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, 2006
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Item 1. Reports to Stockholders.
[Logo] Mellon
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Mellon Institutional Funds
Semiannual Report Standish Mellon
Enhanced Yield Fund
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June 30, 2006 (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.
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)
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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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
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Actual $1,000.00 $1,023.40 $1.25
Hypothetical (5% return
per year before expenses) $1,000.00 $1,023.55 $1.25
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(+) Expenses are equal to the Fund's annualized expense ratio of 0.25%,
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.
1
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
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Portfolio Information as of June 30, 2006 (Unaudited)
Percentage of
Economic Sector Allocation Investments
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Treasury/Agency 5.0%
Credit 5.5
Floating rate credit 27.1
Asset-Backed 20.0
Floating rate asset-backed 33.5
CMBS 1.4
Cash & equivalents 7.5
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100.0%
Percentage of
Top Ten Holdings* Rate Maturity Investments
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Citibank Credit Card Issuance Trust 2004-A1 A1 2.550 1/20/2009 3.9%
Wachovia Corp. 5.384 7/20/2007 3.2
Residential Asset Securities Corp. 2005-EMX2 A2 5.483 7/25/2035 3.2
Wells Fargo & Co. 5.220 3/10/2008 3.2
Fremont Home Loan Trust 2006-1 M1 5.643 4/25/2036 3.2
Countrywide Alternative Loan Trust 2006-6CB 1A2 5.500 5/25/2036 3.1
Countrywide Alternative Loan Trust 2005-65CB 1A5 5.500 1/25/2036 3.1
Morgan Stanley 5.800 4/1/2007 3.0
HBOS Treasury Services PLC 144A 5.125 1/12/2007 2.8
CIT Group, Inc. 5.837 9/22/2006 2.8
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31.5%
* Excluding short-term investments and investment of cash collateral.
Summary of Combined Ratings
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Percentage of
Quality Breakdown Investments
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AAA and higher 46.2%
AA 20.4
A 15.4
BBB 10.6
P1 6.5
P2 0.9
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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 higher rating category.
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.
2
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
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Assets
Investment in Standish Mellon Enhanced Yield Portfolio (Portfolio), at value (Note 1A) $31,328,360
Receivable for Fund shares sold 914,894
Prepaid expenses 1,138
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Total assets 32,244,392
Liabilities
Distributions payable $ 27,212
Accrued chief compliance officer fees (Note 2) 275
Accrued transfer agent fees (Note 2) 2,254
Accrued professional fees 10,659
Accrued trustees' fees and expenses (Note 2) 492
Accrued shareholder reporting expense (Note 2) 1,436
Other accrued expenses and liabilities 2,580
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Total liabilities 44,908
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Net Assets $32,199,484
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Net Assets consist of:
Paid-in capital $34,801,324
Accumulated net realized loss (2,442,653)
Net investment loss (15,117)
Net unrealized depreciation (144,070)
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Total Net Assets $32,199,484
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Shares of beneficial interest outstanding 1,678,225
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Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 19.19
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The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
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Investment Income (Note 1B)
Interest income allocated from Portfolio $ 761,282
Dividend income from affiliated investments 41,181
Expenses allocated from Portfolio (44,145)
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Net investment income allocated from Portfolio 758,318
Expenses
Registration fees $ 8,570
Professional fees 13,395
Transfer agent fees (Note 2) 4,476
Administrative services fee (Note 2) 1,900
Trustees' fees (Note 2) 992
Insurance expense 404
Chief compliance officer expense (Note 2) 1,905
Miscellaneous expenses 3,568
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35,210
Deduct:
Reimbursement of Fund operating expenses (Note 2) (35,210)
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Net expenses --
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Net investment income 758,318
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Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investments (98,825)
Financial futures transactions 14,434
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Net realized gain (loss) (84,391)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments 132,744
Financial futures contracts 17,639
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Net change in unrealized appreciation (depreciation) 150,383
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Net realized and unrealized gain (loss) on investments 65,992
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Net Increase in Net Assets from Operations $ 824,310
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The accompanying notes are an integral part of the financial statements.
4
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Statements of Changes in Net Assets
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For the
Six Months Ended For the
June 30, 2006 Year Ended
(Unaudited) December 31, 2005
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Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 758,318 $ 1,886,132
Net realized gain (loss) (84,391) (301,054)
Change in net unrealized appreciation (depreciation) 150,383 (109,258)
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Net increase (decrease) in net assets from investment operations 824,310 1,475,820
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Distributions to Shareholders (Note 1C)
From net investment income (773,435) (1,940,395)
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Total distributions to shareholders (773,435) (1,940,395)
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Fund Share Transactions (Note 4)
Net proceeds from sale of shares 1,420,000 15,151,988
Value of shares issued to shareholders in reinvestment of distributions 635,764 1,492,509
Cost of shares redeemed (8,566,512) (44,750,190)
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Net increase (decrease) in net assets from Fund share transactions (6,510,748) (28,105,693)
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Total Increase (Decrease) in Net Assets (6,459,873) (28,570,268)
Net Assets
At beginning of period 38,659,357 67,229,625
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At end of period [including distributions in excess of
net investment income and undistributed net
investment income gain (loss) of ($15,117) and $0] $32,199,484 $38,659,357
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The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Financial Highlights
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For the
Six Months Ended Year Ended December 31,
June 30, 2006 -----------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
--------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of the period $ 19.16 $ 19.32 $ 19.48 $ 19.55 $ 19.55 $ 19.36
--------- -------- -------- -------- -------- --------
From Operations:
Net investment income* (a) 0.41 0.62 0.27 0.31 0.58 0.95
Net realized and unrealized
gain (loss) on investments 0.03 (0.11) (0.12) (0.04) 0.03 0.21
--------- -------- -------- -------- -------- --------
Total from investment operations 0.44 0.51 0.15 0.27 0.61 1.16
--------- -------- -------- -------- -------- --------
Less Distributions to Shareholders:
From net investment income (0.41) (0.67) (0.31) (0.34) (0.61) (0.97)
--------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.41) (0.67) (0.31) (0.34) (0.61) (0.97)
--------- -------- -------- -------- -------- --------
Net Asset Value, End of Period $ 19.19 $ 19.16 $ 19.32 $ 19.48 $ 19.55 $ 19.55
========= ======== ======== ======== ======== ========
Total Return (b) 2.34% 2.66% 0.75% 1.48% 3.14% 6.14%
Ratios/Supplemental Data:
Expenses (to average daily net assets)*(c) 0.25%(d) 0.32% 0.45% 0.36% 0.36% 0.36%
Net Investment Income (to average daily net assets)* 4.30%(d) 3.24% 1.33% 1.60% 2.99% 4.89%
Net Assets, End of Period (000's omitted) $32,199 $38,659 $67,230 $141,837 $146,620 $133,939
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* 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) $0.37 $0.57 $0.25 $0.30 $0.56 $0.94
Ratios (to average daily net assets):
Expenses(c) 0.71%(d) 0.62% 0.51% 0.43% 0.46% 0.41%
Net investment income 3.84%(d) 2.95% 1.27% 1.53% 2.89% 4.84%
(a) Calculated based on average shares outstanding,
(b) Total return would have been lower in the absence of expense waivers.
(c) Includes the Fund's share of the Standish Mellon enhanced Yield Portfolio's
allocated expenses.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Notes to Financial Statements (Unaudited)
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(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 Fund invests all of its investable assets in an interest of the
Standish Mellon Enhanced Yield Portfolio (the "Portfolio"), a subtrust of
the Mellon Institutional Funds Master Portfolio (the "Portfolio Trust"),
which is organized as a New York trust and 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 (100% at June 30, 2006). 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 Portfolio
values its securities at value as discussed in Note 1A of the Portfolio's
Notes to Financial Statements, which are included elsewhere in this report.
B. Securities transactions and income
Securities transactions in the Portfolio are recorded as of the trade date.
Currently, 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 Fund represent pro rata shares of gains and losses of the
Portfolio.
C. Distributions to shareholders
Distributions to shareholders are recorded on the ex-dividend date. The
Fund's distributions from 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 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
reclassifications, are primarily due to differing treatments for,
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(loss), accumulated net realized
gain (loss) and paid in capital. Undistributed net investment income (loss)
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 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 among
funds of the Trust and portfolios of the Portfolio Trust taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or portfolios.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Notes to Financial Statements (Unaudited)
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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 other 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) 0.25%. Pursuant to these agreements, for the six
months ended June 30, 2006, Standish Mellon voluntarily reimbursed the Fund
for $35,210 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 was charged $4,476 during the six months ended June 30, 2006.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. Pursuant
to this agreement the Fund was charged $1,436 during the six months ended
June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,905. No other director, officer or employee
of Standish Mellon or its affiliates received any compensation from the
Trust or the Portfolio Trust for serving as an officer or Trustee of the
Trust or the Portfolio Trust. The Fund pays each Trustee who is not a
director, officer or employee of Standish Mellon or its affiliates an
annual fee.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to Fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts. For the
six months ended June 30, 2006, the Fund was charged $1,585 for fees
payable to Mellon Private Wealth Management.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2006, aggregated $1,141,016 and $9,350,132,
respectively. The Fund receives a proportionate share of the Portfolio's
income, expenses, and realized and unrealized gains and losses based on
applicable tax allocation rules. Book/tax differences arise when changes in
proportionate interest for funds investing in the Portfolio occur.
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
---------------- -----------------
Shares sold 74,000 786,928
Shares issued to shareholders for
reinvestment of distributions 33,139 77,632
Shares redeemed (446,533) (2,327,112)
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Net increase (decrease) (339,394) (1,462,552)
========== ===========
8
Mellon Institutional Funds Investment Trust
Standish Mellon Enhanced Yield Fund
Notes to Financial Statements (Unaudited)
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At June 30, 2006, one shareholder of record held approximately 16% 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 their costs associated with short-term trading in the Fund. The
fee does not apply to shares that were acquired through reinvestment of
distributions. For the six months ended June 30, 2006, the Fund did not
receive 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 corresponding master portfolio for tax basis unrealized appreciation
(depreciation) information.
9
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--93.2%
BONDS AND NOTES--91.6%
Asset Backed--50.8%
Accredited Mortgage Loan Trust 6.200% 9/25/2036 $ 250,000 $ 249,688
Advanta Business Card Master Trust 2005-C1 C1 (a) 5.777 8/22/2011 500,000 503,055
American Express Issuance Trust 2005-1 C (a) 5.529 8/15/2011 500,000 502,621
Asset Backed Funding Certificates 2005-WMC1 M4 (a) 5.913 6/25/2035 500,000 502,293
Asset Backed Securities Corp. Home Equity Loan 2006-HE5 M7 6.250 6/25/2036 250,000 249,453
Bayview Financial Acquisition Trust 2006-A 1A1 5.614 2/28/2041 485,034 481,866
Bear Stearns Alt-A Trust 2005-1 A1 (a) 5.603 1/25/2035 276,550 277,040
Centex Home Equity 2003-B AF4 3.235 2/25/2032 102,441 98,755
Chase Funding Mortgage Loan Asset Backed 2003-3 2A2 (a) 5.593 4/25/2033 271,374 271,948
Chase Manhattan Auto Owner Trust 2003-B A4 2.570 2/16/2010 881,307 858,856
Citibank Credit Card Issuance Trust 2004-A1 A1 2.550 1/20/2009 1,250,000 1,230,065
Citigroup Mortgage Loan Trust, Inc. 2005-OPT4 A2B (a) 5.473 7/25/2035 355,000 355,067
Collegiate Funding Services Education Loan 2005-A A1 (a) 4.985 9/29/2014 324,622 324,304
Countrywide Alternative Loan Trust 2005-65CB 1A5 (a) 5.500 1/25/2036 975,654 975,595
Countrywide Alternative Loan Trust 2006-6CB 1A2 (a) 5.500 5/25/2036 997,720 992,454
Countrywide Asset-Backed Certificates 2005-7 3AV1 (a) 5.443 11/25/2035 110,769 110,769
Countrywide Home Loans 2004-16 1A1 (a) 5.723 9/25/2034 406,528 408,372
First USA Credit Card Master Trust 1997-4 A (a) 5.462 2/17/2010 750,000 751,469
Fremont Home Loan Trust 2006-1 M1 (a) 5.643 4/25/2036 1,000,000 999,623
Gracechurch Card Funding PLC (a) 5.509 9/15/2010 500,000 505,859
GS Auto Loan Trust 2004-1 A4 2.650 5/16/2011 315,000 306,482
M & I Auto Loan Trust 2003-1 A4 2.970 4/20/2009 700,000 685,305
Normura Home Equity Loan, Inc. 2006-WF1 M8 6.350 3/25/2036 300,000 300,000
Opteum Mortgage Acceptance Corp. 2005-5 2A1A 5.470 12/25/2035 436,144 433,400
Option One Mortgage Loan Trust 2004-1 (a) 5.613 1/25/2034 21,144 21,148
Option One Mortgage Loan Trust 2005-4 M4 (a) 5.923 11/25/2035 500,000 502,755
Popular ABS Mortgage Pass-Through Trust 2004-4 AF4 4.628 9/25/2034 350,000 340,847
Residential Asset Securities Corp. 2005-EMX2 A2 (a) 5.483 7/25/2035 1,000,000 1,000,661
Residential Asset Securities Corp. 2005-EMX4 M7 (a) 6.573 11/25/2035 500,000 509,562
Residential Funding Mortgage Securities II 2006-HSA2 AI3 5.550 3/25/2036 200,000 197,772
Slm Student Loan Trust 2004-9 A2 (a) 5.120 10/25/2012 172,816 172,527
Wachovia Auto Owner Trust 2004-B A4 3.440 3/21/2011 400,000 386,742
WFS Financial Owner Trust 2005-3 A2 4.110 6/17/2008 396,916 396,156
----------
Total Asset Backed (Cost $15,960,331) 15,902,509
----------
Corporate--29.5%
Banking--11.0%
Bank One Texas 6.250 2/15/2008 750,000 755,343
US Bank NA (a) 5.020 10/1/2007 700,000 700,452
Wachovia Corp. (a) 5.384 7/20/2007 1,000,000 1,001,145
Wells Fargo & Co. (a) 5.220 3/10/2008 1,000,000 1,000,443
----------
3,457,383
----------
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Brokerages--5.2%
Bear Stearns Co., Inc. (a) 5.299% 4/29/2008 $700,000 $ 701,498
Morgan Stanley 5.800 4/1/2007 935,000 935,498
-----------
1,636,996
-----------
Financial--5.3%
CIT Group,Inc. (a) 5.837 9/22/2006 900,000 900,704
Citigroup, Inc. (a) 5.209 11/1/2007 750,000 750,729
-----------
1,651,433
-----------
Insurance--4.8%
Principal Life, Inc., Funding (a) 5.266 12/7/2007 750,000 749,892
Western Corp.Federal Credit Union (a) 5.230 2/15/2008 750,000 750,590
-----------
1,500,482
-----------
Real Estate--1.6%
HRPT Properties Trust REIT (a) 5.941 3/16/2011 500,000 500,379
-----------
Transportation--1.6%
Daimler Chrysler NA Holding Corp. (a) 5.740 3/13/2009 500,000 500,342
Total Corporate (Cost $9,276,196) 9,247,015
-----------
Yankee Bonds--2.9%
HBOS Treasury Services PLC 144A (a) (Cost $900,000)
5.125 1/12/2007 900,000 900,781
-----------
U.S. Government Agency--8.4%
Government Backed--7.5%
FHLMC 5.000 6/15/2016 395,944 393,989
FHLMC 4.500 1/15/2019 310,528 307,470
FHLMC 5.000 1/15/2023 392,352 388,232
FHLMC 5.000 9/15/2024 773,202 764,244
FNMA 4.500 5/25/2012 454,450 449,277
FNMA 5.250 4/25/2025 59,167 58,885
-----------
2,362,097
-----------
Pass Thru Securities--0.9
FHLMC 5.500 10/15/2018 272,788 272,008
-----------
Total U.S. Government Agency (Cost $2,702,284) 2,634,105
-----------
TOTAL BONDS AND NOTES (Cost $28,838,811) 28,684, 410
-----------
SHORT TERM INVESTMENTS--1.6%
Commercial Paper--1.0%
Ryder System, Inc. (b) 5.310 7/17/200 300,000 299,381
-----------
U.S. Government--0.6%
FNMA Discount Note (b),(c) 4.740 9/14/2006 200,000 198,078
-----------
TOTAL SHORT-TERM INVESTMENTS (Cost $497,458) 497,459
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $29,336,269) 29,181,869
-----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Value
Security Description Rate Maturity Shares (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
AFFILIATED INVESTMENTS--8.0%
Dreyfus Institutional Preferred Plus Money Market (d) (e) (Cost 5.320% 2,526,923 $ 2,526,923
$2,526,923)
Total Investments--101.2% (Cost $31,863,192) 31,708,792
-----------
Liabilities in Excess of Other Assets--(1.2%) (380,432)
-----------
NET ASSETS--100.0% $31,328,360
===========
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, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $900,781 or 2.9% of net
assets.
FHLMC--Federal Home Loan Mortgage Company
FNMA--Federal National Mortgage Association
REIT--Real Estate Investment Trust
(a) Variable Rate Security; rate indicated as of June 30, 2006.
(b) Rate noted is yield to maturity.
(c) Denotes all of part of security pledged as collateral.
(d) Stated rate is the seven-day yield for the fund at June 30, 2006.
(e) Affiliated institutional money market fund.
