UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4813
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MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
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(Exact name of registrant as specified in charter)
Mellon Financial Center, One Boston Place, Boston, Massachusetts 02108
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(Address of principal executive offices) (Zip code)
Barbara A. McCann
Vice President and Secretary
One Boston Place, Boston, MA 02108
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(Name and address of agent for service)
with a copy to:
Christopher P. Harvey, Esq.
Wilmer Cutler Pickering Hale and Dorr LLP
60 State Street
Boston, Massachusetts 02109
Registrant's telephone number, including area code: (617) 248-6000
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2005
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Item 1. Reports to Stockholders.
[LOGO] Mellon
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Mellon Institutional Funds
Semiannual Report STANDISH MELLON
OPPORTUNISTIC HIGH YIELD FUND
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JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund' s Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund' s portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund' s web site at http:
//melloninstitutionalfunds.com.
To view the Fund' s proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC' s web site at http: //www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SHAREHOLDER EXPENSE EXAMPLE
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As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
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Actual $1,000.00 $1,013.90 $0.50
Hypothetical (5% return
per year before expenses) $1,000.00 $1,024.30 $0.50
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(+) Expenses are equal to the fund's annualized expense ratio of .10%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
1
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
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PERCENTAGE OF
SUMMARY OF COMBINED RATINGS INVESTMENTS
- ----------------------------------------------
QUALITY BREAKDOWN
- ----------------------------------------------
Treasury 6.5%
AA 0.1
BBB 6.7
BB 48.1
B 37.5
CCC 1.1
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100.0%
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
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Chevy Chase Bank FSB 6.875 12/1/2013 2.6%
HCA, Inc. 7.875 2/1/2011 2.0
Sovereign Capital Trust IV Convertible Preferred 4.375 1.9
AES Corp. 144A 8.750 5/15/2013 1.7
Freescale Semiconductor, Inc. 6.875 7/15/2011 1.6
Nevada Power Co. 6.500 4/15/2012 1.5
Georgia-Pacific Corp. 8.000 1/15/2024 1.3
INVISTA 144A 9.250 5/1/2012 1.2
Dynegy Holdings, Inc. 144A 9.875 7/15/2010 1.2
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 1.2
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16.2%
(*) Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
SUMMARY OF INDUSTRIES INVESTMENTS
- ---------------------------------------------------------
Banking 5.9%
Basic industry 12.6
Capital goods 12.8
Consumer cyclical 6.3
Consumer non-cyclical 7.9
Energy 7.7
Finance 0.5
Media 8.0
Real estate 0.4
Services cyclical 11.0
Services non-cyclical 2.5
Technology 1.5
Telecommunications 5.5
Utility 10.9
Agency 0.1
Cash & Equivalents 6.4
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100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
2
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
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PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
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UNAFFILIATED INVESTMENTS--98.7%
BONDS AND NOTES--85.5%
CONVERTIBLE CORPORATE BONDS--0.1%
Centerpoint Energy, Inc. 144A CVT (Cost $ 25,000) 2.875% 1/15/2024 $ 25,000 $ 27,344
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CORPORATE--76.1%
BANKING--2.7%
Chevy Chase Bank FSB 6.875 12/1/2013 530,000 547,225
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BASIC INDUSTRY--9.9%
Airgas, Inc. 6.250 7/15/2014 25,000 25,313
Allied Waste North America 8.500 12/1/2008 50,000 52,438
Arch Western Finance 6.750 7/1/2013 55,000 56,788
Ball Corp. 6.875 12/15/2012 95,000 99,750
Berry Plastics 10.750 7/15/2012 55,000 60,019
Compression Polymers Holdings 144A 10.500 7/1/2013 35,000 35,000
Earle M Jorgenson Co. 9.750 6/1/2012 100,000 108,000
Equistar Chemicals LP/Equistar Funding Corp. 10.625 5/1/2011 15,000 16,556
Freeport-McMoRan Copper & Gold, Inc. 10.125 2/1/2010 90,000 100,125
Freeport-McMoRan Copper & Gold, Inc. 6.875 2/1/2014 70,000 68,250
Georgia-Pacific Corp. 7.375 7/15/2008 45,000 47,869
Georgia-Pacific Corp. 8.875 2/1/2010 175,000 198,625
Georgia-Pacific Corp. 8.000 1/15/2024 225,000 258,750
Jefferson Smurfit Corp. US 8.250 10/1/2012 150,000 150,750
KRATON Polymers LLC/Capital Corp. 144A(*) 8.125 1/15/2014 15,000 14,438
Lubrizol Corp. 4.625 10/1/2009 150,000 150,019
Lyondell Chemical Co. 9.625 5/1/2007 50,000 53,375
Nalco Co.(*) 7.750 11/15/2011 190,000 202,350
Neenah Paper, Inc. 144A 7.375 11/15/2014 10,000 9,700
Peabody Energy Corp. 6.875 3/15/2013 105,000 111,300
Steel Dynamics, Inc. 9.500 3/15/2009 100,000 106,250
Stone Container Corp. 8.375 7/1/2012 70,000 70,700
Westlake Chemical Corp. 8.750 7/15/2011 39,000 42,413
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2,038,778
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CAPITAL GOODS--6.9%
Alliant Techsystems, Inc. 8.500 5/15/2011 50,000 53,375
Alliant Techsystems, Inc. 144A 2.750 2/15/2024 35,000 36,531
Crown Cork & Seal Co, Inc. 8.000 4/15/2023 150,000 146,250
Esterline Technologies Corp. 7.750 6/15/2013 70,000 74,200
L-3 Communications Corp. 7.625 6/15/2012 100,000 106,500
Leucadia National Corp. 7.000 8/15/2013 75,000 75,000
National Waterworks, Inc. 10.500 12/1/2012 55,000 61,875
Norcraft Finance Co. 9.000 11/1/2011 40,000 41,200
Owens-Brockway 7.750 5/15/2011 155,000 164,688
Owens-Illinois, Inc.(*) 7.500 5/15/2010 210,000 220,500
Pinnacle Foods Holding Corp. (*) 8.250 12/1/2013 45,000 40,275
Silgan Holdings, Inc. 6.750 11/15/2013 100,000 103,000
Solo Cup Co.(*) 8.500 2/15/2014 50,000 46,750
Texas Industries Inc. 144A 7.250 7/15/2013 15,000 15,375
Texas Industries, Inc. 10.250 6/15/2011 110,000 127,463
Trinity Industries LE 6.500 3/15/2014 $115,000 114,425
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1,427,407
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The accompanying notes are an integral part of the financial statements.
3
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
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PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
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CONSUMER CYCLICAL--2.5%
CSC Holdings, Inc. 8.125% 7/15/2009 $ 70,000 $ 70,875
Domino's, Inc. 8.250 7/1/2011 26,000 27,690
Fisher Scientific International 6.750 8/15/2014 65,000 67,925
Fisher Scientific International 144A 6.125 7/1/2015 50,000 50,063
Keystone Automotive Operation 9.750 11/1/2013 40,000 39,600
Leslie's Poolmart 7.750 2/1/2013 45,000 45,450
PQ Corp. 144A 7.500 2/15/2013 10,000 9,825
Russell Corp. 9.250 5/1/2010 50,000 52,750
Scotts Co. 6.625 11/15/2013 140,000 144,550
Visteon Corp.(*) 8.250 8/1/2010 15,000 13,875
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522,603
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CONSUMER NON-CYCLICAL--5.0%
Alliance One International 144A 11.000 5/15/2012 50,000 51,500
Altria Group, Inc. 7.000 11/4/2013 50,000 55,955
Chattem, Inc. 7.000 3/1/2014 60,000 61,950
Chattem, Inc. (a) 6.330 3/1/2010 50,000 50,500
Del Monte Corp. 8.625 12/15/2012 65,000 71,500
Elizabeth Arden, Inc. 7.750 1/15/2014 40,000 41,700
Goodyear Tire & Rubber 144A 9.000 7/1/2015 115,000 112,988
Ingles Markets, Inc. 8.875 12/1/2011 35,000 35,569
Rite Aid Corp. 9.500 2/15/2011 75,000 79,875
Rite Aid Corp.(*) 12.500 9/15/2006 140,000 151,200
RJ Reynolds Tobacco Holdings, Inc.(*) 7.750 5/15/2006 65,000 66,788
Smithfield Foods, Inc. 7.750 5/15/2013 70,000 76,300
Stater Brothers Holdings (a) 6.910 6/15/2010 125,000 123,750
Stater Brothers Holdings(*) 8.125 6/15/2012 65,000 63,375
-----------
1,042,950
-----------
ENERGY--8.8%
CMS Energy Corp. 8.900 7/15/2008 200,000 217,500
Colorado Interstate Gas 144A 5.950 3/15/2015 50,000 49,294
Dynegy Holdings, Inc. 144A 9.875 7/15/2010 225,000 248,625
El Paso Natural Gas Co. 8.625 1/15/2022 50,000 58,320
El Paso Natural Gas Co. 7.500 11/15/2026 110,000 115,796
El Paso Production Holding Co. 7.750 6/1/2013 45,000 48,038
Frontier Oil Corp. 6.625 10/1/2011 25,000 25,750
Newfield Exploration Corp. 7.625 3/1/2011 60,000 65,700
Newfield Exploration Corp. 6.625 9/1/2014 100,000 104,750
Petroleum Ge-Services 10.000 11/5/2010 60,000 67,200
Premcor Refining Group, Inc. 9.500 2/1/2013 40,000 46,000
Southern Natural Gas Co. 8.875 3/15/2010 25,000 27,423
Tennessee Gas Pipeline Co. 8.375 6/15/2032 150,000 176,504
Tesoro Petroleum Corp. 8.000 4/15/2008 35,000 36,925
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 200,000 238,000
Williams Cos., Inc. 7.875 9/1/2021 200,000 227,500
Xcel Energy, Inc. 144A 7.500 11/21/2007 40,000 65,100
-----------
1,818,425
-----------
FINANCIAL--2.4%
Ford Motor Credit Co. 7.375 10/28/2009 70,000 68,403
General Motors Accept Corp.(*) 7.750 1/19/2010 200,000 195,509
Glencore Funding LLC 144A 6.000 4/15/2014 75,000 71,917
The accompanying notes are an integral part of the financial statements.
4
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL (CONTINUED)
Residential Capital Corp. 144A 6.375% 6/30/2010 $ 125,000 $ 125,602
Residential Capital Corp. 144A 6.875 6/30/2015 40,000 40,881
-----------
502,312
-----------
INDUSTRIAL--1.7%
Douglas Dynamics LLC 144A 7.750 1/15/2012 155,000 151,900
Goodman Global Holdings 144A (a) 6.410 6/15/2012 200,000 197,000
-----------
348,900
-----------
MEDIA--6.6%
American Media Operation, Inc. 10.250 5/1/2009 95,000 95,238
Cablevision Systems Corp. (a) 7.890 4/1/2009 125,000 125,313
Dex Media West LLC/Dex Media Finance Co.(*) 8.500 8/15/2010 85,000 92,650
DirecTV Holdings LLC 8.375 3/15/2013 30,000 33,225
Echostar DBS Corp. 5.750 10/1/2008 65,000 64,594
Entercom Radio LLC/Entercom Capital, Inc. 7.625 3/1/2014 50,000 52,125
Entravision Communications Corp. 8.125 3/15/2009 60,000 62,475
Lamar Media Corp. 7.250 1/1/2013 20,000 21,100
Nextel Communications, Inc. 6.875 10/31/2013 30,000 32,063
PX Escrow Corp. 9.625 2/1/2006 160,000 128,000
Radio One, Inc. 8.875 7/1/2011 150,000 161,063
RH Donnelley Finance Corp. 144A 8.875 12/15/2010 140,000 152,950
RH Donnelley Finance Corp. 144A 10.875 12/15/2012 135,000 156,938
Salem Communications Corp. 7.750 12/15/2010 130,000 135,200
Sinclair Broadcast Group, Inc. 4.875 7/15/2018 60,000 54,450
-----------
1,367,384
-----------
REAL ESTATE--0.8%
Beazer Homes USA 144A 6.875 7/15/2015 35,000 34,650
BF Saul Reit 7.500 3/1/2014 125,000 129,375
-----------
164,025
-----------
SERVICES: CYCLICAL--9.2%
American Casino & Entertainment Properties LLC 7.850 2/1/2012 55,000 58,300
Ameristar Casinos, Inc. 10.750 2/15/2009 140,000 152,250
Chumash Casino & Resort Enterprises 144A 9.260 7/15/2010 105,000 113,663
Cinemark USA, Inc. 9.000 2/1/2013 75,000 77,063
Continental Airlines, Inc. 8.307 4/2/2018 37,931 31,540
Corrections Corp Of America 7.500 5/1/2011 60,000 62,475
Gaylord Entertainment Co. 8.000 11/15/2013 40,000 42,050
Gaylord Entertainment Co. 6.750 11/15/2014 55,000 53,763
Host Marriott LP 7.000 8/15/2012 150,000 155,625
Isle of Capri Casinos 7.000 3/1/2014 90,000 90,450
Meristar Hospitality Operating Partnership LP(*) 10.500 6/15/2009 100,000 107,000
MGM Mirage, Inc. 8.500 9/15/2010 150,000 166,500
Mohegan Tribal Gaming Authority(*) 8.000 4/1/2012 175,000 187,250
Mohegan Tribal Gaming Authority(*) 7.125 8/15/2014 145,000 151,888
Seneca Gaming Corp. 144A 7.250 5/1/2012 25,000 25,844
Speedway Motorsports, Inc. 6.750 6/1/2013 150,000 154,500
Station Casinos, Inc.(*) 6.000 4/1/2012 150,000 152,250
True Temper Sports, Inc. 8.375 9/15/2011 65,000 60,288
Turning Stone Casino Resort Enterprise 144A 9.125 12/15/2010 45,000 47,588
-----------
1,890,287
-----------
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
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SERVICES: NON-CYCLICAL--3.8%
Coventry Health Care, Inc. 5.875% 1/15/2012 $ 40,000 $ 40,700
Coventry Health Care, Inc. 8.125 2/15/2012 60,000 64,800
HCA, Inc. 7.875 2/1/2011 375,000 412,608
Kinetic Concepts, Inc. 7.375 5/15/2013 91,000 95,095
Neighborcare, Inc. 6.875 11/15/2013 30,000 31,350
Psychiatric Solutions 144A 7.750 7/15/2015 15,000 15,000
Service Corp. International 144A 7.000 6/15/2017 30,000 30,825
Tenet Healthcare Corp. 144A 9.250 2/1/2015 100,000 103,750
-----------
794,128
-----------
TELECOMMUNICATIONS--4.2%
AT&T Corp. 9.750 11/15/2031 50,000 65,063
Consolidated Comm Holdings 144A 9.750 4/1/2012 90,000 94,275
Hawaiian Telcom Communication 144A (a) 8.914 5/1/2013 30,000 30,900
Nextel Communications, Inc. 5.950 3/15/2014 150,000 155,813
Qwest Communications International 144A 7.500 2/15/2014 185,000 175,056
Qwest Corp. 7.200 11/10/2026 115,000 103,500
Qwest Corp. 144A 7.875 9/1/2011 175,000 182,438
Rural Cellular Corp. 8.250 3/15/2012 50,000 52,250
-----------
859,295
-----------
TECHNOLOGY & ELECTRONICS--2.2%
Communications & Power Industries, Inc. 8.000 2/1/2012 25,000 25,125
Freescale Semiconductor Inc.(*) 6.875 7/15/2011 310,000 328,600
Freescale Semiconductor, Inc. (a)* 5.891 7/15/2009 100,000 103,875
-----------
457,600
-----------
UTILITIES--9.4%
AES Corp. 8.875 2/15/2011 123,000 137,145
AES Corp. 144A 8.750 5/15/2013 310,000 346,425
AES Corp.(*) 9.375 9/15/2010 60,000 67,950
DPL, Inc. 6.875 9/1/2011 50,000 54,000
FPL Energy Wind Funding LLC 144A 6.876 6/27/2017 87,100 88,080
Monongahela Power 6.700 6/15/2014 65,000 74,023
MSW Energy Holdings 7.375 9/1/2010 95,000 97,375
Nevada Power Co. 6.500 4/15/2012 300,000 313,500
Northwestern Corp. 144A 5.875 11/1/2014 35,000 35,875
NRG Energy, Inc. 144A 8.000 12/15/2013 80,000 84,400
Reliant Energy, Inc. 6.750 12/15/2014 20,000 19,550
Reliant Energy, Inc. 9.250 7/15/2010 55,000 59,950
TECO Energy, Inc. 144A 6.750 5/1/2015 10,000 10,600
TECO Energy, Inc. 7.500 6/15/2010 50,000 54,500
Texas Genco LLC/Financing 144A 6.875 12/15/2014 50,000 52,625
Texas Utilities Corp. 144A 4.800 11/15/2009 175,000 171,810
Texas Utilities Corp. 144A 5.550 11/15/2014 205,000 198,820
Whiting Petroleum Corp. 7.250 5/1/2013 75,000 76,500
-----------
1,943,128
-----------
Total Corporate (Cost $15,290,282) 15,724,447
-----------
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL--0.3%
South Carolina Tobacco Settlement Authority (Cost $ 44,837) 6.000% 5/15/2022 $ 50,000 $ 52,867
-----------
YANKEE BONDS--7.2%
Crown European Holdings SA 9.500 3/1/2011 100,000 110,500
Crystal US Holdings 9.625 6/15/2014 90,000 100,800
Culligan Finance Corp., BV 144A 8.000 10/1/2014 35,000 44,796
Intelsat Bermuda Ltd. 144A (a) 7.805 1/15/2012 85,000 86,488
INVISTA 144A 9.250 5/1/2012 230,000 251,275
Jean Coutu Group(*) 7.625 8/1/2012 45,000 46,463
JSG Funding PLC 9.625 10/1/2012 50,000 50,000
Norampac, Inc.(*) 6.750 6/1/2013 120,000 120,300
Nova Chemicals Corp. 6.500 1/15/2012 55,000 53,350
Quebecor Media, Inc. 11.125 7/15/2011 95,000 105,569
Rogers Wireless, Inc. 8.000 12/15/2012 60,000 64,650
Rogers Wireless, Inc. (a) 6.535 12/15/2010 60,000 62,550
Royal Caribbean Cruises Ltd. 8.000 5/15/2010 100,000 110,750
Royal Caribbean Cruises Ltd. 8.750 2/2/2011 110,000 126,775
Royal Caribbean Cruises Ltd. (b) 0.000 5/18/2021 50,000 37,813
Russel Metals, Inc. 6.375 3/1/2014 50,000 46,750
Stena AB 7.500 11/1/2013 70,000 68,950
-----------
Total Yankee Bonds (Cost $1,423,264) 1,487,779
-----------
EURO--1.8%
General Motors Acceptance Corp. 5.375 6/6/2011 45,000 48,444
Hornbach Baumarkt AG 144A 6.125 11/15/2014 15,000 17,610
NTL Cable PLC 8.750 4/15/2014 35,000 44,690
Remy Cointreau S.A. 144A 6.500 7/1/2010 40,000 51,559
Telenet Communications NV 144A 9.000 12/15/2013 100,000 212,989
-----------
Total Euro Securities (Cost $209,746) 375,292
-----------
TOTAL BONDS AND NOTES (Cost $16,993,129) 17,667,729
-----------
CONVERTIBLE PREFERRED STOCKS--2.9% SHARES
------
Fannie Mae 7.00% CVT Pfd 300 16,641
Omnicare, Inc. 4.00% CVT Pfd 700 41,038
Sovereign Capital Trust IV 4.375% CVT Pfd 8,850 389,400
Tyco International Group SA 3.125% 144A CVT Pfd 105,000 145,163
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $597,500) 592,242
-----------
WARRANTS--0.0%
McLeodUSA, Inc.(^) 3,291 16
-----------
TOTAL WARRANTS (Cost $28,425 )
INVESTMENT OF CASH COLLATERAL--10.3%
BlackRock Cash Strategies L.L.C. (**) (Cost $ 2,135,540) 2,135,540 2,135,540
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $ 19,754,594) 20,395,527
-----------
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
AFFILIATED INVESTMENTS--19.5%
Dreyfus Institutional Preferred Plus Money Market Fund ((+))(Cost $ 4,018,851) $4,018,851 $ 4,018,851
-----------
TOTAL INVESTMENTS--118.2% (COST $23,773,445) 24,414,378
LIABILITIES IN EXCESS OF OTHER ASSETS--(18.2%) (3,759,254)
-----------
NET ASSETS--100.0% $20,655,124
===========
NOTES TO SCHEDULE OF INVESTMENTS:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
CVT-Convertible
(a) Variable Rate Security; rate indicated is as of 6/30/05.
(b) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specific rate and date. The rate shown is the rate at
period end. The maturity date shown is the ultimate maturity.
(*) Security, or a portion of thereof, was on loan at 6/30/05.
(**) Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
Eur-Euro
REIT-Real Estate Investment Trust
(+) Affiliated institutional money market fund.
(^) Non-income producing security.
At June 30, 2005 the Portfolio held the following forward foreign currency
exchange contracts
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN
- -------------------------------------------------------------------------------------------------------
Euro 296,000 9/21/2005 $359,413 $360,275 $862
======== ======== ====
TOTAL
At June 30, 2005, the Fund held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
Agreement with Merrill Lynch, dated 7/14/2004
to receive 1.60% per year times the notional amount.
The Fund makes payment, of the notional amount times the
difference between the par value and the then-market of
Georgia Pacific Corp., 8.125% due 5/15/2011, only upon
a credit event by Georgia Pacific Corp. 6/20/2009 420,000 USD $ 6,053
Agreement with Merrill Lynch, dated 7/14/04
to pay 0.77% per year times the notional amount. The
Fund receives payment, of the notional amount times the
difference between the par value and the then-market
value of Mead Westvaco Corp., 6.85% due 4/01/2012,
only upon a credit event by Mead Westvaco Corp. 6/20/2009 420,000 USD (1,852)
--------
Total Swap Value $ 4,201
========
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $2,086,589 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $19,754,594) $20,395,527
Affiliated issuers, at value (Note 1A) (cost $4,018,851 (Note 1H) 4,018,851
Swap contracts, at value (Note 6) 6,053
Unrealized appreciation on forward currency exchange contracts (Note 6) 862
Interest and dividends receivable 337,171
Prepaid expenses 6,425
-----------
Total assets 24,764,889
LIABILITIES
Liability for securities on loan (Note 7) $2,135,540
Payable for investments purchased 1,926,528
Swap contracts, at value (Note 6) 1,852
Accrued accounting, administration, custody
and transfer agent fees (Note 2) 18,830
Accrued trustees' fees and expenses (Note 2) 2,794
Accrued expenses and other liabilities 24,221
----------
Total liabilities 4,109,765
-----------
NET ASSETS $20,655,124
===========
NET ASSETS CONSIST OF:
Paid-in capital $36,213,342
Accumulated net realized loss 16,196,406)
Distributions in excess of net investment income (7,646)
Net unrealized appreciation 645,834
-----------
TOTAL NET ASSETS $20,655,124
===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 1,207,093
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $17.11
===========
The accompanying notes are an integral part of the financial statements.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $586,935
Interest income from affiliated investments (Note 1H) 11,796
Security lending income (Note 7) 4,621
Dividend income 12,607
--------
Total investment income 615,959
EXPENSES
Investment advisory fee (Note 2) $ 33,758
Accounting, administration, custody, and transfer agent fees (Note 2) 40,189
Professional fees 26,071
Registration fees 4,810
Trustees' fees and expenses (Note 2) 2,787
Insurance expense 4,413
Miscellaneous expenses 2,247
----------
Total expenses 114,275
DEDUCT:
Waiver of investment advisory fee (Note 2) (33,758)
Reimbursement of Fund operating expenses (Note 2) (72,077)
----------
Total expense deductions (105,835)
----------
Net expenses 8,440
--------
Net investment income 607,519
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities (112,010)
Foreign currency transactions and forward currency exchange contracts 29,421
Swap transactions 5,130
----------
Net realized gain (loss) (77,459)
Change in unrealized appreciation (depreciation) on:
Investment securities (313,018)
Foreign currency transactions and forward currency exchange contracts 6,015
Swap transactions (516)
----------
Change in net unrealized appreciation (depreciation) (307,519)
---------
Net realized and unrealized gain (loss) on investments (384,978)
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS $222,541
=========
The accompanying notes are an integral part of the financial statements.
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 607,519 $ 2,632,850
Net realized gain (loss) (77,459) 2,633,830
Change in net unrealized appreciation (depreciation) (307,519) (1,788,291)
------------ ------------
Net increase (decrease) in net assets from operations 222,541 3,478,389
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1E)
From net investment income (649,705) (2,893,284)
------------ ------------
Total distributions to shareholders (649,705) (2,893,284)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 6,816,232 1,609,132
Value of shares issued to shareholders in reinvestment of distributions 434,079 1,369,851
Cost of shares redeemed (4,022,296) (27,553,173)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions 3,228,015 (24,574,190)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 2,800,851 (23,989,085)
NET ASSETS
At beginning of period 17,854,273 41,843,358
------------ ------------
At end of period (including distributions in
excess of net investment income of $7,646 and
undistributed net investment income of $34,540) $ 20,655,124 $ 17,854,273
============ ============
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE APRIL 2, 2001
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, (COMMENCEMENT
JUNE 30, 2005 ---------------------------------------- OF OPERATIONS) TO
(UNAUDITED) 2004 2003 2002 DECEMBER 31, 2001
---------------- -------- -------- -------- ------------------
Net Asset Value, Beginning of the year $ 17.47 $ 17.64 $ 15.72 $ 16.36 $ 20.00
-------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income (* (a)) 0.62 1.38 1.36 1.41 1.34
Net realized and unrealized gain
(loss) on investments (0.38) 0.47 1.97 (0.46) (1.93)
-------- -------- -------- -------- --------
Total from investment operations 0.24 1.85 3.33 0.95 (0.59)
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.60) (2.02) (1.41) (1.58) (2.98)
From tax return of capital - - - (0.01) (0.07)
-------- -------- -------- -------- --------
Total distributions to shareholders (0.60) (2.02) (1.41) (1.59) (3.05)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 17.11 $ 17.47 $ 17.64 $ 15.72 $ 16.36
======== ======== ======== ======== ========
TOTAL RETURN (B) 1.39%(c) 10.85% 21.77% 6.07% (2.91%)(c)
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) (*) 0.10%(d) 0.10% 0.10% 0.10% 0.10%(d)
Net Investment Income (to average
daily net assets) (*) 7.19%(d) 7.57% 8.00% 8.78% 9.46%(d)
Portfolio Turnover 30%(c) 36% 133% 121% 191%(c)
Net Assets, End of Year (000's omitted) $ 20,655 $ 17,854 $ 41,843 $ 39,032 $ 46,193
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Net investment income per share (a) $ 0.51 $ 1.25 $ 1.22 $ 1.31 $ 1.28
Ratios (to average daily net assets):
Expenses 1.35%(d) 0.83% 0.91% 0.73% 0.54%(d)
Net investment income 5.94%(d) 6.84% 7.19% 8.15% 9.02%(d)
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of fee waivers and
expense limitations.
(c) Not annualized.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Opportunistic High Yield Bond Fund (the "Fund") is a
separate non-diversified investment series of the Trust.
The objective of the Fund is to maximize total return, consistent with
preserving principal, primarily through the generation of current income
and, to a lesser extent, capital appreciation by investing, under normal
circumstances, at least 80% of net assets in below investment grade fixed
income securities.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are primarily traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the Fund
acquires a short-term instrument with more than sixty days remaining to its
maturity, it is valued at current market value until the sixtieth day prior
to maturity and will then be valued at amortized value based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of coupon interest accrued, adjusted for
accretion of discount or amortization of premium using the
yield-to-maturity method on long-term debt securities and short-term
securities with greater than sixty days to maturity. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis. The Fund does not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Fund's books and the U.S. dollar equivalent amounts usually received or
paid.
C. FOREIGN CURRENCY TRANSACTIONS
The Fund keeps its books and records in U.S. dollars. Investment security
valuations, other assets, and liabilities initially expressed in foreign
currencies are converted into U.S. dollars based upon current currency
exchange rates at the valuation date. Purchases and sales of foreign
investment securities and income and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective
dates of such transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
D. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than
13
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
securities of comparable U.S. companies and U.S. securities markets. The
risks described above apply to an even greater extent to investments in
emerging markets. The securities markets of emerging countries are
generally smaller, less developed, less liquid, and more volatile than the
securities markets of the U.S. and developed foreign markets.
E. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. Dividends from net investment income and
distributions from capital gains, if any, are reinvested in additional
shares of the Fund unless the shareholder elects to receive them in cash.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for losses deferred due to wash sales, foreign
currency gains and losses, post-October losses, amortization and/or
accretion of premiums and discounts on certain securities and the timing of
recognition of gains and losses on futures contracts.
Permanent book and tax basis differences will result in reclassifications
among undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments and foreign currency
transactions may include temporary book and tax basis differences which
will reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
F. EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary by Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory, administrative services, and general office facilities, is paid
monthly at the annual rate of 0.40% of the Fund's average daily net assets.
Standish Mellon voluntarily agreed to limit total Fund operating expenses
(excluding brokerage commissions, taxes and extraordinary expenses) to
0.10% of the Fund's average daily net assets for the period ended June 30,
2005. Pursuant to this agreement, for the period ended June 30, 2005,
Standish Mellon collectively and voluntarily waived its investment advisory
fee in the amount of $33,758 and reimbursed the Fund for $72,077 of its
operating expenses. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$4,653 during the period ended June 30, 2005.
The Fund has contracted Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide custody, fund administration and fund accounting
services for the Fund. For these services the Fund pays Mellon Bank a fixed
fee plus asset and transaction based fees, as well as, out-of-pocket
expenses. Pursuant to this agreement the Fund paid $31,781 during the
period ended June 30, 2005.
14
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 7 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Fund for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust will pay
for a portion of the salary of the Trust's Chief Compliance Officer. The
Trust pays each Trustee who is not a director, officer or employee of
Standish Mellon or its affiliates an annual fee and a per meeting fee as
well as reimbursement for travel and out of pocket expenses. In addition,
the Trust pays the legal fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
------------ ------------
Investments (non-U.S.
Government Securities) $ 5,732,339 $ 4,883,482
============ ============
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30,2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 392,928 91,564
Shares issued to shareholders
reinvestment of distributions declared 25,275 78,037
Shares redeemed (233,327) (1,519,183)
---------- ----------
Net increase (decrease) 184,876 (1,349,582)
========== ==========
At June 30, 2005, four shareholders of record held approximately 73% of the
total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
A significant portion of the Fund's shares represent investments by
fiduciary accounts over which Standish Mellon and its affiliates have
either sole or joint investment discretion.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
7 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
The tax basis components of distributable earnings and the federal tax cost
as of June 30, 2005, was as follows:
Aggregate cost $ 23,773,445
============
Unrealized appreciation $ 814,435
Unrealized depreciation (173,502)
============
Net unrealized appreciation (depreciation) $ 640,933
============
15
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Fund's Prospectus and Statement of Additional Information.
The Fund may trade the following instruments with off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Fund's exposure to the underlying instrument. Buying puts and
writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and written
by the Fund, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying face amount at value of any
open purchased options is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contract or
if the counterparty does not perform under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Fund is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of
an option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Fund did not hold any option positions.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Fund may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Fund primarily to protect the value of the Fund's foreign securities
from adverse currency movements. Unrealized appreciation and depreciation
of forward currency exchange contracts is included in the Statement of
Assets and Liabilities.
At June 30, 2005, the Fund held forward currency exchange contracts. See
Schedule of Investments for further details.
FUTURES CONTRACTS
The Fund may enter into financial futures contracts for the delayed sale or
delivery of securities or contracts based on financial indices at a fixed
price on a future date. Pursuant to the margin requirements, the Fund
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Fund each day, depending on the daily fluctuations in the value of
the underlying security, and are recorded for financial statement purposes
as unrealized gains or losses by the Fund. There are several risks in
connection with the use of futures contracts as a hedging device. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments or indices, which may not correlate with
changes in the value of hedged investments. Buying futures tends to
increase the Fund's exposure to the underlying instrument, while selling
futures tends to decrease the Fund's exposure to the underlying instrument
or hedge other Fund investments. In addition, there is the risk that the
Fund may not be able to enter into a closing transaction because of an
illiquid secondary market. Losses may arise if there is an illiquid
secondary market or if the counterparties do not perform under the
contract's terms. The Fund enters into financial futures transactions
primarily to manage its exposure to certain markets and to changes in
securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005, the Fund did not hold any futures contracts.
16
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SWAP AGREEMENTS
The Fund may enter into swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate and credit default swap
agreements to manage its exposure to interest rates and credit risk.
Interest rate swap agreements involve the exchange by the Fund with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. In a credit default swap, one party makes a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party on its
obligation. The Fund may use credit default swaps to provide a measure of
protection against defaults of issuers (i.e., to reduce risk where the Fund
owns or has exposure to the corporate or sovereign issuer) or to take an
active long or short position with respect to the likelihood of a
particular corporate or sovereign issuer's default. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. The Fund earns interest on
cash set aside as collateral. Swaps are marked to market daily based upon
quotations from market makers and change in value, if any, is recorded as
unrealized gain or loss in the Statement of Operations. These financial
instruments are not actively traded on financial markets. The values
assigned to these instruments are based upon the best available information
and because of the uncertainty of the valuation, these values may differ
significantly from the values that would have been realized had a ready
market for these instruments existed, and differences could be material.
Payments received or made from credit default swaps at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Net payments of interest on interest rate swap agreements,
if any, are included as part of realized gain or loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized on the Statement of
Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform or disagree as to the
meaning of contractual terms in the agreements, and that there may be
unfavorable changes in interest rates.
At June 30, 2005, the Fund held swap contracts. See Schedule of Investments
for further details.
(7) SECURITY LENDING:
The Fund may lend its securities to financial institutions which the Fund
deems to be creditworthy. The loans are collateralized at all times with
cash or securities with a market value at least equal to the market value
of the securities on loan. The market value of securities loaned is
determined daily and any additional required collateral is allocated to the
Fund on the next business day. For the duration of a loan, the Fund
receives the equivalent of the interest or dividends paid by the issuer on
the securities loaned and also receives compensation from the investment of
the collateral. As with other extensions of credit, the Fund bears the risk
of delay in recovery or even loss of rights in its securities on loan
should the borrower of the securities fail financially or default on its
obligations to the Fund. In the event of borrower default, the Fund
generally has the right to use the collateral to offset losses incurred.
The Fund may incur a loss in the event it was delayed or prevented from
exercising its rights to dispose of the collateral. The Fund also bears the
risk in the event that the interest and/or dividends received on invested
collateral is not sufficient to meet the Fund's obligations due on the
loans.
The Fund loaned securities during the period ended June 30, 2005 resulting
in security lending income of $4,621. At June 30, 2005, the Fund had
securities worth $2,086,589 on loan. See Schedule of Investments for
further detail on the security positions on loan and collateral held.
(8) DELAYED DELIVERY TRANSACTIONS:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Fund instructs its
custodian to segregate securities having value at least equal to the amount
of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a 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 the current market value of the underlying
securities, according to the procedures described under "Investment
security valuations" above.
17
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC HIGH YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Fund as an 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 from the sale of the securities based upon the unit
price established at the date the commitment was entered into.
At June 30, 2005, the Fund did not hold any delayed delivery transactions.
(9) CONCENTRATION OF RISK:
The Fund invests in low rated (non-investment grade) and comparable quality
unrated high yield securities. Investments in high yield securities are
accompanied by a greater degree of credit risk and the value of high yield
securities tends to be more sensitive to economic conditions than higher
rated securities. The risk of loss due to default of an issuer may be
significantly greater for holders of high yield securities, because such
securities are generally unsecured and are often subordinated to other
creditors of the issuer.
There are certain additional considerations and risks associated with
investing in foreign securities and currency transactions that are not
inherent with investments of domestic origin. The Fund's investment in
emerging market countries may involve greater risks than investments in
more developed markets and the price of such investments may be volatile.
These risks of investing in foreign and emerging markets may include
foreign currency exchange rate fluctuations, perceived credit risk, adverse
political and economic developments and possible adverse foreign government
intervention.
(10) LINE OF CREDIT:
The Fund, and other funds in the Trust and subtrusts in the Mellon
Institutional Funds Master Portfolio Trust (the "Portfolio Trust") are
parties to a committed line of credit facility, which enables each
portfolio/fund to borrow, in the aggregate, up to $35 million. Interest is
charged to each participating portfolio/fund based on its borrowings at a
rate equal to the Federal Funds effective rate plus 1/2 of 1%. In addition,
a facility fee, computed at an annual rate of .060 of 1% committed amount,
is allocated ratably among the participating portfolios/funds at the end of
each quarter. For the period ended June 30, 2005, a facility fee of $127
was allocated to the Fund.
During the period ended June 30, 2005, the Fund had average borrowings
outstanding of $334,000 on a total of two days and incurred $53 of interest
expense.
18
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None $385
c/o Decision Resources, Inc. 11/3/1986 Decision Resources,
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None $419
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None $385
c/o Harvard University 9/13/1989 Professor of Political
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None $385
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
INTERESTED TRUSTEES
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None $0
Mellon Institutional and Chief Operating Officer of
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
19
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional Asset
Asset Management Management; formerly Shareholder Representative,
One Boston Place Standish Mellon Asset Management Company LLC
Boston, MA 02108
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional Asset
Mellon Institutional Compliance Management and Chief Compliance Officer,
Asset Management Officer Mellon Funds Distributor; formerly Director,
One Boston Place Blackrock, Inc., Senior Vice President, State Stree
Boston, MA 02108 Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
20
THIS PAGE INTENTIONALLY LEFT BLANK
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0949SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
OPPORTUNISTIC EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at
http://melloninstitutionalfunds.com.
To view the Fund' s proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005 TO
JANUARY 1, 2005 JUNE 30, 2005 JUNE 30, 2005
- ------------------------------------------------------------------------------------
Actual $ 1,000.00 $ 1,063.50 $ 1.53
Hypothetical (5% return
per year before expenses) $ 1,000.00 $ 1,023.31 $ 1.51
- -----------
(+) Expenses are equal to the Fund's annualized expense ratio of .30%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).The Example reflects the
combined expenses of the Fund and the master portfolio in which it
invests all its assets.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
Russian Federation 5.000 3/31/2030 10.8%
Republic of Brazil 2.063 4/15/2012 4.0
Republic of Turkey 11.750 6/15/2010 2.7
Pemex Project Funding Master Trust 8.625 2/1/2022 2.7
Republic of Brazil 11.000 8/17/2040 2.6
Republic of Turkey 11.875 1/15/2030 2.4
Petroliam Nasional Berhad 144A 7.750 8/15/2015 2.4
Republic of Venezuela 9.250 9/15/2027 2.3
Republic of Brazil 10.125 5/15/2027 2.3
Russian Federation 12.750 6/24/2028 2.0
-------
34.2%
(*) Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
GEOGRAPHIC REGION INVESTMENTS
--------------------------------------------
Latin America 58.0%
Europe, Middle East & Africa 29.5
Asia 8.4
Cash & Equivalents 4.1
--------
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--96.9%
BONDS AND NOTES--94.7%
CORPORATE--9.8%
Consumer Goods--1.4%
Argentine Beverages Finance 144A 7.375% 3/22/2012 USD 30,000 $ 30,525
Celulosa Arauco Constitu 144A 5.625 4/20/2015 70,000 71,478
----------
102,003
----------
ENERGY--8.4%
Morgan Stanley Bank AG for OAO Gazprom 144A 9.625 3/1/2013 75,000 91,969
Pemex Project Funding Master Trust 7.375 12/15/2014 25,000 28,038
Pemex Project Funding Master Trust 8.625 2/1/2022 155,000 191,038
Pemex Project Funding Master Trust 144A (a) 4.710 6/15/2010 95,000 97,993
Petroliam Nasional Berhad 144A 7.750 8/15/2015 140,000 173,298
Salomon Brothers AF for Tyumen Oil Co. 11.000 11/6/2007 20,000 22,138
----------
604,474
----------
Total Corporate (Cost $671,955) 706,477
----------
SOVEREIGN BONDS--79.9%
Argentina Bonos (a)* 1.162 8/3/2012 145,000 131,080
Banco Nacional de Comercio Exterior SNC 144A 3.875 1/21/2009 140,000 135,800
Dominican Republic 144A 9.500 9/27/2011 45,000 48,150
Egyptian Treasury Bill 144A 7.500 8/4/2005 50,000 50,790
Nigeria Promissory Notes Series RC 5.092 1/5/2010 265,000 84,800
Republic of Argentina 2.000 1/3/2010 170,000 98,141
Republic of Argentina(*) 8.280 12/31/2033 126,418 116,368
Republic of Brazil 14.500 10/15/2009 50,000 65,000
Republic of Brazil 14.500 10/15/2009 55,000 71,500
Republic of Brazil 11.000 1/11/2012 100,000 119,250
Republic of Brazil 10.500 7/14/2014 55,000 65,175
Republic of Brazil 8.750 2/4/2025 70,000 71,960
Republic of Brazil 10.125 5/15/2027 140,000 162,190
Republic of Brazil 10.125 5/15/2027 75,000 86,663
Republic of Brazil 8.250 1/20/2034 90,000 87,840
Republic of Brazil 11.000 8/17/2040 155,000 186,233
Republic of Brazil (a) 2.063 4/15/2012 300,591 289,131
Republic of Colombia 10.500 7/9/2010 65,000 77,285
Republic of Colombia 10.000 1/23/2012 25,000 29,150
Republic of Colombia 10.750 1/15/2013 40,000 48,700
Republic of Colombia 8.125 5/21/2024 60,000 59,700
Republic of Ecuador 7.000 8/15/2030 45,000 37,800
Republic of Ecuador 144A 8.000 8/15/2030 30,000 25,200
Republic of El Salvador 8.250 4/10/2032 30,000 31,950
Republic of El Salvador 144A 8.500 7/25/2011 20,000 23,100
Republic of El Salvador 144A 7.650 6/15/2035 80,000 79,600
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SOVEREIGN BONDS (CONTINUED)
Republic of Indonesia 7.250% 4/20/2015 USD 85,000 $ 86,063
Republic of Panama 8.875 9/30/2027 110,000 131,175
Republic of Peru 9.875 2/6/2015 60,000 74,250
Republic of Peru 8.750 11/21/2033 40,000 45,100
Republic of Philippines 8.375 2/15/2011 65,000 67,275
Republic of Philippines 9.375 1/18/2017 125,000 133,750
Republic of Philippines 10.625 3/16/2025 120,000 134,244
Republic of Serbia 3.750 11/1/2024 95,000 81,700
Republic of South Africa 9.125 5/19/2009 55,000 63,869
Republic of South Africa 7.375 4/25/2012 85,000 97,750
Republic of Turkey 11.750 6/15/2010 155,000 192,200
Republic of Turkey 9.000 6/30/2011 45,000 51,075
Republic of Turkey 11.500 1/23/2012 45,000 57,488
Republic of Turkey 11.875 1/15/2030 120,000 173,550
Republic of Turkey 11.875 1/15/2030 18,000 25,988
Republic of Uruguay 7.500 3/15/2015 70,000 68,600
Republic of Venezuela 5.375 8/7/2010 55,000 51,150
Republic of Venezuela 10.750 9/19/2013 30,000 35,115
Republic of Venezuela 7.650 4/21/2025 90,000 81,000
Republic of Venezuela(*) 9.250 9/15/2027 160,000 167,760
Republic of Venezuela (a) 2.150 4/20/2011 110,000 100,375
Russian Federation 12.750 6/24/2028 80,000 144,800
Russian Federation 5.000 3/31/2030 695,000 778,400
Russian Ministry of Finance 3.000 5/14/2008 85,000 80,219
United Mexican States 9.875 2/1/2010 60,000 72,510
United Mexican States 7.500 1/14/2012 50,000 56,700
United Mexican States 6.375 1/16/2013 90,000 96,390
United Mexican States 8.125 12/30/2019 115,000 141,278
United Mexican States 7.500 4/8/2033 64,000 73,920
United Mexican States 6.750 9/27/2034 90,000 95,625
----------
Total Sovereign Bonds (Cost $5,422,453) 5,741,875
----------
YANKEE BONDS--4.0%
Braskem Sa 144A 12.500 11/5/2008 45,000 52,819
Naftogaz Ukrainy 8.125 9/30/2009 100,000 105,250
Telefonos De Mexico, S.A. 144A 4.750 1/27/2010 130,000 129,826
----------
Total Yankee (Cost $288,824) 287,895
----------
FOREIGN DENOMINATED--1.0%
MEXICO--1.0%
Mexican Fixed Rate Bonds (Cost $76,669) 8.000 12/19/2013 MXN 825,000 70,772
----------
TOTAL BONDS AND NOTES (Cost $6,459,901) 6,807,019
----------
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SECURITY DESCRIPTION RATE MATURITY SHARES (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL--2.2%
BlackRock Cash Strategies L.L.C.(*) (Cost $161,229) 161,229 $ 161,229
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $6,621,130) 6,968,248
-----------
AFFILIATED INVESTMENTS--2.7%
Dreyfus Institutional Preferred Plus Money Market Fund (+) (Cost $189,761) 189,761 189,761
-----------
TOTAL INVESTMENTS--99.6% (COST $6,810,891) 7,158,009
OTHER ASSETS, LESS LIABILITIES-0.4% 25,416
-----------
NET ASSETS--100.0% $7,183,425
==========
Notes to Schedule of Investments:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
(a) Variable Rate Security; rate indicated as of 6/30/05.
MXN--Mexican Peso
(*) Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
(+) Affiliated institutional money market fund.
