\nwhich\nit\nis\nacting\nsubject\nto\na legal\nrestriction\nwith\nrespect\nto\na particular\nsecurity\nincluded\nin\nthe\nRedemption\nSecurities\napplicable\nto\nthe\nredemption\nof\nCreation\nUnits\nmay\nbe\npaid\nan\nequivalent\namount\nof\ncash.\n The\nAuthorized\nParticipant\nmay\nrequest\nthe\nredeeming\ninvestor\nof\nthe\nshares\nto\ncomplete\nan\norder\nform\nor\nto\nenter\ninto\nagreements\nwith\nrespect\nto\nsuch\nmatters\nas\ncompensating\ncash\npayment.\n Further,\nan\nAuthorized\nParticipant\nthat\nis\nnot\na\n\"qualified\ninstitutional\nbuyer,\"\n(\"QIB\")\nas\nsuch\nterm\nis\ndefined\nunder\nRule\n144A\nof\nthe\nSecurities\nAct,\nwill\nnot\nbe\nable\nto\nreceive\nRedemption\nSecurities\nthat\nare\nrestricted\nsecurities\neligible\nfor\nresale\nunder\nRule\n144A.\n An Authorized\nParticipant\nmay\nbe\nrequired\nby\nthe\nTrust\nto\nprovide\na\nwritten\nconfirmation\nwith\nrespect\nto\nQIB\nstatus\nin\norder\nto\nreceive\nRedemption\nSecurities.

The\nright\nof\nredemption\nmay\nbe\nsuspended\nor\nthe\ndate\nof\npayment\npostponed\nfor\nthe\nfund\n(1)\nfor\nany\nperiod\nduring\nwhich\nthe\nExchange\nis\nclosed\n(other\nthan\ncustomary\nweekend\nand\nholiday\nclosings);\n(2)\nfor\nany\nperiod\nduring\nwhich\ntrading\non\nthe\nExchange\nis\nsuspended\nor\nrestricted;\n(3)\nfor\nany\nperiod\nduring\nwhich\nan\nemergency\nexists\nas\na\nresult\nof\nwhich\ndisposal\nof\nthe\nshares\nof\nthe\nfund\nor\ndetermination\nof\nthe\nNAV\nof\nthe\nshares\nis\nnot\nreasonably\npracticable;\nor\n(4)\nin\nsuch\nother\ncircumstance\nas\nis\npermitted\nby\nthe\nSEC.

CREATION\nAND\nREDEMPTION\nTRANSACTION\nFEES.\n A\ntransaction\nfee,\nas\nset\nbelow,\nis\nimposed\nfor\nthe\ntransfer\nand\nother\ntransaction\ncosts\nassociated\nwith\nthe\npurchase\nor\nredemption\nof\nCreation\nUnits,\nas\napplicable.\n Authorized\nParticipants\nwill\nbe\nrequired\nto\npay\na\nfixed\ncreation\ntransaction\nfee\nand/or\na\nfixed\nredemption\ntransaction\nfee,\nas\napplicable,\non\na\ngiven\nday\nregardless\nof\nthe\nnumber\nof\nCreation\nUnits\ncreated\nor\nredeemed\non\nthat\nday.\n The fund may adjust the transaction fee from time to time. An additional charge or a variable charge (discussed below) will be applied to certain creation and redemption transactions, including non-standard orders and whole or partial cash purchases or redemptions. With respect to creation orders, Authorized Participants are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust and with respect to redemption\norders,\nAuthorized\nParticipants\nare\nresponsible\nfor\nthe\ncosts\nof\ntransferring\nthe\nRedemption\nSecurities\nfrom\nthe\nTrust\nto\ntheir\naccount\nor\non\ntheir\norder.\n Investors\nwho\nuse\nthe\nservices\nof\na\nbroker\nor\nother\nsuch\nintermediary\nmay\nalso\nbe\ncharged\na\nfee\nfor\nsuch\nservices.

The\ntransaction fee for purchases and redemptions of Creation Units of the fund is $250.

From\ntime to time, the fund may waive all or a portion of its applicable transaction fee(s). An additional\ncharge of up to three (3) times the standard transaction fee may be charged to the extent a transaction\nis outside of the clearing process.

In addition to the transaction fees noted\nabove, the fund may charge an additional variable fee for transactions in cash to offset brokerage and\nimpact expenses associated with the cash transaction. The variable transaction fee will be calculated\nbased on historical transaction cost data and the Adviser’s view of current market conditions;\nhowever, the actual variable fee charged for a given transaction may be lower or higher than the trading\nexpenses incurred by the fund with respect to that transaction.

II-6

\nINVESTMENTS, INVESTMENT TECHNIQUES AND RISKS

The following charts, which supplement and should be read together with the information in the prospectus, indicate some of the specific investments and investment techniques applicable to the fund. Additional policies and restrictions are described in the prospectus and below in the next section (see \"Investment Restrictions\"). See \"Additional Information About Investments, Investment Techniques and Risks\" in Part III of this SAI for more information, including important risk disclosure, about the investments and investment techniques applicable to the fund.


Fund	U.S. Government Securities	Corporate Debt Securities	High\nYield and Lower-Rated Securities	Zero\nCoupon, Pay-in-Kind and Step-Up Securities	Inflation-Indexed Securities
BNY Mellon Ultra Short\nIncome ETF					


Fund	Variable\nand Floating Rate Securities	Mortgage-Backed\nSecurities	Asset-Backed\nSecurities	Collateralized\nDebt Obligations
BNY\nMellon Ultra Short Income ETF				


Fund	Municipal\nSecurities	Money\nMarket Instruments	Foreign\nSecurities	Emerging\nMarkets	Sovereign\nDebt Obligations and Brady Bonds
BNY Mellon Ultra Short Income ETF					


Fund	Eurodollar\nand Yankee Dollar Investments	Investment\nCompanies	ETFs	Futures\nTransactions	Options\nTransactions
BNY\nMellon Ultra Short Income ETF					

II-7


Fund	Lending\nPortfolio Securities	Borrowing\nMoney
BNY\nMellon Ultra Short Income ETF		


Fund	Forward\nCommitments	Forward\nRoll Transactions	Illiquid\nInvestments	Section\n4(a)(2) Paper and Rule 144A Securities
BNY Mellon Ultra Short Income ETF				

INVESTMENT\nRESTRICTIONS

\"Fundamental Policies\" may not be changed without approval of the holders of a majority of the fund's outstanding voting securities (as defined in the 1940 Act). Under the 1940 Act,\nthe vote of a majority of the fund's outstanding voting securities means the vote of (A) 67% or more\nof the voting securities present at a meeting, if the holders of more than 50% of the outstanding voting\nsecurities of the fund are present or represented by proxy; or (B) more than 50% of the outstanding voting\nsecurities of the fund, whichever is less. \"Nonfundamental Policies\" may be changed at any time, without shareholder approval, by a vote of a majority of the board members and in compliance with applicable law and regulatory policy. Notwithstanding investments\nand activities referenced in the Fundamental and Nonfundamental Policies of the fund, the fund will not\ninvest in a manner, or engage in activities, inconsistent with or not permitted by the fund's investment\nstrategy and policies as described in the fund's prospectus and this SAI.

Fundamental\nPolicies

As a matter of Fundamental Policy, the fund, may not:

1. Borrowing

Borrow money, except to the extent permitted under the 1940 Act. For purposes of this Fundamental Policy, the entry into options, forward contracts, futures contracts, including those related to indices, other derivatives and options on futures contracts or indices or other derivatives shall not constitute borrowing, to the extent covered in accordance with applicable SEC and staff guidance.

2. Commodities

Invest in physical commodities, except that the fund may purchase and sell commodity-linked or\nindex-linked structured notes, commodity-related ETFs or ETNs, options, forward contracts, futures contracts, including those related to indices, and options on futures contracts or indices and enter into swap agreements and other derivative instruments.

3. Issuer Diversification

With\nrespect to 75% of its total assets, purchase securities of an issuer (other than the U.S. Government,\nits agencies, instrumentalities or authorities or repurchase agreements collateralized by U.S. Government\nsecurities and other investment companies), if: (a) such purchase would cause more than 5% of the fund's\ntotal assets taken at market value to be invested in the securities of such issuer; or (b) such purchase\nwould at the time result in more than 10% of the outstanding voting securities of such issuer being held\nby the fund.

4.\n Industry\nConcentration

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Invest\nmore\nthan\n25%\nof\nits\nassets\nin\nthe\nsecurities\nof\nissuers\nin\nany\nsingle\nindustry,\nprovided\nthat\nthere\nshall\nbe\nno\nlimitation\non\nthe\npurchase\nof\nobligations\nissued\nor\nguaranteed\nby\nthe\nU.S.\nGovernment,\nits\nagencies\nor\ninstrumentalities\nor shares of other investment companies; except that the fund will invest more than 25% of its assets\nin the banking industry (however, during periods when the fund invests for temporary defensive purposes,\nthe fund's assets may not be concentrated in the banking industry).

5. Loans

Lend any securities or make loans to others, except to the extent permitted under the 1940 Act (which currently limits such loans to no more than 33-1/3% of the value of the fund's total assets) or as otherwise permitted by the SEC. For purposes of this Fundamental Policy, the purchase of debt obligations (including acquisitions of loans, loan participations or other forms of debt instruments) and the entry into repurchase agreements shall not constitute loans by the fund. Any loans of portfolio securities will be made according to guidelines established by the SEC and the board.

6. Real Estate

Purchase, hold or deal in real estate, but the fund may purchase and sell securities that are secured by real estate or issued by companies that invest or deal in real estate or REITs and may acquire and hold real estate or interests therein through exercising rights or remedies with regard to such securities.

7. Senior Securities

Issue any senior security (as such term is defined in Section 18(f) of the 1940 Act), except insofar as the fund may be deemed to have issued a senior security by reason of borrowing money in accordance with the fund's borrowing policies or otherwise to the extent permitted under the 1940 Act. For purposes of this Fundamental Policy, collateral, escrow, or margin or other deposits with respect to the making of short sales, the purchase or sale of futures contracts or options and other derivative instruments, purchase or sale of forward foreign currency contracts and the writing of options are not deemed to be an issuance of a senior security, to the extent covered in accordance with applicable SEC and staff guidance.

8. Underwriting

Act as an underwriter of securities of other issuers, except to the extent the fund may be deemed an underwriter under the Securities Act by virtue of disposing of portfolio securities.

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References to \"commodities\" in the Fundamental Policy described above are to physical commodities, typically natural resources or agricultural products, and are not intended to refer to instruments that are strictly financial in nature and are not related\nto the purchase or delivery of physical commodities.

For purposes of the Fundamental\nPolicy regarding industry concentration:

· The fund will not invest more than 25% of the fund's total\nassets in securities issued or guaranteed by a single foreign government or by a single foreign supranational\nentity.

· It\nis possible for the value of the fund’s net assets invested in an industry to exceed 25% due to\nfactors other than an investment made by the fund, such as fluctuations in the market value of the fund’s\nportfolio investments. During times when the fund is experiencing such a passive exceedance of the 25%\nlimit, the fund may continue to accept orders for the purchase of Creation Units that include one or\nmore investments in the relevant industry or cash-in-lieu of such investments (and subsequent purchase\nof such investments with the cash-in-lieu amount) consistent with SEC guidance and applicable law.

For\npurposes\nof\nthe\nFundamental\nPolicy\nregarding\nsenior\nsecurities,\nthe\n1940\nAct\ngenerally\nprohibits\nfunds\nfrom\nissuing\nsenior\nsecurities,\nalthough\nit\ndoes\nnot\ntreat\ncertain\ntransactions\nas\nsenior\nsecurities,\nsuch\nas\ncertain\nborrowings,\nwith\nappropriate\nasset\ncoverage.

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With\nrespect to the Fundamental Policies regarding borrowing and senior securities, in October 2020, the SEC\nadopted Rule 18f-4 under the 1940 Act, which governs registered funds' use of derivatives. Should the\nfund engage in derivatives transactions, the fund will comply with Rule 18f-4, which does not include\nasset segregation or coverage requirements.

The fund's Fundamental Policies will be interpreted broadly. For example, the policies will be interpreted to refer to the 1940 Act and the related rules as they are in effect from time to time, and to interpretations and modifications of or relating to the 1940 Act by the SEC and others as they are given from time to time. When a Fundamental Policy provides that an investment practice may be conducted as permitted by the 1940 Act, this will be interpreted to mean that the investment practice is either (i) expressly permitted by the 1940 Act or the rules thereunder\nor\n(ii)\nnot\nexpressly\nprohibited\nby\nthe\n1940\nAct\nor the rules thereunder.

For both Fundamental and Nonfundamental Policies, if a percentage restriction is adhered to at the time of investment, a later\nchange\nin\npercentage\nresulting\nfrom\na\nchange\nin\nvalues\nor\nassets\nwill\nnot\nconstitute\na\nviolation\nof\nsuch\nrestriction,\nexcept\nas otherwise\nrequired\nby\nthe\n1940\nAct.\n With\nrespect\nto\nthe\nfund's\npolicies\npertaining\nto\nborrowing,\nhowever,\nif\nborrowings\nexceed\n33-1/3%\nof\nthe\nvalue\nof\nthe\nfund's\ntotal\nassets\nas\na\nresult\nof\na\nchange\nin\nvalues\nor\nassets,\nthe\nfund\nmust\ntake\nsteps\nto\nreduce\nsuch\nborrowings\nwithin\nthree\ndays\n(not\nincluding\nSundays\nand\nholidays)\nthereafter\nat\nleast\nto\nthe\nextent\nof\nsuch\nexcess.

The\nfund is classified as \"diversified\" under the 1940 Act.

Nonfundamental\nPolicies

\n Investment\nObjective.\n The\nfund's\ninvestment\nobjective\nis\ndisclosed\nin\nits\nprospectus.\n The fund's investment objective is a Nonfundamental Policy.

Funds-of-Funds.\n The\nfund\nhas\nadopted\na\nNonfundamental\npolicy\nprohibiting\nit\nfrom\nacquiring\nshares\nof\nother\nfunds\nin\nreliance\non\nSection\n12(d)(1)(F)\nor\nSection\n12(d)(1)(G)\nof\nthe\n1940\nAct.

\nINFORMATION ABOUT THE FUND'S ORGANIZATION AND STRUCTURE

The Trust is an open-end management investment company, registered under the 1940 Act, consisting of multiple fund series. The fund is a series\nof\nthe\nTrust,\nand\ninvestments are made through, and shareholders invest in, the fund. The offering of the fund's shares is registered under the Securities Act. References in this SAI to the \"fund\"\ngenerally\nrefer\nto\na\nseries\nof\nthe\nTrust.\n The Trust was organized as a Massachusetts business trust on June 4, 2010.

CERTAIN\nEXPENSE ARRANGEMENTS

The fund's management agreement provides that the Adviser\nwill pay substantially all expenses of the fund, except for the management fees, payments under the fund's\n12b-1 plan (if any), interest expenses, taxes, acquired fund fees and expenses, brokerage commissions,\ncosts of holding shareholder meetings, fees and expenses associated with the fund's securities lending\nprogram (if any), and litigation and potential litigation and other extraordinary expenses not incurred\nin the ordinary course of the fund's business.

The Adviser may from time to time voluntarily\nwaive and/or reimburse fees or expenses in order to limit total annual fund operating expenses. Any\nsuch voluntary waiver or reimbursement may be eliminated by the Adviser at any time.

COUNSEL\nAND INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Morgan, Lewis & Bockius LLP, 1111 Pennsylvania Avenue, NW, Washington, DC 20004 serves as counsel to the fund.

Ernst & Young LLP,\nOne Manhattan West, New York, NY, 10001, an independent registered public accounting firm, has been selected\nto\nserve\nas\nthe\nindependent\nregistered\npublic\naccounting\nfirm\nfor\nthe\nfund.

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PART III

ADDITIONAL INFORMATION ABOUT BUYING AND SELLING\nSHARES

The Code imposes various limitations on the amount that may be contributed by\nfund shareholders to certain Retirement Plans or government sponsored programs. These limitations apply\nto participants at the Retirement Plan level and, therefore, do not directly affect the amount that may\nbe invested in the fund by a Retirement Plan or government sponsored programs. Participants and Retirement\nPlan or program sponsors should consult their tax advisors for details.

Frequent\nPurchases and Exchanges

The vast majority of trading in fund shares occurs on the\nsecondary market and does not involve the fund directly. Unlike frequent trading of shares of a traditional\nopen-end mutual fund (i.e., not exchange-traded shares), frequent trading of shares on the secondary\nmarket does not disrupt portfolio management, increase the fund's trading costs, lead to realization\nof capital gains by the fund, or otherwise harm fund shareholders because these trades do not involve\nthe fund directly. A few institutional investors are authorized to purchase and redeem the fund’s\nshares directly with the fund in Creation Unit aggregations. Fund shares may be purchased and redeemed\ndirectly from the fund only in Creation Units by Authorized Participants, principally in exchange for\ncash. Cash purchases and/or redemptions of Creation Units can result in disruption of portfolio management,\ndilution to the fund and increased transaction costs, which could negatively impact the fund's ability\nto achieve its investment objective, and may lead to the realization of capital gains. These consequences\nmay increase as the frequency of cash purchases and redemptions of Creation Units by Authorized Participants\nincreases. When these trades are effected in-kind (i.e., for securities, and not for cash), the potential\nfor harmful effects that may result from frequent cash trades is not as present. Because purchase and\nredemption transactions with Authorized Participants are an essential part of the ETF process and may\nhelp keep ETF trading prices in line with net asset value, the fund accommodates frequent purchases and\nredemptions by Authorized Participants and the board has not adopted policies and procedures with respect\nto frequent purchases and redemptions of fund shares. Moreover, the fund imposes transaction fees on\nin-kind purchases and redemptions of the fund intended to cover the custodial and other costs incurred\nby the fund in effecting in-kind trades. To help mitigate the costs associated with cash transactions,\nthe fund imposes additional transaction fees on purchases and redemptions of Creation Units in cash.\n The fund reserves the right to not accept creation orders, as discussed above under \"Purchase and Redemption\nof Creation Units.\"

INFORMATION\nABOUT SHAREHOLDER SERVICES

Broker dealers or other financial intermediaries,\nat their own discretion, may offer a dividend reinvestment service under which shares are purchased in\nthe secondary market at current market prices. Investors should consult their broker dealer or other\nfinancial intermediary for further information regarding any dividend reinvestment service offered.

\nINFORMATION ABOUT DISTRIBUTION AND SERVICE PLANS

The\nboard of the Trust has adopted a Plan pursuant to Rule 12b-1 under the 1940 Act for the fund. Under\nthe 12b-1 Plan, the fund is authorized to pay shareholder services and distribution fees in connection\nwith the sale and distribution of its shares in an amount up to 0.25% of its average daily net assets\neach year. No payments pursuant to the 12b-1 Plan will be made through at least the next twelve (12)\nmonths of operation. Additionally, the implementation of any such payments would have to be approved\nby the board prior to implementation. Because these fees would be paid out of the fund's assets on an\nongoing basis, if payments are made in the future, these fees will increase the cost of your investment\nand may cost you more over time.

A written quarterly report of the amounts\nexpended under the fund's 12b-1 Plan, and the purposes for which such expenditures were incurred, must\nbe made to the fund's board for its review. Currently, only a Plan pursuant to Rule 12b-1 has been adopted,\nbut other Plans may be adopted in the future not pursuant to Rule 12b-1 (although none are currently\nintended to be adopted). For a Plan adopted pursuant to Rule 12b-1, such Plan provides that it may not\nbe amended to increase materially the costs that holders of the fund's shares may bear pursuant to the\nPlan without the approval of the holders of such shares; other material amendments of the Plan must be\napproved by the board and by

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the Independent Board Members of the fund who have no direct or indirect financial\ninterest in the operation of the Plan or in any agreements entered into in connection with the Plan,\nby vote cast in person at a meeting called for the purpose of considering such amendments. The 12b-1\nPlan is subject to annual approval by such vote of the board members cast in person at a meeting called\nfor the purpose of voting on the Plan. The 12b-1 Plan is generally terminable at any time by vote of\na majority of the Independent Board Members of the fund who have no direct or indirect financial interest\nin the operation of the Plan or in any agreements related to the Plan or by vote of a majority of the\noutstanding voting securities of the fund.

ADDITIONAL\nINFORMATION ABOUT INVESTMENTS, INVESTMENT
TECHNIQUES AND RISKS

\nFixed-Income Securities

Fixed-income securities\ninclude interest-bearing securities, such as corporate debt securities. Interest-bearing securities\nare investments which promise a stable stream of income, although the prices of fixed rate fixed-income\nsecurities are inversely affected by changes in interest rates and, therefore, are subject to interest\nrate risk, as well as the risk of unrelated market price fluctuations. Fixed-income securities may have\nvarious interest rate payment and reset terms, including fixed rate, floating or adjustable rate, zero\ncoupon, contingent, deferred, payment in kind and auction rate features. Floating rate instruments,\nthe rates of which adjust periodically by reference to another measure, such as the market interest rate,\nare generally less sensitive to interest rate changes than fixed rate instruments, although the value\nof floating rate loans and other floating rate securities may decline if their interest rates do not\nrise as quickly, or as much, as general interest rates or as expected. Certain securities, such as those\nwith interest rates that fluctuate directly or indirectly based on multiples of a stated index, are designed\nto be highly sensitive to changes in interest rates and can subject the holders thereof to extreme reductions\nof yield and possibly loss of principal. Certain fixed-income securities may be issued at a discount\nfrom their face value or purchased at a price less than their stated face amount or at a price less than\ntheir issue price plus the portion of \"original issue discount\" previously accrued thereon, i.e., purchased\nat a \"market discount.\" The amount of original issue discount and/or market discount on certain obligations\nmay be significant, and accretion of market discount together with original issue discount will cause\nthe fund to realize income prior to the receipt of cash payments with respect to these securities. In\norder for the fund to maintain its qualification as a RIC and avoid liability for federal income taxes,\nthe fund may be required to distribute such income accrued with respect to these securities and may have\nto dispose of portfolio securities under disadvantageous circumstances in order to generate cash to satisfy\nthese distribution requirements.

Failure of an issuer to make timely interest\nor principal payments, or a decline or perception of a decline in the credit quality of a fixed-income\nsecurity (known as credit risk), can cause the security's price to fall, potentially lowering the fund's\nshare price. The values of fixed-income securities also may be affected by changes in the credit rating\nof the issuer. Once the rating of a portfolio security has been changed, the fund will consider all\ncircumstances deemed relevant in determining whether to continue to hold the security. Fixed-income\nsecurities rated below investment grade by the Rating Agencies may be subject to greater risks with respect\nto the issuing entity and to greater market fluctuations (and not necessarily inversely with changes\nin interest rates) than certain lower yielding, higher-rated fixed-income securities. See \"High Yield\nand Lower-Rated Securities\" below for a discussion of those securities and see \"Rating Categories\" below\nfor a general description of the Rating Agencies' ratings.

As a measure of a fixed-income\nsecurity's cash flow, duration is an alternative to the concept of \"term to maturity\" in assessing the\nprice volatility associated with changes in interest rates (known as interest rate risk). Generally,\nthe longer the duration, the more volatility an investor should expect. For example, the market price\nof a bond with a duration of three years would be expected to decline 3% if interest rates rose 1%.\nConversely, the market price of the same bond would be expected to increase 3% if interest rates fell\n1%. The market price of a bond with a duration of six years would be expected to increase or decline\ntwice as much as the market price of a bond with a three-year duration. Duration is a way of measuring\na security's maturity in terms of the average time required to receive the present value of all interest\nand principal payments as opposed to its term to maturity. The maturity of a security measures only\nthe time until final payment is due; it does not take account of the pattern of a security's cash flows\nover time, which would include how cash flow is affected by prepayments and by changes in interest rates.\n Incorporating a security's yield, coupon interest payments, final maturity and option features into\none measure, duration is computed by determining the weighted average maturity of a bond's cash flows,\nwhere the present values

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of the cash flows serve as weights. In computing the duration of the fund, the\nSub-Adviser will estimate the duration of obligations that are subject to features such as prepayment\nor redemption by the issuer, put options retained by the investor or other imbedded options, taking into\naccount the influence of interest rates on prepayments and coupon flows.

Average\nweighted maturity is the length of time, in days or years, until the securities held by the fund, on\naverage, will mature or be redeemed by their issuers. The average maturity is weighted according to\nthe dollar amounts invested in the various securities by the fund. In general, the longer a fund's average\nweighted maturity, the more its share price will fluctuate in response to changing interest rates. For\npurposes of calculating average effective portfolio maturity, a security that is subject to redemption\nat the option of the issuer on a particular date (the \"call date\") which is prior to the security's stated\nmaturity may be deemed to mature on the call date rather than on its stated maturity date. The call\ndate of a security will be used to calculate average effective portfolio maturity when the Sub-Adviser\nreasonably anticipates, based upon information available to it, that the issuer will exercise its right\nto redeem the security. The Sub-Adviser may base its conclusion on such factors as the interest rate\npaid on the security compared to prevailing market rates, the amount of cash available to the issuer\nof the security, events affecting the issuer of the security, and other factors that may compel or make\nit advantageous for the issuer to redeem a security prior to its stated maturity.