At June 30, 2006 the Portfolio held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain/(Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
US 2 YR Treasury (15 Contracts) Long 9/29/2006 $3,049,688 $(8,000)
US 5 YR Treasury (15 Contracts) Short 9/29/2006 1,559,766 8,641
EURO BOND (2 Contracts) Short 9/15/2008 477,600 4,568
EURO BOND (2 Contracts) Short 12/15/2008 475,375 3,468
EURO BOND (2 Contracts) Short 3/16/2009 474,325 2,017
EURO BOND (2 Contracts) Short 6/15/2009 471,825 (364)
--------
$ 10,330
========
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities
Unaffiliated issuers, at value (Note 1A) (cost $29,336,269) $29,181,869
Affiliated issuers (Note 1F), at value (Note 1A) (cost $2,526,923) 2,526,923
Cash 300,000
Interest and dividends receivable 138,350
Prepaid expenses 4,253
-----------
Total assets 32,151,395
Liabilities
Payable for investments purchased $ 800,000
Payable for variation margin on open futures contracts (Note 5) 2,572
Accrued professional fees 12,537
Accrued accounting, administration and custody fees (Note 2) 5,512
Accrued trustees' fees and expenses (Note 2) 2,414
---------
Total liabilities 823,035
-----------
Net Assets (applicable to investors' beneficial interest) $31,328,360
===========
The accompanying notes are an integral part of the financial statements.
13
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $761,067
Dividend income from affiliated investments (Note 1F) 41,181
Security lending income (Note 6) 215
--------
Total investment income 802,463
Expenses
Investment advisory fee (Note 2) $ 35,315
Accounting, administration and custody fees (Note 2) 35,063
Professional fees 11,642
Trustees' fees and expenses (Note 2) 3,469
Insurance expense 2,958
Miscellaneous expenses 1,339
--------
Total expenses 89,786
Deduct:
Waiver of investment advisory fee (Note 2) (35,315)
Reimbursement of Fund operating expenses (Note 2) (10,326)
--------
Total expense deductions (45,641)
--------
Net expenses 44,145
--------
Net investment income 758,318
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (98,825)
Financial futures transactions 14,434
--------
Net realized gain (loss) (84,391)
Change in unrealized appreciation (depreciation) on:
Investments 132,744
Financial futures contracts 17,639
--------
Change in net unrealized appreciation (depreciation) 150,383
--------
Net realized and unrealized gain (loss) 65,992
--------
Net Increase in Net Assets from Operations $824,310
========
The accompanying notes are an integral part of the financial statements.
14
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, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $758,318 $1,886,132
Net realized gain (loss) (84,391) (301,054)
Change in net unrealized appreciation (depreciation) 150,383 (109,258)
---------- -----------
Net increase (decrease) in net assets from investment operations 824,310 1,475,820
---------- -----------
Capital Transactions
Contributions 1,141,016 16,645,003
Withdrawals (9,350,132) (46,674,285)
---------- -----------
Net increase (decrease) in net assets from capital transactions (8,209,116) (30,029,282)
---------- -----------
Total Increase (Decrease) in Net Assets (7,384,806) (28,553,462)
Net Assets
At beginning of period 38,713,166 67,266,628
---------- -----------
At end of period $31,328,360 $38,713,166
=========== ===========
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2006 ------------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- --------- --------- --------- -------- -----------
Total Return (a) 2.34% 2.66% 0.79% 1.48% 3.14% 6.15%
Ratios:
Expenses (to average daily net assets)* 0.25%(b) 0.32% 0.41% 0.36% 0.36% 0.35%
Net Investment Income (to average daily net assets)* 4.30%(b) 3.24% 1.36% 1.60% 2.99% 4.89%
Portfolio Turnover 19%(c) 75% 39% 113% 160% 174%
Net Assets, End of Period (000's omitted) $31,328 $38,713 $67,267 $141,856 $146,771 $134,055
- -------------
* 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 0.51% 0.44% N/A 0.37% 0.38% N/A
Net investment income 4.03% 3.12% N/A 1.59% 2.97% N/A
(a) 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.
(b) Calculated on an annualized basis.
(c) Not annualized.
The accompanying notes are an integral part of the financial statements.
16
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.
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.
At June 30, 2006 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, 2006
was 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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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. Dividends
representing a return of capital are reflected as a reduction of cost.
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 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.
17
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
D. 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.
E. 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 among
funds of the Trust or portfolios of the Portfolio Trust taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or portfolios.
F. Affiliated issuers
Affiliated issuers are investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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 0.20% 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
0.25% for the six month period ending June 30, 2006. Pursuant to these
agreements, for the six months ended June 30, 2006, Standish Mellon
voluntarily waived a portion of its investment advisory fee in the amount
of $35,315 and reimbursed the Portfolio $10,326 of other operating
expenses. This agreement is voluntary and temporary and may be discontinued
or revised by Standish Mellon at any time.
The Portfolio entered into an agreement with Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of Mellon Financial Corporation and an
affiliate of Standish Mellon, to provide custody, administration and fund
accounting services for the Portfolio. For these services the Portfolio
pays Mellon Bank a fixed fee plus asset and transaction based fees, as well
as out-of-pocket expenses. Pursuant to this agreement the Portfolio was
charged $35,063 for the six months ended June 30, 2006.
The Portfolio also entered into an agreement with Mellon Bank to perform
certain securities lending activities and to act as the Portfolio's lending
agent. Mellon Bank receives an agreed upon percentage of the net lending
revenues. Pursuant to this agreement, Mellon Bank received $90 for the six
months ended June 30, 2006. See Note 6 for further details.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the Trust or the Portfolio Trust. The Fund and Portfolio Trust pays each
Trustee who is not a director, officer or employee of Standish Mellon or
its affiliates (the "Independent Trustees") an annual fee and the Portfolio
Trust pays each Independent Trustee 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 counsel to the Independent
Trustees.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
------------ -----------
U.S. Government Securities $ 0 $ 2,556,114
============ ===========
Investments (non-U.S. Government Securities) $ 6,106,338 $ 7,916,039
============ ===========
18
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(4) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $31,863,192
===========
Gross unrealized appreciation 35,677
Gross unrealized depreciation (190,077)
-----------
Net unrealized appreciation (depreciation) $(154,400)
===========
(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 Portfolio may trade the following financial instruments with
off-balance sheet risk:
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, 2006, the Portfolio held open financial futures contracts. See
the 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 are not
sufficient to meet the Portfolio's obligations due on the loans.
The Portfolio loaned securities during the six months ended June 30, 2006
and earned interest on the invested collateral of $12,645, of which $12,430
was rebated to borrowers or paid in fees. At June 30, 2006, the Portfolio
had no securities on loan. See the Schedule of Investments for further
detail on the security positions on loan and collateral held.
19
Mellon Institutional Funds Master Portfolio
Standish Mellon Enhanced Yield Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(7) 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 committed amount, is allocated ratably among the participating
portfolios/funds at the end of each quarter. For the six months ended June
30, 2006, the facility fee was $176 for the Portfolio.
For the six months ended June 30, 2006, the Portfolio did not borrow from
the credit facility.
20
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Principal
Name Term of Office Occupation(s)
Address, and Position(s) and Length of During Past
Date of Birth Held with Trust Time Served 5 Years
- -------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus,
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Inc.
260 Charles Street ("DRI")(biotechnology
Waltham, MA 02453 research and consulting
9/30/40 firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street
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,
c/o Harvard University 9/13/1989 Professor of Political
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt
P.O. Box 2333 Trustee Trustee since Trustee, Mertens House,
New London, NH 03257 11/3/1986 Inc. (hospice)
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief
The Boston Company and Chief Operating Officer of
Asset Management, LLC 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 Asset Management
("MAM") and Vice
President and Chief
Financial Officer, MAM
Number of Trustee
Portfolios in Other Remuneration
Name Fund Complex Directorships (period ended
Address, and Overseen by Held by June 30,
Date of Birth Trustee Trustee 2006)
- ----------------------------------------------------------------------------------------------------------
Samuel C. Fleming 34 None Fund: $250
c/o Decision Resources, Inc. Portfolio: $396
260 Charles Street
Waltham, MA 02453
9/30/40
Caleb Loring III 34 None Fund: $250
c/o Essex Street Associates Portfolio: $425
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman 34 None Fund: $250
c/o Harvard University Portfolio: $396
Littauer Center 127
Cambridge, MA 02138
8/5/44
John H. Hewitt 34 None Fund: $250
P.O. Box 2333 Portfolio: $396
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard 34 None $0
The Boston Company
Asset Management, LLC
One Boston Place
Boston, MA 02108
7/24/65
21
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly Vice
One Boston Place President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds Distributor, L.P.
One Boston Place Officer and Mellon Optima L/S Strategy Fund, LLC; formerly
Boston, MA 02108 Director, Blackrock, Inc., Senior Vice President,
4/8/57 State Street Research & Management Company
("SSRM"), and Vice President, SSRM
22
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[Logo] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6926SA0606
[Logo]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Emerging Markets Debt Fund
- --------------------------------------------------------------------------------
June 30, 2006 (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.
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 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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
Actual $1,000.00 $ 990.80 $3.21
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 0.65%,
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 Emerging Markets Debt Fund
Portfolio Information as of June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Percentage of
Top Ten Holdings* Rate Maturity Investments
- --------------------------------------------------------------------------------------------------
Russian Federation 5.000 3/31/2030 8.2%
Telefonos de Mexico SA de CV 4.750 1/27/2010 4.8
Egyptian Credit Link Note 9.050 1/3/2010 4.7
Brazil IPCA 6.000 5/15/2045 4.5
Republic of Venezuela 2.150 4/20/2011 4.3
Nigerian Credit Link Note 144A 0.000 2/27/2009 4.0
United Mexican States 8.375 1/14/2011 3.8
Naftogaz Ukrainy 8.125 9/30/2009 3.7
GPB Eurobond (Gazprombk) 6.500 9/23/2015 3.6
Republic of Brazil 8.875 10/14/2019 3.3
----
44.9%
* Excluding short-term investments and investment of cash collateral.
2
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--94.4%
BONDS AND NOTES--93.9%
Corporate--7.9%
Energy--7.9%
National Power Corp. 144A (a) 9.444% 8/23/2011 USD 35,000 $ 37,889
Pemex Project Funding Master Trust 6.625 6/15/2035 70,000 63,350
Pemex Project Funding Master Trust 144A 5.750 12/15/2015 25,000 23,025
Salomon Brothers AF for OAO Siberian Oil Co. 10.750 1/15/2009 40,000 43,540
Salomon Brothers AF for Tyumen Oil Co. 11.000 1 1/6/2007 30,000 31,572
---------
Total Corporate Bonds (Cost $207,310) 199,376
---------
Sovereign Bonds--64.0%
Argentina Bonos (a) 1.162 8/3/2012 88,000 72,732
Dominican Republic 144A 9.500 9/27/2011 64,343 67,560
Egyptian Credit Link Note 144A (g) 9.050 1/3/2010 120,000 120,016
Egyptian Treasury Bill 144A (g) 8.400 2/1/2007 25,000 25,446
Lebanese Republic 144A 7.830 11/30/2009 25,000 26,188
Nigerian Credit Link Note 144A (c) (g) 0.000 2/27/2009 100,000 101,254
Republic of Argentina 8.280 12/31/2033 33,582 29,888
Republic of Brazil 8.875 10/14/2019 75,000 83,250
Republic of Brazil 8.250 1/20/2034 75,000 78,938
Republic of Brazil 11.000 8/17/2040 30,000 37,140
Republic of Colombia 10.000 1/23/2012 35,000 39,550
Republic of Colombia (b) 8.125 5/21/2024 7,000 7,105
Republic of Ecuador 7.000 8/15/2030 35,000 33,688
Republic of El Salvador 144A 7.650 6/15/2035 30,000 28,875
Republic of Peru 9.875 2/6/2015 35,000 40,950
Republic of Peru 8.375 5/3/2016 65,000 70,038
Republic of Philippines 8.375 2/15/2011 32,000 33,360
Republic of Turkey 11.875 1/15/2030 57,000 77,876
Republic of Turkey 11.875 1/15/2030 15,000 20,524
Republic of Turkey 6.875 3/17/2036 30,000 24,900
Republic of Venezuela 5.750 2/26/2016 90,000 80,100
Republic of Venezuela 6.000 12/9/2020 25,000 21,650
Republic of Venezuela (a) 2.150 4/20/2011 110,000 108,900
Russian Federation 5.000 3/31/2030 197,000 209,805
Russian Ministry of Finance 3.000 5/14/2008 45,000 42,469
United Mexican States 8.375 1/14/2011 90,000 98,100
United Mexican States 5.625 1/15/2017 30,000 27,900
---------
Total Sovereign Bonds (Cost $1,635,073) 1,608,202
---------
Yankee Bonds--14.3%
Braskem SA 144A 12.500 11/5/2008 45,000 49,725
GPB Eurobond (Gazprombk) 6.500 9/23/2015 100,000 91,750
Naftogaz Ukrainy 8.125 9/30/2009 100,000 93,375
Telefonos de Mexico SA de CV 4.750 1/27/2010 130,000 123,890
---------
Total Yankee Bonds (Cost $384,812) 358,740
---------
The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Security Description Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
Foreign Denominated--7.7%
Brazil--4.6%
Brazil IPCA 144A (g) 6.000% 5/15/2045 BRL
Colombia--0.9%
Republic of Colombia 11.750 3/1/2010 COP
Republic of Colombia 12.000 10/22/2015
Germany--1.0%
Bosnia & Herzegovina Government International Bond (c) 0.000 12/11/2017 DEM
Mexico--1.2%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN
Mexican Fixed Rate Bonds 10.000 12/5/2024
Total Foreign Denominated (Cost $211,594)
TOTAL BONDS AND NOTES (Cost $2,438,789)
WARRANTS--0.2%
United Mexican States Warrant, 10/10/2006 (d) (g) (Cost $3,375)
INVESTMENT OF CASH COLLATERAL--0.3%
BlackRock Cash Strategies L.L.C (e) (Cost $7,210) 5.140
TOTAL UNAFFILIATED INVESTMENTS (Cost $2,449,374)
AFFILIATED INVESTMENTS--7.4%
Dreyfus Institutional Preferred Plus Money Market Fund (e) (f) (Cost $186,675) 5.320
Total Investments--101.8% (Cost $2,636,049)
Liabilities in Excess of Other Assets--(1.8%)
NET ASSETS--100%
Par Value
Security Description Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------
Foreign Denominated--7.7%
Brazil--4.6%
Brazil IPCA 144A (g) 356,000 $ 114,588
----------
Colombia--0.9%
Republic of Colombia 40,000,000 17,204
Republic of Colombia 9,000,000 4,245
----------
21,449
----------
Germany--1.0%
Bosnia & Herzegovina Government International Bond (c) 60,000 26,285
----------
Mexico--1.2%
Mexican Fixed Rate Bonds 285,000 23,788
Mexican Fixed Rate Bonds 70,000 6,446
----------
30,234
----------
Total Foreign Denominated (Cost $211,594) 192,556
----------
TOTAL BONDS AND NOTES (Cost $2,438,789) 2,358,874
----------
WARRANTS--0.2% Shares
-------
United Mexican States Warrant, 10/10/2006 (d) (g) (Cost $3,375) 135 5,130
----------
INVESTMENT OF CASH COLLATERAL--0.3%
BlackRock Cash Strategies L.L.C (e) (Cost $7,210) 7,210 7,210
----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $2,449,374) 2,371,214
----------
AFFILIATED INVESTMENTS--7.4%
Dreyfus Institutional Preferred Plus Money Market Fund (e) (f) (Cost $186,675) 186,675 186,675
----------
Total Investments--101.8% (Cost $2,636,049) 2,557,889
----------
Liabilities in Excess of Other Assets--(1.8%) (43,882)
----------
NET ASSETS--100% $2,514,007
==========
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, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $474,550 or 18.9% of net
assets.
BRL--Brazilian Real
COP--Colombian Pesos
DEM--German Deutschemark
MXN--Mexican New Peso
(a) Variable Rate Security; rate indicated is as of June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Zero coupon bonds.
(d) Non-income producing.
(e) Stated rate is seven-day yield for the fund at year end.
(f) Affiliated money market fund.
(g) Illiquid security, at the period end, the value of these securities
amounted to $366,434 or 14.6% of net assets.
The accompanying notes are an integral part of the financial statements.
4
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2006, the Fund held the following forward foreign currency exchange
contracts:
Local
Principal Contract Value at USD Amount Unrealized
Contracts to Receive Amount Value Date June 30, 2006 to Deliver Gain/(Loss)
- ---------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 40,000 11/3/2006 $ 17,922 $ 18,613 $ (691)
Colombian Peso 62,150,000 10/24/2006 24,058 26,503 (2,445)
Euro 10,000 9/18/2006 12,858 12,922 (64)
Mexican New Peso 198,929 7/5/2006 17,535 17,571 (36)
Mexican New Peso 540,000 8/18/2006 47,599 48,344 (745)
Philippines Peso 810,000 8/4/2006 15,258 15,741 (483)
Russian Ruble 700,000 9/18/2006 26,154 25,180 974
Turkish Lira 30,000 8/4/2006 18,691 19,861 (1,170)
Turkish Lira 120,000 9/20/2006 73,231 76,774 (3,543)
--------- --------- ----------
$ 253,306 $ 261,509 $ (8,203)
========= ========= ==========
Local
Principal Contract Value at USD Amount Unrealized
Contracts to Deliver Amount Value Date June 30, 2006 to Receive Gain/(Loss)
- ---------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 20,000 11/3/2006 $ 8,961 $ 8,636 $ (325)
Colombian Peso 62,150,000 10/24/2006 24,058 23,338 (720)
Euro 10,000 9/18/2006 12,858 12,186 (672)
Euro 10,000 9/20/2006 12,859 12,695 (164)
Mexican New Peso 540,000 8/18/2006 47,599 47,680 81
Philippines Peso 810,000 8/4/2006 15,258 15,112 (146)
Russian Ruble 700,000 9/18/2006 26,155 25,888 (267)
Turkish Lira 30,000 8/4/2006 18,691 22,207 3,516
Turkish Lira 120,000 9/20/2006 73,231 74,442 1,211
--------- --------- ----------
$ 239,670 $ 242,184 $ 2,514
========= ========= ==========
At June 30, 2006, the Fund held the following open swap agreements:
Unrealized
Credit Default Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Swaps Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank Republic of Brazil, 12.25%, due 3/6/2030 Sell 1.45% 10/20/2008 $ 331,000 $ 5,968
JP Morgan Dow Jones CDX.EM Series 4 Sell 1.80% 12/20/2010 50,000 (654)
JP Morgan Dow Jones CDX.EM Series 5 Sell 1.35% 6/20/2011 40,000 (1,391)
JP Morgan Republic of Hungary, 4.75%, due 2/3/2015 Buy (0.16%) 2/20/2008 125,000 140
JP Morgan Republic of Indonesia, 7.25%, due 4/20/2015 Sell 1.05% 3/20/2009 255,000 (643)
JP Morgan Republic of Korea, 4.25%, due 6/1/2013 Buy (0.19%) 3/20/2010 210,000 114
JP Morgan Republic of the Philippines, 10.625%, due 3/16/2025 Sell 1.57% 3/20/2010 210,000 (556)
JP Morgan Ukraine Government, 7.65%, due 6/11/2013 Sell 1.04% 2/20/2008 125,000 (1,005)
-------
$ 1,973
=======
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under terms of that particular swap agreement, the portfolio will
pay the buyer of protection an amount up to the national value of the swap
and in certain instances, take delivery of the security.