At June 30, 2005 the Portfolio held the following forward foreign currency
exchange contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 415,000 1/17/2006 $ 164,779 $ 150,794 $ (13,985)
Brazilian Real 420,000 2/22/2006 164,853 139,279 (25,574)
--------- --------- ---------
Total $ 329,632 $ 290,073 $ (39,559)
========= ========= =========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 150,000 9/21/2005 $ 62,117 $ 58,708 $ 3,409
Brazilian Real 415,000 1/17/2006 164,778 134,697 30,081
Brazilian Real 420,000 2/22/2006 164,852 143,296 21,556
Malaysian Ringgit 350,000 8/4/2005 92,182 92,777 (595)
Philippines Peso 2,880,000 9/21/2005 51,352 51,475 (123)
Hryvna 475,000 11/30/2005 95,485 94,153 1,332
--------- --------- ---------
Total $ 630,766 $ 575,106 $ 55,660
========= ========= =========
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Bear Stearns, dated 11/17/2004 to receive
the notional amount multiplied by 3.90700% and to pay the
notional amount multiplied by the 3 month LIBOR. 11/19/2009 110,000 USD ($254)
Agreement with Bear Stearns, dated 11/17/2004 to receive
2.84% per year times the notional amount. The Fund makes
payment, of the notional amount times the difference between
the par value and the then-market market value of Ukraine
Government, 7.65% due 6/11/13, only upon a credit event
by Ukraine Government. 12/20/2009 110,000 USD 3,773
Agreement with Bear Stearns, dated 6/14/2005 to receive
2.70% per year times the notional amount. The Fund makes
payment, of the notional amount times the difference between
the par value and the then-market value of The Republic of
Argentina, 8.28% due 12/31/2033, only upon a credit
event by The Republic of Argentina. 6/20/2008 164,000 USD 857
------
Total Swap Value $4,376
======
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $156,079 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $6,621,130) $6,968,248
Affiliated issuers, at value (Note 1A) (cost $189,761) (Note 1H) 189,761
Foreign currency (cost $460) 460
Receivable for securities sold 105,111
Interest and dividends receivable 122,047
Unrealized appreciation on forward currency exchange contracts (Note 6) 56,378
Swap contracts, at value (Note 6) 4,630
Prepaid expenses 3,154
----------
Total assets 7,449,789
LIABILITIES
Collateral for securities on loan (Note 7) $ 161,229
Payable for securities purchased 24,740
Unrealized depreciation on forward currency exchange contracts (Note 6) 40,277
Accrued accounting, administration, custody and transfer agent fees (Note 2) 15,019
Accrued professional fees 23,380
Swap contracts, at value (Note 6) 254
Accrued trustees' fees and expenses (Note 2) 1,465
----------
Total liabilities 266,364
----------
NET ASSETS $7,183,425
==========
NET ASSETS CONSIST OF:
Paid-in capital $6,489,327
Accumulated net realized gain 317,021
Undistributed net investment income 9,483
Net unrealized appreciation 367,594
----------
TOTAL NET ASSETS $7,183,425
==========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 352,891
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 20.36
==========
The accompanying notes are an integral part of the financial statements.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $ 262,680
Interest income from affiliated investments (Note 1H) 2,406
Securitity lending income (Note 7) 4,912
----------
Total investment income 269,998
EXPENSES
Investment advisory fee (Note 2) $ 20,226
Accounting, administration, custody, and transfer agent fees (Note 2) 28,299
Professional fees 25,656
Registration fees 3,087
Trustees' fees and expenses (Note 2) 1,776
Insurance expense 2,603
Miscellaneous expenses 1,958
----------
Total expenses 83,605
DEDUCT:
Waiver of investment advisory fee (Note 2) (20,226)
Reimbursement of Fund operating expenses (Note 2) (51,244)
----------
Total expense deductions (71,470)
----------
Net expenses 12,135
----------
Net investment income 257,863
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 370,228
Futures contracts 9,607
Foreign currency transactions and forward currency exchange contracts 20,260
Swap transactions (2,998)
----------
Net realized gain (loss) 397,097
Change in unrealized appreciation (depreciation) on:
Investment securities (305,936)
Futures contracts 4,733
Swap transactions 278
Foreign currency transactions and forward currency exchange contracts 13,963
----------
Change in net unrealized appreciation (depreciation) (286,962)
----------
Net realized and unrealized gain (loss) on investments 110,135
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 367,998
==========
The accompanying notes are an integral part of the financial statements.
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
------------ -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 257,863 $ 1,148,795
Net realized gain (loss) 397,097 618,467
Change in net unrealized appreciation (depreciation) (286,962) 111,845
------------ ------------
Net increase (decrease) in net assets from operations 367,998 1,879,107
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1E)
From net investment income (232,315) (1,054,097)
From net realized gains on investments (275,754) (668,039)
------------ ------------
Total distributions to shareholders (508,069) (1,722,136)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 2,725,688 3,011,075
Value of shares issued to shareholders in reinvestment of distributions 428,715 1,122,390
Cost of shares redeemed (6,833,029) (9,520,626)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (3,678,626) (5,387,161)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (3,818,697) (5,230,190)
NET ASSETS
At beginning of period 11,002,122 16,232,312
------------ ------------
At end of period (including undistributed net investment income of $9,483 and
distributions in excess of net investment income of $16,065) $ 7,183,425 $ 11,002,122
============ ============
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE MARCH 26, 2001
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, (COMMENCEMENT
JUNE 30, 2005 ---------------------------------------- OF OPERATIONS) TO
(UNAUDITED) 2004 2003 2002 DECEMBER 31, 2001
----------- -------- -------- -------- -----------------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.37 $ 20.81 $ 18.39 $ 17.67 $ 20.00
-------- -------- -------- -------- --------
FROM OPERATIONS:
Net investment income(*) (a) 0.64 1.56 1.61 1.59 1.58
Net realized and unrealized gain
(loss) on investments 0.60 0.72 3.59 0.65 0.10
-------- -------- -------- -------- --------
Total from operations 1.24 2.28 5.20 2.24 1.68
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.60) (1.53) (1.32) (1.52) (3.90)
From net realized gain on investments (0.65) (1.19) (1.46) -- --
From tax return of capital -- -- -- -- (0.11)
-------- -------- -------- -------- --------
Total distributions to shareholders (1.25) (2.72) (2.78) (1.52) (4.01)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 20.36 $ 20.37 $ 20.81 $ 18.39 $ 17.67
======== ======== ======== ======== ========
Total Return (b) 6.35%(c) 11.54% 28.82% 13.20% 8.94%(c)
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets)(*) 0.30%(d) 0.30% 0.30% 0.30% 0.30%(d)
Net Investment Income (to average
daily net assets)(*) 6.39%(d) 7.53% 7.64% 8.83% 10.33%(d)
Portfolio Turnover 87%(c) 228% 224% 421% 505%(c)
Net Assets, End of Year (000's omitted) $ 7,183 $ 11,002 $ 16,232 $ 7,269 $ 3,702
- -------
(*) For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Net investment income per share(a) $ 0.46 $ 1.37 $ 1.26 $ 1.23 $ 1.34
Ratios (to average daily net assets):
Expenses (*) 2.07%(d) 1.23% 1.92% 2.31% 1.82%(d)
Net investment income (*) 4.62%(d) 6.60% 6.02% 6.82% 8.81%(d)
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of fee waivers and
expense limitations.
(c) Not annualized.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Opportunistic Emerging Markets Debt Fund (the "Fund") is a
separate non-diversified investment series of the Trust.
The objective of the Fund is to generate a high total return through a
combination of capital appreciation and income. The fund seeks to achieve
its objective by investing, under normal circumstances, at least 80% of net
assets in fixed income securities issued by governments, companies and
banks of emerging markets, as well as preferred stocks, warrants and
tax-exempt bonds.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are primarily traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the Fund
acquires a short-term instrument with more than sixty days remaining to its
maturity, it is valued at current market value until the sixtieth day prior
to maturity and will then be valued at amortized value based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of coupon interest accrued, adjusted for
accretion of discount or amortization of premium using the
yield-to-maturity method on long-term debt securities and short-term
securities with greater than sixty days to maturity. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis. The Fund does not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Fund's books and the U.S. dollar equivalent amounts usually received or
paid.
C. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current currency exchange rates at the valuation date. Purchases and sales
of foreign investment securities and income and expenses are converted into
U.S. dollars based upon currency exchange rates prevailing on the
respective dates of such transactions. Section 988 of the Internal Revenue
Code provides that gains or losses on certain transactions attributable to
fluctuations in foreign currency exchange rates must be treated as ordinary
income or loss. For financial statement purposes, such amounts are included
in net realized gains or losses.
13
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
E. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. Dividends from net investment income and
distributions from capital gains, if any, are reinvested in additional
shares of the Fund unless the shareholder elects to receive them in cash.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for losses deferred due to wash sales, foreign
currency gains and losses, post-October losses, amortization and/or
accretion of premiums and discounts on certain securities and the timing of
recognition of gains and losses on futures contracts.
Permanent book and tax basis differences will result in reclassifications
among undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments and foreign currency
transactions may include temporary book and tax basis differences which
will reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
F. EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon overall investment
advisory, administrative services, and general office facilities, is paid
monthly at the annual rate of 0.50% of the Fund's average daily net assets.
Standish Mellon voluntarily agreed to limit total Fund operating expenses
(excluding brokerage commissions, taxes and extraordinary expenses) to
0.30% of the Fund's average daily net assets for the period ended June 30,
2005. Pursuant to this agreement, for the period ended June 30, 2005,
Standish Mellon voluntarily waived its investment advisory fee in the
amount of $20,226 and reimbursed the Fund for $51,244 of other operating
expenses. This agreement is voluntary and temporary and may be discontinued
or revised by Standish Mellon at any time.
14
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$3,978 during the period ended June 30, 2005.
The Fund has contracted Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide custody, fund administration and fund accounting
services for the Fund. For these services the Fund pays Mellon Bank a fixed
fee plus asset and transaction based fees, as well as, out-of-pocket
expenses. Pursuant to this agreement the Fund paid $21,018 during the
period ended June 30, 2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 7 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Fund for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust will pay
for a portion of the salary of the Trust's Chief Compliance Officer. The
Trust pays each Trustee who is not a director, officer or employee of
Standish Mellon or its affiliates an annual fee and a per meeting fee as
well as reimbursement for travel and out of pocket expenses. In addition,
the Trust pays the legal fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
----------- -----------
Investments (non-U.S.
Government Securities) $ 6,863,464 $10,965,429
=========== ===========
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30,2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 134,821 158,814
Shares issued to shareholders
reinvestment of distributions declared 21,946 55,260
Shares redeemed (343,898) (454,120)
---------- ----------
Net increase (decrease) (187,131) (240,046)
========== ==========
At June 30, 2005, four shareholders of record held approximately 87% of the
total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
A significant portion of the Fund's shares represent investments by
fiduciary accounts over which Standish Mellon and its affiliates have
either sole or joint investment discretion.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
7 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
15
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
The tax basis components of distributable earnings and the federal tax cost
as of June 30, 2005, was as follows:
Aggregate cost $6,810,891
----------
Unrealized appreciation $ 370,748
Unrealized depreciation (23,630)
==========
Net unrealized appreciation (depreciation) $ 347,118
==========
(6) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Fund's Prospectus and Statement of Additional Information.
The Fund may trade the following instruments with off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Fund's exposure to the underlying instrument. Buying puts and
writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and written
by the Fund, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying face amount at value of any
open purchased options is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contract or
if the counterparty does not perform under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Fund is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of
an option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Fund did not hold option positions.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Fund may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Fund primarily to protect the value of the
Fund's foreign securities from adverse currency movements. Unrealized
appreciation and depreciation of forward currency exchange contracts is
included in the Statement of Assets and Liabilities.
At June 30, 2005, the Fund held open foreign currency exchange contracts.
See Schedule of Investments for further details.
16
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
The Fund may enter into financial futures contracts for the delayed sale or
delivery of securities or contracts based on financial indices at a fixed
price on a future date. Pursuant to the margin requirements, the Fund
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Fund each day, depending on the daily
fluctuations in the value of the underlying security, and are recorded for
financial statement purposes as unrealized gains or losses by the Fund.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments or indices,
which may not correlate with changes in the value of hedged investments.
Buying futures tends to increase the Fund's exposure to the underlying
instrument, while selling futures tends to decrease the Fund's exposure to
the underlying instrument or hedge other Fund investments. In addition,
there is the risk that the Fund may not be able to enter into a closing
transaction because of an illiquid secondary market. Losses may arise if
there is an illiquid secondary market or if the counterparties do not
perform under the contract's terms. The Fund enters into financial futures
transactions primarily to manage its exposure to certain markets and to
changes in securities prices and foreign currencies. Gains and losses are
realized upon the expiration or closing of the futures contracts. Futures
contracts are valued at the quoted daily settlement prices established by
the exchange on which they trade.
At June 30, 2005, the Fund held no financial futures contracts.
SWAP AGREEMENTS
The Fund may enter into swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate and credit default swap
agreements to manage its exposure to interest rates and credit risk.
Interest rate swap agreements involve the exchange by the Fund with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. In a credit default swap, one party makes a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party on its
obligation. The Fund may use credit default swaps to provide a measure of
protection against defaults of issuers (i.e., to reduce risk where the Fund
owns or has exposure to the corporate or sovereign issuer) or to take an
active long or short position with respect to the likelihood of a
particular corporate or sovereign issuer's default. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. The Fund earns interest on
cash set aside as collateral. Swaps are marked to market daily based upon
quotations from market makers and change in value, if any, is recorded as
unrealized gain or loss in the Statement of Operations. These financial
instruments are not actively traded on financial markets. The values
assigned to these instruments are based upon the best available information
and because of the uncertainty of the valuation, these values may differ
significantly from the values that would have been realized had a ready
market for these instruments existed, and differences could be material.
Payments received or made from credit default swaps at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Net payments of interest on interest rate swap agreements,
if any, are included as part of realized gain or loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized on the Statement of
Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform or disagree as to the
meaning of contractual terms in the agreements, and that there may be
unfavorable changes in interest rates.
At June 30, 2005, the Fund held open swap contracts. See Schedule of
Investments for further details.
(7) SECURITY LENDING:
The Fund may lend its securities to financial institutions which the Fund
deems to be creditworthy. The loans are collateralized at all times with
cash or securities with a market value at least equal to the market value
of the securities on loan. The market value of securities loaned is
determined daily and any additional required collateral is allocated to the
Fund on the next business day. For the duration of a loan, the Fund
receives the equivalent of the interest or dividends paid by the issuer on
the securities loaned and also receives compensation from the investment of
the collateral. As with other extensions of credit, the Fund bears the risk
of delay in recovery or even loss of rights in its securities on loan
should the borrower of the securities fail financially or default on its
obligations to the Fund. In the event of borrower default, the Fund
generally has the right to use the collateral to offset losses incurred.
The Fund may incur a loss in the event it was delayed or prevented from
exercising its rights to dispose of the collateral. The Fund also bears the
risk in the event that the interest and/or dividends received on invested
collateral is not sufficient to meet the Fund's obligations due on the
loans.
The Fund loaned securities during the period ended June 30, 2005 resulting
in security lending income of $4,912. At June 30, 2005, the Fund had
securities valued at $156,079 on loan. See Schedule of Investments for
further detail on the security positions on loan and collateral held.
17
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON OPPORTUNISTIC EMERGING MARKETS DEBT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(8) DELAYED DELIVERY TRANSACTIONS:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Fund instructs its
custodian to segregate securities having value at least equal to the amount
of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may
enter into offsetting contracts for the forward sale of other securities it
owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities in themselves, and
involve a 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 the current market value of the underlying securities,
according to the procedures described under "Investment security
valuations" above.
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale
commitment is outstanding, an offsetting TBA purchase commitment
deliverable is held as "cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Fund as an 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 from the sale of the securities based upon the unit
price established at the date the commitment was entered into.
At June 30, 2005, the Fund held open delayed delivery securities. See
Schedule of Investments for further details.
(9) LINE OF CREDIT:
The Fund, and other funds in the Trust and subtrusts in the Mellon
Institutional Funds Master Portfolio Trust (the "Portfolio Trust") are
parties to a committed line of credit facility, which enables each
portfolio/fund to borrow, in the aggregate, up to $35 million. Interest is
charged to each participating portfolio/fund based on its borrowings at a
rate equal to the Federal Funds effective rate plus 1/2 of 1%. In addition,
a facility fee, computed at an annual rate of .060 of 1% committed amount,
is allocated ratably among the participating portfolios/funds at the end of
each quarter. For the period ended June 30, 2005, a facility fee of $99 was
allocated to the Fund.
During the period ended June 30, 2005, the Fund had average borrowings
outstanding of $16,538 on a total of thirteen days and incurred $20 of
interest expense.
18
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None $318
c/o Decision Resources, Inc. 11/3/1986 Decision Resources,
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None $336
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None $318
c/o Harvard University 9/13/1989 Professor of Political
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None $318
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None $0
Mellon Institutional and Chief Operating Officer of
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
19
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 Research & Management Company ("SSRM"),
4/8/57 State Street Vice President, SSRM
20
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0947SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
INVESTMENT GRADE BOND FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at http:
//melloninstitutionalfunds.com.
To view the Fund' s proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- --------------------------------------------------------------------------------
Actual $ 1,000.00 $ 1,024.50 $ 2.01
Hypothetical (5% return
per year before expenses) $ 1,000.00 $ 1,022.81 $ 2.01
- --------------
(+) Expenses are equal to the Fund's annualized expense ratio of .40%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
1
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
SUMMARY OF COMBINED RATINGS
---------------------------------------------------------------------------
PERCENTAGE OF
QUALITY BREAKDOWN INVESTMENTS
---------------------------------------------------------------------------
AAA and higher 60.2%
AA 5.9
A 12.4
BBB 21.5
-------
TOTAL 100.0%
Based on ratings from Standard & Poor's and/or Moody's Investors Services.
If a security receives split (different) ratings from multiple rating
organizations, the Fund treats the security as being rated in the higer
rating category.
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
U.S. Treasury Note 3.625% 4/30/2007 6.1%
FNMA (TBA) 5.000 7/1/2035 5.4
U.S. Treasury Note 3.375 9/15/2009 4.4
FNMA (TBA) 4.500 7/1/2020 3.2
FNMA (TBA) 5.500 7/1/2020 2.9
FNMA (TBA) 5.500 7/1/2035 2.8
U.S. Treasury Bond 6.250 5/15/2030 2.3
FNMA (TBA) 5.000 7/1/2020 2.0
U.S. Treasury Note 3.375 2/28/2007 1.5
FNMA 5.500 2/1/2033 1.3
-------
31.9%
* Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
---------------------------------------------------------------------------
Treasury/Agency 26.2%
Mortgage pass thru 27.7
Credit 30.8
ABS/CMO/CMBS 15.3
-------
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
2
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--133.9%
BONDS AND NOTES--114.2%
ASSET BACKED--21.2%
Accredited Mortgage Loan Trust 2005-1 A2A (a) 3.414% 4/25/2035 $ 106,031 $ 106,050
Accredited Mortgage Loan Trust 2005-2 A2A (a) 3.414 7/25/2035 122,681 122,643
ACE Securities Corp. 2005-HE1 A2A (a) 3.434 2/25/2035 103,215 103,222
Ameriquest Mortgage Securities Inc. 2003-8 AF3 4.370 10/25/2033 300,000 299,818
Banc of America Commercial Mortgage, Inc. 2005-2 A2 4.247 7/10/2042 200,000 200,500
Bear Stearns Asset Backed Securities, Inc. 2005-HE2 1A1 (a) 3.424 2/25/2035 126,313 126,339
Bear Stearns Asset Backed Securities, Inc. 2005-HE3 1A1 (a) 3.394 3/25/2035 87,287 87,299
Capital One Multi-Asset Execution Trust 2002-B1 B1 (a) 3.900 7/15/2008 625,000 625,420
Capital One Multi-Asset Execution Trust 2004-C1 C1 3.400 11/16/2009 260,000 256,947
Capital One Prime Auto Receivables Trust 2004-1 A3 2.020 11/15/2007 42,697 42,352
Centex Home Equity 2004-B AF2 2.375 12/25/2021 150,000 148,806
Centex Home Equity Co. LLC 2004-2 A1 (a) 3.484 1/25/2025 139,505 139,521
Chase Credit Card Master Trust 2000-3 A (a) 3.350 1/15/2008 270,000 270,072
Chase Credit Card Master Trust 2002-6 B (a) 3.570 1/15/2008 250,000 250,077
Chase Credit Card Master Trust 2002-8 A (a) 3.280 3/17/2008 215,000 215,054
Chase Funding Loan Acquisition Trust (a) 3.494 9/25/2013 18,770 18,771
Chase Manhattan Auto Owner Trust 2003-A A3 1.520 5/15/2007 481,850 479,055
Chase Manhattan Auto Owner Trust 2003-C CTFS 2.780 6/15/2010 275,000 271,357
Citibank Credit Card Issuance Trust 2001-C3 C3 6.650 5/15/2008 325,000 332,377
Citigroup Mortgage Loan Trust, Inc. 2005-OPT3 A1A (a) 3.306 7/25/2035 100,000 100,000
Countrywide Alternative Loan Trust 2005-J4 2A1B 3.434 7/25/2035 169,065 169,065
Countrywide Asset-Backed Certificates 2004-10 2AV1 (a) 3.474 9/25/2023 88,111 88,123
Countrywide Asset-Backed Certificates 2004-14 A1 (a) 3.454 6/25/2035 183,616 183,663
Countrywide Asset-Backed Certificates 2005-2 2A1 (a) 3.404 8/25/2035 131,307 131,315
Ford Credit Auto Owner Trust 2002-B A4 4.750 8/15/2006 129,079 129,312
Ford Credit Auto Owner Trust 2005-B B 4.640 4/15/2010 155,000 156,490
Fremont Home Loan Trust 2005-1 2A1 (a) 3.414 6/25/2035 150,653 150,742
Green Tree Financial Corp. 1994-7 M1 9.250 3/15/2020 125,000 133,976
Home Equity Asset Trust 2005-5 2A1 (a) 3.510 11/25/2035 225,000 225,000
Hyundai Auto Receivables Trust 2004-A B 3.460 8/15/2011 275,000 270,980
Mach One Trust 2004-1A A1 144A 3.890 5/28/2040 179,456 177,318
MBNA Credit Card Master Note Trust 2001-C3 C3 6.550 12/15/2008 225,000 230,812
Merrill Lynch Mortgage Investors, Inc. 2005-NC1 A2A (a) 3.424 10/25/2035 76,834 76,848
Merrill Lynch Mortgage Investors, Inc. 2005-WMC1 A2A (a) 3.414 9/25/2035 135,824 135,858
Morgan Stanley ABS Capital I 2005-WMC2 A2A (a) 3.394 2/25/2035 107,310 107,308
Morgan Stanley Home Equity Loans 2005-2 A2A (a) 3.404 5/25/2035 97,869 97,794
Nomura Asset Acceptance Corp. 2005-AP2 A5 (a) 4.976 5/25/2035 125,000 126,602
Nomura Asset Acceptance Corp. 2005-WF1 2A5 5.159 3/25/2035 125,000 126,968
Opteum Mortgage Acceptance Corp. 2005-1 A2 (a) 3.454 2/25/2035 82,730 82,729
Option One Mortgage Loan Trust 2004-3 A2 (a) 3.464 11/25/2034 92,853 92,860
Origen Manufactured Housing 2005-A A1 4.060 7/15/2013 237,265 237,015
Residential Asset Mortgage Products, Inc 2005-RS2 AII1 (a) 3.424 2/25/2035 76,805 76,831
Residential Asset Mortgage Products, Inc. 2003-RS11 AI2 3.047 3/25/2025 14,735 14,699
Residential Asset Mortgage Products, Inc. 2003-RS9 MI1 5.800 10/25/2033 113,000 114,506
Residential Asset Mortgage Products, Inc. 2005-RS3 AI1 (a) 3.414 3/25/2035 240,958 240,992
Residential Asset Mortgage Products, Inc., 2004-RS8 AI2 3.810 1/25/2026 315,000 313,521
The accompanying notes are an integral part of the financial statements.
3
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET BACKED (CONTINUED)
Residential Asset Securities Corp. 2004-KS10 AI1 (a) 3.484% 10/25/2013 $ 116,139 $ 116,168
Residential Asset Securities Corp.2005-EMX1 AI1 (a) 3.414 3/25/2035 130,009 130,027
Specialty Underwriting & Residential Finance (a) 3.464 10/25/2035 224,448 224,491
Specialty Underwriting & Residential Finance 2005-BC1 A1A (a) 3.424 12/25/2035 107,836 107,843
Structured Adjustable Rate Mortgage Loan 2005-8XS A1 (a) 3.414 4/25/2035 115,584 115,584
USAA Auto Owner Trust 2004-1 A3 2.060 4/15/2008 300,000 296,213
Washington Mutual 2003-AR10 A5 4.078 10/25/2033 325,000 322,344
Washington Mutual 2004-AR7 A6 3.955 7/25/2034 300,000 296,454
Washington Mutual 2004-AR9 A7 4.211 8/25/2034 210,000 209,760
Washington Mutual 2005-AR4 A4B 4.684 4/25/2035 250,000 250,352
WFS Financial Owner Trust 2004-3 B 3.510 2/17/2012 129,632 128,058
WFS Financial Owner Trust 2004-1 D 3.170 8/22/2011 192,398 190,775
WFS Financial Owner Trust 2003-3 A4 3.250 5/20/2011 275,000 272,112
WFS Financial Owner Trust 2004-4 C 3.210 5/17/2012 209,276 206,892
WFS Financial Owner Trust 2005-2 B 4.570 11/19/2012 250,000 253,021
Whole Auto Loan Trust 2003-1 C 3.130 3/15/2010 132,470 131,337
------------
Total Asset Backed (Cost $11,389,993) 11,338,438
------------
COLLATERALIZED MORTGAGE OBLIGATIONS--7.8%
Crown Castle Towers LLC, 2005-1A D 144A 5.612 6/15/2035 45,000 45,181
Fannie Mae Grantor Trust 2001-T6 B 6.088 5/25/2011 340,000 371,556
GNMA 1.588 3/16/2006 200,000 199,000
GNMA 3.328 3/16/2019 100,000 100,000
GNMA 2003-48 AC 2.712 2/16/2020 231,676 224,483
GNMA 2003-72 A 3.206 4/16/2018 130,966 128,289
GNMA 2003-88 AC 2.914 6/16/2018 134,739 130,860
GNMA 2003-96 B 3.607 8/16/2018 310,000 304,793
GNMA 2004-12A 3.110 1/16/2019 276,027 267,722
GNMA 2004-25 AC 3.377 1/16/2023 275,000 268,344
GNMA 2004-43 A 2.822 12/16/2019 278,150 269,124
GNMA 2004-51 A 4.145 2/16/2018 261,782 260,610
GNMA 2004-57 A 3.022 1/16/2019 143,450 139,512
GNMA 2004-67 A 3.648 9/16/2017 287,104 283,119
GNMA 2004-77 A 3.402 3/16/2020 240,125 234,893
GNMA 2004-97 AB 3.084 4/16/2022 269,294 261,040
GNMA 2005-12 A 4.044 5/16/2021 90,374 89,799
GNMA 2005-14 A 4.130 2/16/2027 297,205 295,051
GNMA 2005-32 B 4.385 8/16/2030 150,000 150,056
GNR 2005-29 A 4.016 7/16/2027 122,597 121,305
Structured Asset Mortgage Investments, Inc. 1998-2 B 6.750 4/30/2030 2,566 2,552
------------
Total Collateralized Mortgage Obligations (Cost $4,224,724) 4,147,289
------------
CORPORATE--25.8%
BANKING--3.6%
Amsouth Bank NA 4.850 4/1/2013 125,000 127,331
CBA Capital Trust I 144A 5.805 6/30/2015 125,000 132,429
City National Corp. 5.125 2/15/2013 150,000 154,052
JPMorgan Chase & Co 5.125 9/15/2014 290,000 296,656
Rabobank Capital Funding Trust III 144A 5.254 10/15/2049 170,000 174,376
Suntrust Capital II 7.900 6/15/2027 265,000 290,225
The accompanying notes are an integral part of the financial statements.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
BANKING (CONTINUED)
US Bank NA (a) 3.258% 9/29/2006 $ 300,000 $ 299,978
Wells Fargo & Co.(*) 6.375 8/1/2011 135,000 149,273
Zions Bancorporation 2.700 5/1/2006 145,000 143,508
Zions Bancorporation 6.000 9/15/2015 160,000 174,457
------------
1,942,285
------------
BASIC MATERIALS--1.7%
Cabot Corp. 144A 5.250 9/1/2013 165,000 168,238
Celulosa Arauco Constitu 144A 5.625 4/20/2015 85,000 86,795
ICI Wilmington, Inc. 4.375 12/1/2008 40,000 39,696
International Paper Co. 5.300 4/1/2015 185,000 185,542
Lubrizol Corp. 6.500 10/1/2034 200,000 220,787
Westvaco Corp. 7.950 2/15/2031 85,000 109,213
Weyerhaeuser Co. 7.375 3/15/2032 60,000 70,751
------------
881,022
------------
COMMUNICATIONS--2.8%
Alltel Corp. 4.656 5/17/2007 65,000 65,510
Clear Channel Communication, Inc. 6.000 11/1/2006 75,000 76,165
Clear Channel Communication, Inc. 5.000 3/15/2012 125,000 118,222
Comcast Corp. 5.500 3/15/2011 155,000 161,716
New Cingular Wireless Services, Inc. 8.750 3/1/2031 55,000 77,090
News America Holdings 7.700 10/30/2025 175,000 211,822
SBC Communications, Inc. 5.625 6/15/2016 105,000 110,711
Sprint Capital Corp. 8.750 3/15/2032 210,000 292,133
Time Warner, Inc. 6.750 4/15/2011 125,000 138,523
Verizon Global Funding Corp. 6.875 6/15/2012 145,000 164,556
Verizon Global Funding Corp. 7.750 6/15/2032 70,000 90,814
------------
1,507,262
------------
CONSUMER CYCLICAL--0.3%
DaimlerChrysler NA Holding Corp. 8.500 1/18/2031 40,000 50,676
Heinz (H.J.) Co. 144A 6.189 12/1/2005 130,000 131,223
------------
181,899
------------
CONSUMER NONCYCLICAL--1.4%
Aramark Services, Inc. 6.375 2/15/2008 70,000 73,355
Aramark Services, Inc. 7.000 7/15/2006 95,000 97,150
Kroger Co. 8.050 2/1/2010 165,000 187,847
RR Donnelley & Sons Co. 4.950 4/1/2014 225,000 219,993
Safeway, Inc. 7.250 2/1/2031 90,000 104,217
Wyeth 5.500 2/1/2014 70,000 73,759
------------
756,321
------------
ENERGY--1.7%
Amerada Hess Corp. 6.650 8/15/2011 60,000 66,025
Amerada Hess Corp. 7.300 8/15/2031 105,000 126,690
Amoco Co. 6.500 8/1/2007 225,000 235,746
Chevron Phillips 7.000 3/15/2011 170,000 190,228
Enbridge Energy Partners 6.300 12/15/2034 65,000 68,712
Halliburton Co. 5.500 10/15/2010 65,000 68,167
XTO Energy, Inc. 7.500 4/15/2012 130,000 149,519
------------
905,087
------------
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL--8.4%
Archstone-Smith Operating Trust REIT 5.000% 8/15/2007 $ 75,000 $ 76,264
Archstone-Smith Operating Trust REIT 5.250 5/1/2015 25,000 25,518
Arden Realty LP 5.250 3/1/2015 75,000 75,502
Bear Stearns Cos., Inc. 4.500 10/28/2010 95,000 95,505
Boeing Capital Corp. 7.375 9/27/2010 190,000 217,338
Boston Properties, Inc. 6.250 1/15/2013 170,000 185,229
Caterpillar Financial Service Corp. 3.100 5/15/2007 155,000 152,345
Countrywide Home Loans, Inc. 4.000 3/22/2011 275,000 265,217
Duke Realty LP 3.500 11/1/2007 150,000 147,166
Duke Realty LP 7.750 11/15/2009 150,000 168,405
EOP Operating LP 7.000 7/15/2011 145,000 160,786
Erac USA Finance Co. 144A 7.950 12/15/2009 130,000 147,144
ERP Operating LP 4.750 6/15/2009 60,000 60,538
ERP Operating LP 6.625 3/15/2012 40,000 44,561
Glencore Funding LLC 144A 6.000 4/15/2014 170,000 163,012
Goldman Sachs Group, Inc. 6.875 1/15/2011 280,000 312,209
Healthcare Realty Trust, Inc. 8.125 5/1/2011 135,000 154,569
HSBC Finance Corp. 4.750 4/15/2010 80,000 81,136
International Lease Finance Corp. 4.750 1/13/2012 100,000 99,663
Jefferies Group, Inc. 7.500 8/15/2007 195,000 207,589
Jefferies Group, Inc. 5.500 3/15/2016 25,000 25,294
Mack-Cali Realty L.P. REIT 5.050 4/15/2010 45,000 45,560
Mack-Cali Realty L.P. REIT 5.125 1/15/2015 50,000 49,819
MassMutual Global Funding II 144A 3.800 4/15/2009 100,000 98,526
Merrill Lynch & Co. 4.125 9/10/2009 120,000 119,491
Morgan Stanley 4.750 4/1/2014 265,000 261,070
Nationwide Mutual Insurance Co. 144A 8.250 12/1/2031 115,000 149,617
Nationwide Mutual Insurance Co. 144A 6.600 4/15/2034 60,000 62,616
Principal Life Income Funding Trusts (a) 3.151 10/14/2005 210,000 209,997
Prudential Financial, Inc. 4.104 11/15/2006 85,000 85,236
Regions Financial Corp. 6.375 5/15/2012 90,000 100,992
Residential Capital Corp. 144A 6.375 6/30/2010 130,000 130,626
Simon Property Group LP 4.875 8/15/2010 115,000 116,204
SLM Corp. 5.000 4/15/2015 65,000 66,515
Willis Group N America 5.625 7/15/2015 115,000 115,739
------------
4,476,998
------------
INDUSTRIAL--1.5%
ICI Wilmington, Inc. 5.625 12/1/2013 165,000 171,194
Raytheon Co. 5.500 11/15/2012 35,000 36,824
Republic Services, Inc. 144A 6.086 3/15/2035 150,000 158,400
Ryder System, Inc. 5.000 6/15/2012 75,000 75,061
Sealed Air Corp. 144A 5.625 7/15/2013 80,000 82,206
Tyco International Group SA 6.000 11/15/2013 115,000 125,062
Waste Management, Inc. 6.875 5/15/2009 70,000 75,785
Waste Management, Inc. 7.375 8/1/2010 25,000 27,956
Waste Management, Inc. 7.000 7/15/2028 50,000 57,992
------------
810,480
------------
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES--1.0%
Harrahs Operating Co., Inc. 8.000% 2/1/2011 $ 90,000 $ 103,198
May Dept Stores 6.650 7/15/2024 155,000 170,618
Metlife, Inc. 5.000 6/15/2015 260,000 263,866
------------
537,682
------------
TRANSPORTATION--0.6%
Fedex Corp. 2.650 4/1/2007 115,000 112,004
Norfolk Southern Corp. 6.750 2/15/2011 55,000 61,503
Union Pacific Corp. 3.875 2/15/2009 150,000 147,639
------------
321,146
------------
UTILITIES--2.8%
Appalachian Power Co. 5.950 5/15/2033 85,000 91,444
Assurant, Inc. 6.750 2/15/2034 60,000 68,554
Dominion Resources, Inc. 7.195 9/15/2014 155,000 180,010
FirstEnergy Corp. 6.450 11/15/2011 70,000 76,484
KeySpan Corp. 4.650 4/1/2013 95,000 95,644
Niagara Mohawk Power Corp. 7.750 10/1/2008 60,000 65,923
Nisource Finance Corp. 7.875 11/15/2010 110,000 126,398
Oneok, Inc. 5.200 6/15/2015 105,000 106,511
Pacific Gas & Electric Co. 3.600 3/1/2009 65,000 63,492
Pepco Holdings, Inc. 5.500 8/15/2007 125,000 127,772
Public Service Co. of Colorado 4.375 10/1/2008 125,000 125,393
Southern California Edison Co. (a) 3.440 1/13/2006 200,000 200,248
Wisconsin Electric Power 5.625 5/15/2033 130,000 140,103
------------
1,467,976
------------
Total Corporate (Cost $13,567,336) 13,788,158
------------
MUNICIPAL BONDS--0.4%
Sacramento County California Pension Funding (Cost $234,010) (b) 0.000 7/10/2030 250,000 240,235
------------
SOVEREIGN BONDS--2.1%
Republic of South Africa 9.125 5/19/2009 175,000 203,219
Russian Federation 12.750 6/24/2028 155,000 280,550
Russian Federation 144A 10.000 6/26/2007 230,000 253,575
United Mexican States 6.375 1/16/2013 175,000 187,425
United Mexican States(*) 6.625 3/3/2015 200,000 219,700
------------
Total Sovereign Bonds (Cost $1,105,176) 1,144,469
------------
YANKEE BONDS--3.4%
Amvescap PLC 5.375 2/27/2013 155,000 159,474
British Sky Broadcasting PLC 6.875 2/23/2009 125,000 134,478
National Westminster Bank PLC 7.750 10/16/2007 345,000 369,271
Chuo Mitsui Trust & Banking 144A (a) 5.506 2/15/2049 100,000 98,243
Deutsche Telekom International Finance BV 8.750 6/15/2030 215,000 291,105
Potash Corp. of Saskatchewan 4.875 3/1/2013 165,000 166,680
French Telecom 8.500 3/1/2011 125,000 145,059
Northern Rock PLC 144A 5.600 4/30/2014 90,000 93,400
Pearson Dollar Finance PLC 144A(*) 4.700 6/1/2009 90,000 90,308
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE BONDS (CONTINUED)
Petro-Canada 5.000% 11/15/2014 $ 130,000 $ 131,211
St. George Bank Ltd. 144A 5.300 10/15/2015 140,000 146,541
------------
Total Yankee Bonds (Cost $1,773,101) 1,825,770
------------
PASS THRU SECURITIES--37.1%
AGENCY PASS THRU--29.6%
FHLMC Gold 4.500 10/1/2009 248,324 249,533
FHLMC Gold 4.500 4/1/2010 249,192 250,423
FHLMC Gold 6.000 5/1/2017 225,928 233,620
FNMA 4.000 5/1/2010 287,598 284,211
FNMA 3.530 7/1/2010 169,149 163,506
FNMA 5.000 10/1/2011 385,728 389,758
FNMA 4.060 6/1/2013 125,000 119,715
FNMA 6.500 12/1/2015 60,953 63,476
FNMA 6.000 4/1/2017 482,032 498,564
FNMA 6.000 6/1/2017 112,343 116,193
FNMA 6.000 7/1/2017 48,599 50,266
FNMA 5.500 11/1/2024 485,899 495,860
FNMA 5.500 12/1/2024 118,035 120,455
FNMA 5.500 1/1/2025 359,246 366,610
FNMA 7.500 2/1/2029 14,354 15,377
FNMA 7.500 9/1/2029 1,528 1,633
FNMA 7.000 11/1/2031 4,108 4,340
FNMA 7.000 5/1/2032 142,031 149,821
FNMA 7.000 6/1/2032 241,912 255,179
FNMA 5.500 2/1/2033 670,665 680,647
FNMA 5.500 10/1/2033 666,512 676,241
FNMA 5.500 1/1/2034 149,726 151,912
FNMA 5.500 1/1/2034 225,184 228,471
FNMA (TBA)(#) 4.500 7/1/2020 1,725,000 1,716,913
FNMA (TBA)(#) 5.000 7/1/2020 1,075,000 1,086,758
FNMA (TBA)(#) 5.500 7/1/2020 1,500,000 1,539,375
FNMA (TBA)(#) 5.000 7/1/2035 2,900,000 2,900,000
FNMA (TBA)(#) 5.500 7/1/2035 1,475,000 1,494,821
FNMA (TBA)(#) 6.000 7/1/2035 75,000 76,875
FNMA (TBA)(#) 6.000 7/1/2035 525,000 542,719
FNMA Grantor Trust 2002-T11 A 4.769 4/25/2012 153,937 156,794
GNMA 1.698 11/16/2006 98,806 98,604
GNMA 2.946 3/16/2019 300,000 289,529
GNMA 3.360 8/16/2022 293,211 285,691
GNMA 8.000 8/15/2025 13,399 14,498
GNMA 8.000 11/15/2025 22,731 24,597
GNMA 8.000 5/15/2026 6,471 7,002
GNMA 8.000 11/15/2026 11,707 12,667
GNMA 6.500 7/15/2032 17,238 18,022
------------
15,830,676
------------
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
NON-AGENCY PASS THRU--7.5%
Bear Stearns Commercial Mortgage Securities 2003-T12 A3 4.240% 8/13/2039 $ 190,000 $ 188,777
Calwest Industrial Trust 2002-CALW A 144A 6.127 2/15/2017 225,000 246,166
Capco America Securitization Corp. 1998-D7 A1B 6.260 10/15/2030 130,000 137,933
Chase Commercial Mortgage Securities Corp. 1997-1 D 7.370 6/19/2029 175,000 184,412
Chase Commercial Mortgage Securities Corp. 1997-1 E 7.370 6/19/2029 300,000 316,975
Chase Commercial Mortgage Securities Corp. 1997-2 C 6.600 12/19/2029 75,000 78,845
DLJ Commercial Mortgage Corp. 1998-CF2 A1B 6.240 11/12/2031 180,000 190,705
DLJ Commercial Mortgage Corp. 1998-CF2 B1 7.282 11/12/2031 215,000 231,850
LB Commercial Conduit Mortgage Trust 1999-C1 B 6.930 6/15/2031 120,000 131,149
Lehman Brothers 2004-LLFA A1 144A (a) 3.350 10/15/2017 518,419 518,326
Morgan Stanley Capital 1998-HF1 E 7.542 3/15/2030 330,000 354,361
Morgan Stanley Capital I 1998-HF1 C 6.750 3/15/2030 180,000 191,230
Morgan Stanley Capital I 1999-CAM1 A4 7.020 3/15/2032 165,000 180,005
Morgan Stanley Dean Witter Capital I 2001-PPM A2 6.400 2/15/2031 187,420 197,102
Morgan Stanley Dean Witter Capital I 2001-PPM A3 6.540 2/15/2031 149,116 157,299
Mortgage Capital Funding, Inc. 1997-MC2 C 6.881 11/20/2027 310,000 327,232
Mortgage Capital Funding, Inc. 1997-MC2 D 7.117 11/20/2027 350,000 371,617
------------
4,003,984
------------
Total Pass Thru Securities (Cost $19,792,271) 19,834,660
------------
US TREASURY OBLIGATIONS--16.4%
U.S. Treasury Inflation-Indexed Bond(*) 0.875 4/15/2010 564,839 550,894
U.S. Treasury Note(*) 3.375 2/28/2007 810,000 806,456
U.S. Treasury Note(*) 3.625 4/30/2007 3,285,000 3,283,203
U.S. Treasury Note(*) 3.375 9/15/2009 2,410,000 2,377,711
U.S. Treasury Note 3.000 7/15/2012 481,628 529,000
U.S. Treasury Bond(*) 6.250 5/15/2030 927,001 1,207,452
------------
Total US Treasury Obligations (Cost $8,682,328) 8,754,716
------------
TOTAL BONDS AND NOTES ( Cost $60,768,939) 61,073,735
============
CONTRACT
PURCHASED OPTIONS--0.0% SIZE
--------
U.S. Treasury Note 4.125% Put, Strike Price 99.578, 8/18/05 5,250 1,497
U.S. Treasury Note 4.125% Call, Strike Price 101.328, 8/30/05 5,250 5,213
U.S. Treasury Note 4.00% Call, Strike Price 98.453, 8/1/05 5,250 10,469
------------
TOTAL PURCHASED OPTIONS (Cost $18,457) 17,179
------------
The accompanying notes are an integral part of the financial statements.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS--1.9%
U.S. GOVERNMENT--1.8%
FNMA Discount Note(+) 3.070% 7/14/2005 $ 400,000 $ 399,570
FNMA Discount Note(+) 2.000 7/19/2005 550,000 549,376
------------
948,946
------------
U.S. TREASURY--0.1%
Treasury Bill((+)!) 2.890 9/8/2005 50,000 49,713
------------
Total Short Term Investments--(Cost $998,668) 998,659
------------
INVESTMENT OF CASH COLLATERAL--17.8% SHARES
---------
BlackRock Cash Strategies L.L.C. (**) (Cost $9,486,024) 9,486,024 9,486,024
------------
TOTAL UNAFFILIATED INVESTMENTS (Cost $71,272,088) 71,575,597
------------
AFFILIATED INVESTMENTS--1.8%
Dreyfus Institutional Preferred Plus Money Market Fund(+)(+) (Cost $944,205)
944,205 944,205
------------
TOTAL INVESTMENTS--135.7% (COST $72,216,293) 72,519,802
LIABILITIES IN EXCESS OF OTHER ASSETS--(35.7%)
(19,060,224)
------------
NET ASSETS--100.0%
$ 53,459,578
============
NOTES TO SCHEDULE OF INVESTMENTS
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
FHLMC-Federal Home Loan Mortgage Company
FNMA-Federal National Mortgage Association
GNMA-Government National Mortgage Association
NCL-Non-call
REIT-Real Estate Investment Trust
TBA-To Be Announced
(a) Variable Rate Security; rate indicated as of 6/30/05.
(b) Zero coupon security.
(+) Rate noted is yield to Maturity.
(*) Security, or a portion of thereof, was on loan at 6/30/05.
(#) Delayed Delivery contract.
(!) Denotes all of part of security pledged as collateral.
(++) Affiliated institutional money market fund.
(**) Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
The accompanying notes are an integral part of the financial statements.
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Merrill Lynch, dated 5/11/2005,
to receive the notional amount multipled by 4.1725%
and to pay the notional amount multiplied by
the 3 month LIBOR. 5/13/2008 2,627,000 USD $ 13,992
Agreement with Merrill Lynch, dated 5/11/2005,
to pay the notional amount multipled by 4.6425%
and to receive the notional amount multiplied
by the 3 month LIBOR. 5/13/2015 2,627,000 USD (71,759)
Agreement with Bear Stearns, dated 4/18/2005 to pay
0.37% per year times the notional amount. The Fund
receives payment of the notional amount times the difference
between the par value and the then-market value of The St. Paul
Travelers Companies, Inc., 5.00% due 3/15/2013, only upon
a credit event by The St. Paul Travelers Companies, Inc. 6/20/2010 185,000 USD 138
Agreement with Deutsche Bank, dated 5/3/2005
to pay 0.31% per year times the notional amount. The Fund
receives payment of the notional amount times the difference
between the par value and the then-market value of The St. Paul
Travelers Companies, Inc., 8.125% due 4/15/2010, only upon
a credit event by The St. Paul Travelers Companies, Inc. 6/20/2010 211,000 USD 470
Agreement with Deutsche Bank, dated 4/26/2005 to pay
0.30% per year times the notional amount. The Fund
receives payment of the notional amount times the difference
between the par value and the then-market value of The St. Paul
Travelers Companies, Inc., 8.125%, due 4/15/2010, only upon
a credit event by The St. Paul Travelers Companies, Inc. 6/20/2010 124,000 USD 433
Agreement with Bear Stearns, dated 4/18/2005 to
receive 0.33% per year times the notional amount.
The Fund makes payment of the notional
amount times the difference between the par value and
the then-market value of Berkshire Hathaway, Inc.,
4.625% due 10/15/2013, only upon a credit
event by Berkshire Hathaway, Inc. 6/20/2010 185,000 USD 109
Agreement with Bear Stearns, dated 4/26/2005
to receive 0.27% per year times the notional amount.
The Fund makes payment of the notional amount
times the difference between the par value and the
then-market value of Berkshire Hathaway, Inc.,
4.625% due 10/15/2013, only upon a credit event
by Berkshire Hathaway, Inc. 6/20/2010 124,000 USD (265)
Agreement with Deutsche Bank, dated 5/3/2005
to receive 0.28% per year times the notional amount.
The Fund makes payment of the notional amount
times the difference between the par value and the
then-market value of Berkshire Hathaway, Inc.,
4.625% due 10/15/2013, only upon a credit event
by Berkshire Hathaway, Inc. 6/20/2010 211,000 USD (409)
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Morgan Stanley, dated 5/5/2005
to receive 0.78% per year times the notional amount.
The Fund makes payment of the notional amount times
the difference between the par value and the then-market
value of MBIA, Inc., 6.625% due 10/01/2028,
only upon a credit event by MBIA, Inc. 6/20/2010 250,000 USD $ (795)
Agreement with Citigroup, dated 2/9/2005
to receive 0.53% per year times the notional amount.
