BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon · BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Notes to Schedule of Investments September

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Financial Statements and Schedules

September 30, 2018

PricewaterhouseCoopers LLP, 600 Grant Street, Pittsburgh, PA 15219 T: (412) 355 6000, F: (412) 355 8089, www.pwc.com/us

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.

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

The accompanying notes are an integral part

of these financial statements. 3

% Ownership in Units Cost Value

Collective Investment Funds - 99.06% Underlying Fund $ $

EB DV Non-SL Intermediate

Govt/Credit Bond Index Fund1 54.82% 10,761,765 1,146,956,118 1,147,903,028

EB DV Non-SL Long Term Credit Bond

Index Fund1 28.30% 1,629,432 197,231,687 197,317,518

EB DV Non-SL Long Term

Government Bond Index Fund1 53.52% 1,283,937 142,103,532 140,843,642

EB DV Securitized Index Fund1 23.23% 1,326,142 653,567,017 653,093,649

Total Collective Investment Funds 2,139,858,354 2,139,157,837

Interest

Rate/Yield Maturity Principal Amount Cost Value

U.S. Government Agency Obligation - 0.28% % Date $ $ $

Ginnie Mae - TBA2 3.50 10/01/2045 6,075,000 6,054,000 6,038,927

Total U.S. Government Agency Obligation 6,054,000 6,038,927

Interest

Rate/Yield Maturity Principal Amount Cost Value

U.S. Government Obligation - 0.72% % Date $ $ $

United States Treasury

Note/Bond 2.13 05/15/2025 11,175,000 10,693,096 10,584,058


Note/Bond 2.88 05/31/2025 570,000 572,282 565,371


Note/Bond 2.00 08/15/2025 4,810,000 4,506,772 4,508,128

Total U.S. Government Obligation 15,772,150 15,657,557


Schedule of Investments

September 30, 2018



Units Cost Value

Temporary Investment - 0.27% $ $

EB Temporary Investment Fund1 5,921,503 5,921,503 5,921,503

Total Temporary Investment 5,921,503 5,921,503

Total Investments 100.33% 2,167,606,007 2,166,775,824

Other assets less liabilities (0.33)% $ (7,030,945)

Net Assets 100% $ 2,159,744,879

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

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 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.

Quoted Prices(Level 1)

Other SignificantObservable Inputs

(Level 2)

SignificantUnobservable Inputs

(Level 3) TotalPortfolio Holdings*U.S. Government Agency Obligations -$ 6,038,927$ -$ 6,038,927$ U.S. Government Obligations - 15,657,557 - 15,657,557

Subtotal -$ 21,696,484$ -$ 21,696,484$

NAV as a Practical Expedient**Affiliated Collective Investment Funds 2,139,157,837$ Affiliated Temporary Investment Funds 5,921,503

Total 2,166,775,824$

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Statement of Assets and Liabilities

September 30, 2018

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

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Assets Investments, at value (cost $2,167,606,007) $ 2,166,775,824Receivable for Fund units issued 4,576,925Receivable for investments sold 2,997,072Interest income receivable 112,388

Total Assets 2,174,462,209

Liabilities Payable for Fund units redeemed 3,227,449Payable for investments purchased 11,423,389Custody fees payable 105Fund accounting fees payable 28,751Asset based fee payable 19,479Audit fee payable 18,057Operational vendor fees payable 100

Total Liabilities 14,717,330

Net Assets $ 2,159,744,879

Net Assets Value per Unit

Class I (Net Assets of $1,863,712,856, Units Outstanding of 13,560,011) $ 137.44

Class II (Net Assets of $320,185, Units Outstanding of 2,357)1 $ 135.87

Class IV (Net Assets of $2,471,122, Units Outstanding of 18,512) $ 133.49

Class Instl (Net Assets of $293,240,716, Units Outstanding of 2,134,621) $ 137.37

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


Statement of Operations

Year Ended September 30, 2018


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Investment Income Interest income $ 400,782

Total investment income 400,782

Expenses Asset based fees - Class II1 3,386Asset based fees - Class IV1 7,069Asset based fees - Class Instl1 57,234