Percentage of
Geographic Region Investments
- -----------------------------------------------------------------------
Latin America 53.1%
Europe 22.2
Middle East 10.4
Africa 3.9
Asia 2.8
Cash & equivalents 7.6
-----
100.0%
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $7,105 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $2,449,374) $2,371,214
Affiliated issuers, at value (Note 1A) (cost $186,675) (Note 1H) 186,675
Cash 112,582
Foreign currency (cost $4,853) 4,843
Receivable for investments sold 72,880
Interest and dividends receivable 47,445
Unrealized appreciation on forward currency exchange contracts (Note 6) 5,782
Unrealized appreciation on swap contracts (Note 6) 6,222
Swap premium paid 1,969
Prepaid expenses 3,426
----------
Total assets 2,813,038
Liabilities
Collateral for securities on loan (Note 7) $ 7,210
Payable for investments purchased 240,548
Payable to brokers (Note 6) 18,148
Unrealized depreciation on forward currency exchange contracts (Note 6) 11,471
Accrued accounting, administration, custody and transfer agent fees (Note 2) 5,443
Accrued professional fees 10,523
Unrealized depreciation on swap contracts (Note 6) 4,249
Accrued trustees' fees and expenses (Note 2) 691
Accrued chief compliance officer fee (Note 2) 308
Other accrued expenses and liabilities 440
Total liabilities 299,031
----------
Net Assets $2,514,007
==========
Net Assets consist of:
Paid-in capital $2,398,126
Accumulated net realized gain 247,047
Distributions in excess of net investment income (49,029)
Net unrealized depreciation (82,137)
----------
Total Net Assets $2,514,007
==========
Shares of beneficial interest outstanding 136,490
==========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 18.42
==========
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income (net of foreign withholding taxes of $102) $175,073
Dividend income from affiliated investments (Note 1H) 2,584
Securitity lending income (Note 7) 2,007
--------
Total investment income 179,664
Expenses
Investment advisory fee (Note 2) $ 14,269
Accounting, administration, custody, and transfer agent fees (Note 2) 27,371
Professional fees 14,275
Registration fees 18,303
Trustees' fees and expenses (Note 2) 1,366
Insurance expense 3,032
Chief compliance officer expense (Note 2) 1,962
Miscellaneous expenses 4,398
--------
84,976
Deduct:
Waiver of investment advisory fee (Note 2) (14,269)
Reimbursement of Fund operating expenses (Note 2) (51,810)
--------
Total expense deductions (66,079)
--------
Net expenses 18,897
--------
Net investment income 160,767
Realized and Unrealized Gain (Loss) on:
Net realized gain (loss) on:
Investments 234,648
Foreign currency transactions and forward currency exchange transactions 22,428
Swap transactions 3,322
Written options transactions (3,219)
--------
Net realized gain 257,179
Change in unrealized appreciation (depreciation) on:
Investments (312,951)
Foreign currency translations and forward currency exchange contracts (22,720)
Swap contracts (8,401)
Written options contracts 240
--------
Net change in net unrealized appreciation (depreciation) (343,832)
--------
Net realized and unrealized gain (loss) on investments (86,653)
--------
Net Increase in Net Assets from Operations $ 74,114
========
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 160,767 $ 595,843
Net realized gain (loss) 257,179 638,268
Change in net unrealized appreciation (depreciation) (343,832) (392,861)
---------- -----------
Net increase (decrease) in net assets from investment operations 74,114 841,250
---------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (192,857) (535,695)
From net realized gains on investments (30,971) (800,032)
---------- -----------
Total distributions to shareholders (223,828) (1,335,727)
---------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares -- 3,475,000
Value of shares issued to shareholders in reinvestment of distributions 192,651 1,162,757
Cost of shares redeemed (5,841,303) (6,833,029)
---------- -----------
Net increase (decrease) in net assets from Fund share transactions (5,648,652) (2,195,272)
---------- -----------
Total Increase (Decrease) in Net Assets (5,798,366) (2,689,749)
Net Assets
At beginning of period 8,312,373 11,002,122
---------- -----------
At end of period [including distributions in excess of
net investment income ($49,029) and ($16,939)] $2,514,007 $ 8,312,373
========== ===========
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the Period
For the March 26, 2001
Six Months Ended Year Ended December 31, (commencement
June 30, 2006 ----------------------------------------- of operations) to
(Unaudited) 2005 2004 2003 2002 December 31, 2001
---------------- ---- ---- ---- ---- -----------------
Net Asset Value, Beginning of Year $19.53 $20.37 $ 20.81 $ 18.39 $17.67 $20.00
------ ------ ------- ------- ------ ------
From Investment Operations:
Net investment income * (a) 0.56 1.57 1.56 1.61 1.59 1.58
Net realized and unrealized gain (loss) on investments (0.73) 0.98 0.72 3.59 0.65 0.10
------ ------ ------- ------- ------ ------
Total from investment operations (0.17) 2.55 2.28 5.20 2.24 1.68
Less Distributions to Shareholders:
From net investment income (0.86) (1.40) (1.53) (1.32) (1.52) (3.90)
From net realized gain on investments (0.08) (1.99) (1.19) (1.46) -- --
From tax return of capital -- -- -- -- -- (0.11)
------ ------ ------- ------- ------ ------
Total distributions to shareholders (0.94) (3.39) (2.72) (2.78) (1.52) (4.01)
------ ------ ------- ------- ------ ------
Net Asset Value, End of Year $18.42 $19.53 $ 20.37 $ 20.81 $18.39 $17.67
====== ====== ======= ======= ====== ======
Total Return (b) (0.92%)(c) 13.29% 11.54% 28.82% 13.20% 8.94%(c)
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.65%(d) 0.36% 0.30% 0.30% 0.30% 0.30%(d)
Net Investment Income (to average daily net assets)* 5.65%(d) 7.67% 7.53% 7.64% 8.83% 10.33%(d)
Portfolio Turnover 79%(c) 172% 228% 224% 421% 505%(c)
Net Assets, End of Year (000's omitted) $2,514 $8,312 $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) $ 0.33 $ 1.19 $ 1.37 $ 1.26 $ 1.23 $ 1.34
Ratios (to average daily net assets):
Expenses * 2.99%(d) 2.22% 1.23% 1.92% 2.31% 1.82%(d)
Net investment income * 3.31%(d) 5.81% 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.
9
Mellon Institutional Funds Investment Trust
Standish Mellon 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 Emerging Markets Debt Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The Fund's Board of Trustees approved, effective November 1, 2005, the
change in the Fund's name from "Standish Mellon Opportunistic Emerging
Markets Debt Fund" to "Standish Mellon Emerging Markets Debt Fund".
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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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.
Dividends representing a return of capital are reflected as a reduction of
cost.
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. 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 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 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, capital loss
carryforwards 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(loss), accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income (loss) 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.
10
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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. Foreign currency transactions
The Fund 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.
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 are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated among the funds of the Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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,
payable 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 0.65%. Pursuant to this agreement, for the six months ended
June 30, 2006, Standish Mellon voluntarily waived its investment advisory
fee in the amount of $14,269 and reimbursed the Fund for $51,810 of other
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 was charged $3,039 during the six months ended June 30, 2006.
The Fund entered into an agreement with Mellon Bank, N.A. ("Mellon Bank"),
a wholly owned subsidiary of Mellon Financial Corporation and an affiliate
of Standish Mellon, to provide custody, 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 was charged $24,332 during
the six months ended June 30, 2006.
The Fund also entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Mellon Bank receives an agreed upon percentage of the net lending revenues.
Pursuant to this agreement, Mellon Bank was charged $850 for the six months
ended June 30, 2006. See Note 7 for further details.
11
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. The Fund
was not charged for printing and fulfillment services during the six months
ended June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,962. No other director, officer or employee
of Standish Mellon or its affiliates receives any compensation from the
Trust or the Fund for serving as an officer or Trustee of the Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts. For the
six months ended June 30, 2006, the Fund was charged $0 for fees payable to
Mellon Private Wealth Management.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
--------- -----
U.S. Government Securities $ 61,000 $ 60,830
Investments (non-U.S. Government Securities) $ 4,365,358 $ 9,946,083
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
---------------- -----------------
Shares sold -- 170,232
Shares issued to shareholders reinvestment of distributions declared 10,017 59,293
Shares redeemed (299,176) (343,898)
-------- --------
Net increase (decrease) (289,159) (114,373)
======== ========
At June 30, 2006, one shareholder of record held 100% 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 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 were acquired through reinvestment of distributions. For the six months
ended June 30, 2006, the Fund did not collect any redemption fees
(5) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at June 30, 2006, as computed on a federal income tax basis,
were as follows:
Aggregate cost $ 2,636,049
Gross unrealized appreciation 41,177
Gross unrealized depreciation (119,337)
Net unrealized appreciation (depreciation) $ (78,160)
12
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt 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 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 security 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 option is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at year 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 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.
During the six months ended June 30, 2006, the Fund entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 0 $ --
Options written 5 420
Options expired (5) (420)
Options closed 0 --
--------- --------
Outstanding, end of period 0 $ --
========= ========
Number of
Written Call Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 1 $ 960
Options written 1 51
Options expired (1) (51)
Options closed (1) (960)
--------- --------
Outstanding, end of period 0 $ --
========= ========
At June 30, 2006, the Fund did not hold options. See the Schedule of Investments
for further details.
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
13
Mellon Institutional Funds Investment Trust
Standish Mellon Emerging Markets Debt Fund
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 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, 2006, the Fund held currency exchange contracts. See the
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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the 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 loaned securities during the six months ended June 30, 2006 and
earned interest on the invested collateral of $12,339 of which, $10,332 was
rebated to borrowers or paid in fees. At June 30, 2006, the Fund had
securities valued at $7,105 on loan. See the Schedule of Investments for
further detail on the security positions on loan and collateral held.
14
Mellon Institutional Funds Investment Trust
Standish Mellon 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 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.
For six months ended June 30, 2006, the Fund did not enter into any delayed
delivery transactions.
(9) Line of Credit:
The Fund, and other funds in the Trust and subtrusts in Mellon
Institutional Funds Master Portfolio (the "Portfolio Trust") are parties to
a committed line of credit facility, which enables each fund/portfolio to
borrow, in the aggregate, up to $35 million. Interest is charged to each
participating fund/portfolio 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 committed amount, is
allocated ratably among the participating funds/portfolios at the end of
each quarter. For six months ended June 30, 2006, the facility fee was $30
for the Fund.
For the six months ended June 30, 2006, the Fund had average borrowings
outstanding of $51,714 on a total of seven days and incurred $54 of
interest expense.
(10) Subsequent Event:
In response to total redemption requests submitted by the Fund's remaining
shareholders, the Fund began the process of dissolving and winding up its
business. On July 31, 2006 the Fund sent a liquidating distribution to its
remaining shareholders in cash equal to the shareholders' proportionate
interest in the net assets of the Fund. As of such date, the Fund was
dissolved in accordance with the Fund's Declaration of Trust.
15
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Number of Term of Office Occupation(s)
Principal Position(s) and Length of During Past
Name Held with Trust Time Served 5 Years
- -------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus,
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Inc.
260 Charles Street ("DRI")(biotechnology
Waltham, MA 02453 research and consulting
9/30/40 firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street
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
c/o Harvard University Trustee Trustee since William Joseph Maier,
Littauer Center 127 9/13/1989 Professor of Political
Cambridge, MA 02138 Economy, Harvard University
8/5/44
John H. Hewitt Trustee Trustee since Trustee, Mertens House,
P.O. Box 2333 11/3/1986 Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, Since 2003 President and Chief
The Boston Company President and Operating Officer of
Asset Management, LLC Chief Executive The Boston Company
One Boston Place Officer Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice
7/24/65 President and Chief
Operating Officer, Mellon
Asset Management ("MAM")
and Vice President and
Chief Financial Officer, MAM
Trustee
Portfolios in Other Remuneration
Number of Fund Complex Directorships period
Principal Overseen by Held by June 30,
Name Trustee Trustee 2006)
- --------------------------------------------------------------------------------------------
Samuel C. Fleming 34 None $280
c/o Decision Resources, Inc.
260 Charles Street
Waltham, MA 02453
9/30/40
Caleb Loring III 34 None $286
c/o Essex Street Associates
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman 34 None $280
c/o Harvard University
Littauer Center 127
Cambridge, MA 02138
8/5/44
John H. Hewitt 34 None $280
P.O. Box 2333
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard 34 None $0
The Boston Company
Asset Management, LLC
One Boston Place
Boston, MA 02108
7/24/65
16
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly
One Boston Place Vice President and Manager, Mutual Fund
Boston, MA 02108 Operations, Standish Mellon Asset Management
8/19/51 Company, LLC
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of
Mellon Asset Management President Compliance,Mellon Asset Management ("MAM");
One Boston Place formerly Manager of Shareholder Services, MAM,
Boston, MA 02108 and Shareholder Representative, Standish Mellon
1/19/71 Asset Management Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds
One Boston Place Officer Distributor, L.P. and Mellon Optima L/S Strategy
Boston, MA 02108 Fund, LLC; formerly Director, Blackrock, Inc.,
4/8/57 Senior Vice President, State Street Research &
Management Company ("SSRM"), and Vice President,
SSRM
17
[Logo]Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6947SA0606
[Logo]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Fixed Income Fund
- --------------------------------------------------------------------------------
June 30, 2006 (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.
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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
Actual $1,000.00 $ 991.90 $2.47
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 0.50%,
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.
1
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Portfolio Information as of June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Percentage of
Summary of Combined Ratings Investments
- -----------------------------------------------------------------------
Quality Breakdown
- -----------------------------------------------------------------------
AAA and higher 54.8%
AA 6.7
A 12.2
BBB 20.7
BB 4.5
B 1.1
-----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- -----------------------------------------------------------------------------------------------------------
FNMA (TBA) 5.500% 7/1/2035 5.1%
FNMA (TBA) 4.500 7/1/2020 3.3
U.S. Treasury Note 5.125 5/15/2016 3.3
FNMA 5.000 7/1/2020 2.8
U.S.Treasury Bond 3.000 7/15/2012 2.1
FNMA (TBA) 6.000 7/1/2020 1.9
U.S. Treasury Note 4.500 2/15/2036 1.8
U.S. Treasury Note 4.375 12/31/2007 1.6
FNMA (TBA) 5.000 7/1/2035 1.6
U.S Treasury Note 3.625 4/30/2007 1.2
----
24.7%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- ----------------------------------------------------------------------
Treasury/Agency 23.9%
Mortgage Pass through 26.6
Credit 36.1
ABS/CMO/CMBS 9.3
Nondollar 0.1
Emerging Markets 2.1
Short term and other assets 1.9
-----
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.
2
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon Fixed Income Portfolio (Portfolio), at value (Note 1A) $430,333,498
Receivable for Fund shares sold 2,885,667
Prepaid expenses 10,025
------------
Total assets 433,229,190
Liabilities
Payable for Fund shares redeemed $ 399,378
Accrued administrative services expense (Note 2) 13,227
Accrued transfer agent fees (Note 2) 1,576
Accrued professional fees 15,002
Accrued shareholder reporting fee (Note 2) 3,160
Accrued trustees' fees (Note 2) 492
Accrued chief compliance officer fee (Note 2) 278
Other accrued expenses and liabilities 6,595
------------
Total liabilities 439,708
------------
Net Assets $432,789,482
============
Net Assets consist of:
Paid-in capital $631,373,364
Accumulated net realized loss (188,459,399)
Distributions in excess of net investment income (4,530)
Net unrealized depreciation (10,119,953)
------------
Total Net Assets $432,789,482
============
Shares of beneficial interest outstanding 22,701,721
============
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 19.06
============
The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $11,334,942
Dividend income allocated from Portfolio 314,078
Expenses allocated from Portfolio (984,734)
------------
Net investment income allocated from Portfolio 10,664,286
Expenses
Transfer agent fees (Note 2) $ 6,591
Registration fees 14,877
Professional fees 29,214
Administrative service fees (Note 2) 81,078
Trustees' fees and expenses (Note 2) 992
Insurance expense 832
Miscellaneous expenses 10,955
------------
Total expenses 144,539
Deduct:
Reimbursement of operating expenses (Note 2) (20,458)
------------
Net expenses 124,081
------------
Net investment income 10,540,205
------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investments (4,546,567)
Financial futures transactions 336,239
Written options transactions (73,672)
Foreign currency transactions and forward foreign currency exchange transactions (16,981)
Swap transactions (63,952)
------------
Net realized gain (loss) (4,364,933)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (9,489,363)
Financial futures contracts (95,780)
Written options contracts (36,944)
Foreign currency translation and forward foreign currency exchange contracts (6,515)
Swap contracts (87,987)
------------
Net change in net unrealized appreciation (depreciation) (9,716,589)
------------
Net realized and unrealized gain (loss) on investments (14,081,522)
------------
Net Decrease in Net Assets from Operations $(3,541,317)
============
The accompanying notes are an integral part of the financial statements.