The Fund makes payment of the notional amount
times the difference between the par value and
the then-market value of Washington Mutual, Inc.,
4.000% due 1/15/2009, only upon a credit event
by Washington Mutual, Inc. 3/20/2015 270,000 USD (5,488)
--------
Total Swap Value ($63,574)
========
At June 30, 2005, the Fund held the following futures contracts:
UNDERLYING FACE UNREALIZED
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE GAIN
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 5 Year Treasury Note (8 Contracts) Long 9/30/2005 $ 867,750 $ 3,356
U.S. Long Bond CBT (15 Contracts) Long 9/30/2005 1,743,164 38,050
--------
$ 41,406
========
During the period ended June 30, 2005, the Portfolio entered into the following
option transactions:
WRITTEN PUT OPTION TRANSACTIONS NUMBER OF CONTRACTS PREMIUMS
- ---------------------------------------------------------------------------------------------
Outstanding, beginning of period 1 $ 7,607
Options written 2 14,118
Options expired (1) (7,607)
Options closed (1) (7,884)
--- --------
Outstanding, end of period 1 $ 6,234
=== ========
SECURITY CONTRACT VALUE
- ---------------------------------------------------------------------------------------------
US Treasury Note 4.125% Put, Strike Price 97.9375,
8/18/2005 (premiums received $6,234) 1 $ 861
=== ========
WRITTEN CALL OPTION TRANSACTIONS NUMBER OF CONTRACTS PREMIUMS
- ---------------------------------------------------------------------------------------------
Outstanding, beginning of period 1 $ 3,609
Options written 3 17,882
Options expired (1) (3,609)
Options closed (1) (5,660)
--- --------
Outstanding, end of period 2 $ 12,222
=== ========
SECURITY CONTRACT VALUE
- ---------------------------------------------------------------------------------------------
US Treasury Note 4.00% Call, Strike Price 100,
8/01/2005 1 $ 9,471
US Treasury Note 4.125% Call, Strike Price 102.859,
8/30/2005 1 4,492
--- --------
Total (premiums received $12,222) 2 $ 13,963
=== ========
12
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $9,291,171 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $71,272,088) $71,575,597
Affiliated issuers, at value (Note 1A) (cost $944,205) 944,205
Receivable for securities sold 1,742,889
Interest receivable 385,848
Receivable for Fund shares sold 45,001
Swap contracts, at value (Note 6) 15,142
Variation margin receivable 10,156
Prepaid expenses 11,585
-----------
Total assets 74,730,423
LIABILITIES
Bank loan payable (Note 9)
Payable for investments purchased $11,648,615
Collateral for securities on loan (Note 7) 9,486,024
Options written, at value (premium received $18,456) (Note 6) 14,824
Swap contracts, at value (Note 6) 78,716
Accrued professional fees 21,205
Accrued accounting, administration, custody and transfer agent fees (Note 2) 15,790
Accrued trustees' fees and expenses (Note 2) 4,457
Accrued expenses and other liabilities 1,214
-----------
Total liabilities 21,270,845
-----------
NET ASSETS $53,459,578
===========
NET ASSETS CONSIST OF:
Paid-in capital $52,853,647
Accumulated net realized gain 303,396
Net investment income 17,561
Net unrealized appreciation 284,974
-----------
TOTAL NET ASSETS $53,459,578
===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 2,663,446
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 20.07
===========
The accompanying notes are an integral part of the financial statements.
13
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $1,143,574
Income from affiliated investment (Note 1F) 9,077
Security lending income (Note 7) 3,669
----------
Total investment income 1,156,320
EXPENSES
Investment advisory fee (Note 2) $ 105,719
Accounting, administration, custody and transfer agent fees (Note 2) 57,054
Professional fees 25,015
Registration fees 7,054
Trustees' fees and expenses (Note 2) 5,960
Insurance expense 5,207
Miscellaneous 2,547
----------
Total expenses 208,556
DEDUCT:
Waiver of investment advisory fee (Note 2) (102,838)
----------
Net expenses 105,718
----------
Net investment income 1,050,602
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 198,760
Futures contracts 114,775
Written options transactions 10,323
Swap transactions (10,922)
----------
Net realized gain (loss) 312,936
Change in unrealized appreciation (depreciation) on:
Investment securities (74,632)
Futures contracts 34,693
Written options transactions (722)
Swaps transactions (63,361)
----------
Change in unrealized appreciation (depreciation) (104,022)
----------
Net realized and unrealized gain (loss) on investments 208,914
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,259,516
==========
The accompanying notes are an integral part of the financial statements.
14
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 1,050,602 $ 2,186,333
Net realized gain (loss) 312,936 1,276,348
Change in net unrealized (depreciation) (104,022) (709,054)
------------ ------------
Net increase (decrease) in net assets from operations 1,259,516 2,753,627
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1C)
From net investment income (1,059,462) (2,343,659)
From net realized gains on investments (66,482) (1,026,990)
------------ ------------
Total distributions to shareholders (1,125,944) (3,370,649)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 4,534,861 2,823,448
Value of shares issued to shareholders in reinvestment of distributions 392,264 1,632,872
Cost of shares redeemed (3,202,018) (14,862,788)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions 1,725,107 (10,406,468)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 1,858,679 (11,023,490)
NET ASSETS
At beginning of period 51,600,899 62,624,389
------------ ------------
At end of period (including undistributed net
investment income of $17,561 and $26,421) $ 53,459,578 $ 51,600,899
============ ============
The accompanying notes are an integral part of the financial statements.
15
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE JUNE 1, 2000
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, (COMMENCEMENT
JUNE 30, 2005 -------------------------------------------------- OF OPERATIONS) TO
(UNAUDITED) 2004 2003 2002 2001(A) DECEMBER 31, 2001
----------- -------- -------- -------- -------- -----------------
NET ASSET VALUE, BEGINNING OF THE YEAR $ 20.01 $ 20.31 $ 20.80 $ 20.41 $ 20.65 $ 20.00
-------- -------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income(*)(b) 0.40 0.74 0.69 0.89 1.27 0.86
Net realized and unrealized gain
(loss) on investments 0.09 0.17 0.09 0.79 0.59 0.89
-------- -------- -------- -------- -------- --------
Total from investment operations 0.49 0.91 0.78 1.68 1.86 1.75
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.40) (0.80) (0.78) (0.91) (1.30) (0.88)
From net realized gain on investments (0.03) (0.41) (0.49) (0.38) (0.80) (0.22)
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.43) (1.21) (1.27) (1.29) (2.10) (1.10)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 20.07 $ 20.01 $ 20.31 $ 20.80 $ 20.41 $ 20.65
======== ======== ======== ======== ======== ========
TOTAL RETURN (C) 2.45%(d) 4.53% 3.81% 8.44% 9.21% 8.87%(d)
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) (*) 0.40%(e) 0.40% 0.40% 0.40% 0.21% 0.00%(e)
Net Investment Income (to average
daily net assets) (*) 3.97%(e) 3.59% 3.30% 4.30% 6.00% 7.21%(e)
Portfolio Turnover 57%(d) 127% 457% 391% 357% 136%(d)
Net Assets, End of Year (000's omitted) $ 53,460 $ 51,601 $ 62,624 $ 84,101 $ 63,564 $ 57,447
- -------
(*) For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Net investment income (b) $ 0.36 $ 0.67 $ 0.63 $ 0.83 $ 1.17 $ 0.78
Ratios (to average daily net assets):
Expenses 0.79%(e) 0.75% 0.70% 0.69% 0.68% 0.72%(e)
Net investment income 3.58%(e) 3.24% 3.00% 4.01% 5.53% 6.48%(e)
(a) The Fund has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease net investment income per share by
$0.004, increase net realized and unrealized gains and losses per share by
$0.004 and decrease the ratio of net investment income to average net
assets from 6.02% to 6.00%. Per share data and ratios/supplemental data for
the periods prior to January 1, 2001 have not been restated to reflect this
change in presentation.
(b) Calculated based on average shares outstanding.
(c) Total return would have been lower in the absence of expense waivers
(d) Not annualized.
(e) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
16
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Investment Grade Bond Fund (the "Fund") is a separate
diversified investment series of the Trust.
The objective of the Fund is to maximize total return, consistent with
preserving principal and liquidity, primarily through the generation of
current income and, to a lesser extent, capital appreciation. The Fund
seeks to achieve its objective by investing, under normal circumstances, at
least 80% of net assets in investment grade fixed income securities
including, but not limited to, government, agency, corporate and mortgage
and asset-backed issues.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are primarily traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the Fund
acquires a short-term instrument with more than sixty days remaining to its
maturity, it is valued at current market value until the sixtieth day prior
to maturity and will then be valued at amortized value based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of coupon interest accrued, adjusted for
accretion of discount or amortization of premium using the
yield-to-maturity method on long-term debt securities and short-term
securities with greater than sixty days to maturity. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis
C. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income and distributions from capital gains,
if any, are reinvested in additional shares of the Fund unless the
shareholder elects to receive them in cash. Income and capital gain
distributions are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences, which may result in distribution reclassifications, are
primarily due to differing treatments for losses deferred due to wash
sales, amortization and/or accretion of premiums and discounts on certain
securities and the timing of recognition of gains and losses on futures
contracts.
Permanent book and tax basis differences will result in reclassifications
among undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments may include temporary
book and tax basis differences which will reverse in a subsequent period.
Any taxable income or gain remaining at fiscal year end is distributed in
the following year.
D. EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
17
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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F. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon Asset Management
Company LLC Standish Mellon for overall investment advisory, administrative
services, and general office facilities, is paid monthly at the annual rate
of 0.40% of the Fund's average daily net assets. Standish Mellon
voluntarily agreed to limit total Fund operating expenses (excluding
brokerage commissions, taxes and extraordinary expenses) to 0.40% of the
Fund's average daily net assets for the period ended June 30, 2005.
Pursuant to this agreement, for the period ended June 30, 2005, Standish
Mellon collectively and voluntarily waived a portion of its investment
advisory fee in the amount of $102,838. This agreement is voluntary and
temporary and may be discontinued or revised by Standish Mellon at any
time.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$5,935 during the period ended June 30, 2005.
The Fund has contracted Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide custody, fund administration and fund accounting
services for the Fund. For these services the Fund pays Mellon Bank a fixed
fee plus asset and transaction based fees, as well as, out-of-pocket
expenses. Pursuant to this agreement the Fund paid $54,464 during the
period ended June 30, 2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 7 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Fund for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust will pay
a portion of the salary of the Trust's Chief Compliance Officer. The Trust
pays each Trustee who is not a director, officer or employee of Standish
Mellon or its affiliates an annual fee and a per meeting fee as well as
reimbursement for travel and out of pocket expenses. In addition, the Trust
pays the legal fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, excluding short-term
securities, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
----------- -----------
U.S. Government Securities $31,002,600 $22,331,173
=========== ===========
Investments (non-U.S.
Government Securities) $11,481,124 $12,455,488
=========== ===========
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30,2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 225,158 137,236
Shares issued to shareholders
reinvestment of distributions declared 19,713 81,343
Shares redeemed (159,791) (723,366)
---------- ----------
Net increase (decrease) 85,080 (504,787)
========== ==========
18
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, three shareholders of record held approximately 89% of
the total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
A significant portion of the Fund's shares represent investments by
fiduciary accounts over which Standish Mellon and its affiliates have
either sole or joint investment discretion.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
The tax basis components of distributable earnings and the federal tax cost
as of June 30, 2005, was as follows:
Aggregate cost $ 72,216,293
============
Unrealized appreciation $ 597,480
Unrealized depreciation (293,971)
============
Net unrealized appreciation (depreciation) $ 303,509
============
(6) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Fund's Prospectus and Statement of Additional Information.
The Fund may trade the following instruments with off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Fund's exposure to the underlying instrument. Buying puts and
writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and written
by the Fund, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying face amount at value of any
open purchased options is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contract or
if the counterparty does not perform under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Fund is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of
an option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Fund held option positions. See Schedule of
Investments for further details.
19
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
INTEREST RATE FLOORS
Interest rate floors purchased by the Fund entitle the Fund to receive
payments on a notional principal amount from the party selling such floor
to the extent that a specified index falls below a predetermined interest
rate amount. Credit and market risk exist with respect to these
instruments. If forecasts of interest rates and other market factors are
incorrect, investment performance will diminish compared to what
performance would have been if these investment techniques were not used.
Even if the forecasts are correct, there are risks that the positions may
correlate imperfectly with the asset or liability being hedged, a liquid
secondary market may not always exist, or counterparty to a transaction may
not perform. The Fund expects to enter these transactions primarily for
hedging purposes including, but not limited to, preserving a return or
spread on a particular investment or portion of its portfolio, protecting
against interest rate fluctuations, as a duration management technique or
protecting against an increase in the price of securities the Fund
anticipates purchasing at a later date. Interest rate floors are
marked-to-market daily based on quotations from market makers and the
change, if any, is recorded as unrealized appreciation or depreciation in
the Statement of Operations. Realized gains or losses from these agreements
are disclosed in the Statement of Operations.
At June 30, 2005, the Fund did not hold any interest rate floor
transactions.
FUTURES CONTRACTS
The Fund may enter into financial futures contracts for the delayed sale or
delivery of securities or contracts based on financial indices at a fixed
price on a future date. Pursuant to the margin requirements, the Fund
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Fund each day, depending on the daily fluctuations in the value of
the underlying security, and are recorded for financial statement purposes
as unrealized gains or losses by the Fund. There are several risks in
connection with the use of futures contracts as a hedging device. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments or indices, which may not correlate with
changes in the value of hedged investments. Buying futures tends to
increase the Fund's exposure to the underlying instrument, while selling
futures tends to decrease the Fund's exposure to the underlying instrument
or hedge other Fund investments. In addition, there is the risk that the
Fund may not be able to enter into a closing transaction because of an
illiquid secondary market. Losses may arise if there is an illiquid
secondary market or if the counterparties do not perform under the
contract's terms. The Fund enters into financial futures transactions
primarily to manage its exposure to certain markets and to changes in
securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005, the Fund held futures contracts. At June 30, 2005, the
Fund had segregated cash and /or securities to cover margin requirements on
open future contracts. See Schedule of Investments for further details.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate and credit default swap
agreements to manage its exposure to interest rates and credit risk.
Interest rate swap agreements involve the exchange by the Fund with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. In a credit default swap, one party makes a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party on its
obligation. The Fund may use credit default swaps to provide a measure of
protection against defaults of issuers (i.e., to reduce risk where the Fund
owns or has exposure to the corporate or sovereign issuer) or to take an
active long or short position with respect to the likelihood of a
particular corporate or sovereign issuer's default. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. The Fund earns interest on
cash set aside as collateral. Swaps are marked to market daily based upon
quotations from market makers and change in value, if any, is recorded as
unrealized gain or loss in the Statement of Operations. These financial
instruments are not actively traded on financial markets. The values
assigned to these instruments are based upon the best available information
and because of the uncertainty of the valuation, these values may differ
significantly from the values that would have been realized had a ready
market for these instruments existed, and differences could be material.
Payments received or made from credit default swaps at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Net payments of interest on interest rate swap agreements
are included as part of realized gain or loss. Entering into these
agreements, if any, involves, to varying degrees, elements of credit,
market, and documentation risk in excess of the amounts recognized on the
Statement of Assets and Liabilities. Such risks involve the possibility
that there will be no liquid market for these agreements, that the
counterparty to the agreements may default on its obligation to perform or
disagree as to the meaning of contractual terms in the agreements, and that
there may be unfavorable changes in interest rates.
At June 30, 2005, the Fund held swap agreements. See Schedule of
Investments for further details.
20
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INVESTMENT GRADE BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(7) SECURITY LENDING:
The Fund may lend its securities to financial institutions which the Fund
deems to be creditworthy. The loans are collateralized at all times with
cash or securities with a market value at least equal to the market value
of the securities on loan. The market value of securities loaned is
determined daily and any additional required collateral is allocated to the
Fund on the next business day. For the duration of a loan, the Fund
receives the equivalent of the interest or dividends paid by the issuer on
the securities loaned and also receives compensation from the investment of
the collateral. As with other extensions of credit, the Fund bears the risk
of delay in recovery or even loss of rights in its securities on loan
should the borrower of the
securities fail financially or default on its obligations to the Fund. In
the event of borrower default, the Fund generally has the right to use the
collateral to offset losses incurred. The Fund may incur a loss in the
event it was delayed or prevented from exercising its rights to dispose of
the collateral. The Fund also bears the risk in the event that the interest
and/or dividends received on invested collateral is not sufficient to meet
the Fund's obligations due on the loans.
The Fund loaned securities during the period ended June 30, 2005 resulting
in security lending income of $3,669. At June 30, 2005, the Fund had
securities valued at $9,291,171 on loan. See Schedule of Investments for
further detail on the security positions on loan and collateral held.
(8) DELAYED DELIVERY TRANSACTIONS:
The Fund may purchase or sell securities on a when-issued, delayed delivery
or forward commitment basis. This Fund segregates securities having a value
at least equal to the amount of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date, which risk is in addition
to the risk of the decline in the value of the Fund's other assets.
Unsettled TBA purchase commitments are valued at the current market value
of the underlying securities, according to the procedures described under
"Investment security valuations" above.
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Fund as an 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 from the sale of the securities based upon the unit
price established at the date the commitment was entered into.
See the Schedule of Investments for outstanding delayed delivery contracts
(9) LINE OF CREDIT:
The Fund, and other funds in the Trust and subtrusts in the Mellon
Institutional Funds Master Portfolio Trust (the "Portfolio Trust") are
parties to a committed line of credit facility, which enables each
portfolio/fund to borrow, in the aggregate, up to $35 million. Interest is
charged to each participating portfolio/fund based on its borrowings at a
rate equal to the Federal Funds effective rate plus 1/2 of 1%. In addition,
a facility fee, computed at an annual rate of .060 of 1% committed amount,
is allocated ratably among the participating portfolios/funds at the end of
each quarter. For the period ended June 30, 2005, a facility fee of $351was
allocated to the Fund.
During the period ended June 30, 2005, the Fund had average borrowings
outstanding of $57,143 on a total of four days and incurred $20 of interest
expense.
21
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None $739
c/o Decision Resources, Inc. 11/3/1986 Decision Resources,
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None $805
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None $739
c/o Harvard University 9/13/1989 Professor of Political
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None $739
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None $0
Mellon Institutional and Chief Operating Officer of
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
22
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
23
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0946SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
INTERNATIONAL FIXED INCOME FUND II
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at http:
//melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- -----------------------------------------------------------------------------------------------------------
Actual $ 1,000.00 $ 934.60 $3.60
Hypothetical (5% return
per year before expenses) $ 1,000.00 $1,021.08 $3.76
- ------------
(+) Expenses are equal to the Fund's annualized expense ratio of .75%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
1
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
-------------------------------------------------------------------------------------------
United Kingdom Gilt 4.000 3/7/2009 10.0%
Australian Government Bond 5.250 8/15/2010 9.3
Bundesrepub Deutschland 5.250 7/4/2010 5.3
Belgium Government Bond 4.250 9/28/2013 5.2
Deutsche Republic 4.750 7/4/2034 4.6
United Kingdom Gilt 4.750 6/7/2010 4.1
Netherlands Government Bond 5.500 7/15/2010 3.9
U.S. Treasury Note 4.250 8/15/2013 2.9
Australian Government Bond 6.250 4/15/2015 2.7
French Treasury Note 5.000 1/12/2006 2.6
------
50.6%
(*) Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
TOP TEN COUNTRIES NET ASSETS
--------------------------------------------
United Kingdom 21.3%
Germany 16.8
Argentina 13.8
U.S.A 6.9
Netherlands 5.9
France 5.3
Singapore 2.5
Denmark 2.3
Canada 2.1
Sweden 2.0
------
78.9%
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
--------------------------------------------
Government 72.9%
Corporate 17.8
Mortgage 0.3
Emerging markets 4.2
Cash & equivalents 4.8
-------
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
2
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--98.5%
BONDS AND NOTES--93.8%
CORPORATE--2.2%
BASIC MATERIALS--0.1%
International Steel Group, Inc. 6.500% 4/15/2014 USD 50,000 $ 48,000
----------
COMMUNICATIONS--0.5%
Qwest Corp. 144A (a) 6.671 6/15/2013 125,000 127,969
RH Donnelley Finance Corp. 144A 8.875 12/15/2010 5,000 5,463
Salem Communications Corp. 7.750 12/15/2010 15,000 15,600
Sprint Capital Corp. 8.375 3/15/2012 55,000 66,155
----------
215,187
----------
CONSUMER CYCLICAL--0.1%
Mohegan Tribal Gaming Authority 8.000 4/1/2012 25,000 26,750
Yum! Brands, Inc. 8.875 4/15/2011 25,000 30,291
----------
57,041
----------
CONSUMER NONCYCLICAL--0.5%
Aramark Services, Inc. 7.000 7/15/2006 210,000 214,752
Southern Natural Gas Co. 8.875 3/15/2010 15,000 16,454
----------
231,206
----------
FINANCIAL--0.9%
Chevy Chase Bank FSB 6.875 12/1/2013 45,000 46,463
Glencore Funding LLC 144A 6.000 4/15/2014 105,000 100,684
Residential Capital Corp. 144A 6.375 6/30/2010 45,000 45,217
Residential Capital Corp. 144A 6.875 6/30/2015 80,000 81,762
Residential Capital Corp. 144A (a) 4.835 6/29/2007 155,000 155,058
----------
429,184
----------
UTILITIES--0.1%
AES Corp. 144A 8.750 5/15/2013 25,000 27,938
----------
Total Corporate Bonds(Cost $997,997) 1,008,556
----------
SOVEREIGN BONDS--3.6%
Argentina Bonos (a) 1.162 8/3/2012 250,000 226,000
Egyptian Treasury Bill 7.500 8/4/2005 120,000 121,895
Republic of Brazil (a) 2.063 4/15/2012 70,001 67,332
Republic of El Salvador 8.500 7/25/2011 25,000 28,875
Republic of El Salvador 7.650 6/15/2035 65,000 64,675
Republic of Panama 8.875 9/30/2027 95,000 113,288
Republic of Philippines 9.375 1/18/2017 105,000 112,350
Republic of South Africa 9.125 5/19/2009 35,000 40,644
Republic of South Africa 7.375 4/25/2012 50,000 57,500
Republic of Venezuela 7.650 4/21/2025 125,000 112,500
Russian Federation 11.000 7/24/2018 20,000 29,875
Russian Federation 12.750 6/24/2028 95,000 171,950
Russian Federation 5.000 3/31/2030 330,000 369,600
Russian Ministry of Finance 3.000 5/14/2008 140,000 132,125
Ukraine Government Senior Notes 11.000 3/15/2007 37,335 39,388
----------
Total Sovereign Bonds (Cost $1,661,578) 1,687,997
----------
The accompanying notes are an integral part of the financial statements.
3
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE BONDS--1.4%
Amvescap PLC 5.375% 2/27/2013 USD 25,000 $ 25,722
Amvescap PLC 5.900 1/15/2007 25,000 25,659
British Sky Broadcasting PLC 7.300 10/15/2006 70,000 72,709
HBOS PLC 144A 5.375 11/1/2013 155,000 159,837
Ispat Inland Ulc 9.750 4/1/2014 78,000 90,870
Naftogaz Ukrainy 8.125 9/30/2009 100,000 105,250
Rogers Wireless, Inc. 7.250 12/15/2012 140,000 151,200
Rogers Wireless, Inc. 7.500 3/15/2015 25,000 27,183
----------
Total Yankee Bonds (Cost $645,443) 658,430
----------
US TREASURY OBLIGATIONS--2.9%
U.S. Treasury Note (Cost $1,357,310) 4.250 8/15/2013 1,335,000 1,368,375
----------
FOREIGN DENOMINTED--83.7%
AUSTRALIA--13.3%
Australian Government Bond 5.250 8/15/2010 AUD 5,665,000 4,336,907
Australian Government Bond 6.000 2/15/2017 780,000 636,697
Australian Government Bond 6.250 4/15/2015 1,495,000 1,235,904
----------
6,209,508
----------
CANADA--0.2%
Canadian Pacific Railway Ltd. 144A 4.900 6/15/2010 CAD 95,000 81,390
----------
DENMARK--0.3%
Realkredit Danmark A/S 4.000 1/1/2006 DKK 735,000 120,420
----------
EURO--44.8%
Allied Irish Bank UK (a) 4.781 12/10/2049 EUR 120,000 144,247
ASIF III 5.125 5/10/2007 180,000 228,412
Autostrade SpA (a) 2.552 6/9/2011 200,000 243,393
Barclays Bank PLC (a) 4.875 12/15/2014 110,000 136,119
Belgium Government Bond 4.250 9/28/2013 1,830,000 2,417,381
Bombardier, Inc. 5.750 2/22/2008 190,000 231,268
Bundesobligation 5.000 8/19/2005 760,000 922,988
Bundesobligation 4.500 8/17/2007 120,000 152,517
Bundesrepub Deutschland 5.250 7/4/2010 1,800,000 2,455,454
Bundesschatzanweisungen 2.750 6/23/2006 780,000 950,714
Citigroup Inc. 2.237 6/3/2011 110,000 133,356
Daimlerchrysler International Finance 7.000 3/21/2011 80,000 114,728
Deutsche Bundesrepublik 4.000 7/4/2009 270,000 347,483
Deutsche Cap Trust IV (a) 5.330 9/29/2049 85,000 113,688
Deutsche Republic 4.500 1/4/2013 630,000 845,907
Deutsche Republic (*) 4.750 7/4/2034 1,490,000 2,151,021
Deutsche Telekom International Finance BV 6.625 7/11/2011 115,000 165,743
FCE Bank PLC (a) 2.389 6/28/2006 770,000 914,690
Finmeccanica SpA 4.875 3/24/2025 110,000 137,365
Ford Motor Credit Co. 4.875 1/15/2010 100,000 112,028
France Telecom 7.250 1/28/2013 110,000 166,922
France Telecom 8.125 1/28/2033 130,000 242,774
The accompanying notes are an integral part of the financial statements.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
EURO (CONTINUED)
French Treasury Note 5.000% 1/12/2006 EUR 975,000 $1,197,663
French Treasury Note 4.500 7/12/2006 515,000 638,739
GE Capital European Funding 2.198 5/4/2011 110,000 133,098
General Motors Acceptance Corp. 4.375 9/26/2006 60,000 72,338
General Motors Acceptance Corp. (a) 3.710 7/5/2005 75,000 90,773
Glencore Finance Europe SA/Luxembourg 5.375 9/30/2011 190,000 238,557
GMAC International Finance BV (a) 3.876 8/4/2006 275,000 329,105
HBOS PLC 6.050 11/23/2049 20,000 27,854
Hellenic Republic 3.700 7/20/2015 550,000 684,244
Hilton Group Finance PLC 6.500 7/17/2009 30,000 41,023
HSBC Finance Corp. 6.500 5/5/2009 45,000 62,028
Kappa Beheer BV 10.625 7/15/2009 20,000 24,932
Kingdom of Denmark 3.125 10/15/2010 760,000 944,696
Linde Finance BV 6.000 7/29/2049 120,000 156,652
MPS Capital Trust I 7.990 2/7/2011 85,000 124,901
Natexis Banques Populaires 4.375 6/20/2013 85,000 110,833
National Westminster Bank PLC 6.625 10/5/2009 80,000 111,070
Netherlands Government Bond 5.500 7/15/2010 1,305,000 1,797,825
Owens-Brockway Glass Containers 6.750 12/1/2014 60,000 74,797
Telecom Italia Finance SA 7.000 4/20/2011 100,000 144,719
Telenet Communications NV 144A 9.000 12/15/2013 50,000 68,533
Telenor ASA 5.875 12/5/2012 60,000 85,128
Tyco International Group SA 5.500 11/19/2008 80,000 105,248
Veolia Environnement 4.875 5/28/2013 85,000 113,188
Volkswagen International Finance NV 4.875 5/22/2013 125,000 163,298
----------
20,869,440
----------
JAPAN--1.7%
European Investment Bank 1.400 6/20/2017 JPY 85,000,000 774,197
----------
MEXICO--0.3%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 1,735,000 148,837
----------
SINGAPORE--2.5%
Singapore Government Bond 3.500 7/1/2012 SGD 1,850,000 1,171,825
----------
SWEDISH--2.0%
Swedish Government 5.250 3/15/2011 SEK 6,285,000 920,897
----------
UNITED KINGDOM--18.6%
Inco 15.750 7/15/2006 GBP 200,000 383,926
United Kingdom Gilt 4.000 3/7/2009 2,610,000 4,671,340
United Kingdom Gilt 4.750 6/7/2010 1,040,000 1,921,863
United Kingdom Gilt 8.000 9/27/2013 505,000 1,146,858
United Kingdom Gilt 4.250 6/7/2032 300,000 541,535
----------
8,665,522
----------
Total Foreign Denominated (Cost $39,199,663) 38,962,036
----------
TOTAL BONDS AND NOTES (Cost $43,861,991) 43,685,394
----------
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST STANDISH
MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS--0.1%
U.S. TREASURY BILLS--0.1%
Treasury Bill (+)(!) (Cost $49,722) 2.910% 9/8/2005 USD 50,000 $ 49,713
-----------
INVESTMENT OF CASH COLLATERAL--4.6% SHARES
-----------
BlackRock Cash Strategies L.L.C.(**) (Cost $2,121,604) 2,121,604 2,121,604
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $46,033,317 ) 45,856,711
-----------
AFFILIATED INVESTMENTS--4.3%
Dreyfus Institutional Preferred Plus Money Market Fund (++) (Cost $2,000,000) 2,000,000 2,000,000
-----------
TOTAL INVESTMENTS--102.8% (Cost $48,033,317) 47,856,711
LIABILITIES IN EXCESS OF OTHER ASSETS--(2.8%) (1,282,070)
-----------
NET ASSETS--100% $46,574,641
===========
NOTES TO SCHEDULE OF INVESTMENTS:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
AUD--Australian Dollar
CAD--Canadian Dollar
DKK--Danish Krone
EUR--Euro
GBP--British Pound
JPY--Japanese Yen
MXN--Mexican Peso
SEK--Swedish Krone
SGD--Singapore Dollar
(a) Variable Rate Security; rate indicated is as if 6/30/05
(*) Security, or a portion of thereof, was on loan at 6/30/05.
(+) Denotes all or part of security segregated as collateral.
(++) Affiliated institutional money market.
(**) Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
! Rate noted is yield to maturity.
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following futures contracts:
UNDERLYING FACE UNREALIZED
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE (LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 5 Year Treasury Note (10 Contracts) Short 9/30/2005 $1,084,688 $ (4,264)
Euro--Bobl (7 Contracts) Short 9/12/2005 805,560 (4,872)
Euro--Bund (4 Contracts) Short 9/12/2005 490,240 (4,676)
---------- ---------
$2,380,488 $ (13,812)
========== =========
At June 30, 2005, the Fund held the following forward foreign currency exchange
contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 7,570,000 9/21/2005 $ 5,730,344 $ 5,735,643 $ 5,299
Brazilian Real 365,000 2/10/2006 143,814 131,074 (12,740)
British Pound Sterling 3,095,000 9/21/2005 5,530,223 5,589,230 59,007
Euro 2,100,000 9/21/2005 2,549,889 2,560,677 10,788
Japanese Yen 134,120,000 9/21/2005 1,219,296 1,241,852 22,556
Swedish Krona 6,860,000 9/21/2005 882,468 894,452 11,984
Singapore Dollar 2,000,000 9/21/2005 1,190,379 1,195,457 5,078
------------ ------------ ----------
Total $ 17,246,413 $ 17,348,385 $ 101,972
============ ============ ==========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 280,000 9/21/2005 $ 115,951 $ 109,589 $ 6,362
Brazilian Real 365,000 2/10/2006 143,814 121,667 22,147
Canadian Dollar 1,215,000 9/21/2005 994,377 968,660 25,717
Danish Krone 6,505,000 9/21/2005 1,060,241 1,062,717 (2,476)
Euro 3,440,000 9/21/2005 4,176,961 4,182,214 (5,253)
Japanese Yen 1,949,080,000 9/21/2005 17,719,253 18,102,748 (383,495)
------------- ------------- -----------
Total $ 24,210,597 $ 24,547,595 $ (336,998)
============= ============= ===========
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with JPMorgan, dated 5/13/2005 to receive
the notional amount multiplied by 4.115% and to pay the
notional amount multiplied by the 3 month LIBOR. 5/17/2008 2,290,000 USD $ 6,961
Agreement with JPMorgan, dated 5/13/2005 to pay
the notional amount multiplied by 4.59% and to receive
the notional amount multiplied by the 3 month LIBOR. 5/17/2015 2,290,000 USD (47,165)
Agreement with Bear Stearns, dated 5/24/2005 to pay
0.415% per year times the notional amount. The Fund
receives payment, of the notional amount times the difference
between the par value and the then-market value of Alcoa, Inc.,
6.00% due 1/15/2012, only upon a credit event by Alcoa, Inc. 6/20/2010 72,000 USD (360)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.52%
per year times the notional amount. The Fund receives
payment, of the notional amount times the difference
between the par value and the then-market value of Alcoa, Inc.,
6.50% due 6/01/2011, only upon a credit event by Alcoa, Inc. 6/20/2010 158,000 USD (1,544)
Agreement with Bear Stearns, dated 5/24/2005 to pay 0.31%
per year times the notional amount. The Fund receives payment,
of the notional amount times the difference between the par value
and the then-market value of Conocophillips, 4.75%
due 10/15/2012, only upon a credit event by Conocophillips. 6/20/2010 230,000 USD (52)
Agreement with Citigroup, dated 4/25/2005 to receive
4.00% per year times the notional amount. The Fund makes
payment, of the notional amount times the difference between
the par value and the then-market value of the Ford Motor
Credit Co., 7.00% due 10/01/2013, only upon a credit event
by the Ford Motor Credit Company. 6/20/2008 228,000 USD 2,640
Agreement with Bear Stearns, dated 11/17/2004 to receive
the notional amount multiplied by 3.907% and to pay the
notional amount multiplied by the 3 month LIBOR. 11/19/2009 80,000 USD (185)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.40%
per year times the notional amount. The Fund receives payment,
of the notional amount times the difference between the par value
and the then-market value of Nucor Corp., 4.875% due
10/01/2012, only upon a credit event by Nucor Corp. 6/20/2010 108,000 USD (504)
Agreement with Bear Stearns, dated 11/17/2004 to receive
2.84% per year times the notional amount. The Fund
makes payment, of the notional amount times the difference
between the par value and the then-market value of
Ukraine Government, 7.65% due 6/11/2013, only upon a
credit event by Ukraine Government. 12/20/2009 80,000 USD 2,744
Agreement with Citigroup, dated 4/25/2005 to pay 4.50%
per year times the notional amount. The Fund receives
payment, of the notional amount times the difference
between the par value and the then-market value of
the Ford Motor Credit Co., 7.00% due 10/01/2013, only
upon a credit event by the Ford Motor Credit Company. 6/20/2010 155,000 USD (2,232)
---------
Total Swap Value $ (39,697)
=========
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $1,986,671) (Note 7)
Unaffiliated issuers, at value (Note 1A) (cost $46,033,317) $45,856,711
Affiliated issuers, at value (Note 1A) (cost $2,000,000) (Note 1H) 2,000,000
Cash 303,505
Foreign Currency (cost, $58,161) 58,061
Receivable for Fund shares sold 28,802
Receivable for securities sold 96,444
Unrealized appreciation on forward currency exchange contracts (Note 6) 168,938
Swap contracts, at value (Note 6) 12,345
Interest and dividends receivable 919,685
Prepaid expenses 11,703
-----------
Total assets 49,456,194
LIABILITIES
Payable for Fund shares redeemed $ 24,032
Payable for investments purchased 225,944
Collateral for securities on loan (Note 7) 2,121,604
Unrealized depreciation on forward currency exchange contracts (Note 6) 403,964
Swap contracts, at value (Note 6) 52,042
Payable for variation margin 5,905
Accrued accounting, administration, custody and transfer agent fees (Note 2) 25,076
Accrued trustees' fees and expenses (Note 2) 1,295
Accrued expenses and other liabilities 21,691
-----------
Total liabilities 2,881,553
-----------
NET ASSETS $46,574,641
===========
NET ASSETS CONSIST OF:
Paid-in capital $46,576,847
Accumulated net realized gain 333,382
Net investment income 160,233
Net unrealized depreciation (495,821)
-----------
TOTAL NET ASSETS $46,574,641
===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 2,096,807
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 22.21
===========
The accompanying notes are an integral part of the financial statements.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income (net of foreign withholding tax of $414) $ 949,504
Interest income from affiliated investments (Note 1H) 47,216
Security lending income (Note 7) 3,646
------------
Total investment income 1,000,366
EXPENSES
Investment advisory fee (Note 2) $ 96,484
Accounting, administration, custody, and transfer agent fees (Note 2) 61,414
Professional fees 26,033
Registration fees 15,670
Trustees' fees and expenses (Note 2) 2,703
Insurance expense 3,174
Miscellaneous 3,360
------------
Total expenses 208,838
DEDUCT:
Waiver of investment advisory fee (Note 2) (28,566)
------------
Net expenses 180,272
------------
Net investment income 820,094
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 1,428,183
Futures contracts (40,002)
Foreign currency transactions and forward currency exchange contracts (777,922)
Swap transactions 1,063
------------
Net realized gain (loss) 611,322
Change in unrealized appreciation (depreciation) on:
Investment securities (4,031,745)
Swap transactions (41,577)
Futures contracts (1,577)
Foreign currency transactions and forward currency exchange contracts (643,505)
------------
Change in net unrealized appreciation (depreciation) (4,718,404)
------------
Net realized and unrealized gain (loss) on investments (4,107,082)
------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (3,286,988)
============
The accompanying notes are an integral part of the financial statements.
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 820,094 $ 1,337,696
Net realized gain (loss) 611,322 1,508,254
Change in net unrealized appreciation (depreciation) (4,718,404) 1,775,281
----------- ------------
Net increase (decrease) in net assets from operations (3,286,988) 4,621,231
----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1E)
From net investment income (964,318) (1,965,761)
----------- ------------
Total distributions to shareholders (964,318) (1,965,761)
----------- ------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 10,209,492 28,789,234
Value of shares issued to shareholders in reinvestment of distributions 933,303 1,946,429
Cost of shares redeemed (10,031,258) (7,660,029)
----------- ------------
Net increase (decrease) in net assets from Fund share transactions 1,111,537 23,075,634
----------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (3,139,769) 25,731,104
NET ASSETS
At beginning of period 49,714,410 23,983,306
----------- ------------
At end of period (including undistributed net investment
income of $160,233 and $304,457) $46,574,641 $ 49,714,410
=========== ============
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 ------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(a) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF YEAR $ 24.23 $ 22.97 $ 21.66 $ 17.83 $ 18.87 $ 19.47
-------- -------- -------- -------- -------- --------
FROM OPERATIONS:
Net investment income (*)(b) 0.39 0.88 0.77 0.73 0.73 0.98
Net realized and unrealized gain
(loss) on investments (1.96) 1.52 3.81 3.10 (1.74) (1.50)
-------- -------- -------- -------- -------- --------
Total from operations (1.57) 2.40 4.58 3.83 (1.01) (0.52)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.45) (1.14) (3.27) -- (0.03) (0.08)
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.45) (1.14) (3.27) -- (0.03) (0.08)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 22.21 $ 24.23 $ 22.97 $ 21.66 $ 17.83 $ 18.87
======== ======== ======== ======== ======== ========
TOTAL RETURN (c) (6.54%)(d) 10.73% 21.51% 21.48% (5.31%) (2.73%)
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets)(*) 0.75%(e) 0.75% 0.55% 0.55% 55.00% 0.27%
Net Investment Income (to average
daily net assets)(*) 3.40%(e) 3.93% 3.34% 3.87% 3.99% 5.30%
Portfolio Turnover 72%(d) 132% 192% 178% 205% 216%
Net Assets, End of Year (000's omitted) $ 46,575 $ 49,714 $ 23,983 $ 21,202 $ 40,337 $ 41,614
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Net investment income per share (b) $ 0.38 $ 0.84 $ 0.60 $ 0.60 $ 0.68 $ 0.86
Ratios (to average daily net assets):
Expenses 0.87%(e) 0.91% 1.30% 1.23% 0.85% 0.90%
Net investment income 3.28%(e) 3.77% 2.59% 3.19% 3.69% 4.67%
(a) The Fund has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease net investment income per share by
$0.002, increase net realized and unrealized gains and losses per share by
$0.002 and decrease the ratio of net investment income to average net
assets from 4.00% to 3.99%. Per share data and ratios/supplemental data for
the periods prior to January 1, 2001 have not been restated to reflect this
change in presentation.
(b) Calculated based on average shares outstanding.
(c) Total return would have been lower in the absence of fee waivers and
expense limitations.
(d) Not annualized.
(e) Compted on an annualized basis.
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon International Fixed Income II Fund (the "Fund") is a
separate diversified investment series of the Trust.
The objective of the Fund is to maximize total return while realizing a
market level of income consistent with preserving principal and liquidity.
The Fund seeks to achieve its objective by investing, under normal
circumstances, at least 80% of net assets in fixed income securities, and
at least 65% of net assets in non-U.S. dollar denominated fixed income
securities of foreign government and companies located in various
countries, including emerging markets.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are primarily traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the Fund
acquires a short-term instrument with more than sixty days remaining to its
maturity, it is valued at current market value until the sixtieth day prior
to maturity and will then be valued at amortized value based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of coupon interest accrued, adjusted for
accretion of discount or amortization of premium using the
yield-to-maturity method on long-term debt securities and short-term
securities with greater than sixty days to maturity. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis. The Fund does not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Fund's books and the U.S. dollar equivalent amounts actually received
or paid.
C. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current currency exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
13
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
E. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. Dividends from net investment income and
distributions from capital gains, if any, are reinvested in additional
shares of the Fund unless the shareholder elects to receive them in cash.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for losses deferred due to wash sales, foreign
currency gains and losses, post-October losses, amortization and/or
accretion of premiums and discounts on certain securities and the timing of
recognition of gains and losses on futures contracts.
Permanent book and tax basis differences will result in reclassifications
among undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments and foreign currency
transactions may include temporary book and tax basis differences which
will reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
F. EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the
Fund under these arrangements is unknown, as this would involve future
claims that may be made against the Fund that have not yet occurred.
However, based on experience, the Fund expects the risks of loss to be
remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory, administrative services, and general office facilities, is paid
monthly at the annual rate of 0.40% of the Fund's average daily net assets.
Standish Mellon voluntarily agreed to limit total Fund operating expenses
(excluding brokerage commissions, taxes and extraordinary expenses) to
0.75% of the Fund's average daily net assets for the period ended June 30,
2005. Pursuant to this agreement, for the period ended June 30, 2005,
Standish Mellon voluntarily waived a portion of its investment advisory fee
in the amount of $28,566. This agreement is voluntary and temporary and may
be discontinued or revised by Standish Mellon at any time.
14
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$4,565 during the period ended June 30, 2005.
The Fund has contracted Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide custody, fund administration and fund accounting
services for the Fund. For these services the Fund pays Mellon Bank a fixed
fee plus asset and transaction based fees, as well as, out-of-pocket
expenses. Pursuant to this agreement the Fund paid $49,598 during the
period ended June 30, 2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 7 for further details.
No director, officer or employee of Standish Mellon or its affiliated
receives any compensation from the Trust or the Fund for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust will pay
for a portion of the salary of the Trust's Chief Compliance Officer. The
Trust pays each Trustee who is not a director, officer or employee of
Standish Mellon or its affiliates an annual fee and a per meeting fee as
well as reimbursement for travel and out of pocket expenses. In addition,
the Trust pays the legal fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
------------ -------------
U.S. Government Securities $ 1,433,794 $ 163,945
------------ -------------
Investments (non-U.S.
Government Securities) $ 31,698,531 $ 28,987,452
============ =============
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 438,644 1,262,514
Shares issued to shareholders in
reinvestment of distributions declared 40,439 83,344
Shares redeemed (434,413) (337,694)
----------- -----------
Net increase (decrease) 44,670 1,008,164
=========== ===========
At June 30, 2005, two shareholders of record held approximately 76% of the
total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
A significant portion of the Fund's shares represent investments by
fiduciary accounts over which Standish Mellon and its affiliates have
either sole or joint investment discretion.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
15
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
The tax basis components of distributable earnings and the federal tax cost
as of June 30, 2005, was as follows:
Aggregate cost $ 48,033,317
=============
Unrealized appreciation $ 594,079
Unrealized depreciation (770,682)
-------------
Net unrealized appreciation (depreciation) $ (176,606)
=============
(6) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Fund's Prospectus and Statement of Additional Information.
The Fund may trade the following instruments with off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Fund's exposure to the underlying instrument. Buying puts and
writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and written
by the Fund, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying face amount at value of any
open purchased options is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contract or
if the counterparty does not perform under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Fund is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of
an option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option. Exchange traded options are valued at the last sale price, or if no
sales are reported, the last bid price for purchased options and the last
ask price for written options. Options traded over-the-counter are valued
using prices supplied by the dealers.
At June 30, 2005, the Fund did not hold any options positions.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Fund may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Fund primarily to protect the value of the Fund's foreign securities
from adverse currency movements. Unrealized appreciation and depreciation
of forward currency exchange contracts is included in the Statement of
Assets and Liabilities.
At June 30, 2005, the Fund held foreign currency exchange contracts. See
Schedule of Investments for further details.
16
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
The Fund may enter into financial futures contracts for the delayed sale or
delivery of securities or contracts based on financial indices at a fixed
price on a future date. Pursuant to the margin requirements, the Fund
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Fund each day, depending on the daily fluctuations in the value of
the underlying security, and are recorded for financial statement purposes
as unrealized gains or losses by the Fund. There are several risks in
connection with the use of futures contracts as a hedging device. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments or indices, which may not correlate with
changes in the value of hedged investments. Buying futures tends to
increase the Fund's exposure to the underlying instrument, while selling
futures tends to decrease the Fund's exposure to the underlying instrument
or hedge other Fund investments. In addition, there is the risk that the
Fund may not be able to enter into a closing transaction because of an
illiquid secondary market. Losses may arise if there is an illiquid
secondary market or if the counterparties do not perform under the
contract's terms. The Fund enters into financial futures transactions
primarily to manage its exposure to certain markets and to changes in
securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005, the Fund held futures contracts. See Schedule of
Investments for further details.
SWAP AGREEMENTS
The Fund may enter into swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate and credit default swap
agreements to manage its exposure to interest rates and credit risk.
Interest rate swap agreements involve the exchange by the Fund with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. In a credit default swap, one party makes a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party on its
obligation. The Fund may use credit default swaps to provide a measure of
protection against defaults of issuers (i.e., to reduce risk where the Fund
owns or has exposure to the corporate or sovereign issuer) or to take an
active long or short position with respect to the likelihood of a
particular corporate or sovereign issuer's default. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. The Fund earns interest on
cash set aside as collateral. Swaps are marked to market daily based upon
quotations from market makers and change in value, if any, is recorded as
unrealized gain or loss in the Statement of Operations. These financial
instruments are not actively traded on financial markets. The values
assigned to these instruments are based upon the best available information
and because of the uncertainty of the valuation, these values may differ
significantly from the values that would have been realized had a ready
market for these instruments existed, and differences could be material.
Payments received or made from credit default swaps at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Net payments of interest on interest rate swap agreements,
if any, are included as part of realized gain or loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized on the Statement of
Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform or disagree as to the
meaning of contractual terms in the agreements, and that there may be
unfavorable changes in interest rates.
At June 30, 2005, the Fund held swap contracts. See Schedule of Investments
for further details.
(7) SECURITY LENDING:
The Fund may lend its securities to financial institutions which the Fund
deems to be creditworthy. The loans are collateralized at all times with
cash or securities with a market value at least equal to the market value
of the securities on loan. The market value of securities loaned is
determined daily and any additional
required collateral is allocated to the Fund on the next business day. For
the duration of a loan, the Fund receives the equivalent of the interest or
dividends paid by the issuer on the securities loaned and also receives
compensation from the investment of the collateral. As with other
extensions of credit, the Fund bears the risk of delay in recovery or even
loss of rights in its securities on loan should the borrower of the
securities fail financially or default on its obligations to the Fund. In
the event of borrower default, the Fund generally has the right to use the
collateral to offset losses incurred. The Fund may incur a loss in the
event it was delayed or prevented from exercising its rights to dispose of
the collateral. The Fund also bears the risk in the event that the interest
and/or dividends received on invested collateral is not sufficient to meet
the Fund's obligations due on the loans.