Administrative Expenses

Related Party Custody fees 271Fund accounting fees 78,088

Third Party Audit fees 18,287Operational vendor fees 514Facilitation fees 116

Total Administrative Expenses 97,276

Total expenses 164,965

Net investment income (loss) 235,817

Net realized and unrealized gain (loss)

Net realized gain (loss) on: Investments in Collective Investment Funds 320,964,433Investments (856,436)

Net realized gain (loss) 320,107,997

Net change in unrealized appreciation/depreciation of: Investments in Collective Investment Funds (344,386,038)Investments (4,011)

Net change in unrealized appreciation/depreciation (344,390,049)

Net realized and unrealized gain (loss) (24,282,052)

Net increase (decrease) in net assets resulting from operations $ (24,046,235)

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

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Statement of Changes in Net Assets



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Increase/Decrease in Net Assets

From operations Net investment income (loss) $ 235,817Net realized gain (loss) 320,107,997Net change in unrealized appreciation/depreciation (344,390,049)

Net increase (decrease) in net assets resulting from operations (24,046,235)

From participant transactions Proceeds from issuance of units (3,897,760 units) 538,378,347Cost of units redeemed (10,397,629 units) (1,446,650,017)

Net increase (decrease) in net assets resulting from participant transactions (net 6,499,869 units redeemed) (908,271,670)

Net increase (decrease) in net assets (932,317,905)

Net Assets

Beginning of year 3,092,062,784

End of year $ 2,159,744,879

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Statement of Changes in Net Assets (continued) Year Ended September 30, 2018


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Units Amount

Units of Participation Participant transactions for the Fund were as follows: Class I Units purchased 3,343,399 $ 461,941,085Units redeemed (9,940,227) (1,383,648,647)

Net decrease from unit transactions (6,596,828) $ (921,707,562)

Class II Units purchased 5,198 $ 717,164Units redeemed (60,389) (8,351,914)

Net decrease from unit transactions (55,191) $ (7,634,750)

Class IV Units purchased 9,504 $ 1,271,560Units redeemed (7,215) (966,071)

Net increase from unit transactions 2,289 $ 305,489

Class Instl Units purchased 539,659 $ 74,448,538Units redeemed (389,798) (53,683,385)

Net increase from unit transactions 149,861 $ 20,765,153


Financial Highlights - Class I Year Ended September 30, 2018


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For a Unit outstanding throughout the year:

Per Unit operating performance

Net asset value per unit, beginning of the year $ 139.20 Income from investment operations

Net investment income (loss)1 0.02Net realized (and unrealized) gain/loss (1.78)

Total from investment operations (1.76)

Net asset value per unit, end of the year $ 137.44

Total return2 (1.26)%

Ratios/supplemental data:

Net assets, end of the year (000's) 1,863,713Ratio of total expenses to average net assets2, 3 0.00%Ratio of net investment income (loss) to average net assets2 0.01% 1 Net investment income (loss) per unit is calculated using average units outstanding during the year. 2 Total return and the ratios of total expenses and of net investment income (loss) to average net assets do not reflect fees

charged directly to the Fund's participants. The ratio of total expenses to average net assets does not include expenses of the affiliated collective investment funds in which the Fund invests. The calculation includes only those expenses charged directly or allocated to the class. The Fund's past performance is not necessarily indicative of how it will perform in the future.

3 The calculated ratio is less than 0.01%.


Financial Highlights - Class II Year Ended September 30, 2018


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Net investment income (loss)1 (0.19)Net realized (and unrealized) gain/loss (1.82)





Net assets, end of the year (000's) 320Ratio of total expenses to average net assets2 0.15%Ratio of net investment income (loss) to average net assets2 (0.14)% 1 Net investment income (loss) per unit is calculated using average units outstanding during the year. 2 Total return and the ratios of total expenses and of net investment income (loss) to average net assets do not reflect fees



Financial Highlights - Class IV



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Net assets, end of the year (000's) 2,471Ratio of total expenses to average net assets2 0.36%Ratio of net investment income (loss) to average net assets2 (0.34)% 1 Net investment income (loss) per unit is calculated using average units outstanding during the year. 2 Total return and the ratios of total expenses and of net investment income (loss) to average net assets do not reflect fees