4
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, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 10,540,205 $ 18,867,149
Net realized gain (loss) (4,364,933) 3,077,515
Change in net unrealized appreciation (depreciation) (9,716,589) (8,030,510)
------------ -------------
Net increase (decrease) in net assets from investment operations (3,541,317) 13,914,154
------------ -------------
Distributions to Shareholders (Note 1C)
From net investment income (10,262,592) (22,878,370)
------------ -------------
Total distributions to shareholders (10,262,592) (22,878,370)
------------ -------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 41,011,492 51,996,373
Value of shares issued to shareholders in reinvestment of distributions 6,891,314 15,442,638
Redemption fees credited to capital 3,571 --
Cost of shares redeemed (57,204,229) (65,890,204)
------------ -------------
Net increase (decrease) in net assets from Fund share transactions (9,297,852) 1,548,807
------------ -------------
Total Increase (Decrease) in Net Assets (23,101,761) (7,415,409)
Net Assets
At beginning of period 455,891,243 463,306,652
------------ -------------
At end of period [including distributions in excess of
investment income of ($4,530) and ($282,143).] $432,789,482 $ 455,891,243
============ =============
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the Six
Six Months Ended Year Ended December 31,
June 30, 2006 -----------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ------ ------ ------ ------ ------
Net Asset Value, Beginning of the period $ 19.66 $ 20.08 $ 20.08 $ 19.70 $ 18.93 $ 18.92
-------- -------- -------- -------- -------- ----------
From Operations:
Net investment income* (a) 0.46 0.82 0.77 0.75 0.93 1.22
Net realized and unrealized
gains (loss) on investments (0.61) (0.23) 0.36 0.28 0.71 0.10
-------- -------- -------- -------- -------- ----------
Total from investment operations (0.15) 0.59 1.13 1.03 1.64 1.32
-------- -------- -------- -------- -------- ----------
Less Distributions to Shareholders:
From net investment income (0.45) (1.01) (1.13) (0.65) (0.87) (1.31)
-------- -------- -------- -------- -------- ----------
Total distributions to shareholders (0.45) (1.01) (1.13) (0.65) (0.87) (1.31)
-------- -------- -------- -------- -------- ----------
Net Asset Value, End of Period $ 19.06 $ 19.66 $ 20.08 $ 20.08 $ 19.70 $ 18.93
======== ======== ======== ======== ======== ==========
Total Return (0.81%)(b) 2.96% 5.74% 5.24%(b) 8.89%(b) 7.16%
Ratios/Supplemental data:
Expenses (to average daily net assets)* (c) 0.50%(d) 0.49% 0.48% 0.42% 0.38% 0.38%
Net Investment Income (to average daily net assets)* 4.75%(d) 4.09% 3.77% 3.76% 4.86% 6.35%
Net Assets, End of Period (000's omitted) $432,789 $455,891 $463,307 $595,789 $941,240 $1,475,570
- -----------
* 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 ratios would
have been:
Net investment income per share (a) $ 0.46 N/A N/A $ 0.73 $ 0.93 N/A
Ratios (to average daily net assets):
Expenses (c) 0.51%(d) N/A N/A 0.45% 0.42% N/A
Net investment income 4.74%(d) N/A N/A 3.73% 4.82% N/A
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of expense waivers.
(c) Includes the Fund's share of the Portfolio's allocated expenses.
(d) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
6
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 Fixed Income Fund (the "Fund") is a separate diversified
investment series of the Trust.
The Fund invests all of its investable assets in an interest of the
Standish Mellon 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 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 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 (100% at June 30, 2006). 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 Portfolio
values its securities at value as discussed in Note 1A of the Portfolio's
Notes to Financial Statements, which are included elsewhere in this report.
B. Securities transactions and income
Securities transactions in the Portfolio are recorded as of the trade date.
Currently, 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 Fund represent pro rata shares of gains and losses of the
Portfolio.
C. Distributions to shareholders
Distributions to shareholders are recorded on the ex-dividend date. The
Fund's distributions from 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 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(loss), accumulated net realized
gain (loss) and paid in capital. Undistributed net investment income (loss)
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 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 among
funds of the Trust and/or portfolios of the Portfolio Trust taking into
consideration, among other things, the nature and type of expense and the
relative size of the funds or portfolios.
7
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 other 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 brokerage commissions, taxes and
extraordinary expenses) 0.50%. Pursuant to these agreements, for the six
months ended June 30, 2006, Standish Mellon voluntarily reimbursed the Fund
for $20,458 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 was charged $6,591 during the six months ended June 30, 2006.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. Pursuant
to this agreement the Fund was charged $3,160 during the six months ended
June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,933. No other director, officer or employee
of Standish Mellon or its affiliates receives any compensation from the
Trust or the Fund for serving as an officer or Trustee of the Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to Fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts. For the
six months ended June 30, 2006, the Fund was charged $81,078 for fees
payable to Mellon Private Wealth Management.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2006, aggregated $45,461,631 and $69,510,754,
respectively. The Fund receives a proportionate share of the Portfolio's
income, expenses, and realized and unrealized gains and losses based on
applicable tax allocation rules. Book/tax differences arise when changes in
proportionate interest for funds investing in the Portfolio occur.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
------------------ -------------------
Shares sold 2,098,593 2,590,559
Shares issued to shareholders for
reinvestment of distributions 359,081 777,096
Shares redeemed (2,939,461) (3,260,750)
----------- -----------
Net increase (decrease) (481,787) (106,905)
=========== ===========
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 were acquired through reinvestment of
distributions. For the six months ended June 30, 2006, the Fund received
$3,571 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 corresponding master portfolio for tax basis unrealized appreciation
(depreciation) information.
9
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--137.9%
BONDS AND NOTES--126.1%
Asset Backed--21.3%
Accredited Mortgage Loan Trust 2005-2 A2A (a) 5.423% 7/25/2035 USD $ 267,892 $ 267,882
Accredited Mortgage Loan Trust 2005-3 A2 (a) 5.423 9/25/2035 858,777 858,864
Accredited Mortgage Loan Trust 2006-1 A1 (a) 5.383 4/25/2036 1,477,019 1,477,107
ACE Securities Corp. 2005-HE1 A2A (a) 5.443 2/25/2035 98,111 98,119
ACE Securities Corp. 2006-ASL1 A 5.463 2/25/2036 613,050 613,093
American Express Credit Account Master Trust 2004-C 144A (a) 5.699 2/15/2012 2,414,854 2,420,707
Americredit Automobile Receivables Trust 2005-DA A2 4.750 11/6/2008 1,322,517 1,319,238
Banc of America Commercial Mortgage, Inc. 2005-2 A2 4.247 7/10/2043 1,900,000 1,859,291
Bear Stearns Asset Backed Securities, Inc. 2005-HE3 1A1 (a) 5.403 3/25/2035 103,325 103,334
Capital Auto Receivables Asset Trust 2004-2 D 144A 5.820 5/15/2012 1,950,000 1,907,609
Capital One Auto Finance Trust 4.480 10/15/2008 955,571 952,850
Capital One Multi-Asset Execution Trust 2004-C1 C1 3.400 11/16/2009 2,950,000 2,912,648
Capital One Prime Auto Receivables Trust 2006-1 A1 4.872 3/15/2007 630,908 630,391
Carrington Mortgage Loan Trust 5.363 5/25/2036 1,360,519 1,360,492
Centex Home Equity (a) 5.373 6/25/2036 824,400 824,309
Centex Home Equity 2005-D AV1 5.433 10/25/2035 884,713 884,824
Chase Credit Card Master Trust 2004-2 C (a) 5.749 9/15/2009 1,000,000 1,003,142
Chase Manhattan Auto Owner Trust 2005-B A2 4.770 3/15/2008 1,500,000 1,496,006
Chec Loan Trust 2004-2 A1 5.493 1/25/2025 11,885 11,884
Citigroup Mortgage Loan Trust, Inc. 2005-OPT3 A1A (a) 5.413 5/25/2035 263,790 263,813
Citigroup Mortgage Loan Trust, Inc. 2005-WF2 AF2 4.922 8/25/2035 1,356,917 1,339,374
Citigroup Mortgage Loan Trust, Inc. 2005-WF2 AF7 5.249 8/25/2035 1,900,000 1,813,594
Citigroup Mortgage Loan Trust, Inc. 2006-WF1 A2A 5.701 3/25/2036 925,564 921,028
Citigroup/Deutsche Bank Commercial Mortgage 2006-CD2 A2 5.408 1/15/2046 775,000 763,025
Countrywide Alternative Loan Trust 2005-J4 2A1B (a) 5.443 7/25/2035 461,374 461,217
Countrywide Asset-Backed Certificates 2004-3 M3 6.193 5/25/2034 380,000 382,390
Credit Suisse/Morgan Stanley Commerical Mortgage Certificate 144a 5.389 5/15/2023 950,000 950,283
Credit-Based Asset Servicing and Securitization 2005-CB4 AV1 5.423 8/25/2035 501,373 501,488
Credit-Based Asset Servicing and Securitization 2005-CB7 AF1 5.208 11/25/2035 1,686,573 1,674,835
Credit-Based Asset Servicing and Securitization 2005-CB8 AF1B 5.451 12/25/2035 1,650,650 1,639,672
Credit-Based Asset Servicing and Securitization 2006-CB1 AF1 5.457 1/25/2036 1,944,311 1,931,519
Credit-Based Asset Servicing and Securitization 2006-CB2 AF1 5.717 12/25/2036 606,086 603,151
CS First Boston Mortgage Securities Corp. 2002-HE4 6.940 8/25/2032 650,000 650,329
Countrywide Asset-Backed Certificates 2006-SPS1 A (a) 5.191 12/25/2025 2,100,000 2,100,000
First Franklin Mortgage Loan Asset Backed 2005-FFH3 2A1 5.453 9/25/2035 803,914 804,000
First NLC Trust 2005-3 AV2 (a) 5.553 12/25/2035 1,200,000 1,200,576
Ford Credit Auto Owner Trust 2005-B B 4.640 4/15/2010 1,350,000 1,318,189
Green Tree Financial Corp. 1994-7 M1 9.250 3/15/2020 765,777 792,187
GSAA Home Equity Trust 2006-7 AV1 5.403 3/25/2046 1,790,181 1,790,181
GSAMP 2006-S4 A1 5.240 5/25/2036 1,300,000 1,300,000
Home Equity Asset Trust 2005-5 2A1 (a) 5.433 11/25/2035 1,282,154 1,282,323
Home Equity Asset Trust 2005-8 2A1 (a) 5.433 2/25/2036 851,096 851,339
Home Equity Mortgage Trust 2006-3 A1 5.472 9/25/2036 1,000,000 999,685
Honda Auto Receivables Owner Trust 2004-1 A3 2.400 2/21/2008 704,104 697,635
Honda Auto Receivables Owner Trust 2005-5 A1 4.221 11/15/2006 232,656 232,656
Indymac Index Mortgage Loan Trust 2006-AR9 B2 6.059 6/25/2036 149,971 146,537
JP Morgan Acquisition Corp. 2006-CW1 A2 5.363 5/25/2036 997,290 997,271
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Backed--(continued)
JP Morgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 ASB 5.875% 4/15/2045 $ 955,000 $ 956,492
JP Morgan Mortgage Acquisition Corp. 2005-FRE1 A2F1 5.375 10/25/2035 1,376,079 1,367,388
MBNA Credit Card Master Note Trust 2001-C3 C3 6.550 12/15/2008 3,000,000 3,001,625
MMCA Automobile Trust 2002-1 Cl B 5.370 1/15/2010 130,674 130,220
Morgan Stanley ABS Capital I 2005-WMC2 A2A (a) 5.403 2/25/2035 13,930 13,928
Morgan Stanley ABS Capital I 2005-WMC6 A2A (a) 5.433 7/25/2035 529,096 529,211
Morgan Stanley ABS Capital I 2006-HE3 A2A 5.363 4/25/2036 804,562 804,487
Morgan Stanley Home Equity Loans 2005-2 A2A 5.413 5/25/2035 246,196 246,157
Morgan Stanley Home Equity Loans 2006-3 A1 5.373 4/25/2036 1,287,886 1,287,766
Newcastle Mortgage Securities Trust 2006-1 A1 5.393 3/25/2036 2,172,962 2,173,271
Nissan Auto Receivables Owner Trust 2006-B A1 5.081 5/15/2007 774,641 774,641
Opteum Mortgage Acceptance Corp. 2005-1 A2 (a) 5.463 2/25/2035 22,799 22,795
Origen Manufactured Housing 5.250 2/15/2014 1,591,483 1,581,993
Origen Manufactured Housing 2005-A A1 4.060 7/15/2013 958,934 951,028
Ownit Mortgage Loan Asset-Backed Certification 2006-1 AF1 5.424 12/25/2036 1,748,609 1,735,217
Popular ABS Mortgage Pass--Through Trust 2005-D AF1 5.361 1/25/2036 1,759,387 1,746,500
Renaissance Home Equity Loan Trust 2006-2 M1 6.254 8/25/2036 1,750,000 1,750,000
Renaissance Home Equity Loan Trust 2006-2 AF1 5.999 8/25/2036 2,000,000 2,000,000
Residential Asset Securities Corp. 2003-KS7 MI3 5.750 9/25/2033 575,000 558,178
Residential Asset Mortgage Products, Inc. 5.423 10/25/2035 1,432,537 1,432,820
Residential Asset Mortgage Products, Inc. 2004-RS12 AII1 (a) 5.453 6/25/2027 186,871 186,888
Residential Asset Mortgage Products, Inc. 2005-RS2 AII1 (a) 5.433 2/25/2035 113,233 113,246
Residential Asset Mortgage Products, Inc. 2005-RS3 AI1 (a) 5.423 3/25/2035 526,685 526,735
Residential Asset Securities Corp. 2005-AHL2 A1 (a) 5.423 10/25/2035 1,130,614 1,130,830
Residential Asset Securities Corp. 2005-EMX1 AI1 (a) 5.423 3/25/2035 252,538 252,569
Residential Asset Securities Corp. 2005-EMX3 AI1 (a) 5.433 9/25/2035 1,024,396 1,024,582
Residential Asset Securities Corp. 2006-EMX3 A1 (a) 5.383 4/25/2036 2,211,524 2,211,685
Residential Asset Securities Corp. 2006-EMX4 A1 (a) 5.363 6/25/2036 991,817 991,817
Residential Fuding Mortgage Securities II 2006-HSA2 AI2 5.500 3/25/2036 300,000 297,657
Saxon Asset Securities Trust 2005-3 A2A (a) 5.201 11/25/2035 720,148 720,227
Soundview Home Equity Loan Trust 2005-M M3 5.825 5/25/2035 500,000 488,361
Specialty Underwriting & Residential Finance 2004-BC4 A2A 5.473 10/25/2035 49,455 49,451
Specialty Underwriting & Residential Finance 2005-BC1 A1A 5.433 12/25/2035 211,804 211,818
Specialty Underwriting & Residential Finance 2006-BC2 A2A 5.383 2/25/2037 2,447,397 2,447,547
Structured Asset Securities Corp. 2005-S3 M1 5.823 6/25/2035 1,425,000 1,433,085
Vanderbilt Mortgage Finance 1999-A 1A6 6.750 3/7/2029 1,110,000 1,131,590
Wells Fargo Home Equity Trust 2006-1 A1 5.353 5/25/2036 1,285,878 1,285,878
WFS Financial Owner Trust 2003-3 A4 3.250 5/20/2011 2,283,377 2,243,978
WFS Financial Owner Trust 2004-1 D 3.170 8/22/2011 727,387 715,304
WFS Financial Owner Trust 2004-4 C 3.210 5/17/2012 1,067,767 1,038,422
WFS Financial Owner Trust 2005-2 B 4.570 11/19/2012 675,000 660,849
-----------
Total Asset Backed (Cost $92,238,473) 91,636,323
-----------
Collateralized Mortgage Obligations--7.1%
GNMA 2003-48 AC 2.712 2/16/2020 2,034,917 1,941,394
GNMA 2003-72 A 3.206 4/16/2018 1,910,314 1,841,134
GNMA 2003-88 AC 2.914 6/16/2018 1,394,342 1,328,512
GNMA 2003-96 B 3.607 8/16/2018 442,625 430,171
GNMA 2004-12A 3.110 1/16/2019 1,076,428 1,020,932
GNMA 2004-25 AC 3.377 1/16/2023 818,438 779,726
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage Obligations (continued)
GNMA 2004-43 A 2.822% 12/16/2019 $1,246,720 $ 1,181,641
GNMA 2004-51 A 4.145 2/16/2018 1,869,343 1,810,882
GNMA 2004-57 A 3.022 1/16/2019 823,988 784,087
GNMA 2004-67 A 3.648 9/16/2017 649,004 628,172
GNMA 2004-77 A 3.402 3/16/2020 719,863 689,025
GNMA 2004-97 AB 3.084 4/16/2022 1,884,305 1,791,496
GNMA 2005-32 B 4.385 8/16/2030 1,365,000 1,319,907
GNMA 2005-87 A 4.449 3/16/2025 1,302,421 1,261,591
GNMA 2005-9 A 4.026 5/16/2022 1,687,297 1,630,448
GNMA 2005-90 A 3.760 9/16/2028 1,828,318 1,740,424
GNMA 2006-5 A 4.241 7/16/2029 1,680,924 1,617,147
GNMA 2006-6 A 4.045 10/16/2023 247,171 238,542
GNMA-REMIC 2005-29 A 4.016 7/16/2027 1,078,634 1,035,699
GNMA-REMIC 2006-3 A 4.212 1/16/2028 2,226,997 2,142,348
Nomura Asset Acceptance Corp. 2005-AP2 A5 4.976 5/25/2035 950,000 902,618
Nomura Asset Acceptance Corp. 2005-WF1 2A5 5.159 3/25/2035 880,000 843,456
Structured Asset Mortgage Investments, Inc. 1998-2 B 6.050 4/30/2030 42,872 42,683
Washington Mutual 2003-AR10 A6 (a) 4.067 10/25/2033 1,800,000 1,740,001
Washington Mutual 2004-AR9 A7 6.881 8/25/2034 1,250,000 1,194,754
Washington Mutual 2005-AR4 A4B 4.676 4/25/2035 450,000 435,410
-----------
Total Collateralized Mortgage Obligations (Cost $31,368,022) 30,372,200
-----------
Corporate--38.0%
Banking--6.1%
Ameriprise Financial, Inc. 7.518 6/1/2066 1,030,000 1,036,237
Chevy Chase Bank FSB 6.875 12/1/2013 1,370,000 1,370,000
City National Corp. 5.125 2/15/2013 640,000 610,893
Colonial Bank 8.000 3/15/2009 325,000 337,178
Colonial Bank NA 6.375 12/1/2015 1,100,000 1,090,953
JPMorgan Chase & Co 5.125 9/15/2014 1,600,000 1,511,280
Manuf & Traders Trust Co. 5.585 12/28/2020 625,000 601,253
MBNA Corp. 6.125 3/1/2013 1,575,000 1,598,148
MUFG Capital Financial 1 Ltd. 6.346 3/15/2049 675,000 651,098
Provident Capital Trust I 8.600 12/1/2026 590,000 618,784
Rabobank Capital Funding Trust III 144A 5.254 10/15/2049 1,450,000 1,328,329
Regions Financial Corp. (a) 5.240 8/8/2008 1,675,000 1,675,804
Socgen Real Estate LLC 144A 7.640 12/29/2049 2,050,000 2,093,450
Sovereign Bancorp. 144A 4.800 9/1/2010 1,150,000 1,101,472
US Bank NA (a) 5.023 9/29/2006 2,625,000 2,624,948
USB Capital IX 6.189 4/1/2049 1,310,000 1,281,036
Wachovia Bank NA 5.000 8/15/2015 1,130,000 1,052,924
Washington Mutual, Inc. 4.625 4/1/2014 2,190,000 1,978,481
Wells Fargo & Co. 6.375 8/1/2011 850,000 872,901
Western Financial Bank FSB 9.625 5/15/2012 600,000 660,238
Zions Bancorp 5.228 4/15/2008 815,000 815,211
Zions Bancorporation 6.000 9/15/2015 1,145,000 1,134,614
-----------
26,045,232
-----------
Basic Materials--2.0%
Cabot Corp. 144A 5.250 9/1/2013 900,000 850,781
Equistar Chemicals LP/ Equistar Funding Corp. 10.125 9/1/2008 485,000 510,463
Georgia-Pacific Corp. 8.000 1/15/2024 980,000 926,100
The accompanying notes are an integral part of the financial statements.