The Fund loaned securities during the period ended June 30, 2005 resulting
in security lending income of $3,646. At June 30, 2005, the Fund had
securities valued at $1,986,671 on loan. See Schedule of Investments for
further detail on the security positions on loan and collateral held.
17
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND II
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(8) DELAYED DELIVERY TRANSACTIONS:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Fund instructs its
custodian to segregate securities having value at least equal to the amount
of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a 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 the current market value of the underlying
securities, according to the procedures described under "Investment
security valuations" above.
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Fund as an 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 from the sale of the securities based upon the unit
price established at the date the commitment was entered into.
At June 30, 2005, the Fund did not hold any delayed delivery securities.
(9) LINE OF CREDIT:
The Fund, and other funds in the Trust and subtrusts in the Mellon
Institutional Funds Master Portfolio Trust (the "Portfolio Trust") are
parties to a committed line of credit facility, which enables each
portfolio/fund to borrow, in the aggregate, up to $35 million. Interest is
charged to each participating portfolio/fund based on its borrowings at a
rate equal to the Federal Funds effective rate plus 1/2 of 1%. In addition,
a facility fee, computed at an annual rate of .060 of 1% committed amount,
is allocated ratably among the participating portfolios/funds at the end of
each quarter. For the period ended June 30, 2005, a facility fee of $168
was allocated to the Fund.
During the period ended June 30, 2005, the Fund did not use the line of
credit.
18
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None $441
c/o Decision Resources, Inc. 11/3/1986 Decision Resources,
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None $496
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None $441
c/o Harvard University 9/13/1989 Professor of Political
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None $441
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None $0
Mellon Institutional and Chief Operating Officer of
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
19
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional Asset
Asset Management Management; formerly Shareholder Representative,
One Boston Place Standish Mellon Asset Management Company LLC
Boston, MA 02108
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional Asset
Mellon Institutional Compliance Management and Chief Compliance Officer,
Asset Management Officer Mellon Funds Distributor; formerly Director,
One Boston Place Blackrock, Inc., Senior Vice President, State Stree
Boston, MA 02108 Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
20
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0945SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at
http://melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUN
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- -------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,014.70 $2.50
Hypothetical (5% return
per year before expenses) $1,000.00 $1,022.32 $2.51
- -------
(+) Expenses are equal to the Fund's annualized expense ratio of .50%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).The example reflects the
combined expenses of the Fund and the master portfolio in which it
invests all its assets.
3
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
SUMMARY OF COMBINED RATINGS INVESTMENTS
--------------------------------------------
QUALITY BREAKDOWN
--------------------------------------------
AA 0.1%
BBB 7.6
BB 41.6
B 46.3
CCC 4.2
C/D/NR 0.2
-------
100.0%
Based on ratings from Standard & Poor's and/or Moody's Investors Services.
If a security receives split (different) ratings from multiple rating
organizations, the Fund treats the security as being rated in the higer
rating category.
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB 6.875% 12/1/2013 5.4%
Sovereign Capital Trust IV CVT Pfd 4.375 5.3
AES Corp. 144A 8.750 5/15/2013 4.7
Crown Cork & Seal Co, Inc. 7.375 12/15/2026 4.6
Freescale Semiconductor Inc. 6.875 7/15/2011 4.4
Echostar DBS Corp. 5.750 10/1/2008 4.3
Speedway Motorsports, Inc. 6.750 6/1/2013 4.3
Rite Aid Corp. 12.500 9/15/2006 4.2
Stater Brothers Holdings 8.125 6/15/2012 4.1
Trinity Industries LE 6.500 3/15/2014 3.9
------
45.2%
(*) Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
------------------------------------------------------------------------
Banking 4.8%
Basic industry 13.0
Brokerage 0.0
Capital goods 14.1
Consumer cyclical 5.8
Consumer non-cyclical 10.7
Energy 9.9
Finance 0.5
Insurance 0.0
Media 8.4
Real estate 0.4
Services cyclical 12.3
Services non-cyclical 0.9
Technology 1.2
Telecommunications 6.6
Utility 9.3
Emerging markets 1.0
Agency 0.1
Cash & equivalents 1.0
------
100.0%
The Standish Mellon High Yield Bond Fund invests all of its investable
assets in an interest of the Standish Mellon High Yield Bond Portfolio (See
Note 1 of the Fund's Notes to Financial Statements). The Portfolio is
actively managed. Current holdings may be different than those presented
above.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Standish Mellon High Yield Bond Portfolio (Portfolio), at value (Note 1A) $15,248,567
Receivable for Fund shares sold 12,140
Prepaid expenses 10,060
-----------
Total assets 15,270,767
LIABILITIES
Payable for Fund shares redeemed $ 10,772
Accrued professional fees 7,316
Accrued transfer agent fees (Note 2) 4,147
Accrued expenses and other liabilities 1,481
Accrued trustees' fees and expenses (Note 2) 492
-----------
Total liabilities 24,208
-----------
NET ASSETS $15,246,559
===========
NET ASSETS CONSIST OF:
Paid-in capital $23,703,051
Accumulated net realized loss (8,936,173)
Distributions in excess of net investment income (25,073)
Net unrealized appreciation 504,754
-----------
TOTAL NET ASSETS $15,246,559
===========
Shares of beneficial interest outstanding 943,561
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 16.16
===========
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income allocated from Portfolio $ 1,310,503
Expenses allocated from Portfolio (89,912)
------------
Net investment income allocated from Portfolio 1,220,591
EXPENSES
Transfer agent fees (Note 2) $ 4,601
Registration fees 10,166
Professional fees 22,051
Trustees' fees (Note 2) 1,493
Insurance expense 481
Miscellaneous expenses 4,525
------------
Total expenses 43,317
DEDUCT:
Reimbursement of Fund operating expenses (Note 2) (43,317)
------------
Net expenses --
------------
Net investment income 1,220,591
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio on:
Investment, swap and foreign currency transactions 1,251,168
Change in unrealized appreciation (depreciation) allocated from Portfolio (2,592,124)
------------
Net realized and unrealized gain (loss) on investments (1,340,956)
------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (120,365)
============
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 1,220,591 $ 4,084,505
Net realized gain (loss) 1,251,168 1,476,264
Change in net unrealized (depreciation) (2,592,124) (438,129)
----------- -----------
Net increase (decrease) in net assets from operations (120,365) 5,122,640
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1C)
From net investment income (1,138,104) (3,992,711)
----------- -----------
Total distributions to shareholders (1,138,104) (3,992,711)
----------- -----------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 930,112 6,909,820
Value of shares issued to shareholders in reinvestment of distributions 1,048,429 3,688,577
Redemption fees credited to capital 200 248
Cost of shares redeemed (42,147,023) (12,091,338)
----------- -----------
Net increase (decrease) in net assets from Fund share transactions (40,168,282) (1,492,693)
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS (41,426,751) (362,764)
NET ASSETS
At beginning of period 56,673,310 57,036,074
----------- -----------
At end of period (including distributions in excess
of net investment income of $25,073 and $107,560) $15,246,559 $56,673,310
=========== ===========
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUN
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF THE PERIOD $ 16.52 $ 16.19 $ 14.34 $ 14.88 $ 15.88 $ 17.39
-------- -------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income(*)(b) 0.56 1.18 1.21 1.26 1.40 1.64
Net realized and unrealized
gains (loss) on investments (0.32) 0.31 1.85 (0.59) (1.18) (1.19)
-------- -------- -------- -------- -------- --------
Total from investment operations 0.24 1.49 3.06 0.67 0.22 0.45
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.60) (1.16) (1.21) (1.21) (1.21) (1.93)
From net realized gains on investments -- -- -- -- (0.01) (0.03)
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.60) (1.16) (1.21) (1.21) (1.22) (1.96)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 16.16 $ 16.52 $ 16.19 $ 14.34 $ 14.88 $ 15.88
======== ======== ======== ======== ======== ========
TOTAL RETURN (c) 1.47%(d) 9.56% 21.76% 4.70% 1.52% 2.84%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets)(*)(e) 0.50%(f) 0.50% 0.50% 0.50% 0.50% 0.37%
Net Investment Income (to average
daily net assets)(*) 6.83%(f) 7.28% 7.79% 8.68% 8.86% 10.41%
Net Assets, End of Period (000's omitted) $ 15,246 $ 56,673 $ 57,036 $ 44,059 $ 46,302 $ 31,807
- -------------
(*) For the periods indicated, the investment advisor voluntarily agreed not to
impose a portion of its its investment advisory fee and/or reimbursed the
Fund for all or a portion of its operating expenses. If this voluntary
action had not been taken, the investment income per share and the ratios
would have been:
Net investment income per share (b) $ 0.54 $ 1.12 $ 1.13 $ 1.21 $ 1.33 $ 1.64
Ratios (to average daily net assets):
Expenses (e) 1.21%(f) 0.87% 1.00% 1.01% 0.97% 1.11%
Net investment income 6.12%(f) 6.91% 7.29% 8.17% 8.39% 9.67%
(a) The Fund has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease net investment income per share by $0.05,
increase net realized and unrealized gains and losses per share by $0.05
and decrease the ratio of net investment income to average net assets from
9.20% to 8.86%. Per share data and ratios/supplemental data for the periods
prior to January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Calculated based on average shares outstanding.
(c) Total return would have been lower in the absence of expense waivers.
(d) Not annualized.
(e) Includes the Fund's share of the Portfolio's allocated expenses.
(f) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUN
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon High Yield Bond Fund (the "Fund") is a separate diversified
investment series of the Trust.
The objective of the Fund is to maximize total return, consisting primarily
of a high level of income. The Fund seeks to achieve its objective by
investing all of its investable assets in an interest of the Standish
Mellon High Yield Bond Portfolio (the "Portfolio"), a subtrust of the
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust"), which
is organized as a New York trust and which has the same investment
objective as the Fund. The Portfolio seeks to achieve its objective by
investing, under normal circumstances, at least 80% of net assets in fixed
income securities issued by U.S. and foreign governments, companies and
banks, as well as tax-exempt securities, preferred stocks and warrants. The
value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% at June 30, 2005). The performance of the Fund is directly affected by
the performance of the Portfolio. The financial statements of the Portfolio
are included elsewhere in this report and should be read in conjunction
with the Fund's financial statements.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
The Fund records its investment in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions in the Portfolio are recorded as of the settlement
date of shareholder transactions. The Fund's net investment income consists
of the Fund's pro rata share of the net investment income of the Portfolio,
less all expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America. All realized
and unrealized gains and losses of the Portfolio are allocated pro rata
among the investors in the Portfolio.
C. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared daily and distributed
monthly. The Fund's dividends from short-term and long-term capital gains,
if any, after reduction of capital losses will be declared and distributed
at least annually. In determining the amounts of its dividends, the Fund
will take into account its share of the income, gains or losses, expenses,
and any other tax items of the Portfolio. Dividends from net investment
income and distributions from capital gains, if any, are reinvested in
additional shares of the Fund unless a shareholder elects to receive them
in cash. Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for capital loss carryforwards and amortization and/or
accretion of premiums and discounts on certain securities.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to undistributed net
investment income, accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income and accumulated net realized
gain (loss) on investments and foreign currency transactions may include
temporary book and tax basis differences which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUN
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or Portfolio. Expenses which are not
readily identifiable to a specific fund are allocated taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or Portfolios.
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
(2) INVESTMENT ADVISORY FEE AND TRANSACTIONS WITH AFFILIATES:
The Fund does not directly pay any investment advisory fees, but indirectly
bears its pro rata share of the compensation paid by the Portfolio to
Standish Mellon Asset Management Company LLC ("Standish Mellon"), a
wholly-owned subsidiary of Mellon Financial Corporation, for such services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. Standish Mellon voluntarily agreed to
limit the total operating expenses of the Fund and its pro rata share of
the Portfolio expenses (excluding commissions, taxes and extraordinary
expenses) to 0.50% of the Fund's average daily net assets. This agreement
is voluntary and temporary and may be discontinued or revised by Standish
Mellon at any time. Pursuant to this agreement, for the period ended June
30, 2005, Standish Mellon voluntarily reimbursed the Fund for $43,317of its
operating expenses.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services, the Fund pays
Dreyfus Transfer, Inc. a fixed fee plus per account and transaction based
fees, as well as, out-of-pocket expenses. Pursuant to this agreement the
Fund paid $5,262 during the period ended June 30, 2005.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay for a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
(3) INVESTMENT TRANSACTIONS:
Increases and decreases in the Fund's investment in the Portfolio for the
period ended June 30, 2005, aggregated $1,981,466 and $43,340,620,
respectively.
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 56,116 428,139
Shares issued to shareholders
reinvestment of distributions declared 64,267 227,570
Shares redeemed (2,607,652) (747,381)
------------ ------------
Net increase (decrease) (2,487,270) (91,672)
============ ============
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON HIGH YIELD BOND FUN
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, two shareholders of record held approximately 63% of the
total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading. The fee does
not apply to shares that were acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund received $200
in redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes substantially all of its taxable income for its
fiscal year.
See the Portfolio's financial statements included elsewhere in this report
for tax basis unrealized appreciation (depreciation) information.
11
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--110.3%
BONDS AND NOTES--94.5%
CONVERTIBLE CORPORATE BONDS--0.3%
Centerpoint Energy, Inc. 144A CVT 2.875% 1/15/2024 USD 25,000 $ 27,344
Xcel Energy, Inc. 144A CVT 7.500 11/21/2007 15,000 24,413
-----------
Total Convertible Corporate Bonds (Cost $40,000) 51,757
-----------
CORPORATE--83.1%
BANKING--2.1%
Chevy Chase Bank FSB 6.875 12/1/2013 270,000 278,775
Colonial Bank 9.375 6/1/2011 35,000 41,672
-----------
320,447
-----------
BASIC INDUSTRY--9.8%
Airgas, Inc. 6.250 7/15/2014 10,000 10,125
Arch Western Finance 6.750 7/1/2013 25,000 25,813
Ball Corp. 6.875 12/15/2012 10,000 10,500
Berry Plastics 10.750 7/15/2012 25,000 27,281
Compression Polymers Holdings 144A 10.500 7/1/2013 15,000 15,000
Earle M Jorgenson Co. 9.750 6/1/2012 35,000 37,800
Equistar Chemicals LP/Equistar Funding Corp. 10.625 5/1/2011 55,000 60,706
Freeport-McMoRan Copper & Gold, Inc. 10.125 2/1/2010 60,000 66,750
Freeport-McMoRan Copper & Gold, Inc. 6.875 2/1/2014 40,000 39,000
Georgia-Pacific Corp. 7.375 7/15/2008 150,000 159,563
Georgia-Pacific Corp. 8.000 1/15/2024 75,000 86,250
Georgia-Pacific Corp.(*) 8.875 2/1/2010 155,000 175,925
International Steel Group, Inc. 6.500 4/15/2014 75,000 72,000
KRATON Polymers LLC/Capital Corp. 144A(*) 8.125 1/15/2014 5,000 4,813
Lubrizol Corp. 4.625 10/1/2009 75,000 75,009
Lubrizol Corp. 5.500 10/1/2014 100,000 103,132
Lyondell Chemical Co. 9.625 5/1/2007 55,000 58,713
Nalco Co.(*) 8.875 11/15/2013 100,000 107,250
Neenah Paper, Inc. 144A 7.375 11/15/2014 5,000 4,850
Peabody Energy Corp. 6.875 3/15/2013 40,000 42,400
Steel Dynamics, Inc. 9.500 3/15/2009 110,000 116,875
Stone Container Corp. 8.375 7/1/2012 115,000 116,150
United States Steel Corp. 9.750 5/15/2010 34,000 36,720
Westlake Chemical Corp. 8.750 7/15/2011 33,000 35,888
-----------
1,488,513
-----------
CAPITAL GOODS--8.0%
Accuride Corp 8.500 2/1/2015 110,000 107,525
Alliant Techsystems, Inc. 8.500 5/15/2011 35,000 37,363
Alliant Techsystems, Inc. 144A 2.750 2/15/2024 15,000 15,656
Crown Cork & Seal Co, Inc. 7.375 12/15/2026 240,000 220,200
Esterline Technologies Corp. 7.750 6/15/2013 40,000 42,400
L-3 Communications Corp. 6.125 7/15/2013 85,000 85,425
Leucadia National Corp. 7.000 8/15/2013 90,000 90,000
National Waterworks, Inc. 10.500 12/1/2012 30,000 33,750
Norcraft Finance Co. 9.000 11/1/2011 15,000 15,450
Owens-Brockway 7.750 5/15/2011 50,000 53,125
Owens-Illinois, Inc. 7.500 5/15/2010 95,000 99,750
Owens-Illinois, Inc.(*) 7.800 5/15/2018 120,000 126,000
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS (CONTINUED)
Pinnacle Foods Holding(*) 8.250% 12/1/2013 USD 45,000 $ 40,275
Silgan Holdings, Inc. 6.750 11/15/2013 35,000 36,050
Solo Cup Co.(*) 8.500 2/15/2014 25,000 23,375
Texas Industries, Inc. 144A 7.250 7/15/2013 5,000 5,125
Texas Industries, Inc. 10.250 6/15/2011 80,000 92,700
Trinity Industries LE 6.500 3/15/2014 100,000 99,500
-----------
1,223,669
-----------
CONSUMER CYCLICAL--2.4%
Couche-Tard 7.500 12/15/2013 35,000 36,750
Domino's, Inc. 8.250 7/1/2011 38,000 40,470
Fisher Scientific International 6.750 8/15/2014 75,000 78,375
Keystone Automotive Operation 9.750 11/1/2013 35,000 34,650
Leslie's Poolmart 7.750 2/1/2013 40,000 40,400
PQ Corp. 144A 7.500 2/15/2013 10,000 9,825
Russell Corp. 9.250 5/1/2010 62,000 65,410
Scotts Co. 6.625 11/15/2013 30,000 30,975
Visteon Corp. 8.250 8/1/2010 30,000 27,750
-----------
364,605
-----------
CONSUMER NONCYCLICAL--7.3%
Alliance One International 144A 11.000 5/15/2012 25,000 25,750
Altria Group, Inc. 7.000 11/4/2013 45,000 50,359
Chattem, Inc. 7.000 3/1/2014 70,000 72,275
Chattem, Inc. (a) 6.330 3/1/2010 25,000 25,250
Del Monte Corp. 8.625 12/15/2012 75,000 82,500
Elizabeth Arden, Inc. 7.750 1/15/2014 20,000 20,850
Goodyear Tire & Rubber 144A 9.000 7/1/2015 100,000 98,250
Ingles Markets, Inc. 8.875 12/1/2011 50,000 50,813
Rite Aid Corp. 8.125 5/1/2010 70,000 72,100
Rite Aid Corp. 9.500 2/15/2011 45,000 47,925
Rite Aid Corp.(*) 12.500 9/15/2006 190,000 205,200
RJ Reynolds Tobacco Holdings, Inc.(*) 7.750 5/15/2006 45,000 46,238
Smithfield Foods, Inc. 7.750 5/15/2013 55,000 59,950
Stater Brothers Holdings (a) 6.910 6/15/2010 65,000 64,350
Stater Brothers Holdings(*) 8.125 6/15/2012 200,000 195,000
-----------
1,116,810
-----------
ENERGY--10.1%
ANR Pipeline Co. 7.375 2/15/2024 20,000 21,160
ANR Pipeline Co. 7.000 6/1/2025 10,000 10,195
Dynegy Holdings, Inc. 144A 9.875 7/15/2010 165,000 182,325
El Paso Natural Gas Co. 8.625 1/15/2022 90,000 104,977
El Paso Natural Gas Co. 7.500 11/15/2026 55,000 57,898
El Paso Natural Gas Co. 8.375 6/15/2032 45,000 52,335
El Paso Production Holding Co. 7.750 6/1/2013 55,000 58,713
Enterprise Products Operating LP 4.625 10/15/2009 85,000 84,620
Frontier Oil Corp. 6.625 10/1/2011 35,000 36,050
Houston Exploration Co. 7.000 6/15/2013 50,000 51,625
Newfield Exploration Co. 8.375 8/15/2012 55,000 60,088
Newfield Exploration Corp. 6.625 9/1/2014 60,000 62,850
Petroleum Ge-Services 10.000 11/5/2010 85,000 95,200
Premcor Refining Group, Inc. 9.500 2/1/2013 65,000 74,750
Southern Natural Gas Co. 8.875 3/15/2010 15,000 16,454
Southern Natural Gas Co. 7.350 2/15/2031 45,000 47,870
The accompanying notes are an integral part of the financial statements.
13
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
Tennessee Gas Pipeline Co. 8.375% 6/15/2032 USD 60,000 $ 70,602
Tesoro Petroleum Corp. 8.000 4/15/2008 20,000 21,100
Transcont Gas Pipe Corp 7.000 8/15/2011 75,000 80,813
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 110,000 130,900
Williams Cos, Inc. 7.750 6/15/2031 40,000 44,100
Williams Cos., Inc. 7.875 9/1/2021 160,000 182,000
-----------
1,546,625
-----------
FINANCIAL--3.2%
Crystal US Holdings 9.625 6/15/2014 69,000 77,280
Crystal US Holdings (b) 0.000 10/1/2014 92,000 64,860
Ford Motor Credit Co. 7.375 10/28/2009 35,000 34,202
General Motors Accept Corp.(*) 7.750 1/19/2010 110,000 107,530
Glencore Funding LLC 144A 6.000 4/15/2014 65,000 62,328
Residential Capital Corp. 144A 6.375 6/30/2010 105,000 105,505
Residential Capital Corp. 144A 6.875 6/30/2015 30,000 30,661
-----------
482,366
-----------
INDUSTRIAL--2.7%
Douglas Dynamics LLC 144A 7.750 1/15/2012 290,000 284,200
Goodman Global Holdings 144A (a) 6.410 6/15/2012 130,000 128,050
-----------
412,250
-----------
MEDIA--7.6%
American Media Operation, Inc. 10.250 5/1/2009 45,000 45,113
Cablevision Systems Corp. (a) 7.890 4/1/2009 115,000 115,288
CBD Media, Inc. 8.625 6/1/2011 50,000 51,500
CSC Holdings, Inc. 8.125 8/15/2009 65,000 65,813
Dex Media West LLC/Dex Media Finance Co.(*) 8.500 8/15/2010 25,000 27,250
Dex Media West LLC/Dex Media Finance Co. 9.875 8/15/2013 28,000 31,920
Dex Media West LLC/Dex Media Finance Co. 8.000 11/15/2013 30,000 31,875
DirecTV Holdings LLC 8.375 3/15/2013 58,000 64,235
Echostar DBS Corp. 5.750 10/1/2008 54,000 53,663
Entercom Radio LLC/Entercom Capital, Inc. 7.625 3/1/2014 15,000 15,638
Entravision Communications Corp. 8.125 3/15/2009 100,000 104,125
Nextel Communications, Inc. 6.875 10/31/2013 85,000 90,844
PX Escrow Corp. 9.625 2/1/2006 105,000 84,000
Radio One, Inc. 8.875 7/1/2011 20,000 21,475
RH Donnelley Finance Corp. 144A 8.875 12/15/2010 75,000 81,938
RH Donnelley Finance Corp. 144A 10.875 12/15/2012 105,000 122,063
Salem Communications Corp. 7.750 12/15/2010 130,000 135,200
Sinclair Broadcast Group, Inc. 4.875 7/15/2018 25,000 22,688
-----------
1,164,628
-----------
REAL ESTATE--0.7%
BF Saul Reit 7.500 3/1/2014 100,000 103,500
-----------
SERVICES: CYCLICAL--10.3%
AMC Entertainment, Inc. 8.000 3/1/2014 65,000 57,688
American Casino & Entertainment Properties LLC 7.850 2/1/2012 25,000 26,500
Ameristar Casinos, Inc. 10.750 2/15/2009 170,000 184,875
Argosy Gaming Co. 7.000 1/15/2014 60,000 66,075
Carmike Cinemas 7.500 2/15/2014 90,000 81,563
Chumash Casino & Resort Enterprises 144A 9.260 7/15/2010 55,000 59,538
Cinemark USA, Inc. 9.000 2/1/2013 45,000 46,238
Continental Airlines, Inc. 8.307 4/2/2018 58,621 48,743
Corrections Corp Of America 7.500 5/1/2011 20,000 20,825
The accompanying notes are an integral part of the financial statements.
14
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES: CYCLICAL (CONTINUED)
Isle of Capri Casinos 7.000% 3/1/2014 USD 100,000 $ 100,500
John Q Hammons Hotels LP/John Q Hammons Hotels Finance Corp. III 8.875 5/15/2012 25,000 27,250
Kansas City Southern Railway 7.500 6/15/2009 85,000 87,763
Meristar Hospitality Corp. 9.500 4/1/2010 60,000 75,975
Meristar Hospitality Operating Partnership LP(*) 10.500 6/15/2009 65,000 69,550
Mohegan Tribal Gaming Authority(*) 8.000 4/1/2012 65,000 69,550
Mohegan Tribal Gaming Authority(*) 7.125 8/15/2014 105,000 109,988
Penn National Gaming, Inc. 144A(*) 6.750 3/1/2015 20,000 19,850
Pinnacle Entertainment, Inc. 8.750 10/1/2013 55,000 58,300
Seneca Gaming Corp. 144A 7.250 5/1/2012 15,000 15,506
Speedway Motorsports, Inc. 6.750 6/1/2013 110,000 113,300
Station Casinos, Inc.(*) 6.000 4/1/2012 110,000 111,650
True Temper Sports, Inc. 8.375 9/15/2011 35,000 32,463
Turning Stone Casino Resort Enterprise 144A 9.125 12/15/2010 85,000 89,888
-----------
1,573,578
-----------
SERVICES: NON-CYCLICAL--2.8%
Allied Waste North America 8.500 12/1/2008 50,000 52,438
Browning-Ferris Industries 9.250 5/1/2021 35,000 35,438
Coventry Health Care,Inc. 5.875 1/15/2012 135,000 137,363
Kinetic Concepts, Inc. 7.375 5/15/2013 29,000 30,305
Neighborcare, Inc. 6.875 11/15/2013 15,000 15,675
Psychiatric Solutions 144A 7.750 7/15/2015 10,000 10,000
Service Corp International 144A 7.000 6/15/2017 25,000 25,688
Tenet Healthcare Corp. 144A 9.250 2/1/2015 110,000 114,125
-----------
421,032
-----------
TECHNOLOGY & ELECTRONICS--1.9%
Communications & Power Industries, Inc. 8.000 2/1/2012 10,000 10,050
Freescale Semiconductor Inc.(*) 6.875 7/15/2011 210,000 222,600
Freescale Semiconductor, Inc. (a)(*) 5.891 7/15/2009 55,000 57,131
-----------
289,781
-----------
TELECOMMUNICATIONS--5.1%
Airgate PCS, Inc. (a) 6.891 10/15/2011 15,000 15,338
Alamosa Delaware, Inc. 8.500 1/31/2012 55,000 57,681
American Tower Corp. 9.375 2/1/2009 24,000 25,170
Consolidated Communications Illinois/Texas Holdings, Inc. 144A 9.750 4/1/2012 80,000 83,800
Hawaiian Telcom Communication 144A (a) 8.914 5/1/2013 35,000 36,050
MCI, Inc. 6.908 5/1/2007 63,000 63,866
Panamsat Corp. 9.000 8/15/2014 22,000 24,008
Qwest Communications International 144A (a) 7.268 2/15/2009 65,000 63,863
Qwest Communications International 144A 7.500 2/15/2014 130,000 123,013
Qwest Corp. 144A 7.875 9/1/2011 100,000 104,250
Rural Cellular Corp. 8.250 3/15/2012 30,000 31,350
Ubiquitel Operating Co.(*) 9.875 3/1/2011 80,000 87,800
US Unwired, Inc. (a) 7.660 6/15/2010 65,000 66,788
-----------
782,977
-----------
UTILITIES--9.1%
AES Corp. 8.875 2/15/2011 35,000 39,025
AES Corp. 144A 8.750 5/15/2013 215,000 240,263
Aes Gener SA 7.500 3/25/2014 40,000 40,647
CMS Energy Corp. 7.750 8/1/2010 50,000 53,750
CMS Energy Corp. 8.500 4/15/2011 30,000 33,450
CMS Energy Corp.(*) 9.875 10/15/2007 60,000 65,400
The accompanying notes are an integral part of the financial statements.
15
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
DPL, Inc. 6.875% 9/1/2011 USD 110,000 $ 118,800
Monongahela Power 6.700 6/15/2014 35,000 39,858
MSW Energy Holdings 7.375 9/1/2010 110,000 112,750
Nevada Power Co. 6.500 4/15/2012 45,000 47,025
Nevada Power Co. 5.875 1/15/2015 90,000 90,450
Northwestern Corp. 144A 5.875 11/1/2014 25,000 25,625
NRG Energy, Inc. 144A 8.000 12/15/2013 33,000 34,815
Reliant Energy, Inc. 6.750 12/15/2014 75,000 73,313
Reliant Energy, Inc. 9.250 7/15/2010 25,000 27,250
TECO Energy, Inc. 7.500 6/15/2010 25,000 27,250
Texas Genco LLC/Financing 144A 6.875 12/15/2014 65,000 68,413
Txu Corp. 144A 4.800 11/15/2009 85,000 83,450
Txu Corp. 144A 5.550 11/15/2014 170,000 164,876
-----------
1,386,410
-----------
Total Corporate Bonds (Cost $12,254,367) 12,677,191
-----------
MUNICIPAL--0.2%
South Carolina Tobacco Settlement Authority (Cost $26,902) 6.000 5/15/2022 30,000 31,720
-----------
SOVEREIGN BONDS--1.5%
Republic of Argentina 2.000 1/3/2010 25,000 14,433
Republic of Argentina 8.280 12/31/2033 13,246 12,193
Republic of Brazil 8.750 2/4/2025 5,000 5,140
Republic of Brazil (a) 2.063 4/15/2012 24,706 23,764
Republic of Brazil(*) 10.125 5/15/2027 5,000 5,793
Republic of Colombia(*) 10.000 1/23/2012 5,000 5,830
Republic of Colombia 10.750 1/15/2013 5,000 6,088
Republic of Colombia 8.125 5/21/2024 5,000 4,975
Republic of Ecuador 144A 8.000 8/15/2030 10,000 8,400
Republic of Panama 9.625 2/8/2011 5,000 5,950
Republic of Peru 5.000 3/7/2017 17,000 16,193
Republic of Peru 8.750 11/21/2033 5,000 5,638
Republic of Venezuela 5.375 8/7/2010 25,000 23,250
Republic of Venezuela (a) 2.150 4/20/2011 15,000 13,688
Russian Federation 5.000 3/31/2030 30,000 33,600
Russian Ministry of Finance 3.000 5/14/2008 25,000 23,594
Ukraine Government Senior Notes 11.000 3/15/2007 11,201 11,817
-----------
Total Sovereign Bonds (Cost $202,039) 220,346
-----------
YANKEE BONDS--7.5%
Braskem Sa 144A 12.500 11/5/2008 10,000 11,738
Crown European Holdings SA 9.500 3/1/2011 135,000 149,175
Intelsat Bermuda Ltd. 144A (a) 7.805 1/15/2012 90,000 91,575
INVISTA 144A(*) 9.250 5/1/2012 120,000 131,100
Jean Coutu Group(*) 7.625 8/1/2012 25,000 25,813
JSG Funding PLC 9.625 10/1/2012 50,000 50,000
Norampac, Inc. 6.750 6/1/2013 25,000 25,063
Quebecor Media, Inc. 11.125 7/15/2011 50,000 55,563
Rogers Wireless Inc. 8.000 12/15/2012 50,000 53,875
Rogers Wireless, Inc. (a) 6.535 12/15/2010 55,000 57,338
Royal Caribbean Cruises 8.000 5/15/2010 50,000 55,375
Royal Caribbean Cruises Ltd. 8.750 2/2/2011 155,000 178,638
Royal Caribbean Cruises Ltd. 8.750 5/18/2021 10,000 7,563
Russel Metals, Inc. 6.375 3/1/2014 25,000 23,375
The accompanying notes are an integral part of the financial statements.
16
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE BONDS (CONTINUED)
Stena AB 9.625% 12/1/2012 USD 25,000 $ 27,250
Stena AB 7.500 11/1/2013 25,000 24,625
Telenet Group Holding NV 144A Senior Step up Notes (b)* 0.000 6/15/2014 70,000 54,425
Tembec Industries, Inc. 7.750 3/15/2012 80,000 58,800
Tyco International Group SA 3.125 1/15/2023 40,000 55,300
-----------
Total Yankee Bonds (Cost $1,083,810) 1,136,591
-----------
FOREIGN DENOMINATED--1.9%
EURO--1.9%
Culligan Finance Corp., BV 144A 8.000 10/1/2014 EUR 30,000 38,397
General Motors Acceptance Corp. 5.375 6/6/2011 30,000 32,296
NTL Cable Plc 8.750 4/15/2014 60,000 76,612
Remy Cointreau S.A. 144A 6.500 7/1/2010 20,000 25,779
Telenet Communications NV 144A (a) 9.000 12/15/2013 90,000 123,360
-----------
Total Foreign Denominated (Cost $263,220) 296,444
-----------
TOTAL BONDS AND NOTES (Cost $13,870,338) 14,414,049
-----------
COMMON STOCKS--0.2% SHARES
------
MCI, Inc. (Cost $0) USD 949 24,399
-----------
CONVERTIBLE PREFERRED STOCKS--1.9%
Fannie Mae 7.00% CVT Pfd 300 16,641
Omnicare, Inc. 4.00% CVT Pfd 300 17,588
Sovereign Capital Trust IV 4.375% CVT Pfd 5,900 259,574
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $323,000) 293,803
-----------
WARRANTS--0.0%
Communications-0.0%
McLeodUSA, Inc., 04/17/2007 (@) (Cost $40,793) USD 3,379 17
-----------
INVESTMENT OF CASH COLLATERAL--13.7%
BlackRock Cash Strategies L.L.C. ((+)) (Cost $ 2,091,700) 2,091,700 2,091,700
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $16,325,831) 16,823,968
-----------
AFFILIATED INVESTMENTS--1.8%
Dreyfus Institutional Preferred Plus Money Market Fund ((+)(+)) (Cost $267,407) 267,407 267,407
-----------
TOTAL INVESTMENTS--112.1% (COST $16,593,238) 17,091,375
LIABILITIES IN EXCESS OF OTHER ASSETS--(12.1%) (1,842,808)
-----------
NET ASSETS--100.0% $15,248,567
===========
NOTES TO SCHEDULE OF INVESTMENTS:
CVT--Convertible
REIT--Real Estate Investment Trust
(a) Variable Rate Security; rate indicated is as if 6/30/05.
(b) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specific rate and date. The rate shown is the rate at
period end. The maturity date shown is the ultimate maturity.
EUR--Euro
* Security, or a portion of thereof, was on loan at 6/30/05.
Step Up--Coupon rate increases in increments to maturity. Rate disclosed is as
of 6/30/05. Maturity date disclosed is the ultimate maturity.
@ Non-income producing
(+) Money market fund exempt from registration under the Investment Company
Act of 1940 offered only to eligible investors.
(++) Affiliated institutional money market fund.
The accompanying notes are an integral part of the financial statements.
17
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Portfolio held the following forward foreign currency
exchange contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 80,000 2/22/2006 $ 31,400 $ 27,220 $ (4,180)
Brazilian Real 80,000 5/22/2006 30,572 30,155 (417)
Euro 244,000 9/21/2005 296,273 296,926 653
-------- -------- --------
TOTAL $358,245 $354,301 $ (3,944)
======== ======== ========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 160,000 2/22/2006 $ 62,801 $ 54,589 $ 8,212
======== ======== ========
TOTAL
At June 30, 2005, the Portfolio held the following open swap contract:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Merrill Lynch, dated 7/14/2004
to receive 1.60% per year times the notional amount.
The Portfolio makes payment, of the notional amount times
the difference between the par value and the then-market
value of Georgia Pacific Corp., 8.125% due 5/15/2011,
only upon a credit event by Georgia Pacific Corp. 6/20/2009 170,000 USD $ 2,450
Agreement with Bear Stearns, dated 11/17/2004
to receive the notional amount multiplied by 3.90700%
and to pay the notional amount multiplied by the
3 month LIBOR. 11/19/2009 25,000 USD (58)
Agreement with Merrill Lynch, dated 7/14/04 to pay
0.77% per year times the notional amount. The Portfolio
receives payment, of the notional amount times the difference
between the par value and the then-market value of
Mead Westvaco Corp., 6.85% due 4/01/2012, only upon a
credit event by Mead Westvaco Corp. 6/20/2009 170,000 USD (750)
Agreement with Bear Stearns, dated 11/17/2004 to receive
2.84% per year times the notional amount. The Portfolio
makes payment, of the notional amount times the difference
between the par value and the then-market market value
of Ukraine Government, 7.65% due 6/11/13, only upon a
credit event by Ukraine Government. 12/20/2009 25,000 USD 858
-------
Total Swap Value $ 2,500
=======
The accompanying notes are an integral part of the financial statements.
18
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $2,043,897 (Note 6))
Unaffiliated issuers, at value (Note 1A) (cost $16,325,831) $16,823,968
Affiliated issuers, at value (Note 1A) (cost $267,407) (Note 1H) 267,407
Cash 299
Foreign currency, at value (cost $67) 69
Receivable for investments sold 33,198
Interest and dividends receivable 268,895
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 8,865
Swap contracts, at value (Note 5) 3,308
Prepaid expenses 6,656
-----------
Total assets 17,412,665
LIABILITIES
Collateral for securities on loan (Note 6) $ 2,091,700
Payable for investments purchased 31,281
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 4,597
Swap contracts, at value (Note 5) 808
Accrued professional fees 21,347
Accrued accounting, administration and custody fees (Note 2) 10,417
Accrued trustees' fees and expenses (Note 2) 3,948
-----------
Total liabilities 2,164,098
-----------
NET ASSETS $15,248,567
===========
The accompanying notes are an integral part of the financial statements.
19
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $ 1,277,248
Interest income from affiliated investments (Note 1H) 5,286
Security lending income (Note 6) 7,517
Dividend income (net of foreign withholding taxes of $338) 20,452
------------
Total investment income 1,310,503
EXPENSES
Investment advisory fee (Note 2) $ 89,918
Accounting, administration and custody fees (Note 2) 51,248
Professional fees 23,805
Trustees' fees and expenses (Note 2) 5,342
Miscellaneous expenses 3,101
------------
Total expenses 173,414
DEDUCT:
Waiver of investment advisory fee (Note 2) (83,502)
------------
Net expenses 89,912
------------
Net investment income 1,220,591
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 1,159,484
Swap transactions 1,347
Foreign currency transactions and forward foreign currency exchange contracts 90,337
------------
Net realized gain (loss) 1,251,168
Change in unrealized appreciation (depreciation) on:
Investment securities (2,638,981)
Swaps transactions (4,758)
Foreign currency and forward currency exchange contracts 51,615
------------
Change in net unrealized appreciation (depreciation) (2,592,124)
------------
Net realized and unrealized gain (loss) (1,340,956)
------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (120,365)
============
The accompanying notes are an integral part of the financial statements.
20
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 1,220,591 $ 4,084,657
Net realized gain (loss) 1,251,168 1,476,264
Change in net unrealized appreciation (depreciation) (2,592,124) (438,129)
------------ ------------
Net increase (decrease) in net assets from operations (120,365) 5,122,792
------------ ------------
CAPITAL TRANSACTIONS
Contributions 1,981,466 10,724,449
Withdrawals (43,340,620) (16,197,718)
------------ ------------
Net increase (decrease) in net assets from capital transactions (41,359,154) (5,473,269)
------------ ------------
TOTAL INCREASE IN NET ASSETS (41,479,519) (350,477)
NET ASSETS
At beginning of period 56,728,086 57,078,563
------------ ------------
At end of period $ 15,248,567 $ 56,728,086
============ ============
The accompanying notes are an integral part of the financial statements.
21
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 ------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(a) 2000
-------- -------- -------- -------- -------- --------
TOTAL RETURN (b) 1.47%(c) 9.56% 21.76% 4.71% 1.54% 2.84%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.50%(d) 0.50% 0.50% 0.50% 0.50% 0.37%
Net Investment Income (to average
daily net assets)* 6.83%(d) 7.28% 7.79% 8.66% 8.87% 10.37%
Portfolio Turnover 10%(c) 51% 80% 130% 117% 148%
Net Assets, End of Year (000's omitted) $ 15,249 $ 56,728 $ 57,079 $ 44,144 $ 47,048 $ 31,818
- -----------
(*) For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/ or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Ratios (to average daily net assets):
Expenses(*) 0.97%(d) 0.76% 0.85% 0.82% 0.81% 0.89%
Net investment income(*) 6.36%(d) 7.02% 7.44% 8.34% 8.56% 9.85%
(a) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease the ratio of the net investment income to
average net assets from 9.20% to 8.87%. Ratios for the periods prior to
January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Total return for the Portfolio has been calculated based on the total
return for the invested Fund, assuming all distributions were reinvested,
and adjusted for the difference in expenses as set out in the notes to the
financial statements. Total return would have been lower in the absence of
expense waivers.
(c) Not annualized.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
22
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the State of New York on
January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Mellon High Yield Bond Portfolio (the "Portfolio") is a separate
diversified investment series of the Portfolio Trust.
The objective of the Portfolio is to maximize total return, consisting
primarily of a high level of income. The Portfolio seeks to achieve its
objective by investing, under normal circumstances, at least 80% of net
assets in fixed income securities issued by U.S. and foreign governments,
companies and banks, as well as tax-exempt securities, preferred stocks and
warrants.
At June 30, 2005 there was one fund, Standish Mellon High Yield Bond Fund
(the "Fund"), invested in the Portfolio. The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in the net
assets of the Portfolio. The Fund's proportionate interest at June 30, 2005
was approximately 100%.
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the
Portfolio acquires a short-term instrument with more than sixty days
remaining to its maturity, it is valued at current market value until the
sixtieth day prior to maturity and will then be valued at amortized value
based upon the value on such date unless the Trustees determine during such
sixty-day period that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of trade date of shareholder
transactions. Interest income is determined on the basis of interest
accrued, adjusted for accretion of discount or amortization of premium
using the yield - to - maturity method on long-term debt securities and
short-term securities with greater than sixty days to maturity. Realized
gains and losses from securities sold are recorded on the identified cost
basis. The Portfolio does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments
from the fluctuations arising from changes in market prices of securities
held. Such fluctuations are included with the net realized and unrealized
gain or loss from investments. Net realized gains and losses on foreign
currency transactions represent gains and losses on disposition of foreign
currencies and forward foreign currency exchange contracts, currency gains
and losses realized between the trade and settlement dates on securities
transactions, and the difference between the amount of investment income
and foreign withholding taxes recorded on the Portfolio's books and the
U.S. dollar equivalent amounts actually received or paid.
C. INCOME TAXES
The Portfolio is treated as a disregarded entity for federal tax purposes.
No provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since the Portfolio's
only investor is a regulated investment company that invests all or
substantially all of its assets in the Portfolio, the Portfolio normally
must satisfy the source of income and diversification requirements
applicable to regulated investment companies (under the Internal Revenue
Code) in order for its investors to satisfy them. The Portfolio allocates
at least annually its net investment income, net realized capital gains,
and any other items of income, gain, loss deduction or credit.
23
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current currency exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
E. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
F. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund or portfolio are allocated taking
into consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Portfolio may enter into contracts
and agreements that contain a variety of representations and warranties,
which provide general indemnifications. The maximum exposure to the
Portfolio under these arrangements is unknown, as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
However, based on experience, the Portfolio expects the risks of loss to be
remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory and administrative services is paid monthly at the annual rate of
0.50% of the Portfolio's average daily net assets. Standish Mellon
voluntarily agreed to limit the Portfolio's total annual operating expenses
(excluding brokerage commissions, taxes and extraordinary expenses) to
0.50% of the Portfolio's average daily net assets for the period ended June
30, 2005. Pursuant to this agreement, for the period ended June 30, 2005,
Standish Mellon voluntarily did not impose $83,502 of its investment
advisory fees. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Portfolio compensates Mellon Bank, N.A. under a custody, administration
and accounting services agreement for providing custody, fund
administration and fund accounting services for the Portfolio. Pursuant to
this agreement the Portfolio paid $51,414 during the period ended June 30,
2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 6 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay for a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
24
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
----------- -----------
Investments (non-U.S.
Government Securities) $ 3,564,780 $42,342,227
=========== ===========
(4) FEDERAL TAXES:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2005, as computed on a federal
income tax basis, were as follows:
Aggregate Cost $16,593,238
===========
Gross unrealized appreciation 723,475
Gross unrealized depreciation (225,338)
-----------
Net unrealized appreciation (depreciation) $ 498,137
===========
(5) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Portfolio Trust's registration statement.
The Portfolio may trade the following financial instruments with
off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Portfolio may use options to seek to hedge against
risks of market exposure and changes in security prices and foreign
currencies, as well as to seek to enhance returns. Writing puts and buying
calls tend to increase the Portfolio's exposure to the underlying
instrument. Buying puts and writing calls tend to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio
investments. Options, both held and written by the Portfolio, are reflected
in the accompanying Statement of Assets and Liabilities at market value.
The underlying face amount at value of any open purchased options is shown
in the Schedule of Investments. This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise from
changes in the value of the underlying instruments if there is an illiquid
secondary market for the contract or if the counterparty does not perform
under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Portfolio is exercised, the premium reduces
the cost basis of the securities purchased by the Portfolio. The Portfolio,
as a writer of an option, has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security
underlying the written option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Portfolio did not hold any option transactions.
25
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FORWARD CURRENCY EXCHANGE CONTRACTS
The Portfolio may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Portfolio primarily to protect the value of the Portfolio's foreign
securities from adverse currency movements. Unrealized appreciation and
depreciation of forward currency exchange contracts is included in the
Statement of Assets and Liabilities.
At June 30, 2005, the Portfolio held foreign currency exchange contracts.
See Schedule of Investments for further details.
SWAP AGREEMENTS
The Portfolio may enter into swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Portfolio may enter into interest rate and credit
default swap agreements to manage its exposure to interest rates and credit
risk. Interest rate swap agreements involve the exchange by the Portfolio
with another party of their respective commitments to pay or receive
interest, e.g., an exchange of floating rate payments for fixed rate
payments with respect to a notional amount of principal. In a credit
default swap, one party makes a stream of payments to another party in
exchange for the right to receive a specified return in the event of a
default by a third party on its obligation. The Portfolio may use credit
default swaps to provide a measure of protection against defaults of
issuers (i.e., to reduce risk where the Portfolio owns or has exposure to
the corporate or sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular corporate or
sovereign issuer's default. In connection with these agreements, cash or
securities may be set aside as collateral in accordance with the terms of
the swap agreement. The Portfolio earns interest on cash set aside as
collateral. Swaps are marked to market daily based upon quotations from
market makers and change in value, if any, is recorded as unrealized gain
or loss in the Statement of Operations. These financial instruments are not
actively traded on financial markets. The values assigned to these
instruments are based upon the best available information and because of
the uncertainty of the valuation, these values may differ significantly
from the values that would have been realized had a ready market for these
instruments existed, and differences could be material. Payments received
or made from credit default swaps at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Net
payments of interest on interest rate swap agreements, if any, are included
as part of realized gain or loss. Entering into these agreements involves,
to varying degrees, elements of credit, market, and documentation risk in
excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there will be no
liquid market for these agreements, that the counterparty to the agreements
may default on its obligation to perform or disagree as to the meaning of
contractual terms in the agreements, and that there may be unfavorable
changes in interest rates.