Financial Highlights - Class Instl Year Ended September 30, 2018


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Net assets, end of the year (000's) 293,241Ratio of total expenses to average net assets2 0.02%Ratio of net investment income (loss) to average net assets2 (0.01)% 1 Net investment income (loss) per unit is calculated using average units outstanding during the year. 2 Total return and the ratios of total expenses and of net investment income (loss) to average net assets do not reflect fees


BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Notes to Financial Statements

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1. Description of the Fund BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon (the "Fund") is authorized by The Bank of New York Mellon Employee Benefit Collective Investment Fund Plan (the "Plan"). The Bank of New York Mellon (the "Trustee") serves as the Trustee, Investment Manager, Custodian, and Transfer Agent of the Fund. As Trustee of the Fund, The Bank of New York Mellon is a fiduciary with regard to the Fund. The Fund is operated in accordance with Section 9.18 of Regulation 9 issued by the Office of the Comptroller of the Currency and by other applicable laws and regulations as defined by the Plan. The objective of the Fund is to track the performance of the Bloomberg Barclays U.S. Aggregate Index. In meeting this objective, the Fund may invest in securities (including those issued through private placements), exchange-traded/mutual funds, and a combination of other collective funds (each an affiliate of the Fund and collectively referred herein as the "Collective Investment Funds") that together are designed to track the performance of the Bloomberg Barclays U.S. Aggregate Index. If exchange-traded/mutual funds are purchased or sold, there will be additional expenses embedded within those funds and imposed on the Fund which may negatively impact the Fund’s performance and those exchange-traded funds/mutual funds may participate in securities lending programs. The Fund may also invest in the EB Temporary Investment Fund, an affiliate of the Fund. Financial futures may be used to provide liquidity for cash flows, to obtain exposure, to hedge or for other purposes that facilitate meeting the Fund’s objective. Cash investments or assets used as collateral underlying the derivatives positions may be comprised of other collective funds and short to medium-term debt of investment grade that may include, without limitation, Treasury bills and notes, corporate obligations, commercial paper (including paper issued or resold under Section 3(a)(3), Section 4(2) and Rule 144A of the Securities Act of 1933), repurchase agreements, and obligations of government sponsored enterprises. The Fund may utilize short settling. The Fund will not participate in The Bank of New York Mellon's securities lending program.

During the year ended September 30, 2018, the Fund did not engage in futures activity. The Trustee has authorized five classes of units (Class I, II, IV, Instl, R5). Income, expenses (other than asset based fees), distributions and realized and unrealized gains or losses on investments are allocated to each class based on units outstanding of each class. Each class of units of the Fund will be charged such fees and expenses as are permitted by the Declaration of Trust. The Trustee receives investment management fees from Class I participants directly, and therefore the Fund makes no payment and incurs no expense for these services. Asset based fees for Class II will be charged at 0.15% per annum of the average daily net assets of Class II. Asset based fees for Class IV will be charged at 0.35% per annum of the average daily net assets of Class IV. Asset based fees for Class Instl will be charged at 0.02% per annum of the average daily net assets of Class Instl. Asset based fees for Class R5 will be charged at 0.12% per annum of the average daily net assets of Class R5. The asset based fees are comprised of investment management fees and plan service provider fees (if applicable). The Trustee may in its discretion and with prior notice to the sponsors of affected plans from time to time, add, delete, amend or otherwise modify a class of units of the Fund. As of September 30, 2018, there were no Class R5 units issued.

2. Summary of Significant Accounting Policies

The following significant accounting policies are in conformity with Generally Accepted Accounting Principles in the United States ("U.S. GAAP"). Such policies are consistently followed by the Fund in preparation of its financial statements. The Trustee has determined that the Fund is an investment company in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 for the purpose of accounting and financial reporting. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements, including the estimated fair value of investments. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Trustee in preparing the financial statements of the Fund. Fair Value Measurements The Fund’s financial instruments are reported at fair value, which U.S. GAAP defines as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The inputs are summarized in the three broad levels listed below:

Level 1 - Quoted prices (unadjusted) in active markets that are accessible at the measurement date for identical securities;


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Level 2 - Quoted prices for identical financial instruments in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.);

Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Trustee or persons acting at their direction that are used in determining the fair market value of investments.