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Schedule of Investments -- June 30, 2006 (Unaudited)
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Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Basic Materials (continued)
ICI Wilmington, Inc. 4.375% 12/1/2008 $ 335,000 $ 323,297
Lubrizol Corp. 4.625 10/1/2009 930,000 895,438
Lubrizol Corp. (b) 6.500 10/1/2034 1,400,000 1,338,956
RPM International, Inc. 6.250 12/15/2013 1,145,000 1,125,672
RPM International, Inc. 4.450 10/15/2009 645,000 614,451
Temple-Inland 6.625 1/15/2018 875,000 870,574
Westvaco Corp. 7.950 2/15/2031 525,000 558,669
Weyerhaeuser Co. 7.125 7/15/2023 530,000 521,027
-----------
8,535,428
-----------
Communications--1.9%
AT&T, Inc. 5.263 5/15/2008 700,000 699,923
Comcast Corp. 5.500 3/15/2011 325,000 319,188
New Cingular Wireless Services, Inc. 8.750 3/1/2031 430,000 527,190
News America Holdings, Inc. 7.700 10/30/2025 1,000,000 1,067,504
SBC Communications, Inc. 5.625 6/15/2016 710,000 672,998
Sprint Capital Corp. 8.750 3/15/2032 1,720,000 2,074,151
TCI Communications, Inc. 7.875 2/15/2026 825,000 888,370
Time Warner, Inc. 6.750 4/15/2011 1,100,000 1,127,728
Verizon Global Funding Corp. 5.850 9/15/2035 735,000 639,410
Viacom, Inc. 144A 5.750 4/30/2011 300,000 294,665
-----------
8,311,127
-----------
Consumer Cyclical--1.7%
Caesars Entertainment, Inc. 8.500 11/15/2006 520,000 524,631
Caesars Entertainment, Inc. 8.875 9/15/2008 900,000 945,000
Crown Americas, Inc. 144A 7.625 11/15/2013 720,000 707,400
Crown Americas, Inc. 144A 7.750 11/15/2015 410,000 403,850
DaimlerChrysler NA Holding Corp. 8.500 1/18/2031 325,000 367,990
DaimlerChrysler NA Holding Corp. 4.875 6/15/2010 380,000 363,242
Darden Restaurants 6.000 8/15/2035 650,000 562,453
Heinz (H.J.) Co. 144A 6.428 12/1/2008 525,000 533,395
Hewlett-Packard Co. 5.339 5/22/2009 850,000 850,027
Mohegan Tribal Gaming Authority 8.000 4/1/2012 840,000 853,650
Station Casinos, Inc. 6.000 4/1/2012 850,000 795,813
Yum! Brands, Inc. 6.250 4/15/2016 310,000 306,841
-----------
7,214,292
-----------
Consumer Noncyclical--1.6%
Altria Group, Inc. 7.000 11/4/2013 900,000 949,500
Aramark Services, Inc. 7.000 7/15/2006 2,290,000 2,290,559
RR Donnelley & Sons Co. 4.950 4/1/2014 1,710,000 1,539,566
Safeway, Inc. (b) 7.250 2/1/2031 830,000 842,374
Stater Brothers Holdings 8.125 6/15/2012 865,000 854,188
Wyeth 5.500 2/1/2014 555,000 536,265
-----------
7,012,452
-----------
Energy--1.9%
Amerada Hess Corp. 6.650 8/15/2011 1,085,000 1,115,128
BP Capital Markets PLC 2.750 12/29/2006 4,600,000 4,543,070
DTE Energy Co. (b) 6.350 6/1/2016 555,000 552,182
Southern Natural Gas Co. 6.700 10/1/2007 1,910,000 1,913,092
-----------
8,123,472
-----------
The accompanying notes are an integral part of the financial statements.
13
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Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Financial--11.9%
Aegon NV 5.750% 12/15/2020 $1,205,000 $ 1,158,823
American International Group, Inc. 144A 5.050 10/1/2015 595,000 555,078
Archstone-Smith Operating Trust REIT 5.250 5/1/2015 200,000 188,015
Archstone-Smith Operating Trust 5.000 8/15/2007 850,000 839,673
Arden Realty LP REIT 5.200 9/1/2011 780,000 764,330
Bear Stearns Cos., Inc. (b) 4.500 10/28/2010 905,000 863,290
Boeing Capital Corp. 7.375 9/27/2010 1,055,000 1,120,920
Boston Properties LP 5.625 4/15/2015 675,000 650,325
Brandywine Operation Partners 5.949 4/1/2009 800,000 800,388
Chubb Corp. 5.472 8/16/2008 2,500,000 2,485,143
CIT Group, Inc. 4.750 8/15/2008 985,000 966,221
Commercial Net Lease Realtor REIT 6.150 12/15/2015 475,000 459,094
Countrywide Home Loans, Inc. 4.000 3/22/2011 604,000 555,695
Credit Suisse FB USA, Inc. (b) 5.125 8/15/2015 1,000,000 934,636
Credit Suisse USA, Inc. 5.316 6/5/2009 1,165,000 1,164,341
Duke Really LP 5.875 8/15/2012 1,150,000 1,146,682
Duke Realty LP 3.500 11/1/2007 1,100,000 1,067,340
Duke Realty LP 7.750 11/15/2009 915,000 964,438
Duke Realty LP 6.950 3/15/2011 25,000 25,972
EOP Operating LP 7.000 7/15/2011 1,100,000 1,142,750
Erac USA Finance Co. 144A 5.399 4/30/2009 260,000 260,125
Erac USA Finance Co. 144A 7.950 12/15/2009 1,000,000 1,060,073
ERP Operating LP (b) 6.625 3/15/2012 200,000 206,999
ERP Operating LP 5.125 3/15/2016 735,000 679,146
ERP Operating LP REIT 5.375 8/1/2016 365,000 342,563
Federal Realty Investment Trust REIT 5.650 6/1/2016 750,000 719,393
Glencore Funding LLC 144A 6.000 4/15/2014 1,320,000 1,205,536
Glitnir Banki HF 144A (i) 6.693 6/15/2016 1,075,000 1,068,848
Goldman Sachs Group, Inc. 4.500 6/15/2010 1,145,000 1,094,699
Healthcare Realty Trust, Inc. 8.125 5/1/2011 540,000 580,013
HRPT Properties Trust REIT 5.941 3/16/2011 1,100,000 1,100,834
HSBC Financial Capital Trust IX (a) (b) 5.911 11/30/2035 3,435,000 3,278,072
HSBC Financial Corp. 5.500 1/19/2016 1,125,000 1,071,414
Jefferies Group, Inc. 7.750 3/15/2012 1,920,000 2,062,424
John Deere Capital Corp. 4.400 7/15/2009 665,000 641,888
Lehman Brothers Holdings 5.500 4/4/2016 425,000 406,108
Lehman Brothers Holdings E-Capital Trust I (a) 5.954 8/19/2065 250,000 249,957
Leucadia National Corp. 7.000 8/15/2013 1,160,000 1,125,200
Lincoln National Corp. 7.000 5/17/2066 1,080,000 1,071,624
Mack-Cali Realty LP REIT 5.050 4/15/2010 350,000 337,351
Mack-Cali Realty LP REIT 5.250 1/15/2012 800,000 767,835
Mack-Cali Realty LP REIT 5.125 1/15/2015 550,000 508,546
Mack-Cali Realty LP REIT 5.800 1/15/2016 645,000 616,368
MassMutual Global Funding II 144A 3.800 4/15/2009 650,000 619,656
Mizuho JGB Investment 144A (a) 9.870 8/30/2049 975,000 1,043,972
Morgan Stanley 5.276 2/9/2009 1,050,000 1,051,169
Morgan Stanley 4.750 4/1/2014 1,350,000 1,237,707
Nuveen Investments, Inc. 5.000 9/15/2010 600,000 576,881
Phoenix Cos, Inc. 6.675 2/16/2008 445,000 446,068
Regency Centers LP 5.250 8/1/2015 300,000 280,388
Residential Capital Corp. 6.125 11/21/2008 850,000 840,149
The accompanying notes are an integral part of the financial statements.
14
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Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Financial (continued)
Residential Capital Corp. 6.375% 6/30/2010 $ 660,000 $ 651,018
Residential Capital Corp. 144A 6.898 4/17/2009 1,250,000 1,249,931
Resona Bank Ltd. 144a 5.850 1/10/2049 1,015,000 944,330
Simon Property Group LP REIT 5.750 5/1/2012 800,000 788,123
SLM Corp. 5.240 7/27/2009 2,130,000 2,131,636
Washington Mutual, Inc. 5.368 1/15/2010 920,000 923,799
-----------
51,092,997
-----------
Health Care--0.6%
HCA, Inc. 6.950 5/1/2012 1,120,000 1,093,264
Unitedhealth Group, Inc. 5.375 3/15/2016 1,145,000 1,083,192
Wellpoint, Inc. 5.000 1/15/2011 575,000 553,816
-----------
2,730,272
-----------
Industrial--3.9%
American Standard, Inc. 7.375 2/1/2008 500,000 509,291
American Standard, Inc. 7.625 2/15/2010 1,000,000 1,044,124
Chesapeake Energy 7.625 7/15/2013 365,000 367,281
Enterprise Products Operations 5.600 10/15/2014 1,860,000 1,760,775
ICI North America 8.875 11/15/2006 75,000 75,725
ICI Wilmington, Inc. (b) 7.050 9/15/2007 325,000 328,283
ICI Wilmington, Inc. 5.625 12/1/2013 1,365,000 1,308,845
Johnson Controls, Inc. 5.250 1/15/2011 225,000 219,261
L-3 Communications Corp. 7.625 6/15/2012 1,450,000 1,471,750
L-3 Communications Corp. 6.375 10/15/2015 240,000 229,200
Mohawk Industries, Inc. 5.750 1/15/2011 895,000 878,955
Northrop Grumman Corp. 7.125 2/15/2011 545,000 573,492
Raytheon Co. 5.500 11/15/2012 380,000 372,265
Raytheon Co. 6.750 8/15/2007 248,000 250,409
Sealed Air Corp. 144A 5.625 7/15/2013 570,000 543,113
Southern Peru Copper Corp. 7.500 7/27/2035 590,000 563,291
Telefonica Emisiones 5.984 6/20/2011 850,000 846,881
Teva Pharm Finance LLC 6.150 2/1/2036 755,000 677,929
Tyson Foods, Inc. 6.600 4/1/2016 600,000 586,478
Verizon Communications 5.300 8/15/2007 745,000 745,115
Waste Management, Inc. 6.875 5/15/2009 1,220,000 1,254,374
Waste Management, Inc. 7.375 8/1/2010 275,000 290,078
Waste Management, Inc. 7.000 7/15/2028 900,000 932,948
Waste Management, Inc. 7.375 5/15/2029 35,000 38,043
Windstream Corp. 144A (i) 8.125 8/1/2013 805,000 821,100
Windstream Corp. 144A (i) 8.625 8/1/2016 260,000 265,850
-----------
16,954,856
-----------
Services--1.8%
ACE Capital Trust II 9.700 4/1/2030 405,000 498,860
AON Corp. 8.205 1/1/2027 650,000 701,210
Coventry Health Care,Inc. 5.875 1/15/2012 1,145,000 1,099,200
CVS Corp. 4.000 9/15/2009 360,000 340,669
First Energy Corp. 5.500 11/15/2006 1,000,000 998,813
Hartford Financial Services Group 5.550 8/16/2008 970,000 966,860
Medco Health Solutions, Inc. 7.250 8/15/2013 310,000 328,228
Metlife, Inc. 5.000 6/15/2015 2,150,000 1,988,877
The accompanying notes are an integral part of the financial statements.
15
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Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Services (continued)
MGM Mirage, Inc. 6.000% 10/1/2009 $ 410,000 $ 398,725
Nextel Communications, Inc. 5.950 3/15/2014 565,000 542,764
-----------
7,864,206
-----------
Transportation--1.0%
CSX Corp. 6.250 10/15/2008 865,000 874,330
Fedex Corp. 2.650 4/1/2007 1,090,000 1,064,329
Norfolk Southern Corp. 6.750 2/15/2011 325,000 337,269
Ryder System, Inc. 5.000 6/15/2012 720,000 674,756
Union Pacific Corp. 3.875 2/15/2009 1,400,000 1,338,399
-----------
4,289,083
-----------
Technology & Electronics--0.2%
Freescale Semiconductor, Inc. (b) 6.875 7/15/2011 335,000 336,675
Quest Diagnostics, Inc. 5.125 11/1/2010 450,000 437,499
-----------
774,174
-----------
Utilities--3.4%
Appalachian Power Co. 5.950 5/15/2033 450,000 411,336
Appalachian Power Co. 6.375 4/1/2036 825,000 789,593
Assurant, Inc. 6.750 2/15/2034 600,000 591,085
Consumers Energy Co. 5.375 4/15/2013 995,000 954,874
Dominion Resources, Inc. (a) 5.790 9/28/2007 1,140,000 1,140,685
Dominion Resources, Inc. 7.195 9/15/2014 1,090,000 1,145,216
FirstEnergy Corp. 6.450 11/15/2011 650,000 661,389
FPL Energy National Wind 144A 5.608 3/10/2024 218,587 209,276
Mirant North America LLC 144A 7.375 12/31/2013 510,000 492,150
Nevada Power Co. 5.875 1/15/2015 275,000 260,797
Nevada Power Co. 144A 5.950 3/15/2016 365,000 345,945
Niagara Mohawk Power Corp. 7.750 10/1/2008 1,000,000 1,040,615
Nisource Finance Corp. 5.764 11/23/2009 620,000 620,680
Nisource Finance Corp. 5.250 9/15/2017 800,000 727,793
Oneok, Inc. 5.200 6/15/2015 475,000 433,931
Pacific Gas & Electric Co. 3.600 3/1/2009 550,000 522,150
Pemex Project Funding Master Trust 144A 5.750 12/15/2015 845,000 778,245
Pepco Holdings, Inc. 5.500 8/15/2007 850,000 846,947
Public Service Co. of Colorado 4.375 10/1/2008 930,000 903,962
Republic Services, Inc. 6.086 3/15/2035 1,450,000 1,342,195
Windsor Financing LLC 144A (i) 5.881 7/15/2017 280,000 270,799
-----------
14,489,663
-----------
Total Corporate (Cost $169,462,798) 163,437,254
-----------
Municipal Bonds--2.2%
Erie County NY Tob Asset Securitization Corp. 6.000 6/1/2028 980,000 955,392
Michigan Tobacco Settlement Finance Authority 7.430 6/1/2034 810,000 807,959
Sacramento County California Pension Funding (MBIA Insured)(b)(c) 0.000 7/10/2030 1,675,000 1,673,962
Tobacco Settlement Authority Iowa 6.500 6/1/2023 3,210,000 3,153,440
Tobacco Settlement Authority Michigan 7.309 6/1/2034 3,200,000 3,196,960
-----------
Total Municipal Bonds (Cost $8,898,583) 9,787,713
-----------
The accompanying notes are an integral part of the financial statements.