At June 30, 2005, the Portfolio held swap contracts. See Schedule of
Investments for further details.
(6) SECURITY LENDING:
The Portfolio may lend its securities to financial institutions which the
Portfolio deems to be creditworthy. The loans are collateralized at all
times with cash or securities with a market value at least equal to the
market value of the securities on loan. The market value of securities
loaned is determined daily and any additional required collateral is
allocated to the Portfolio on the next business day. For the duration of a
loan, the Portfolio receives the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives compensation
from the investment of the collateral. As with other extensions of credit,
the Portfolio bears the risk of delay in recovery or even loss of rights in
its securities on loan should the borrower of the securities fail
financially or default on its obligations to the Portfolio. In the event of
borrower default, the Portfolio generally has the right to use the
collateral to offset losses incurred. The Portfolio may incur a loss in the
event it was delayed or prevented from exercising its rights to dispose of
the collateral. The Portfolio also bears the risk in the event that the
interest and/or dividends received on invested collateral is not sufficient
to meet the Portfolio's obligations due on the loans.
The Portfolio loaned securities during the period ended June 30, 2005
resulting in $7,517 of security lending income. At June 30, 2005, the
Portfolio had securities valued at $2,043,897 on loan. See the Statement of
Investments for further detail on the security positions on loan and
collateral held.
(7) DELAYED DELIVERY TRANSACTIONS:
The Portfolio may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Portfolio
instructs its custodian to segregate securities having value at least equal
to the amount of the purchase commitment.
26
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Portfolio may enter into to be announced ("TBA") purchase commitments
to purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Portfolio holds, and maintains until settlement date, cash or
high-grade debt obligations in an amount sufficient to meet the purchase
price, or the Portfolio may enter into offsetting contracts for the forward
sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a 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 the current market value of the
underlying securities, according to the procedures described under
"Investment security valuations" above.
The Portfolio may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Portfolio as an unrealized gain or loss. If the TBA sale commitment is
closed through the acquisition of an offsetting purchase commitment, the
Portfolio 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. See Schedule of Investments for further details.
At June 30, 2005, the Portfolio did not hold delayed delivery securities.
(8) CONCENTRATION OF RISK:
The Portfolio invests in low rated (non-investment grade) and comparable
quality unrated high yield securities. Investments in high yield securities
are accompanied by a greater degree of credit risk and the value of high
yield securities tends to be more sensitive to economic conditions than
higher rated securities. The risk of loss due to default of an issuer may
be significantly greater for holders of high yield securities, because such
securities are generally unsecured and are often subordinated to other
creditors of the issuer.
There are certain additional considerations and risks associated with
investing in foreign securities and currency transactions that are not
inherent with investments of domestic origin. The Portfolio's investment in
emerging market countries may involve greater risks than investments in
more developed markets and the price of such investments may be volatile.
These risks of investing in foreign and emerging markets may include
foreign currency exchange rate fluctuations, perceived credit risk, adverse
political and economic developments and possible adverse foreign government
intervention.
(9) LINE OF CREDIT:
The Portfolio, and other subtrusts in the Portfolio Trust and funds in the
Trust are parties to a committed line of credit facility, which enables
each portfolio/fund to borrow, in the aggregate, up to $35 million.
Interest is charged to each participating portfolio/fund based on its
borrowings at a rate equal to the Federal Funds effective rate plus 1/2 of
1%. In addition, a facility fee, computed at an annual rate of 0.060 of 1%
on the daily unused portion of the facility, is allocated ratably among the
participating portfolios/funds at the end of each quarter. For the period
ended June 30, 2005, a facility fee of $281 was allocated to the Portfolio
During the period ended June 30, 2005, the Portfolio had average borrowings
outstanding of $591,247 on a total of thirty eight days and incurred $2,063
of interest expense.
27
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None Fund: $250
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Portfolio: $747
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None Fund: $250
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $815
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None Fund: $250
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $747
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None Fund: $250
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $747
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None Fund: $0
Mellon Institutional and Chief Operating Officer of Portfolio: $0
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
28
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
29
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0943SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
GLOBAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at http:
//melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- ---------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,027.00 $3.27
Hypothetical (5% return
per year before expenses) $1,000.00 $1,021.57 $3.26
- -------
(+) Expenses are equal to the Fund's annualized expense ratio of .65%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
3
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
Australian Government 5.250 8/15/2010 12.2%
United Kingdom Gilt 4.000 3/7/2009 7.5
U.S. Treasury Inflation-Indexed Bond 3.375 1/15/2007 7.2
Netherlands Government Bond 5.500 7/15/2010 6.3
United Kingdom Gilt 4.750 6/7/2010 4.0
Belgium Government Bond 4.250 9/28/2013 3.9
Singapore Government 5.625 7/1/2008 3.4
United Kingdom Gilt 8.000 9/27/2013 2.0
Swedish Government 5.250 3/15/2011 2.0
FCE Bank PLC 2.389 6/28/2006 2.0
------
50.5%
* Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
TOP TEN COUNTRIES INVESTMENTS
--------------------------------------------
United States 26.1%
United Kingdom 17.4
Australia 15.2
Netherlands 8.5
Belgium 4.1
Germany 3.5
Singapore 3.4
Denmark 3.0
France 2.8
Sweden 2.2
------
86.2%
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
--------------------------------------------
Government 62.6%
Credit 29.1
Mortgage pass thru 1.9
Collateralized 1.2
ABS/CMBS/CMO 0.5
Emerging Markets 4.7
------
100.0%
The Standish Mellon Global Fixed Income Fund invests all of its investable
assets in an interest of the Standish Mellon Global Fixed Income Portfolio
(See Note 1 of the Fund's Notes to Financial Statements). The Portfolio is
actively managed. Current holdings may be different than those presented
above.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Standish Mellon Global Fixed Income Portfolio (Portfolio), at value (Note 1A) $73,398,093
Prepaid expenses 9,095
-----------
Total assets 73,407,188
LIABILITIES
Accrued professional fees $ 8,688
Accrued transfer agent fees (Note 2) 4,187
Accrued trustees' fees (Note 2) 492
-----------
Total liabilities 13,367
-----------
NET ASSETS $73,393,821
===========
NET ASSETS CONSIST OF:
Paid-in capital $88,958,030
Accumulated net realized loss (16,611,280)
Undistributed net investment income 304,512
Net unrealized appreciation 742,559
-----------
TOTAL NET ASSETS $73,393,821
===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 3,638,103
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 20.17
===========
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income allocated from Portfolio $1,587,147
Expenses allocated from Portfolio (233,991)
-----------
Net investment income allocated from Portfolio 1,353,156
EXPENSES
Transfer agent fees (Note 2) $ 3,677
Registration fees 12,967
Professional fees 9,324
Trustees' fees (Note 2) 993
Insurance expense 744
Miscellaneous expenses 4,612
-----------
Total expenses 32,317
DEDUCT:
Reimbursement of Fund operating expenses (Note 2) (32,317)
-----------
Net expenses --
-----------
Net investment income 1,353,156
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio 5,846,173
Change in unrealized appreciation (depreciation) allocated from Portfolio (5,256,205)
-----------
Net realized and unrealized gain (loss) allocated from Portfolio 589,968
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,943,124
===========
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 1,353,156 $ 3,709,860
Net realized gain (loss) 5,846,173 8,814,993
Change in net unrealized appreciation (depreciation) (5,256,205) (7,922,754)
------------ ------------
Net increase (decrease) in net assets from operations 1,943,124 4,602,099
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1C)
From net investment income -- (6,932,393)
------------ ------------
Total distributions to shareholders -- (6,932,393)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 544,392 2,287,428
Value of shares issued to shareholders in reinvestment of distributions -- 6,021,997
Cost of shares redeemed (1,334,809) (79,923,935)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (790,417) (71,614,510)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 1,152,707 (73,944,804)
NET ASSETS
At beginning of period 72,241,114 146,185,918
------------ ------------
At end of period (including undistributed net
investment income of $304,512 and distributions
in excess of net investment income of $1,048,644) $ 73,393,821 $ 72,241,114
============ ============
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF THE YEAR $ 19.64 $ 20.67 $ 19.43 $ 18.45 $ 18.53 $ 18.76
-------- -------- -------- -------- -------- --------
FROM OPERATIONS:
Net investment income(*) (b) 0.37 0.83 0.75 0.82 0.84 1.06
Net realized and unrealized gain
(loss) on investments 0.16 0.20 0.49 0.44 (0.01)(c) 0.71
-------- -------- -------- -------- -------- --------
Total from operations 0.53 1.03 1.24 1.26 0.83 1.77
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (2.06) -- (0.27) (0.91) (2.00)
From tax return of capital -- -- -- (0.01) -- --
-------- -------- -------- -------- -------- --------
Total distributions to shareholders -- (2.06) -- (0.28) (0.91) (2.00)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 20.17 $ 19.64 $ 20.67 $ 19.43 $ 18.45 $ 18.53
======== ======== ======== ======== ======== ========
TOTAL RETURN (D) 2.70%(e) 4.98% 6.38% 6.94% 4.51% 9.79%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets)(*(f)) 0.65%(g) 0.65% 0.65% 0.60% 0.56% 0.56%
Net Investment Income (to average
daily net assets)(*) 3.76%(g) 3.86% 3.74% 4.43% 4.46% 5.59%
Net Assets, End of Year (000's omitted) $ 73,394 $ 72,241 $146,186 $164,582 $359,358 $373,739
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose a portion of its investment advisory fee payable to the Portfolio
and/or reimbursed the Fund for a portion of its operating expenses. If this
voluntary action had not been taken, the investment income per share and
the ratios would have been:
Net investment income per share (b) $ 0.36 $ 0.83 $ 0.74 N/A N/A N/A
Ratios (to average daily net assets):
Expenses (f) 0.79%(g) 0.68% 0.70% N/A N/A N/A
Net investment income 3.62%(g) 3.83% 3.69% N/A N/A N/A
(a) Through its investment in the Portfolio, the Fund has adopted the
provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies effective January 1, 2001 and began amortizing premium and
discount on all debt securities on an effective yield basis. The effect of
this change for the year ended December 31, 2001 was to decrease net
investment income per share by $0.007, increase net realized and unrealized
gains and losses per share by $0.007 and decrease the ratio of net
investment income to average net assets from 4.50% to 4.46%. Per share data
and ratios/supplemental data for the periods prior to January 1, 2001 have
not been restated to reflect this change in presentation.
(b) Calculated based on average shares outstanding,
(c) The amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain/loss for the period due to the
timing of purchases and redemptions of Fund shares in relation to the
fluctuating market values for the Fund.
(d) Total return would have been lower in the absence of expense waivers.
(e) Not annualized.
(f) Includes the Fund's share of the Portfolio's allocated expenses.
(g) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Global Fixed Income Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The objective of the Fund is to maximize total return while realizing a
market level of income consistent with preserving principal and liquidity.
The Fund seeks to achieve its objective by investing all of its investable
assets in an interest of Standish Mellon Global Fixed Income Portfolio (the
"Portfolio"), a subtrust of the Mellon Institutional Funds Master Portfolio
(the "Portfolio Trust"), which is organized as a New York trust and which
has the same investment objective as the Fund. The Portfolio seeks to
achieve its investment objective by investing, under normal circumstances,
at least 80% of its net assets in U.S. and non-U.S. dollar denominated
fixed income securities of U.S. and foreign governments and companies
located in the U.S. and various countries, including emerging markets. The
value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% at June 30, 2005). The performance of the Fund is directly affected by
the performance of the Portfolio. The financial statements of the Portfolio
are included elsewhere in this report and should be read in conjunction
with the Fund's financial statements.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
The Fund records its investment in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions in the Portfolio are recorded as of the settlement
date of shareholder transactions. The Fund's net investment income consists
of the Fund's pro rata share of the net investment income of the Portfolio,
less all expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America. All realized
and unrealized gains and losses of the Portfolio are allocated pro rata
among the investors in the Portfolio.
C. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. In determining the amounts of its dividends,
the Fund will take into account its share of the income, gains or losses,
expenses, and any other tax items of the Portfolio. Dividends from net
investment income and distributions from capital gains, if any, are
reinvested in additional shares of the Fund unless a shareholder elects to
receive them in cash. Income and capital gain distributions are determined
in accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These
differences, which may result in distribution reclassifications, are
primarily due to differing treatments for losses deferred due to wash
sales, foreign currency gains and losses, post-October losses, amortization
and/or accretion of premiums and discounts on certain securities and the
timing of recognition of gains and losses on futures contracts.
Permanent book and tax basis differences will result in reclassifications
to undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments and foreign currency
transactions may include temporary book and tax basis differences which
will reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
D. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund are allocated taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or portfolios.
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON GLOBAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISORY FEE AND TRANSACTIONS WITH AFFILIATES:
The Fund does not directly pay any investment advisory fees, but indirectly
bears its pro rata share of the compensation paid by the Portfolio to
Standish Mellon Asset Management Company LLC ("Standish Mellon"), a
wholly-owned subsidiary of Mellon Financial Corporation, for such services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. Standish Mellon voluntarily agreed to
limit the total operating expenses of the Fund and it's pro rata share of
the Portfolio expenses (excluding commissions, taxes and extraordinary
expenses) to 0.65% of the Fund's average daily net assets. This agreement
is voluntary and temporary and may be discontinued or revised by Standish
Mellon at any time. Pursuant to this agreement, for the period ended June
30, 2005, Standish Mellon voluntarily reimbursed the Fund for $32,317 of
its operating expenses.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$5,484 during the period ended June 30, 2005.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
(3) INVESTMENT TRANSACTIONS:
Increases and decreases in the Fund's investment in the Portfolio for the
period ended June 30, 2005, aggregated $646,349 and $2,264,008,
respectively.
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
------------ ------------
Shares sold 27,446 123,648
Shares issued to shareholders
reinvestment of distributions declared -- 306,932
Shares redeemed (67,087) (3,825,212)
------------ ------------
Net increase (decrease) (39,641) (3,394,632)
============ ============
At June 30, 2005, two shareholders of record held approximately 69% of the
total outstanding shares of the Fund. Investment activity of these
shareholders could have a material impact on the Fund.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes substantially all of its taxable income for its
fiscal year.
See the Portfolio's financial statements included elsewhere in this report
for tax basis unrealized appreciation/ (depreciation) information.
10
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--98.4%
BONDS AND NOTES--98.3%
COLLATERALIZED MORTGAGE OBLIGATION--0.4%
Crown Castle Towers LLC, 2005-1A D 144A (Cost $320,000) 5.612% 6/15/2035 USD 320,000 $ 321,288
-----------
CORPORATE--12.0%
BANKING--0.8%
Hibernia Corp. 5.350 5/1/2014 245,000 251,416
JPMorgan Chase & Co. 5.125 9/15/2014 360,000 368,262
-----------
619,678
-----------
BASIC MATERIALS--0.4%
Freeport-McMoRan Copper & Gold, Inc. 10.125 2/1/2010 130,000 144,625
Georgia-Pacific Corp. 8.875 2/1/2010 115,000 130,525
-----------
275,150
-----------
COMMUNICATIONS--2.1%
Clear Channel Communication 4.900 5/15/2015 185,000 166,633
COX Communications Inc. 7.125 10/1/2012 295,000 330,819
Dex Media West LLC/Dex Media Finance Co. 8.500 8/15/2010 70,000 76,300
Dex Media West LLC/Dex Media Finance Co. 9.875 8/15/2013 69,000 78,660
DirecTV Holdings LLC 8.375 3/15/2013 78,000 86,385
News America Holdings 9.250 2/1/2013 180,000 227,498
Qwest Corp. 144A (a) 6.671 6/15/2013 175,000 179,156
RH Donnelley Finance Corp. 144A 8.875 12/15/2010 50,000 54,625
Salem Communications Corp. 7.750 12/15/2010 90,000 93,600
Univision Communications, Inc. 7.850 7/15/2011 200,000 227,199
-----------
1,520,875
-----------
CONSUMER CYCLICAL--0.3%
Mohegan Tribal Gaming Authority 8.000 4/1/2012 100,000 107,000
Office Depot, Inc. 6.250 8/15/2013 30,000 31,454
Yum! Brands, Inc. 8.875 4/15/2011 75,000 90,872
-----------
229,326
-----------
CONSUMER NONCYCLICAL--0.5%
Kroger Co. 8.000 9/15/2029 185,000 232,722
Southern Natural Gas Co. 8.875 3/15/2010 100,000 109,693
-----------
342,415
-----------
ENERGY--0.5%
Halliburton Co. 5.500 10/15/2010 125,000 131,091
Petronas Capital Ltd. 144A 7.875 5/22/2022 160,000 203,631
-----------
334,722
-----------
FINANCIAL--4.9%
ACE Capital Trust II 9.700 4/1/2030 195,000 269,118
Amescap PLC 5.375 12/15/2014 205,000 208,068
Boston Properties, Inc. 6.250 1/15/2013 85,000 92,615
Chevy Chase Bank FSB 6.875 12/1/2013 295,000 304,588
Duke Realty Corp REIT 5.250 1/15/2010 175,000 179,971
EOP Operating LP 7.000 7/15/2011 250,000 277,217
EOP Operating LP 7.875 7/15/2031 155,000 195,212
Glencore Funding LLC 144A 6.000 4/15/2014 95,000 91,095
International Lease Finance Corp. 5.000 4/15/2010 180,000 183,549
Jefferies Group, Inc. 5.500 3/15/2016 110,000 111,295
Nationwide Mutual Insurance 144A 7.875 4/1/2033 215,000 270,154
Nisource Finance Corp. 6.150 3/1/2013 150,000 162,097
Nordea Bank 144A 7.500 1/30/2007 445,000 464,736
Residential Capital Corp. 144A 6.375 6/30/2010 75,000 75,361
Residential Capital Corp. 144A 6.875 6/30/2015 130,000 132,863
11
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL (CONTINUED)
Residential Capital Corp. 144A (a) 4.835% 6/29/2007 USD 230,000 $ 230,086
Washington Mutual, Inc. 4.625 4/1/2014 365,000 355,381
-----------
3,603,406
-----------
INDUSTRIAL--0.8%
American Standard, Inc. 7.375 2/1/2008 145,000 154,387
Jefferson Smurfit Corp. US 8.250 10/1/2012 15,000 15,075
Republic Services, Inc. 6.750 8/15/2011 150,000 166,690
Waste Management, Inc. 6.875 5/15/2009 245,000 265,247
-----------
601,399
-----------
TECHNOLOGY & ELECTRONICS--0.1%
Freescale Semiconductor, Inc. (a) 5.891 7/15/2009 100,000 103,875
-----------
UTILITIES--1.6%
AES Corp. 144A 8.750 5/15/2013 100,000 111,750
FirstEnergy Corp. 6.450 11/15/2011 260,000 284,083
Niagara Mohawk Power Corp. 7.750 10/1/2008 175,000 192,275
Progress Energy Inc. 7.000 10/30/2031 230,000 265,649
TXU Energy Co. 7.000 3/15/2013 270,000 301,113
-----------
1,154,870
-----------
Total Corporate (Cost $8,785,716) 8,785,716
-----------
SOVEREIGN BONDS--3.6%
Argentina Bonos (a) 1.162 8/3/2012 400,000 361,600
Egyptian Treasury Note 144A 7.500 8/4/2005 175,000 177,763
Republic of Brazil (a) 2.063 4/15/2012 107,060 102,979
Republic of El Salvador 8.500 7/25/2011 160,000 184,800
Republic of Panama 8.875 9/30/2027 60,000 71,550
Republic of Philippines 9.375 1/18/2017 165,000 176,550
Republic of South Africa 9.125 5/19/2009 60,000 69,675
Republic of South Africa 9.125 4/25/2012 120,000 138,000
Republic of Venezuela 7.650 4/21/2025 200,000 180,000
Russian Federation 12.750 6/24/2028 155,000 280,550
Russian Federation 5.000 3/31/2030 485,000 543,200
Russian Ministry of Finance 3.000 5/14/2008 190,000 179,313
Salomon Brothers AF for Tyumen Oil Co. 11.000 11/6/2007 125,000 138,363
Ukraine Government Senior Notes 11.000 3/15/2007 54,136 57,113
-----------
Total Sovereign Bonds (Cost $2,617,700) 2,661,456
-----------
YANKEE BONDS--1.9%
Amvescap PLC 5.375 2/27/2013 130,000 133,753
Carnival Corp. 3.750 11/15/2007 265,000 262,383
Chuo Mitsui Trust & Banking 144A (a) 5.506 2/15/2049 365,000 358,585
Ispat Inland Ulc 9.750 4/1/2014 137,000 159,605
Naftogaz Ukrainy 8.125 9/30/2009 100,000 105,250
Rogers Wireless, Inc. 7.500 3/15/2015 45,000 48,938
Teck Cominco Ltd. 7.000 9/15/2012 85,000 94,916
Tyco International Group SA 6.000 11/15/2013 175,000 190,311
-----------
Total Yankee Bonds (Cost $1,333,325) 1,353,741
-----------
U.S. GOVERNMENT AGENCY--1.8%
PASS THRU SECURITIES--1.8%
FNMA 5.500 1/1/2034 540,441 548,330
FNMA (TBA)# 6.500 7/1/2035 760,000 786,363
-----------
Total U.S. Government Agency (Cost $1,340,326) 1,334,693
-----------
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--8.6%
U.S. Treasury Inflation-Indexed Bond 3.375% 1/15/2007 USD 5,102,298 $ 5,264,337
U.S. Treasury Note 6.625 5/15/2007 105,000 110,619
U.S. Treasury Note 3.250 8/15/2008 700,000 691,277
U.S. Treasury Note 5.000 2/15/2011 255,000 270,928
-----------
Total U.S. Treasury Obligations (Cost $6,368,604) 6,337,161
-----------
FOREIGN DENOMINATED--70.0%
AUSTRALIA--15.1%
Australian Government 5.250 8/15/2010 AUD 11,670,000 8,934,104
Australian Government 6.250 4/15/2015 1,140,000 942,428
Australian Government 6.000 2/15/2017 1,510,000 1,232,580
-----------
11,109,112
-----------
CANADA--0.7%
Canadian Pacific Railway Ltd 144A 4.900 6/15/2010 CAD 620,000 531,180
-----------
DENMARK--1.2%
Realkredit Danmark A/S 4.000 1/1/2006 DKK 5,140,000 842,123
-----------
EURO--30.8%
Allied Irish Bank UK (a) 4.781 12/10/2049 EUR 160,000 192,329
ASIF III 4.750 9/11/2013 270,000 356,595
Autostrade SpA (a) 2.552 6/9/2011 300,000 365,090
Barclays Bank PLC (a) 4.875 12/15/2014 150,000 185,617
Belgium Government Bond 4.250 9/28/2013 2,165,000 2,859,908
Bombardier, Inc. 5.750 2/22/2008 280,000 340,816
Bundesobligation 4.500 8/17/2007 830,000 1,054,911
Bundesrepub Deutschland 5.250 7/4/2010 130,000 177,338
Bundesschatzanweisungen 2.750 6/23/2006 135,000 164,547
Citigroup, Inc. 2.237 6/3/2011 370,000 448,562
Daimlerchrysler International Finance 7.000 3/21/2011 125,000 179,262
Deutsche Bundesrepublik 4.000 1/4/2028 45,000 57,914
Deutsche Republic 4.750 7/4/2034 665,000 960,020
Deutsche Telekom International Finance BV 6.625 7/11/2011 165,000 237,805
FCE Bank PLC (a) 2.389 6/28/2006 1,205,000 1,431,431
Finmeccanica SpA 4.875 3/24/2025 175,000 218,535
Ford motor Credit Co. 4.875 1/15/2010 155,000 173,643
France Telecom 7.250 1/28/2013 155,000 235,208
France Telecom 8.125 1/28/2033 200,000 373,499
French Treasury Note 4.500 7/12/2006 1,015,000 1,258,873
GE Capital European Funding 2.198 5/4/2011 370,000 447,693
General Motors Acceptance Corp. (a) 3.710 7/5/2005 255,000 308,627
Glencore Finance Europe SA/Luxembourg 5.375 9/30/2011 280,000 351,558
GMAC International Finance BV (a) 3.876 8/4/2006 415,000 496,649
Hellenic Republic 3.700 7/20/2015 800,000 995,265
Hilton Group Finance PLC 6.500 7/17/2009 125,000 170,929
HSBC Finance Corp. 6.500 5/5/2009 300,000 413,517
Kappa Beheer BV 10.625 7/15/2009 135,000 168,292
Kingdom of Denmark 3.125 10/15/2010 1,075,000 1,336,247
Linde Finance BV 6.000 7/29/2049 180,000 234,977
MPS Capital Trust I 7.990 2/7/2011 160,000 235,108
National Westminster Bank PLC 6.625 10/5/2009 70,000 97,187
Netherlands Government Bond 5.500 7/15/2010 3,355,000 4,621,993
Nordea Bank Sweden AB 6.000 12/13/2010 140,000 172,168
Owens-Brockway Glass Containers 6.750 12/1/2014 95,000 118,428
The accompanying notes are an integral part of the financial statements.
13
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
EURO (CONTINUED)
Telecom Italia Finance SA 7.000% 4/20/2011 EUR 185,000 $ 267,731
Telenet Communications NV 144A 9.000 12/15/2013 75,000 102,800
Tyco International Group SA 5.500 11/19/2008 140,000 184,183
Veolia Environnement 4.875 5/28/2013 135,000 179,770
Volkswagen International Finance NV 4.875 5/22/2013 180,000 235,149
West LB Covered Bond Bank 144A 4.000 3/25/2014 150,000 193,109
-----------
22,603,283
-----------
MEXICO--0.3%
Mexican Fixed Rate Bonds 0.000 12/19/2013 MXN 2,565,000 220,038
-----------
JAPAN--1.7%
European Investment Bank 1.400 6/20/2017 JPY 135,000,000 1,229,608
-----------
SINGAPORE--3.4%
Singapore Government 5.625 7/1/2008 SGD 3,780,000 2,473,263
-----------
SWEDEN--2.0%
Swedish Government 5.250 3/15/2011 SEK 9,895,000 1,449,844
-----------
UNITED KINGDOM--14.8%
Inco 15.750 7/15/2006 GBP 200,000 383,926
United Kingdom Gilt 4.000 3/7/2009 3,085,000 5,521,488
United Kingdom Gilt 4.750 6/7/2010 1,585,000 2,928,992
United Kingdom Gilt 8.000 9/27/2013 645,000 1,464,799
United Kingdom Gilt 4.250 6/7/2032 325,000 586,658
-----------
10,885,863
-----------
Total Foreign Denominated (Cost $50,686,045) 51,344,314
-----------
TOTAL BONDS AND NOTES (Cost $71,451,716) 72,138,369
-----------
CONVERTIBLE PERFERRED STOCKS--0.1% SHARES
------
Fannie Mae 5.375% CVT Pfd (Cost $100,000) 1 96,855
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $71,551,716) 72,235,224
-----------
AFFILIATED INVESTMENTS--0.9%
Dreyfus Institutional Preferred Plus Money Market Fund + (Cost $672,783) 672,783 672,783
-----------
TOTAL INVESTMENTS--99.3% (Cost $72,224,499) 72,908,007
OTHER ASSETS, LESS LIABILITIES--0.7% 490,086
-----------
NET ASSETS--100% $73,398,093
===========
NOTES TO SCHEDULE OF INVESTMENTS:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
AUD--Australian Dollar
CAD--Canadian Dollar
CVT--Convertible
DKK--Danish Krone
EUR--Euro
GBP--British Pound
MXN--Mexican New Peso
NZD--New Zealand Dollar
SEK--Swedish Krona
SGD--Singapore Dollar
(a) Variable Rate Security; rate indicated is as if 06/30/2005.
+ Affiliated institutional money market fund.
The accompanying notes are an integral part of the financial statements.
14
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Portfolio held the following forward foreign currency
exchange contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 14,160,000 9/21/2005 $10,718,846 $10,728,957 $ 10,111
Brazilian Real 525,000 2/10/2006 206,856 188,324 (18,532)
Canadian Dollar 620,000 9/21/2005 507,419 496,835 (10,584)
Danish Krone 7,820,000 9/21/2005 1,274,571 1,277,548 2,977
Euro 18,523,000 9/21/2005 22,491,237 22,469,197 (22,040)
British Pound Sterling 5,780,000 9/21/2005 10,327,848 10,438,044 110,196
Japanese Yen 134,710,000 9/21/2005 1,224,660 1,247,315 22,655
Swedish Krona 10,570,000 9/21/2005 1,359,720 1,378,186 18,466
Singapore Dollar 4,320,000 9/21/2005 2,571,220 2,582,188 10,968
----------- ----------- ----------
Total $50,682,377 $50,806,594 $ 124,217
=========== =========== ==========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 435,000 9/21/2005 $ 180,138 $ 170,254 $ 9,884
Brazilian Real 525,000 2/10/2006 206,855 175,000 31,855
----------- ----------- ----------
Total $ 386,993 $ 345,254 $ 41,739
=========== =========== ==========
The accompanying notes are an integral part of the financial statements.
15
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Portfolio held the following open swap contract:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with JPMorgan, dated 5/13/2005 to receive
the notional amount multiplied by 4.115% and to pay
the notional amount multiplied by the 3 month LIBOR. 5/17/2008 3,465,000 USD $ 10,533
Agreement with JPMorgan, dated 5/13/2005 to pay
the notional amount multiplied by 4.59% and to receive
the notional amount multiplied by the 3 month LIBOR. 5/17/2015 3,465,000 USD (71,365)
Agreement with Bear Stearns, dated 5/24/2005 to pay 0.415%
per year times the notional amount. The Portfolio receives
payment of the notional amount times the difference between
the par value and the then-market value of Alcoa, Inc., 6.00%
due 1/15/2012, only upon a credit event by Alcoa, Inc. 6/20/2010 107,000 USD (535)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.52%
per year times the notional amount. The Portfolio receives
payment of the notional amount times the difference between
the par value and the then-market value of Alcoa, Inc., 6.50%
due 6/01/2011, only upon a credit event by Alcoa, Inc. 6/20/2010 238,000 USD (2,325)
Agreement with Bear Stearns, dated 5/24/2005 to pay 0.31%
per year times the notional amount. The Portfolio receives
payment of the notional amount times the difference between
the par value and the then-market value of Conocophillips, 4.75%
due 10/15/2012, only upon a credit event by Conocophillips. 6/20/2010 345,000 USD (79)
Agreement with Citigroup, dated 4/25/2005 to receive 4.00%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of the Ford Motor Credit Co., 7.00%
due 10/01/2013, only upon a credit event by the Ford Motor Credit Co. 6/20/2008 350,000 USD 4,052
Agreement with Bear Stearns, dated 11/17/2004 to receive
the notional amount multiplied by 3.907% and to pay the
notional amount multiplied by the 3 month LIBOR. 11/19/2009 150,000 USD (347)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.40%
per year times the notional amount. The Portfolio receives payment
of the notional amount times the difference between the par value
and the then-market value of Nucor Corp., 4.875% due 10/01/2012,
only upon a credit event by Nucor Corp. 6/20/2010 162,000 USD (757)
Agreement with Bear Stearns, dated 11/17/2004 to receive 2.84%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of Ukraine Government, 7.65%
due 6/11/2013, only upon a credit event by Ukraine Government. 12/20/2009 150,000 USD 5,144
Agreement with Citigroup, dated 4/25/2005 to pay 4.50% per year
times the notional amount. The Portfolio receives payment of the
notional amount times the difference between the par value and the
then-market value of the Ford Motor Credit Co., 7.00% due 10/01/2013,
only upon a credit event by the Ford Motor Credit Co. 6/20/2010 240,000 USD (3,455)
---------
Total Swap Value $ (59,134)
=========
The accompanying notes are an integral part of the financial statements.
16
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities
Unaffiliated issuers, at value (Note 1A) (cost $71,551,716) $72,235,224
Affiliated issuers, at value (Note 1A) (cost $672,783) (Note 1H) 672,783
Foreign currency (cost $98,025) 97,357
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 217,112
Receivable for investments sold 159,974
Interest receivable 1,356,962
Swap contracts, at value (Note 5) 19,729
Prepaid expenses 4,529
-----------
Total assets 74,763,670
LIABILITIES
Payable for securities purchased $ 1,150,287
Swap contracts, at value (Note 5) 78,863
Unrealized depreciation on forward foreign currency exchange contracts (Note 5)
51,156
Accrued accounting, administration, and custody fees (Note 2) 40,140
Accrued expenses and other liabilities 45,131
-----------
Total liabilities 1,365,577
-----------
NET ASSETS $73,398,093
===========
The accompanying notes are an integral part of the financial statements.
17
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $ 1,550,935
Interest income from affiliated investments (Note 1H) 29,705
Security lending income 3,805
Dividend income (net of foreign withholding tax of $621) 2,702
-----------
Total investment income 1,587,147
EXPENSES
Investment advisory fee (Note 2) $ 144,063
Accounting, administration and custody fees (Note 2) 68,848
Professional fees 24,214
Trustees' fees and expenses (Note 2) 9,020
Insurance expense 6,843
Miscellaneous expenses 368
-----------
Total expenses 253,356
DEDUCT:
Waiver of investment advisory fee (Note 2) (19,365)
-----------
Net expenses 233,991
-----------
Net investment income 1,353,156
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 2,454,263
Foreign currency and forward foreign currency exchange contracts 3,364,742
Future contracts 21,482
Swaps transactions 5,686
-----------
Net realized gain (loss) 5,846,173
Change in unrealized appreciation (depreciation) on:
Investment securities (5,971,973)
Swaps transactions (62,473)
Foreign currency and forward foreign currency exchange contracts 778,241
-----------
Change in net unrealized appreciation (depreciation) (5,256,205)
-----------
Net realized and unrealized gain (loss) 589,968
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,943,124
===========
The accompanying notes are an integral part of the financial statements.
18
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income $ 1,353,156 $ 3,746,228
Net realized gain (loss) 5,846,173 8,814,993
Change in net unrealized appreciation (depreciation) (5,256,205) (7,922,754)
------------ ------------
Net increase (decrease) in net assets from operations 1,943,124 4,638,467
------------ ------------
CAPITAL TRANSACTIONS
Contributions 646,349 8,539,443
Withdrawals (2,264,008) (93,677,695)
------------ ------------
Net increase (decrease) in net assets from capital transactions (1,617,659) (85,138,252)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 325,465 (80,499,785)
NET ASSETS
At beginning of period 73,072,628 153,572,413
------------ ------------
At end of period $ 73,398,093 $ 73,072,628
============ ============
The accompanying notes are an integral part of the financial statements.
19
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
TOTAL RETURN (B) 2.70%(c) 5.00% 6.40% 6.98% 4.5% 9.82%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) 0.65%(d) 0.63% 0.63% 0.56% 0.53% 0.53%
Net Investment Income (to average
daily net assets) 3.76%(d) 3.89% 3.75% 4.47% 4.49% 5.61%
Portfolio Turnover 93%(c) 130% 222% 205% 251% 236%
Net Assets, End of Year (000's omitted) $ 73,398 $ 73,073 $153,572 $164,590 $364,068 $375,348
- ---------
* For the periods indicated, the investment advisor voluntarily agreed not to
impose a portion of its investment advisory fee and/or reimbursed the Fund
for all or a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the tatios would
hae been:
Ratios (to average daily net assets):
Expenses (to average daily net assets) 0.70%(d) NA NA NA NA NA
Net investment income 3.71%(d) NA NA NA NA NA
(a) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease the ratio of the net investment income to
average net assets from 4.53% to 4.49%. Ratios for the periods prior to
January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Total return for the Portfolio has been calculated based on the total
return for the invested Fund, assuming all distributions were reinvested,
and adjusted for the difference in expenses as set out in the notes to the
financial statements.
(c) Not annualized.
(d) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
20
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the state of New York on
January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Mellon Global Fixed Income Portfolio (the "Portfolio") is a separate
non-diversified investment series of the Portfolio Trust.
The objective of the Portfolio is to maximize total return while realizing
a market level of income consistent with preserving principal and
liquidity. The Portfolio seeks to achieve its objective by investing, under
normal circumstances, at least 80% of its net assets in U.S. and non-U.S.
dollar denominated fixed income securities of U.S. and foreign governments
and companies located in the U.S. and various countries, including emerging
markets.
At June 30, 2005 there was one fund, Standish Mellon Global Fixed Income
Fund (the "Fund"), invested in the Portfolio. The value of the Fund's
investment in the Portfolio reflects the Fund's proportionate interest in
the net assets of the Portfolio. The Fund's proportionate interest at June
30, 2005 was approximately 100%.
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the
Portfolio acquires a short-term instrument with more than sixty days
remaining to its maturity, it is valued at current market value until the
sixtieth day prior to maturity and will then be valued at amortized value
based upon the value on such date unless the Trustees determine during such
sixty-day period that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of trade date. Interest income is
determined on the basis of coupon interest accrued, adjusted for accretion
of discount or amortization of premium using the yield - to - maturity
method on long-term debt securities and short-term securities with greater
than sixty days to maturity. Realized gains and losses from securities sold
are recorded on the identified cost basis.The Fund does not isolate that
portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Fund's books and the U.S. dollar equivalent amounts actually received
or paid.
C. INCOME TAXES
The Portfolio is treated as a disregarded entity for federal tax purposes.
No provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since the Portfolio's
only investor is a regulated investment company that invests all or
substantially all of its assets in the Portfolio, the Portfolio normally
must satisfy the source of income and diversification requirements
applicable to regulated investment companies (under the Internal Revenue
Code) in order for its investors to satisfy them. The Portfolio allocates
at least annually its net investment income, net realized capital gains,
and any other items of income, gain, loss deduction or credit.
21
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current currency exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
E. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
F. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund or portfolio are allocated taking
into consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Portfolio may enter into contracts
and agreements that contain a variety of representations and warranties,
which provide general indemnifications. The maximum exposure to the
Portfolio under these arrangements is unknown, as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
However, based on experience, the Portfolio expects the risks of loss to be
remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory and administrative services is paid monthly at the annual rate of
0.40% of the Portfolio's average daily net assets. Standish Mellon
voluntarily agreed to limit the total operating expenses of the Fund and
it's pro rata share of the Portfolio expenses (excluding commissions, taxes
and extraordinary expenses) to 0.65% of the Fund's average daily net
assets. This agreement is voluntary and temporary and may be discontinued
or revised by Standish Mellon at any time. Pursuant to this agreement, for
the period ended June 30, 2005, Standish Mellon voluntarily waived a
portion of its investment advisory fee in the amount of $19,365.
The Portfolio compensates Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation, under a custody, administration
and accounting services agreement for providing custody, fund
administration and fund accounting services for the Portfolio. Pursuant to
this agreement the Portfolio paid $44,208 during the period ended June 30,
2005.
The Fund entered into an agreement with Mellon Bank, to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement the Mellon Bank, receives an agreed upon
percentage of the net lending revenues. This compensation is a standard
form of compensation received by securities lending agents with respect to
non-affiliated entities. See Note 6 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
22
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
----------- -----------
U.S. Government Securities $12,147,056 $10,087,437
=========== ===========
Investments (non-U.S.
Government Securities) $56,135,777 $56,627,656
=========== ===========
(4) FEDERAL TAXES:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2005, as computed on a federal
income tax basis, were as follows:
Aggregate Cost $72,224,499
===========
Gross unrealized appreciation 1,569,576
Gross unrealized depreciation (886,068)
-----------
Net unrealized appreciation (depreciation) $ 683,508
===========
(5) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Portfolio Trust's registration statement.
The Portfolio may trade the following financial instruments with
off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Portfolio may use options to seek to hedge against
risks of market exposure and changes in security prices and foreign
currencies, as well as to seek to enhance returns. Writing puts and buying
calls tend to increase the Portfolio's exposure to the underlying
instrument. Buying puts and writing calls tend to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio
investments. Options, both held and written by the Portfolio, are reflected
in the accompanying Statement of Assets and Liabilities at market value.
The underlying face amount at value of any open purchased options is shown
in the Schedule of Investments. This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise from
changes in the value of the underlying instruments if there is an illiquid
secondary market for the contract or if the counterparty does not perform
under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Portfolio is exercised, the premium reduces
the cost basis of the securities purchased by the Portfolio. The Portfolio,
as a writer of an option, has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security
underlying the written option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Portfolio did not have any option transaction
outstanding.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Portfolio may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward
23
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
foreign currency and cross currency exchange contracts are marked to market
using the forward foreign currency rate of the underlying currency and any
gains or losses are recorded for financial statement purposes as unrealized
until the contract settlement date or upon the closing of the contract.
Forward currency exchange contracts are used by the Portfolio primarily to
protect the value of the Portfolio's foreign securities from adverse
currency movements. Unrealized appreciation and depreciation of forward
currency exchange contracts is included in the Statement of Assets and
Liabilities.
At June 30, 2005 the Portfolio held forward foreign currency exchange
contracts. See Schedule of Investments for further details.
FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts for the delayed
sale or delivery of securities or contracts based on financial indices at a
fixed price on a future date. Pursuant to margin requirements the Portfolio
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Portfolio each day, depending on the daily fluctuations in the value
of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. There are several
risks in connection with the use of futures contracts as a hedging device.
The change in value of futures contracts primarily corresponds with the
value of their underlying instruments or indices, which may not correlate
with changes in the value of hedged investments. Buying futures tends to
increase the Portfolio's exposure to the underlying instrument, while
selling futures tends to decrease the Portfolio's exposure to the
underlying instrument or hedge other investments. In addition, there is the
risk that the Portfolio may not be able to enter into a closing transaction
because of an illiquid secondary market. Losses may arise if there is an
illiquid secondary market or if the counterparty does not perform under the
contract's terms. The Portfolio enters into financial futures transactions
primarily to seek to manage its exposure to certain markets and to changes
in securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005 the Portfolio did not have any futures contracts
outstanding.
SWAP AGREEMENTS
The Portfolio may enter into swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Portfolio may enter into interest rate and credit
default swap agreements to manage its exposure to interest rates and credit
risk. Interest rate swap agreements involve the exchange by the Portfolio
with another party of their respective commitments to pay or receive
interest, e.g., an exchange of floating rate payments for fixed rate
payments with respect to a notional amount of principal. In a credit
default swap, one party makes a stream of payments to another party in
exchange for the right to receive a specified return in the event of a
default by a third party on its obligation. The Portfolio may use credit
default swaps to provide a measure of protection against defaults of
issuers (i.e., to reduce risk where the Portfolio owns or has exposure to
the corporate or sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular corporate or
sovereign issuer's default. In connection with these agreements, cash or
securities may be set aside as collateral in accordance with the terms of
the swap agreement. The Portfolio earns interest on cash set aside as
collateral. Swaps are marked to market daily based upon quotations from
market makers and change in value, if any, is recorded as unrealized gain
or loss in the Statement of Operations. These financial instruments are not
actively traded on financial markets. The values assigned to these
instruments are based upon the best available information and because of
the uncertainty of the valuation, these values may differ significantly
from the values that would have been realized had a ready market for these
instruments existed, and differences could be material. Payments received
or made from credit default swaps at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Net
payments of interest on interest rate swap agreements, if any, are included
as part of realized gain or loss. Entering into these agreements involves,
to varying degrees, elements of credit, market, and documentation risk in
excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there will be no
liquid market for these agreements, that the counterparty to the agreements
may default on its obligation to perform or disagree as to the meaning of
contractual terms in the agreements, and that there may be unfavorable
changes in interest rates.
At June 30, 2005 the Portfolio held swap contracts. See Schedule of
Investments for further details.
(6) SECURITY LENDING:
The Portfolio may lend its securities to financial institutions which the
Portfolio deems to be creditworthy. The loans are collateralized at all
times with cash or securities with a market value at least equal to the
market value of the securities on loan. The market value of securities
loaned is determined daily and any additional required collateral is
allocated to the Portfolio on the next business day. For the duration of a
loan, the Portfolio receives the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives compensation
from the investment of the collateral. As with other extensions of credit,
the Portfolio bears the risk of delay in recovery or even loss of rights in
its securities on loan should the borrower of the securities fail
financially or default on its obligations to the Portfolio. In the event of
borrower default, the Portfolio generally has the right to use the
collateral to offset losses incurred. The Portfolio may incur a loss in the
event it was delayed or prevented from exercising its
24
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON GLOBAL FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
rights to dispose of the collateral. The Portfolio also bears the risk in
the event that the interest and/or dividends received on invested
collateral is not sufficient to meet the Portfolio's obligations due on the
loans.
The Portfolio loaned securities during the period ended June 30, 2005
resulting in $3,805 of security lending income.
(7) DELAYED DELIVERY TRANSACTIONS:
The Portfolio may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Portfolio
instructs its custodian to segregate securities having value at least equal
to the amount of the purchase commitment.
The Portfolio may enter into to be announced ("TBA") purchase commitments
to purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Portfolio holds, and maintains until settlement date, cash or
high-grade debt obligations in an amount sufficient to meet the purchase
price, or the Portfolio may enter into offsetting contracts for the forward
sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a 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 the current market value of the
underlying securities, according to the procedures described under
"Investment security valuations" above.
The Portfolio may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Portfolio as an unrealized gain or loss. If the TBA sale commitment is
closed through the acquisition of an offsetting purchase commitment, the
Portfolio 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.
At June 30, 2005, the Portfolio held delayed delivery securities. See
Schedule of Investments for further details.
(8) LINE OF CREDIT:
The Portfolio, and other subtrusts in the Portfolio Trust and funds in the
Trust are parties to a committed line of credit facility, which enables
each portfolio/fund to borrow, in the aggregate, up to $35 million.
Interest is charged to each participating portfolio/fund based on its
borrowings at a rate equal to the Federal Funds effective rate plus 1/2 of
1%. In addition, a facility fee, computed at an annual rate of 0.060 of 1%
on the daily unused portion of the facility, is allocated ratably among the
participating portfolios/funds at the end of each quarter. For the period
ended June 30, 2005, a facility fee of $269 was allocated to the Portfolio
During the six months ended June 30, 2005, the Portfolio did not borrow
under the credit facility.