When\ninterest rates fall, the principal on certain fixed-income securities, including mortgage-backed and\ncertain asset-backed securities (discussed below), may be prepaid. The loss of higher yielding underlying\nmortgages and the reinvestment of proceeds at lower interest rates can reduce the fund's potential price\ngain in response to falling interest rates, reduce the fund's yield, or cause the fund's share price\nto fall. This is known as prepayment risk. Conversely, when interest rates rise, the effective duration\nof the fund's fixed rate mortgage-backed and other asset- backed securities may lengthen due to a drop\nin prepayments of the underlying mortgages or other assets. This is known as extension risk and would\nincrease the fund's sensitivity to rising interest rates and its potential for price declines.

\nU.S. Government Securities. U.S. Government securities, which are\ninterest-bearing securities that promise a stable stream of income, are issued or guaranteed by the U.S.\nGovernment or its agencies or instrumentalities. U.S. Government securities include Treasury bills,\nTreasury notes and Treasury bonds, which differ in their interest rates, maturities and times of issuance.\n Treasury bills have initial maturities of one year or less; Treasury notes have initial maturities of\none to ten years; and Treasury bonds generally have initial maturities of greater than ten years. The\nprices of U.S. Government securities are inversely affected by changes in interest rates and, therefore,\nare subject to interest rate risk, as well as the risk of unrelated market price fluctuations. In general,\nthe longer a security's maturity, the more it will fluctuate in response to changing interest rates. \nSome obligations issued or guaranteed by U.S. Government agencies and instrumentalities are supported\nby the full faith and credit of Treasury; others by the right of the issuer to borrow from Treasury;\nothers by discretionary authority of the U.S. Government to purchase certain obligations of the agency\nor instrumentality; and others only by the credit of the agency or instrumentality. These securities\nbear fixed, floating or variable rates of interest. While the U.S. Government currently provides financial\nsupport to such U.S. Government-sponsored agencies or instrumentalities, no assurance can be given that\nit will always do so, since it is not so obligated by law. A security backed by Treasury or the full\nfaith and credit of the United States is guaranteed only as to timely payment of interest and principal\nwhen held to maturity. Neither the market value nor the fund's share price is guaranteed.

TIPS\nare issued by Treasury and are designed to provide investors a long-term investment vehicle that is not\nvulnerable to inflation. The interest rate paid by TIPS is fixed, while the principal value rises or\nfalls semi-annually based on changes in a published Consumer Price Index. Thus, if inflation occurs,\nthe principal and interest payments on the TIPS are adjusted accordingly to protect investors from inflationary\nloss. During a deflationary period, the principal and interest payments decrease, although the TIPS'\nprincipal will not drop below its face value at maturity. In exchange for the inflation protection,\nTIPS generally pay lower interest rates than typical Treasury securities. Only if inflation occurs will\nTIPS offer a higher real yield than a conventional Treasury bond of the same maturity. The secondary\nmarket for TIPS may not be as active or liquid as the secondary market for conventional Treasury securities.\n Principal appreciation and interest payments on TIPS generally will be taxed annually as ordinary interest\nincome or original issue discount for federal income tax calculations. As a result, any appreciation\nin principal generally will be counted as income in the year the increase occurs, even though the investor\nwill not

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receive such amounts until the TIPS are sold or mature. Principal appreciation\nand interest payments will be exempt from state and local income taxes.

Many\nstates grant tax-free status to dividends paid to shareholders of a fund from interest income earned\nby that fund from direct obligations of the U.S. Government, subject in some states to minimum investment\nrequirements that must be met by the fund. Investments in securities issued by GNMA, bankers' acceptances,\ncommercial paper and repurchase agreements collateralized by U.S. Government securities do not generally\nqualify for tax-free treatment.

On August 5, 2011, S&P lowered its long-term\nsovereign credit rating for the United States of America to \"AA+\" from \"AAA.\" On August 1, 2023, Fitch\nlowered the United States of America's long-term foreign-currency issuer default rating to \"AA+\" from\n\"AAA.\" On May 16, 2025, Moody's lowered the United States of America's long-term issuer rating to \"Aa1\"\nfrom \"Aaa.\" The value of shares of a fund that may invest in U.S. Government obligations may be adversely\naffected by any future downgrades of the U.S. Government's credit rating.

Corporate\nDebt Securities. Corporate debt securities include corporate bonds, debentures, notes and other\nsimilar instruments, including certain convertible securities. Debt securities may be acquired with\nwarrants attached to purchase additional fixed-income securities at the same coupon rate. A decline\nin interest rates would permit the fund to buy additional bonds at the favorable rate or to sell the\nwarrants at a profit. If interest rates rise, the warrants would generally expire with no value. Corporate\nincome-producing securities also may include forms of preferred or preference stock, which may be considered\nequity securities. The rate of interest on a corporate debt security may be fixed, floating or variable,\nand may vary inversely with respect to a reference rate such as interest rates or other financial indicators.\n The rate of return or return of principal on some debt obligations may be linked or indexed to the level\nof exchange rates between the U.S. dollar and a foreign currency or currencies. Such securities may\ninclude those whose principal amount or redemption price is indexed to, and thus varies directly with,\nchanges in the market price of certain commodities, including gold bullion or other precious metals.

\nRatings of Securities; Unrated Securities. Subsequent to its\npurchase by the fund, an issue of rated securities may cease to be rated or its rating may be reduced\nbelow any minimum that may be required for purchase by the fund. Neither event will require the sale\nof such securities by the fund, but the Sub-Adviser will consider such event in determining whether the\nfund should continue to hold the securities. In addition, it is possible that a Rating Agency might\nnot timely change its ratings of a particular issue to reflect subsequent events. To the extent the\nratings given by a Rating Agency for any securities change as a result of changes in such organizations\nor their rating systems, the fund will attempt to use comparable ratings as standards for its investments\nin accordance with its investment policies.

The fund may purchase\nunrated securities, which are not rated by a Rating Agency but that the Sub-Adviser determines are of\ncomparable quality to the rated securities in which the fund may invest. Unrated securities may be less\nliquid than comparable rated securities, because dealers may not maintain daily markets in such securities\nand retail markets for many of these securities may not exist. As a result, the fund's ability to sell\nthese securities when, and at a price, the Sub-Adviser deems appropriate may be diminished. Investing\nin unrated securities involves the risk that the Sub-Adviser may not accurately evaluate the security's\ncomparative credit rating. To the extent that the fund invests in unrated securities, the fund's success\nin achieving its investment objective(s) may depend more heavily on the Sub-Adviser's credit analysis\nthan if the fund invested exclusively in rated securities.

High Yield and\nLower-Rated Securities. Fixed-income securities rated below investment grade, those rated below Baa3\nby Moody's or BBB- by S&P and Fitch, at the time of purchase (commonly known as \"high yield\" or \"junk\"\nbonds), or, if unrated, deemed to be of comparable quality by the Sub-Adviser, though higher yielding,\nare characterized by higher risk. See \"Rating Categories\" below for a general description of securities\nratings. These securities may be subject to certain risks with respect to the issuing entity and to\ngreater market fluctuations than certain lower yielding, higher-rated securities. These securities generally\nare considered by the Rating Agencies to be, on balance, predominantly speculative with respect to the\nissuer's ability to make principal and interest payments in accordance with the terms of the obligation\nand generally will involve more credit risk than securities in the higher rating categories. The ratings\nof Rating Agencies represent their opinions as to the quality of the obligations which they undertake\nto rate. It should be emphasized, however, that ratings are relative and subjective and are not absolute\nstandards of quality and, although ratings may be useful in evaluating the safety or interest and principal\n

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payments, they do not evaluate the market value risk of such obligations. Although\nthese ratings may be an initial criterion for selection of portfolio investments, the Sub-Adviser also\nwill evaluate these securities and the ability of the issuers of such securities to pay interest and\nprincipal based upon financial and other available information. The success of the fund's investments\nin lower-rated securities may be more dependent on the Sub-Adviser's credit analysis than might be the\ncase for investments in higher-rated securities.

Bond prices generally are inversely related\nto interest rate changes. However, bond price volatility also may be inversely related to coupon. Accordingly,\nbelow investment grade securities may be relatively less sensitive to interest rate changes than higher\nquality securities of comparable maturity, because of their higher coupon. This higher coupon is what\nthe investor receives in return for bearing greater credit risk. The higher credit risk associated with\nbelow investment grade securities potentially can have a greater effect on the value of such securities\nthan may be the case with higher quality issues of comparable maturity, and will be a substantial factor\nin the fund's relative share price volatility.

The prices of these securities can fall dramatically\nin response to negative news about the issuer or its industry. The market values of many of these securities\nalso tend to be more sensitive to general economic conditions than are higher-rated securities and will\nfluctuate over time. Companies that issue certain of these securities often are highly leveraged and\nmay not have available to them more traditional methods of financing. Therefore, the risk associated\nwith acquiring the securities of such issuers generally is greater than is the case with the higher-rated\nsecurities. These securities may be particularly susceptible to economic downturns. For example, during\nan economic downturn or a sustained period of rising interest rates, highly leveraged issuers of these\nsecurities may not have sufficient revenues to meet their interest payment obligations. The issuer's\nability to service its debt obligations also may be affected adversely by specific corporate developments,\nforecasts or the unavailability of additional financing. The risk of loss because of default by the\nissuer is significantly greater for the holders of these securities because such securities generally\nare unsecured and often are subordinated to other creditors of the issuer. It is likely that an economic\nrecession also would disrupt severely the market for such securities and have an adverse impact on their\nvalue.

Because there is no established retail secondary market for many of these securities,\nit may be anticipated that such securities could be sold only to a limited number of dealers or institutional\ninvestors. To the extent a secondary trading market for these securities does exist, it generally is\nnot as liquid as the secondary market for higher-rated securities. The lack of a liquid secondary market\nmay have an adverse impact on market price and yield and the fund's ability to dispose of particular\nissues when necessary to meet the fund's liquidity needs or in response to a specific economic event\nsuch as a deterioration in the creditworthiness of the issuer. The lack of a liquid secondary market\nfor certain securities also may make it more difficult for the fund to obtain accurate market quotations\nfor purposes of valuing the fund's portfolio and calculating its NAV. Adverse conditions could make\nit difficult at times for the fund to sell certain securities or could result in lower prices than those\nused in calculating the fund's NAV. Adverse publicity and investor perceptions, whether or not based\non fundamental analysis, may decrease the values and liquidity of these securities. In such cases, the\nSub-Adviser's judgment may play a greater role in valuation because less reliable, objective data may\nbe available.

The fund may invest in these securities when their issuers will be close to, or\nalready have entered, reorganization proceedings. As a result, it is expected that these securities\nwill cease or will have ceased to meet their interest payment obligations, and accordingly would trade\nin much the same manner as an equity security. Consequently, the fund would intend to make such investments\non the basis of potential appreciation in the price of these securities, rather than any expectation\nof realizing income. Reorganization entails a complete change in the structure of a business entity.\n An attempted reorganization may be unsuccessful, resulting in substantial or total loss of amounts invested.\n If reorganization is successful, the value of securities of the restructured entity may depend on numerous\nfactors, including the structure of the reorganization, the market success of the entity's products or\nservices, the entity's management and the overall strength of the marketplace.

High\nyield, lower-rated securities acquired during an initial offering may involve special risks because they\nare new issues. The fund will not have any arrangement with any person concerning the acquisition of\nsuch securities.

Inflation-Indexed Securities. Inflation-indexed\nsecurities are fixed-income securities whose value is periodically adjusted according to the rate of\ninflation. Two structures are common. Treasury and some other issuers utilize a

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structure that accrues inflation into the principal value of the bond. Most other\nissuers pay out the Consumer Price Index accruals as part of a semi-annual coupon.

Inflation-indexed\nsecurities issued by Treasury have varying maturities and pay interest on a semi-annual basis equal to\na fixed percentage of the inflation-adjusted principal amount. If the periodic adjustment rate measuring\ninflation falls, the principal value of inflation-index bonds will be adjusted downward, and consequently\nthe interest payable on these securities (calculated with respect to a smaller principal amount) will\nbe reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed\nin the case of Treasury inflation-indexed bonds, even during a period of deflation. However, the current\nmarket value of the bonds is not guaranteed and will fluctuate. Other inflation-related bonds may or\nmay not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal\nvalue of the bond repaid at maturity may be less than the original principal amount.

The\nperiodic adjustment of U.S. inflation-indexed securities is tied to the Consumer Price Index for Urban\nConsumers (\"CPI-U\"), which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is\na measurement of changes in the cost of living, made up of components such as housing, food, transportation\nand energy. Inflation-indexed securities issued by a foreign government are generally adjusted to reflect\na comparable inflation index calculated by that government. There can be no assurance that the CPI-U\nor any foreign inflation index will accurately measure the real rate of inflation in the prices of goods\nand services. Moreover, there can be no assurance that the rate of inflation in a foreign country will\nbe correlated to the rate of inflation in the United States.

The value of inflation-indexed\nsecurities is expected to change in response to changes in real interest rates. Real interest rates\nin turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore,\nif the rate of inflation rises at a faster rate than nominal interest rates, real interest rates might\ndecline, leading to an increase in value of inflation-indexed securities. In contrast, if nominal interest\nrates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease\nin value of inflation-index securities. Any increase in the principal amount of an inflation-indexed\nsecurity generally will be considered taxable ordinary income, even though investors do not receive their\nprincipal until maturity. While these securities are expected to be protected from long-term inflationary\ntrends, short-term increases in inflation may lead to a decline in value. If interest rates rise due\nto reasons other than inflation (for example, due to changes in currency exchange rates), investors in\nthese securities may not be protected to the extent that the increase is not reflected in the security's\ninflation measure.

Zero Coupon, Pay-In-Kind and Step-Up Securities.\n Zero coupon securities are issued or sold at a discount from their face value and do not entitle the\nholder to any periodic payment of interest prior to maturity or a specified redemption date or cash payment\ndate. Zero coupon securities also may take the form of notes and bonds that have been stripped of their\nunmatured interest coupons, the coupons themselves and receipts or certificates representing interests\nin such stripped debt obligations and coupons. Zero coupon securities issued by corporations and financial\ninstitutions typically constitute a proportionate ownership of the issuer's pool of underlying Treasury\nsecurities. A zero coupon security pays no interest to its holders during its life and is sold at a\ndiscount to its face value at maturity. The amount of any discount varies depending on the time remaining\nuntil maturity or cash payment date, prevailing interest rates, liquidity of the security and perceived\ncredit quality of the issuer. Pay-in-kind securities generally pay interest through the issuance of\nadditional securities. Step-up coupon bonds are debt securities that typically do not pay interest for\na specified period of time and then pay interest at a series of different rates. The amount of any discount\non these securities varies depending on the time remaining until maturity or cash payment date, prevailing\ninterest rates, liquidity of the security and perceived credit quality of the issuer. The market prices\nof these securities generally are more volatile and are likely to respond to a greater degree to changes\nin interest rates than the market prices of securities that pay cash interest periodically having similar\nmaturities and credit qualities. In addition, unlike bonds that pay cash interest throughout the period\nto maturity, the fund will realize no cash until the cash payment date unless a portion of such securities\nare sold and, if the issuer defaults, the fund may obtain no return at all on its investment. Federal\nincome tax law requires the holder of a zero coupon security or of certain pay-in-kind or step-up bonds\nto accrue income with respect to these securities prior to the receipt of cash payments. In order for\nthe fund to maintain its qualification as a RIC and avoid liability for federal income taxes, such fund\nmay be required to distribute such income accrued with respect to these securities and may have to dispose\nof portfolio securities under disadvantageous circumstances in order to generate cash to satisfy these\ndistribution requirements.

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The credit risk factors pertaining to high-yield, lower-rated securities (discussed\nabove) also apply to lower-rated zero coupon, pay-in-kind and step-up securities. In addition to the\nrisks associated with the credit rating of the issuers, the market prices of these securities may be\nvery volatile during the period no interest is paid.

Variable and Floating\nRate Securities. Variable and floating rate securities provide for adjustment in the interest\nrate paid on the obligations. The terms of such obligations typically provide that interest rates are\nadjusted based upon an interest or market rate adjustment as provided in the respective obligations.\n The adjustment intervals may be regular, and range from daily up to annually, or may be event-based,\nsuch as based on a change in the prime rate. Variable rate obligations typically provide for a specified\nperiodic adjustment in the interest rate, while floating rate obligations typically have an interest\nrate which changes whenever there is a change in the external interest or market rate. Because of the\ninterest rate adjustment feature, variable and floating rate securities provide the fund with a certain\ndegree of protection against rises in interest rates, although the fund will participate in any declines\nin interest rates as well. Generally, changes in interest rates will have a smaller effect on the market\nvalue of variable and floating rate securities than on the market value of comparable fixed-income obligations.\n Thus, investing in variable and floating rate securities generally allows less opportunity for capital\nappreciation and depreciation than investing in comparable fixed-income securities.

Variable\nRate Demand Notes. Variable rate demand notes include master demand notes, which are obligations\nthat permit the fund to invest fluctuating amounts, at varying rates of interest, pursuant to direct\narrangements between the fund, as lender, and the borrower. These obligations permit daily changes in\nthe amounts borrowed. Because these obligations are direct lending arrangements between the lender and\nborrower, it is not contemplated that such instruments generally will be traded, and there generally\nis no established secondary market for these obligations, although they are redeemable on demand at face\nvalue, plus accrued interest. Accordingly, where these obligations are not secured by letters of credit\nor other credit support arrangements, the fund's right to redeem is dependent on the ability of the borrower\nto pay principal and interest on demand. Such obligations frequently are not rated by credit rating\nagencies. Changes in the credit quality of banks or other financial institutions providing any credit\nsupport or liquidity enhancements could cause losses to the fund.

Floating\nand Inverse Floating Rate Debt Instruments. The interest rate on a floating rate debt instrument (\"floater\")\nis a variable rate which is tied to another interest rate, such as a prime rate or Treasury bill rate.\n The interest rate on an inverse floating rate debt instrument moves or resets in the opposite direction\nfrom the market rate of interest to which the inverse floater is indexed or inversely to a multiple of\nthe applicable index. An inverse floating rate debt instrument may exhibit greater price volatility\nthan a fixed rate obligation of similar credit quality, and investing in these instruments involves leveraging\nwhich may magnify gains or losses.

Mortgage-Backed Securities.\nMortgage-backed securities are a form of derivative collateralized by pools of residential or commercial\nmortgages. Pools of mortgage loans are assembled as securities for sale to investors by various governmental,\ngovernment-related and private organizations. These securities may include complex instruments such\nas collateralized mortgage obligations (\"CMOs\") and stripped mortgage-backed securities, mortgage pass-through\nsecurities, interests in REMICs, adjustable rate mortgage loans, or other kinds of mortgage- backed securities,\nincluding those with fixed, floating and variable interest rates; interest rates based on multiples of\nchanges in a specified index of interest rates; interest rates that change inversely to changes in interest\nrates; and those that do not bear interest.

Mortgage-backed securities\nare subject to credit, prepayment and interest rate risk, and may be more volatile and less liquid, and\nmore difficult to price accurately, than more traditional debt securities. Although certain mortgage-\nbacked securities are guaranteed by a third party (such as a U.S. Government agency with respect to GNMA\nmortgage-backed securities), the market value of the security may fluctuate. Mortgage-backed securities\nissued by private issuers, whether or not such securities are subject to guarantees or another form of\ncredit enhancement, may entail greater risk than securities directly or indirectly guaranteed by the\nU.S. Government. The market value of mortgage-backed securities depends on, among other things, the\nlevel of interest rates, the securities' coupon rates and the payment history of the mortgagors of the\nunderlying mortgages.

Mortgage-backed securities generally are subject to credit\nrisks associated with the performance of the underlying mortgage properties and to prepayment risk.\nIn certain instances, the credit risk associated with mortgage-backed securities can be reduced by third\nparty guarantees or other forms of credit support. Improved credit risk does not

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reduce prepayment risk, which is unrelated to the rating assigned to the mortgage-backed\nsecurity. Prepayment risk may lead to pronounced fluctuations in value of the mortgage-backed security.\n If a mortgage-backed security is purchased at a premium, all or part of the premium may be lost if there\nis a decline in the market value of the security, whether resulting solely from changes in interest rates\nor from prepayments on the underlying mortgage collateral (the rates of which are highly dependent upon\nchanges in interest rates, as discussed below). Mortgage loans are generally partially or completely\nprepaid prior to their final maturities as a result of events such as sale of the mortgaged premises,\ndefault, condemnation or casualty loss. Because these securities may be subject to extraordinary mandatory\nredemption in whole or in part from such prepayments of mortgage loans, a substantial portion of such\nsecurities may be redeemed prior to their scheduled maturities or even prior to ordinary call dates.\n Extraordinary mandatory redemption without premium could also result from the failure of the originating\nfinancial institutions to make mortgage loans in sufficient amounts within a specified time period.\nThe ability of issuers of mortgage-backed securities to make payments depends on such factors as rental\nincome, occupancy levels, operating expenses, mortgage default rates, taxes, government regulations and\nappropriation of subsidies.

Certain mortgage-backed securities, such as inverse floating\nrate CMOs, have coupons that move inversely to a multiple of a specific index, which may result in a\nform of leverage. As with other interest-bearing securities, the prices of certain mortgage-backed securities\nare inversely affected by changes in interest rates. However, although the value of a mortgage-backed\nsecurity may decline when interest rates rise, the converse is not necessarily true, since in periods\nof declining interest rates the mortgages underlying the security are more likely to be prepaid. For\nthis and other reasons, a mortgage-backed security's stated maturity may be shortened by unscheduled\nprepayments on the underlying mortgages, and, therefore, it is not possible to predict accurately the\nsecurity's return to the fund. Moreover, with respect to certain stripped mortgage-backed securities,\nif the underlying mortgage securities experience greater than anticipated prepayments of principal, the\nfund may fail to fully recoup its initial investment even if the securities are rated in the highest\nrating category by a nationally recognized statistical rating organization. During periods of rapidly\nrising interest rates, prepayments of mortgage-backed securities may occur at slower than expected rates.\n Slower prepayments effectively may lengthen a mortgage-backed security's expected maturity, which generally\nwould cause the value of such security to fluctuate more widely in response to changes in interest rates.\n Were the prepayments on the fund's mortgage-backed securities to decrease broadly, the fund's effective\nduration, and thus sensitivity to interest rate fluctuations, would increase. Commercial real property\nloans, however, often contain provisions that reduce the likelihood that such securities will be prepaid.\n The provisions generally impose significant prepayment penalties on loans and in some cases there may\nbe prohibitions on principal prepayments for several years following origination.

Residential\nMortgage-Backed Securities. Residential mortgage-backed securities representing participation\ninterests in pools of one- to four-family residential mortgage loans issued or guaranteed by governmental\nagencies or government-sponsored entities, such as GNMA, FNMA and the Federal Home Loan Mortgage Corporation\n(\"FHLMC\"), or issued by private entities, have been issued using a variety of structures, including multi-class\nstructures featuring senior and subordinated classes. Some mortgage-backed securities have structures\nthat make their reactions to interest rate changes and other factors difficult to predict, making their\nvalue highly volatile.

Mortgage-backed securities issued by GNMA\ninclude GNMA Mortgage Pass Through Certificates (“Ginnie Maes”), which are guaranteed as\nto the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith\nand credit of the U.S. Government. Ginnie Maes are created by an \"issuer,\" which is a Federal Housing\nAdministration (\"FHA\") approved mortgagee that also meets criteria imposed by GNMA. The issuer assembles\na pool of FHA or Department of Veterans' Affairs (\"VA\") insured or guaranteed mortgages which are homogeneous\nas to interest rate, maturity and type of dwelling. Upon application by the issuer, and after approval\nby GNMA of the pool, GNMA provides its commitment to guarantee timely payment of principal and interest\non the Ginnie Maes backed by the mortgages included in the pool. The Ginnie Maes, endorsed by GNMA,\nthen are sold by the issuer through securities dealers. Ginnie Maes bear a stated \"coupon rate\" which\nrepresents the effective underlying mortgage rate at the time of issuance, less GNMA's and the issuer's\nfees. GNMA is authorized under the National Housing Act to guarantee timely payment of principal and\ninterest on Ginnie Maes. This guarantee is backed by the full faith and credit of the U.S. Government.\n GNMA may borrow Treasury funds to the extent needed to make payments under its guarantee. When mortgages\nin the pool underlying a Ginnie Mae are prepaid by mortgagors or by result of foreclosure, such principal\npayments are passed through to the certificate holders. Accordingly, the life of the Ginnie Mae is likely\nto be substantially shorter than the stated maturity of the mortgages in the underlying pool. Because\nof such variation in prepayment rates, it is not possible to predict the life of a particular Ginnie\nMae.