In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent) (“ASU 2015-07”), as an amendment to Accounting Standards Codification 820, Fair Value Measurement ("ASC 820-10"). The amendments in ASU 2015-07 remove the requirement to categorize within the fair value hierarchy, as described above, all investments for which fair value is measured using the net asset value as a practical expedient and correspondingly have not been classified in the fair value hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, as applicable, have been included in the Notes to Schedule of Investments for the Fund. Valuation of Investments Investments are generally valued on the basis of market valuations obtained from recognized automated pricing services (the "Service") or counterparties, subject to review and approval by the Trustee. Such valuations are generally determined as follows: Fixed income securities are valued on the basis of valuations provided by the Service which determines valuations using

methods based upon market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. These valuations are based on methods which include the consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. If market quotations are not readily available for valuations, assets may be valued by a method the Trustee of the Fund has determined accurately reflects fair value. These types of investments are generally categorized within Level 2 of the fair value hierarchy.

Investments in units of the EB Temporary Investment Fund are generally valued at the amortized cost net asset value of $1.00, unless the Trustee determines that a significant difference exists between amortized cost and the market value. In accordance with ASC 820-10, investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy.

Investments in the units of Collective Investment Funds are generally valued at the net asset value as reported by the respective fund at each valuation date (transactional net asset value), unless the Trustee determines that a significant difference exists between the transactional net asset value and the market value. In accordance with ASC 820-10, investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy.

For the Fund's investment in affiliated collective investment funds valued on the basis of net asset value, the investment strategy of each underlying fund, other than investments in temporary investment funds, matches the investment strategy of the Fund. Investments in units of the Collective Investment Funds may be redeemed on a daily basis. Investments in units of the EB Temporary Investment Fund may be redeemed on a daily basis. The financial statements of the Fund should be read in conjunction with the affiliated collective investment funds' financial statements and plan documents, which are available from the Trustee on request and which provide information about the investment strategy, accounting policies, investment holdings and redemption terms of the affiliated collective investment funds. Investment Transactions and Investment Income Investment transactions are accounted for on a trade date basis. Gains and losses on the sale of investments are determined using the average cost method. Interest income on securities is recorded net of applicable withholding taxes on an accrual basis. Interest income, if any, on foreign currency balances is recorded when the Fund is first notified of the amount credited by the depository bank. Interest income includes accretion of discounts and amortization of premiums, if any. Undistributed net investment income, accumulated net realized gains (losses) and net unrealized appreciation/depreciation of Collective Investment Funds are reflected as unrealized gains and losses. Income earned from investments in units of the EB Temporary Investment Fund, if any, is recorded as interest income. Realized and unrealized gains and losses and net investment income (loss) before class specific expenses are allocated to each class of units on each valuation based upon the relative units outstanding of each class of units.