25
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None Fund: $250
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Portfolio: $823
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None Fund: $250
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $913
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None Fund: $250
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $823
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None Fund: $250
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $823
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None Fund: $0
Mellon Institutional and Chief Operating Officer of Portfolio: $0
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
26
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
27
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0934SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
INTERNATIONAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at http:
//melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- ------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,030.90 $2.92
Hypothetical (5% return
per year before expenses) $1,000.00 $1,021.92 $2.91
- -------------
(+) Expenses are equal to the Fund's annualized expense ratio of .58%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
1
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
TOP TEN HOLDINGS(*) RATE MATURITY NET ASSETS
-----------------------------------------------------------------------------------------
Australian Government Bond 5.250 8/15/2010 12.0%
United Kingdom Gilt 4.000 3/7/2009 8.6
French Treasury Note 4.500 7/12/2006 5.2
Deutsche Republic 4.750 7/4/2034 5.1
Bundesobligation 4.500 8/17/2007 5.1
Belgium Government Bond 4.250 9/28/2013 4.8
Bundesschatzanweisungen 2.750 6/23/2006 3.6
United Kingdom Gilt 4.750 6/7/2010 3.0
Singapore Government Bond 3.500 7/1/2012 2.7
United Kingdom Gilt 8.000 9/27/2013 2.6
------
52.7%
* Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
TOP TEN COUNTRIES NET ASSETS
--------------------------------------------
United Kingdom 21.0%
Australia 15.1
Germany 14.9
U.S.A 7.9
France 6.9
Netherlands 4.8
Belgium 4.8
Canada 3.3
Singapore 2.7
Sweden 2.4
------
83.8%
PERCENTAGE OF
INDUSTRY SECTOR INVESTMENTS
--------------------------------------------
Government 67.3%
Corporate 27.2
Mortgage 1.1
Emerging Markets 4.2
Cash & equivalents 0.2
------
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
2
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--102.0%
BONDS AND NOTES--97.8%
CORPORATE--5.1%
BASIC MATERIALS--0.4%
International Steel Group, Inc. 6.500% 4/15/2014 USD 835,000 $ 801,600
-----------
COMMUNICATIONS--0.9%
Qwest Corp. 144A (a) 6.671 6/15/2013 550,000 563,063
RH Donnelley Finance Corp. 144A 8.875 12/15/2010 125,000 136,563
Sprint Capital Corp. 8.375 3/15/2012 1,100,000 1,323,103
-----------
2,022,729
-----------
CONSUMER CYCLICAL--0.6%
Mohegan Tribal Gaming Authority 8.000 4/1/2012 650,000 695,500
Yum! Brands, Inc. 8.875 4/15/2011 450,000 545,230
-----------
1,240,730
-----------
CONSUMER NONCYCLICAL--1.0%
Aramark Services, Inc. 7.000 7/15/2006 2,040,000 2,086,165
-----------
ENERGY--0.2%
Petronas Capital Ltd. 144A 7.875 5/22/2022 430,000 547,257
-----------
FINANCIAL--1.7%
Chevy Chase Bank FSB 6.875 12/1/2013 705,000 727,913
Glencore Funding LLC 144A 6.000 4/15/2014 1,625,000 1,558,208
Residential Capital Corp. 144A 6.375 6/30/2010 225,000 226,083
Residential Capital Corp. 144A 6.875 6/30/2015 380,000 388,368
Residential Capital Corp. 144A (a) 4.835 6/29/2007 745,000 745,280
-----------
3,645,852
-----------
UTILITIES--0.3%
AES Corp. 144A 8.750 5/15/2013 610,000 681,675
-----------
Total Corporate Bonds (Cost $10,683,638) 11,026,008
-----------
SOVEREIGN BONDS--3.4%
Egyptian Treasury Bill 144A 7.500 8/4/2005 535,000 543,448
Republic of Brazil (a) 2.063 4/15/2012 444,712 427,757
Republic of El Salvador(*) 8.500 7/25/2011 510,000 589,050
Republic of Panama 8.875 9/30/2027 445,000 530,663
Republic of Philippines 9.375 1/18/2017 490,000 524,300
Republic of South Africa 9.125 5/19/2009 275,000 319,344
Republic of South Africa 7.375 4/25/2012 370,000 425,500
Republic of Venezuela 7.650 4/21/2025 585,000 526,500
Russian Federation 11.000 7/24/2018 360,000 537,750
Russian Federation 12.750 6/24/2028 480,000 868,800
Russian Federation 5.000 3/31/2030 735,000 823,200
Russian Ministry of Finance 3.000 5/14/2008 570,000 537,938
Salomon Brothers AF for Tyumen Oil Co. 11.000 11/6/2007 385,000 426,157
Ukraine Government Senior Notes 11.000 3/15/2007 235,211 248,147
-----------
Total Sovereign Bonds (Cost $7,116,810) 7,328,554
-----------
The accompanying notes are an integral part of the financial statements.
3
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE BONDS--2.9%
Amvescap PLC 5.375% 2/27/2013 USD 245,000 $ 252,072
Amvescap PLC 5.900 1/15/2007 250,000 256,587
British Sky Broadcasting PLC 7.300 10/15/2006 1,035,000 1,075,053
HBOS PLC 144A 5.375 11/1/2013 1,575,000 1,624,151
Ispat Inland Ulc 9.750 4/1/2014 832,000 969,280
Naftogaz Ukrainy 8.125 9/30/2009 300,000 315,750
Rogers Wireless, Inc. 7.250 12/15/2012 1,380,000 1,490,400
Rogers Wireless, Inc. 7.500 3/15/2015 255,000 277,311
-----------
Total Yankee Bonds (Cost $6,123,170) 6,260,604
-----------
FOREIGN DENOMINATED--86.4%
AUSTRALIA--15.1%
Australian Government Bond* 5.250 8/15/2010 AUD 33,925,000 25,971,678
Australian Government Bond 6.000 2/15/2017 4,500,000 3,673,252
Australian Government Bond 6.250 4/15/2015 3,460,000 2,860,353
-----------
32,505,283
-----------
CANADA--0.8%
Canadian Pacific Railway Ltd. 144A 4.900 6/15/2010 CAD 2,000,000 1,713,483
-----------
DENMARK--1.1%
Realkredit Danmark A/S 4.000 1/1/2006 DKK 13,965,000 2,287,987
-----------
EURO--45.7%
Allied Irish Bank UK (a) 4.781 12/10/2049 EUR 665,000 799,368
ASIF III 5.125 5/10/2007 900,000 1,142,060
Autostrade SpA (a) 2.552 6/9/2011 900,000 1,095,269
Barclays Bank PLC (a) 4.875 12/15/2014 660,000 816,715
Belgium Government Bond 4.250 9/28/2013 7,810,000 10,316,803
Bombardier, Inc. 5.750 2/22/2008 860,000 1,046,791
Bundesobligation 4.500 8/17/2007 8,595,000 10,924,049
Bundesrepub Deutschland 5.250 7/4/2010 1,525,000 2,080,315
Bundesschatzanweisungen 2.750 6/23/2006 6,370,000 7,764,164
Citigroup Inc 2.237 6/3/2011 1,250,000 1,515,411
Daimlerchrysler International Finance 7.000 3/21/2011 385,000 552,126
Deutsche Cap Trust IV (a) 5.330 9/29/2049 600,000 802,502
Deutsche Republic 4.750 7/4/2034 7,615,000 10,993,308
Deutsche Telekom International Finance BV 6.625 7/11/2011 700,000 1,008,871
FCE Bank PLC (a) 2.389 6/28/2006 3,775,000 4,484,358
Finmeccanica SpA 4.875 3/24/2025 550,000 686,823
Ford Motor Credit Co. 4.875 1/15/2010 470,000 526,529
France Telecom 7.250 1/28/2013 670,000 1,016,707
France Telecom 8.125 1/28/2033 610,000 1,139,171
French Treasury Note 4.500 7/12/2006 8,995,000 11,156,224
GE Capital European Funding 2.198 5/4/2011 1,260,000 1,524,577
The accompanying notes are an integral part of the financial statements.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
EURO (CONTINUED)
General Motors Acceptance Corp. 4.375% 9/26/2006 EUR 440,000 $ 530,482
General Motors Acceptance Corp. (a) 3.710 7/5/2005 865,000 1,046,910
Glencore Finance Europe SA/Luxembourg 5.375 9/30/2011 885,000 1,111,175
GMAC International Finance BV (a) 3.876 8/4/2006 1,265,000 1,513,882
HBOS PLC 6.050 11/23/2049 390,000 543,150
Hellenic Republic 3.700 7/20/2015 3,350,000 4,167,670
Hilton Group Finance PLC 6.500 7/17/2009 565,000 772,598
Household Finance Corp. 6.500 5/5/2009 335,000 461,761
Kappa Beheer BV 10.625 7/15/2009 365,000 455,012
Kingdom of Denmark 3.125 10/15/2010 1,765,000 2,193,931
Linde Finance BV 6.000 7/29/2049 545,000 711,459
MPS Capital Trust I 7.990 2/7/2011 550,000 808,184
Natexis Banques Populaires 4.375 6/20/2013 615,000 801,911
National Westminster Bank PLC 6.625 10/5/2009 400,000 555,352
Netherlands Government Bond 5.500 7/15/2010 3,770,000 5,193,715
Owens-Brockway Glass Containers 6.750 12/1/2014 520,000 648,237
Sogerim 7.000 4/20/2011 985,000 1,425,485
Telenor ASA 5.875 12/5/2012 1,100,000 1,560,689
Tyco International Group SA 5.500 11/19/2008 760,000 999,853
Veolia Environnement 4.875 5/28/2013 620,000 825,609
Volkswagen International Finance NV 4.875 5/22/2013 755,000 986,319
-----------
98,705,525
-----------
JAPAN--1.8%
European Investment Bank 1.400 6/20/2017 JPY 420,000,000 3,825,446
-----------
MEXICO--0.3%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 7,670,000 657,969
-----------
SINGAPORE--2.7%
Singapore Government Bond 3.500 7/1/2012 SGD 9,300,000 5,890,794
-----------
SWEDISH--2.4%
Swedish Government 5.250 3/15/2011 SEK 35,040,000 5,134,163
-----------
UNITED KINGDOM--16.5%
Inco 15.750 7/15/2006 GBP 796,000 1,528,027
United Kingdom Gilt 4.000 3/7/2009 10,360,000 18,542,178
United Kingdom Gilt 4.750 6/7/2010 3,450,000 6,375,410
United Kingdom Gilt 8.000 9/27/2013 2,440,000 5,541,254
United Kingdom Gilt 4.250 6/7/2032 2,040,000 3,682,436
-----------
35,669,305
-----------
Total Foreign Denominated (Cost $186,650,814) 186,389,955
-----------
TOTAL BONDS AND NOTES (Cost $210,574,432) 211,005,121
-----------
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS--0.1%
U.S. TREASURY--0.1%
Treasury Bill (+)(!) 2.890% 9/8/2005 175,000 $ 173,994
-------------
Total Short Term Investments--(Cost $174,026)
INVESTMENT OF CASH COLLATERAL--4.1% SHARES
------
BlackRock Cash Strategies L.L.C. (++) (Cost $8,947,750) 8,947,750 8,947,750
-------------
TOTAL INVESTMENTS--102.0% (Cost $219,696,208) 220,126,865
LIABILITIES IN EXCESS OF OTHER ASSETS--(2.0%) (4,298,387)
-------------
NET ASSETS--100.0% $ 215,828,478
=============
NOTES TO SCHEDULE OF INVESTMENTS:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
AUD--Australian Dollar
CAD--Canadian Dollar
DKK--Danish Krone
EUR--Euro
GBP--British Pound
JPY--Japanese Yen
MXN--Mexico Peso
SGD--Singapore Dollar
SEK--Swedish Krona
(a) Variable Rate Security; rate indicated is as of 6/30/05.
+ Denotes all or part of security segregated as collateral.
* Security, or a portion of thereof, was on loan at 6/30/05.
++ Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
! Rate noted is yield to maturity.
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following futures contracts:
UNDERLYING FACE UNREALIZED
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE (LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 5 Year Treasury Note (195 Contracts) Short 9/30/2005 $211,151,406 $ (82,645)
============ ==========
At June 30, 2005, the Fund held the following forward foreign currency exchange
contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 41,020,000 9/21/2005 $ 31,051,347 $ 31,075,835 $ 24,488
Brazilian Real 2,200,000 2/10/2006 866,824 789,525 (77,299)
Canadian Dollar 2,150,000 9/21/2005 1,759,597 1,722,894 (36,703)
Danish Krone 24,490,000 9/21/2005 3,991,592 4,000,915 9,323
Euro 84,927,000 9/21/2005 103,121,163 103,143,148 21,985
British Pound Sterling 20,550,000 9/21/2005 36,719,252 37,111,040 391,788
Japanese Yen 419,090,000 9/21/2005 3,809,983 3,880,463 70,480
Swedish Krona 37,720,000 9/21/2005 4,852,285 4,918,182 65,897
Singapore Dollar 10,745,000 9/21/2005 6,395,313 6,422,594 27,281
------------- ------------- ---------
Total $ 192,567,356 $ 193,064,596 $ 497,240
============= ============= =========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 1,330,000 9/21/2005 $ 550,766 $ 520,548 $ 30,218
Brazilian Real 2,200,000 2/10/2006 866,824 733,333 133,491
Euro 4,490,000 9/21/2005 5,451,906 5,468,955 (17,049)
British Pound Sterling 1,390,000 9/21/2005 2,483,687 2,525,394 (41,707)
------------- ------------- ---------
Total $ 9,353,183 $ 9,248,230 $ 104,953
============= ============= =========
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Fund held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with JPMorgan, dated 5/13/2005 to receive
the notional amount multiplied by 4.115% and to pay
the notional amount multiplied by the 3 month LIBOR. 5/17/2008 10,550,000 USD $ 32,069
Agreement with JPMorgan, dated 5/13/2005 to pay
the notional amount multiplied by 4.59% and to receive
the notional amount multiplied by the 3 month LIBOR. 5/17/2015 10,550,000 USD (217,288)
Agreement with Bear Stearns, dated 5/24/2005 to pay
0.415% per year times the notional amount. The Fund
receives payment, of the notional amount times the difference
between the par value and the then-market value of Alcoa, Inc.,
6.00% due 1/15/2012, only upon a credit event by Alcoa, Inc. 6/20/2010 328,000 USD (1,640)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.52%
per year times the notional amount. The Fund receives payment,
of the notional amount times the difference between the par value
and the then-market value of Alcoa, Inc., 6.50% due 6/01/2011,
only upon a credit event by Alcoa, Inc. 6/20/2010 727,000 USD (7,102)
Agreement with Bear Stearns, dated 5/24/2005 to pay
0.31% per year times the notional amount. The Fund receives
payment, of the notional amount times the difference between
the par value and the then-market value of Conocophilips,
4.75% due 10/15/2012, only upon a credit event by Conocophilips. 6/20/2010 1,055,000 USD (241)
Agreement with Citigroup, dated 4/25/2005 to receive 4.00%
per year times the notional amount. The Fund makes
payment, of the notional amount times the difference
between the par value and the then-market value of the
Ford Motor Credit Co., 7.00% due 10/01/2013, only upon
a credit event by the Ford Motor Credit Company. 6/20/2008 1,100,000 USD 12,736
Agreement with Bear Stearns, dated 11/17/2004 to receive
the notional amount multiplied by 3.907% and to pay the
notional amount multiplied by the 3 month LIBOR. 11/19/2009 840,000 USD (1,941)
Agreement with Bear Stearns, dated 5/17/2005 to pay 0.40%
per year times the notional amount. The Fund receives payment
only upon a credit event by Nucor Corp., the notional amount
times the difference between the par value and the then-
market value of Nucor Corp., 4.875% due 10/01/2012. 6/20/2010 494,000 USD (2,307)
Agreement with Bear Stearns, dated 11/17/2004 to receive
2.84% per year times the notional amount. The Fund makes
payment, of the notional amount times the difference between
the par value and the then-market value of Ukraine Government,
7.65% due 6/11/2013, only upon a credit event by Ukraine Government. 12/20/2009 840,000 USD 28,808
Agreement with Citigroup, dated 4/25/2005 to pay 4.50%
per year times the notional amount. The Fund receives
payment, of the notional amount times the difference between
the par value and the then-market value of the Ford Motor
Credit Co., 7.00% due 10/01/2013, only upon a credit event
by the Ford Motor Credit Company. 6/20/2010 755,000 USD (10,871)
----------
Total Swap Value $ (167,777)
==========
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $8,409,429) (Note 7)
at value (Note1A) (cost $219,696,208) $220,126,865
Foreign currency, at value (cost $230,465) 231,048
Receivable for investments sold 531,528
Receivable for Fund shares sold 57,408
Interest receivable 4,321,131
Unrealized appreciation on forward currency exchange contracts (Note 6) 774,951
Swap contracts, at value (Note 6) 73,613
Prepaid expenses 25,498
------------
Total assets 226,142,042
LIABILITIES
Collateral for securities on loan (Note 7) $8,947,750
Bank loan payable (Note 8) 398,000
Payable for Fund shares redeemed 383,324
Payable for investments purchased 17,173
Unrealized depreciation on forward currency exchange contracts (Note 6) 172,758
Swap contracts, at value (Note 6) 241,390
Payable for variation margin on open futures contracts (Note 6) 30,468
Accrued accounting, custody, administration and transfer agent fees (Note 2) 68,962
Accrued professional fees 26,346
Accrued trustees' fees and expenses (Note 2) 18,253
Accrued expenses and other liabilities 9,140
----------
Total liabilities 10,313,564
------------
NET ASSETS $215,828,478
============
NET ASSETS CONSIST OF:
Paid-in capital $241,147,734
Accumulated net realized loss (30,358,245)
Net investment income 4,406,073
Net unrealized appreciation 632,916
------------
TOTAL NET ASSETS $215,828,478
============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 10,135,133
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 21.30
============
The accompanying notes are an integral part of the financial statements.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income (net of $3,174 of foreign tax expense) $ 5,019,220
Interest income from affiliated investments (Note 1H) 145,079
Securities lending income (Note 7) 18,089
------------
Total investment income 5,182,388
EXPENSES
Investment advisory fee (Note 2) $ 515,074
Accounting, custody, administration and transfer agent fees (Note 2) 118,914
Professional fees 43,357
Registration fees 25,043
Trustees' fees and expenses (Note 2) 21,270
Insurance expense 9,509
Miscellaneous 8,523
-----------
Total expenses 741,690
------------
Net investment income 4,440,698
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 10,189,939
Futures contracts (199,390)
Swap transactions 25,435
Foreign currency and forward foreign currency exchange contracts 11,893,601
-----------
Net realized gain (loss) 21,909,585
Change in unrealized appreciation (depreciation) on:
Investment securities (23,423,577)
Futures contracts 132,663
Swap transactions (184,571)
Foreign currency and forward foreign currency exchange contracts 3,867,971
-----------
Change in net unrealized appreciation (depreciation) (19,607,514)
------------
Net realized and unrealized gain (loss) on investments 2,302,071
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 6,742,769
============
The accompanying notes are an integral part of the financial statements.
10
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 4,440,698 $ 12,558,484
Net realized gain (loss) 21,909,585 24,418,678
Change in net unrealized appreciation (depreciation) (19,607,514) (17,717,832)
-------------- --------------
Net increase (decrease) in net assets from operations 6,742,769 19,259,330
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1E)
From net investment income (7,612,400) (9,610,131)
-------------- --------------
Total distributions to shareholders (7,612,400) (9,610,131)
-------------- --------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 24,667,402 150,767,160
Value of shares issued to shareholders in reinvestment of distributions 6,195,656 7,662,711
Redemption fees credited to capital 627 542
Cost of shares redeemed (116,571,693) (235,449,182)
-------------- --------------
Net increase (decrease) in net assets from Fund share transactions (85,708,008) (77,018,769)
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (86,577,639) (67,369,570)
NET ASSETS
At beginning of period 302,406,117 369,775,687
-------------- --------------
At end of period (including undistributed net investment
income of $4,406,073 and $7,577,775) $ 215,828,478 $ 302,406,117
============== ==============
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF THE PERIOD $ 21.35 $ 21.02 $ 20.04 $ 19.43 $ 18.97 $ 21.32
-------- -------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income (b) 0.37 0.75 0.66 0.75 0.76 1.12
Net realized and unrealized gain
(loss) on investments 0.28 0.27 0.32 0.46 0.01 0.84
-------- -------- -------- -------- -------- --------
Total from investment operations 0.65 1.02 0.98 1.21 0.77 1.96
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.70) (0.69) -- (0.47) (0.31) (4.31)
From tax return of capital -- -- -- (0.13) -- --
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.70) (0.69) -- (0.60) (0.31) (4.31)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 21.30 $ 21.35 $ 21.02 $ 20.04 $ 19.43 $ 18.97
======== ======== ======== ======== ======== ========
TOTAL RETURN 3.09%(c) 4.88% 4.89% 6.44% 4.07% 9.68%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) 0.58%(d) 0.54% 0.59% 0.59% 0.56% 0.53%
Net Investment Income (to average
daily net assets) 3.46%(d) 3.43% 3.20% 3.89% 3.94% 5.21%
Portfolio Turnover 81%(c) 170% 185% 159% 211% 240%
Net Assets, End of Year (000's omitted) $215,828 $302,406 $369,706 $364,460 $422,626 $454,333
- -------
(a) The Fund has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31,2001 was to decrease net investment income per share by $0.007,
increase net realized and unrealized gains and losses per share by $0.007
and decrease the ratio of net investment income to average net assets from
3.98% to 3.94%. Per share data and ratios/supplemental data for the periods
prior to January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Calculated based on average shares outstanding.
(c) Not annualized.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon International Fixed Income Fund (the "Fund") is a separate
diversified investment series of the Trust.
The objective of the Fund is to maximize total return while realizing a
market level of income consistent with preserving principal and liquidity.
The Fund seeks to achieve its objective by investing, under normal
circumstances, at least 80% of net assets in fixed income securities. The
Fund also invests, under normal circumstances, at least 65% of net assets
in non-U.S. dollar denominated fixed income securities of foreign
governments and companies located in various countries, including emerging
markets.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are primarily traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the Fund
acquires a short-term instrument with more than sixty days remaining to its
maturity, it is valued at current market value until the sixtieth day prior
to maturity and will then be valued at amortized value based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of the trade date. Interest income
is determined on the basis of coupon interest accrued, adjusted for
accretion of discount or amortization of premium using the
yield-to-maturity method on long-term debt securities and short-term
securities of greater than sixty days to maturity. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis. The Fund does not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Fund's books and the U.S. dollar equivalent amounts actually received
or paid.
C. FOREIGN CURRENCY TRANSACTIONS
Investment security valuations, other assets, and liabilities initially
expressed in foreign currencies are converted into U.S. dollars based upon
current currency exchange rates. Purchases and sales of foreign investment
securities and income and expenses are converted into U.S. dollars based
upon currency exchange rates prevailing on the respective dates of such
transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
13
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
E. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared and distributed
quarterly. The Fund's dividends from short-term and long-term capital
gains, if any, after reduction of capital losses will be declared and
distributed at least annually. Dividends from net investment income and
distributions from capital gains, if any, are reinvested in additional
shares of the Fund unless the shareholder elects to receive them in cash.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for losses deferred due to wash sales, foreign
currency gains and losses, post-October losses, amortization and/or
accretion of premiums and discounts on certain securities and the timing of
recognition of gains and losses on futures contracts.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications among undistributed net
investment income, accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income and accumulated net realized
gain (loss) on investments and foreign currency transactions may include
temporary book and tax basis differences which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
F. EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
G. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory and administrative services, and general office facilities is paid
monthly at the annual rate of 0.40% of the Fund's average daily net assets.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees, as
well as, out-of-pocket expenses. Pursuant to this agreement the Fund paid
$26,255 during the period ended June 30, 2005.
The Fund has contracted Mellon Bank, N.A. ("Mellon Bank"), a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide custody, fund administration and fund accounting
services for the Fund. For these services the Fund pays Mellon Bank a fixed
fee plus asset and transaction based fees, as well as, out-of-pocket
expenses. Pursuant to this agreement the Fund paid $84,845 during the
period ended June 30, 2005.
14
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 7 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Fund for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust will pay
for a portion of the salary of the Trust's Chief Compliance Officer. The
Trust pays each Trustee who is not a director, officer or employee of
Standish Mellon or its affiliates an annual fee and a per meeting fee as
well as reimbursement for travel and out of pocket expenses. In addition,
the Trust pays the legal fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
------------ ------------
U.S. Government Securities $ 3,437,038 $ 3,426,871
------------ ------------
Investments (non-U.S.
Government Securities) $182,684,625 $234,484,138
============ ============
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 1,154,350 7,131,845
Shares issued to shareholders
reinvestment of distributions declared 293,114 359,246
Shares redeemed (5,476,750) (10,919,398)
------------ ------------
Net increase (decrease) (4,029,286) (3,428,307)
============ ============
A significant portion of the Fund's shares are beneficially owned by
fiduciary accounts over which Standish Mellon and its affiliates have
either sole or joint investment discretion. Investment activity of these
shareholders could have a material impact on the Fund.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund received $627
of redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes all of its taxable income for its fiscal year.
The tax basis components of distributable earnings and the federal tax cost
as of June 30, 2005, was as follows:
Aggregate cost $219,696,207
============
Unrealized appreciation $ 4,076,069
Unrealized depreciation (3,645,380)
------------
Net unrealized appreciation (depreciation) $ 430,689
============
15
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Fund's Prospectus and Statement of Additional Information.
The Fund may trade the following instruments with off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Fund may use options to seek to hedge against risks of
market exposure and changes in securities prices and foreign currencies, as
well as to seek to enhance returns. Writing puts and buying calls tend to
increase the Fund's exposure to the underlying instrument. Buying puts and
writing calls tend to decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments. Options, both held and written
by the Fund, are reflected in the accompanying Statement of Assets and
Liabilities at market value. The underlying face amount at value of any
open purchased options is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying
instruments, if there is an illiquid secondary market for the contract or
if the counterparty does not perform under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Fund is exercised, the premium reduces the
cost basis of the securities purchased by the Fund. The Fund, as writer of
an option, has no control over whether the underlying securities may be
sold (call) or purchased (put) and as a result bears the market risk of an
unfavorable change in the price of the security underlying the written
option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Fund did not hold any option positions.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Fund may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Fund primarily to protect the value of the Fund's foreign securities
from adverse currency movements. Unrealized appreciation and depreciation
of forward currency exchange contracts is included in the Statement of
Assets and Liabilities.
At June 30, 2005, the Fund held open foreign currency exchange contracts.
See Schedule of Investments for further details.
FUTURES CONTRACTS
The Fund may enter into financial futures contracts for the delayed sale or
delivery of securities or contracts based on financial indices at a fixed
price on a future date. Pursuant to the margin requirements, the Fund
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Fund each day, depending on the daily fluctuations in the value of
the underlying security, and are recorded for financial statement purposes
as unrealized gains or losses by the Fund. There are several risks in
connection with the use of futures contracts as a hedging device. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments or indices, which may not correlate with
changes in the value of hedged investments. Buying futures tends to
increase the Fund's exposure to the underlying instrument, while selling
futures tends to decrease the Fund's exposure to the underlying instrument
or hedge other Fund investments. In addition, there is the risk that the
Fund may not be able to enter into a closing transaction because of an
illiquid secondary market. Losses may arise if there is an illiquid
secondary market or if the counterparties do not perform under the
contract's terms. The Fund enters into financial futures transactions
primarily to manage its exposure to certain markets and to changes in
securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005, the Fund held open futures contracts. See Schedule of
Investments for further details.
16
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON INTERNATIONAL FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SWAP AGREEMENTS
The Fund may enter into swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate and credit default swap
agreements to manage its exposure to interest rates and credit risk.
Interest rate swap agreements involve the exchange by the Fund with another
party of their respective commitments to pay or receive interest, e.g., an
exchange of floating rate payments for fixed rate payments with respect to
a notional amount of principal. In a credit default swap, one party makes a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party on its
obligation. The Fund may use credit default swaps to provide a measure of
protection against defaults of issuers (i.e., to reduce risk where the Fund
owns or has exposure to the corporate or sovereign issuer) or to take an
active long or short position with respect to the likelihood of a
particular corporate or sovereign issuer's default. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. The Fund earns interest on
cash set aside as collateral. Swaps are marked to market daily based upon
quotations from market makers and change in value, if any, is recorded as
unrealized gain or loss in the Statement of Operations. These financial
instruments are not actively traded on financial markets. The values
assigned to these instruments are based upon the best available information
and because of the uncertainty of the valuation, these values may differ
significantly from the values that would have been realized had a ready
market for these instruments existed, and differences could be material.
Payments received or made from credit default swaps at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Net payments of interest on interest rate swap agreements,
if any, are included as part of realized gain or loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized on the Statement of
Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform or disagree as to the
meaning of contractual terms in the agreements, and that there may be
unfavorable changes in interest rates.
At June 30, 2005, the Fund held swap contracts. See Schedule of Investments
for further details.
(7) SECURITY LENDING:
The Fund may lend its securities to financial institutions which the Fund
deems to be creditworthy. The loans are collateralized at all times with
cash or securities with a market value at least equal to the market value
of the securities on loan. The market value of securities loaned is
determined daily and any additional required collateral is allocated to the
Fund on the next business day. For the duration of a loan, the Fund
receives the equivalent of the interest or dividends paid by the issuer on
the securities loaned and also receives compensation from the investment of
the collateral. As with other extensions of credit, the Fund bears the risk
of delay in recovery or even loss of rights in its securities on loan
should the borrower of the securities fail financially or default on its
obligations to the Fund. In the event of borrower default, the Fund
generally has the right to use the collateral to offset losses incurred.
The Fund may incur a loss in the event it was delayed or prevented from
exercising its rights to dispose of the collateral. The Fund also bears the
risk in the event that the interest and/or dividends received on invested
collateral is not sufficient to meet the Fund's obligations due on the
loans.
The Fund loaned securities during the period ended June 30, 2005 resulting
in security lending income of $18,089. At June 30, 2005, the Fund had
securities valued at $8,409,429 on loan. See Schedule of Investments for
further detail on the security positions on loan.
(8) LINE OF CREDIT:
The Fund, and other funds in the Trust and subtrusts in the Mellon
Institutional Funds Master Portfolio Trust (the "Portfolio Trust") are
parties to a committed line of credit facility, which enables each
portfolio/fund to borrow, in the aggregate, up to $35 million. Interest is
charged to each participating portfolio/fund based on its borrowings at a
rate equal to the Federal Funds effective rate plus 1/2 of 1%. In addition,
a facility fee, computed at an annual rate of .060 of 1% committed amount,
is allocated ratably among the participating portfolios/funds at the end of
each quarter. For the period ended June 30, 2005, a facility fee of $1,594
was allocated to the Fund.
During the period ended June 30, 2005, the Fund had average borrowings
outstanding of $43,000 on a total of three days and incurred $12 of
interest expense.
17
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None $2,912
c/o Decision Resources, Inc. 11/3/1986 Decision Resources,
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None $3,353
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None $2,912
c/o Harvard University 9/13/1989 Professor of Political
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None $2,912
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None $0
Mellon Institutional and Chief Operating Officer of
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
18
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
19
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THIS PAGE INTENTIONALLY LEFT BLANK
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0931SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
ENHANCED YIELD FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at
http://melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- ----------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,010.20 $1.89
Hypothetical (5% return
per year before expenses) $1,000.00 $1,022.91 $1.91
- -------
(+) Expenses are equal to the Fund's annualized expense ratio of .38%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
3
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
SUMMARY OF COMBINED RATINGS
--------------------------------------------
PERCENTAGE OF
QUALITY BREAKDOWN INVESTMENTS
--------------------------------------------
Treasury/Agency 7.6%
AAA 27.6
AA 13.9
A 34.6
BBB 3.5
P1 12.8
-----
TOTAL 100.0%
Based on ratings from Standard & Poor's and/or Moody's Investors Services.
If a security receives split (different) ratings from multiple rating
organizations, the Fund treats the security as being rated in the higer
rating category.
PERCENTAGE OF
TOP TEN HOLDINGS* RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
U.S. Treasury Inflation-Indexed Bond 3.625 1/15/2008 5.8%
Permanent Financing PLC 3A 3.504 6/10/2007 2.6
Citibank Credit Card Issuance Trust 2004-A1 A1 2.550 1/20/2009 2.1
First Data Corp. 4.700 11/1/2006 1.8
Merrill Lynch & Co. 3.470 2/6/2009 1.7
Genworth Financial, Inc. 3.560 6/15/2007 1.7
Wachovia Corp. 3.370 7/20/2007 1.7
Alabama Power Co. 3.484 8/25/2009 1.7
Mound Financing PLC 3A A1-1 144A 3.369 2/8/2008 1.7
Nationwide Life Global Funding 144A 3.568 9/28/2007 1.7
-----
22.5%
* Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
--------------------------------------------
Treasury/Agency 7.6%
Credit 17.2
Floating rate credit 34.7
Asset-Backed 10.2
Floating rate asset-backed 15.4
CMBS 2.1
Cash & equivalents 12.8
-----
100.0%
The Standish Mellon Enhanced Yield Fund invests all of its investable
assets in an interest of the Standish Mellon Enhanced Yield Portfolio (See
Note 1 of the Fund's Notes to Financial Statements). The Portfolio is
actively managed. Current holdings may be different than those presented
above.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Standish Mellon Enhanced Yield Portfolio (Portfolio), at value (Note 1A) $57,433,777
Receivable for Fund shares sold 1,508
Prepaid expenses 14,258
-----------
Total assets 57,449,543
LIABILITIES
Payable for Fund shares redeemed $ 80
Distributions payable 36,617
Accrued transfer agent fees (Note 2) 5,104
Accrued professional fees 8,731
Accrued Trustees' fees 481
-----------
Total liabilities 51,013
___________
NET ASSETS $57,398,530
===========
Net Assets consist of:
Paid-in capital $60,277,254
Accumulated net realized loss (2,661,730)
Undistributed net investment income 453
Net unrealized depreciation (217,447)
-----------
TOTAL NET ASSETS $57,398,530
===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 2,983,389
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 19.24
===========
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income allocated from Portfolio $ 1,017,635
Expenses allocated from Portfolio (120,947)
-----------
Net investment income allocated from Portfolio 896,688
EXPENSES
Transfer agent fees (Note 2) $ 3,724
Registration fees 13,563
Professional fees 21,777
Trustees' fees (Note 2) 971
Insurance expense 662
Miscellaneous 4,020
-----------
Total expenses 44,717
DEDUCT:
Reimbursement of Fund operating expenses (Note 2) (44,717)
-----------
Net expenses --
-----------
Net investment income 896,688
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio on:
Investment transactions and futures transactions (232,749)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments and futures (32,252)
-----------
Net realized and unrealized gain (loss) on investments (265,001)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 631,687
===========
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
------------ -------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 896,688 $ 1,280,177
Net realized gain (loss) (232,749) (63,934)
Change in net unrealized appreciation (depreciation) (32,252) (423,401)
------------ -------------
Net increase (decrease) in net assets from operations 631,687 792,842
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1C)
From net investment income (897,693) (1,475,658)
------------ -------------
Total distributions to shareholders (897,693) (1,475,658)
------------ -------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 12,749,586 62,046,776
Value of shares issued to shareholders in reinvestment of distributions 677,643 1,074,063
Cost of shares redeemed (22,992,318) (137,044,992)
------------ -------------
Net increase (decrease) in net assets from Fund share transactions (9,565,089) (73,924,153)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (9,831,095) (74,606,969)
NET ASSETS
At beginning of period 67,229,625 141,836,594
------------ -------------
At end of period (including undistributed net
investment income of $453 and $1,458) $ 57,398,530 $ 67,229,625
============ =============
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(a) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF THE YEAR $ 19.32 $ 19.48 $ 19.55 $ 19.55 $ 19.36 $ 19.23
-------- -------- -------- -------- -------- --------
FROM INVESTMENT OPERATIONS:
Net investment income * (b) 0.27 0.27 0.31 0.58 0.95 1.15
Net realized and unrealized gain
(loss) on investments (0.07) (0.12) (0.04) 0.03 0.21 0.13
-------- -------- -------- -------- -------- --------
Total from investment operations 0.20 0.15 0.27 0.61 1.16 1.28
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.28) (0.31) (0.34) (0.61) (0.97) (1.15)
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.28) (0.31) (0.34) (0.61) (0.97) (1.15)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $ 19.24 $ 19.32 $ 19.48 $ 19.55 $ 19.55 $ 19.36
======== ======== ======== ======== ======== ========
TOTAL RETURN (c) 1.02% 0.75% 1.48% 3.14% 6.14% 6.94%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets)* (d) 0.38%(e) 0.45% 0.36% 0.36% 0.36% 0.36%
Net Investment Income (to average
daily net assets)* 2.83%(e) 1.33% 1.60% 2.99% 4.89% 6.07%
Net Assets, End of Year (000's omitted) $ 57,399 $ 67,230 $141,837 $146,620 $133,939 $183,858
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/ or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Net investment income per share( (b)) $ 0.26 $ 0.25 $ 0.30 $ 0.56 $ 0.94 $ 1.15
Ratios (to average daily net assets):
Expenses (d) 0.63%(e) 0.51% 0.43% 0.46% 0.41% 0.38%
Net investment income 2.58%(e) 1.27% 1.53% 2.89% 4.84% 6.05%
(a) Through its investment in the Portfolio, the Fund has adopted the
provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies effective January 1, 2001 and began amortizing premium and
discount on all debt securities on an effective yield basis. The effect of
this change for the year ended December 31, 2001 was to increase net
investment income per share by $0.001, decrease net realized and unrealized
gains and losses per share by $0.001 and increase the ratio of net
investment income to average net assets by less than 0.01%. Per share data
and ratios/supplemental data for the periods prior to January 1, 2001 have
not been restated to reflect this change in presentation.
(b) Calculated based on average shares outstanding,
(c) Total return would have been lower in the absence of expense waivers.
(d) Includes the Fund's share of the Standish Mellon Enhanced Yield Portfolio's
Allocated expenses.
(e) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Enhanced Yield Fund (the "Fund") is a separate diversified
investment series of the Trust.
The objective of the Fund is to achieve a high level of current income
consistent with preserving principal and liquidity. The Fund seeks to
achieve its objective by investing all of its investable assets in an
interest of the Standish Mellon Enhanced Yield Portfolio (the "Portfolio"),
a subtrust of Mellon Institutional Funds Master Portfolio (the "Portfolio
Trust"), which is organized as a New York trust and which has the same
investment objective as the Fund. The Portfolio seeks to achieve its
objective by investing, under normal circumstances, at least 80% of net
assets in dollar-denominated money market instruments, short-term fixed
income securities and asset-backed securities of U.S. and foreign
governments, banks and companies. The value of the Fund's investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of
the Portfolio (approximately 100% at June 30, 2005). The performance of the
Fund is directly affected by the performance of the Portfolio. The
financial statements of the Portfolio are included elsewhere in this report
and should be read in conjunction with the Fund's financial statements.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
The Fund records its investment in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions in the Portfolio are recorded as of the settlement
date of shareholder transactions. The Fund's net investment income consists
of the Fund's pro rata share of the net investment income of the Portfolio,
less all expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America. All realized
and unrealized gains and losses of the Portfolio are allocated pro rata
among the investors in the Portfolio.
C. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared daily and distributed
monthly. The Fund's dividends from short-term and long-term capital gains,
if any, after reduction of capital losses will be declared and distributed
at least annually. In determining the amounts of its dividends, the Fund
will take into account its share of the income, gains or losses, expenses,
and any other tax items of the Portfolio. Dividends from net investment
income and distributions from capital gains, if any, are reinvested in
additional shares of the Fund unless a shareholder elects to receive them
in cash. Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for capital loss carryforwards and amortization and/or
accretion of premiums and discounts on certain securities.
Permanent book and tax basis differences will result in reclassifications
to undistributed net investment income, accumulated net realized gain
(loss) and paid in capital. Undistributed net investment income and
accumulated net realized gain (loss) on investments and foreign currency
transactions may include temporary book and tax basis differences which
will reverse in a subsequent period. Any taxable income or gain remaining
at fiscal year end is distributed in the following year.
D. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund or portfolio are allocated taking
into consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON ENHANCED YIELD FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISORY FEE AND TRANSACTIONS WITH AFFILIATES:
The Fund does not directly pay any investment advisory fees, but indirectly
bears its pro rata share of the compensation paid by the Portfolio to
Standish Mellon Asset Management Company LLC ("Standish Mellon"), a
wholly-owned subsidiary Mellon Financial Corporation, for such services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. Standish Mellon voluntarily agreed to
limit the total operating expenses of the Fund and its pro rata share of
the Portfolio expenses (excluding brokerage commissions, taxes and
extraordinary expenses) to 0.45% of the Fund's average daily net assets for
the period from January 1, 2005 through April 30, 2005 and to 0.25% for the
period from May 1, 2005 to June 30, 2005. Pursuant to these agreements, for
the period ended June 30, 2005, Standish Mellon voluntarily reimbursed the
Fund for $44,717 of its operating expenses. This agreement is voluntary and
temporary and may be discontinued or revised by Standish Mellon at any
time.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services the Fund pays Dreyfus
Transfer, Inc. a fixed fee plus per account and transaction based fees as
well as out-of-pocket expenses. Pursuant to this agreement the Fund paid
$3,724 during the period ended June 30, 2005.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay for a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
(3) INVESTMENT TRANSACTIONS:
Increases and decreases in the Fund's investment in the Portfolio for the
period ended June 30, 2005, aggregated $13,426,253 and $23,890,792,
respectively.
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
Shares sold 661,830 3,186,297
Shares issued to shareholders
reinvestment of distributions declared 35,195 55,316
Shares redeemed (1,193,807) (7,042,292)
------------ ------------
Net increase (decrease) (496,782) (3,800,679)
============ ============
At June 30, 2005, two shareholders of record held approximately 27% of the
total outstanding shares of the Fund. Investment activity of this
shareholder could have a material impact on the Fund.
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
7 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
(5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes substantially all of its taxable income for its
fiscal year.
See the Portfolio's financial statements included elsewhere in this report
for tax basis unrealized appreciation/(depreciation) information.
10
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPECTED PAR VALUE
SECURITY RATE MATURITY MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--107.7%
BONDS AND NOTES--86.3%
ASSET BACKED--18.5%
Chase Funding Mortgage Loan Asset Backed 2003-3 2A2 (a) 3.584% 12/26/2013 4/25/2033 841,873 $ 842,773
Chase Manhattan Auto Owner Trust 2003-B A4 2.570 8/15/2008 2/16/2010 1,000,000 978,022
Citibank Credit Card Issuance Trust 2004-A1 A1 2.550 1/20/2007 1/20/2009 1,250,000 1,223,724
Collegiate Funding Services Education Loan 2005-A A1 (a) 3.510 12/28/2009 9/29/2014 670,588 669,891
Countrywide Asset-Backed Certificates 2005-7 3AV1 (a) 3.340 12/26/2006 11/25/2035 465,000 465,000
First USA Credit Card Master Trust 1997-4 A (a) 3.450 6/18/2007 2/17/2010 750,000 752,995
Gracechurch Card Funding PLC 4 A (a) 3.270 6/15/2006 6/15/2008 1,000,000 1,000,426
GS Auto Loan Trust 2004-1 A4 2.650 4/15/2008 5/16/2011 315,000 306,985
Honda Auto Receivables Owner Trust 2002-4 A4 2.700 5/15/2007 3/17/2008 600,000 594,845
Lehman Brothers 2004-LLFA A1 144A (a) 3.350 7/17/2006 10/15/2017 345,613 345,551
M & I Auto Loan Trust 2003-1 A4 2.970 1/20/2008 4/20/2009 700,000 688,236
Option One Mortgage Loan Trust 2004-1 (a) 3.604 3/26/2018 1/25/2034 166,114 166,223
Option One Mortgage Loan Trust 2004-3 A2 (a) 3.464 11/25/2005 11/25/2034 116,066 116,076
SLM Student Loan Trust 2004-9 A2 (a) 3.181 1/25/2011 10/25/2012 1,000,000 998,940
Wachovia Auto Owner Trust 2004-B A4 3.440 6/20/2008 3/21/2011 400,000 392,941
Washington Mutual 2003-AR4 A5 3.551 10/25/2005 5/25/2033 87,291 86,988
World Financial Network Credit Card Master Trust 2004-B A (a) 3.320 9/15/2006 7/15/2010 1,000,000 1,000,060
-----------
Total Asset Backed (Cost $10,691,837) 10,629,676
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS--4.3%
Mound Financing PLC 3A A1-1 144A (a) 3.369 2/8/2006 2/8/2008 1,000,000 1,000,550
Permanent Financing PLC 3A (a) 3.504 6/10/2007 1,490,000 1,490,127
-----------
Total Collateralized Mortgage Obligations (Cost $2,490,000) 2,490,677
-----------
CORPORATE--50.0%
BANKING--10.2%
Bank One Texas 6.250 2/15/2008 750,000 790,277
HSBC Bank USA (a) 3.509 9/21/2007 900,000 900,341
US Bank NA 2.850 11/15/2006 750,000 737,627
US Bank NA (a) 3.130 10/1/2007 700,000 700,483
Wachovia Corp. (a) 3.370 7/20/2007 1,000,000 1,000,913
Washington Mutual Bank 3.360 2/28/2007 750,000 748,295
Wells Fargo & Co. (a) 3.240 3/10/2008 1,000,000 999,783
-----------
5,877,719
-----------
BASIC MATERIALS--1.3%
Praxair, Inc. 4.750 7/15/2007 750,000 758,863
-----------
BROKERAGES--9.6%
Bear Stearns Co., Inc. (a) 3.340 4/29/2008 700,000 700,298
Credit Suisse FB USA, Inc.* 4.625 1/15/2008 500,000 505,404
Goldman Sachs Group, Inc. (a) 3.778 6/28/2010 750,000 750,641
JPMorgan Chase & Co. (a) 3.520 12/12/2006 850,000 851,442
Merrill Lynch & Co. 3.700 4/21/2008 750,000 741,332
Merrill Lynch & Co. (a) 3.470 2/6/2009 1,000,000 1,001,955
Morgan Stanley 5.800 4/1/2007 935,000 961,069
-----------
5,512,141
-----------
COMMUNICATIONS--1.1%
Gannett Co., Inc. 4.125 6/15/2008 650,000 649,292
-----------
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPECTED PAR VALUE
SECURITY RATE MATURITY MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER NONCYCLICAL--3.1%
Diageo Capital PLC* 6.125% 8/15/2005 893,000 $ 895,564
General Mills, Inc. 2.625 10/24/2006 914,000 895,513
-----------
1,791,077
-----------
FINANCIAL--13.8%
Caterpillar Financial Services Corp. (a) 3.310 2/11/2008 750,000 750,143
CIT Group, Inc. (a) 3.844 9/22/2006 900,000 903,623
Citigroup, Inc. (a) 3.270 11/1/2007 750,000 750,331
Countrywide Financial Corp. (a)* 3.290 4/11/2007 750,000 750,502
FleetBoston Financial Corp. 6.375 5/15/2008 600,000 634,434
Genworh Financial, Inc. (a) 3.560 6/15/2007 1,000,000 1,001,792
John Deere Capital Corp. (a) 3.484 3/16/2006 500,000 500,200
MBNA Corp. (a) 3.640 5/5/2008 650,000 653,820
SLM Corp. (a) 3.241 1/25/2008 750,000 749,728
Textron Financial Corp. MTN 2.690 10/3/2006 500,000 491,668
Western Corp. Federal Credit Union (a) 3.328 2/15/2008 750,000 749,726
-----------
7,935,967
-----------
HEALTHCARE--1.2%
Unitedhealth Group, Inc.* 3.375 8/15/2007 700,000 689,863
-----------
INSURANCE--6.1%
Metropolitan Life Global Funding I 144A (a) 3.190 10/5/2007 1,000,000 1,000,305
Nationwide Life Global Funding 144A (a) 3.568 9/28/2007 1,000,000 1,000,430
Nationwide Life Global Funding 144A (a) 3.534 6/22/2007 345,000 345,235
Principal Life, Inc., Funding 3.400 12/7/2007 750,000 749,715
Residential Capital Corp. 144A (a) 4.835 6/29/2007 420,000 420,158
-----------
3,515,843
-----------
PUBLIC UTILITY--1.8%
Alabama Power Co. (a) 3.484 8/25/2009 1,000,000 1,000,619
-----------
TECHNOLOGY--1.8%
First Data Corp. 4.700 11/1/2006 1,000,000 1,010,452
-----------
Total Corporate (Cost $ 28,791,879) 28,741,836
-----------
U.S. GOVERNMENT AGENCY--6.1%
GOVERNMENT BACKED--4.6%
FNMA 4.500 3/25/2008 5/25/2012 729,294 731,897
FNMA 5.250 10/25/2006 4/25/2025 300,000 304,383
FHLMC 5.000 7/15/2007 6/15/2016 650,000 655,716
FHLMC 4.500 12/15/2007 1/15/2019 453,063 454,633
FHLMC 5.000 6/15/2009 1/15/2023 465,000 470,908
-----------
Total Government Backed (Cost $2,650,829) 2,617,537
-----------
PASS THRU SECURITIES--1.5%
FHLMC 2.614 8/15/2006 7/15/2011 444,607 439,173
FHLMC 5.500 9/15/2007 10/15/2018 425,000 430,660
-----------
Total Pass Thru Securities (Cost $881,807) 869,833
-----------
Total U.S. Government Agency (Cost $3,532,636) 3,487,370
-----------
U.S. TREASURY OBLIGATIONS--5.8%
U.S. Treasury Inflation-Indexed Bond* (Cost $3,406,263) 3.625 1/15/2008 3,161,235 3,345,105
-----------
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
SCHEDULE OF INVESTMENTS -- JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPECTED PAR VALUE
SECURITY RATE MATURITY MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE BONDS--1.6%
HBOS Treasury Services PLC 144A (a) (Cost $900,000) 3.210% 1/12/2007 900,000 $ 901,414
-----------
TOTAL BONDS AND NOTES (COST $49,812,615) 49,596,078
-----------
SHORT TERM INVESTMENTS--12.4%
COMMERCIAL PAPER--12.0%
Colonial Pipeline Co. (+) 3.070 7/5/2005 750,000 749,744
Edison Asset Securitization Corp. (+) 3.160 9/12/2005 750,000 745,194
Fairway Financial (+) 3.110 7/28/2005 857,000 855,001
Golden Funding Corp. (+) 3.080 7/14/2005 816,000 815,092
ING (US) Funding LLC (+) 3.060 7/6/2005 750,000 749,681
MANE Funding Corp. (+) 3.150 8/10/2005 750,000 747,375
Metlife Funding (+) 3.150 9/9/2005 750,000 745,406
Three Pillars Funding (+) 3.170 7/15/2005 750,000 749,075
Yorkton Capital LLC (+) 3.240 7/26/2005 750,000 748,313
-----------
6,904,881
-----------
U.S. GOVERNMENT--0.4%
FNMA Discount Note + ! 3.080 8/10/2005 200,000 199,277
-----------
TOTAL SHORT TERM INVESTMENTS (Cost $7,104,198) 7,104,158
-----------
INVESTMENT OF CASH COLLATERAL--9.0% SHARES
------
BlackRock Cash Strategies L.L.C. ** (Cost $5,172,375) 5,172,375 5,172,375
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $62,089,188) 61,872,611
-----------
AFFILIATED INVESTMENTS--2.2%
Dreyfus Institutional Preferred Plus Money Market Fund ((+)(+)) (Cost $1,231,650) 1,231,650 1,231,650
-----------
TOTAL INVESTMENTS--109.9% (Cost $63,320,838) 63,104,261
LIABILITIES IN EXCESS OF OTHER ASSETS--(9.9%) (5,670,484)
-----------
NET ASSETS--100.0% $57,433,777
===========
NOTES TO SCHEDULE OF INVESTMENTS:
FHLMC-Federal Home Loan Mortgage Company
FNMA--Federal National Mortgage Association
(a) Variable Rate Security; rate indicated as of 06/30/05.