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Payments to holders of Ginnie Maes consist of the monthly distributions of interest\nand principal less GNMA's and the issuer's fees. The actual yield to be earned by a holder of a Ginnie\nMae is calculated by dividing interest payments by the purchase price paid for the Ginnie Mae (which\nmay be at a premium or a discount from the face value of the certificate). Monthly distributions of\ninterest, as contrasted to semi- annual distributions which are common for other fixed interest investments,\nhave the effect of compounding and thereby raising the effective annual yield earned on Ginnie Maes.

Mortgage-backed\nsecurities issued by FNMA, including FNMA Guaranteed Mortgage Pass-Through Certificates (also known as\n\"Fannie Maes\"), are solely the obligations of FNMA and are not backed by or entitled to the full faith\nand credit of the U.S. Government. Fannie Maes are guaranteed as to timely payment of principal and\ninterest by FNMA. Mortgage-backed securities issued by FHLMC include FHLMC Mortgage Participation Certificates\n(also known as \"Freddie Macs\" or \"PCs\"). Freddie Macs are not guaranteed by the U.S. Government or by\nany Federal Home Loan Bank and do not constitute a debt or obligation of the U.S. Government or of any\nFederal Home Loan Bank. Freddie Macs entitle the holder to timely payment of interest, which is guaranteed\nby FHLMC. FHLMC guarantees either ultimate collection or timely payment of all principal payments on\nthe underlying mortgage loans. When FHLMC does not guarantee timely payment of principal, FHLMC may\nremit the amount due on account of its guarantee of ultimate payment of principal at any time after default\non an underlying mortgage, but in no event later than one year after it becomes payable.

In\nSeptember 2008, Treasury and the Federal Housing Finance Agency (\"FHFA\") announced that FNMA and FHLMC\nhad been placed in conservatorship. Since that time, FNMA and FHLMC have received significant capital\nsupport through Treasury preferred stock purchases, as well as Treasury and Federal Reserve purchases\nof their mortgage-backed securities. The FHFA and Treasury (through its agreement to purchase FNMA and\nFHLMC preferred stock) have imposed strict limits on the size of their mortgage portfolios. While the\nmortgage-backed securities purchase programs ended in 2010, Treasury continued its support for the entities'\ncapital as necessary to prevent a negative net worth through at least 2012. When a credit rating agency\ndowngraded long-term U.S. Government debt in August 2011, the agency also downgraded FNMA and FHLMC's\nbond ratings, from AAA to AA+, based on their direct reliance on the U.S. Government (although that rating\ndid not directly relate to their mortgage-backed securities). From the end of 2007 through the fourth\nquarter of 2017, FNMA and FHLMC required Treasury support of approximately $187.5 billion through draws\nunder the preferred stock purchase agreements. However, no payments will be made due to net losses incurred\nby each entity. FNMA and FHLMC paid approximately $278.8 billion in aggregate cash dividends to Treasury\nover the same period (although these payments do not constitute a repayment of their draws). Each entity's\nprojected fourth quarter payment was ultimately decreased due to an agreement entered into with Treasury\nthat modified the dividend provisions of the senior preferred stock. In its 2016 report to Congress,\nFHFA stated that FNMA and FHLMC had been stabilized. However, FHFA also conducted a stress test mandated\nby the Dodd-Frank Act, which suggested that in a \"severely adverse scenario\" additional Treasury support\nof between $49.2 billion and $125.8 billion (depending on the treatment of deferred tax assets) might\nbe required. FNMA did not require any draws from Treasury from the fourth quarter of 2011 through the\nfourth quarter of 2017. Similarly, FHLMC did not require any draws from Treasury from the first quarter\nof 2012 through the fourth quarter of 2017. However, in the first quarter of 2018, FNMA and FHLMC each\nreported that the passage of the Tax Cuts and Jobs Act in December 2017 had resulted in a decrease in\nthe value of their deferred tax assets. As a result, FNMA and FHLMC each reported net losses during\nthe fourth quarter of 2017 and indicated that they would request draws from Treasury in the amount of\n$3.7 billion and $0.3 billion, respectively. No assurance can be given that the Federal Reserve or Treasury\nwill ensure that FNMA and FHLMC will be successful in meeting their obligations with respect to the debt\nand mortgage-backed securities that they issue.

In addition, the problems faced by FNMA and\nFHLMC, resulting in their being placed into federal conservatorship and receiving significant U.S. Government\nsupport, have sparked serious debate among federal policymakers regarding the continued role of the U.S.\nGovernment in providing liquidity for mortgage loans. In December 2011, Congress enacted the Temporary\nPayroll Tax Cut Continuation Act of 2011 which, among other provisions, requires that FNMA and FHLMC\nincrease their single-family guaranty fees by at least 10 basis points and remit this increase to Treasury\nwith respect to all loans acquired by FNMA or FHLMC on or after April 1, 2012 and before January 1, 2022.\n Serious discussions among policymakers continue, however, as to whether FNMA and FHLMC should be nationalized,\nprivatized, restructured or eliminated altogether. FNMA reported in the third quarter of 2016 that it\nexpected \"continued significant uncertainty\" regarding its future and the housing finance system, including\nhow long

III-9

FNMA will continue to exist in its current form, the extent of its role in the\nmarket, how long it will be in conservatorship, what form it will have and what ownership interest, if\nany, current common and preferred stockholders will hold after the conservatorship is terminated, and\nwhether FNMA will continue to exist following conservatorship. FHLMC faces similar uncertainty about\nits future role. FNMA and FHLMC also are the subject of several continuing legal actions and investigations\nover certain accounting, disclosure or corporate governance matters, which (along with any resulting\nfinancial restatements) may continue to have an adverse effect on the guaranteeing entities.

FHFA\nis mandating that FNMA and FHLMC cease issuing their own MBS and begin issuing \"Uniform Mortgage-Backed\nSecurities\" or \"UMBS\" in 2019. Each UMBS will have a 55-day remittance cycle and can be used as collateral\nin either a FNMA or a FHLMC CMO or held for investment. Investors may be approached to convert existing\nmortgage-backed securities into UMBS, possibly with an inducement fee being offered to holders of FHLMC\nPCs.

Commercial Mortgage-Backed Securities. Commercial mortgage-backed securities\ngenerally are multi- class debt or pass-through certificates secured by mortgage loans on commercial\nproperties. These mortgage-backed securities generally are constructed to provide protection to holders\nof the senior classes against potential losses on the underlying mortgage loans. This protection generally\nis provided by having the holders of subordinated classes of securities (\"Subordinated Securities\") take\nthe first loss if there are defaults on the underlying commercial mortgage loans. Other protection,\nwhich may benefit all of the classes or particular classes, may include issuer guarantees, reserve funds,\nadditional Subordinated Securities, cross-collateralization and over-collateralization. Commercial lending,\nhowever, generally is viewed as exposing the lender to a greater risk of loss than one- to four-family\nresidential lending. Commercial lending, for example, typically involves larger loans to single borrowers\nor groups of related borrowers than residential one- to four-family mortgage loans. In addition, the\nrepayment of loans secured by income-producing properties typically is dependent upon the successful\noperation of the related real estate project and the cash flow generated therefrom. Consequently, adverse\nchanges in economic conditions and circumstances are more likely to have an adverse impact on mortgage-backed\nsecurities secured by loans on certain types of commercial properties than those secured by loans on\nresidential properties. The risks that recovery or repossessed collateral might be unavailable or inadequate\nto support payments on commercial mortgage-backed securities may be greater than is the case for non-multifamily\nresidential mortgage-backed securities.

Subordinated Securities. Subordinated Securities,\nincluding those issued or sponsored by commercial banks, savings and loan institutions, mortgage bankers,\nprivate mortgage insurance companies and other non-governmental issuers, have no governmental guarantee,\nand are subordinated in some manner as to the payment of principal and/or interest to the holders of\nmore senior mortgage-backed securities arising out of the same pool of mortgages. The holders of Subordinated\nSecurities typically are compensated with a higher stated yield than are the holders of more senior mortgage-backed\nsecurities. On the other hand, Subordinated Securities typically subject the holder to greater risk\nthan senior mortgage-backed securities and tend to be rated in a lower rating category, and frequently\na substantially lower rating category, than the senior mortgage-backed securities issued in respect of\nthe same pool of mortgages. Subordinated Securities generally are likely to be more sensitive to changes\nin prepayment and interest rates and the market for such securities may be less liquid than is the case\nfor traditional fixed-income securities and senior mortgage-backed securities.

Collateralized\nMortgage Obligations (\"CMOs\") and Multi-Class Pass-Through-Securities. CMOs are multiclass\nbonds backed by pools of mortgage pass-through certificates or mortgage loans. CMOs may be collateralized\nby: (1) Ginnie Mae, Fannie Mae or Freddie Mac pass-through certificates; (2) unsecuritized mortgage\nloans insured by the FHA or guaranteed by the Department of Veterans' Affairs; (3) unsecuritized conventional\nmortgages; (4) other mortgage-backed securities; or (5) any combination thereof.

Each\nclass of CMOs, often referred to as a \"tranche,\" is issued at a specific coupon rate and has a stated\nmaturity or final distribution date. Principal prepayments on collateral underlying a CMO may cause\nit to be retired substantially earlier than the stated maturities or final distribution dates. The principal\nand interest on the underlying mortgages may be allocated among the several classes of a series of a\nCMO in

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many ways. One or more tranches of a CMO may have coupon\nrates which reset periodically at a specified increment over an index or market rate, such as LIBOR (or\nsometimes more than one index). These floating rate CMOs typically are issued with lifetime caps on\nthe coupon rate thereon. Inverse floating rate CMOs constitute a tranche of a CMO with a coupon rate\nthat moves in the opposite direction to an applicable index or market rate such as LIBOR. Accordingly,\nthe coupon rate thereon will increase as interest rates decrease. Inverse floating rate CMOs are typically\nmore volatile than fixed or floating rate tranches of CMOs.

Many\ninverse floating rate CMOs have coupons that move inversely to a multiple of the applicable indexes.\n The effect of the coupon varying inversely to a multiple of an applicable index creates a leverage factor.\n Inverse floating rate CMOs based on multiples of a stated index are designed to be highly sensitive\nto changes in interest rates and can subject the holders thereof to extreme reductions of yield and loss\nof principal. The markets for inverse floating rate CMOs with highly leveraged characteristics at times\nmay be very thin. The ability of the fund to dispose of positions in such securities will depend on\nthe degree of liquidity in the markets for such securities. It is impossible to predict the amount of\ntrading interest that may exist in such securities, and therefore the future degree of liquidity. It\nshould be noted that inverse floaters based on multiples of a stated index are designed to be highly\nsensitive to changes in interest rates and can subject the holders thereof to extreme reductions of yield\nand loss of principal.

As CMOs have evolved, some classes of\nCMO bonds have become more prevalent. The planned amortization class (\"PAC\") and targeted amortization\nclass (\"TAC\"), for example, were designed to reduce prepayment risk by establishing a sinking-fund structure.\nPAC and TAC bonds assure to varying degrees that investors will receive payments over a predetermined\nperiod under varying prepayment scenarios. Although PAC and TAC bonds are similar, PAC bonds are better\nable to provide stable cash flows under various prepayment scenarios than TAC bonds because of the order\nin which these tranches are paid.

Stripped Mortgage-Backed Securities.\n Stripped mortgage-backed securities are created by segregating the cash flows from underlying mortgage\nloans or mortgage securities to create two or more new securities, each with a specified percentage of\nthe underlying security's principal or interest payments. Mortgage securities may be partially stripped\nso that each investor class receives some interest and some principal. When securities are completely\nstripped, however, all of the interest is distributed to holders of one type of security, known as an\ninterest-only security (\"IO\") and all of the principal is distributed to holders of another type of security\nknown as a principal-only security (\"PO\"). IOs and POs can be created in a pass-through structure or\nas tranches of a CMO. The yields to maturity on IOs and POs are very sensitive to the rate of principal\npayments (including prepayments) on the related underlying mortgage assets. If the underlying mortgage\nassets experience greater than anticipated prepayments of principal, the fund may not fully recoup its\ninitial investment in IOs. Conversely, if the underlying mortgage assets experience less than anticipated\nprepayments of principal, the yield on POs could be materially and adversely affected.

Adjustable-Rate\nMortgage Loans (\"ARMs\"). ARMs eligible for inclusion in a mortgage pool will generally provide for a\nfixed initial mortgage interest rate for a specified period of time, generally for either the first three,\nsix, twelve, thirteen, thirty-six, or sixty scheduled monthly payments. Thereafter, the interest rates\nare subject to periodic adjustment based on changes in an index. ARMs typically have minimum and maximum\nrates beyond which the mortgage interest rate may not vary over the lifetime of the loans. Certain ARMs\nprovide for additional limitations on the maximum amount by which the mortgage interest rate may adjust\nfor any single adjustment period. Negatively amortizing ARMs may provide limitations on changes in the\nrequired monthly payment. Limitations on monthly payments can result in monthly payments that are greater\nor less than the amount necessary to amortize a negatively amortizing ARM by its maturity at the interest\nrate in effect during any particular month.

Private Entity Securities.\n Mortgage-backed securities may be issued by commercial banks, savings and loan institutions, mortgage\nbankers, private mortgage insurance companies and other non-governmental issuers. Timely payment of\nprincipal and interest on mortgage-backed securities backed by pools created by non-governmental issuers\noften is supported partially by various forms of insurance or guarantees, including individual loan,\ntitle, pool and hazard insurance. The insurance and guarantees are issued by government entities, private\ninsurers and the mortgage poolers. There can be no assurance that the private insurers or mortgage poolers\ncan meet their obligations under the policies, so that if the issuers default on

III-11

their obligations the holders of the security could sustain\na loss. No insurance or guarantee covers the fund or the price of the fund's shares. Mortgage-backed\nsecurities issued by non-governmental issuers generally offer a higher rate of interest than government-agency\nand government-related securities because there are no direct or indirect government guarantees of payment.

Other Mortgage-Backed Securities. Other mortgage-backed securities include\nsecurities other than those described above that directly or indirectly represent a participation in,\nor are secured by and payable from, mortgage loans on real property, including a CMO tranche which collects\nany cash flow from collateral remaining after obligations to the other tranches have been met. Other\nmortgage-backed securities may be equity or debt securities issued by agencies or instrumentalities of\nthe U.S. Government or by private originators of, or investors in, mortgage loans, including savings\nand loan associations, homebuilders, mortgage banks, commercial banks, investment banks, partnerships,\ntrusts and special purpose entities of the foregoing.

Asset-Backed Securities.\n Asset-backed securities are a form of derivative instrument. Non-mortgage asset-backed securities are\nsecurities issued by special purpose entities whose primary assets consist of a pool of loans, receivables\nor other assets. Payment of principal and interest may depend largely on the cash flows generated by\nthe assets backing the securities and, in certain cases, supported by letters of credit, surety bonds\nor other forms of credit or liquidity enhancements. The value of these asset-backed securities also\nmay be affected by the creditworthiness of the servicing agent for the pool of assets, the originator\nof the loans or receivables or the financial institution providing the credit support. The securitization\ntechniques used for asset-backed securities are similar to those used for mortgage-backed securities,\nincluding the issuance of securities in senior and subordinated classes (see \"Mortgage-Backed Securities—Commercial\nMortgage-Backed Securities\" and \"—Subordinated Securities\" above). These securities include debt\nsecurities and securities with debt-like characteristics. The collateral for these securities has included\nhome equity loans, automobile and credit card receivables, boat loans, computer leases, airplane leases,\nmobile home loans, recreational vehicle loans and hospital account receivables. Other types of asset-backed\nsecurities may be developed in the future. The purchase of non-mortgage asset-backed securities raises\nconsiderations particular to the financing of the instruments underlying such securities.

Asset-backed\nsecurities present certain risks of mortgage-backed securities, such as prepayment risk, as well as risks\nthat are not presented by mortgage-backed securities. Primarily, these securities may provide a less\neffective security interest in the related collateral than do mortgage-backed securities. Therefore,\nthere is the possibility that recoveries on the underlying collateral may not, in some cases, be available\nto support payments on these securities.

Collateralized Debt Obligations.\n Collateralized debt obligations (\"CDOs\") are securitized interests in pools of—generally non-mortgage—assets.\n Assets called collateral usually are comprised of loans or other debt instruments. A CDO may be called\na collateralized loan obligation (CLO) or collateralized bond obligation (CBO) if it holds only loans\nor bonds, respectively. Investors bear the credit risk of the collateral. Multiple tranches of securities\nare issued by the CDO, offering investors various maturity and credit risk characteristics. Tranches\nare categorized as senior, mezzanine and subordinated/equity, according to their degree of credit risk.\n If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to senior\ntranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches\ntake precedence over those to subordinated/equity tranches. Senior and mezzanine tranches are typically\nrated, with the former receiving ratings of A to AAA/Aaa and the latter receiving ratings of B to BBB/Baa.\n The ratings reflect both the credit quality of underlying collateral as well as how much protection\na given tranche is afforded by tranches that are subordinate to it.

Municipal\nSecurities.

Municipal Securities Generally. \"Municipal securities\"\nare debt securities or other obligations issued by states, territories and possessions of the United\nStates and the District of Columbia and their political subdivisions, agencies and instrumentalities,\nor multistate agencies and authorities, and certain other specified securities, the interest from which\ngenerally is, in the opinion of bond counsel to the issuer, exempt from federal and, with respect to\ncertain municipal securities in which the fund may invest, the personal income taxes of a specified state.\n Municipal securities generally include debt obligations issued to obtain funds for various public purposes\nand include certain industrial development bonds issued by or on behalf of public authorities. Municipal\nsecurities are

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classified as general obligation bonds, revenue bonds and notes. General obligation\nbonds are secured by the issuer's pledge of its full faith, credit and taxing power for the payment of\nprincipal and interest. Revenue bonds are payable from the revenue derived from a particular facility\nor class of facilities or, in some cases, from the proceeds of a special excise or other specific revenue\nsource, but not from the general taxing power. Tax-exempt industrial development bonds, in most cases,\nare revenue bonds that do not carry the pledge of the credit of the issuing municipality, but generally\nare guaranteed by the corporate entity on whose behalf they are issued. Notes are short-term instruments\nwhich are obligations of the issuing municipalities or agencies and are sold in anticipation of a bond\nissuance, collection of taxes or receipt of other revenues. Issues of municipal commercial paper typically\nrepresent short-term, unsecured, negotiable promissory notes. These obligations are issued by agencies\nof state and local governments to finance seasonal working capital needs of municipalities or to provide\ninterim construction financing and are paid from general revenues of municipalities or are refinanced\nwith long-term debt. In most cases, municipal commercial paper is backed by letters of credit, lending\nagreements, note repurchase agreements or other credit facility agreements offered by banks or other\ninstitutions. Municipal securities include municipal lease/purchase agreements which are similar to\ninstallment purchase contracts for property or equipment issued by municipalities.

The\nfund's investments in municipal securities may include investments in U.S. territories or possessions\nsuch as Puerto Rico, the U.S. Virgin Islands, Guam and the Northern Mariana Islands. The fund's investments\nin a territory or possession could be affected by economic, legislative, regulatory or political developments\naffecting issuers in the territory or possession. For example, Puerto Rico, like many other states and\nU.S. municipalities, experienced a significant downturn during the recent recession and continues to\nface significant fiscal challenges, including persistent government deficits, underfunded public pensions,\nsizable debt service obligations and a high unemployment rate. As a result, many Rating Agencies have\ndowngraded Puerto Rico's various municipal issuers, including the Commonwealth itself and its general\nobligation debt, or placed them on \"negative watch.\" If the economic situation in Puerto Rico persists\nor worsens, the volatility, credit quality and performance of the fund's holdings in securities of issuers\nin Puerto Rico could be adversely affected.

Municipal securities bear fixed, floating or variable rates\nof interest, which are determined in some instances by formulas under which the municipal security's\ninterest rate will change directly or inversely to changes in interest rates or an index, or multiples\nthereof, in many cases subject to a maximum and minimum. Certain municipal securities are subject to\nredemption at a date earlier than their stated maturity pursuant to call options, which may be separated\nfrom the related municipal security and purchased and sold separately. The purchase of call\noptions on specific municipal securities may protect the fund from the issuer of the related municipal\nsecurity redeeming, or other holder of the call option from calling away, the municipal security before\nmaturity. The sale by the fund of a call option that it owns on a specific municipal security could\nresult in the receipt of taxable income by the fund.

The municipal securities\nmarket is not subject to the same level of regulation as other sectors of the U.S. capital markets due\nto broad exemptions under the federal securities laws for municipal securities. As a result, there may\nbe less disclosure, including current audited financial information, available about municipal issuers\nthan is available for issuers of securities registered under the Securities Act.

For\na fund that is a RIC for tax purposes and invests less than 50% of its assets in municipal securities,\ndividends received by shareholders on fund shares which are attributable to interest income received\nby the fund from municipal securities generally will be subject to federal income tax. While, in general,\nmunicipal securities are tax exempt securities having relatively low yields as compared to taxable, non-municipal\nsecurities of similar quality, certain municipal securities are taxable obligations, offering yields\ncomparable to, and in some cases greater than, the yields available on other permissible investments.

For\nthe purpose of diversification under the 1940 Act, the identification of the issuer of municipal securities\ndepends on the terms and conditions of the security. When the assets and revenues of an agency, authority,\ninstrumentality or other political subdivision are separate from those of the government creating the\nsubdivision and the security is backed only by the assets and revenues of the subdivision, such subdivision\nwould be deemed to be the sole issuer. Similarly, in the case of an industrial development bond, if\nthe bond is backed only by the assets and revenues of the non-governmental user, then such non-governmental\nuser would be deemed to be the sole issuer. If, however, in either case, the creating government or\nsome other entity guarantees a security, such a guaranty would be considered a separate security and\nwould be treated as an issue of such government or other entity.

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Municipal securities include certain private activity bonds (a type of revenue\nbond issued by or on behalf of public authorities to raise money to finance various privately operated\nor public facilities and for which the payment of principal and interest is dependent solely on the ability\nof the facility's user to meet its financial obligations and the pledge, if any, of real and personal\nproperty so financed as security for such payment), the income from which is subject to AMT that is applicable\nto non-corporate investors. Taxable municipal securities also may include remarketed certificates of\nparticipation. The fund may invest in these municipal securities if the Sub-Adviser determines that\ntheir purchase is consistent with the fund's investment objective.

Municipal securities may\nbe repayable out of revenue streams generated from economically related projects or facilities or whose\nissuers are located in the same state. Sizable investments in these securities could increase risk to\nthe fund should any of the related projects or facilities experience financial difficulties. An investment\nin a fund that focuses its investments in securities issued by a particular state or entities within\nthat state may involve greater risk than investments in certain other types of municipal funds.

The\nyields on municipal securities are dependent on a variety of factors, including general economic and\nmonetary conditions, money market factors, conditions in the municipal securities market, size of a particular\noffering, maturity of the obligation and rating of the issue. The achievement of the investment objective\nof a municipal or other tax-exempt fund is dependent in part on the continuing ability of the issuers\nof municipal securities in which the fund invests to meet their obligations for the payment of principal\nand interest when due. Municipal securities historically have not been subject to registration with\nthe SEC, although there have been proposals which would require registration in the future. Issuers\nof municipal securities, like issuers of corporate securities, may declare bankruptcy, and obligations\nof issuers of municipal securities are subject to the provisions of bankruptcy, insolvency and other\nlaws affecting the rights and remedies of creditors. Many such bankruptcies historically have been of\nsmaller villages, towns, cities and counties, but in November 2011 Jefferson County, Alabama (the state's\nmost populous county) became the subject of what was then the largest municipal bankruptcy ever in the\nU.S., at over $4 billion in total indebtedness, surpassing in size the 1994 bankruptcy of Orange County,\nCalifornia. Other prominent municipal bankruptcies have followed. In July 2013, Detroit, Michigan filed\nfor bankruptcy. With an estimated $18 to $20 billion in total indebtedness, it became the largest municipal\nbankruptcy in the U.S. The obligations of municipal issuers may become subject to laws enacted in the\nfuture by Congress or state legislatures, or referenda extending the time for payment of principal and/or\ninterest, or imposing other constraints upon enforcement of such obligations or upon the ability of municipalities\nto levy taxes. There is also the possibility that, as a result of litigation or other conditions, the\nability of any municipal issuer to pay, when due, the principal of and interest on its municipal securities\nmay be materially affected.

Certain provisions in the Code relating to the issuance of\nmunicipal securities may reduce the volume of municipal securities qualifying for federal tax exemption.\n One effect of these provisions could be to increase the cost of the municipal securities available for\npurchase by the fund and thus reduce available yield.

Instruments Related to Municipal Securities.\n The following is a description of certain types of investments related to municipal securities in which\nthe fund may invest. The fund's use of certain of the investment techniques described below may give\nrise to taxable income.