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Participants' Unit Transactions Participants may purchase or redeem units in their relative class for cash or securities (in-kind transactions at the sole discretion of the Trustee) based on the class unit value determined as of the valuation date. Class unit value is determined each business day of the year. All participants have a proportionate undivided interest in their relative class' net assets. Distributions The Fund’s policy is to not make any distributions to its participants. Taxes The Fund qualifies for tax exemption under Internal Revenue Service Revenue Ruling 81-100. Accordingly, no provision for federal income tax has been included in the accompanying financial statements. Participants of the Fund are limited to pension, profit-sharing, stock bonus and other accounts: (i) that meet the requirements of Section 401 (a), including those described in Section 401(a)(24) and inclusive of Section 414(d), of the Internal Revenue Code of 1954, as amended, or corresponding provisions of subsequent income tax laws of the United States ("Code"), and are exempt from federal income tax, (ii) that are eligible government deferred compensation plans within the meaning of Section 457(b) of the Code and are exempt from federal income tax pursuant to Section 457(g) of the Code, (iii) that are church plans (as defined by Section 414(e) of the Code) that are either a retirement income account within the meaning of Section 403(b)(9) of the Code or a church plan organization defined in Section 414(e)(3)(A) of the Code, together with other assets permitted to be commingled for investment purposes with the assets of such retirement income account or church plan organization without adversely affecting the tax status of such retirement income account or church plan organization, (iv) that constitute segregated asset accounts maintained by a life insurance company that consists solely of assets of participants that individually satisfy the requirements of clause (i), (ii), (iii) or (v) herein, or (v) that constitute individual accounts or collective investment funds that consist solely of assets described in clause (i), (ii), (iii), (iv), or (v) herein. The Trustee has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities. The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. Expenses The Trustee receives investment management fees from Class I participants, and therefore the Fund makes no payment for these services. Expenses, other than class specific expenses, are allocated daily to each class of units based upon the relative units outstanding of each class of units. Expenses incurred by a specific class of units are charged directly to that class of units. The Fund may pay certain expenses for services received including, but not limited to, administrative fees. The Fund's administrative fee is comprised of related party and third party expenses which will not exceed 0.02% of the Fund’s combined AUM (assets under management) in any given fiscal year of the Fund and may be charged directly to the Fund. Related party expenses may include annual custody, fund accounting, and transfer agent fees paid to The Bank of New York Mellon. Third party expenses may include audit, third party facilitation, vendor, and other similar expenses. The expense ratio of each respective class includes the actual administrative and asset based fees charged directly to the class during the fiscal year. The Fund indirectly bears its proportionate share of the expenses paid by the underlying funds, if any. If the Fund invests in other funds, the proportional share of the underlying funds’ expense ratio is not presented. When-Issued and Forward Delivery Securities The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The Fund enters into “TBA” (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date beyond the customary settlement time. Although the unit price has been established, the principal value has not been finalized; however, the amount of commitment will not fluctuate more than 0.01% from the principal amount. TBA purchase commitments are considered securities in themselves and involve risk of loss if the value of the security to be purchased declines prior to the settlement date. Unsettled TBA purchase commitments are valued at current market value of the underlying securities, generally according to the procedures described under Valuation of Investments above. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. TBA purchase commitments outstanding as of year end, if any, are listed on the Schedule of Investments. The Fund may enter into TBA sale commitments to hedge its portfolio or to sell securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment (deliverable on or before the sale commitment date), can be held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, generally according to procedures described under Valuation of Investments above. The contract is marked to market and the change in market


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value is recorded by the Fund as unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realizes a gain or loss on the commitment. If the Fund delivers securities under the commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. Recently Adopted New Accounting Pronouncement In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2018-13 (“ASU 2018-13”), Fair Value Measurement (Topic 820): Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU 2018-13 amendments are the result of a broader disclosure project, FASB Concepts Statement Conceptual Framework for Financial Reporting – Chapter 8: Notes to Financial Statements, to improve the effectiveness of the fair value disclosure requirements. ASU 2018-13 is effective for the fiscal years beginning after December 15, 2019; early adoption is permitted. The Trustee elected to early adopt ASU 2018-13 as of September 30, 2018. The impact of the adoption of the new standard is limited to disclosures for recurring Level 3 investments and did not have a material impact on the Fund’s financial statements.

3. Related Party Transactions

The Fund may invest in affiliated funds ("underlying funds") where the Trustee, or its affiliates, may serve as the trustee, investment manager, custodian and/or transfer agent. The Fund may invest cash in money market accounts which are managed by the Trustee or its affiliates. During the year ended September 30, 2018, the Fund invested such cash balances in the EB Temporary Investment Fund, from which the Fund earned $110,199 in interest income, of which $11,347 was receivable at September 30, 2018 and is included in interest income receivable on the Statement of Assets and Liabilities. The Fund may deposit cash for interest with any banking or savings institution, including the banking department of the Trustee, provided that the deposits in the banking department of the Trustee shall be limited to cash awaiting distribution or investment. During the year ended September 30, 2018, the Fund deposited such cash balances in the banking department of the Trustee. The Fund’s day to day investment activities are managed by the Trustee. Fees for such services are paid directly by the participants.