+ Rate noted is yield to maturity.
* Security, or a portion of thereof, was on loan at June 30, 2005.
** Money market fund exempt from registration under the Investment Company
Act of 1940 and offered only to eligible investors.
! Denotes all of part of security pledged as collateral.
++ Affiliated institutional money market fund.
At June 30, 2005, the Portfolio held the following futures contracts:
UNDERLYING FACE UNREALIZED
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------
EURO BOND (6 Contracts) Short 9/19/2005 $1,443,000 $ 720
EURO BOND (6 Contracts) Short 12/19/2005 1,440,675 195
EURO BOND (6 Contracts) Short 3/13/2006 1,439,700 (480)
EURO BOND (6 Contracts) Short 6/19/2006 1,438,650 (1,305)
--------
$ (870)
========
The accompanying notes are an integral part of the financial statements.
13
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $5,059,603) (Note 6)
Unaffiliated issuers, at value (Note 1A) (cost $62,089,188) $61,872,611
Affiliated issuers (Note 1F), at value (Note 1A) (cost $1,231,650) 1,231,650
Interest and dividends receivable 302,919
Receivable from investment advisor 18,713
Variation margin receivable 861
Prepaid expenses 4,678
-----------
Total assets 63,431,432
LIABILITIES
Collateral for securities on loan (Note 6) $ 5,172,375
Payable for securities purchased 777,444
Accrued accounting, administration and custody fees (Note 2) 22,911
Accrued trustees' fees and expenses (Note 2) 8,472
Accrued expenses and other liabilities 16,453
-----------
Total liabilities 5,997,655
-----------
NET ASSETS $57,433,777
===========
The accompanying notes are an integral part of the financial statements.
14
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Interest income $ 983,066
Interest income from affiliated investments (Note 1F) 33,254
Security lending income (Note 6) 1,316
-----------
Total investment income 1,017,636
EXPENSES
Investment advisory fee (Note 2) $ 73,420
Accounting, administration and custody fees (Note 2) 45,860
Professional fees 21,574
Trustees' fees and expenses (Note 2) 8,339
Insurance expense 6,182
Miscellaneous 356
-----------
Total expenses 155,731
DEDUCT
Waiver of investment advisory fee (Note 2) (34,784)
-----------
Net expenses 120,947
-----------
Net investment income 896,689
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities (81,443)
Futures contracts (151,306)
-----------
Net realized gain (loss) (232,749)
Change in unrealized appreciation (depreciation) on:
Investment securities (85,179)
Futures contracts 52,927
-----------
Change in net unrealized appreciation (depreciation) (32,252)
-----------
Net realized and unrealized gain (loss) (265,001)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 631,688
===========
The accompanying notes are an integral part of the financial statements.
15
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income $ 896,689 $ 1,314,045
Net realized gain (loss) (232,749) (63,934)
Change in net unrealized appreciation (depreciation) (32,252) (423,401)
------------- -------------
Net increase (decrease) in net assets from operations 631,688 826,710
------------- -------------
CAPITAL TRANSACTIONS
Contributions 13,426,253 63,157,972
Withdrawals (23,890,792) (138,574,542)
------------- -------------
Net increase (decrease) in net assets from capital transactions (10,464,539) (75,416,570)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (9,832,851) (74,589,860)
NET ASSETS
At beginning of period 67,266,628 141,856,488
------------- -------------
At end of period $ 57,433,777 $ 67,266,628
============= =============
The accompanying notes are an integral part of the financial statements.
16
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
TOTAL RETURN (B) 1.02%(c) 0.79% 1.48% 3.14% 6.15% 6.96%
RATIOS:
Expenses (to average daily net assets)(*) 0.38%(d) 0.41% 0.36% 0.36% 0.35% 0.34%
Net Investment Income (to average
daily net assets)(*) 2.83%(d) 1.36% 1.60% 2.99% 4.89% 6.07%
Portfolio Turnover 46%(c) 39% 113% 160% 174% 70%
Net Assets, End of Year (000's omitted) $ 57,434 $ 67,267 $141,856 $146,771 $134,055 $180,548
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/ or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Ratios (to average daily net assets):
Expenses 0.49%(d) N/A 0.37% 0.38% N/A N/A
Net investment income 2.72%(d) N/A 1.59% 2.97% N/A N/A
(a) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to increase the ratio of the net investment income to
average net assets by less than 0.01%. Ratios for the periods prior to
January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Total return for the Portfolio has been calculated based on the total
return for the invested Fund, assuming all distributions were invested, and
adjusted for the difference in expenses as set out in the notes to the
financial statements. Total return would have been lower in the absence of
expense waivers.
(c) Not annualized.
(d) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
17
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the State of New York on
January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Mellon Enhanced Yield Portfolio (the "Portfolio") is a separate diversified
investment series of the Portfolio Trust.
At June 30, 2005 there was one fund, Standish Mellon Enhanced Yield Fund
(the "Fund"), invested in the Portfolio. The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in the net
assets of the Portfolio. The Fund's proportionate interest at June 30, 2005
was approximately 100%.
The objective of the Portfolio is to achieve a high level of current income
consistent with preserving principal and liquidity. The Portfolio seeks to
achieve its objective by investing, under normal circumstances, at least
80% of net assets in dollar-denominated money market instruments,
short-term fixed income securities and asset-backed securities of U.S. and
foreign governments, banks and companies.
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the
Portfolio acquires a short-term instrument with more than sixty days
remaining to its maturity, it is valued at current market value until the
sixtieth day prior to maturity and will then be valued at amortized value
based upon the value on such date unless the Trustees determine during such
sixty-day period that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of trade date. Interest income is
determined on the basis of interest accrued, adjusted for accretion of
discount or amortization of premium using the yield-to-maturity method on
long-term debt securities and short-term securities with greater than sixty
days to maturity. Realized gains and losses from securities sold are
recorded on the identified cost basis.
C. INCOME TAXES
The Portfolio is treated as a disregarded entity for federal tax purposes.
No provision is made by the Portfolio for federal or state taxes on any
taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since the Portfolio's
only investor is a regulated investment company that invests all or
substantially all of its assets in the Portfolio, the Portfolio normally
must satisfy the source of income and diversification requirements
applicable to regulated investment companies (under the Internal Revenue
Code) in order for its investors to satisfy them. The Portfolio allocates
at least annually its net investment income, net realized capital gains,
and any other items of income, gain, loss deduction or credit.
D. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund or portfolio are allocated taking
into consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
18
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Portfolio may enter into contracts
and agreements that contain a variety of representations and warranties,
which provide general indemnifications. The maximum exposure to the
Portfolio under these arrangements is unknown, as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
However, based on experience, the Portfolio expects the risks of loss to be
remote.
F. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory and administrative services is paid monthly at the annual rate of
0.25%, for the period from January 1, 2005 through April 1, 2005 and 0.20%
for the period from May 1, 2005 to June 30, 2005, of the Portfolio's
average daily net assets. Standish Mellon voluntarily agreed to limit the
total operating expenses of the Fund and its pro rata share of the
Portfolio expenses (excluding brokerage commissions, taxes and
extraordinary expenses) to 0.45% of the Fund's average daily net assets for
the period from January 1, 2005 through April 30, 2005 and to 0.25% for the
period from May 1, 2005 to June 30, 2005. Pursuant to these agreements, for
the period ended June 30, 2005, Standish Mellon voluntarily waived a
portion of its investment advisory fee in the amount of $34,784. This
agreement is voluntary and temporary and may be discontinued or revised by
Standish Mellon at any time.
The Portfolio compensates Mellon Bank, N.A. under a custody, administration
and accounting services agreement for providing custody, fund
administration and fund accounting services for the Portfolio. Pursuant to
this agreement the Portfolio paid $37,020 during the period ended June 30,
2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. For further details see Note 6.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay for a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
----------- -----------
U.S. Government Securities $ 6,526,667 $ 2,778,465
----------- -----------
Investments (non-U.S.
Government Securities) $18,933,405 $37,048,241
=========== ===========
(4) FEDERAL TAXES:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2005, as computed on a federal
income tax basis, were as follows:
Aggregate cost $ 63,320,838
============
Gross unrealized appreciation $ 25,374
Gross unrealized depreciation (241,951)
------------
Net unrealized appreciation (depreciation) $ (216,577)
============
19
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(5) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Portfolio Trust's registration statement.
The Portfolio may trade the following financial instruments with
off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Portfolio may use options to seek to hedge against
risks of market exposure and changes in security prices and foreign
currencies, as well as to seek to enhance returns. Writing puts and buying
calls tend to increase the Portfolio's exposure to the underlying
instrument. Buying puts and writing calls tend to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio
investments. Options, both held and written by the Portfolio, are reflected
in the accompanying Statement of Assets and Liabilities at market value.
The underlying face amount at value of any open purchased options is shown
in the Schedule of Investments. This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise from
changes in the value of the underlying instruments if there is an illiquid
secondary market for the contract or if the counterparty does not perform
under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Portfolio is exercised, the premium reduces
the cost basis of the securities purchased by the Portfolio. The Portfolio,
as a writer of an option, has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security
underlying the written option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
The Portfolio did not enter into any option transactions during the period
ended June 30, 2005.
INTEREST RATE FLOORS
Interest rate floors purchased by the Portfolio entitle the Portfolio to
receive payments on a notional principal amount from the party selling such
floor to the extent that a specified index falls below a predetermined
interest rate amount. Credit and market risk exist with respect to these
instruments. If forecasts of interest rates and other market factors are
incorrect, investment performance will diminish compared to what
performance would have been if these investment techniques were not used.
Even if the forecasts are correct, there are risks that the positions may
correlate imperfectly with the asset or liability being hedged, a liquid
secondary market may not always exist, or a counterparty to a transaction
may not perform. The Portfolio expects to enter these transactions
primarily for hedging purposes including, but not limited to, preserving a
return or spread on a particular investment or portion of its portfolio,
protecting against interest rate fluctuations, as a duration management
technique or protecting against an increase in the price of securities the
Portfolio anticipates purchasing at a later date. Interest rate floors are
"marked-to-market" daily based on quotations from market makers and the
change, if any, is recorded as unrealized appreciation or depreciation in
the Statement of Operations. Periodic payments of interest, if any, are
reported as additions to interest income in the Statement of Operations.
Realized gains or losses from these agreements are disclosed in the
Statement of Operations.
The Portfolio did not enter into any open interest rate floor agreements
during the period ended June 30, 2005.
FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts for the delayed
sale or delivery of securities or contracts based on financial indices at a
fixed price on a future date. Pursuant to margin requirements the Portfolio
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Portfolio each day, depending on the daily fluctuations in the value
of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. There are several
risks in connection with the use of futures contracts as a hedging device.
The change in value of futures contracts primarily corresponds with the
value of
20
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
their underlying instruments or indices, which may not correlate with
changes in the value of hedged investments. Buying futures tends to
increase the Portfolio's exposure to the underlying instrument, while
selling futures tends to decrease the Portfolio's exposure to the
underlying instrument or hedge other investments. In addition, there is the
risk that the Portfolio may not be able to enter into a closing transaction
because of an illiquid secondary market. Losses may arise if there is an
illiquid secondary market or if the counterparty does not perform under the
contract's terms. The Portfolio enters into financial futures transactions
primarily to seek to manage its exposure to certain markets and to changes
in securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June 30, 2005, the Portfolio held financial futures contracts. At June
30, 2005, the Portfolio had segregated sufficient cash and/or securities to
cover margin requirements on open futures contracts. See Schedule of
Investments for further detail.
(6) SECURITY LENDING:
The Portfolio may lend its securities to financial institutions which the
Portfolio deems to be creditworthy. The loans are collateralized at all
times with cash or securities with a market value at least equal to the
market value of the securities on loan. The market value of securities
loaned is determined daily and any additional required collateral is
allocated to the Portfolio on the next business day. For the duration of a
loan, the Portfolio receives the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives compensation
from the investment of the collateral. As with other extensions of credit,
the Portfolio bears the risk of delay in recovery or even loss of rights in
its securities on loan should the borrower of the securities fail
financially or default on its obligations to the Portfolio. In the event of
borrower default, the Portfolio generally has the right to use the
collateral to offset losses incurred. The Portfolio may incur a loss in the
event it was delayed or prevented from exercising its rights to dispose of
the collateral. The Portfolio also bears the risk in the event that the
interest and/or dividends received on invested collateral is not sufficient
to meet the Portfolio's obligations due on the loans.
The Portfolio loaned securities during the period ended June 30, 2005
resulting in $1,316 of security lending income. At June 30, 2005, the
Portfolio had securities valued at $5,059,603 on loan. See the Statement of
Investments for further detail on the security positions on loan and
collateral held.
(7) DELAYED DELIVERY TRANSACTIONS:
The Portfolio may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Portfolio
instructs its custodian to segregate securities having value at least equal
to the amount of the purchase commitment.
The Portfolio may enter into to be announced ("TBA") purchase commitments
to purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Portfolio holds, and maintains until settlement date, cash or
high-grade debt obligations in an amount sufficient to meet the purchase
price, or the Portfolio may enter into offsetting contracts for the forward
sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a 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 the current market value of the
underlying securities, according to the procedures described under
"Investment security valuations" above.
The Portfolio may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Portfolio as an unrealized gain or loss. If the TBA sale commitment is
closed through the acquisition of an offsetting purchase commitment, the
Portfolio 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.
At June 30, 2005, the Portfolio did not have any delayed delivery
transactions.
21
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON ENHANCED YIELD PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(8) LINE OF CREDIT:
The Portfolio, and other subtrusts in the Portfolio Trust and funds in the
Trust are parties to a committed line of credit facility, which enables
each portfolio/fund to borrow, in the aggregate, up to $35 million.
Interest is charged to each participating portfolio/fund based on its
borrowings at a rate equal to the Federal Funds effective rate plus 1/2 of
1%. In addition, a facility fee, computed at an annual rate of 0.060 of 1%
on the daily unused portion of the facility, is allocated ratably among the
participating portfolios/funds at the end of each quarter. For the period
ended June 30, 2005, a facility fee of $238 was allocated to the Portfolio
During the period ended June 30, 2005, the Fund had average borrowings
outstanding of $27,480 on a total of ten days and incurred $23 of interest
expense.
22
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None Fund: $250
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Portfolio: $819
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None Fund: $250
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $907
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None Fund: $250
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $819
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None Fund: $250
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $819
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None Fund: $0
Mellon Institutional and Chief Operating Officer of Portfolio: $0
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
23
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
24
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0926SA0605
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report STANDISH MELLON
FIXED INCOME FUND
- --------------------------------------------------------------------------------
JUNE 30, 2005 (UNAUDITED)
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus.
Any information in this shareholder report regarding market or economic trends
or the factors influencing the Fund' s historical or future performance are
statements of the opinion of Fund management as of the date of this report.
These statements should not be relied upon for any other purposes. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts discussed will be realized.
Commencing with the fiscal quarter ending September 30, 2004, the Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on Form
N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. The
Fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room
in Washington D.C. Information regarding the operation of the SEC's Public
Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of
the Fund's portfolio holdings, view the most recent quarterly holdings report,
semi-annual report or annual report on the Fund's web site at
http://melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://melloninstitutionalfunds.com or the
SEC's web site at http://www.sec.gov. You may also call 1-800-221-4795 to
request a free copy of the proxy voting guidelines.
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
- --------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees, and (2) ongoing costs, including management
fees and other Fund expenses. This Example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000.00=8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expenses
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs. Therefore, the
second line of the table is useful in comparing ongoing costs and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD(+)
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2005
JANUARY 1, 2005 JUNE 30, 2005 TO JUNE 30, 2005
- ------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,026.20 $2.46
Hypothetical (5% return
per year before expenses) $1,000.00 $1,022.36 $2.46
- -------
(+) Expenses are equal to the Fund's annualized expense ratio of .49%,
Multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
3
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
PORTFOLIO INFORMATION AS OF JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PERCENTAGE OF
SUMMARY OF COMBINED RATINGS INVESTMENTS
--------------------------------------------
QUALITY BREAKDOWN
--------------------------------------------
AAA and higher 51.4%
AA 3.4
A 11.5
BBB 27.8
BB 5.5
B 0.4
-------
100.0
Based on ratings from Standard & Poor's and/or Moody's Investors Services.
If a security receives split (different) ratings from multiple rating
organizations, the Fund treats the security as being rated in the higer
rating category.
PERCENTAGE OF
TOP TEN HOLDINGS* RATE MATURITY NET ASSETS
----------------------------------------------------------------------------------------------------------
U.S. Treasury Note 3.6250 4/30/2007 6.9%
FNMA (TBA) 5.0000 7/1/2035 6.4
FNMA (TBA) 5.5000 7/1/2035 5.3
FNMA (TBA) 4.5000 7/1/2020 4.4
FNMA (TBA) 5.5000 7/1/2020 3.1
U.S. Treasury Note 6.2500 5/15/2030 2.8
U.S. Treasury Note 4.2500 8/15/2013 2.4
FNMA (TBA) 5.0000 7/1/2020 2.0
Australian Government 5.2500 8/15/2010 1.8
U.S. Treasury Inflation-Indexed Bond 0.8750 4/15/2010 1.5
-------
36.6%
* Excluding short-term investments and investment of cash collateral.
PERCENTAGE OF
ECONOMIC SECTOR ALLOCATION INVESTMENTS
--------------------------------------------
Treasury/Agency 19.9%
Mortgage pass through 27.7
Credit 35.4
ABS/CMO/CMBS 9.4
Nondollar 3.8
Emerging markets 3.8
-------
100.0%
The Standish Mellon Fixed Income Fund invests all of its investable assets in an
interest of the Standish Mellon Fixed Income Portfolio (See Note 1 of the Fund's
Notes to Financial Statements). The Portfolio is actively managed. Current
holdings may be different than those presented above.
4
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Standish Mellon Fixed Income Portfolio (Portfolio), at value (Note 1A) $ 447,594,949
Receivable for Fund shares sold 2,056,080
Prepaid expenses 14,280
-------------
Total assets 449,665,309
LIABILITIES
Payable for Fund shares redeemed $ 761,054
Accrued transfer agent fees (Note 2) 13,290
Accrued professional fees 15,266
Accrued trustees' fees (Note 2) 492
Accrued expenses and other liabilities 7,099
-------------
Total liabilities 797,201
-------------
NET ASSETS $ 448,868,108
=============
NET ASSETS CONSIST OF:
Paid-in capital $ 622,585,617
Accumulated net realized loss (180,269,847)
Net investment income 570,621
Net unrealized appreciation 5,981,717
-------------
TOTAL NET ASSETS $ 448,868,108
=============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 22,271,102
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(Net Assets/Shares outstanding) $ 20.15
=============
The accompanying notes are an integral part of the financial statements.
5
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B)
Income allocated from Portfolio $10,286,803
Expenses allocated from Portfolio (1,082,348)
-------------
Net investment income allocated from Portfolio 9,204,455
EXPENSES
Transfer agent fees (Note 2) $ 20,505
Registration fees 20,455
Professional fees 12,725
Trustees' fees (Note 2) 993
Insurance expense 1,190
-------------
Total expenses 55,868
-------------
Net investment income 9,148,587
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio on:
Investment, futures, options, swaps and foreign currency transactions 4,914,021
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments, futures, options, swaps and foreign currencies (1,645,429)
-------------
Net realized and unrealized gain (loss) on investments 3,268,592
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 12,417,179
=============
The accompanying notes are an integral part of the financial statements.
6
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS
Net investment income $ 9,148,587 $ 19,532,026
Net realized gain (loss) 4,914,021 20,499,067
Change in net unrealized appreciation (depreciation) (1,645,429) (13,157,811)
-------------- --------------
Net increase (decrease) in net assets from operations 12,417,179 26,873,282
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1C)
From net investment income (10,162,885) (27,209,831)
-------------- --------------
Total distributions to shareholders (10,162,885) (27,209,831)
-------------- --------------
FUND SHARE TRANSACTIONS (NOTE 4)
Net proceeds from sale of shares 23,315,521 46,761,132
Value of shares issued to shareholders in reinvestment of distributions 6,871,704 18,592,134
Cost of shares redeemed (46,880,063) (197,499,402)
-------------- --------------
Net increase (decrease) in net assets from Fund share transactions (16,692,838) (132,146,136)
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (14,438,544) (132,482,685)
NET ASSETS
At beginning of period 463,306,652 595,789,337
-------------- --------------
At end of period (including undistributed net
investment income of $570,621 and $1,584,919) $ 448,868,108 $ 463,306,652
============== ==============
The accompanying notes are an integral part of the financial statements.
7
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(a) 2000
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.08 $ 20.08 $ 19.70 $ 18.93 $ 18.92 $ 18.55
-------- -------- -------- -------- ---------- ----------
FROM OPERATIONS:
Net investment income * (b) 0.39 0.77 0.75 0.93 1.22 1.35
Net realized and unrealized
gains (loss) on investments 0.13 0.36 0.28 0.71 0.10 0.47
-------- -------- -------- -------- ---------- ----------
TOTAL FROM OPERATIONS 0.52 1.13 1.03 1.64 1.32 1.82
-------- -------- -------- -------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.45) (1.13) (0.65) (0.87) (1.31) (1.45)
-------- -------- -------- -------- ---------- ----------
Total distributions to shareholders (0.45) (1.13) (0.65) (0.87) (1.31) (1.45)
-------- -------- -------- -------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 20.15 $ 20.08 $ 20.08 $ 19.70 $ 18.93 $ 18.92
======== ======== ======== ======== ========== ==========
TOTAL RETURN (c) 2.62%(d) 5.74% 5.24% 8.89% 7.16% 10.21%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) * (e) 0.49%(f) 0.48% 0.42% 0.38% 0.38% 0.37%
Net Investment Income (to average
daily net assets) * 3.93%(f) 3.77% 3.76% 4.86% 6.35% 7.23%
Net Assets, End of Period (000's omitted) $448,868 $463,307 $595,789 $941,240 $1,475,570 $2,220,981
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose a portion of its its investment advisory fee and/or reimbursed the
Fund for all or a portion of its operating expenses. If this voluntary
action had not been taken, the investment income per share and the ratios
would have been:
Net investment income per share (b) N/A N/A $ 0.73 $ 0.93 N/A N/A
Ratios (to average daily net assets):
Expenses (e) N/A N/A 0.45% 0.42% N/A N/A
Net investment income N/A N/A 3.73% 4.82% N/A N/A
(a) Through its investment in the Portfolio, the Fund has adopted the
provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies effective January 1, 2001 and began amortizing premium and
discount on all debt securities on an effective yield basis. The effect of
this change for the year ended December 31, 2001 was to decrease net
investment income per share by $0.004, increase net realized and unrealized
gains and losses per share by $0.004 and decrease the ratio of net
investment income to average net assets from 6.37% to 6.35%. Per share data
and ratios/supplemental data for the periods prior to January 1, 2001 have
not been restated to reflect this change in presentation.
(b) Calculated based on average shares outstanding.
(c) Total return would have been lower in the absence of expense waivers.
(d) Not annualized.
(e) Includes the Fund's share of the Portfolio's allocated expenses.
(f) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon High Yield Bond Fund (the "Fund") is a separate diversified
investment series of the Trust.
The objective of the Fund is to maximize total return, consisting primarily
of a high level of income. The Fund seeks to achieve its objective by
investing all of its investable assets in an interest of the Standish
Mellon High Yield Bond Portfolio (the "Portfolio"), a subtrust of the
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust"), which
is organized as a New York trust and which has the same investment
objective as the Fund. The Portfolio seeks to achieve its objective by
investing, under normal circumstances, at least 80% of net assets in fixed
income securities issued by U.S. and foreign governments, companies and
banks, as well as tax-exempt securities, preferred stocks and warrants. The
value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (approximately
100% at June 30, 2005). The performance of the Fund is directly affected by
the performance of the Portfolio. The financial statements of the Portfolio
are included elsewhere in this report and should be read in conjunction
with the Fund's financial statements.
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in accordance with accounting principles generally
accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those
estimates.
A. INVESTMENT SECURITY VALUATIONS
The Fund records its investment in the Portfolio at value. The method by
which the Portfolio values its securities is discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere in
this report.
B. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions in the Portfolio are recorded as of the settlement
date of shareholder transactions. The Fund's net investment income consists
of the Fund's pro rata share of the net investment income of the Portfolio,
less all expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America. All realized
and unrealized gains and losses of the Portfolio are allocated pro rata
among the investors in the Portfolio.
C. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income will be declared daily and distributed
monthly. The Fund's dividends from short-term and long-term capital gains,
if any, after reduction of capital losses will be declared and distributed
at least annually. In determining the amounts of its dividends, the Fund
will take into account its share of the income, gains or losses, expenses,
and any other tax items of the Portfolio. Dividends from net investment
income and distributions from capital gains, if any, are reinvested in
additional shares of the Fund unless a shareholder elects to receive them
in cash. Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences,
which may result in distribution reclassifications, are primarily due to
differing treatments for capital loss carryforwards and amortization and/or
accretion of premiums and discounts on certain securities.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to undistributed net
investment income, accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income and accumulated net realized
gain (loss) on investments and foreign currency transactions may include
temporary book and tax basis differences which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
D. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or Portfolio. Expenses which are not
readily identifiable to a specific fund are allocated taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or Portfolios.
9
MELLON INSTITUTIONAL FUNDS INVESTMENT TRUST
STANDISH MELLON FIXED INCOME FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
E. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund may enter into contracts and
agreements that contain a variety of representations and warranties, which
provide general indemnifications. The maximum exposure to the Fund under
these arrangements is unknown, as this would involve future claims that may
be made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risks of loss to be remote.
(2) INVESTMENT ADVISORY FEE AND TRANSACTIONS WITH AFFILIATES:
The Fund does not directly pay any investment advisory fees, but indirectly
bears its pro rata share of the compensation paid by the Portfolio to
Standish Mellon Asset Management Company LLC ("Standish Mellon"), a
wholly-owned subsidiary of Mellon Financial Corporation, for such services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report.
The Fund entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
Mellon Financial Corporation and an affiliate of Standish Mellon, to
provide personnel and facilities to perform transfer agency and certain
shareholder services for the Fund. For these services, the Fund pays
Dreyfus Transfer, Inc. a fixed fee plus per account and transaction based
fees, as well as, out-of-pocket expenses. Pursuant to this agreement the
Fund paid $19,204 during the period ended June 30, 2005.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
(3) INVESTMENT TRANSACTIONS:
Increases and decreases in the Fund's investment in the Portfolio for the
period ended June 30, 2005, aggregated $26,375,046 and $56,795,926,
respectively.
(4) SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest having a par value of
one cent per share. Transactions in Fund shares were as follows:
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
------------ ------------
Shares sold 1,157,734 2,338,169
Shares issued to shareholders
reinvestment of distributions declared 343,617 927,191
Shares redeemed (2,306,852) (9,861,429)
------------ ------------
Net increase (decrease) (805,501) (6,596,069)
============ ============
The Fund imposes a redemption fee of 2% of the net asset value of the
shares, with certain exceptions, which are redeemed or exchanged less than
30 days from the day of their purchase. The redemption fee is paid directly
to the Fund, and is designed to offset brokerage commissions, market
impact, and other costs associated with short-term trading in the Fund. The
fee does not apply to shares that are acquired through reinvestment of
distributions. For the period ended June 30, 2005, the Fund did not collect
any redemption fees.
5) FEDERAL TAXES:
As a regulated investment company qualified under Subchapter M of the
Internal Revenue Code, the Fund is not subject to income taxes to the
extent that it distributes substantially all of its taxable income for its
fiscal year.
See the Portfolio's financial statements included elsewhere in this report
for tax basis unrealized appreciation/(depreciation) information.
10
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--137.7%
BONDS AND NOTES--116.6%
ASSET BACKED--21.5%
Accredited Mortgage Loan Trust 2005-1 A2A (a) 3.414% 4/25/2035 USD 916,109 $ 916,268
Accredited Mortgage Loan Trust 2005-2 A2A 3.414 7/25/2035 1,374,025 1,373,603
ACE Securities Corp. 2005-HE1 A2A (a) 3.434 2/25/2035 891,779 891,836
Advanta Mortgage Loan Trust 1999-3 A4 7.750 10/25/2026 173,598 176,102
American Express Credit Account Master Trust 2004-C (a) 144a 3.720 2/15/2012 4,048,344 4,061,040
Banc of America Commercial Mortgage, Inc. 2005-2 A2 4.247 7/10/2043 1,900,000 1,904,750
Bear Stearns Asset Backed Securities, Inc. 2005-HE2 1A1 (a) 3.424 2/25/2035 1,178,922 1,179,168
Bear Stearns Asset Backed Securities, Inc. 2005-HE3 1A1 (a) 3.394 3/25/2035 785,580 785,691
Capital Auto Receivables Asset Trust 144a 5.820 5/15/2012 1,950,000 1,962,727
Capital One Master Trust 2001-2 C (a) 144a 4.320 1/15/2009 2,000,000 2,006,668
Capital One Multi-Asset Execution Trust 2002-B1 B1 (a) 3.900 7/15/2008 5,840,000 5,843,923
Capital One Multi-Asset Execution Trust 2003-B2 B2 3.500 2/17/2009 725,000 721,696
Capital One Multi-Asset Execution Trust 2004-C1 C1 3.400 11/16/2009 2,950,000 2,915,356
Centex Home Equity Co. LLC 2004-2 A1 (a) 3.484 1/25/2025 1,103,065 1,103,187
Chase Credit Card Master Trust (a) 3.770 9/15/2009 1,000,000 1,004,347
Chase Credit Card Master Trust 2000-3 A (a) 3.350 1/15/2008 2,480,000 2,480,665
Chase Credit Card Master Trust 2002-6 B (a) 3.570 1/15/2008 2,245,000 2,245,694
Chase Credit Card Master Trust 2002-8 A (a) 3.280 3/17/2008 1,900,000 1,900,481
Chase Funding Loan Acquisition Trust (a) 3.494 9/25/2013 117,333 117,340
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-1 2A1 (a) 3.330 12/25/2030 1,132,989 1,132,999
Chase Manhattan Auto Owner Trust 1.520 5/15/2007 537,263 534,146
Citibank Credit Card Issuance Trust 2000-C1 C1 7.450 9/15/2007 3,250,000 3,274,711
Citibank Credit Card Issuance Trust 2001-C3 C3 6.650 5/15/2008 1,420,000 1,452,233
Citigroup Mortgage Loan Trust, Inc. 2005-OPT3 A1A (a) 3.306 7/25/2035 1,475,000 1,475,000
Countrywide Alternative Loan Trust 2005-J4 2A1B 3.434 7/25/2035 1,569,889 1,569,889
Countrywide Asset-Backed Certificates 2004-10 2AV1 (a) 3.474 9/25/2023 440,553 440,616
Countrywide Asset-backed Certificates 2004-14 A1 (a) 3.454 6/25/2035 1,384,643 1,385,003
Countrywide Asset-Backed Certificates 2005-2 2A1 (a) 3.404 8/25/2035 1,181,762 1,181,831
CS First Boston Mortgage Securities Corp. 2002-HE4 6.940 8/25/2032 650,000 658,511
First USA Credit Card Master Trust 1998-4 (a) 144a 3.760 3/18/2008 1,875,000 1,874,848
Ford Credit Auto Owner Trust 2005-B B 4.640 4/15/2010 1,350,000 1,362,975
Fremont Home Loan Trust 2005-1 2A1 (a) 3.414 6/25/2035 1,420,444 1,421,280
Green Tree Financial Corp. 1994-7 M1 9.250 3/15/2020 1,100,000 1,178,986
Harley-Davidson Motorcycle Trust 2001-3 B 3.720 10/15/2009 974,022 970,694
Home Equity Asset Trust 2005-5 2A1 3.510 11/25/2035 2,075,000 2,075,000
Honda Auto Receivables Owner Trust 2004-1 A3 2.400 2/21/2008 1,383,000 1,364,529
Household Credit Card Master Note Trust I 2001 Cl A (a) 3.360 8/15/2008 3,250,000 3,251,811
MBNA Credit Card Master Note Trust 2001-C3 C3 6.550 12/15/2008 1,645,000 1,687,489
Merrill Lynch Mortgage Investors, Inc. (a) 3.424 10/25/2035 706,877 707,000
Merrill Lynch Mortgage Investors, Inc. 2005-WMC1 A2A (a) 3.414 9/25/2035 890,404 890,623
MMCA Automobile Trust 2002-1 Cl B 5.370 1/15/2010 315,866 316,673
Morgan Stanley ABS Capital I 2005-WMC2 A2A (a) 3.394 2/25/2035 944,326 944,308
Morgan Stanley Home Equity Loans 2005-2 A2A (a) 3.404 5/25/2035 782,952 782,351
Nomura Asset Acceptance Corp. 2005-AP2 A5 (a) 4.976 5/25/2035 950,000 962,172
Nomura Asset Acceptance Corp. 2005-WF1 2A5 5.159 3/25/2035 880,000 893,857
Opteum Mortgage Acceptance Corp. 2005-1 A2 (a) 3.454 2/25/2035 703,207 703,193
Option One Mortgage Loan Trust 2004-3 A2 (a) 3.464 11/25/2034 799,566 799,631
Origen Manufactured Housing 2005-A A1 4.060 7/15/2013 2,064,206 2,062,034
Park Place Securities, Inc. 2005-WHQ1 A3A (a) 3.200 3/25/2035 2,525,664 2,526,785
The accompanying notes are an integral part of the financial statements.
11
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET BACKED (CONTINUED)
Residential Asset Mortgage Products, Inc 2005-RS2 AII1 (a) 3.424% 2/25/2035 USD 1,017,660 $ 1,018,005
Residential Asset Mortgage Products, Inc. 2004-RS12 AII1 (a) 3.444 6/25/2027 2,071,873 2,072,804
Residential Asset Mortgage Products, Inc. 2005-RS3 AI1 (a) 3.414 3/25/2035 2,212,430 2,212,746
Residential Asset Securities Corp. 2004-KS10 AI1 (a) 3.484 10/25/2013 929,113 929,347
Residential Asset Securities Corp.2005-EMX1 AI1 (a) 3.414 3/25/2035 1,191,749 1,191,914
Specialty Underwriting & Residential Finance (a) 3.464 10/25/2035 2,006,007 2,006,390
Specialty Underwriting & Residential Finance 2005-BC1 A1A (a) 3.424 12/25/2035 992,094 992,153
Structured Adjustable Rate Mortgage Loan 2005-8XS A1 (a) 3.414 4/25/2035 3,101,505 3,101,505
USAA Auto Owner Trust 2005-WF1 2A5 2.337 11/15/2005 244,060 243,964
Vanderbilt Mortgage Finance 1999-A 1A6 6.750 3/7/2029 1,110,000 1,196,599
Washington Mutual 2005-AR4 A4B 4.684 4/25/2035 450,000 450,633
WFS Financial Owner Trust 2003-3 A4 3.250 5/20/2011 2,425,000 2,399,532
WFS Financial Owner Trust 2004-1 D 3.170 8/22/2011 1,322,736 1,311,577
WFS Financial Owner Trust 2004-4 C 3.210 5/17/2012 1,803,337 1,782,795
WFS Financial Owner Trust 2004-4 Cl A2 2.500 12/17/2007 1,107,756 1,102,296
WFS Financial Owner Trust 2005-2 B 4.570 11/19/2012 675,000 683,156
-----------
Total Asset Backed (Cost $96,483,101) 96,167,136
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS--2.8%
Crown Castle Towers LLC, 2005-1A D 144A 5.612 6/15/2035 540,000 542,173
GNMA 2003-48 AC 2.712 2/16/2020 2,298,079 2,226,725
GNMA 2003-72 A 3.206 4/16/2018 2,283,167 2,236,502
GNMA 2003-88 AC 2.914 6/16/2018 1,661,779 1,613,942
GNMA 2003-96 B 3.607 8/16/2018 615,000 604,669
GNMA 2004-12A 3.110 1/16/2019 1,196,117 1,160,131
GNMA 2004-25 AC 3.377 1/16/2023 885,000 863,581
Structured Asset Mortgage Investments, Inc. 1998-2 B 6.750 4/30/2030 54,808 54,526
Washington Mutual 2003-AR10 A6 (a) 4.074 10/25/2033 1,800,000 1,791,074
Washington Mutual 2004-AR9 A7 4.211 8/25/2034 1,250,000 1,248,569
-----------
Total Collateralized Mortgage Obligations (Cost $12,528,604) 12,341,892
-----------
CORPORATE--30.0%
BANKING--3.8%
Amsouth Bank NA 4.850 4/1/2013 1,100,000 1,120,514
Chevy Chase Bank FSB 6.875 12/1/2013 1,370,000 1,414,525
City National Corp. 5.125 2/15/2013 940,000 965,392
Export-Import Bank of Korea 4.500 8/12/2009 895,000 898,223
JPMorgan Chase & Co. 5.125 9/15/2014 1,600,000 1,636,722
Provident Capital Trust I 8.600 12/1/2026 590,000 640,911
Rabobank Capital Funding Trust III 144A 5.254 10/15/2049 1,450,000 1,487,323
Regions Financial Corp. 6.375 5/15/2012 1,000,000 1,122,136
Union Planters Corp. 4.375 12/1/2010 525,000 523,725
Union Planters Corp. 7.750 3/1/2011 1,965,000 2,283,984
US Bank NA (a) 3.258 9/29/2006 2,625,000 2,624,811
Wells Fargo & Co. 6.375 8/1/2011 850,000 939,868
Zions Bancorporation 6.000 9/15/2015 1,145,000 1,248,459
-----------
16,906,593
-----------
The accompanying notes are an integral part of the financial statements.
12
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
BASIC MATERIALS--2.6%
Cabot Corp. 144A 5.250% 9/1/2013 USD 900,000 $ 917,663
Georgia-Pacific Corp. 8.875 2/1/2010 1,100,000 1,248,500
Georgia-Pacific Corp. 8.000 1/15/2024 980,000 1,127,000
ICI Wilmington, Inc. 4.375 12/1/2008 335,000 332,455
International Flavors & Fragrances, Inc. 6.450 5/15/2006 950,000 967,173
International Paper Co.(*) 5.300 4/1/2015 1,150,000 1,153,371
International Steel Group, Inc. 6.500 4/15/2014 1,045,000 1,003,200
Lubrizol Corp. 4.625 10/1/2009 930,000 930,116
Lubrizol Corp. 6.500 10/1/2034 1,400,000 1,545,509
RPM International, Inc. 4.450 10/15/2009 645,000 635,348
RPM International, Inc. 6.250 12/15/2013 1,145,000 1,204,692
Westvaco Corp. 7.950 2/15/2031 525,000 674,553
-----------
11,739,580
-----------
COMMUNICATIONS--2.9%
Alltel Corp. 4.656 5/17/2007 585,000 589,592
Clear Channel Communications, Inc. 6.000 11/1/2006 950,000 964,756
Clear Channel Communications, Inc. 5.000 3/15/2012 1,150,000 1,087,641
Comcast Corp. 5.500 3/15/2011 325,000 339,081
New Cingular Wireless Services, Inc. 8.750 3/1/2031 430,000 602,704
News America Holdings 7.700 10/30/2025 1,000,000 1,210,412
SBC Communications, Inc. 5.625 6/15/2016 710,000 748,617
Sprint Capital Corp. 8.750 3/15/2032 1,720,000 2,392,711
TCI Communications, Inc. 7.875 2/15/2026 825,000 1,030,378
Time Warner, Inc. 6.750 4/15/2011 1,100,000 1,219,004
Univision Communications, Inc. 7.850 7/15/2011 917,000 1,041,707
Verizon Global Funding Corp.(*) 4.375 6/1/2013 1,200,000 1,186,615
Verizon Global Funding Corp. 7.750 6/15/2032 575,000 745,972
-----------
13,159,190
-----------
CONSUMER CYCLICAL--1.2%
Caesars Entertainment, Inc. 8.500 11/15/2006 520,000 547,950
Caesars Entertainment, Inc. 8.875 9/15/2008 900,000 1,004,625
DaimlerChrysler NA Holding Corp. 8.500 1/18/2031 325,000 411,743
DaimlerChrysler NA Holding Corp. 4.875 6/15/2010 380,000 378,253
Heinz (H.J.) Co. 144A (a) 6.189 12/1/2005 1,105,000 1,115,398
Mohegan Tribal Gaming Authority 8.000 4/1/2012 840,000 898,800
Station Casinos, Inc. 6.000 4/1/2012 850,000 862,750
-----------
5,219,519
-----------
CONSUMER NONCYCLICAL--2.6%
Altria Group, Inc. 7.000 11/4/2013 900,000 1,007,189
Aramark Services, Inc. 7.000 7/15/2006 2,290,000 2,341,823
Aramark Services, Inc. 7.000 5/1/2007 1,225,000 1,278,546
Erac USA Finance Co. 144A 7.950 12/15/2009 1,000,000 1,131,880
Kroger Co. 7.250 6/1/2009 600,000 658,267
Kroger Co. 8.000 9/15/2029 955,000 1,201,350
RR Donnelley & Sons Co. 4.950 4/1/2014 1,710,000 1,671,944
Safeway, Inc. 7.250 2/1/2031 830,000 961,111
Stater Brothers Holdings(*) 8.125 6/15/2012 865,000 843,375
Wyeth 5.500 3/15/2013 555,000 584,110
-----------
11,679,595
-----------
The accompanying notes are an integral part of the financial statements.
13
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--1.3%
Amerada Hess Corp. 6.650% 8/15/2011 USD 500,000 $ 550,211
Amerada Hess Corp. 7.300 8/15/2031 865,000 1,043,681
Halliburton Co. 5.500 10/15/2010 550,000 576,802
Oneok, Inc. 5.200 6/15/2015 475,000 481,835
Southern Natural Gas Co. 6.700 10/1/2007 1,910,000 1,940,745
XTO Energy, Inc. 7.500 4/15/2012 1,220,000 1,403,176
-----------
5,996,450
-----------
FINANCIAL--7.1%
Archstone-Smith Operating Trust REIT 5.250 5/1/2015 100,000 102,070
Archstone-Smith Operating Trust REIT 5.000 8/15/2007 850,000 864,326
Arden Realty LP REIT 5.200 9/1/2011 780,000 791,601
ASIF Global Financing 144A 3.850 11/26/2007 870,000 859,506
Bear Stearns Cos., Inc. 4.500 10/28/2010 905,000 909,807
Boeing Capital Corp. 7.375 9/27/2010 1,055,000 1,206,796
Boston Properties LP 5.625 4/15/2015 675,000 708,787
Countrywide Home Loans, Inc. 4.000 3/22/2011 2,379,000 2,294,365
Deluxe Corp. 3.500 10/1/2007 250,000 244,337
Duke Really LP 5.875 8/15/2012 1,150,000 1,216,133
Duke Realty LP 7.750 11/15/2009 915,000 1,027,272
Duke Realty LP 6.950 3/15/2011 25,000 27,633
EOP Operating LP 7.000 7/15/2011 1,100,000 1,219,754
ERP Operating LP 6.625 3/15/2012 450,000 501,313
Ford Motor Credit Co. 7.750 2/15/2007 500,000 509,724
Ford Motor Credit Co. 7.200 6/15/2007 905,000 915,398
Ford Motor Credit Co. 6.500 1/25/2007 750,000 755,384
Glencore Funding LLC 144A 6.000 4/15/2014 1,320,000 1,265,744
Goldman Sachs Group, Inc. 5.700 9/1/2012 1,335,000 1,420,468
Healthcare Realty Trust, Inc. 8.125 5/1/2011 540,000 618,277
HSBC Finance Corp. 4.750 4/15/2010 765,000 775,858
International Lease Finance Corp. 4.750 1/13/2012 900,000 896,968
Jefferies Group, Inc. 7.750 3/15/2012 1,920,000 2,202,221
Leucadia National Corp. 7.000 8/15/2013 1,160,000 1,160,000
Mack-Cali Realty LP REIT 5.050 4/15/2010 350,000 354,358
Mack-Cali Realty LP REIT 5.125 1/15/2015 550,000 548,005
MassMutual Global Funding II 144A 3.800 4/15/2009 650,000 640,420
Morgan Stanley 4.750 4/1/2014 1,350,000 1,329,978
Nationwide Mutual Insurance Co. 144A 8.250 12/1/2031 1,000,000 1,301,013
Nationwide Mutual Insurance Co. 144A 6.600 4/15/2034 485,000 506,146
Principal Life Income Funding Trusts (a) 3.151 10/14/2005 1,935,000 1,934,977
Residential Capital Corp. 144A 6.375 6/30/2010 1,990,000 1,999,576
Simon Property Group LP 4.875 8/15/2010 795,000 803,326
-----------
31,911,541
-----------
INDUSTRIAL--2.9%
American Standard, Inc. 7.375 2/1/2008 500,000 532,368
Enterprise Products Operations 6.650 10/15/2034 1,750,000 1,921,269
ICI Wilmington, Inc. 5.625 12/1/2013 1,365,000 1,416,239
L-3 Communications Corp. 7.625 6/15/2012 1,450,000 1,544,250
Northrop Grumman Corp. 7.125 2/15/2011 545,000 616,376
Raytheon Co. 6.750 8/15/2007 248,000 260,171
Raytheon Co. 5.500 11/15/2012 380,000 399,805
Republic Services, Inc. 144A 6.086 3/15/2035 1,450,000 1,531,200
Sealed Air Corp. 144A 5.625 7/15/2013 570,000 585,721
The accompanying notes are an integral part of the financial statements.