· Floating\nand Variable Rate Demand Notes and Bonds. Floating and variable rate demand notes and bonds are tax\nexempt obligations ordinarily having stated maturities in excess of one year, but which permit the holder\nto demand payment of principal at any time, or at specified intervals. Variable rate demand notes include\nmaster demand notes. See \"Fixed-Income Securities—Variable and Floating Rate Securities\" above.

· Tax\nExempt Participation Interests. A participation interest in municipal securities (such as\nindustrial development bonds and municipal lease/purchase agreements) purchased from a financial institution\ngives the fund an undivided interest in the municipal security in the proportion that the fund's participation\ninterest bears to the total principal amount of the municipal security. These instruments may have fixed,\nfloating or variable rates of interest and generally will be backed by an irrevocable letter of credit\nor guarantee of a bank. For certain participation interests, the fund will have the right to demand\npayment, on not more than seven days' notice, for all or any part of the fund's participation interest\nin the municipal security, plus accrued interest. As to these

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instruments, the fund intends to exercise its right to demand\npayment only upon a default under the terms of the municipal security, as needed to provide liquidity\nto meet redemptions, or to maintain or improve the quality of its investment portfolio.

· Municipal Lease Obligations. Municipal lease obligations\nor installment purchase contract obligations (collectively, \"lease obligations\") have special risks not\nordinarily associated with general obligation or revenue bonds. Leases and installment purchase or conditional\nsale contracts (which normally provide for title to the leased asset to pass eventually to the government\nissuer) have evolved as a means for governmental issuers to acquire property and equipment without meeting\nthe constitutional and statutory requirements for the issuance of debt. Although lease obligations do\nnot constitute general obligations of the municipality for which the municipality's taxing power is pledged,\na lease obligation ordinarily is backed by the municipality's covenant to budget for, appropriate and\nmake the payments due under the lease obligation. However, lease obligations in which the fund may invest\nmay contain \"non-appropriation\" clauses which provide that the municipality has no obligation to make\nlease or installment purchase payments in future years unless money is appropriated for such purpose\non a yearly basis. Although \"non-appropriation\" lease obligations are secured by the leased property,\ndisposition of the property in the event of foreclosure might prove difficult. Certain lease obligations\nmay be considered illiquid. Determination as to the liquidity of such securities is made in accordance\nwith guidelines established by the board. Pursuant to such guidelines, the board has directed the Adviser\nto monitor carefully the fund's investment in such securities with particular regard to: (1) the frequency\nof trades and quotes for the lease obligation; (2) the number of dealers willing to purchase or sell\nthe lease obligation and the number of other potential buyers; (3) the willingness of dealers to undertake\nto make a market in the lease obligation; (4) the nature of the marketplace trades, including the time\nneeded to dispose of the lease obligation, the method of soliciting offers and the mechanics of transfer;\nand (5) such other factors concerning the trading market for the lease obligation as the Adviser may\ndeem relevant. In addition, in evaluating the liquidity and credit quality of a lease obligation that\nis unrated, the board has directed the Adviser to consider: (1) whether the lease can be canceled; (2)\nwhat assurance there is that the assets represented by the lease can be sold; (3) the strength of the\nlessee's general credit (e.g., its debt, administrative, economic and financial characteristics); (4)\nthe likelihood that the municipality will discontinue appropriating funding for the leased property because\nthe property is no longer deemed essential to the operations of the municipality (e.g., the potential\nfor an \"event of non-appropriation\"); (5) the legal recourse in the event of failure to appropriate;\nand (6) such other factors concerning credit quality as the Adviser may deem relevant.

· Tender\nOption Bonds. A tender option bond is a municipal security (generally held pursuant to a custodial\narrangement) having a relatively long maturity and bearing interest at a fixed rate substantially higher\nthan prevailing short-term tax exempt rates, that has been coupled with the agreement of a third party,\nsuch as a bank, broker-dealer or other financial institution, pursuant to which such institution grants\nthe security holders the option, at periodic intervals, to tender their securities to the institution\nand receive the face value thereof. As consideration for providing the option, the financial institution\nreceives periodic fees equal to the difference between the municipal security's fixed coupon rate and\nthe rate, as determined by a remarketing or similar agent at or near the commencement of such period,\nthat would cause the securities, coupled with the tender option, to trade at par on the date of such\ndetermination. Thus, after payment of this fee, the security holder effectively holds a demand obligation\nthat bears interest at the prevailing short-term tax exempt rate. In certain instances and for certain\ntender option bonds, the option may be terminable in the event of a default in payment of principal or\ninterest on the underlying municipal security and for other reasons. The fund expects to be able to\nvalue tender option bonds at par; however, the value of the instrument will be monitored to assure that\nit is valued at fair value. The quality of the underlying creditor or of the third party provider of\nthe tender option, as the case may be, as determined by the Sub-Adviser, must be equivalent to the quality\nstandard prescribed for the fund. In addition, the Sub-Adviser monitors the earning power, cash flow\nand other liquidity ratios of the issuers of such obligations.

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· Pre-Refunded\nMunicipal Securities. The principal and interest on pre-refunded municipal securities are no longer\npaid from the original revenue source for the securities. Instead, the source of such payments is typically\nan escrow fund consisting of U.S. government securities. The assets in the escrow fund are derived from\nthe proceeds of refunding bonds issued by the same issuer as the pre-refunded municipal securities.\nIssuers of municipal securities use this advance refunding technique to obtain more favorable terms with\nrespect to bonds that are not yet subject to call or redemption by the issuer. For example, advance\nrefunding enables an issuer to refinance debt at lower market interest rates, restructure debt to improve\ncash flow or eliminate restrictive covenants in the indenture or other governing instrument for the pre-refunded\nmunicipal securities. However, except for a change in the revenue source from which principal and interest\npayments are made, the pre-refunded municipal securities remain outstanding on their original terms until\nthey mature or are redeemed by the issuer.

· Mortgage-Backed and Asset-Backed Municipal Securities.\n Mortgage-backed municipal securities are municipal securities of issuers that derive revenues from mortgage\nloans on multiple family residences, retirement housing or housing projects for low- to moderate-income\nfamilies. Certain of such securities may be single family mortgage revenue bonds issued for the purpose\nof acquiring from originating financial institutions notes secured by mortgages on residences located\nwithin the issuer's boundaries. Non-mortgage asset-based securities are securities issued by special\npurpose entities whose primary assets consist of a pool of loans, receivables or other assets. See \"Fixed-Income\nSecurities—Mortgage-Backed Securities\" and \"Fixed-Income Securities—Asset-Backed Securities\"\nabove.

· Custodial\nReceipts. Custodial receipts represent the right to receive certain future principal and/or\ninterest payments on municipal securities which underlie the custodial receipts. A number of different\narrangements are possible. The fund also may purchase directly from issuers, and not in a private placement,\nmunicipal securities having characteristics similar to custodial receipts. These securities may be issued\nas part of a multi-class offering and the interest rate on certain classes may be subject to a cap or\nfloor. See \"Derivatives—Custodial Receipts\" below.

· Indexed and Inverse Floating Rate Municipal Securities.\n Indexed rate municipal securities are securities that pay interest or whose principal amount payable\nupon maturity is based on the value of an index of interest rates. Interest and principal payable on\ncertain securities also may be based on relative changes among particular indexes. So-called \"inverse\nfloating obligations\" or \"residual interest bonds\" (\"inverse floaters\") are derivative instruments created\nby depositing municipal securities in a trust which divides the bond's income stream into two parts:\n (1) a short-term variable rate demand note; and (2) a residual interest bond (the inverse floater) which\nreceives interest based on the remaining cash flow of the trust after payment of interest on the note\nand various trust expenses. The interest rate on the inverse floater varies inversely with a floating\nrate (which may be reset periodically by a \"Dutch\" auction, a remarketing agent or by reference a short-term\ntax-exempt interest rate index), usually moving in the opposite direction as the interest on the variable\nrate demand note.

The fund may either participate in structuring\nan inverse floater or purchase an inverse floater in the secondary market. When structuring an inverse\nfloater, the fund will transfer to a trust fixed rate municipal securities held in the fund's portfolio.\n The trust then typically issues the inverse floaters and the variable rate demand notes that are collateralized\nby the cash flows of the fixed rate municipal securities. In return for the transfer of the municipal\nsecurities to the trust, the fund receives the inverse floaters and cash associated with the sale of\nthe notes from the trust. For accounting purposes, the fund treats these transfers as part of a secured\nborrowing or financing transaction (not a sale), and the interest payments and related expenses due on\nthe notes issued by the trusts and sold to third parties as expenses and liabilities of the fund. Inverse\nfloaters purchased in the secondary market are treated as the purchase of a security and not as a secured\nborrowing or financing transaction. Synthetically created inverse floating rate bonds evidenced by custodial\nor trust receipts are securities that have the effect of providing a degree of investment leverage, since\nthey may increase or decrease in value in response to changes in market interest

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rates at a rate that is a multiple of the rate at which fixed\nrate securities increase or decrease in response to such changes.

An\ninvestment in inverse floaters may involve greater risk than an investment in a fixed rate municipal\nsecurity. Because changes in the interest rate on the other security or index inversely affect the residual\ninterest paid on the inverse floater, the value of an inverse floater is generally more volatile than\nthat of a fixed rate municipal security. Inverse floaters have interest rate adjustment formulas which\ngenerally reduce or, in the extreme, eliminate the interest paid to the fund when short-term interest\nrates rise, and increase the interest paid to the fund when short-term interest rates fall. Investing\nin inverse floaters involves leveraging which may magnify the fund's gains or losses. Although volatile,\ninverse floaters typically offer the potential for yields exceeding the yields available on fixed rate\nmunicipal securities with comparable credit quality, coupon, call provisions and maturity. These securities\nusually permit the investor to convert the floating rate to a fixed rate (normally adjusted downward),\nand this optional conversion feature may provide a partial hedge against rising rates if exercised at\nan opportune time. Investments in inverse floaters may be illiquid.

· Zero Coupon, Pay-In-Kind and Step-Up Municipal Securities.\n Zero coupon municipal securities are issued or sold at a discount from their face value and do not entitle\nthe holder to any periodic payment of interest prior to maturity or a specified redemption date or cash\npayment date. Zero coupon securities also may take the form of municipal securities that have been stripped\nof their unmatured interest coupons, the coupons themselves and receipts or certificates representing\ninterest in such stripped debt obligations and coupons. Pay-in-kind municipal securities generally pay\ninterest through the issuance of additional securities. Step-up municipal securities typically do not\npay interest for a specified period of time and then pay interest at a series of different rates. See\n\"Fixed-Income Securities—Zero Coupon, Pay-In-Kind and Step-Up Securities.\"

· Special Taxing Districts. Some municipal securities\nmay be issued in connection with special taxing districts. Special taxing districts are organized to\nplan and finance infrastructure development to induce residential, commercial and industrial growth and\nredevelopment. The bond financing methods, such as tax increment finance, tax assessment, special services\ndistrict and Mello-Roos bonds, generally are payable solely from taxes or other revenues attributable\nto the specific projects financed by the bonds without recourse to the credit or taxing power of related\nor overlapping municipalities. They often are exposed to real estate development-related risks and can\nhave more taxpayer concentration risk than general tax-supported bonds, such as general obligation bonds.\n Further, the fees, special taxes or tax allocations and other revenues that are established to secure\nsuch financings generally are limited as to the rate or amount that may be levied or assessed and are\nnot subject to increase pursuant to rate covenants or municipal or corporate guarantees. The bonds could\ndefault if development failed to progress as anticipated or if larger taxpayers failed to pay the assessments,\nfees and taxes as provided in the financing plans of the districts.

· Stand-By Commitments. Under a stand-by commitment,\nthe fund obligates a broker, dealer or bank to repurchase, at the fund's option, specified securities\nat a specified price prior to such securities' maturity date and, in this respect, stand-by commitments\nare comparable to put options. The exercise of a stand-by commitment, therefore, is subject to the ability\nof the seller to make payment on demand. The fund will acquire stand-by commitments solely to facilitate\nportfolio liquidity and do not intend to exercise their rights thereunder for trading purposes. The\nfund may pay for stand-by commitments if such action is deemed necessary, thus increasing to a degree\nthe cost of the underlying municipal security and similarly decreasing such security's yield to investors.\n Gains realized in connection with stand-by commitments will be taxable.

· Structured Notes. Structured notes typically are purchased\nin privately negotiated transactions from financial institutions and, therefore, may not have an active\ntrading market. When the fund purchases a structured note, it will make a payment of principal to the\ncounterparty. Some structured notes have a guaranteed repayment of principal while others place a portion\n(or all) or

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the principal at risk. The possibility of default by the\ncounterparty or its credit provider may be greater for structured notes than for other types of money\nmarket instruments.

Taxable Municipal Securities. States, municipalities\nand public authorities issue taxable municipal bonds to raise money for a variety of purposes. General\nobligation bonds are backed by the general taxing power of the issuer. The issuer secures these bonds\nby pledging its faith, credit and unlimited taxing power for the payment of principal and interest.\nRevenue bonds are payable only from the revenue of a specific project or authority. They are not supported\nby the issuer's general power to levy taxes. The risk of default in payment of interest or principal\nincreases if the income of the related project falters because that income is the only source of payment.\n All of the following bonds are revenue bonds.

Build America Bonds.\n Build America Bonds were issued pursuant to The American Recovery and Reinvestment Act of 2009 (the\n\"Recovery Act\"), authorizing states and local governments to issue taxable bonds and to elect to receive\na federal subsidy for a portion of their borrowing costs through a refundable tax credit paid by the\nTreasury and the IRS, in an amount equal to 35 percent of the total coupon interest payable to investors\n(45 percent for those Build America Bonds that qualify and are designated as Recovery Zone Economic Development\nBonds). The Recovery Act added a section to the Code which authorized Build America Bonds that meet\nthe definition of \"qualified bonds\", as described below, to receive the refundable credit. The Code\nsection defined the term \"qualified bond\" to mean a Build America Bond (a) issued before January 1, 2011,\n(b) with 100 percent of the excess of (i) the available project proceeds (as defined to mean sale proceeds\nof such issue less not more than two percent of such proceeds used to pay issuance costs plus investment\nproceeds thereon), over (ii) the amounts in a reasonably required reserve fund with respect to such issue,\nare to be used for capital expenditures, and (c) where the issuer makes an irrevocable election to have\nthis subsection of the Code apply. Should a Build America Bond's issuer fail to continue to meet the\napplicable requirements as imposed on the bonds by the Code, it is possible that such issuer may not\nreceive federal cash subsidy payments, impairing the issuer's ability to make scheduled interest payments.\n In addition, Build America Bonds are often subject to extraordinary redemption in the event that changes\nto the Code or other federal legislation causes to reduce or eliminate the federal cash subsidy payment\nfor a portion of a Build America Bond issuer's borrowing costs. Build America Bonds are classified into\na variety of the bond types described herein (i.e. transportation, utility, etc.).

Qualified\nSchool Construction Bonds, Qualified Energy Conservation Bonds and Clean Renewable Green Energy Bonds\n(collectively, \"Qualified Bonds\"). Qualified Bond are taxable bonds that are similar to certain Build\nAmerica Bonds, in that state and municipal Qualified Bond issuers may elect to receive direct interest-subsidy\npayments from the Treasury if certain conditions are met. The Code permitted issuers of Qualified Bonds\nto seek applicable subsidies on bond interest payments. Qualified School Construction Bonds, issued\npursuant to provisions in the Recovery Act, are issued to finance the construction, rehabilitation, or\nrepair of a public school facility or for the acquisition of land on which such a bond- financed facility\nwill be constructed. Qualified Energy Conservation Bonds and Clean Renewable Energy Bonds were both\nissued pursuant to the \"Energy Improvement and Extension Act of 2008\", and like Qualified School Construction\nBonds, were governed by Section 54A of the Code. Qualified Energy Conservation Bonds are issued for\nqualified energy conservation purposes, and Clean Renewable Energy Bonds are issued to finance qualified\nrenewable energy facilities that produce electricity. Although the year of issuance is not restricted\nfor Qualified Bonds, federal law provides for limits on the dollar amounts that may be issued for these\nbond types. Eligible issuers of Qualified School Construction Bonds may receive subsidy payments equal\nto 100% of the lesser of the actual interest rate of the bonds or the tax credit rate for municipal tax-credit\nbonds, set daily by the U.S. Treasury. Eligible issuers of Qualified Energy Conservation Bonds and Clean\nRenewable Energy Bonds may receive subsidy payments equal to 70% of the lesser of the actual interest\nrate of the bonds or the tax credit rate for municipal tax-credit bonds, set daily by the Treasury.

Should the issuer of a Qualified Bond fail to continue to meet the applicable\nrequirements as imposed on any such bond by the Code or other federal laws, it is possible that such\nissuer may not receive federal cash subsidy payments, impairing the issuer's ability to make scheduled\ninterest payments or even causing mandatory redemption of a portion of the bonds. As provided in Section\n54A of the Code, Qualified Bonds

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are also subject to mandatory redemption of any portion of\navailable project proceeds that remain unexpended by the issuer after three years from the date of issuance.\n This mandatory redemption must be completed within 90 days after such three-year period, unless an extension\nis granted by the Treasury. Additionally, Qualified Bonds may be subject to extraordinary redemption\nin the event that changes to applicable sections of the Code or other federal legislation causes to reduce\nor eliminate the federal cash subsidy payment for any Qualified Bond issuer's borrowing costs.

Certificates of participation. Certificates of participation are generally\na type of municipal lease obligation. Lease payments of a governmental entity secure payments on these\nbonds. These payments depend on the governmental entity budgeting appropriations for the lease payments.\n A governmental body cannot obligate future governments to appropriate for or make lease payments, but\ngovernments typically promise to take action necessary to include lease payments in their budgets. If\na government fails to budget for or make lease payments, sufficient funds may not exist to pay interest\nor principal on these bonds.

Tax district bonds. Tax district bonds\nare obligations secured by a pledge of taxing power by a municipality, such as tax increment financing\nor tax allocation bonds. These bonds are similar to general obligation bonds. Unlike general obligation\nbonds, however, the municipality does not pledge its unlimited taxing power to pay these bonds. Instead,\nthe municipality pledges revenues from a specific tax to pay these bonds. If the tax cannot support\npayment of interest and principal, a municipality may need to raise the related tax to pay these bonds.\n An inability to raise the tax could have an adverse effect on these bonds.

Airport\nbonds. Airport bonds are obligations of issuers that own and operate airports. The\nability of the issuer to make payments on these bonds primarily depends on the ability of airlines to\nmeet their obligations under use agreements. Due to increased competition, deregulation, increased fuel\ncosts and other factors, some airlines may have difficulty meeting these obligations.

General\npurpose bonds. General purpose bonds may include categorizations including, but not limited\nto, industrial revenue bonds, housing and building bonds, facilities bonds and tax district bonds. In\ngeneral, the ability of these issuers to make payments on bonds depends on a variety factors such as\nthe creditworthiness of the company or issuer operating the projects, government regulations and solvency\nof municipalities.

Health care bonds. Health care bonds are obligations of\nissuers that derive revenue from hospitals and hospital systems, including mental health facilities,\nnursing homes and intermediate care facilities. The ability of these issuers to make payments on bonds\ndepends on factors such as facility occupancy levels, demand for services, competition resulting from\nhospital mergers and affiliations, the need to reduce costs, government regulation, costs of malpractice\ninsurance and claims, and government financial assistance (such as Medicare and Medicaid).

Higher education bonds. Higher education bonds are obligations\nof issuers that operate universities and colleges. These issuers derive revenues from tuition, dormitories,\ngrants and endowments. These issuers face problems related to declines in the number of college-age\nindividuals, possible inability to raise tuitions and fees, uncertainty of continued federal grants,\nstate funding or donations, and government legislation or regulation.

Public\neducation bonds. Public education bonds are obligations of issuers that operate primary and\nsecondary schools. The ability of these issuers to make payments on these bonds depends primarily on\nad valorem taxes. These issuers may also face problems related to litigation contesting state constitutionality\nof public education financing.

Transportation bonds. Transportation bonds\nare obligations of issuers that own and operate public transit systems, ports, highways, turnpikes, bridges\nand other transportation systems. The ability of these issuers to make payments on these bonds depends\non variations in use, the degree of government subsidization, competition from other forms of transportation\nand increased costs. Port authorities derive revenues primarily from fees imposed on ships using the\nport facilities. These fees can fluctuate depending on the local economy and competition from air, rail\nand truck transportation. Increased fuel costs, alternative

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transportation modes and competition from toll-free bridges\nand roads will impact revenues of issuers that operate bridges, roads or tunnels.

Utilities\nbonds. Utilities bonds are obligations of issuers that derive revenue from the retail\nsale of utilities to customers. This category of bonds consists of bonds including, but not limited\nto, retail electric, gas and telephone bonds, waste disposal bonds, water and sewer bonds, and wholesale\nelectric bonds. The ability of these issuers to make payments on these bonds depends on factors such\nas the rates and demand for these utilities, competition, government regulation and rate approvals, overhead\nexpenses and the cost of fuels. These issuers face problems such as cost and delays due to environmental\nconcerns, effects of conservation and recycling, destruction or condemnation of a project, void or unenforceable\ncontracts, changes in the economic availability of raw materials, operating supplies or facilities, zoning\nordinances, and other unavoidable changes that adversely affect operation of a project.

\nMoney Market Instruments

The fund may purchase\nmoney market instruments for investment purposes, when it has cash reserves or in anticipation of taking\na market position.

Investing in money market instruments is subject to certain\nrisks. Money market instruments (other than certain U.S. Government securities) are not backed or insured\nby the U.S. Government, its agencies or its instrumentalities. Accordingly, only the creditworthiness\nof an issuer, or guarantees of that issuer, support such instruments.

Bank\nObligations. Bank obligations include certificates of deposit (\"CDs\"), time deposits (\"TDs\"),\nbankers' acceptances and other short-term obligations issued by domestic or foreign banks or thrifts\nor their subsidiaries or branches and other banking institutions. CDs are negotiable certificates evidencing\nthe obligation of a bank to repay funds deposited with it for a specified period of time. TDs are non-negotiable\ndeposits maintained in a banking institution for a specified period of time (in no event longer than\nseven days) at a stated interest rate. Bankers' acceptances are credit instruments evidencing the obligation\nof a bank to pay a draft drawn on it by a customer. These instruments reflect the obligation both of\nthe bank and the drawer to pay the face amount of the instrument upon maturity. The other short-term\nobligations may include uninsured, direct obligations bearing fixed, floating or variable interest rates.\n TDs and CDs may be issued by domestic or foreign banks or their subsidiaries or branches. The fund\nmay purchase CDs issued by banks, savings and loan associations and similar institutions with less than\n$1 billion in assets, the deposits of which are insured by the FDIC, provided the fund purchases any\nsuch CD in a principal amount of no more than an amount that would be fully insured by the Deposit Insurance\nFund administered by the FDIC. Interest payments on such a CD are not insured by the FDIC. The fund\nwould not own more than one such CD per such issuer.

Domestic commercial banks\norganized under federal law are supervised and examined by the Comptroller of the Currency and are required\nto be members of the Federal Reserve System and to have their deposits insured by the FDIC. Domestic\nbanks organized under state law are supervised and examined by state banking authorities but are members\nof the Federal Reserve System only if they elect to join. In addition, state banks whose CDs may be\npurchased by the fund are insured by the FDIC (although such insurance may not be of material benefit\nto the fund, depending on the principal amount of the CDs of each bank held by the fund) and are subject\nto federal examination and to a substantial body of federal law and regulation. As a result of federal\nand state laws and regulations, domestic branches of domestic banks whose CDs may be purchased by the\nfund generally, among other things, are required to maintain specified levels of reserves and are subject\nto other supervision and regulation designed to promote financial soundness. However, not all of such\nlaws and regulations apply to the foreign branches of domestic banks.

Obligations\nof foreign subsidiaries or branches of domestic banks may be general obligations of the parent banks\nin addition to the issuing subsidiary or branch, or may be limited by the terms of a specific obligation\nand governmental regulation. Such obligations and obligations of foreign banks or their subsidiaries\nor branches are subject to different risks than are those of domestic banks. These risks include foreign\neconomic and political developments, foreign governmental restrictions that may adversely affect payment\nof principal and interest on the obligations, foreign exchange controls, seizure of assets, declaration\nof a moratorium and foreign withholding and other taxes on interest income. Foreign subsidiaries and\nbranches of domestic banks and foreign banks are not

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necessarily subject to the same or similar regulatory requirements that apply\nto domestic banks, such as mandatory reserve requirements, loan limitations, and accounting, auditing\nand financial recordkeeping requirements. In addition, less information may be publicly available about\na foreign subsidiary or branch of a domestic bank or about a foreign bank than about a domestic bank.

