BNY Mellon Aggregate Bond Index Fund of The Bank of New ...

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Financial Statements and Schedules

September 30, 2018

Report of Independent Auditors

To the Trustee and BNY Mellon Commingled Funds Operating Committee of BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon We have audited the accompanying financial statements of BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon (the "Fund"), which comprise the statement of assets and liabilities, including the schedule of investments, as of September 30, 2018, and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

PricewaterhouseCoopers LLP, 600 Grant Street, Pittsburgh, PA 15219 T: (412) 355 6000, F: (412) 355 8089, us

Other Matter Our audit was conducted for the purpose of forming an opinion on the financial statements taken as a whole. The supplementary schedules of investment transactions (in summary) are presented for purposes of additional analysis and are not a required part of the financial statements. The information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves and other additional procedures, in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements taken as a whole.

January 4, 2019

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Schedule of Investments September 30, 2018

Collective Investment Funds - 99.06%

EB DV Non-SL Intermediate Govt/Credit Bond Index Fund1

EB DV Non-SL Long Term Credit Bond Index Fund1

EB DV Non-SL Long Term Government Bond Index Fund1

EB DV Securitized Index Fund1 Total Collective Investment Funds

% Ownership in Underlying Fund

54.82% 28.30% 53.52% 23.23%

Units

Cost $

Value $

10,761,765

1,629,432

1,283,937 1,326,142

1,146,956,118

197,231,687

142,103,532 653,567,017 2,139,858,354

1,147,903,028

197,317,518

140,843,642 653,093,649 2,139,157,837

U.S. Government Agency Obligation - 0.28%

Interest Rate/Yield

%

Ginnie Mae - TBA2

3.50

Total U.S. Government Agency Obligation

Maturity Date

10/01/2045

Principal Amount

$

6,075,000

Cost $

6,054,000 6,054,000

Value $

6,038,927 6,038,927

U.S. Government Obligation 0.72%

United States Treasury Note/Bond

United States Treasury Note/Bond

United States Treasury Note/Bond

Total U.S. Government Obligation

Interest Rate/Yield

%

2.13 2.88 2.00

Maturity Date

05/15/2025 05/31/2025 08/15/2025

Principal Amount

$

11,175,000 570,000

4,810,000

Cost $

10,693,096 572,282

4,506,772 15,772,150

Value $

10,584,058 565,371

4,508,128 15,657,557

The accompanying notes are an integral part of these financial statements. 3

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Schedule of Investments September 30, 2018

Temporary Investment - 0.27%

EB Temporary Investment Fund1 Total Temporary Investment

Units 5,921,503

Cost $

5,921,503 5,921,503

Value $

5,921,503 5,921,503

Total Investments Other assets less liabilities Net Assets

1 An affiliate of the Fund. 2 TBA - To be announced.

100.33% (0.33)% 100%

2,167,606,007 2,166,775,824 $ (7,030,945) $ 2,159,744,879

The accompanying notes are an integral part of these financial statements. 4

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Notes to Schedule of Investments September 30, 2018

(a) Fair Value Measurements

The following is a summary of the inputs used to value the Fund's investments as of September 30, 2018:

Portfolio Holdings* U.S. Government Agency Obligations U.S. Government Obligations

Quoted Prices (Level 1)

$

-

-

Other Significant Observable Inputs

(Level 2)

$

6,038,927

15,657,557

Significant Unobservable Inputs

(Level 3)

$

-

-

Total

$ 6,038,927 15,657,557

Subtotal

$

-$

21,696,484 $

- $ 21,696,484

NAV as a Practical Expedient** Affiliated Collective Investment Funds Affiliated Temporary Investment Funds

$ 2,139,157,837 5,921,503

Total

$ 2,166,775,824

* Portfolio holdings designated above are disclosed individually in the Schedule of Investments. Refer to the Schedule of Investments for industry specifics of the portfolio holdings.

** In accordance with ASC 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an investment's assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the year. There were no transfers into or out of Level 3 during the year ended September 30, 2018 and there were no securities classified as Level 3 at the beginning of the year.

The accompanying notes are an integral part of these financial statements. 5

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Statement of Assets and Liabilities September 30, 2018

Assets

Investments, at value (cost $2,167,606,007)

$

Receivable for Fund units issued

Receivable for investments sold

Interest income receivable

Total Assets

Liabilities

Payable for Fund units redeemed Payable for investments purchased Custody fees payable Fund accounting fees payable Asset based fee payable Audit fee payable Operational vendor fees payable

Total Liabilities

Net Assets

$

Net Assets Value per Unit

Class I (Net Assets of $1,863,712,856, Units Outstanding of 13,560,011)

$

Class II (Net Assets of $320,185, Units Outstanding of 2,357)1

$

Class IV (Net Assets of $2,471,122, Units Outstanding of 18,512)

$

Class Instl (Net Assets of $293,240,716, Units Outstanding of 2,134,621)

$

2,166,775,824 4,576,925 2,997,072 112,388

2,174,462,209

3,227,449 11,423,389

105 28,751 19,479 18,057

100

14,717,330 2,159,744,879

137.44 135.87 133.49 137.37

1 Net Assets Value per Unit for Class II may not recalculate due to rounding of net assets and/or units outstanding

The accompanying notes are an integral part of these financial statements. 6

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon

Statement of Operations Year Ended September 30, 2018

Investment Income

Interest income

$

Total investment income

Expenses Asset based fees - Class II1 Asset based fees - Class IV1 Asset based fees - Class Instl1

Administrative Expenses

Related Party Custody fees Fund accounting fees

Third Party Audit fees Operational vendor fees Facilitation fees

Total Administrative Expenses

Total expenses Net investment income (loss)

Net realized and unrealized gain (loss)

Net realized gain (loss) on: Investments in Collective Investment Funds Investments

Net realized gain (loss)

Net change in unrealized appreciation/depreciation of: Investments in Collective Investment Funds Investments

Net change in unrealized appreciation/depreciation

Net realized and unrealized gain (loss)

Net increase (decrease) in net assets resulting from operations

$

400,782 400,782

3,386 7,069 57,234

271 78,088

18,287 514 116

97,276 164,965 235,817

320,964,433 (856,436)

320,107,997

(344,386,038) (4,011)

(344,390,049) (24,282,052) (24,046,235)

1 The asset based fees are comprised of investment management fees and plan service provider fees (if applicable).

The accompanying notes are an integral part of these financial statements. 7

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