16
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Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Sovereign Bonds--1.4%
Argentina Bonos (a) 1.234% 8/3/2012 $1,485,000 $ 1,227,353
Banco Nacional de Desenvolvimento Economico e Social (a) 5.727 6/16/2008 1,325,000 1,303,469
Republic of El Salvador 144A 8.500 7/25/2011 870,000 943,950
Republic of South Africa 9.125 5/19/2009 1,485,000 1,592,663
United Mexican States 6.625 3/3/2015 1,055,000 1,065,550
-----------
Total Sovereign Bonds (Cost $6,186,423) 6,132,985
-----------
Yankee Bonds--5.2%
Amvescap PLC 5.375 2/27/2013 1,090,000 1,042,711
Bank of Scotland 144A 7.000 4/1/2049 630,000 637,887
British Sky Broadcasting PLC 7.300 10/15/2006 4,880,000 4,898,544
British Sky Broadcasting PLC 6.875 2/23/2009 115,000 117,738
British Sky Broadcasting PLC 8.200 7/15/2009 1,055,000 1,120,377
Chuo Mitsui Trust & Banking Co. Ltd. 144A (a) 5.506 2/15/2049 1,235,000 1,126,242
Deutsche Telekom International Finance BV 8.250 6/15/2030 1,320,000 1,524,006
Export-Import Bank of Korea 4.500 8/12/2009 895,000 859,362
Falconbridge Ltd. 5.375 6/1/2015 100,000 91,159
Falconbridge Ltd. 6.000 10/15/2015 480,000 457,039
ING Groep NV (a) 5.775 11/30/2049 860,000 816,064
Kaupthing Bank 144A 7.125 5/19/2016 1,000,000 1,000,300
Nippon Life Insurance 144A 4.875 8/9/2010 1,000,000 961,059
Northern Rock PLC 144A 5.600 4/30/2014 640,000 601,839
Royal KPN NV 8.375 10/1/2030 1,815,000 1,948,464
Sappi Papier Holding AG 144A 6.750 6/15/2012 471,000 440,624
Shinsei Finance Cayman Ltd 144A 6.418 7/20/2048 680,000 638,644
Simon Property Group LP 4.875 8/15/2010 795,000 768,612
St George Funding Co. 144A 8.485 6/30/2017 795,000 843,163
St. George Bank Ltd. 144A 5.300 10/15/2015 890,000 842,454
Sumitomo Mitsui Banking 144A (a) (b) 5.625 7/15/2049 675,000 629,516
Telecom Italia Capital SA 4.875 10/1/2010 1,000,000 956,215
-----------
Total Yankee Bonds (Cost $23,302,523) 22,322,019
-----------
Pass Thru Securities--33.2%
Non-Agency Pass Thru Securities--5.8%
Bayview Commercial Asset Trust 2003-1 A 144a 5.903 8/25/2033 529,670 532,214
Bayview Commercial Asset Trust 2003-2 A 144a 5.903 12/25/2033 684,279 686,418
Bayview Commercial Asset Trust 2004-1 A 144a 5.683 4/25/2034 663,613 664,857
Bayview Commercial Asset Trust 2005-3A B3 144A (a) 8.323 11/25/2035 282,292 286,746
Bayview Commercial Asset Trust 2005-4A B3 144A (a) 8.823 1/25/2036 242,932 242,932
Bayview Commercial Asset Trust 2006-1A B2 144a 7.023 4/25/2036 268,455 268,790
Bayview Commercial Asset Trust 2006-SP1 A1 144A 5.593 4/25/2036 273,776 273,862
Bayview Commerical Asset Trust 2006-2A B2 144a 6.793 7/25/2036 495,504 495,426
Bear Stearns Commercial Mortgage Securities 2003-T12 A3 4.240 8/13/2039 1,890,000 1,783,263
Bear Stearns Commercial Mortgage Securities 2006-PW12 AAB 5.686 9/11/2038 950,000 943,766
Calwest Industrial Trust 2002-CALW A 144A 6.127 2/15/2017 2,120,000 2,157,650
Capco America Securitization Corp. 1998-D7 A1B 6.260 10/15/2030 1,155,000 1,168,517
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Agency Pass Thru Securities (continued)
Crown Castle Towers LLC, 2005-1A D 144A 5.612% 6/15/2035 $ 540,000 $ 525,806
DLJ Commercial Mortgage Corp. 1998-CF2 B1 7.274 11/12/2031 2,350,000 2,419,960
First Chicago/Lennar Trust 1997-CHL1 D 144A 7.619 4/29/2039 1,221,818 1,221,818
Global Signal Trust 2006-1 D 144a 6.052 2/15/2036 780,000 772,805
Global Signal Trust 2006-1 E 144a 6.495 2/15/2036 395,000 391,391
Impac Secured Assets Corp. 2006-1 2A1 5.673 5/25/2036 670,893 671,926
JP Morgan Chase Commerical Mortgage Security Co. 2005-LDP5 A2 5.198 12/15/2044 1,585,000 1,549,310
Mach One Trust 2004-1A A1 144A 3.890 5/28/2040 1,052,627 1,027,983
Merrill Lynch Mortgage Trust, Inc. 2005-CIP1 A2 4.960 7/12/2038 1,065,000 1,033,983
Merrill Lynch Mortgage Trust, Inc. 2005-CKI1 A2 5.396 11/12/2037 375,000 368,338
Morgan Stanley Capital I 2006-T21 A2 5.090 10/12/2052 1,325,000 1,291,355
Washington Mutual Asset Securities Corp. 2003-C1A A 144a 3.830 1/25/2035 4,250,258 4,043,168
-----------
24,822,284
-----------
Agency Pass Thru Securities--27.4%
FHLMC Gold 4.000 10/1/2009 520,920 499,178
FHLMC Gold 3.500 9/1/2010 419,126 391,293
FHLMC Gold 7.000 11/1/2031 159,098 163,073
FHLMC Gold 7.000 11/1/2031 147,831 151,524
FHLMC Gold 5.500 1/1/2034 857,050 825,362
FHLMC Gold 5.500 3/1/2034 306,887 295,540
FNMA 4.000 5/1/2010 1,901,627 1,805,520
FNMA 3.640 6/1/2010 2,665,000 2,459,493
FNMA 3.530 7/1/2010 1,166,034 1,079,439
FNMA 5.139 12/25/2011 863,792 855,214
FNMA 8.500 6/1/2012 19,468 19,831
FNMA 5.000 1/1/2019 395,527 381,522
FNMA 5.500 11/1/2024 1,540,185 1,497,128
FNMA 5.500 1/1/2025 4,107,253 3,992,431
FNMA 7.500 11/1/2029 852 884
FNMA 5.500 1/1/2034 802,366 774,042
FNMA 5.500 1/1/2034 1,821,410 1,757,115
FNMA (TBA) (d) 6.000 7/1/2020 11,300,000 11,338,849
FNMA (TBA) (d) 6.000 8/1/2020 5,650,000 5,664,125
FNMA (TBA) (d) 5.000 7/1/2035 10,435,000 9,753,469
FNMA (TBA) (d) 4.500 7/1/2021 21,325,000 20,152,125
FNMA (TBA) (d) 5.000 7/1/2020 17,800,000 17,138,054
FNMA (TBA) (d) 5.500 7/1/2020 3,725,000 3,655,156
FNMA (TBA) (d) 5.500 7/1/2035 32,375,000 31,090,101
FNMA (TBA) (d) 6.000 7/1/2035 2,250,000 2,214,140
GNMA 9.000 2/15/2021 18,861 20,335
-----------
117,974,943
-----------
Total Pass Thru Securities (Cost $144,841,706) 142,797,227
-----------
US Treasury Obligations--17.1%
U.S. Treasury Note 4.875 4/30/2008 2,300,000 2,287,511
U.S. Treasury Note 5.125 6/30/2011 1,805,000 1,807,115
U.S Treasury Note (b) 3.000 12/31/2006 5,405,000 5,344,405
U.S. Treasury Bond 5.250 11/15/2028 895,000 890,804
U.S. Treasury Note (b) 3.625 4/30/2007 7,520,000 7,417,773
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
US Treasury Obligations (continued)
U.S. Treasury Note (b) 4.375% 12/31/2007 $ 6,785,000 $ 6,704,164
U.S. Treasury Note (b) 4.500 2/28/2011 1,470,000 1,433,365
U.S. Treasury Note (b) 3.000 7/15/2012 12,452,913 12,823,586
U.S. Treasury Note (b) 4.750 5/15/2014 3,694,000 3,603,527
U.S. Treasury Note 5.125 5/15/2016 20,110,000 20,086,431
U.S. Treasury Notes (b) 3.500 2/15/2010 45,000 42,620
U.S.Treasury Bond 4.500 2/15/2036 12,410,000 11,127,315
-----------
Total U.S. Treasury Obligations (Cost $73,903,367) 73,568,616
-----------
Foreign Denominated--0.6%
Brazil--0.2%
Republic of Brazil (b) 12.500 1/5/2016 BRL 2,330,000 1,054,981
-----------
Euro--0.1%
Nordic Tel Co. Holdings 8.250 5/1/2016 EUR 355,000 464,188
-----------
Mexico--0.3%
Mexican Fixed Rate Bonds 9.000 12/22/2011 MXN 12,200,000 1,097,775
-----------
Total Foreign Denomited (Cost $2,518,177) 2,616,944
-----------
TOTAL BONDS AND NOTES (COST $552,720,072) 542,671,281
-----------
Contract
Size
------------
PURCHASED OPTIONS--0.1%
EUR Call/USD Put, Strike Price 3.5625, 1/26/2007 4,065,000 117,694
3M Libor, Strike Price 5.75, 6/27/2007 854,000 68,686
CDX EM 4 Option Call, Strike Price 0.90, 9/05/2006 8,575,000 60,025
U.S. Treasury Note 4.50% Call, Strike Price 101.07, 9/19/06 184,500 1,414
-----------
TOTAL PURCHASED OPTIONS (Cost $244,575) 247,819
-----------
SHORT TERM INVESTMENTS--0.3% Par Value
------------
U.S. Government Agency--0.2%
FNMA Discount Note (e) 5.130 7/17/2006 1,065,000 1,062,572
-----------
U.S. Treasury Bill--0.1%
U.S. Treasury Bill (b) (e) (f) 4.730 9/7/2006 325,000 322,097
-----------
TOTAL SHORT TERM INVESTMENTS (COST $1,384,669) 1,384,669
-----------
Shares
------------
INVESTMENT OF CASH COLLATERAL--11.4%
BlackRock Cash Strategies L.L.C (g) (Cost $49,108,415) 5.140 49,108,415 49,108,415
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $603,457,731) 593,412,184
-----------
AFFILIATED INVESTMENTS--4.0%
Dreyfus Institutional Preferred Plus Money Market Fund (g) (h)
(Cost $17,109,884) 5.320 17,109,884 17,109,884
-----------
Total Investments--141.9% (Cost $620,567,615) 610,522,068
------------
Liabilities in Excess of Other Assets--(41.9%) (180,188,570)
------------
NET ASSETS--100% $430,333,498
============
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
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, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $45,496,562 or 10.6% of net
assets.
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
BRL-Brazillian Real
EUR-Euro
MXN-Mexican Peso
(a) Variable Rate Security; rate indicated as of June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Zero coupon security.
(d) Delayed delivery security.
(e) Rate noted is yield to maturity
(f) Denotes all of part of security pledged as collateral.
(g) Stated rate is the seven-day yield for the fund at June 30, 2006.
(h) Affiliated institutional money market fund.
(i) Illiquid security, at the period end, the value of these securities
amounted to $2,426,597 or 0.6% of net assets.
At June 30, 2006 the Portfolio held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain (Loss)
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. 10 Year Treasury Note (386 Contracts) Short 9/20/2006 $40,608,406 $ 131,781
U.S. 2 Year Treasury Note (20 Contracts) Short 9/29/2006 4,070,000 14,328
U.S. 5 Year Treasury Note (463 Contracts) Long 9/29/2006 50,219,610 (268,453)
U.S. Long Bond CBT (107 Contracts) Short 9/20/2006 11,412,898 (6,665)
---------
$(129,009)
=========
At June 30, 2006, the Portfolio held the following forward foreign currency
exchange contracts:
Principal Contract Value at USD Amount Unrealized
Contracts to Deliver Amount Value Date June 30, 2006 to Receive Loss
- -----------------------------------------------------------------------------------------------------------------------------------
British Pound Sterling 185,000 9/20/2006 $ 342,568 $ 341,760 $ (808)
Euro 370,000 9/20/2006 475,796 468,968 (6,828)
Japanese Yen 6,229,508 6/19/2006 54,449 54,168 (281)
--------- --------- --------
Total $ 872,813 $ 864,896 $ (7,917)
========= ========= ========
At June 30, 2006 the Portfolio held the following written option contracts:
Written Put Options Strike Price Expiration Date Contracts Premiums Value
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Note 4.50% Put 96.164 9/19/2006 1 $18,383 $30,403
========= ======= =======
Notional Expiration
Description CounterParty Amount Exercise Price Date Contracts Premiums Value
- -----------------------------------------------------------------------------------------------------------------------------------
Call--Republic of Peru, 8.75%,
11/21/2033--Credit default swaption Deutsche Bank 1,080,000 Default Event 7/5/2006 1 $10,152 $ --
Call--CDX.EM.4
Call--Credit default swaption Lehman Brothers 17,150,000 0.450% 9/6/2006 1 77,175 61,740
--------- --------- --------
2 $87,327 $61,740
========= ========= ========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2006, the Portfolio held the following open swap agreements:
Unrealized
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
Citigroup CenturyTel, Inc. 7.875% due 8/15/2012 Buy (1.160%) 9/20/2015 $ 853,000 $ (1,784)
Citigroup CenturyTel, Inc. 7.875% due 8/15/2012 Buy (1.190%) 9/20/2015 1,920,000 (7,981)
Citigroup Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.705%) 6/20/2010 3,277,000 (68,887)
Citigroup Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.685%) 6/20/2010 470,000 (9,542)
Deutsche Bank Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 9,814,000 14,692
Deutsche Bank Koninkijke KPN N.V., 8.00% due 10/01/2010 Buy (0.850%) 12/20/2010 2,310,000 (20,378)
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 1,870,000 4,628
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 8,812,000 51,862
JPMorgan Koninklijke KPN N.V., 8.00% due 10/01/2010 Buy (0.86%) 12/20/2010 3,460,000 (31,876)
JPMorgan Master Asset Backed Securities Trust
2005-WMCI, 6.6925% due 3/25/2035 Buy (1.18%) 4/25/2009 1,450,000 1,096
Morgan Stanley CenturyTel, Inc., 7.875% due 8/15/2012 Buy (1.150%) 9/20/2015 247,000 (347)
Morgan Stanley Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.685%) 6/20/2010 470,000 (9,542)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.72%) 6/20/2016 1,380,000 (15,277)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.46%) 6/20/2011 1,580,000 (10,804)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.45%) 6/20/2011 830,000 (5,315)
Morgan Stanley Citigroup Mortgage Loan Trust,
7.2225%, due 12/25/2035 Buy (1.20%) 12/25/2035 1,450,000 --
Morgan Stanley JP Morgan Mortgage Acquisition Corp.,
7.1225%, due 10/25/2035 Buy (1.17%) 10/25/2035 1,450,000 1,570
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.45%) 6/20/2011 2,435,000 (15,591)
---------
$(123,476)
=========
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under terms of that particular swap agreement, the portfolio will
pay the buyer of the protection an amount up to the notional value of the
swap and in certain instances, take delivery of the security.