Obligations\nof U.S. branches of foreign banks may be general obligations of the parent bank in addition to the issuing\nbranch, or may be limited by the terms of a specific obligation or by federal or state regulation as\nwell as governmental action in the country in which the foreign bank has its head office. A U.S. branch\nof a foreign bank with assets in excess of $1 billion may or may not be subject to reserve requirements\nimposed by the Federal Reserve System or by the state in which the branch is located if the branch is\nlicensed in that state. In addition, federal branches licensed by the Comptroller of the Currency and\nbranches licensed by certain states may be required to: (1) pledge to the regulator, by depositing assets\nwith a designated bank within the state, a certain percentage of their assets as fixed from time to time\nby the appropriate regulatory authority; and (2) maintain assets within the state in an amount equal\nto a specified percentage of the aggregate amount of liabilities of the foreign bank payable at or through\nall of its agencies or branches within the state.

In view of the foregoing factors associated\nwith the purchase of CDs and TDs issued by foreign subsidiaries or branches of domestic banks, or by\nforeign banks or their branches or subsidiaries, the Sub-Adviser carefully evaluates such investments\non a case-by-case basis.

Repurchase Agreements. A repurchase agreement\nis a contract under which the fund would acquire a security for a relatively short period subject to\nthe obligation of the seller, typically a bank, broker/dealer or other financial institution, to repurchase\nand the fund to resell such security at a fixed time and at a price higher than the purchase price (representing\nthe fund's cost plus interest). The repurchase agreement thereby determines the yield during the purchaser's\nholding period, while the seller's obligation to repurchase is secured by the value of the underlying\nsecurity. The fund's custodian or sub-custodian engaged in connection with tri-party repurchase agreement\ntransactions will have custody of, and will segregate, securities acquired by the fund under a repurchase\nagreement. In connection with its third party repurchase transactions, the fund will engage only eligible\nsub-custodians that meet the requirements set forth in Section 17(f) of the 1940 Act. The value of the\nunderlying securities (or collateral) will be at least equal at all times to the total amount of the\nrepurchase obligation, including the interest factor. The fund bears a risk of loss if the other party\nto the repurchase agreement defaults on its obligations and the fund is delayed or prevented from exercising\nits rights to dispose of the collateral securities. This risk includes the risk of procedural costs\nor delays in addition to a loss on the securities if their value should fall below their repurchase price.\n Repurchase agreements are considered by the staff of the SEC to be loans by the fund that enters into\nthem. Repurchase agreements could involve risks in the event of a default or insolvency of the other\nparty to the agreement, including possible delays or restrictions upon the fund's ability to dispose\nof the underlying securities. The fund may engage in repurchase agreement transactions that are collateralized\nby U.S. Government securities (which are deemed to be \"collateralized fully\" pursuant to the 1940 Act)\nor, to the extent consistent with the fund's investment policies, collateralized by securities other\nthan U.S. Government securities (credit and/or equity collateral). Transactions that are collateralized\nfully enable the fund to look to the collateral for diversification purposes under the 1940 Act. Conversely,\ntransactions secured with credit and/or equity collateral require the fund to look to the counterparty\nto the repurchase agreement for determining diversification. Because credit and/or equity collateral\nis subject to certain credit, liquidity, market and/or other additional risks that U.S. Government securities\nare not subject to, the amount of collateral posted in excess of the principal value of the repurchase\nagreement is expected to be higher in the case of repurchase agreements secured with credit and/or equity\ncollateral compared to repurchase agreements secured with U.S. Government securities. In an attempt\nto reduce the risk of incurring a loss on a repurchase agreement, the fund will require that additional\nsecurities be deposited with it if the value of the securities purchased should decrease below resale\nprice. See \"Fixed-Income Securities—High Yield and Lower-Rated Securities\" above for a discussion\nof certain risks of collateral rated below investment grade. The fund and certain affiliated funds may\njointly enter into one or more repurchase agreements in accordance with an exemptive order granted by\nthe SEC pursuant to Section 17(d) of the 1940 Act and Rule 17d-1 thereunder. Any joint repurchase agreements\nmust be collateralized fully by U.S. Government securities.

Commercial Paper.\n Commercial paper represents short-term, unsecured promissory notes issued in bearer form by banks or\nbank holding companies, corporations and finance companies used to finance short-term credit needs and\nmay consist of U.S. dollar-denominated obligations of domestic issuers and foreign currency-denominated\n

III-21

obligations of domestic or foreign issuers. Commercial paper may be backed only\nby the credit of the issuer or may be backed by some form of credit enhancement, typically in the form\nof a guarantee by a commercial bank. Commercial paper backed by guarantees of foreign banks may involve\nadditional risk due to the difficulty of obtaining and enforcing judgments against such banks and the\ngenerally less restrictive regulations to which such banks are subject.

Foreign\nSecurities

Foreign securities include the securities of companies organized\nunder the laws of countries other than the United States and those issued or guaranteed by governments\nother than the U.S. Government or by foreign supranational entities. They also include securities of\ncompanies whose principal trading market is in a country other than the United States or of companies\n(including those that are located in the United States or organized under U.S. law) that derive a significant\nportion of their revenue or profits from foreign businesses, investments or sales, or that have a majority\nof their assets outside the United States. They may be traded on foreign securities exchanges or in\nthe foreign over-the-counter markets. Supranational entities include international organizations designated\nor supported by governmental entities to promote economic reconstruction or development and international\nbanking institutions and related government agencies. Examples include the International Bank for Reconstruction\nand Development (the \"World Bank\"), the European Coal and Steel Community, the Asian Development Bank\nand the InterAmerican Development Bank. Obligations of the World Bank and certain other supranational\norganizations are supported by subscribed but unpaid commitments of member countries. There is no assurance\nthat these commitments will be undertaken or complied with in the future.

Investing\nin the securities of foreign issuers, as well as instruments that provide investment exposure to foreign\nsecurities and markets, involves risks that are not typically associated with investing in U.S. dollar-denominated\nsecurities of domestic issuers. Investments in foreign issuers may be affected by changes in currency\nrates (i.e., affecting the value of assets as measured in U.S. dollars), changes in foreign or U.S. laws\nor restrictions applicable to such investments and in exchange control regulations (e.g., currency blockage).\n A decline in the exchange rate of the currency (i.e., weakening of the currency against the U.S. dollar)\nin which a portfolio security is quoted or denominated relative to the U.S. dollar would reduce the value\nof the portfolio security. A change in the value of such foreign currency against the U.S. dollar also\nwill result in a change in the amount of income available for distribution. If a portion of the fund's\ninvestment income may be received in foreign currencies, the fund will be required to compute its income\nin U.S. dollars for distribution to shareholders, and therefore the fund will absorb the cost of currency\nfluctuations. After the fund has distributed income, subsequent foreign currency losses may result in\nthe fund having distributed more income in a particular fiscal period than was available from investment\nincome, which could result in a return of capital to shareholders. In addition, if the exchange rate\nfor the currency in which the fund receives interest payments declines against the U.S. dollar before\nsuch income is distributed as dividends to shareholders, the fund may have to sell portfolio securities\nto obtain sufficient cash to enable the fund to pay such dividends. Commissions on transactions in foreign\nsecurities may be higher than those for similar transactions on domestic stock markets, and foreign custodial\ncosts are higher than domestic custodial costs. In addition, clearance and settlement procedures may\nbe different in foreign countries and, in certain markets, such procedures have on occasion been unable\nto keep pace with the volume of securities transactions, thus making it difficult to conduct such transactions.

Foreign\nsecurities markets generally are not as developed or efficient as those in the United States. Securities\nof some foreign issuers are less liquid and more volatile than securities of comparable U.S. issuers.\n Similarly, volume and liquidity in most foreign securities markets are less than in the United States\nand, at times, volatility of price can be greater than in the United States.

Many\ncountries throughout the world are dependent on a healthy U.S. economy and are adversely affected when\nthe U.S. economy weakens or its markets decline. For example, in 2007 and 2008, the meltdown in the\nU.S. subprime mortgage market quickly spread throughout global credit markets, triggering a liquidity\ncrisis that affected fixed-income and equity markets around the world.

Foreign\ninvestments involve risks unique to the local political, economic, and regulatory structures in place,\nas well as the potential for social instability, military unrest or diplomatic developments that could\nprove adverse to the interests of U.S. investors. Individual foreign economies can differ favorably\nor unfavorably from the U.S. economy

III-22

in such respects as growth of gross national product, rate of inflation, capital\nreinvestment, resource self-sufficiency and balance of payments position. In addition, significant external\npolitical and economic risks currently affect some foreign countries. For example, both Taiwan and China\nclaim sovereignty over Taiwan and there is a demilitarized border and hostile relations between North\nand South Korea. Russia's military invasion of Ukraine in February 2022, the resulting responses by\nthe United States and other countries, and the potential for wider conflict have increased volatility\nand uncertainty in the financial markets and adversely affected regional and global economies. War and\nterrorism affect many countries, especially those in Africa and the Middle East. A number of countries\nin Europe have suffered terror attacks. The future proliferation and effects of these and similar events\nand other socio-political or geographical issues are not known but could suddenly and/or profoundly affect\nglobal economies, markets, certain industries and/or specific securities.

Because\nevidences of ownership of foreign securities usually are held outside the United States, additional risks\nof investing in foreign securities include possible adverse political and economic developments, seizure\nor nationalization of foreign deposits and adoption of governmental restrictions that might adversely\naffect or restrict the payment of principal and interest on the foreign securities to investors located\noutside the country of the issuer, whether from currency blockage, exchange control regulations or otherwise.\n Foreign securities held by the fund may trade on days when the fund does not calculate its NAV and thus\nmay affect the fund's NAV on days when shareholders have no access to the fund.

Emerging\nMarkets. Investments in, or economically tied to, emerging market countries\nmay be subject to higher risks than investments in companies in developed countries. Risks of investing\nin emerging markets and emerging market securities include, but are not limited to (in addition to those\ndescribed above): less social, political and economic stability; increased potential for market manipulation;\nless diverse and mature economic structures; the lack of publicly available information, including reports\nof payments of dividends or interest on outstanding securities; differences in regulatory, accounting,\nauditing, financial reporting and recordkeeping standards; certain national policies that may restrict\nthe fund's investment opportunities, including restrictions on investment in issuers or industries deemed\nsensitive to national interests; local taxation; the absence of developed structures governing private\nor foreign investment or allowing for judicial redress for injury to private property; the absence until\nrecently, in certain countries, of a capital structure or market-oriented economy; the possibility that\nrecent favorable economic developments in certain countries may be slowed or reversed by unanticipated\npolitical or social events in these countries; restrictions that may make it difficult or impossible\nfor the fund to vote proxies, exercise shareholder rights, pursue legal remedies, and obtain judgments\nin foreign courts; the risk of uninsured loss due to lost, stolen, or counterfeit stock certificates;\npossible losses through the holding of securities in domestic and foreign custodial banks and depositories;\nheightened opportunities for governmental corruption; large amounts of foreign debt to finance basic\ngovernmental duties that could lead to restructuring or default; and heavy reliance on exports that may\nbe severely affected by global economic downturns.

The purchase and sale\nof portfolio securities in certain emerging market countries may be constrained by limitations as to\ndaily changes in the prices of listed securities, periodic trading or settlement volume and/or limitations\non aggregate holdings of foreign investors. In certain cases, such limitations may be computed based\nupon the aggregate trading by or holdings of the fund, its Adviser and its affiliates and their respective\nclients and other service providers. The fund may not be able to sell securities in circumstances where\nprice, trading or settlement volume limitations have been reached.

Economic conditions, such\nas volatile currency exchange rates and interest rates, political events and other conditions may, without\nprior warning, lead to government intervention and the imposition of \"capital controls.\" Countries use\nthese controls to restrict volatile movements of capital entering (\"inflows\") and exiting (\"outflows\")\ntheir country to respond to certain economic conditions. Such controls are mainly applied to short-term\ncapital transactions to counter speculative flows that threaten to undermine the stability of the exchange\nrate and deplete foreign exchange reserves. Capital controls include the prohibition of, or restrictions\non, the ability to transfer currency, securities or other assets in such a way that may adversely affect\nthe ability of the fund to repatriate its income and capital. These limitations may have a negative\nimpact on the fund's performance and may adversely affect the liquidity of the fund's investment to the\nextent that it invests in certain emerging market countries. Some emerging market countries may have\nfixed or managed currencies which are not free-floating against the U.S. dollar. Further, certain emerging\nmarket countries' currencies may not be internationally traded. Certain of these currencies have experienced\na steady devaluation relative to the U.S. dollar. If the fund does not hedge the U.S. dollar value of\nsecurities it owns denominated in currencies that are devalued, the fund's NAV will be adversely affected.\n Many

III-23

emerging market countries have experienced substantial, and in some periods, extremely\nhigh rates of inflation for many years. Inflation and rapid fluctuations in inflation rates have had,\nand may continue to have, adverse effects on the economies and securities markets of certain of these\ncountries. Further, the economies of emerging market countries generally are heavily dependent upon\ninternational trade and, accordingly, have been and may continue to be adversely affected by trade barriers,\nexchange controls, managed adjustments in relative currency values and other protectionist measures imposed\nor negotiated by the countries with which they trade.

The fund may invest in\ncompanies organized or with their principal place of business, or majority of assets or business, in\npre-emerging markets, also known as frontier markets. The risks associated with investments in frontier\nmarket countries include all the risks described above for investments in foreign securities and emerging\nmarkets, although the risks are magnified for frontier market countries. Because frontier markets are\namong the smallest, least mature and least liquid of the emerging markets, investments in frontier markets\ngenerally are subject to a greater risk of loss than investments in developed markets or traditional\nemerging markets. Frontier market countries have smaller economies, less developed capital markets,\nmore political and economic instability, weaker legal, financial accounting and regulatory infrastructure,\nand more governmental limitations on foreign investments than typically found in more developed countries,\nand frontier markets typically have greater market volatility, lower trading volume, lower capital flow,\nless investor participation, fewer large global companies and greater risk of a market shutdown than\nmore developed markets. Frontier markets are more prone to economic shocks associated with political\nand economic risks than are emerging markets generally. Many frontier market countries may be dependent\non commodities, foreign trade or foreign aid.

Sovereign Debt Obligations.\n Investments in sovereign debt obligations involve special risks which are not present in corporate debt\nobligations. The foreign issuer of the sovereign debt or the foreign governmental authorities that control\nthe repayment of the debt may be unable or unwilling to repay principal or interest when due, and the\nfund may have limited recourse in the event of a default. During periods of economic uncertainty, the\nmarket prices of sovereign debt, and the NAV of the fund, to the extent it invests in such securities,\nmay be more volatile than prices of U.S. debt issuers. In the past, certain foreign countries have encountered\ndifficulties in servicing their debt obligations, withheld payments of principal and interest and declared\nmoratoria on the payment of principal and interest on their sovereign debt.

A sovereign\ndebtor's willingness or ability to repay principal and pay interest in a timely manner may be affected\nby, among other factors, its cash flow situation, the extent of its foreign currency reserves, the availability\nof sufficient foreign exchange, the relative size of the debt service burden, the sovereign debtor's\npolicy toward principal international lenders and local political constraints. Sovereign debtors may\nalso be dependent on expected disbursements from foreign governments, multilateral agencies and other\nentities to reduce principal and interest arrearages on their debt. The failure of a sovereign debtor\nto implement economic reforms, achieve specified levels of economic performance or repay principal or\ninterest when due may result in the cancellation of third party commitments to lend funds to the sovereign\ndebtor, which may further impair such debtor's ability or willingness to service its debts.

Moreover,\nno established secondary markets may exist for many of the sovereign debt obligations in which the fund\nmay invest. Reduced secondary market liquidity may have an adverse effect on the market price and the\nfund's ability to dispose of particular instruments when necessary to meet its liquidity requirements\nor in response to specific economic events such as a deterioration in the creditworthiness of the issuer.\n Reduced secondary market liquidity for certain sovereign debt obligations also may make it more difficult\nfor the fund to obtain accurate market quotations for purposes of valuing its portfolio. Market quotations\nare generally available on many sovereign debt obligations only from a limited number of dealers and\nmay not necessarily represent firm bids of those dealers or prices of actual sales.

Sovereign\nDebt Obligations of Emerging Market Countries. Investing in foreign government obligations\nand the sovereign debt of emerging market countries creates exposure to the direct or indirect consequences\nof political, social or economic changes in the countries that issue the securities or in which the issuers\nare located. The ability and willingness of sovereign obligors in emerging market countries or the governmental\nauthorities that control repayment of their external debt to pay principal and interest on such debt\nwhen due may depend on general economic and political conditions within the relevant country. Certain\ncountries in which the fund may invest have historically experienced, and may continue to experience,\nhigh rates of inflation, high interest rates, exchange rate trade difficulties and extreme poverty and\nunemployment. Many of these countries also are characterized by

III-24

political uncertainty or instability. Additional factors which may influence\nthe ability or willingness to service debt include a country's cash flow situation, the availability\nof sufficient foreign exchange on the date a payment is due, the relative size of its debt service burden\nto the economy as a whole and its government's policy towards the International Monetary Fund, the World\nBank and other international agencies. The ability of a foreign sovereign obligor to make timely payments\non its external debt obligations also will be strongly influenced by the obligor's balance of payments,\nincluding export performance, its access to international credits and investments, fluctuations in interest\nrates and the extent of its foreign reserves. A governmental obligor may default on its obligations.\n If such an event occurs, the fund may have limited legal recourse against the issuer and/or guarantor.\n In some cases, remedies must be pursued in the courts of the defaulting party itself, and the ability\nof the holder of foreign sovereign debt securities to obtain recourse may be subject to the political\nclimate in the relevant country. In addition, no assurance can be given that the holders of commercial\nbank debt will not contest payments to the holders of other foreign sovereign debt obligations in the\nevent of default under their commercial bank loan agreements. Sovereign obligors in emerging market\ncountries are among the world's largest debtors to commercial banks, other governments, international\nfinancial organizations and other financial institutions. These obligors, in the past, have experienced\nsubstantial difficulties in servicing their external debt obligations, which led to defaults on certain\nobligations and the restructuring of certain indebtedness. Restructuring arrangements have included,\namong other things, reducing and rescheduling interest and principal payments by negotiating new or amended\ncredit agreements or converting outstanding principal and unpaid interest to Brady Bonds (discussed below),\nand obtaining new credit to finance interest payments. Holders of certain foreign sovereign debt securities\nmay be requested to participate in the restructuring of such obligations and to extend further loans\nto their issuers. There can be no assurance that the Brady Bonds and other foreign sovereign debt securities\nin which the fund may invest will not be subject to similar restructuring arrangements or to requests\nfor new credit which may adversely affect the fund's holdings. Obligations of the World Bank and certain\nother supranational organizations are supported by subscribed but unpaid commitments of member countries.\n There is no assurance that these commitments will be undertaken or complied with in the future.

\nBrady Bonds. \"Brady Bonds\" are securities created through the exchange\nof existing commercial bank loans to public and private entities in certain emerging markets for new\nbonds in connection with debt restructurings. In light of the history of defaults of countries issuing\nBrady Bonds on their commercial bank loans, investments in Brady Bonds may be viewed as speculative.\n Brady Bonds may be fully or partially collateralized or uncollateralized, are issued in various currencies\n(but primarily in U.S. dollars) and are actively traded in over-the-counter secondary markets. Brady\nBonds with no or limited collateralization of interest or principal payment obligations have increased\ncredit risk, and the holders of such bonds rely on the willingness and ability of the foreign government\nto make payments in accordance with the terms of such Brady Bonds. U.S. dollar-denominated collateralized\nBrady Bonds, which may be fixed rate bonds or floating rate bonds, generally are collateralized by Treasury\nzero coupon bonds having the same maturity as the Brady Bonds. One or more classes of securities (structured\nsecurities) may be backed by, or represent interests in, Brady Bonds. The cash flow on the underlying\ninstruments may be apportioned among the newly-issued structured securities to create securities with\ndifferent investment characteristics such as varying maturities, payment priorities and interest rate\nprovisions, and the extent of the payments made with respect to structured securities is dependent on\nthe extent of the cash flow on the underlying instruments. See \"Derivatives—Structured Securities\"\nbelow.

Eurodollar and Yankee Dollar Investments.\n Eurodollar instruments are bonds of foreign corporate and government issuers that pay interest and principal\nin U.S. dollars generally held in banks outside the United States, primarily in Europe. Yankee Dollar\ninstruments are U.S. dollar-denominated bonds typically issued in the United States by foreign governments\nand their agencies and foreign banks and corporations. Eurodollar Certificates of Deposit are U.S. dollar-denominated\ncertificates of deposit issued by foreign branches of domestic banks; Eurodollar Time Deposits are U.S.\ndollar-denominated deposits in a foreign branch of a U.S. bank or in a foreign bank; and Yankee Certificates\nof Deposit are U.S. dollar-denominated certificates of deposit issued by a U.S. branch of a foreign bank\nand held in the United States. These investments involve risks that are different from investments in\nsecurities issued by U.S. issuers, including potential unfavorable political and economic developments,\nforeign withholding or other taxes, seizure of foreign deposits, currency controls, interest limitations\nor other governmental restrictions which might affect payment of principal or interest.

\nInvestment Companies

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The 1940 Act currently limits the fund's investment in securities issued by registered\nand unregistered investment companies, including exchange-traded funds (discussed below), subject to\ncertain exceptions to: (1) 3% of the total voting stock of any one investment company; (2) 5% of the\nfund's total assets with respect to any one investment company; and (3) 10% of the fund's total assets\nin the aggregate. Exemptions in the 1940 Act or the rules thereunder may allow the fund to invest in\nanother investment company in excess of (1), (2) and/or (3). In particular, Rule 12d1-4 under the 1940\nAct allows the fund to acquire the securities of another registered investment company, including ETFs,\nin excess of the limitations above, subject to certain limitations and conditions, including limits on\ncontrol and voting of acquired funds' shares, evaluations and findings by the Adviser, entering in most\ncases, into an investment agreement with the acquired fund, and limits on most three-tier fund structures.\n

As a shareholder of another investment company, the fund would bear, along with\nother shareholders, its pro rata portion of the other investment company's expenses, including advisory\nfees. These expenses would be in addition to the advisory fees and other expenses that the fund bears\ndirectly in connection with its own operations, subject to the conditions of any applicable expense arrangement.\n

The fund also may invest its uninvested cash reserves or cash it receives as collateral\nfrom borrowers of its portfolio securities in connection with the fund's securities lending program,\nin shares of one or more money market funds advised by the Adviser or an affiliate of the Adviser. In\naddition, the fund may invest in shares of one or more money market funds advised by the Adviser or an\naffiliate of the Adviser for strategic purposes related to the management of the fund. Such investments\nwill not be subject to the limitations described above.

Exchange-Traded\nFunds and Similar Exchange-Traded Products (\"ETFs\")

Although certain ETFs\nare actively managed, most ETFs are designed to provide investment results that generally correspond\nto the performance of the component securities or commodities of an underlying index. ETF shares are\nlisted on an exchange, and shares are generally purchased and sold in the secondary market at market\nprice. At times, the market price may be at a premium or discount to the ETF's per share NAV. In addition,\nETFs are subject to the risk that an active trading market for an ETF's shares may not develop or be\nmaintained. Because shares of ETFs trade on an exchange, they may be subject to trading halts on the\nexchange. Trading of an ETF's shares may be halted if the listing exchange's officials deem such action\nappropriate, the shares are de-listed from the exchange, or market-wide \"circuit breakers\" (which are\ntied to large decreases in stock prices) halt stock trading generally.

The\nvalues of ETFs' shares are subject to change as the values of their respective component securities or\ncommodities fluctuate according to market volatility (although, as noted above, the market price of an\nETF's shares may be at a premium or discount to the ETF's per share NAV). The price of an ETF's shares\ncan fluctuate within a wide range, and the fund could lose money investing in an ETF if the prices of\nthe securities or commodities owned by the ETF go down. Investments in ETFs that are designed to correspond\nto an index of securities involve certain inherent risks generally associated with investments in a portfolio\nof such securities, including the risk that the general level of securities prices may decline, thereby\nadversely affecting the value of ETFs invested in by the fund. Similarly, investments in ETFs that are\ndesigned to correspond to commodity returns involve certain inherent risks generally associated with\ninvestment in commodities. Moreover, investments in ETFs designed to correspond to indexes of securities\nmay not exactly match the performance of a direct investment in the respective indexes to which they\nare intended to correspond due to the temporary unavailability of certain index securities in the secondary\nmarket or other extraordinary circumstances, such as discrepancies with respect to the weighting of securities.

With\nrespect to the fund's investments in ETFs, the fund may enter into an agreement with certain ETFs pursuant\nto Rule 12d1-4 that permits the fund to invest in excess of the limits in the 1940 Act and the rules\nthereunder. These agreements also may require the Adviser to vote the fund's ETF shares in proportion\nto votes cast by other ETF stockholders and may subject the fund to other requirements in connection\nwith investments in these ETFs.