During the year ended September 30, 2018, the Fund accrued Class II, Class IV, and Class Instl asset based fees of $3,386, $7,069 and $57,234, respectively, of which $130, $1,915 and $17,434, respectively were payable at September 30, 2018, and are included in Asset based fee payable on the Statement of Assets and Liabilities. During the year ended September 30, 2018, affiliated participants redeemed units of the Fund through in-kind redemptions. Refer to the In-Kind Transactions note. The Fund pays administrative fees as disclosed in Note 2. Included in the administrative fee may be related party expenses for custody and fund accounting, which the Fund pays to the Trustee. During the year ended September 30, 2018, the Fund incurred custody fees of $271 and fund accounting fees of $78,088, of which $105 and $28,751 were payable, respectively, at September 30, 2018 and are included on the Statement of Assets and Liabilities.

4. In-kind Transactions

During the year ended September 30, 2018, participants redeemed units of the Fund through in-kind redemptions at an aggregate value of $423,292,713. In connection with the in-kind redemptions, the Fund recorded net realized gains of $47,129,101 on investments delivered to the redeeming participants, which were included in Net realized gain (loss) on investments in the Statement of Operations. The securities redeemed in-kind with a value of $179,250,351, and net realized gains of $19,957,603, are attributable to affiliates of the Fund.

5. Risks

Economic Risk. Changes in economic conditions, including, for example, interest rates, inflation rates, employment conditions, competition, technological developments, political and diplomatic events and trends, and tax laws may adversely affect the business prospects or perceived prospects of the entities in which the Fund invests. This may, in turn, cause fluctuations and declines in the value of securities held by the Fund. Interest Rate Risk. Increases in interest rates typically lower the present value of an entity’s future earnings stream. Since the market price of a security changes continuously based upon the investors’ collective perceptions of future earnings, security prices will generally decline when investors anticipate or experience rising interest rates. Market Risk. Security prices fluctuate in response to many factors, including the activities of individual entities and general market and economic conditions. Regardless of any one entity’s particular prospects, a declining market may produce a decline in security prices for all entities. Market declines may continue for an indefinite period of time, and investors should understand that from time to time during temporary or extended bear markets, the value of the Fund's assets may decline.


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Sector Risk. Sector risk is the possibility that securities within the same group of industries will decline in price due to sector-specific market or economic developments. If the Fund invests more heavily in a particular sector, the value of the Fund will be particularly sensitive to declines in that sector. Additionally, some sectors could be subject to greater government regulation or increases in government regulation compared to other sectors, either of which may have an adverse effect on the value of securities of entities in the sector. Credit Risk. The Fund invests in fixed income securities which could decline in value if the issuer of the security fails to pay interest on principal in a timely manner or if there are negative perceptions of the issuer's ability to make such payments. Participant Concentration Risk. At September 30, 2018, four participants each owned 10% or more of the Fund's outstanding Class I units and represented 74% of the outstanding Class I units of the Fund as of that date. At September 30, 2018, two participants each owned 10% or more of the Fund's outstanding Class II units and represented 100% of the outstanding Class II units as of that date. At September 30, 2018, two participants each owned 10% or more of the Fund's outstanding Class IV units and represented 100% of the outstanding Class IV units as of that date. At September 30, 2018, one participant owned 10% or more of the Fund's outstanding Class Instl units and represented 79% of the outstanding Class Instl units as of that date. From time to time, the Fund may have participants that hold significant portions of the Fund’s outstanding units. Investment activities of such participants could have a material impact on results of operations of the Fund.

6. Subsequent Event(s)

Through January 2, 2019, the Fund had Class IV net redemptions by participants of 5,376 units, or approximately 29.04% of the outstanding Class IV units at September 30, 2018. As of January 2, 2019, the Class IV net assets of the Fund were $1,783,202 (unaudited). The Trustee of the Fund evaluated all activity through January 4, 2019, the date the financial statements were available to be issued, and concluded that no additional subsequent events have occurred that would require recognition in the financial statements or disclosure in the Notes to Financial Statements.