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
USB AG JPY--LIBOR--BBA Pay 0.8775% 5/11/2008 2,375,000,000 JPY $ 5,627
Merrill Lynch USD--LIBOR--BBA Pay 4.6425% 5/13/2008 9,140,000 USD 650,781
Merrill Lynch USD--LIBOR--BBA Receive 4.1725% 5/13/2008 9,140,000 USD (226,525)
--------
$429,883
========
Unrealized
Total Return Swaps Expiration Notional Appreciation/
Counterparty Pay Receive Date Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 $9,107,000 $(131,396)
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 12,243,000 (132,677)
---------
$(264,073)
=========
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, 2006 (Unaudited)
- -------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $46,506,493) (Note 6)
Unaffiliated issuers, at value (Note 1A) (cost $603,457,731) $593,412,184
Affiliated issuers, at value (Note 1A) (cost $17,109,884) (Note 1H) 17,109,884
Receivable for investments sold 8,710,969
Swap premium paid 339,920
Interest and dividends receivable 4,290,127
Unrealized appreciation on swap contracts (Note 5) 730,256
Prepaid expenses 885
------------
Total assets 624,594,225
Liabilities
Payable for investments purchased $143,836,722
Collateral for securities on loan (Note 6) 49,108,415
Foreign currency, at value (identified cost, $32,019) 32,035
Payable for variation margin on open futures contracts (Note 5) 148,422
Payable to brokers (Note 5) 271,783
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 7,917
Unrealized depreciaton on swap contracts (Note 5) 687,922
Options written, at value (premiums received $105,710) (Note 5) 92,143
Accrued professional fees 18,198 Accrued accounting, administration and custody fees (Note 2) 13,209
Accrued trustees' fees and expenses (Note 2) 16,641
Other accrued expenses and liabilities 27,320
------------
Total liabilities 194,260,727
------------
Net Assets (applicable to investors' beneficial interest) $430,333,498
============
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $11,299,074
Dividend income 66,413
Dividend income from affiliated investments (Note 1H) 247,665
Security lending income, net (Note 6) 35,868
-----------
Total investment Income 11,649,020
Expenses
Investment advisory fee (Note 2) $ 838,735
Accounting, administration and custody fees (Note 2) 83,255
Professional fees 23,689
Trustees' fees and expenses (Note 2) 24,085
Insurance expense 11,996
Miscellaneous expenses 2,974
-----------
Total expenses 984,734
-----------
Net investment income 10,664,286
-----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (4,546,567)
Financial futures transactions 336,239
Written options transactions (73,672)
Foreign currency transactions and forward foreign currency exchange transactions (16,981)
Swap transactions (63,952)
-----------
Net realized gain (loss) (4,364,933)
Change in unrealized appreciation (depreciation) on:
Investments (9,489,363)
Financial futures contracts (95,780)
Written options contracts (36,944)
Foreign currency translations and forward foreign currency exchange contracts (6,515)
Swap contracts (87,987)
-----------
Change in net unrealized appreciation (depreciation) (9,716,589)
-----------
Net realized and unrealized gain (loss) (14,081,522)
-----------
Net Increase in Net Assets from Operations $(3,417,236)
===========
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 For the Year
Ended June 30, 2006 Ended
(Unaudited) December 31, 2005
------------------- ------------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 10,664,286 $ 19,032,176
Net realized gain (loss) (4,364,933) 3,077,515
Change in net unrealized appreciation (depreciation) (9,716,589) (8,030,510)
------------ ------------
Net increase (decrease) in net assets from investment operations (3,417,236) 14,079,181
------------ ------------
Capital Transactions
Contributions 45,461,631 67,138,420
Withdrawals (69,510,754) (88,960,526)
------------ ------------
Net increase (decrease) in net assets from capital transactions (24,049,123) (21,822,106)
------------ ------------
Total Increase (Decrease) in Net Assets (27,466,359) (7,742,925)
Net Assets
At beginning of period 457,799,857 465,542,782
------------ ------------
At end of period $430,333,498 $457,799,857
============ ============
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, 2006 -----------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ------ ------ ------ ------ ------
Total Return (a) (0.75%) 3.00% 5.77% 5.25% 8.89% 7.18%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.44%(c) 0.45% 0.45% 0.41% 0.38% 0.36%
Net Investment Income (to average daily net assets)* 4.81%(c) 4.12% 3.80% 3.78% 4.86% 6.37%
Portfolio Turnover: (b)
Inclusive 205%(d) 380% 301% 398% 384% 329%
Exclusive 80%(d) 106% 98% -- -- --
Net Assets, End of Period (000's omitted) $430,333 $457,800 $465,543 $611,008 $944,098 $1,495,389
- ----------
* 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 N/A 0.42% 0.39% N/A
Net investment income N/A N/A N/A 3.77% 4.85% N/A
(a) 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.
(b) Beginning in 2004, the portfolio turnover rate is presented inclusive and
exclusive of the effect of rolling forward purchase commitments.
(c) Calculated on an annualized basis. (d) Not annualized.
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.
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.
At June 30, 2006 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, 2006 was
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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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.
Dividends representing a return of capital are reflected as a reduction of
cost.
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 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.
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.
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.
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 among
funds of the Trust or portfolios of the Portfolio Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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 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 has entered into an agreement with Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of Mellon Financial Corporation and an
affiliate of Standish Mellon, to provide custody, administration and fund
accounting services for the Portfolio. For these services the Portfolio
pays Mellon Bank a fixed fee plus asset and transaction based fees, as well
as out-of-pocket expenses. Pursuant to this agreement the Portfolio was
charged $83,255 during the six months ended June 30, 2006.
The Portfolio also entered into an agreement with Mellon Bank to perform
certain securities lending activities and to act as the Portfolio's lending
agent. Mellon Bank receives an agreed upon percentage of the net lending
revenues. Pursuant to this agreement, Mellon Bank collected $14,950 for the
six months ended June 30, 2006. See Note 6 for further details.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the Trust or the Portfolio Trust. The Fund and Portfolio Trust pays each
Trustee who is not a director, officer or employee of Standish Mellon or
its affiliates (the "Independent Trustees") an annual fee and the Portfolio
Trust pays each Independent Trustee 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 counsel to the Independent
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 six months ended June 30, 2006 were as follows:
Purchases Sales
------------ ------------
U.S. Government Securities $379,346,889 $383,685,576
============ ============
Investments (non-U.S. Government Securities) $136,256,949 $ 40,837,475
============ ============
(4) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $620,567,615
------------
Gross unrealized appreciation 867,158
Gross unrealized depreciation (10,912,705)
------------
Net unrealized appreciation (depreciation) ($10,045,547)
============
(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 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 year 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.
28
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
For the six months ended June 30, 2006, the Portfolio entered into the following
transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 1 $ 55,875
Options written 6 99,936
Options expired (4) (97,726)
Options closed (2) (39,702)
--------- --------
Outstanding, end of period 1 $18,383
========= ========
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 1 $ 52,260
Options written 5 129,854
Options expired (3) (42,527)
Options closed (1) (52,260)
--------- --------
Outstanding, end of period 2 $87,327
========= =======
At June 30, 2006, the Portfolio held written options. See the Schedule of
Investments for further details.
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, 2006, the Portfolio held forward currency exchange contracts. See
the 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, 2006, the Portfolio held open financial futures contracts. See the
Schedule of Investments for further details.
29
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the 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 loaned securities during the six months ended June 30, 2006
and earned interest on the invested collateral of $1,884,315 of which,
$1,848,447 was rebated to borrowers or paid in fees. At June 30, 2006, the
Portfolio had securities valued at $46,506,493 on loan. See the Schedule of
Investments for further detail on the security positions on loan and
collateral held.
30
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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.
At June 30, 2006, the Portfolio held delayed delivery securities. See the
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 committed amount, is allocated ratably among the participating
portfolios/funds at the end of each quarter. For the six months ended June
30, 2006, the facility fee was $1,810 for the Portfolio.
For the six months ended June 30, 2006, the Portfolio did not use the
credit facility.
31
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing 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 2006)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming c/o Trustee Trustee Chairman Emeritus, Decision 34 None Fund: $250
Decision Resources, Inc. since Resources, Inc. ("DRI") Portfolio: $2,933
260 Charles Street 11/3/1986 (biotechnology research and
Waltham, MA 02453 9/30/40 consulting firm); formerly
Chairman of the Board and
Chief Executive Officer, DRI
Caleb Loring III c/o Trustee Trustee Trustee, Essex Street 34 None Fund: $250
Essex Street Associates since Associates (family Portfolio: $3,271
P.O. Box 5600 Beverly, 11/3/1986 investment trust office)
MA 01915 11/14/43
Benjamin M. Friedman c/o Trustee Trustee William Joseph Maier, 34 None Fund: $250
Harvard University since Professor of Political Portfolio: $2,933
Littauer Center 127 9/13/1989 Economy, Harvard University
Cambridge, MA 02138
8/5/44
John H. Hewitt P.O. Box Trustee Trustee Trustee, Mertens House, 34 None Fund: $250
2333 New London, NH since Inc. (hospice) Portfolio: $2,933
03257 4/11/35 11/3/1986
Interested Trustees
Patrick J. Sheppard Trustee, Since 2003 President and Chief 34 None $0
The Boston Company President and Operating Officer of The
Asset Management, LLC Chief Executive Boston Company Asset
One Boston Place Officer Management, LLC; formerly
Boston, MA 02108 Senior Vice President and
7/24/65 Chief Operating Officer,
Mellon Asset Management
("MAM") and Vice President
and Chief Financial Officer, MAM
32
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly
One Boston Place Vice President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds
One Boston Place Officer Distributor, L.P.and Mellon Optima L/S Strategy
Boston, MA 02108 Fund, LLC; formerly Director, Blackrock, Inc.,
4/8/57 Senior Vice President, State Street Research &
Management Company "SSRM"), and Vice (President,
SSRM
33
[Logo] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6923SA0606
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
- --------------------------------------------------------------------------------
June 30, 2006 (Unaudited) Global Fixed Income Fund
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.
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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- -------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 997.70 $3.22
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 0.65%,
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.
1
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Portfolio Information as of June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- --------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- --------------------------------------------------------------
AAA and higher 60.4%
AA 3.4
A 13.1
BBB 16.2
BB 4.0
B 2.9
-----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- -----------------------------------------------------------------------------------------------
U.S. Treasury Note 4.250 1/15/2011 5.5%
Singapore Government Bond 5.625 7/1/2008 3.3
U.S. Treasury Inflation-Indexed Bond 3.375 1/15/2007 2.8
U.S. Treasury Inflation-Indexed Bond 0.875 4/15/2010 2.7
Swedish Government 3.000 7/12/2016 2.7
United Kingdom Gilt 4.750 6/7/2010 2.5
Netherlands Government Bond 5.500 7/15/2010 2.4
KFW International Finance 1.750 3/23/2010 2.1
U.S. Treasury Bond 5.250 11/15/2028 2.0
Kingdom of Denmark 3.125 10/15/2010 1.8
----
27.8%
* Excluding short-term investments and investment of cash collateral
Percentage of
Economic Sector Allocation Investments
- --------------------------------------------------------------
Government 48.1%
Credit 33.0
Mortgage Pass Thru 0.6
ABS/CMBS/CMO 3.8
Emerging Markets 7.6
Cash & Equivalents 6.9
------
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.
2
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon Global Fixed Income Portfolio (Portfolio) (Note 1A) $ 70,197,701
Prepaid expenses 4,779
------------
Total assets 70,202,480
Liabilities
Accrued professional fees $ 14,699
Accrued chief compliance officer fees (Note 2) 278
Accrued transfer agent fees (Note 2) 2,047
Accrued trustees' fees (Note 2) 492
Accrued shareholder reporting (Note 2) 1,772
Other accrued expenses and liabilities 2,740
---------
Total liabilities 22,028
------------
Net Assets $ 70,180,452
============
Net Assets consist of:
Paid-in capital $ 92,943,236
Accumulated net realized loss (22,634,669)
Undistributed net investment income 633,222
Net unrealized depreciation (761,337)
------------
Total Net Assets $ 70,180,452
============
Shares of beneficial interest outstanding 3,872,745
============
(Net Assets/Shares outstanding) $ 18.12
============
The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $ 1,412,406
Dividend income allocated from Portfolio
(net of foreign withholding taxes of $719) 51,442
Expenses allocated from Portfolio (225,209)
-----------
Net investment income allocated from Portfolio 1,238,639
Expenses
Transfer agent fees (Note 2) $ 2,842
Registration fees 9,918
Professional fees 18,244
Shareholder reporting expense (Note 2) 1,772
Chief compliance officer expense (Note 2) 1,933
Administrative service fee 604
Trustees' fees (Note 2) 992
Insurance expense 443
Miscellaneous expenses 2,437
----------
Total expenses 39,185
Deduct:
Reimbursement of Fund operating expenses (Note 2) (38,070)
----------
Net expenses 1,115
-----------
Net investment income 1,237,524
-----------
Realized and Unrealized Gain (Loss) Net realized gain (loss) allocated from
Portfolio on:
Investments (25,819)
Financial futures transactions 29,896
Written options transactions 53,213
Foreign currency transactions and forward currency exchange transactions (1,044,382)
Swap transactions 37,181
----------
(949,911)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments 503,073
Financial futures contracts 32,908
Written options contracts (21,820)
Foreign currency translation and forward currency exchange contracts (848,583)
Swap contracts (98,612)
----------
(433,034)
-----------
Net realized and unrealized gain (loss)allocated from Portfolio (1,382,945)
-----------
Net Decrease in Net Assets from Operations $ (145,421)
===========
The accompanying notes are an integral part of the financial statements.
4
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the For the
Six Months Ended Year Ended
June 30, 2006 December 31,
(Unaudited) 2005
------------ ------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 1,237,524 $ 2,715,428
Net realized gain (loss) (949,911) 6,183,847
Change in net unrealized appreciation (depreciation) (433,034) (6,327,067)
------------ ------------
Net increase (decrease) in net assets from investment operations (145,421) 2,572,208
------------ ------------
Distributions to Shareholders (Note 1C)
From net investment income (452,648) (7,240,447)
------------ ------------
Total distributions to shareholders (452,648) (7,240,447)
------------ ------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 1,134,034 568,992
Value of shares issued to shareholders in reinvestment of 403,240 6,373,483
distributions
Cost of shares redeemed (926,545) (4,347,558)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions 610,729 2,594,917
------------ ------------
Total Increase (Decrease) in Net Assets 12,660 (2,073,322)
------------ ------------
Net Assets
At beginning of period 70,167,792 72,241,114
------------ ------------
At end of period [including undistributed net investment
income and distributions in excess of net investment
income of $633,222 and ($151,654).] $ 70,180,452 $ 70,167,792
============ ============
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended
June 30, 2006 Year Ended December 31,
(Unaudited) 2005 2004 2003 2002 2001
---------- ------- ------- -------- -------- --------
Net Asset Value, Beginning of the period $ 18.28 $ 19.64 $ 20.67 $ 19.43 $ 18.45 $ 18.53
------- ------- ------- -------- -------- --------
From Operations:
Net investment income* (a) 0.32 0.75 0.83 0.75 0.82 0.84
Net realized and unrealized gain (loss) on investments (0.36) (0.04) 0.20 0.49 0.44 (0.01)(b)
------- ------- ------- -------- -------- --------
Total from investment operations (0.04) 0.71 1.03 1.24 1.26 0.83
------- ------- ------- -------- -------- --------
Less Distributions to Shareholders:
From net investment income (0.12) (2.07) (2.06) -- (0.27) (0.91)
From tax return of capital -- -- -- -- (0.01) --
------- ------- ------- -------- -------- --------
Total distributions to shareholders (0.12) (2.07) (2.06) -- (0.28) (0.91)
------- ------- ------- -------- -------- --------
Net Asset Value, End of Period $ 18.12 $ 18.28 $ 19.64 $ 20.67 $ 19.43 $ 18.45
======= ======= ======= ======== ======== ========
Total Return (.23%)(c) 3.64%(c) 4.98%(c) 6.38%(c) 6.94% 4.51%
Ratios/Supplemental Data:
Expenses (to average daily net assets)*(d) 0.65%(e) 0.65% 0.65% 0.65% 0.60% 0.56%
Net Investment Income (to average
daily net assets)* 3.55%(e) 3.75% 3.86% 3.74% 4.43% 4.46%
Net Assets, End of Period (000's omitted) $70,180 $70,168 $72,241 $146,186 $164,582 $359,358
- ---------
* 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 (a) $ 0.31 $ 0.73 $ 0.83 $ 0.74 N/A N/A
Ratios (to average daily net assets):
Expenses (d) 0.76%(e) 0.77% 0.68% 0.70% N/A N/A
Net investment income 3.45%(e) 3.63% 3.83% 3.69% N/A N/A
(a) Calculated based on average shares outstanding.
(b) 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.
(c) Total return would have been lower in the absence of expense waivers.
(d) Includes the Fund's share of the Portfolio's allocated expenses.
(e) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
6
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 Fund invests all 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 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. dollar and non-U.S. dollar denominated fixed income
securities of governments and companies located in 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 (100% at June 30, 2006). 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 Portfolio
values its securities at value as discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B. Securities transactions and income
Securities transactions in the Portfolio are recorded as of the trade
date. Currently, 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 Fund represent pro rata shares of
gains and losses of the Portfolio.
C. Distributions to shareholders
Distributions to shareholders are recorded on the ex-dividend date. The
Fund's distributions from 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 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(loss),
accumulated net realized gain (loss) and paid in capital. Undistributed
net investment income (loss) 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.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
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 or portfolio are allocated among
funds of the Trust and/or portfolios of the Portfolio Trust 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 other 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 brokerage
commissions, taxes and extraordinary expenses) to 0.65% of the Fund's
average daily net assets. Pursuant to this agreement, for the six months
ended June 30, 2006, Standish Mellon voluntarily reimbursed the Fund for
$38,070 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 was charged $2,842 during the six months ended June
30, 2006.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund.
Pursuant to this agreement the Fund was charged $1,772 during the six
months ended June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary
of the Trust's Chief Compliance Officer. For the six months ended June
30, 2006, the Fund was charged $1,933. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or
Trustee of the Trust or the Portfolio Trust. The Fund pays each Trustee
who is not a director, officer or employee of Standish Mellon or its
affiliates an annual fee.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and
platform administrators and other entities ("Plan Administrators") that
provide record keeping and/or other administrative support services to
accounts, retirement plans and their participants. As compensation for
such services, the Fund may pay each Plan Administrator an
administrative service fee in an amount of up to 0.15% (on an annualized
basis) of the Fund's average daily net assets attributable to Fund
shares that are held in accounts serviced by such Plan Administrator.
The Fund's adviser or its affiliates may pay additional compensation
from their own resources to Plan Administrators and other entities for
administrative services, as well as in consideration of marketing or
other distribution-related services. These payments may provide an
incentive for these entities to actively promote the Fund or cooperate
with the distributor's promotional efforts. For the six months ended
June 30, 2006, the Fund was charged $604 for fees payable to Mellon
Private Wealth Management.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the six months ended June 30, 2006, aggregated $1,537,274 and
$2,304,066, respectively. The Fund receives a proportionate share of the
Portfolio's income, expenses, and realized and unrealized gains and
losses based on applicable tax allocation rules. Book/tax differences
arise when changes in proportionate interest for funds investing in the
Portfolio occur.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
Shares sold 62,652 28,662
Shares issued to shareholders for
reinvestment of distributions 22,172 348,849
Shares redeemed (51,175) (216,159)
------- --------
Net increase (decrease) 33,649 161,352
======= ========
At June 30, 2006, two shareholders of record held approximately 70% of
the total outstanding shares of the Fund. Investment activities 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 were acquired through
reinvestment of distributions. For the six months ended June 30, 2006,
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 corresponding master portfolio for tax basis unrealized appreciation
(depreciation) information.