Derivatives

Derivatives\nmay be used for a variety of reasons, including to provide a substitute for purchasing or selling particular\nsecurities, to reduce portfolio turnover, to seek to obtain a particular desired return at a lower cost\nto the fund than if the fund had invested directly in an instrument yielding the desired return, such\nas when the fund

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\"equitizes\" available cash balances by using a derivative instrument to gain exposure\nto relevant equity investments or markets consistent with its investment objective and policies, or for\nother reasons. The fund may seek to achieve investment exposure to markets and securities through long\nand short positions in derivatives. Generally, a derivative is a financial contract whose value depends\nupon, or is derived from, the value of an underlying asset, reference rate or index, and may relate to\nstocks, bonds, interest rates, currencies or currency exchange rates and related indexes. Derivatives\nmay provide a cheaper, quicker or more specifically focused way to invest than \"traditional\" securities\nwould. Examples of derivative instruments include futures contracts, options, forward volatility agreements,\ncredit linked securities, credit derivatives, structured securities and hybrid instruments, exchange-linked\nnotes, participation notes, custodial receipts and currency forward contracts. In addition, the fund's\nportfolio managers may decide not to employ some or all of these strategies, and there is no assurance\nthat any derivatives strategy used by the fund will succeed.

Risks.\n Successful\nuse of certain derivatives may be a highly specialized activity that requires skills that may be different\nthan the skills associated with ordinary portfolio securities transactions. If the Sub-Adviser is incorrect\nin its forecasts of market factors, or a counterparty defaults, investment performance would diminish\ncompared with what it would have been if derivatives were not used. Successful use of derivatives by\nthe fund also is subject to the Sub-Adviser's ability to predict correctly movements in the direction\nof the relevant market and, to the extent the transaction is entered into for hedging purposes, to ascertain\nthe appropriate correlation between the securities or position being hedged and the price movements of\nthe corresponding derivative position. For example, if the fund enters into a derivative position to\nhedge against the possibility of a decline in the market value of securities held in its portfolio and\nthe prices of such securities instead increase, the fund will lose part or all of the benefit of the\nincreased value of securities which it has hedged because it will have offsetting losses in the derivative\nposition.

It is possible that developments in the\nderivatives markets, including potential government regulation, could adversely affect the ability to\nterminate existing derivatives positions or to realize amounts to be received in such transactions.\nOn October 28, 2020, the SEC adopted Rule 18f-4 (the \"Derivatives Rule\") under the 1940\nAct which replaced prior SEC and staff guidance with an updated, comprehensive framework for registered\nfunds' use of derivatives. The Derivatives Rule requires the fund to trade derivatives and certain other\ninstruments that create future payment or delivery obligations subject to a value-at-risk (\"VaR\")\nleverage limit, develop and implement a derivatives risk management program and new testing requirements,\nand comply with new requirements related to board and SEC reporting. These requirements apply unless\nthe fund qualifies as a \"limited derivatives user,\" as defined in the Derivatives Rule. As of the date\nof this SAI, the fund intends to qualify as a \"limited derivatives user\". To the extent the fund uses\nderivatives, complying with the Derivatives Rule may increase the cost of the fund's investments and\ncost of doing business, which could adversely affect investors. Other new regulations could adversely\naffect the value, availability and performance of certain derivative instruments, may make them more\ncostly, and may limit or restrict their use by the fund.

Derivatives\ncan be volatile and involve various types and degrees of risk, depending upon the characteristics of\nthe particular derivative and the portfolio as a whole. Derivatives permit the fund to increase or decrease\nthe level of risk, or change the character of the risk, to which its portfolio is exposed in much the\nsame way as the fund can increase or decrease the level of risk, or change the character of the risk,\nof its portfolio by making investments in specific securities. However, derivatives may entail investment\nexposures that are greater than their cost would suggest, meaning that a small investment in derivatives\ncould have a large potential impact on the fund's performance. Derivatives involve greater risks than\nif the fund had invested in the reference obligation directly.

An\ninvestment in derivatives at inopportune times or when market conditions are judged incorrectly may lower\nreturn or result in a loss. The fund could experience losses if its derivatives were poorly correlated\nwith underlying instruments or the fund's other investments or if the fund were unable to liquidate its\nposition because of an illiquid secondary market. The market for many derivatives is, or suddenly can\nbecome, illiquid. Changes in liquidity may result in significant, rapid and unpredictable changes in\nthe prices for derivatives.

Over-the-Counter Derivatives. Derivatives may be\npurchased on established exchanges or through privately negotiated transactions referred to as over-the-counter\nderivatives. Exchange-traded derivatives, primarily futures contracts and options, generally are guaranteed\nby the clearing agency that is the issuer or

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counterparty to such derivatives. This guarantee usually\nis supported by a variation margin payment system operated by the clearing agency in order to reduce\noverall credit risk. As a result, unless the clearing agency defaults, there is relatively little counterparty\ncredit risk associated with derivatives purchased on an exchange. In contrast, no clearing agency guarantees\nover-the-counter derivatives. Therefore, each party to an over-the-counter derivative bears the risk\nthat the counterparty will default. Accordingly, the Sub-Adviser will consider the creditworthiness\nof counterparties to over-the-counter derivatives in the same manner as it would review the credit quality\nof a security to be purchased by the fund. Over-the-counter derivatives are less liquid than exchange-traded\nderivatives since the other party to the transaction may be the only investor with sufficient understanding\nof the derivative to be interested in bidding for it. Derivatives that are considered illiquid will\nbe subject to the fund's limit on illiquid investments.

Leverage.\n Some derivatives may involve leverage (e.g., an instrument linked to the value of a securities index\nmay return income calculated as a multiple of the price movement of the underlying index). This economic\nleverage will increase the volatility of these instruments as they may increase or decrease in value\nmore quickly than the underlying security, index, futures contract, currency or other economic variable.\n

Options and Futures Contracts. Options and futures contracts prices\ncan diverge from the prices of their underlying instruments. Options and futures contracts prices are\naffected by such factors as current and anticipated short-term interest rates, changes in volatility\nof the underlying instrument, and the time remaining until expiration of the contract, which may not\naffect the prices of the underlying instruments in the same way. Imperfect correlation may also result\nfrom differing levels of demand in the options and futures markets and the securities markets, from structural\ndifferences in how options and futures and securities are traded, or from imposition of daily price fluctuation\nlimits or trading halts. The fund may purchase or sell options and futures contracts with a greater\nor lesser value than any securities it wishes to hedge or intends to purchase in order to attempt to\ncompensate for differences in volatility between the contract and the securities, although this may not\nbe successful in all cases. If price changes in the fund's options or futures positions used for hedging\npurposes are poorly correlated with the investments the fund is attempting to hedge, the options or futures\npositions may fail to produce anticipated gains or result in losses that are not offset by gains in other\ninvestments.

Margin. Certain derivatives require the fund\nto make margin payments, a form of security deposit intended to protect against nonperformance of the\nderivative contract. The fund may have to post additional margin if the value of the derivative position\nchanges in a manner adverse to the fund, which could affect performance as cash that would otherwise\nbe directly invested is posted as margin. Derivatives may be difficult to value, which may result in\nincreased payment requirements to counterparties or a loss of value to the fund. If the fund has insufficient\ncash to meet additional margin requirements, it might need to sell securities at a disadvantageous time.

\nCPO Exemption. The Adviser has claimed an exclusion from the definition\nof the term \"commodity pool operator\" pursuant to Regulation 4.5 under the CEA with respect to the fund\nand, therefore, is not subject to registration or regulation as a CPO under the CEA. The Adviser relies\non the exemption in Regulation 4.14(a)(8) to provide commodity interest trading advice with respect to\nthe fund for which the Adviser is an excluded CPO.

The fund may be limited\nin its ability to use commodity futures or options thereon, or make certain other investments (collectively,\n\"commodity interests\") if the Adviser continues to claim the exclusion from the definition of CPO with\nrespect to the fund. In order to be eligible to continue to claim this exclusion, if the fund uses commodity\ninterests other than for bona fide hedging purposes (as defined by the CFTC), the aggregate initial margin\nand premiums required to establish those positions (after taking into account unrealized profits and\nunrealized losses on any such positions and excluding the amount by which options are \"in-the-money\"\nat the time of purchase) may not exceed 5% of the fund's NAV, or, alternatively, the aggregate net notional\nvalue of those positions, as determined at the time the most recent position was established, may not\nexceed 100% of the fund's NAV (after taking into account unrealized profits and unrealized losses on\nany such positions). In addition to meeting one of the foregoing trading limitations, the fund may not\nmarket itself as a commodity pool or otherwise as a vehicle for trading in the commodity futures or options\nmarkets. Even if the fund's direct use of commodity interests complies with the trading limitations\ndescribed above, the fund may have indirect exposure to commodity interests in excess of such limitations.\n Such exposure may result from the fund's investment in other investment

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vehicles, including investment companies that are not managed by the Adviser or\none of its affiliates, certain securitized vehicles that may invest in commodity interests and/or non-equity\nREITs that may invest in commodity interests (collectively, \"underlying funds\"). Because the Adviser\nmay have limited or no information as to the commodity interests in which an underlying fund invests\nat any given time, the CFTC has issued temporary no-action relief permitting registered investment companies,\nsuch as the fund, to continue to allow their commodity pool operators to rely on the exclusion from the\ndefinition of CPO. The Adviser, on behalf of the fund, has filed the required notice to claim this no-action\nrelief. In order to rely on the temporary no-action relief, the Adviser must meet certain conditions\nand the fund must otherwise comply with the trading and market limitations described above with respect\nto their direct investments in commodity interests.

If the fund were to invest\nin commodity interests in excess of the trading limitations discussed above and/or market itself as a\nvehicle for trading in the commodity futures or options markets, the Adviser would withdraw its exclusion\nfrom the definition of CPO with respect to the fund and the Adviser would become subject to regulation\nas a CPO, and would need to comply with the harmonization rules adopted by the CFTC for funds that are\ndually registered, with respect to the fund, in addition to all applicable SEC regulations.

Specific\nTypes of Derivatives.

Futures Contracts. A futures contract is an agreement between\ntwo parties to buy and sell a security or other asset for a set price on a future date. When the fund\nsells a futures contract, it incurs an obligation to deliver a specified amount of the obligation underlying\nthe futures contract at a specified time in the future for an agreed upon price. With respect to index\nfutures, no physical transfer of the securities underlying the index is made. Rather, the parties settle\nby exchanging in cash an amount based on the difference between the contract price and the closing value\nof the index on the settlement date. An option on a futures contract gives the holder of the option\nthe right to buy from or sell to the writer of the option a position in a futures contract at a specified\nprice on or before a specified expiration date. When the fund writes an option on a futures contract,\nit becomes obligated, in return for the premium paid, to assume a position in a futures contract at a\nspecified exercise price at any time during the term of the option. If the fund has written a call option,\nit assumes a short futures position. If the fund has written a put option, it assumes a long futures\nposition. When the fund purchases an option on a futures contract, it acquires the right, in return\nfor the premium it pays, to assume a position in a futures contract (a long position if the option is\na call and a short position if the option is a put). The purchase of futures or call options on futures\ncan serve as a long hedge, and the sale of futures or the purchase of put options on futures can serve\nas a short hedge. Writing call options on futures contracts can serve as a limited short hedge, using\na strategy similar to that used for writing call options on securities or indexes. Similarly, writing\nput options on futures contracts can serve as a limited long hedge.

Futures\ncontracts are traded on exchanges, so that, in most cases, either party can close out its position on\nthe exchange for cash, without delivering the security or other asset. Although some futures contracts\ncall for making or taking delivery of the underlying securities or other asset, generally these obligations\nare closed out before delivery by offsetting purchases or sales of matching futures contracts (same exchange,\nunderlying asset, and delivery month). Closing out a futures contract sale is effected by purchasing\na futures contract for the same aggregate amount of the specific type of financial instrument with the\nsame delivery date. If an offsetting purchase price is less than the original sale price, the fund realizes\na capital gain, or if it is more, the fund realizes a capital loss. Conversely, if an offsetting sale\nprice is more than the original purchase price, the fund realizes a capital gain, or if it is less, the\nfund realizes a capital loss. Transaction costs also are included in these calculations.

Engaging in these transactions involves risk of loss to the fund which could adversely\naffect the value of the fund's net assets. No assurance can be given that a liquid market will exist\nfor any particular contract at any particular time. Many futures exchanges and boards of trade limit\nthe amount of fluctuation permitted in futures contract prices during a single trading day. Once the\ndaily limit has been reached in a particular contract, no trades may be made that day at a price beyond\nthat limit or trading may be suspended for specified periods during the trading day. Futures contract\nprices could move to the limit for several consecutive trading days with little or no trading, thereby\npreventing prompt liquidation of futures positions and potentially leading to substantial losses.

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The fund may engage in futures transactions in foreign markets\nto the extent consistent with applicable law and the fund's ability to invest in foreign securities.\n Foreign futures markets may offer advantages such as trading opportunities or arbitrage possibilities\nnot available in the United States. Foreign markets, however, may have greater risk potential than domestic\nmarkets. For example, some foreign exchanges are principal markets so that no common clearing facility\nexists and an investor may look only to the broker for performance of the contract. In addition, any\nprofits that the fund might realize in trading could be eliminated by adverse changes in the currency\nexchange rate, or the fund could incur losses as a result of those changes.

Futures\ncontracts and options on futures contracts include those with respect to securities, securities indexes,\ninterest rates and foreign currencies and Eurodollar contracts, to the extent the fund can invest in\nthe underlying reference security, instrument or asset.

· Security Futures Contract. A security future\nobligates the fund to purchase or sell an amount of a specific security at a future date at a specific\nprice.

· Index\nFutures Contract. An index future obligates the fund to pay or receive an amount of cash based\nupon the change in value of the index based on the prices of the securities that comprise the index.\n

· Interest\nRate Futures Contract. An interest rate future obligates the fund to purchase or sell an amount of\na specific debt security at a future date at a specific price (or, in some cases, to settle an equivalent\namount in cash).

· Foreign\nCurrency Futures Contract. A foreign currency future obligates the fund to purchase\nor sell an amount of a specific currency at a future date at a specific price.

· Eurodollar Contracts. A Eurodollar contract\nis a U.S. dollar-denominated futures contract or option thereon which is linked to a reference rate,\nalthough foreign currency-denominated instruments are available from time to time. Eurodollar futures\ncontracts enable purchasers to obtain a fixed rate for the lending of funds and sellers to obtain a fixed\nrate for borrowings. The fund might use Eurodollar futures contracts and options thereon to hedge against\nchanges in the reference rate, to which an interest rate swap or fixed-income instruments is linked.

Options. A call option gives the purchaser of the option the right\nto buy, and obligates the writer to sell, the underlying security, securities or other asset at the exercise\nprice at any time during the option period, or at a specific date. Conversely, a put option gives the\npurchaser of the option the right to sell, and obligates the writer to buy, the underlying security,\nsecurities or other asset at the exercise price at any time during the option period, or at a specific\ndate. The fund receives a premium from writing an option which it retains whether or not the option\nis exercised.

A covered call option written by the fund\nis a call option with respect to which the fund owns the underlying security or otherwise covers the\ntransaction such as by segregating permissible liquid assets. The principal reason for writing covered\ncall options is to realize, through the receipt of premiums, a greater return than would be realized\non the underlying securities alone.

Options may be traded\non U.S. or, to the extent the fund may invest in foreign securities, foreign securities exchanges or\nin the over-the-counter market. There is no assurance that sufficient trading interest to create a liquid\nsecondary market on a securities exchange will exist for any particular option or at any particular time,\nand for some options no such secondary market may exist. A liquid secondary market in an option may\ncease to exist for a variety of reasons. In the past, for example, higher than anticipated trading activity\nor order flow, or other unforeseen events, at times have rendered certain of the clearing facilities\ninadequate and resulted in the institution of special procedures, such as trading rotations, restrictions\non certain types of orders or trading halts or suspensions in one or more options. There can be no assurance\nthat similar events, or events that may otherwise interfere with the timely execution of customers' orders,\nwill not recur.

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In such event, it might not be possible to effect closing\ntransactions in particular options. If, as a covered call option writer, the fund is unable to effect\na closing purchase transaction in a secondary market, it will not be able to sell the underlying security\nuntil the option expires or it delivers the underlying security upon exercise or it otherwise covers\nits position.

Purchases or sales of options on exchanges owned by The NASDAQ\nOMX Group, Inc. may result, indirectly, in a portion of the transaction and other fees assessed on options\ntrading being paid to The Bank of New York Mellon, an affiliate of the Adviser, as the result of an arrangement\nbetween The NASDAQ OMX Group, Inc. and The Bank of New York Mellon.

Call\nand put options in which the fund may invest include the following, in each case, to the extent that\nthe fund can invest in such securities or instruments (or securities underlying an index, in the case\nof options on securities indexes).

· Options on Securities. Call and put options\non specific securities (or groups or \"baskets\" of specific securities), including equity securities (including\nconvertible securities ) U.S. Government securities, municipal securities, mortgage-backed securities,\nasset-backed securities, foreign sovereign debt, corporate debt securities or Eurodollar instruments,\nconvey the right to buy or sell, respectively, the underlying securities at prices which are expected\nto be lower or higher than the current market prices of the securities at the time the options are exercised.

· Options\non Securities Indexes. An option on an index is similar to an option in respect of specific securities,\nexcept that settlement does not occur by delivery of the securities comprising the index. Instead, the\noption holder receives an amount of cash if the closing level of the index upon which the option is based\nis greater in the case of a call, or less, in the case of a put, than the exercise price of the option.\n Thus, the effectiveness of purchasing or writing index options will depend upon price movements in the\nlevel of the index rather than the price of a particular security.

· Foreign Currency Options. Call and put options\non foreign currency convey the right to buy or sell the underlying currency at a price which is expected\nto be lower or higher than the spot price of the currency at the time the option is exercised or expires.

Forward Volatility Agreements. Forward volatility agreements are agreements\nin which two parties agree to exchange a straddle option (holding a position in both call and put options\nwith the same exercise price and expiration date, allowing the holder to profit regardless of whether\nthe price of the underlying asset goes up or down, assuming a significant change in the price of the\nunderlying asset) at a specific expiration date and volatility. Essentially, a forward volatility agreement\nis a forward contract on the realized volatility of a given underlying asset, which may be, among other\nthings, a stock, stock index, interest rate or currency. Forward volatility agreements are over-the-counter\nderivative instruments that are subject to the credit risk of the counterparty.

Credit\nDerivatives. Credit derivative transactions include those involving default price risk derivatives\nand credit spread derivatives. Default price risk derivatives are linked to the price of reference securities\nor loans after a default by the issuer or borrower, respectively. Credit spread derivatives are based\non the risk that changes in credit spreads and related market factors can cause a decline in the value\nof a security, loan or index. Credit derivatives may take the form of options, credit-linked notes and\nother over-the-counter instruments. The risk of loss in a credit derivative transaction varies with\nthe form of the transaction. For example, if the fund purchases a default option on a security, and\nif no default occurs with respect to the security, the fund's loss is limited to the premium it paid\nfor the default option. In contrast, if there is a default by the grantor of a default option, the fund's\nloss will include both the premium it paid for the option and the decline in value of any underlying\nsecurity that the default option hedged (if the option was entered into for hedging purposes). Credit-linked\nnotes are funded balance sheet assets that offer synthetic credit exposure to a reference entity in a\nstructure designed to resemble a synthetic corporate bond or loan. Credit-linked notes are frequently\nissued by special purpose vehicles that would hold some form of collateral securities financed through\nthe issuance of notes or certificates to the fund. The fund receives a coupon and par redemption, provided\nthere has been no credit event of the reference entity. The vehicle

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enters into a credit swap with a third party in which it sells\ndefault protection in return for a premium that subsidizes the coupon to compensate the fund for the\nreference entity default risk. The fund will enter into credit derivative transactions only with counterparties\nthat meet the Sub-Adviser's standards of creditworthiness.

Combined Transactions.\n The fund may enter into multiple transactions, including multiple options, futures and/or interest rate\ntransactions, and any combination of options, futures and/or interest rate transactions (\"combined transactions\"),\ninstead of a single transaction, as part of a single or combined strategy when, in the opinion of the\nSub-Adviser, it is in the best interests of the fund to do so. A combined transaction will usually contain\nelements of risk that are present in each of its component transactions. Although combined transactions\nare normally entered into based on the Sub-Adviser's judgment that the combined strategies will reduce\nrisk or otherwise more effectively achieve the desired portfolio management goal, it is possible that\nthe combination will instead increase such risks or hinder achievement of the portfolio management objective.

Future Developments. The fund may take advantage of opportunities in derivatives\ntransactions which are not presently contemplated for use by the fund or which are not currently available\nbut which may be developed, to the extent such opportunities are both consistent with the fund's investment\nobjective and legally permissible for the fund. Before the fund enters into such transactions or makes\nany such investment, the fund will provide appropriate disclosure in its prospectus or this SAI.

\nLending Portfolio Securities

Fund portfolio securities\nmay be lent to brokers, dealers and other financial institutions needing to borrow securities to complete\ncertain transactions. In connection with such loans, the fund would remain the owner of the loaned securities\nand continue to be entitled to payments in amounts equal to the interest, dividends or other distributions\npayable on the loaned securities. The fund also has the right to terminate a loan at any time. An investment\ncompany is limited in the amount of portfolio securities it may loan to 33-1/3% of its total assets (including\nthe value of all assets received as collateral for the loan). Except as may be otherwise described in\n\"Investments, Investment Techniques and Risks\" in Part II of this SAI, the fund will receive collateral\nconsisting of cash, cash equivalents, U.S. Government securities or irrevocable letters of credit, which\nwill be maintained at all times in an amount equal to at least 100% of the current market value of the\nloaned securities. If the collateral consists of a letter of credit or securities, the borrower will\npay the fund a loan premium fee. If the collateral consists of cash, the fund will reinvest the cash\nand pay the borrower a pre-negotiated fee or \"rebate\" from any return earned on the investment. The\nfund may participate in a securities lending program operated by the Securities Lending Agent. The Securities\nLending Agent will receive a percentage of the total earnings of the fund derived from lending its portfolio\nsecurities. Should the borrower of the securities fail financially, the fund may experience delays in\nrecovering the loaned securities or exercising its rights in the collateral. Loans are made only to\nborrowers that are deemed by the Adviser to be of good financial standing. In a loan transaction, the\nfund will also bear the risk of any decline in value of securities acquired with cash collateral. The\nfund will minimize this risk by limiting the investment of cash collateral to money market funds advised\nby the Adviser, repurchase agreements or other high quality instruments with short maturities, in each\ncase to the extent it is a permissible investment for the fund.

Borrowing\nMoney

The 1940 Act permits an investment company to borrow in an\namount up to 33-1/3% of the value of its total assets. Such borrowings may be for temporary or emergency\npurposes or for leveraging. If borrowings are for temporary or emergency (not leveraging) purposes,\nwhen such borrowings exceed 5% of the value of the fund's total assets the fund will not make any additional\ninvestments.

Forward Commitments. The purchase or sale\nof securities on a forward commitment (including \"TBA\" (to be announced)), when-issued or delayed-delivery\nbasis, means delivery and payment take place at a future date at a predetermined price and/or yield.\n Typically, no interest accrues to the purchaser until the security is delivered. When purchasing a\nsecurity on a forward commitment basis, the fund assumes the risks of ownership of the security, including\nthe risk of price and yield fluctuations, and takes such fluctuations into account when determining its\nNAV. Purchasing securities on a forward commitment, when-issued or delayed-delivery basis can involve\nthe

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additional risk that the yield available in the market when the delivery takes\nplace actually may be higher than that obtained in the transaction itself. The sale of securities on\na forward commitment or delayed-delivery basis involves the risk that the prices available in the market\non the delivery date may be greater than those obtained in the sale transaction.

Debt\nsecurities purchased on a forward commitment, when-issued or delayed-delivery basis are subject to changes\nin value based upon the perception of the creditworthiness of the issuer and changes, real or anticipated,\nin the level of interest rates (i.e., appreciating when interest rates decline and depreciating when\ninterest rates rise). Securities purchased on a forward commitment, when-issued or delayed-delivery\nbasis may expose the fund to risks because they may experience declines in value prior to their actual\ndelivery. The fund will make commitments to purchase such securities only with the intention of actually\nacquiring the securities, but the fund may sell these securities or dispose of the commitment before\nthe settlement date if it is deemed advisable as a matter of investment strategy. The fund would engage\nin forward commitments to increase its portfolio's financial exposure to the types of securities in which\nit invests. If the fund is fully or almost fully invested when forward commitment purchases are outstanding,\nsuch purchases may result in a form of leverage. Leveraging the portfolio in this manner will increase\nthe fund's exposure to changes in interest rates and may result in greater potential fluctuation in the\nvalue of the fund's net assets and its NAV per share.

Forward Roll Transactions.\n In a forward roll transaction, the fund sells a security, such as a mortgage-backed security, to a bank,\nbroker-dealer or other financial institution and simultaneously agrees to purchase a similar security\nfrom the institution at a later date at an agreed upon price. During the period between the sale and\npurchase, the fund will not be entitled to receive interest and principal payments on the securities\nsold by the fund. Proceeds of the sale typically will be invested in short-term instruments, particularly\nrepurchase agreements, and the income from these investments, together with any additional fee income\nreceived on the sale, will be expected to generate income for the fund exceeding the yield on the securities\nsold. Forward roll transactions involve the risk that the market value of the securities sold by the\nfund may decline below the purchase price of those securities. The fund will segregate permissible liquid\nassets at least equal to the amount of the repurchase price (including accrued interest).