14
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL (CONTINUED)
Tyco International Group SA 6.000% 11/15/2013 USD 915,000 $ 995,057
Waste Management, Inc. 6.875 5/15/2009 1,220,000 1,320,820
Waste Management, Inc. 7.375 8/1/2010 275,000 307,519
Waste Management, Inc. 7.000 7/15/2028 900,000 1,043,861
Waste Management, Inc. 7.375 5/15/2029 35,000 42,123
Weyerhaeuser Co. 7.375 3/15/2032 530,000 624,963
-----------
13,141,742
-----------
SERVICES--1.8%
ACE Capital Trust II 9.700 4/1/2030 405,000 558,937
AON Capital Trust A 8.205 1/1/2027 650,000 761,471
CVS Corp. 4.000 9/15/2009 360,000 356,696
Harrahs Operating Co., Inc. 144A 8.000 2/1/2011 825,000 945,980
May Dept. Stores 6.650 7/15/2024 1,145,000 1,260,371
Medco Health Solutions 7.250 8/15/2013 310,000 348,966
Metlife, Inc. 5.000 6/15/2015 2,150,000 2,181,966
MGM Mirage, Inc. 6.000 10/1/2009 410,000 412,050
Nextel Communications, Inc. 5.950 3/15/2014 1,025,000 1,064,719
-----------
7,891,156
-----------
TRANSPORTATION--1.0%
CSX Corp. 6.250 10/15/2008 865,000 914,404
Fedex Corp. 2.650 4/1/2007 1,090,000 1,061,599
Norfolk Southern Corp. 6.750 2/15/2011 325,000 363,430
Ryder System, Inc. 5.000 6/15/2012 720,000 720,583
Union Pacific Corp. 3.875 2/15/2009 1,400,000 1,377,964
-----------
4,437,980
-----------
TECHNOLOGY--0.1%
Freescale Semiconductor, Inc. 6.875 7/15/2011 335,000 355,100
-----------
UTILITIES--2.7%
Appalachian Power Co. 5.950 5/15/2033 450,000 484,116
Consumers Energy Co. 5.375 4/15/2013 995,000 1,032,077
Dominion Resources, Inc. 7.195 9/15/2014 1,380,000 1,602,671
FirstEnergy Corp. 6.450 11/15/2011 650,000 710,207
FPL Energy National Wind 144A 5.608 3/10/2024 230,000 234,692
Illinois Power Co. 7.500 6/15/2009 1,190,000 1,327,953
Indianapolis Power & Light 144A 6.600 1/1/2034 285,000 331,262
Nevada Power Co. 144a 5.875 1/15/2015 275,000 276,375
Niagara Mohawk Power Corp. 7.750 10/1/2008 1,000,000 1,098,717
Nisource Finance Corp. 7.875 11/15/2010 750,000 861,803
Pacific Gas & Electric Co. 3.600 3/1/2009 550,000 537,236
Pepco Holdings, Inc. 5.500 8/15/2007 850,000 868,846
Public Service Co. of Colorado 4.375 10/1/2008 930,000 932,925
Southern California Edison Co. 8.000 2/15/2007 357,000 379,030
Southern California Edison Co. (a) 3.440 1/13/2006 1,550,000 1,551,922
-----------
12,229,832
-----------
Total Corporate (Cost $131,351,514) 134,668,278
-----------
MUNICIPAL BONDS--0.9%
Badger Tob Asset Securitization Corp. 6.125 6/1/2027 920,000 975,835
Golden State Tobacco Securitization Corp. 5.000 6/1/2021 1,360,000 1,375,273
Sacramento County California Pension Funding (b) 0.000 7/10/2030 1,675,000 1,609,575
-----------
Total Municipal Obligations (Cost $3,693,216) 3,960,683
-----------
The accompanying notes are an integral part of the financial statements.
15
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
SOVEREIGN BONDS--3.6%
Banco Nacional de Desenvolvimento Economico e Social (a) 5.822% 6/16/2008 USD 1,325,000 $ 1,341,563
Republic of El Salvador 9.500 8/15/2006 1,200,000 1,266,000
Republic of El Salvador 144A 9.500 7/25/2011 870,000 1,004,850
Republic of South Africa 9.125 5/19/2009 1,485,000 1,724,456
Russian Federation 10.000 6/26/2007 1,315,000 1,448,144
Russian Federation(*) 8.250 3/31/2010 955,000 1,040,950
Russian Federation 12.750 6/24/2028 1,290,000 2,334,900
Russian Federation 144A 10.000 6/26/2007 1,475,000 1,626,188
Ukraine Government 144A (a) 5.330 8/5/2009 545,000 588,600
United Mexican States 6.375 1/16/2013 750,000 803,250
United Mexican States(*) 6.625 3/3/2015 2,558,000 2,809,963
-----------
Total Sovereign Bonds (Cost $15,538,572) 15,988,864
-----------
YANKEE BONDS--3.8%
Amvescap PLC 5.375 2/27/2013 1,090,000 1,121,465
Bombardier, Inc. 144A 6.300 5/1/2014 2,090,000 1,891,450
British Sky Broadcasting PLC 6.875 2/23/2009 115,000 123,720
British Sky Broadcasting PLC 8.200 7/15/2009 1,055,000 1,194,246
Celulosa Arauco Constitu 144A 5.625 4/20/2015 215,000 219,539
Celulosa Arauco y Constitucion SA 5.125 7/9/2013 935,000 925,989
Chuo Mitsui Trust & Banking 144A (a) 5.506 2/15/2049 1,235,000 1,213,296
Deutsche Telekom International Finance BV 8.750 6/15/2030 1,320,000 1,787,252
Donohue Forest Products 7.625 5/15/2007 1,560,000 1,575,600
French Telecom 8.500 3/1/2011 440,000 510,609
Ispat Inland Ulc(*) 9.750 4/1/2014 330,000 384,450
Northern Rock PLC 144A 5.600 4/30/2014 640,000 664,177
Pearson Dollar Finance PLC 144A 4.700 6/1/2009 875,000 877,995
Petro-Canada 5.000 11/15/2014 920,000 928,573
Sappi Papier Holding AG 144A 6.750 6/15/2012 1,076,000 1,149,884
St. George Bank Ltd. 144A 5.300 10/15/2015 890,000 931,579
Teck Cominco Ltd. 7.000 9/15/2012 1,465,000 1,635,907
-----------
Total Yankee Bonds (Cost $16,665,934) 17,135,731
-----------
NON-AGENCY--3.8%
NON-AGENCY PASS THRU SECURITIES--3.8%
Bear Stearns Commercial Mortgage Securities 2003-T12 A3 4.240 8/13/2039 1,890,000 1,877,836
Calwest Industrial Trust 2002-CALW A 144A 6.127 2/15/2017 2,120,000 2,319,433
Capco America Securitization Corp. 1998-D7 A1B 6.260 10/15/2030 1,165,000 1,236,088
DLJ Commercial Mortgage Corp. 1998-CF2 B1 7.282 11/12/2031 2,350,000 2,534,172
First Chicago/Lennar Trust 1997-CHL1 D(a) 144A 7.702 4/29/2039 3,995,001 4,089,882
Lehman Brothers 2004-LLFA A1 144A (a) 3.350 10/15/2017 3,801,739 3,801,057
Mach One Trust 2004-1A A1 144A 3.890 5/28/2040 1,105,837 1,092,665
-----------
Total Non-Agency (Cost $16,647,464) 16,951,133
-----------
U.S. GOVERNMENT AGENCY--31.3%
PASS THRU SECURITIES--31.3%
FHLMC Gold 4.000 10/1/2009 632,955 629,652
FHLMC Gold 7.000 11/1/2031 191,827 201,981
FHLMC Gold 7.000 11/1/2031 162,871 171,492
FHLMC Gold 6.000 10/1/2033 2,537,365 2,603,506
FHLMC Gold 5.500 1/1/2034 999,982 1,014,606
FHLMC Gold 5.500 3/1/2034 406,688 412,636
FNMA 4.000 5/1/2010 2,396,647 2,368,427
The accompanying notes are an integral part of the financial statements.
16
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
PASS THRU SECURITIES (CONTINUED)
FNMA 3.640% 6/1/2010 USD 2,665,000 $ 2,569,511
FNMA 3.530 7/1/2010 1,188,877 1,149,211
FNMA 5.139 12/25/2011 989,597 1,020,719
FNMA 8.500 6/1/2012 36,204 37,897
FNMA 5.000 1/1/2019 482,121 487,779
FNMA 5.500 11/1/2024 1,892,323 1,931,115
FNMA 5.500 1/1/2025 4,837,843 4,937,018
FNMA 7.500 11/1/2029 883 944
FNMA 5.500 5/1/2033 1,142,685 1,159,365
FNMA 5.500 1/1/2034 889,001 901,978
FNMA 5.500 1/1/2034 2,229,320 2,261,861
FNMA (TBA) (#) 4.500 7/1/2020 19,850,000 19,756,943
FNMA (TBA) (#) 5.000 7/1/2020 8,750,000 8,845,708
FNMA (TBA) (#) 5.500 7/1/2020 13,500,000 13,854,375
FNMA (TBA) (#) 6.000 7/1/2020 4,575,000 4,729,406
FNMA (TBA) (#) 5.000 7/1/2035 28,660,000 28,660,000
FNMA (TBA) (#) 5.500 7/1/2035 23,715,000 24,033,682
FNMA (TBA) (#) 6.000 7/1/2035 3,650,000 3,741,250
GNMA 9.000 2/15/2021 20,185 22,206
GNMA 6.500 8/15/2032 295,864 309,326
GNMA 2004-43 A 2.822 12/16/2019 1,316,579 1,273,855
GNMA 2004-51 A 4.145 2/16/2018 1,999,064 1,990,115
GNMA 2004-57 A 3.022 1/16/2019 965,898 939,380
GNMA 2004-67 A 3.648 9/16/2017 971,735 958,250
GNMA 2004-77 A 3.402 3/16/2020 840,439 822,124
GNMA 2004-97 AB 3.084 4/16/2022 1,958,503 1,898,471
GNMA 2005-32 B 4.385 8/16/2030 1,365,000 1,365,505
GNMA 2005-9 A 4.026 5/16/2022 1,753,647 1,739,050
GNR 2005-29 A 4.016 7/16/2027 1,127,893 1,116,004
-----------
Total U.S. Government Agency (Cost $139,750,165) 139,915,348
-----------
US TREASURY OBLIGATIONS--15.1%
U.S. Treasury Inflation-Indexed Bond(*) 0.875 4/15/2010 6,880,766 6,710,894
U.S. Treasury Note * 3.375 2/28/2007 4,715,000 4,694,372
U.S. Treasury Note * 3.625 4/30/2007 30,860,000 30,843,120
U.S. Treasury Note 3.000 7/15/2012 1,964,393 2,157,608
U.S. Treasury Note * 4.250 8/15/2013 10,450,000 10,711,250
U.S. Treasury Note * 6.250 5/15/2030 9,540,000 12,426,222
-----------
Total US Treasury Obligations (Cost $66,608,086) 67,543,466
-----------
FOREIGN DENOMINATED--3.8%
AUSTRALIA--1.8%
Australian Government * 5.250 8/15/2010 AUD 10,500,000 8,038,397
-----------
EURO--2.0%
Deutsche Republic 4.125 7/4/2008 EUR 1,655,000 2,114,788
Deutsche Republic 4.500 1/4/2013 1,620,000 2,175,189
Deutsche Republic * 4.750 7/4/2034 3,195,000 4,612,420
-----------
8,902,397
-----------
Total Foreign Denominated (Cost $ 16,010,274) 16,940,794
-----------
TOTAL BONDS AND NOTES (Cost $515,276,930) 521,613,325
-----------
The accompanying notes are an integral part of the financial statements.
17
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
PAR VALUE
SECURITY DESCRIPTION RATE MATURITY VALUE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.6%
Equity Office Properties Trust 144A CVT Pfd REIT (Cost $2,513,200) USD 50,600 $ 2,574,275
-----------
PURCHASED OPTIONS--0.0% CONTRACT SIZE
-------------
CDX Indexco LLC Call, Strike Price .565%, 6/20/10 120,000 18,600
U.S. Treasury Note 4.00% Call, Strike Price 98.453, 8/1/05 46,500 92,721
U.S. Treasury Note 4.125% Call, Strike Price 101.328, 8/30/05 47,400 47,069
U.S. Treasury Note 4.125% Put, Strike Price 99.578, 8/18/05 47,000 13,402
-----------
Total Purchased Options (Cost $190,311) 171,792
-----------
SHORT TERM INVESTMENTS--5.8%
PAR
U.S. GOVERNMENT AGENCY--2.4% VALUE
-----------
FNMA Discount Note + ! 3.080% 7/19/2005 USD 10,825,000 10,810,401
-----------
U.S. TREASURY BILL--3.4%
U.S. Treasury Bill + 2.910 9/8/2005 100,000 99,425
U.S. Treasury Bill + 2.940 8/25/2005 15,000,000 14,932,533
-----------
15,031,958
-----------
TOTAL SHORT TERM INVESTMENTS (Cost $25,842,377) 25,842,359
-----------
INVESTMENT OF CASH COLLATERAL--14.7% SHARES
----------
BlackRock Cash Strategies L.L.C (**) (Cost $66,159,982) 66,159,982 66,159,982
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $609,982,800) 616,361,733
-----------
AFFILIATED INVESTMENTS--1.4%
Dreyfus Institutional Preferred Plus Money Market Fund ((+)(+)) (Cost $6,379,652)
6,379,652 6,379,652
-----------
TOTAL INVESTMENTS--138.5% (Cost $616,362,452) 622,741,385
LIABILITIES IN EXCESS OF OTHER ASSETS--(38.5%) (175,146,436)
-----------
NET ASSETS--100% $447,594,949
============
NOTES TO SCHEDULE OF INVESTMENTS:
144A-Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified buyers.
FHLMC-Federal Home Loan Mortgage Company
FNMA-Federal National Mortgage Association
GNMA-Government National Mortgage Association
REIT-Real Estate Investment Trust
TBA--To Be Announced
(a) Variable Rate Security; rate indicated as of 6/30/05.
(b) Zero coupon security.
AUD--Australian Dollar
EUR--Euro
+ Rate noted is yield to maturity
# Delayed Delivery contract.
* Security, or a portion of thereof, was on loan at 6/30/05.
! Denotes all of part of security pledged as collateral.
++ Affiliated institutional money market fund.
** Money market fund exempt from registration under the Investment Company Act
of 1940 offered only to eligible investors.
The accompanying notes are an integral part of the financial statements.
18
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005 the Portfolio held the following futures contracts:
UNDERLYING FACE UNREALIZED
CONTRACT POSITION EXPIRATION DATE AMOUNT AT VALUE GAIN/(LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 5 Year Treasury Note (10 Contracts) Long 9/30/2005 $1,089,219 $ (313)
U.S. Long Bond CBT (15 Contracts) Long 9/30/2005 1,743,164 38,072
---------- ----------
$2,832,383 $ 37,759
========== ==========
At June 30, 2005 the Portfolio held the following forward foreign currency
exchange contracts:
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO DELIVER AMOUNT VALUE DATE JUNE 30, 2005 TO RECEIVE GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 10,420,000 9/21/2005 $ 7,887,739 $ 7,898,360 $ 10,621
Brazilian Real 5,740,000 8/15/2005 2,410,313 2,237,864 (172,449)
Euro 4,990,000 9/21/2005 6,059,023 6,030,690 (28,333)
------------ ------------ ----------
Total $ 16,357,075 $ 16,166,914 $ (190,161)
============ ============ ==========
LOCAL
PRINCIPAL CONTRACT VALUE AT USD AMOUNT UNREALIZED
CONTRACTS TO RECEIVE AMOUNT VALUE DATE JUNE 30, 2005 TO DELIVER GAIN
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 5,740,000 8/15/2005 $ 2,410,313 $ 2,056,610 $ 353,703
============ ============ ==========
Total
The accompanying notes are an integral part of the financial statements.
19
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2005, the Portfolio held the following open swap contracts:
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Citigroup, dated 5/17/2005 to pay 0.705%
per year times the notional amount. The Portfolio receives
payment only upon cumulative credits events by the reference
entities comprising the Dow Jones CDX.NA.IG.4 tranche of
between 7% and 10% of the notional amount. 6/20/2010 3,277,000 USD ($44,906)
Agreement with Morgan Stanley, dated 5/18/2005 to pay 0.685%
per year times the notional amount. The Portfolio receives
payment only upon cumulative credits events by the reference
entities comprising the Dow Jones CDX.NA.IG.4 tranche of
between 7% and 10% of the notional amount. 6/20/2010 470,000 USD (6,436)
Agreement with Citigroup, dated 5/18/2005 to pay 0.685%
per year times the notional amount. The Portfolio receives
payment only upon cumulative credits events by the reference
entities comprising the Dow Jones CDX.NA.IG.4 tranche of
between 7% and 10% of the notional amount. 6/20/2010 470,000 USD (6,019)
Agreement with Merrill Lynch, dated 5/11/2005 to receive the
notional amount multiplied by 4.1725% and to pay the notional
amount multiplied by the 3 month LIBOR. 5/13/2008 23,575,000 USD 125,566
Agreement with Merrill Lynch, dated 5/11/2005 to pay the
notional amount multiplied by 4.6425% and to receive the
notional amount multiplied by the 3 month LIBOR. 5/13/2015 23,575,000 USD (643,971)
Agreement with Bear Stearns, dated 4/18/2005 to pay 0.37%
per year times the notional amount. The Portfolio receives
payment of the notional amount times the difference
between the par value and the then-market value of
The St. Paul Travelers Companies, Inc., 5.00% due 3/15/2013,
only upon a credit event by The St. Paul Travelers Companies, Inc. 6/20/2010 1,642,000 USD 1,229
Agreement with Deutsche Bank, dated 5/3/2005 to pay 0.31%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of The St. Paul Travelers Companies,
Inc., 8.125% due 4/15/2010, only upon a credit event by
The St. Paul Travelers Companies, Inc. 6/20/2010 1,854,000 USD 4,129
Agreement with JP Morgan, dated 4/26/2005 to pay 0.30%
per year times the notional amount. The Portfolio makes
payment of the notional amount times the difference between
the par value and the then-market value of The St. Paul
Travelers Companies, Inc., 8.125% due 4/15/2010, only
upon a credit event by The St. Paul Travelers Companies, Inc. 6/20/2010 1,095,000 USD 3,826
Agreement with Bear Stearns, dated 6/01/2005 to receive 1.20%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of Altria Group, Inc., 7.00%
due 11/04/2013, only upon a credit event by Altria Group, Inc. 6/20/2010 1,370,000 USD 4,124
Agreement with Bear Stearns, dated 4/18/2005 to receive 0.33%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of Berkshire Hathaway, Inc., 4.625%
due 10/15/2013, only upon a credit event by Berkshire Hathaway, Inc. 6/20/2010 1,642,000 USD 968
The accompanying notes are an integral part of the financial statements.
20
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
DESCRIPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Agreement with Bear Stearns, dated 4/26/2005 to receive 0.27%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of Berkshire Hathaway, Inc., 4.625%
due 10/15/2013, only upon a credit event by Berkshire Hathaway, Inc. 6/20/2010 1,095,000 USD (2,336)
Agreement with Deutsche Bank, dated 5/3/2005 to receive 0.28%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of Berkshire Hathaway, Inc., 4.825%
due 10/15/2013, only upon a credit event by Berkshire Hathaway, Inc. 6/20/2010 1,854,000 USD (3,591)
Agreement with Morgan Stanley, dated 5/5/2005 to receive 0.78%
per year times the notional amount. The Portfolio makes payment
of the notional amount times the difference between the par value
and the then-market value of MBIA, Inc., 6.625%
due 10/01/2028, only upon a credit event by MBIA, Inc., 6/20/2010 2,350,000 USD (7,471)
Agreement with Citigroup, dated 2/9/2005 to receive 0.53% per year
times the notional amount. The Portfolio makes payment of the
notional amount times the difference between the par value and
the then-market value of Washington Mutual, Inc., 4.00%
due 1/15/2009, only upon a credit event by Washington Mutual, Inc. 3/20/2015 2,305,000 USD (46,854)
-----------
Total Swap Value $ (621,742)
===========
During the period ended June 30, 2005, the Portfolio entered into the following
option transactions:
WRITTEN PUT OPTION TRANSACTIONS NUMBER OF CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------------------------------------------------
Outstanding, beginning of period 1 $ 65,051
Options written 2 125,821
Options expired (2) (135,059)
--- ----------
Outstanding, end of period 1 $ 55,813
=== ==========
SECURITY CONTRACTS VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Note 4.125% Put, Strike Price 97.9375, 8/18/2005
(premiums received 55,813) 1 $ 7,711
=== ==========
WRITTEN CALL OPTION TRANSACTIONS NUMBER OF CONTRACTS PREMIUMS
- ------------------------------------------------------------------------------------------------------------------------------------
Outstanding, beginning of period 1 $ 31,109
Options written 4 184,631
Options expired (1) (31,109)
Options closed (1) (50,133)
--- ----------
Outstanding, end of period 3 $ 134,498
=== ==========
SECURITY CONTRACTS VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
CDX Indexco LLC Call, Strike Price .51, 9/20/2005 1 $ 19,920
U.S. Treasury Note 4.00% Call, Strike Price 100.00, 8/01/2005 1 83,886
U.S. Treasury Note 4.125% Call, Strike Price 102.859, 8/30/2005 1 40,574
--- ----------
(premiums received 134,498) 3 $ 144,380
=== ==========
The accompanying notes are an integral part of the financial statements.
21
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments in securities (including securities on loan, valued at $64,416,714) (Note 7)
Unaffiliated issuers, at value (Note 1A) (cost $609,982,800) $616,361,733
Affiliated issuers, at value (Note 1A)(cost $6,379,652) (Note 1G) 6,379,652
Foreign currency, at value (identified cost, $4) 4
Receivable for investments sold 14,661,275
Interest and dividends receivable 3,926,764
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 364,324
Swap contracts, at value (Note 5) 139,842
Receivable for variation margin on open futures contracts (Note 5) 10,469
Prepaid expenses 6,987
------------
Total assets 641,851,050
LIABILITIES
Payable for investments purchased $126,847,684
Collateral for securities on loan (Note 7) 66,159,982
Due to custodian 7,430
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 200,782
Swap contracts, at value (Note 5) 761,584
Options written, at value (premiums received $190,311) (Note 5) 152,091
Accrued professional fees 26,236
Accrued accounting, administration and custody fees (Note 2) 58,218
Accrued trustees' fees and expenses (Note 2) 14,258
Accrued expenses 27,836
------------
Total liabilities 194,256,101
------------
NET ASSETS $447,594,949
============
The accompanying notes are an integral part of the financial statements.
22
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1C)
Interest income $ 10,044,112
Interest income from affiliated investments (Note 1H) 127,709
Dividend income 66,412
Securitiy lending income (Note 7) 48,570
------------
Total investment Income 10,286,803
EXPENSES
Investment advisory fee (Note 2) $ 877,729
Accounting, administration and custody fees (Note 2) 101,699
Professional fees 53,042
Trustees' fees and expenses (Note 2) 36,877
Insurance expense 10,661
Miscellaneous expenses 2,340
------------
Total expenses 1,082,348
------------
Net investment income 9,204,455
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 3,759,044
Financial futures contracts 245,657
Written option transactions 88,426
Swap transactions 116,944
Foreign currency transactions and forward foreign currency exchange contracts 703,950
------------
Net realized gain 4,914,021
Change in unrealized appreciation (depreciation) on:
Investment securities (1,724,334)
Financial futures contracts 417,486
Written option transactions 1,104
Swap transactions (669,806)
Foreign currency transactions and forward foreign currency exchange contracts 330,121
------------
Change in net unrealized appreciation (depreciation) (1,645,429)
------------
Net realized and unrealized gain (loss) 3,268,592
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 12,473,047
============
The accompanying notes are an integral part of the financial statements.
23
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2005 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2004
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income $ 9,204,455 $ 19,721,641
Net realized gain (loss) 4,914,021 20,499,067
Change in net unrealized appreciation (depreciation) (1,645,429) (13,157,811)
------------- -------------
Net increase (decrease) in net assets from operations 12,473,047 27,062,897
------------- -------------
CAPITAL TRANSACTIONS
Contributions 26,375,046 65,727,299
Withdrawals (56,795,926) (238,255,854)
------------- -------------
Net increase (decrease) in net assets from capital transactions (30,420,880) (172,528,555)
------------- -------------
TOTAL INCREASE IN NET ASSETS (17,947,833) (145,465,658)
NET ASSETS
At beginning of period 465,542,782 611,008,440
------------- -------------
At end of period $ 447,594,949 $ 465,542,782
============= =============
The accompanying notes are an integral part of the financial statements.
24
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2005 --------------------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001(A) 2000
-------- -------- -------- -------- -------- --------
TOTAL RETURN (B) 2.65%(c) 5.77% 5.25% 8.89% 7.18% 10.23%
RATIOS/SUPPLEMENTAL DATA:
Expenses (to average daily net assets) * 0.46%(d) 0.45% 0.41% 0.38% 0.36% 0.35%
Net Investment Income (to average
daily net assets) * 3.95%(d) 3.80% 3.78% 4.86% 6.37% 7.24%
Portfolio Turnover 53%(c) 98% 398% 384% 329% 233%
Net Assets, End of Year (000's omitted) $447,595 $465,543 $611,008 $944,098 $1,495,389 $2,226,002
- -------
* For the periods indicated, the investment adviser voluntarily agreed not to
impose all or a portion of its investment advisory fee and/ or reimbursed
the Fund for a portion of its operating expenses. If this voluntary action
had not been taken, the investment income per share and the ratios would
have been:
Ratios (to average daily net assets):
Expenses N/A N/A 0.42% 0.39% N/A N/A
Net investment income N/A N/A 3.77% 4.85% N/A N/A
(a) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies effective January 1, 2001 and
began amortizing premium and discount on all debt securities on an
effective yield basis. The effect of this change for the year ended
December 31, 2001 was to decrease the ratio of the net investment income to
average net assets from 9.20% to 8.87%. Ratios for the periods prior to
January 1, 2001 have not been restated to reflect this change in
presentation.
(b) Total return for the Portfolio has been calculated based on the total
return for the invested Fund, assuming all distributions were reinvested,
and adjusted for the difference in expenses as set out in the notes to the
financial statements. Total return would have been lower in the absence of
expense waivers.
(c) Not annualized.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
25
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES:
Mellon Institutional Funds Master Portfolio (the "Portfolio Trust") was
organized as a master trust fund under the laws of the State of New York on
January 18, 1996 and is registered under the Investment Company Act of
1940, as amended, as an open-end, management investment company. Standish
Mellon Fixed Income Portfolio (the "Portfolio") is a separate diversified
investment series of the Portfolio Trust.
At June 30, 2005 there was one fund, Standish Mellon Fixed Income Fund (the
"Fund"), invested in the Portfolio. The value of the Fund's investment in
the Portfolio reflects the Fund's proportionate interest in the net assets
of the Portfolio. The Fund's proportionate interest at June 30, 2005 was
approximately 100%.
The objective of the Portfolio is to achieve a high level of current
income, consistent with conserving principal and liquidity, and secondarily
to seek capital appreciation when changes in interest rates and economic
conditions indicate that capital appreciation may be available without
significant risk to principal by investing, under normal circumstances, at
least 80% of net assets in fixed income securities issued by U.S. and
foreign governments and companies.
The following is a summary of significant accounting policies followed by
the Portfolio in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates.
A. INVESTMENT SECURITY VALUATIONS
Securities for which quotations are readily available are valued at the
last sale price, or if no sale price, at the closing bid price in the
principal market in which such securities are normally traded. Market
quotations are not considered to be readily available for certain debt
obligations; such investments are stated at fair value on the basis of
valuations furnished by a pricing service or dealers, approved by the
Trustees, which determine valuations for normal institutional-size trading
units of such securities using methods based on market transactions for
comparable securities and variable relationships between securities that
are generally recognized by institutional traders. Securities (including
illiquid securities) for which quotations are not readily available are
valued at their fair value as determined in good faith under consistently
applied procedures under the general supervision of the Trustees.
Short-term instruments with less than sixty-one days remaining to maturity
are valued at amortized cost, which approximates market value. If the
Portfolio acquires a short-term instrument with more than sixty days
remaining to its maturity, it is valued at current market value until the
sixtieth day prior to maturity and will then be valued at amortized value
based upon the value on such date unless the Trustees determine during such
sixty-day period that amortized value does not represent fair value.
B. SECURITIES TRANSACTIONS AND INCOME
Securities transactions are recorded as of trade date. Interest income is
determined on the basis of coupon interest accrued, adjusted for accretion
of discount or amortization of premium using the yield - to - maturity
method on long-term debt securities and short-term securities with greater
than sixty days to maturity. Realized gains and losses from securities sold
are recorded on the identified cost basis. The Portfolio does not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments. Net realized
gains and losses on foreign currency transactions represent gains and
losses on disposition of foreign currencies and forward foreign currency
exchange contracts, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of investment income and foreign withholding taxes recorded on
the Portfolio's books and the U.S. dollar equivalent amounts actually
received or paid.
C. INCOME TAXES
The Portfolio is treated as a disregarded entity for federal tax purposes.
No provision is made by the Portfolio for federal or state income taxes on
any taxable income of the Portfolio because each investor in the Portfolio
is ultimately responsible for the payment of any taxes. Since the
Portfolio's only investor is a regulated investment company that invests
all or substantially all of its assets in the Portfolio, the Portfolio
normally must satisfy the source of income and diversification requirements
applicable to regulated investment companies (under the Internal Revenue
Code) in order for its investors to satisfy them. The Portfolio allocates
at least annually its net investment income, net realized capital gains,
and any other items of income, gain, loss deduction or credit.
26
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
D. FOREIGN CURRENCY TRANSACTIONS
The Portfolio maintains its records in U.S. dollars. Investment security
valuations, other assets, and liabilities initially expressed in foreign
currencies are converted into U.S. dollars based upon current currency
exchange rates. Purchases and sales of foreign investment securities and
income and expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such transactions.
Section 988 of the Internal Revenue Code provides that gains or losses on
certain transactions attributable to fluctuations in foreign currency
exchange rates must be treated as ordinary income or loss. For financial
statement purposes, such amounts are included in net realized gains or
losses.
E. INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments,
including the possible imposition of capital controls or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times may
be more volatile than securities of comparable U.S. companies and U.S.
securities markets. The risks described above apply to an even greater
extent to investments in emerging markets. The securities markets of
emerging countries are generally smaller, less developed, less liquid, and
more volatile than the securities markets of the U.S. and developed foreign
markets.
F. COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Portfolio may enter into contracts
and agreements that contain a variety of representations and warranties,
which provide general indemnifications. The maximum exposure to the
Portfolio under these arrangements is unknown, as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
However, based on experience, the Portfolio expects the risks of loss to be
remote.
G. EXPENSES
The majority of expenses of the Trust or Portfolio Trust are directly
identifiable to an individual fund or portfolio. Expenses which are not
readily identifiable to a specific fund or portfolio are allocated taking
into consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
H. AFFILIATED ISSUERS
Affiliated issuers are other investment companies advised by Standish
Mellon Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or by its affiliates.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
The investment advisory fee paid to Standish Mellon for overall investment
advisory and administrative services is paid monthly at the annual rate of
0.40% of the Portfolio's first $250,000,000 of average daily net assets,
0.35% of the next $250,000,000 of average daily net assets, and 0.30% of
the average daily net assets in excess of $500,000,000.
The Portfolio compensates Mellon Bank, N.A. under a custody, administration
and accounting services agreement for providing custody, fund
administration and fund accounting services for the Portfolio. Pursuant to
this agreement the Portfolio paid $69,982 during the period ended June 30,
2005.
The Fund entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Pursuant to this agreement Mellon Bank receives an agreed upon percentage
of the net lending revenues. This compensation is a standard form of
compensation received by securities lending agents with respect to
non-affiliated entities. See Note 6 for further details.
No director, officer or employee of Standish Mellon or its affiliates
received any compensation from the Trust or the Portfolio for serving as an
officer or Trustee of the Trust. Effective July 1, 2005, the Trust and the
Portfolio Trust will pay a portion of the salary of the Trust's and the
Portfolio Trust's Chief Compliance Officer. The Trust pays each Trustee who
is not a director, officer or employee of Standish Mellon or its affiliates
an annual fee and a per meeting fee as well as reimbursement for travel and
out of pocket expenses. In addition, the Portfolio Trust pays the legal
fees for the independent counsel of the Trustees.
27
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(3) PURCHASES AND SALES OF INVESTMENTS:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the period ended June 30, 2005 were as follows:
PURCHASES SALES
------------ ------------
U.S. Government Securities $201,975,441 $187,001,173
------------ ------------
Investments (non-U.S.
Government Securities) $112,110,103 $ 99,172,298
============ ============
(4) FEDERAL TAXES:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2005, as computed on a federal
income tax basis, were as follows:
Aggregate cost $616,362,452
============
Gross unrealized appreciation $ 8,239,403
Gross unrealized depreciation (1,860,470)
------------
Net unrealized appreciation (depreciation) $ 6,378,933
============
(5) FINANCIAL INSTRUMENTS:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
nature, risks and objectives of these instruments are set forth more fully
in the Portfolio Trust's registration statement.
The Portfolio may trade the following financial instruments with
off-balance sheet risk:
OPTIONS
Call and put options give the holder the right to purchase or sell a
security or currency or enter into a swap arrangement on a future date at a
specified price. The Portfolio may use options to seek to hedge against
risks of market exposure and changes in security prices and foreign
currencies, as well as to seek to enhance returns. Writing puts and buying
calls tend to increase the Portfolio's exposure to the underlying
instrument. Buying puts and writing calls tend to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio
investments. Options, both held and written by the Portfolio, are reflected
in the accompanying Statement of Assets and Liabilities at market value.
The underlying face amount at value of any open purchased option is shown
in the Schedule of Investments. This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise from
changes in the value of the underlying instruments if there is an illiquid
secondary market for the contract or if the counterparty does not perform
under the contract's terms.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or are
closed are added to or offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities, except purchased options on foreign currency which
are included in realized gains and losses on foreign currency transactions.
If a put option written by the Portfolio is exercised, the premium reduces
the cost basis of the securities purchased by the Portfolio. The Portfolio,
as a writer of an option, has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security
underlying the written option.
Exchange traded options are valued at the last sale price, or if no sales
are reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued using
prices supplied by the dealers.
At June 30, 2005, the Portfolio held options at June 30, 2005. See Schedule
of Investments for further details.
INTEREST RATE FLOORS
Interest rate floors purchased by the Portfolio entitle the Portfolio to
receive payments on a notional principal amount from the party selling such
floor to the extent that a specified index falls below a predetermined
interest rate amount. Credit and market risk exist with respect to these
instruments. If forecasts of interest rates and other market factors are
incorrect, investment performance will diminish compared to what
performance would have been if these investment techniques were not used.
Even if the forecasts are correct, there are risks that the positions may
correlate
28
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
imperfectly with the asset or liability being hedged, a liquid secondary
market may not always exist, or a counterparty to a transaction may not
perform. The Portfolio expects to enter these transactions primarily for
hedging purposes including, but not limited to, preserving a return or
spread on a particular investment or portion of its portfolio, protecting
against interest rate fluctuations, as a duration management technique or
protecting against an increase in the price of securities the Portfolio
anticipates purchasing at a later date. Interest rate floors are
"marked-to-market" daily based on quotations from market makers and the
change, if any, is recorded as unrealized appreciation or depreciation in
the Statement of Operations. Periodic payments of interest, if any, are
reported as additions to interest income in the Statement of Operations.
Realized gains or losses from these agreements are disclosed in the
Statement of Operations.
At June 30, 2005, the Portfolio did not hold any interest rate floors.
FORWARD CURRENCY EXCHANGE CONTRACTS
The Portfolio may enter into forward foreign currency and cross currency
exchange contracts for the purchase or sale of a specific foreign currency
at a fixed price on a future date. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms
of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar and other foreign currencies.
The forward foreign currency and cross currency exchange contracts are
marked to market using the forward foreign currency rate of the underlying
currency and any gains or losses are recorded for financial statement
purposes as unrealized until the contract settlement date or upon the
closing of the contract. Forward currency exchange contracts are used by
the Portfolio primarily to protect the value of the Portfolio's foreign
securities from adverse currency movements. Unrealized appreciation and
depreciation of forward currency exchange contracts is included in the
Statement of Assets and Liabilities.
At June 30, 2005, the Portfolio held open foreign currency exchange
contracts. See Schedule of Investments for further details.
FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts for the delayed
sale or delivery of securities or contracts based on financial indices at a
fixed price on a future date. Pursuant to margin requirements the Portfolio
deposits either cash or securities in an amount equal to a certain
percentage of the contract amount. Subsequent payments are made or received
by the Portfolio each day, depending on the daily fluctuations in the value
of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. There are several
risks in connection with the use of futures contracts as a hedging device.
The change in value of futures contracts primarily corresponds with the
value of their underlying instruments or indices, which may not correlate
with changes in the value of hedged investments. Buying futures tends to
increase the Portfolio's exposure to the underlying instrument, while
selling futures tends to decrease the Portfolio's exposure to the
underlying instrument or hedge other investments. In addition, there is the
risk that the Portfolio may not be able to enter into a closing transaction
because of an illiquid secondary market. Losses may arise if there is an
illiquid secondary market or if the counterparty does not perform under the
contract's terms. The Portfolio enters into financial futures transactions
primarily to seek to manage its exposure to certain markets and to changes
in securities prices and foreign currencies. Gains and losses are realized
upon the expiration or closing of the futures contracts. Futures contracts
are valued at the quoted daily settlement prices established by the
exchange on which they trade.
At June, 30, 2005, the Portfolio held open financial futures contracts. At
June 30, 2005, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts. See
Schedule of Investments for further details.
SWAP AGREEMENTS
The Portfolio may enter into swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Portfolio may enter into interest rate and credit
default swap agreements to manage its exposure to interest rates and credit
risk. Interest rate swap agreements involve the exchange by the Portfolio
with another party of their respective commitments to pay or receive
interest, e.g., an exchange of floating rate payments for fixed rate
payments with respect to a notional amount of principal. In a credit
default swap, one party makes a stream of payments to another party in
exchange for the right to receive a specified return in the event of a
default by a third party on its obligation. The Portfolio may use credit
default swaps to provide a measure of protection against defaults of
issuers (i.e., to reduce risk where the Portfolio owns or has exposure to
the corporate or sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular corporate or
sovereign issuer's default. In connection with these agreements, cash or
securities may be set aside as collateral in accordance with the terms of
the swap agreement. The Portfolio earns interest on cash set aside as
collateral. Swaps are marked to market daily based upon quotations from
market makers and change in value, if any, is recorded as unrealized gain
or loss in the Statement of Operations. These financial instruments are not
actively traded on financial markets. The values assigned to these
instruments are based upon the best available information and because of
the uncertainty of the valuation, these values may differ significantly
from the values that would have been realized had a ready market for these
instruments existed, and differences could be material. Payments received
or made from credit default swaps at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Net
payments of interest on interest rate swap agreements, if any, are
29
MELLON INSTITUTIONAL FUNDS MASTER PORTFOLIO
STANDISH MELLON FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
included as part of realized gain and loss. Entering into these agreements
involves, to varying degrees, elements of credit, market, and documentation
risk in excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there will be no
liquid market for these agreements, that the counterparty to the agreements
may default on its obligation to perform or disagree as to the meaning of
contractual terms in the agreements, and that there may be unfavorable
changes in interest rates.
At June 30, 2005, the Portfolio held open swap contracts. See Schedule of
Investments for further details.
(6) SECURITY LENDING:
The Portfolio may lend its securities to financial institutions which the
Portfolio deems to be creditworthy. The loans are collateralized at all
times with cash or securities with a market value at least equal to the
market value of the securities on loan. The market value of securities
loaned is determined daily and any additional required collateral is
allocated to the Portfolio on the next business day. For the duration of a
loan, the Portfolio receives the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives compensation
from the investment of the collateral. As with other extensions of credit,
the Portfolio bears the risk of delay in recovery or even loss of rights in
its securities on loan should the borrower of the securities fail
financially or default on its obligations to the Portfolio. In the event of
borrower default, the Portfolio generally has the right to use the
collateral to offset losses incurred. The Portfolio may incur a loss in the
event it was delayed or prevented from exercising its rights to dispose
ofthe collateral. The Portfolio also bears the risk in the event that the
interest and/or dividends received on invested collateral is not sufficient
to meet the Portfolio's obligations due on the loans.
The Portfolio loaned securities during the period ended June 30, 2005
resulting in $42,208 of security lending income. At June 30, 2005, the
Portfolio had securities valued at $64,416,714 on loan. See the Statement
of Investments for further detail on the security positions on loan.
(7) DELAYED DELIVERY TRANSACTIONS:
The Portfolio may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. 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. Income on the
securities will not be earned until settlement date. The Portfolio
instructs its custodian to segregate securities having value at least equal
to the amount of the purchase commitment.
The Portfolio may enter into to be announced ("TBA") purchase commitments
to purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Portfolio holds, and maintains until settlement date, cash or
high-grade debt obligations in an amount sufficient to meet the purchase
price, or the Portfolio may enter into offsetting contracts for the forward
sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a 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 the current market value of the
underlying securities, according to the procedures described under
"Investment security valuations" above.
The Portfolio may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures described
under "Investment security valuations" above. The contract is
'marked-to-market' daily and the change in market value is recorded by the
Portfolio as an unrealized gain or loss. If the TBA sale commitment is
closed through the acquisition of an offsetting purchase commitment, the
Portfolio 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. See Schedule of Investments for further details.
(8) LINE OF CREDIT:
The Portfolio, and other subtrusts in the Portfolio Trust and funds in the
Trust are parties to a committed line of credit facility, which enables
each portfolio/fund to borrow, in the aggregate, up to $35 million.
Interest is charged to each participating portfolio/fund based on its
borrowings at a rate equal to the Federal Funds effective rate plus 1/2 of
1%. In addition, a facility fee, computed at an annual rate of 0.060 of 1%
on the daily unused portion of the facility, is allocated ratably among the
participating portfolios/funds at the end of each quarter. For the period
ended June 30, 2005, the expense allocated to the Portfolio was $1,592.
During the six months ended June 30, 2005, the Portfolio did not borrow
under the credit facility.
30
TRUSTEES AND OFFICERS
The following table lists the Trust's trustees and officers; their address and
date of birth; their position with the Trust; the length of time holding that
position with the Trust; their principal occupation(s) during the past five
years; the number of portfolios in the fund complex they oversee; other
directorships they hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934 (generally called "public
companies") or in registered investment companies; and total remuneration paid
as of the period ended June 30, 2005. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing The Mellon Institutional
Funds at P.O. Box 8585, Boston, MA 02266-8585 or calling toll free
1-800-221-4795.
Independent Trustees
NUMBER OF TRUSTEE
PRINCIPAL PORTFOLIOS IN OTHER REMUNERATION
NAME TERM OF OFFICE OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS (PERIOD ENDED
ADDRESS, AND POSITION(S) AND LENGTH OF DURING PAST OVERSEEN BY HELD BY JUNE 30,
DATE OF BIRTH HELD WITH TRUST TIME SERVED 5 YEARS TRUSTEE TRUSTEE 2005)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, 30 None Fund: $250
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Portfolio: $3,318
260 Charles Street Inc. ("DRI"); formerly
Waltham, MA 02453 Chairman of the Board
9/30/40 and Chief Executive
Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street 30 None Fund: $250
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $3,891
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, 30 None Fund: $250
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $3,318
Littaver Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since formerly Trustee, Mertens 30 None Fund: $250
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $3,318
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief 30 None Fund: $0
Mellon Institutional and Chief Operating Officer of Portfolio: $0
Asset Management Executive Officer The Boston Company
One Boston Place Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Institutional Asset
Management ("MIAM") and
Vice President and Chief
Financial Officer, MIAM
31
Principal Officers Who are Not Trustees
NAME TERM OF OFFICE
ADDRESS, AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH HELD WITH TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Barbara A. McCann Vice President Since 2003 Senior Vice President and Head of Operations,
Mellon Institutional and Secretary Mellon Institutional Asset Management; formerly
Asset Management First Vice President, Mellon Institutional Asset
One Boston Place Management and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Institutional and Treasurer since 1999; Mellon Institutional Asset Management
Asset Management Treasurer
One Boston Place since 2002
Boston, MA 02108
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Institutional President Operations, Mellon Institutional Asset Management
Asset Management
One Boston Place
Boston, MA 02108
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager,
Mellon Institutional President Shareholder Services, Mellon Institutional
Management Asset Management; formerly Shareholder
One Boston Place Representative, Standish Mellon
Boston, MA 02108 Asset Management Company LLC
1/19/71
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Institutional
Mellon Institutional Compliance Asset Management and Chief Compliance
Asset Management Officer Officer, Mellon Funds Distributor; formerly
One Boston Place Director, Blackrock, Inc., Senior Vice President,
Boston, MA 02108 State Street Research & Management Company ("SSRM"),
4/8/57 Vice President, SSRM
32
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
0923SA0605
Item 2. Code of Ethics.
Not applicable to this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments
Included as part of the Semi-Annual Report to Shareholders filed under
Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers Of Closed-End Management Companies
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial
officers have concluded, based on their evaluation of the
Registrant's disclosure controls and procedures as of a date
within 90 days of the filing date of this report, that the
Registrant's disclosure controls and procedures are reasonably
designed to ensure that information required to be disclosed
by the Registrant on Form N-CSR is recorded, processed,
summarized and reported within the required time periods and
that information required to be disclosed by the Registrant in
the reports that it files or submits on Form N-CSR is
accumulated and communicated to the Registrant's management,
including its principal executive and principal financial
officers, as appropriate to allow timely decisions regarding
required disclosure.
(b) There were no changes in the Registrant's internal control
over financial reporting that occurred during the second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially
affect, the Registrant's internal control over financial
reporting.
Item 12. Exhibits.
(a)(1) Not applicable to this semi-annual filing.
(a)(2) Certifications of the Principal Executive Officer and Principal
Financial Officer of the Registrant as required by Rule 30a-2(a)
under the Investment Company Act of 1940 are attached hereto as
Exhibit 99CERT.302
(a)(3) Not applicable to the Registrant.
(b) Certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940 and pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit
99CERT.906.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Mellon Institutional Funds Investment Trust
By (Signature and Title): /s/ BARBARA A. MCCANN
---------------------
Barbara A. McCann, Vice President and Secretary
Date: August 8, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities, and on the
dates indicated.
By (Signature and Title): /s/ PATRICK J. SHEPPARD
-----------------------
Patrick J. Sheppard, President and Chief Executive
Officer
Date: August 8, 2005
By (Signature and Title): /s/ STEVEN M. ANDERSON
----------------------
Steven M. Anderson, Vice President and Treasurer
Date: August 8, 2005