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7. Additional Expense Information Costs associated with investing in the Fund are charged to the Fund itself and, therefore, they are borne indirectly by the Participating Trust when investing in the Fund. The Fund-related costs may include fees and expenses incurred directly by the Fund (“Fund-Level Expenses”) as well as indirect fees and expenses (“Underlying Fund Expenses”) that are borne by the Fund as a result of investing in other investment funds (“Underlying Funds”). As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Fund to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Fund may exceed the Fund’s total direct expenses incurred.

Total Fund Expenses

Class I Class II Class IV Class Instl Fund Level Expenses

Internal Management Fee 0.000% 0.080% 0.081% 0.020% Plan Service Provider Fee 0.000% 0.070% 0.271% 0.000% Related Party Expenses 0.003% 0.003% 0.003% 0.004% Third Party Expenses 0.001% 0.001% 0.001% 0.001%

Underlying Fund Expenses 0.014% 0.014% 0.014% 0.014% Annual Gross Operating Expenses (before expense reimbursement) 0.018% 0.168% 0.370% 0.039% Expense Reimbursement 0.000% 0.000% 0.000% 0.000% Annual Net Operating Expenses (after expense reimbursement) 0.018% 0.168% 0.370% 0.039% In certain instances large contributions or redemptions to a class may cause the allocation of administration fees to be affected. The administration fees are applied to each class consistently, and the same fee caps remain in place across all classes. The limitation on administrative expenses for the Fund is 0.02%, and this limitation includes Related Party Expenses and Third Party Expenses as well as any Underlying Fund Expenses associated with any investment by the Fund in other affiliated collective investment funds. The Annual Net Operating Expenses for the Fund may include other asset-based fees that are not included in this limitation, such as an Internal Management Fee or Plan Service Provider Fee as applicable. Internal Management Fee Fee for investment management services provided to the Fund. Plan Service Provider Fee Fee for record keeping services provided to the Fund. Fund Level Expenses

Fees and expenses directly incurred by the Fund which include any Internal Management Fee, Plan Service Provider Fee, Related Party Expenses and Third Party Expenses.

Underlying Fund Expenses

Proportionate amount of fees and expenses indirectly incurred by the Fund as a result of its investment in underlying funds which may include administration, audit, and legal fees, if any.

Annual Gross Operating Expenses

Total direct and indirect expenses incurred by the Fund including Fund Level Expenses and Underlying Expenses, prior to the application of any waivers and/or reimbursements, if any.

Expense Reimbursement

Amounts waived and/or reimbursed by the Trustee to reflect, as applicable, any limitation on administrative expenses of the Fund as described in the Fund’s governing documents.

Annual Net Operating Expenses

Total direct and indirect expenses incurred by the Fund including Fund Level Expenses and Underlying Expenses, net of waivers and/or reimbursements, if any.

The annual net operating expenses ratio presented above may not correlate to the Class’ ratio of expenses to average daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any.

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Schedules of Investment Transactions (in Summary) Year Ended September 30, 2018


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Note: A detailed transaction schedule is available upon request. See accompanying report of independent auditors.

Schedule of investments purchased (in summary):

Type of investments Cost

Fixed Income Securities 347,252,731$ Collective Investment Funds* 2,386,611,657 Temporary Investments 293,605,266

3,027,469,654$

Schedule of investments sold, matured or redeemed (in summary):

ProceedsFrom Sales/Maturities/ Net Realized

Type of investments Redemptions Gain (Loss)

Fixed Income Securities 345,249,866$ (856,436)$ Collective Investment Funds*,** 3,293,156,498 320,964,433 Temporary Investments 295,913,553 -

3,934,319,917$ 320,107,997$

* Excludes purchases and sales of the EB Temporary Investment Fund which are included underTemporary Investments.

** Includes securities valued at $423,292,713, with net realized gains of $47,129,101 in connection with in-kind redemptions.

Documents

BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon · BNY Mellon Aggregate Bond Index Fund of The Bank of New York Mellon Notes to Schedule of Investments September