In\na mortgage \"dollar roll\" transaction, the fund sells mortgage-backed securities for delivery in the current\nmonth and simultaneously contracts to purchase substantially similar securities on a specified future\ndate. The mortgage- related securities that are purchased will be of the same type and will have the\nsame interest rate as those securities sold, but generally will be supported by different pools of mortgages\nwith different prepayment histories than those sold. The fund forgoes principal and interest paid during\nthe roll period on the securities sold in a dollar roll, but the fund is compensated by the difference\nbetween the current sales price and the lower prices of the future purchase, as well as by any interest\nearned on the proceeds of the securities sold. The dollar rolls entered into by the fund normally will\nbe \"covered.\" A covered roll is a specific type of dollar roll for which there is an offsetting cash\nposition or a cash equivalent security position that matures on or before the forward settlement date\nof the related dollar roll transaction. Covered rolls are not treated as borrowings or other senior\nsecurities and will be excluded from the calculation of the fund's borrowings.

Illiquid\nInvestments

The\n1940 Act limits funds other than money market funds to 15% of net assets in illiquid investments. Illiquid\ninvestments, which are investments that the fund reasonably expects to be unable to sell or dispose of\nin current market conditions in seven calendar days or less without the sale or disposition significantly\nchanging the market value of the investments, may include investments that are not readily marketable,\nsuch as investments that are subject to legal or contractual restrictions on resale that do not have\nreadily available market quotations, repurchase agreements providing for settlement in more than seven\ndays after notice and certain privately negotiated derivatives transactions and securities used to cover\nsuch derivatives transactions. As to these investments, there is a risk that, should the fund desire\nto sell them, a ready buyer will not be available at a price the fund deems representative of their value,\nwhich could adversely affect the value of the fund's net assets.

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Section\n4(a)(2) Paper and Rule 144A Securities.

\"Section 4(a)(2) paper\" consists of commercial\nobligations issued in reliance on the so-called \"private placement\" exemption from registration afforded\nby Section 4(a)(2) of the Securities Act. Section 4(a)(2) paper is restricted as to disposition under\nthe federal securities laws, and generally is sold to institutional investors that agree that they are\npurchasing the paper for investment and not with a view to public distribution. Any resale by the purchaser\nmust be pursuant to registration or an exemption therefrom. Section 4(a)(2) paper normally is resold\nto other institutional investors through or with the assistance of the issuer or investment dealers who\nmake a market in the Section 4(a)(2) paper, thus providing liquidity. \"Rule 144A securities\" are securities\nthat are not registered under the Securities Act but that can be sold to qualified institutional buyers\nin accordance with Rule 144A under the Securities Act. Rule 144A securities generally must be sold to\nother qualified institutional buyers. If a particular investment in Section 4(a)(2) paper or Rule 144A\nsecurities is not determined to be liquid, that investment will be included within the percentage limitation\non investment in illiquid investments. Investing in Rule 144A securities could have the effect of increasing\nthe level of fund illiquidity to the extent that qualified institutional buyers become, for a time, uninterested\nin purchasing these securities from the fund or other holders. Liquidity determinations with respect\nto Section 4(a)(2) paper and Rule 144A securities will be made by the fund's board or by the Adviser\npursuant to guidelines established by the board. The fund's board or the Adviser will consider availability\nof reliable price information and other relevant information in making such determinations.

Diversification\nStatus

The\nfund is classified as diversified under the 1940 Act. The 1940 Act generally requires a \"diversified\"\ninvestment company, with respect to 75% of its total assets, to invest not more than 5% of such assets\nin securities of a single issuer.

To meet federal tax requirements, at the close of each quarter\nthe fund may not have more than 25% of its total assets invested in any one issuer and, with respect\nto 50% of its total assets, not more than 5% of its total assets invested in any one issuer. These limitations\ndo not apply to U.S. Government securities or investments in certain other investment companies.

\nCybersecurity Risk

The fund and its service\nproviders are susceptible to operational and information security risks due to cybersecurity incidents.\n In general, cybersecurity incidents can result from deliberate attacks or unintentional events. Cybersecurity\nattacks include, but are not limited to, gaining unauthorized access to digital systems (e.g., through\n\"hacking\" or malicious software coding) for purposes of misappropriating assets or sensitive information,\ncorrupting data or causing operational disruption. Cyber attacks also may be carried out in a manner\nthat does not require gaining unauthorized access, such as causing denial-of-service attacks on websites\n(i.e., efforts to make services unavailable to intended users). Cybersecurity incidents affecting the\nAdviser, Sub-Adviser, Transfer Agent or Custodian or other service providers such as financial intermediaries\nhave the ability to cause disruptions and impact business operations, potentially resulting in financial\nlosses, including by interference with the fund's ability to calculate its NAV; impediments to trading\nfor the fund's portfolio; the inability of fund shareholders to transact business with the fund; violations\nof applicable privacy, data security or other laws; regulatory fines and penalties; reputational damage;\nreimbursement or other compensation or remediation costs; legal fees; or additional compliance costs.\n Similar adverse consequences could result from cybersecurity incidents affecting issuers of securities\nin which the fund invests, counterparties with which the fund engages in transactions, governmental and\nother regulatory authorities, exchange and other financial market operators, banks, brokers, dealers,\ninsurance companies and other financial institutions and other parties. While information risk management\nsystems and business continuity plans have been developed which are designed to reduce the risks associated\nwith cybersecurity, there are inherent limitations in any cybersecurity risk management systems or business\ncontinuity plans, including the possibility that certain risks have not been identified.

Recent\nMarket and Economic Developments

An\noutbreak of a respiratory disease caused by a novel coronavirus was first detected in Wuhan City, Hubei\nProvince, China in December 2019 and spread globally. The virus, named \"SARS-CoV-2\" (sometimes referred\nto

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as\nthe \"coronavirus\") and the resulting disease, which is referred to as \"COVID-19,\" was declared a pandemic\nby the World Health Organization. A widespread outbreak\nof\nan\ninfectious illness, such as COVID-19, may lead to governments\nand\nbusinesses\nworld-wide\ntaking\naggressive\nmeasures,\nincluding\nclosing\nborders,\nrestricting\ninternational\nand\ndomestic\ntravel,\nand\nthe\nimposition\nof\nprolonged\nquarantines\nof\nlarge\npopulations.\nAs\noccurred in the wake of COVID-19, the spread of such an illness may result\nin\nthe\ndisruption\nof\nand\ndelays\nin\nthe\ndelivery\nof\nhealthcare\nservices\nand\nprocesses,\nthe\ncancellation\nof\norganized\nevents\nand\neducational\ninstitutions,\nthe\ndisruption\nof\nproduction\nand\nsupply\nchains,\na\ndecline\nin\nconsumer\ndemand\nfor\ncertain\ngoods\nand\nservices,\nand\ngeneral\nconcern\nand\nuncertainty,\nall\nof\nwhich\nmay\ncontribute to increased volatility\nin\nglobal\nmarkets.\nCOVID-19,\nand\nother\nepidemics\nand\npandemics\nthat\nmay\narise\nin\nthe\nfuture,\ncould\nadversely\naffect\nthe\neconomies\nof\nmany\nnations,\nthe\nglobal\neconomy,\nindividual\ncompanies,\nsectors or industries, and capital markets\nin\nways\nthat\ncannot\nbe\nforeseen\nat\nthe\npresent\ntime.\nIn\naddition,\nthe\nimpact\nof\ninfectious\ndiseases\nin\ndeveloping\nor\nemerging\nmarket\ncountries\nmay\nbe\ngreater\ndue\nto\nlimited\nhealth\ncare\nresources.\nPolitical,\neconomic\nand\nsocial\nstresses\ncaused\nby\ninfectious\nillness also may exacerbate\nother\npre-existing\npolitical,\nsocial\nand\neconomic\nrisks\nin\ncertain\ncountries.\nThe\nduration\nof\nsuch\nan illness and its effects\ncannot\nbe\ndetermined\nat\nthis\ntime,\nbut\nthe\neffects\ncould\nbe\npresent\nfor\nan\nextended\nperiod\nof\ntime.

In\nMarch 2023, the shutdown of certain financial institutions raised economic concerns over disruption in the\nU.S. banking system. There can be no certainty that similar developments will not occur in the\nfuture, or that the actions taken by the U.S. government to strengthen public confidence in the\nU.S. banking system will be effective in mitigating the effects of financial institution failures on\nthe economy and restoring public confidence in the U.S. banking system.

RATING\nCATEGORIES

The following is a description of certain ratings assigned\nby S&P, Moody's, Fitch and Morningstar DBRS.

S&P

An\nS&P issue credit rating is a forward-looking opinion about the creditworthiness of an obligor with\nrespect to a specific financial obligation, a specific class of financial obligations or a specific financial\nprogram (including ratings on medium-term note programs and commercial paper programs). It takes into\nconsideration the creditworthiness of guarantors, insurers or other forms of credit enhancement on the\nobligation and takes into account the currency in which the obligation is denominated. The opinion reflects\nS&P's view of the obligor's capacity and willingness to meet its financial commitments as they come\ndue, and may assess terms, such as collateral security and subordination, which could affect ultimate\npayment in the event of default.

Issue credit ratings can be either long-term\nor short-term. Short-term ratings are generally assigned to those obligations considered short-term\nin the relevant market. Short-term ratings also are used to indicate the creditworthiness of an obligor\nwith respect to put features on long-term obligations. Medium-term notes are assigned long-term ratings.

\nLong-Term Issue Credit Ratings. Issue credit ratings are based, in varying\ndegrees, on S&P's analysis of the following considerations: likelihood of payment capacity and willingness\nof the obligor to meet its financial commitment on an obligation in accordance with the terms of the\nobligation; nature of and provisions of the financial obligation and the promise S&P imputes; and\nprotection afforded by, and relative position of, the financial obligation in the event of bankruptcy,\nreorganization or other arrangement under the laws of bankruptcy and other laws affecting creditors'\nrights.

Issue ratings are an assessment of default risk, but may incorporate\nan assessment of relative seniority or ultimate recovery in the event of default. Junior obligations\nare typically rated lower than senior obligations, to reflect the lower priority in bankruptcy, as noted\nabove. (Such differentiation may apply when an entity has both senior and subordinated obligations,\nsecured and unsecured obligations, or operating company and holding company obligations.)

An obligation rated\n\"AAA\"\nhas the highest rating assigned by S&P. The obligor's capacity to meet its financial commitment\non the obligation is extremely strong.

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An\nobligation rated \"AA\" differs from the highest-rated obligations only to a small\ndegree. The obligor's capacity to meet its financial commitment on the obligation is very strong.

An\nobligation rated \"A\" is somewhat more susceptible to the adverse effects of changes in circumstances\nand economic conditions than obligations in higher-rated categories. However, the obligor's capacity\nto meet its financial commitment on the obligation is still strong.

An obligation rated\n\"BBB\"\nexhibits adequate protection parameters. However, adverse economic conditions or changing circumstances\nare more likely to lead to a weakened capacity of the obligor to meet its financial commitment on the\nobligation.

Obligations rated \"BB,\" \"B,\" \"CCC,\" \"CC\" and \"C\"\nare regarded as having significant speculative characteristics. \"BB\" indicates the least degree of speculation\nand \"C\"\nthe highest. While such obligations will likely have some quality and protective characteristics, these\nmay be outweighed by large uncertainties or major exposures to adverse conditions.

An obligation rated\n\"BB\"\nis less vulnerable to nonpayment than other speculative issues. However, it faces major ongoing uncertainties\nor exposure to adverse business, financial or economic conditions which could lead to the obligor's inadequate\ncapacity to meet its financial commitment on the obligation.

An obligation rated \"B\" is more vulnerable\nto nonpayment than obligations rated \"BB,\" but the obligor currently has the capacity to meet its\nfinancial commitment on the obligation. Adverse business, financial or economic conditions will likely\nimpair the obligor's capacity or willingness to meet its financial commitment on the obligation.

An\nobligation rated \"CCC\" is currently vulnerable to nonpayment, and is dependent\nupon favorable business, financial and economic conditions for the obligor to meet its financial commitment\non the obligation. In the event of adverse business, financial or economic conditions, the obligor is\nnot likely to have the capacity to meet its financial commitment on the obligation.

An obligation rated\n\"CC\"\nis currently highly vulnerable to nonpayment. The \"CC\" rating is used when a default has not\nyet occurred, but S&P expects default to be a virtual certainty, regardless of the anticipated time\nto default.

An obligation rated \"C\" is currently highly vulnerable to nonpayment,\nand the obligation is expected to have lower relative seniority or lower ultimate recovery compared to\nobligations that are rated higher.

An obligation rated \"D\" is in default or in\nbreach of an imputed promise. For non-hybrid capital instruments, the \"D\" rating category is\nused when payments on an obligation are not made on the date due, unless S&P believes that such payments\nwill be made within five business days in the absence of a stated grace period or within the earlier\nof the stated grace period or 30 calendar days. The \"D\" rating also will be used upon the filing\nof a bankruptcy petition or the taking of similar action and where default on an obligation is a virtual\ncertainty, for example due to automatic stay provisions. An obligation's rating is lowered to \"D\"\nif it is subject to a distressed exchange offer.

Note: The ratings from \"AA\" to \"CCC\" may be modified by\nthe addition of a plus (+) or minus (-) sign to show relative standing within the major rating categories.

An\n\"NR\"\nindicates that a rating has not been assigned or is no longer assigned.

Short-Term Issue Credit\nRatings. A short-term obligation rated \"A-1\" is rated in the highest category by S&P.\n The obligor's capacity to meet its financial commitment on the obligation is strong. Within this category,\ncertain obligations are designated with a plus sign (+). This indicates that the obligor's capacity\nto meet its financial commitment on these obligations is extremely strong.

A short-term obligation\nrated \"A-2\" is somewhat more susceptible to the adverse effects of changes\nin circumstances and economic conditions than obligations in higher rating categories. However, the\nobligor's capacity to meet its financial commitment on the obligation is satisfactory.

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A\nshort-term obligation rated \"A-3\" exhibits adequate protection parameters.\n However, adverse economic conditions or changing circumstances are more likely to lead to a weakened\ncapacity of the obligor to meet its financial commitment on the obligation.

A short-term obligation\nrated \"B\" is regarded as vulnerable and has significant speculative characteristics.\nThe obligor currently has the capacity to meet its financial commitments; however, it faces major ongoing\nuncertainties which could lead to the obligor's inadequate capacity to meet its financial commitments.

A\nshort-term obligation rated \"C\" is currently vulnerable to nonpayment and is dependent upon\nfavorable business, financial and economic conditions for the obligor to meet its financial commitment\non the obligation.

A short-term obligation rated \"D\" is in default or in breach of an imputed\npromise. For non-hybrid capital instruments, the \"D\" rating category is used when payments\non an obligation are not made on the date due, unless S&P believes that such payments will be made\nwithin any stated grace period. However, any stated grace period longer than five business days will\nbe treated as five business days. The \"D\" rating also will be used upon the filing of a bankruptcy\npetition or the taking of a similar action and where default on an obligation is a virtual certainty,\nfor example due to automatic stay provisions. An obligation's rating is lowered to \"D\" if it is subject to\na distressed exchange offer.

Municipal Short-Term Note Ratings\nDefinitions. An S&P U.S. municipal note rating reflects S&P's opinion about the\nliquidity factors and market access risks unique to the notes. Notes due in three years or less will\nlikely receive a note rating. Notes with an original maturity of more than three years will most likely\nreceive a long-term debt rating. In determining which type of rating, if any, to assign, S&P analysis\nwill review the following considerations: amortization schedule the larger the final maturity relative\nto other maturities, the more likely it will be treated as a note; and source of payment the more dependent\nthe issue is on the market for its refinancing, the more likely it will be treated as a note.

Note\nrating symbols are as follows:

SP-1 Strong capacity to pay principal and interest. An issue\ndetermined to possess a very strong capacity to pay debt service is given a plus (+) designation.

SP-2\n Satisfactory capacity to pay principal and interest, with some vulnerability to adverse financial\nand economic changes over the term of the notes.

SP-3 Speculative capacity\nto pay principal and interest.

D There has been a failure to pay\nthe note when due, completion of a distressed exchange offer, or the filing of a bankruptcy petition\nor the taking of similar action and where default on an obligation is a virtual certainty, for example\ndue to automatic stay provisions.

Moody's

Ratings\nassigned on Moody's global long-term and short-term rating scales are forward-looking opinions of the\nrelative credit risks of financial obligations issued by non-financial corporates, financial institutions,\nstructured finance vehicles, project finance vehicles and public sector entities.

Long-Term\nObligation Ratings and Definitions. Long-term ratings are assigned to issuers or obligations\nwith an original maturity of one year or more and reflect both on the likelihood of a default or impairment\non contractual financial obligations and the expected financial loss suffered in the event of default\nor impairment.

Obligations rated \"Aaa\" are judged to be of the highest quality,\nsubject to the lowest level of credit risk.

Obligations rated \"Aa\" are judged to be of\nhigh quality and are subject to very low credit risk.

Obligations rated \"A\" are judged to be upper-medium\ngrade and are subject to low credit risk.

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Obligations\nrated \"Baa\" are judged to be medium-grade and subject to moderate credit\nrisk and as such may possess certain speculative characteristics.

Obligations rated \"Ba\"\nare judged to be speculative and are subject to substantial credit risk. Obligations rated \"B\"\nare considered speculative and are subject to high credit risk.

Obligations rated \"Caa\"\nare judged to be speculative, of poor standing and are subject to very high credit risk.

Obligations\nrated \"Ca\" are highly speculative and are likely in, or very near,\ndefault, with some prospect of recovery of principal and interest.

Obligations rated \"C\"\nare the lowest rated and are typically in default, with little prospect for recovery of principal or\ninterest.

Note: Moody's appends numerical modifiers 1, 2, and 3 to each\ngeneric rating classification from Aa through Caa. The modifier 1 indicates that the obligation ranks\nin the higher end of its generic rating category; the modifier 2 indicates a mid-range ranking and the\nmodifier 3 indicates a ranking in the lower end of that generic rating category. Additionally, a \"(hyb)\"\nindicator is appended to all ratings of hybrid securities issued by banks, insurers, finance companies\nand securities firms.

Short-Term Ratings. Short-term ratings\nare assigned to obligations with an original maturity of thirteen months or less and reflect both on\nthe likelihood of a default or impairment on contractual financial obligations and the expected financial\nloss suffered in the event of default or impairment.

Moody's employs the following\ndesignations to indicate the relative repayment ability of rated issuers:

P-1 Issuers (or supporting institutions) rated Prime-1 have a\nsuperior ability to repay short-term debt obligations.

P-2 Issuers (or supporting institutions) rated Prime-2 have a\nstrong ability to repay short-term debt obligations.

P-3 Issuers (or supporting institutions) rated Prime-3 have an\nacceptable ability to repay short-term debt obligations.

NP Issuers (or supporting institutions) rated Not Prime do not\nfall within any of the Prime rating categories.

U.S. Municipal\nShort-Term Debt and Demand Obligation Ratings.

Short-Term Obligation Ratings.\n The Municipal Investment Grade (\"MIG\") scale is used to rate U.S. municipal bond anticipation notes\nof up to three years maturity. MIG ratings are divided into three levels—MIG 1 through MIG 3—while\nspeculative grade short-term obligations are designated \"SG.\"

MIG\n1 This designation denotes superior credit\nquality. Excellent protection is afforded by established cash flows, highly reliable liquidity support,\nor demonstrated broad-based access to the market for refinancing.

MIG\n2 This designation denotes strong credit\nquality. Margins of protection are ample, although not as large as in the preceding group.

MIG 3 This\ndesignation denotes acceptable credit quality. Liquidity and cash flow protection may be narrow, and\nmarket access for refinancing is likely to be less well-established.

SG This designation denotes speculative-grade credit quality.\n Debt instruments in this category may lack sufficient margins of protection.

Demand\nObligation Ratings. In the case of variable rate demand obligations (\"VRDOs\"), a two-component rating\nis assigned: a long- or short-term debt rating and a demand obligation rating. The first element represents\nMoody's evaluation of risk associated with scheduled principal and interest payments. The second element\nrepresents Moody's evaluation of risk associated with the ability to receive purchase price upon demand\n(\"demand feature\").

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The second element uses a rating from a variation of the MIG scale called the\nVariable Municipal Investment Grade (\"VMIG\") scale.

VMIG\n1 This designation denotes superior credit\nquality. Excellent protection is afforded by the superior short- term credit strength of the liquidity\nprovider and structural and legal protections that ensure the timely payment of purchase price upon demand.

VMIG 2 This\ndesignation denotes strong credit quality. Good protection is afforded by the strong short-term credit\nstrength of the liquidity provider and structural and legal protections that ensure the timely payment\nof purchase price upon demand.

VMIG 3 This\ndesignation denotes acceptable credit quality. Adequate protection is afforded by the satisfactory short-term\ncredit strength of the liquidity provider and structural and legal protections that ensure the timely\npayment of purchase price upon demand.

SG This\ndesignation denotes speculative-grade credit quality. Demand features rated in this category may be\nsupported by a liquidity provider that does not have an investment grade short-term rating or may lack\nthe structural and/or legal protections necessary to ensure the timely payment of purchase price upon\ndemand.

For VRDOs supported with conditional liquidity support, short-term\nratings transition down at higher long-term ratings to reflect the risk of termination of liquidity support\nas a result of a downgrade below investment grade.

VMIG ratings of VRDOs\nwith unconditional liquidity support reflect the short-term debt rating (or counterparty assessment)\nof the liquidity support provider with VMIG 1 corresponding to P-1, VMIG 2 to P-2, VMIG 3 to P-3 and\nSG to not prime.

Fitch

Corporate Finance\nObligations — Long-Term Rating Scales. Ratings of individual securities or financial\nobligations of a corporate issuer address relative vulnerability to default on an ordinal scale. In\naddition, for financial obligations in corporate finance, a measure of recovery given default on that\nliability also is included in the rating assessment. This notably applies to covered bond ratings, which\nincorporate both an indication of the probability of default and of the recovery given a default of this\ndebt instrument.

The relationship between issuer scale and obligation scale assumes a generic historical\naverage recovery. As a result, individual obligations of entities, such as corporations, are assigned\nratings higher, lower or the same as that entity's issuer rating. Highest credit quality: \"AAA\"\nratings denote the lowest expectation of credit risk. They are assigned only in cases of exceptionally\nstrong capacity for payment of financial commitments. This capacity is highly unlikely to be adversely\naffected by foreseeable events.

Very high credit quality: \"AA\" ratings denote expectations\nof very low credit risk. They indicate very strong capacity for payment of financial commitments. This\ncapacity is not significantly vulnerable to foreseeable events.

High credit quality:\n\"A\"\nratings denote expectations of low credit risk. The capacity for payment of financial commitments is\nconsidered strong. This capacity may, nevertheless, be more vulnerable to adverse business or economic\nconditions than is the case for higher ratings.

Good credit quality: \"BBB\" ratings indicate that\nexpectations of credit risk are currently low. The capacity for payment of financial commitments is\nconsidered adequate, but adverse business or economic conditions are more likely to impair this capacity.

Speculative:\n\"BB\"\nratings indicate an elevated vulnerability to credit risk, particularly in the event of adverse changes\nin business or economic conditions over time; however, business or financial alternatives may be available\nto allow financial commitments to be met.

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Highly\nspeculative: \"B\" ratings indicate that material credit risk is present. Substantial credit risk:\n\"CCC\"\nratings indicate that substantial credit risk is present. Very high levels of credit risk: \"CC\"\nratings indicate very high levels of credit risk.

Exceptionally high levels of credit risk:\n\"C\"\nindicates exceptionally high levels of credit risk.

Defaulted obligations typically are not\nassigned \"RD\" or \"D\" ratings (see \"Short-Term Ratings Assigned\nto Obligations in Corporate, Public and Structured Finance\" below), but are instead rated in the \"CCC\"\nto \"C\"\nrating categories, depending on their recovery prospects and other relevant characteristics. This approach\nbetter aligns obligations that have comparable overall expected loss but varying vulnerability to default\nand loss.

Note: The modifiers \"+\" or \"-\" may be appended to a rating to denote relative\nstatus within major rating categories. Such suffixes are not added to the \"AAA\" obligation rating\ncategory, or to ratings in the categories below \"CCC.\"

Structured,\nProject & Public Finance Obligations — Long-Term Rating Scales. Ratings of structured\nfinance obligations on the long-term scale consider the obligations' relative vulnerability to default.\n These ratings are typically assigned to an individual security or tranche in a transaction and not to\nan issuer.

Highest credit quality: \"AAA\" ratings denote the\nlowest expectation of default risk. They are assigned only in cases of exceptionally strong capacity\nfor payment of financial commitments. This capacity is highly unlikely to be adversely affected by foreseeable\nevents.

Very high credit quality: \"AA\" ratings denote expectations of very low\ndefault risk. They indicate very strong capacity for payment of financial commitments. This capacity\nis not significantly vulnerable to foreseeable events.

High credit quality: \"A\" ratings denote expectations\nof low default risk. The capacity for payment of financial commitments is considered strong. This capacity\nmay, nevertheless, be more vulnerable to adverse business or economic conditions than is the case for\nhigher ratings.

Good credit quality: \"BBB\" ratings indicate that\nexpectations of default risk are currently low. The capacity for payment of financial commitments is\nconsidered adequate, but adverse business or economic conditions are more likely to impair this capacity.

Speculative:\n\"BB\"\nratings indicate an elevated vulnerability to default risk, particularly in the event of adverse changes\nin business or economic conditions over time.

Highly speculative: \"B\" ratings indicate that\nmaterial default risk is present, but a limited margin of safety remains. Financial commitments are\ncurrently being met; however, capacity for continued payment is vulnerable to deterioration in the business\nand economic environment.

Substantial credit risk: \"CCC\" indicates that default\nis a real possibility.

Very high levels of credit risk: \"CC\" indicates that default of some kind appears\nprobable. Exceptionally high levels of credit risk: \"C\" indicates that default appears imminent\nor inevitable.

Default: \"D\" indicates a default. Default generally is defined as one\nof the following: failure to make payment of principal and/or interest under the contractual terms of\nthe rated obligation; the bankruptcy filings, administration, receivership, liquidation or other winding-up\nor cessation of the business of an issuer/obligor; or the distressed exchange of an obligation, where\ncreditors were offered securities with diminished structural or economic terms compared with the existing\nobligation to avoid a probable payment default.

Short-Term Ratings\nAssigned to Issuers and Obligations. A short-term issuer\nor obligation rating is based in all cases on the short-term vulnerability to default of the rated entity\nand relates to the capacity to meet financial obligations in accordance with the documentation governing\nthe relevant obligation. Short-term ratings are assigned to obligations whose initial maturity is viewed\nas \"short-term\" based on market convention. Typically, this means up to 13 months for corporate, sovereign\nand structured obligations, and up to 36 months for obligations in U.S. public finance markets.

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Highest\nshort-term credit quality: \"F1\" indicates the strongest intrinsic capacity for timely payment\nof financial commitments; may have an added \"+\" to denote any exceptionally strong credit feature.

Good\nshort-term credit quality: \"F2\" indicates good intrinsic capacity for timely payment of\nfinancial commitments.

Fair short-term credit quality: \"F3\" indicates that the intrinsic capacity\nfor timely payment of financial commitments is adequate.

Speculative short-term credit quality:\n\"B\"\nindicates minimal capacity for timely payment of financial commitments, plus heightened vulnerability\nto near term adverse changes in financial and economic conditions.

High short-term default\nrisk: \"C\" indicates that default is a real possibility.

Restricted default:\n\"RD\"\nindicates an entity that has defaulted on one or more of its financial commitments, although it continues\nto meet other financial obligations. Typically applicable to entity ratings only.

Default: \"D\"\nindicates a broad-based default event for an entity, or the default of a specific short-term obligation.

\nMorningstar DBRS

Long Term Obligations.\n The Morningstar DBRS long-term rating scale provides an opinion on the risk of default. That is, the\nrisk that an issuer will fail to satisfy its financial obligations in accordance with the terms under\nwhich an obligation has been issued. Ratings are based on quantitative and qualitative considerations\nrelevant to the issuer, and the relative ranking of claims. All ratings categories other than AAA and\nD also contain subcategories \"(high)\" and \"(low).\" The absence of either a \"(high)\" or \"(low)\" designation\nindicates the rating is in the middle of the category.

Long-term debt rated \"AAA\" is considered to be\nof the highest credit quality. The capacity for the payment of financial obligations is exceptionally\nhigh and unlikely to be adversely affected by future events.

Long-term debt rated \"AA\" is considered to be\nof superior credit quality. The capacity for the payment of financial obligations is considered high.\n Credit quality differs from AAA only to a small degree. Unlikely to be significantly vulnerable to\nfuture events.

Long-term debt rated \"A\" is considered to be of good credit quality.\n The capacity for the payment of financial obligations is substantial, but of lesser credit quality than\nAA. May be vulnerable to future events, but qualifying negative factors are considered manageable.

Long-term\ndebt rated \"BBB\" is considered to be of adequate credit quality. The capacity\nfor the payment of financial obligations is considered acceptable. May be vulnerable to future events.

Long-term\ndebt rated \"BB\" is considered to be of speculative, non-investment-grade\ncredit quality. The capacity for the payment of financial obligations is uncertain. Vulnerable to future\nevents.

Long-term debt rated \"B\" is considered to be of highly speculative\ncredit quality. There is a high level of uncertainty as to the capacity to meet financial obligations.

Long-term\ndebt rated \"CCC,\" \"CC\" or \"C\" is of very highly\nspeculative credit quality. In danger of defaulting on financial obligations. There is little difference\nbetween these three categories, although CC and C ratings are normally applied to obligations that are\nseen as highly likely to default, or subordinated to obligations rated in the CCC to B range. Obligations\nin respect of which default has not technically taken place but is considered inevitable may be rated\nin the C category.

A \"D\" rating may occur when the issuer has filed under any applicable\nbankruptcy, insolvency or winding up statute or there is a failure to satisfy an obligation after the\nexhaustion of grace periods. Morningstar DBRS may also use SD (\"Selective Default\") in cases where only\nsome securities are impacted, such as the case of a \"distressed exchange.\"

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\nCommercial Paper and Short Term Debt. The Morningstar DBRS\nshort-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term\nfinancial obligations in a timely manner. Ratings are based on quantitative and qualitative considerations\nrelevant to the issuer and the relative ranking of claims. The R-1 and R-2 rating categories are further\ndenoted by the subcategories \"(high),\" \"(middle)\" and \"(low).\"

Short-term debt rated\n\"R-1\n(high)\" is considered to be of the highest credit quality. The capacity for the payment\nof short-term financial obligations as they fall due is exceptionally high. Unlikely to be adversely\naffected by future events.

Short-term debt rated \"R-1 (middle)\"\nis considered to be of superior credit quality. The capacity for the payment of short-term financial\nobligations as they fall due is very high. Differs from R-1 (high) by a relatively modest degree. Unlikely\nto be significantly vulnerable to future events.

Short-term debt rated \"R-1 (low)\"\nis considered to be of good credit quality. The capacity for the payment of short- term financial obligations\nas they fall due is substantial. Overall strength is not as favorable as higher rating categories.\nMay be vulnerable to future events, but qualifying negative factors are considered manageable.

Short-term\ndebt rated \"R-2 (high)\" is considered to be at the upper end of adequate credit\nquality. The capacity for the payment of short-term financial obligations as they fall due is acceptable.\n May be vulnerable to future events.

Short-term debt rated \"R-2 (middle)\"\nis considered to be of adequate credit quality. The capacity for the payment of short-term financial\nobligations as they fall due is acceptable. May be vulnerable to future events or may be exposed to\nother factors that could reduce credit quality.

Short-term debt rated \"R-2 (low)\"\nis considered to be at the lower end of adequate credit quality. The capacity for the payment of short-term\nfinancial obligations as they fall due is acceptable. May be vulnerable to future events. A number\nof challenges are present that could affect the issuer's ability to meet such obligations.

Short-term\ndebt rated \"R-3\" is considered to be at the lowest end of adequate credit\nquality. There is a capacity for the payment of short-term financial obligations as they fall due.\nMay be vulnerable to future events and the certainty of meeting such obligations could be impacted by\na variety of developments.

Short-term debt rated \"R-4\" is considered to be\nof speculative credit quality. The capacity for the payment of short- term financial obligations as\nthey fall due is uncertain.

Short-term debt rated \"R-5\" is considered to be\nof highly speculative credit quality. There is a high level of uncertainty as to the capacity to meet\nshort-term financial obligations as they fall due. A security rated \"D\" rating may occur when the issuer\nhas filed under any applicable bankruptcy, insolvency or winding up statute or there is a failure to\nsatisfy an obligation after the exhaustion of grace periods. Morningstar DBRS may also use SD (\"Selective\nDefault\") in cases where only some securities are impacted, such as the case of a \"distressed exchange.\"

\nADDITIONAL INFORMATION ABOUT THE BOARD

Board\nOversight Role in Management

The board's role in management of the fund\nis oversight. As is the case with virtually all investment companies (as distinguished from operating\ncompanies), service providers to the fund, primarily the Adviser and its affiliates, have responsibility\nfor the day-to-day management of the fund, which includes responsibility for risk management (including\nmanagement of investment risk, valuation risk, issuer and counterparty credit risk, compliance risk and\noperational risk). As part of their oversight, the board, acting at their scheduled meetings, or the\nChairman acting between board meetings, regularly interacts with and receives reports from senior personnel\nof the Adviser and its affiliates, service providers, including the Adviser's Director of Investment\nOversight (or a senior representative of his office), the fund's and the Adviser's CCO and portfolio\nmanagement personnel. The board's audit committee (which consists of all Independent Board Members)\nmeets during its regularly scheduled and special meetings, and between meetings the audit committee chair\nis available to the fund's independent registered public accounting firm and the fund's Treasurer. The\nboard also receives periodic presentations from senior personnel of the Adviser and its affiliates regarding\nrisk management generally, as well as periodic presentations regarding specific operational,

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compliance or investment areas, such as cybersecurity, anti-money laundering,\npersonal trading, valuation, investment research and securities lending (if any). As warranted, the\nboard also receives informational reports from the counsel to the fund regarding regulatory compliance\nand governance matters. The board has adopted policies and procedures designed to address certain risks\nto the fund. In addition, the Adviser and other service providers to the fund have adopted a variety\nof policies, procedures and controls designed to address particular risks to the fund. Different processes,\nprocedures and controls are employed with respect to different types of risks. However, it is not possible\nto eliminate all of the risks applicable to the fund, and the board's risk management oversight is subject\nto inherent limitations.

Board Composition and Leadership Structure

The\n1940 Act requires that at least 40% of the board members be Independent Board Members and as such are\nnot affiliated with the Adviser. To rely on certain exemptive rules under the 1940 Act, a majority of\nthe Trust's board members must be Independent Board Members, and for certain important matters, such\nas the approval of investment advisory agreements or transactions with affiliates, the 1940 Act or the\nrules thereunder require the approval of a majority of the Independent Board Members. Currently, all\nof the Trust's board members are Independent Board Members. The board has determined that its leadership\nstructure, in which the Chairman of the Board is not affiliated with the Adviser, is appropriate in light\nof the specific characteristics and circumstances of the fund, including, but not limited to: (i) the\nservices that the Adviser and its affiliates provide to the fund and potential conflicts of interest\nthat could arise from these relationships; (ii) the extent to which the day-to-day operations of the\nfund are conducted by fund officers and employees of the Adviser and its affiliates; and (iii) the board's\noversight role in management of the fund.

Additional Information About the Board\nand its Committees

Board members are subject to a maximum term of 15 years, provided\nthat the Board shall have the ability to extend the maximum term up to an additional three years pursuant\nto a policy adopted by the Board or the By-laws. The board has a standing audit committee and nominating\ncommittee.

The function of the audit committee is (i) to oversee the fund's accounting and\nfinancial reporting processes and the audits of the fund's financial statements and (ii) to assist in\nthe board's oversight of the integrity of the fund's financial statements, the fund's compliance with\nlegal and regulatory requirements and the independent registered public accounting firm's qualifications,\nindependence and performance.

The nominating committee is responsible for\nselecting and nominating persons as members of the board for election or appointment by the board and\nfor election by shareholders. In evaluating potential nominees, including any nominees recommended by\nshareholders, the committee takes into consideration various factors listed in the nominating committee\ncharter. The nominating committee will consider recommendations for nominees from shareholders submitted\nto the Secretary of the Trust, 240 Greenwich Street, New York, New York 10286, which includes information\nregarding the recommended nominee as specified in the nominating committee charter.

MANAGEMENT\nARRANGEMENTS

The Adviser

The Adviser is an investment\nadviser registered with the SEC as such pursuant to the Investment Advisers Act of 1940. The Adviser\nis the primary ETF business, and a wholly-owned subsidiary, of BNY, a global financial services company\nfocused on helping clients manage and service their financial assets, operating in 35 countries and serving\nmore than 100 markets. BNY is a leading investment management and investment services company, uniquely\nfocused to help clients manage and move their financial assets in the rapidly changing global marketplace.\n BNY Investments is one of the world's leading investment management organizations, and one of the top\nU.S. wealth managers, encompassing BNY's affiliated investment management firms, wealth management services\nand global distribution companies. Additional information is available at www.bny.com/investments.

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Pursuant to a management agreement between the Adviser and the Trust with respect\nto the fund, the Adviser generally maintains office facilities on behalf of the fund, and furnishes statistical\nand research data, clerical help, data processing, bookkeeping and internal auditing and certain other\nrequired services to the fund.

For the services provided to the fund under\nthe management agreement, the fund pays the Adviser a monthly fee, if any, based on a percentage of the\nfund's average daily net assets as set forth in the fund's prospectus.

The\nfund's management agreement provides that the Adviser will pay substantially all expenses of the fund,\nexcept for the management fees, payments under the fund's 12b-1 plan (if any), interest expenses, taxes,\nacquired fund fees and expenses, brokerage commissions, costs of holding shareholder meetings, fees and\nexpenses associated with the fund's securities lending program (if any), and litigation and potential\nlitigation and other extraordinary expenses not incurred in the ordinary course of the fund's business.\n

The Adviser may from time to time voluntarily waive and/or reimburse fees or expenses\nin order to limit total annual fund operating expenses. Any such voluntary waiver or reimbursement may\nbe eliminated by the Adviser at any time. The Adviser may pay the Distributor or financial intermediaries\nfor shareholder or other services from the Adviser's own assets, including past profits but not including\nthe management fee paid by the fund. The Distributor may use part or all of such payments to pay Service\nAgents. The Adviser also may make such advertising and promotional expenditures, using its own resources,\nas it from time to time deems appropriate, and may make revenue transfers to affiliates. Service Agents\nand their representatives generally will be able to accept payments or other compensation only to the\nextent consistent with applicable law and the Service Agent's own policies, procedures and practices.

\nSub-Adviser

The Adviser has entered into a Sub-Advisory\nAgreement with the Sub-Adviser. The Sub-Adviser provides day-to-day investment management of the fund's\nportfolio, and certain related services. For the Sub-Adviser, which is a subsidiary of BNY, see \"The\nAdviser\" above for ownership information.

Portfolio Managers and Portfolio Manager\nCompensation

The Sub-Adviser provides the fund with portfolio managers who\nare authorized by the board to execute purchases and sales of securities. Portfolio managers are compensated\nby the company that employs them, and are not compensated by the fund. The fund's portfolio managers\nare listed in Part I of this SAI.

The fund's portfolio managers are employed\nby the Sub-Adviser. The following provides information as of the date of this SAI about the compensation\npolicies for portfolio managers.

MIC. The firm's rewards program is designed\nto be market-competitive and align the firm's compensation with the goals of the firm's clients. This\nalignment is achieved through an emphasis on deferred awards, which incentivizes the firm's investment\npersonnel to focus on long-term alpha generation.

The firm's incentive model\nis designed to compensate for quantitative and qualitative objectives achieved during the performance\nyear. An individual's final annual incentive award is tied to the firm's overall performance, the team's\ninvestment performance, as well as individual performance.

Awards are paid in cash\non an annual basis; however, some portfolio managers may receive a portion of their annual incentive\naward in deferred vehicles. Annual incentive as a percentage of fixed pay varies with the profitability\nof the firm and the product team.

The following factors encompass the firm's\ninvestment professional rewards program.

· Base salary

· Annual cash incentive

· Long-Term Incentive Plan

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· Deferred\ncash for investment in the firm's products

· BNY restricted stock units

Awards\nfor selected senior portfolio managers are based on a two-stage model: an opportunity range based on\nthe current level of business and an assessment of long-term business value. A significant portion of\nthe opportunity awarded is structured and based upon the performance of the portfolio manager's accounts\nrelative to the performance of appropriate peers, with longer-term performance more heavily weighted.

\nCertain Conflicts of Interest with Other Accounts

Portfolio\nmanagers may manage multiple accounts for a diverse client base, including mutual funds, separate accounts\n(assets managed on behalf of private clients or institutions such as pension funds, insurance companies\nand foundations), private funds, bank collective trust funds or common trust accounts and wrap fee programs\nthat invest in securities in which the fund may invest or that may pursue a strategy similar to the fund's\ncomponent strategies (\"Other Accounts\").

Potential conflicts of interest may arise\nbecause of the management of the fund and Other Accounts by the Adviser, Sub-Adviser or portfolio managers.\n For example, conflicts of interest may arise with both the aggregation and allocation of securities\ntransactions and allocation of limited investment opportunities, as the Adviser or Sub-Adviser may be\nperceived as causing accounts it manages to participate in an offering to increase the Adviser's or Sub-Adviser's\noverall allocation of securities in that offering, or to increase the Adviser's or Sub-Adviser's ability\nto participate in future offerings by the same underwriter or issuer. Allocations of bunched trades,\nparticularly trade orders that were only partially filled due to limited availability, and allocation\nof investment opportunities generally, could raise a potential conflict of interest, as the Adviser or\nSub-Adviser may have an incentive to allocate securities that are expected to increase in value to preferred\naccounts. IPOs, in particular, are frequently of very limited availability. A potential conflict of\ninterest may be perceived to arise if transactions in one account closely follow related transactions\nin a different account, such as when the fund purchase increases the value of securities previously purchased\nby the Other Account or when a sale in one account lowers the sale price received in a sale by a second\naccount. Conflicts of interest may also exist with respect to portfolio managers who also manage performance-based\nfee accounts, which could give the portfolio managers an incentive to favor such Other Accounts over\nthe corresponding funds such as deciding which securities to allocate to a fund versus the performance-based\nfee account. Additionally, portfolio managers may be perceived to have a conflict of interest if there\nare a large number of Other Accounts, in addition to the fund, that they are managing on behalf of an\nAdviser or Sub-Adviser. The Adviser or Sub-Adviser periodically reviews each portfolio manager's overall\nresponsibilities to ensure that he or she is able to allocate the necessary time and resources to effectively\nmanage the fund. In addition, the Adviser or Sub-Adviser could be viewed as having a conflict of interest\nto the extent that the Adviser or Sub-Adviser or their affiliates and/or portfolio managers have a materially\nlarger investment in Other Accounts than their investment in the fund.

Other\nAccounts may have investment objectives, strategies and risks that differ from those of the fund. In\naddition, the fund, as a registered investment company, is subject to different regulations than certain\nof the Other Accounts and, consequently, may not be permitted to engage in all the investment techniques\nor transactions, or to engage in such techniques or transactions to the same degree, as the Other Accounts.\n For these or other reasons, the portfolio managers may purchase different securities for the fund and\nthe Other Accounts, and the performance of securities purchased for the fund may vary from the performance\nof securities purchased for Other Accounts. The portfolio managers may place transactions on behalf\nof Other Accounts that are directly or indirectly contrary to investment decisions made for the fund,\nwhich could have the potential to adversely impact the fund, depending on market conditions. In addition,\nif the fund's investment in an issuer is at a different level of the issuer's capital structure than\nan investment in the issuer by Other Accounts, in the event of credit deterioration of the issuer, there\nmay be a conflict of interest between the fund's and such Other Accounts' investments in the issuer.\n If the Adviser or Sub-Adviser sells securities short, it may be seen as harmful to the performance of\nany funds investing \"long\" in the same or similar securities whose market values fall as a result of\nshort-selling activities.

BNY and its affiliates, including the Adviser, the Sub-Adviser\nand others involved in the management, sales, investment activities, business operations or distribution\nof the fund, are engaged in businesses and have interests

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other than that of managing the fund. These activities and interests include\npotential multiple advisory, transactional, financial and other interests in securities, instruments\nand companies that may be directly or indirectly purchased or sold by the fund or the fund's service\nproviders, which may cause conflicts that could disadvantage the fund.

BNY\nand its affiliates may have deposit, loan and commercial banking or other relationships with the issuers\nof securities purchased by the fund. BNY has no obligation to provide to the Adviser, the Sub-Adviser\nor the fund, or effect transactions on behalf of the fund in accordance with, any market or other information,\nanalysis, or research in its possession. Consequently, BNY (including, but not limited to, BNY's central\nRisk Management Department) may have information that could be material to the management of the fund\nand may not share that information with relevant personnel of the Adviser or Sub-Adviser. Accordingly,\nin making investment decisions for the fund, the Adviser or Sub-Adviser does not seek to obtain or use\nmaterial inside information that BNY may possess with respect to such issuers. However, because the\nAdviser or Sub-Adviser, in the course of investing fund assets in loans (as described above), may have\naccess to material non-public information regarding a Borrower, the ability of a fund or funds advised\nby such Adviser or Sub-Adviser to purchase or sell publicly-traded securities of such Borrowers may be\nrestricted.

Code of Ethics. The fund, the Adviser, the Sub-Adviser\nand the Distributor each have adopted a Code of Ethics that permits its personnel, subject to such respective\nCode of Ethics, to invest in securities, including securities that may be purchased or held by the fund.\n The Code of Ethics subjects the personal securities transactions of employees to various restrictions\nto ensure that such trading does not disadvantage the fund. In that regard, portfolio managers and other\ninvestment personnel employed by the Adviser or an Affiliated Entity or a Sub-Adviser affiliated with\nthe Adviser must preclear and report their personal securities transactions and holdings, which are reviewed\nfor compliance with the Code of Ethics and also are subject to the oversight of BNY's Investment Ethics\nCommittee. Portfolio managers and other investment personnel may be permitted to purchase, sell or hold\nsecurities which also may be or are held in fund(s) they manage or for which they otherwise provide investment\nadvice.

Distributor

The\nDistributor, a wholly-owned subsidiary of BNY, located at 240 Greenwich Street, New York, New York 10286,\nserves as the fund's distributor on a best efforts basis pursuant to an agreement, which continues for\ntwo years after its effective date and thereafter is renewable annually, with the fund. Shares will\nbe continuously offered for sale by series of the Trust through the Distributor only in Creation Units,\nas described in the prospectus and below under \"Purchase and Redemption of Creation Units.\" Shares in\nless than Creation Units are not distributed by the Distributor. The Distributor will deliver the prospectus\nto persons purchasing Creation Units and will maintain records of both orders placed with it and confirmations\nof acceptance furnished by it. The Distributor is a broker-dealer registered under the Exchange Act and\na member of FINRA. The Distributor has no role in determining the investment policies of the Trust series\nor which securities are to be purchased or sold. An affiliate of the Distributor may assist Authorized\nParticipants in assembling shares to purchase Creation Units or upon redemption, for which it may receive\ncommissions or other fees from such Authorized Participants. The Distributor also serves as distributor\nfor other affiliated mutual funds.

Service Agents. The Adviser or the\nDistributor may provide additional cash payments out of its own resources to Service Agents that provide\nservices. Such payments are separate from any 12b-1 fees and/or shareholder services fees or other expenses\npaid by the fund, as applicable. Because those payments are not made by you or the fund, the fund's\ntotal expense ratio will not be affected by any such payments. These additional payments may be made\nto Service Agents, including affiliates, that provide shareholder servicing, sub-administration, recordkeeping\nand/or sub-transfer agency services, marketing support and/or access to sales meetings, sales representatives\nand management representatives of the Service Agent. Cash compensation also may be paid from the Adviser's\nor the Distributor's own resources to Service Agents for inclusion of the fund on a sales list, including\na preferred or select sales list or in other sales programs. From time to time, the Adviser or the Distributor\nalso may provide cash or non-cash compensation to Service Agents in the form of: occasional gifts; occasional\nmeals, tickets or other entertainment; support for due diligence trips; educational conference sponsorships;\nsupport for recognition programs; technology or infrastructure support; and other forms of cash or non-cash\ncompensation permissible under broker-dealer regulations. In some cases, these payments or compensation\nmay create an incentive for a Service Agent to recommend or sell shares of the fund to you. In addition,\nexcept when not consistent with legal

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requirements, the Distributor may provide additional and differing compensation\nfrom its own assets to certain of its employees who promote the sale of select funds to certain Service\nAgents, who in turn may recommend such funds to their clients; in some cases, these payments may create\nan incentive for the employees of the Distributor to promote the fund for which the Distributor provides\na higher level of compensation. This potential conflict of interest may be addressed by policies, procedures\nor practices that are adopted by the Service Agent. As there may be many different policies, procedures\nor practices adopted by different Service Agents to address the manner in which compensation is earned\nthrough the sale of investments or the provision of related services, the compensation rates and other\npayment arrangements that may apply to a Service Agent and its representatives may v