9
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--102.9%
BONDS AND NOTES--88.8%
Collateralized Mortgage Obligation--1.5%
Crown Castle Towers LLC, 2005-1A D 144A 5.612% 6/15/2035 USD 320,000 $ 311,589
Global Signal Trust 2006-1 C 144A 5.707 2/15/2036 150,000 147,142
Global Signal Trust 2006-1 E 144A 6.495 2/15/2036 150,000 148,630
Global Signal Trust 2006-1 F 144A 7.036 2/15/2036 80,000 78,888
IMSA 2006-2 2A1 FLT 5.680 8/25/2036 340,000 340,000
---------
Total Collateralized Mortgage Obligation (Cost $1,040,000) 1,026,249
---------
Corporate--15.7%
Basic Materials--0.3%
Freeport-McMoRan Copper & Gold, Inc. 10.125 2/1/2010 130,000 137,963
Georgia-Pacific Corp. 8.000 1/15/2024 105,000 99,225
---------
237,188
---------
Communications--1.3%
COX Communications, Inc. 7.125 10/1/2012 295,000 305,125
Dex Media West LLC/Dex Media Finance Co. 8.500 8/15/2010 70,000 72,625
Dex Media West LLC/Dex Media Finance Co. 9.875 8/15/2013 69,000 74,778
News America Holdings, Inc. 9.250 2/1/2013 180,000 208,411
Qwest Corp. (a) 8.579 6/15/2013 175,000 185,063
Salem Communications Corp. 7.750 12/15/2010 90,000 89,325
---------
935,327
---------
Consumer Cyclical--0.4%
Mohegan Tribal Gaming Authority 8.000 4/1/2012 100,000 101,625
Tyson Foods, Inc. 6.600 4/1/2016 65,000 63,535
Yum! Brands, Inc. 8.875 4/15/2011 75,000 83,531
---------
248,691
---------
Energy--0.9%
DTE Energy Co. 6.350 6/1/2016 135,000 134,314
Halliburton Co. 5.500 10/15/2010 125,000 123,818
Oncor Electric Delivery Co. 6.375 5/1/2012 135,000 136,262
Salomon Brothers AF for Tyumen Oil Co. 11.000 11/6/2007 125,000 131,550
Southern Natural Gas Co. 8.875 3/15/2010 100,000 105,625
---------
631,569
---------
Financial--6.1%
Ameriprise Financial, Inc. 7.518 6/1/2066 150,000 150,908
Boston Properties, Inc. 6.250 1/15/2013 85,000 85,754
Chevy Chase Bank FSB 6.875 12/1/2013 295,000 295,000
Duke Realty Corp REIT 5.250 1/15/2010 175,000 170,754
Glencore Funding LLC 144A 6.000 4/15/2014 95,000 86,762
Glitnir Bank 144A (h) 6.693 6/15/2016 150,000 149,142
ILFC E-Capital Trust II 144A (a) 6.250 12/21/2065 135,000 127,550
International Lease Finance Corp. 5.000 4/15/2010 180,000 174,804
Jefferies Group, Inc. 5.500 3/15/2016 110,000 102,716
Lehman Brothers Holdings E-Capital Trust I 144A (a) 5.954 8/19/2065 100,000 99,983
Lincoln National Corp. 7.000 5/17/2066 170,000 168,681
MUFG Capital Financial 1 Ltd. 6.346 3/15/2049 250,000 241,148
Nisource Finance Corp. 6.150 3/1/2013 150,000 150,492
Nisource Finance Corp. 5.764 11/23/2009 355,000 355,389
Nordea Bank 144A 7.500 1/30/2007 445,000 449,076
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Financial (continued)
Residential Capital Corp. (a) (b) 6.875% 6/29/2007 USD 70,000 $ 70,226
Residential Capital Corp. (a) 6.489 11/21/2008 230,000 230,918
Residential Capital Corp. 6.375 6/30/2010 75,000 73,979
Residential Capital Corp. (b) 6.875 6/30/2015 130,000 129,440
Simon Property Group LP REIT 5.750 5/1/2012 165,000 162,550
USB Capital IX 6.189 4/1/2049 480,000 469,387
Washington Mutual, Inc. 4.625 4/1/2014 365,000 329,747
----------
4,274,406
----------
Industrial--3.7%
American Standard, Inc. 7.375 2/1/2008 145,000 147,694
Chesapeake Energy Co. 7.625 7/15/2013 125,000 125,781
Crown Americas, Inc. 144A 7.625 11/15/2013 130,000 127,725
Crown Americas, Inc. 144A 7.750 11/15/2015 75,000 73,875
Jefferson Smurfit Corp. US 8.250 10/1/2012 15,000 14,063
Mohawk Industries, Inc. 6.125 1/15/2016 170,000 163,888
Oneok, Inc. 5.510 2/16/2008 345,000 342,765
Republic Services, Inc. 6.750 8/15/2011 150,000 155,016
SAB Miller 5.850 7/1/2009 415,000 414,762
Telefonica Emisiones 6.421 6/20/2016 350,000 349,274
Tobacco Settlement Authority Michigan 7.309 6/1/2034 195,000 194,815
Waste Management, Inc. 6.875 5/15/2009 245,000 251,903
Windstream Corp 144A (h) 8.125 8/1/2013 180,000 183,600
Windstream Corp 144A (h) 8.625 8/1/2016 60,000 61,350
----------
2,606,511
----------
Technology & Electronics--0.3%
Freescale Semiconductor, Inc. (a) 7.818 7/15/2009 100,000 102,000
Quest Diagnostics, Inc. 5.125 11/1/2010 90,000 87,500
----------
189,500
----------
Utilities--2.7%
Consumers Energy Co. 5.375 4/15/2013 140,000 134,354
Dominion Resources, Inc. 5.790 9/28/2007 350,000 350,210
FirstEnergy Corp. 6.450 11/15/2011 260,000 264,556
Jersey Central Power & Light 144A 6.400 5/15/2036 242,000 238,208
Mirant North America LLC 144A 7.375 12/31/2013 190,000 183,350
Niagara Mohawk Power Corp. 7.750 10/1/2008 175,000 182,108
Pepco Holdings, Inc. 5.500 8/15/2007 140,000 139,497
Progress Energy, Inc. 7.100 3/1/2011 130,000 135,610
TXU Energy Co. 7.000 3/15/2013 270,000 275,599
1,903,492
----------
Total Corporate Bonds (Cost $11,110,011) 11,026,684
----------
Sovereign Bonds--3.0%
Argentina Bonos (a) 1.162 8/3/2012 400,000 330,600
Egyptian Treasury Bill 144A (h) 9.000 7/14/2006 175,000 188,960
Egyptian Treasury Bill 144A (h) 8.400 2/1/2007 750,000 763,380
Republic of Brazil (a) 8.000 1/15/2018 165,000 173,910
Republic of Panama 7.125 1/29/2026 185,000 178,525
Republic of Philippines 9.375 1/18/2017 165,000 181,500
Republic of Turkey 11.500 1/23/2012 230,000 263,063
----------
Total Sovereign Bonds (Cost $2,069,346) 2,079,938
----------
The accompanying notes are an integral part of the financial statements.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Yankee Bonds--4.2%
Amvescap PLC 5.375% 2/27/2013 USD 130,000 $ 124,360
Amvescap PLC 5.375 12/15/2014 70,000 66,188
Carnival Corp. 3.750 11/15/2007 265,000 257,474
Chuo Mitsui Trust & Banking Co. Ltd. 144A (a) 5.506 2/15/2049 365,000 332,857
Falconbridge Ltd. 6.000 10/15/2015 155,000 147,585
Ineos Group Holdings Plc 144A (b) 8.500 2/15/2016 300,000 280,875
ING Groep NV (a) (b) 5.775 11/30/2049 230,000 218,250
Kaupthing Bank 144A 7.125 5/19/2016 850,000 850,255
Naftogaz Ukrainy 8.125 9/30/2009 100,000 93,375
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 90,000 92,475
Rogers Wireless, Inc. 7.500 3/15/2015 45,000 45,450
Royal KPN NV 8.375 10/1/2030 210,000 225,442
Shinsei Finance Cayman Ltd 144A 6.418 7/20/2048 200,000 187,837
----------
Total Yankee Bonds (Cost $3,039,904) 2,922,423
----------
U.S. Government Agency--3.1%
Pass Thru Securities--3.1%
FNMA (b) 2.375 2/15/2007 275,000 269,746
FNMA 5.500 1/1/2034 441,554 425,967
GNMA 2006-9 A 4.201 8/16/2026 685,290 657,881
GNMA 2006-15 A 3.727 3/16/2027 348,412 331,755
GNMA 2006-19 A 3.387 6/16/2030 239,095 225,982
GNMA 2006-5 A 4.241 7/16/2029 271,914 261,597
----------
Total U.S. Government Agency (Cost $2,214,819) 2,172,928
----------
US Treasury Obligations--17.2%
U.S. Treasury Bond (b) 5.250 11/15/2028 1,525,000 1,517,851
U.S. Treasury Inflation-Indexed Bond (c) 3.375 1/15/2007 2,085,178 2,090,635
U.S. Treasury Inflation-Indexed Bond (b) 0.875 4/15/2010 2,185,143 2,061,289
U.S. Treasury Note 6.625 5/15/2007 105,000 106,136
U.S. Treasury Note (b) 4.250 1/15/2011 4,319,000 4,170,366
U.S. Treasury Note 4.375 8/15/2012 865,000 832,089
U.S. Treasury Note (b) 4.750 5/15/2014 1,075,000 1,048,671
U.S. Treasury Note (b) 4.000 2/15/2015 288,000 265,387
----------
Total U.S. Treasury Obligations (Cost $12,439,940) 12,092,424
----------
Foreign Denominated--44.1%
Argentina--0.2%
Republic of Argentina 0.698 9/30/2014 ARS 520,000 161,440
----------
Australia--0.5%
Queensland Treasury Corp. 6.000 6/14/2011 AUD 500,000 372,741
----------
Brazil--0.5%
Republic of Brazil 12.500 1/5/2016 BRL 820,000 371,281
----------
Canada--2.7%
Canadian Government Bond 5.000 6/1/2014 CAD 1,425,000 1,314,059
Canadian Pacific Railway Ltd. 144A 4.900 6/15/2010 620,000 556,393
----------
1,870,452
----------
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, 2006 (Unaudited)
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Euro--16.6%
Allied Irish Bank UK (a) 4.781% 12/10/2049 EUR 160,000 $ 191,586
ASIF III 4.750 9/11/2013 270,000 354,017
Autostrade SpA (a) 2.552 6/9/2011 300,000 384,098
Barclays Bank PLC (a) 4.875 12/15/2014 150,000 181,826
Bombardier, Inc. 5.750 2/22/2008 150,000 192,539
Bundesobligation 4.000 2/16/2007 360,000 462,507
Bundesobligation 4.500 8/17/2007 45,000 58,219
Bundesobligation 3.000 4/11/2008 270,000 342,034
Citigroup, Inc. (a) 2.237 6/3/2011 370,000 473,279
Daimlerchrysler International Finance 7.000 3/21/2011 125,000 175,890
Deutsche Bundesrepublik 4.000 7/4/2009 175,000 225,654
Deutsche Republic 4.500 1/4/2013 170,000 224,080
Deutsche Republic 4.750 7/4/2034 350,000 477,743
Deutsche Telekom International Finance BV 6.625 7/11/2011 165,000 231,554
Finmeccanica SpA 4.875 3/24/2025 175,000 205,141
GE Capital European Funding (a) 2.198 5/4/2011 370,000 472,970
Goldman Sachs Group, Inc. (a) 2.850 2/4/2013 240,000 305,602
Hellenic Republic Government Bond 3.700 7/20/2015 800,000 976,900
Household Finance Corp. 6.500 5/5/2009 300,000 409,385
Kingdom of Denmark 3.125 10/15/2010 1,075,000 1,336,554
Linde Finance BV 6.000 7/29/2049 30,000 37,869
MPS Capital Trust I 7.990 2/7/2011 160,000 232,435
National Westminster Bank PLC 6.625 10/5/2009 70,000 96,121
Netherlands Government Bond 5.500 7/15/2010 1,310,000 1,780,803
Netherlands Government Bond 4.000 1/15/2037 155,000 187,526
Owens-Brockway Glass Containers 6.750 12/1/2014 95,000 119,664
Resona Bank Ltd. 144A 4.125 1/10/2049 110,000 133,855
Sogerim 7.000 4/20/2011 185,000 263,095
Sumitomo Mitsui Banking Corp. 144A (a) 4.375 7/15/2049 195,000 233,860
Telefonica Europe BV 5.125 2/14/2013 135,000 174,939
Telenet Communications NV 144A 9.000 12/15/2013 56,025 78,451
Veolia Environnement 4.875 5/28/2013 135,000 174,683
Volkswagen International Finance NV 4.875 5/22/2013 180,000 236,797
West LB Covered Bond Bank 144A 4.000 3/25/2014 150,000 189,672
----------
11,621,348
----------
United Kingdom--6.2%
Barclays Bank PLC 6.000 9/15/2026 GBP 130,000 232,615
Bat International Finance PLC 6.375 12/12/2019 90,000 170,939
British Telecom PLC 7.125 12/7/2006 185,000 344,671
Deutsche Telekom International Finance BV 7.125 9/26/2012 175,000 346,981
HBOS Capital Funding LP (d) 6.461 11/30/2048 85,000 165,297
Inco 15.750 7/15/2006 200,000 370,381
Transco Holdings PLC 7.000 12/16/2024 80,000 173,381
United Kingdom Gilt 4.750 6/7/2010 1,000,000 1,844,821
United Kingdom Gilt 8.000 9/27/2013 310,000 686,232
----------
4,335,318
----------
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, 2006 (Unaudited)
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Japan--7.6%
Citigroup, Inc. 0.800% 10/30/2008 JPY 40,800,000 $ 354,901
Depfa Acs Bank 1.650 12/20/2016 140,000,000 1,172,213
European Investment Bank 1.400 6/20/2017 135,000,000 1,110,601
Japan Finance Corp. 1.550 2/21/2012 130,000,000 1,137,610
KFW International Finance 1.750 3/23/2010 178,000,000 1,584,961
-----------
5,360,286
-----------
Mexico--0.5%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 4,410,000 368,093
-----------
Poland--2.9%
Poland Government Bond 6.000 11/24/2010 PLN 4,145,000 1,327,292
Poland Government Bond 6.250 10/24/2015 2,120,000 692,743
-----------
2,020,035
-----------
Sweden--2.8%
Swedish Government (b) 3.000 7/12/2016 SEK 15,715,000 2,002,772
-----------
Singapore--3.6%
Singapore Government Bond 5.625 7/1/2008 SGD 3,780,000 2,504,213
-----------
Total Foreign Denominated (Cost $30,797,731) 30,987,979
-----------
Total Bonds and Notes (Cost $62,711,751) 62,308,625
-----------
CONVERTIBLE PREFERRED STOCKS--0.1% Shares
------
Fannie Mae 5.375% CVT Pfd (Cost $100,000) USD 1 92,697
-----------
PURCHASED OPTIONS--0.0% Contract Size
-------------
JPY Call/USD Put, Strike Price 109, 11/21/06 (Cost $ 38,056)
1,420,000 11,459
-----------
SHORT-TERM INVESTMENTS--3.1% Rate Maturity Par Value
---- -------- ---------
U.S. Treasury Bill--3.1%
U.S. Treasury Bill (b) (c ) (e) (COST $2,204,984) 4.760 9/7/2006 USD 2,225,000 2,204,984
-----------
INVESTMENT OF CASH COLLATERAL--10.9% Shares
------
BlackRock Cash Strategies L.L.C (f) (Cost $7,637,267) 5.140 7,637,267 7,637,267
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $72,692,058) 72,255,032
-----------
AFFILIATED INVESTMENTS--4.3%
Dreyfus Institutional Preferred Plus Money Market Fund (f) (g) 5.320 3,000,000 3,000,000
-----------
(Cost $3,000,000)
Total Investments--107.2% (COST $75,692,058) 75,255,032
-----------
Liabilities in Excess of Other Assets--(7.2%) (5,057,331)
-----------
NET ASSETS--100% $70,197,701
===========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
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, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $6,355,740 or 9.1% of net
assets.
ARS- Argentina Peso
AUD- Australian Dollar
BRL- Brazilian Real
CAD- Canadian Dollar
CVT- Convertible
EUR- Euro
GBP- British Pound
JPY- Japanese Yen
MXN- Mexican New Peso
PLN- Polish Zloty
SEK- Swedish Krona
SGD- Singapore Dollar
(a) Variable Rate Security; rate indicated is as of June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Denotes all or part of security segregated as collateral.
(d) Stepup bond; rate indicated as of June 30, 2006.
(e) Rate noted is yield to maturity.
(f) Stated rate is seven-day yield for the fund at June 30, 2006.
(g) Affiliated money market fund.
(h) Illiquid security. At the period end, the value of these securities
amounted to $1,346,432 or 1.9% of net assets.
At June 30, 2006 the Portfolio held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain
- -----------------------------------------------------------------------------------------------------------------
US 10 Year Treasury (10 Contracts) Short 9/20/2006 $1,052,031 $3,438
======
At June 30, 2006 the Portfolio held the following forward foreign currency
exchange contracts:
Local USD
Principal Contract Value at Amount Unrealized
Contracts to Deliver Amount Value Date June 30, 2006 to Receive Gain/(Loss)
- ----------------------------------------------------------------------------------------------------
Australian Dollar 340,000 9/20/2006 $ 252,244 $ 253,868 $ 1,624
British Pound Sterling 2,150,000 9/20/2006 3,981,201 3,982,209 1,008
Canadian Dollar 2,140,000 9/20/2006 1,923,726 1,927,928 4,202
Euro 2,279,340 7/3/2006 2,914,823 2,857,837 (56,986)
Euro 12,758,000 9/20/2006 16,405,977 16,181,519 (224,458)
Japanese Yen 641,240,000 9/20/2006 5,671,847 5,641,132 (30,715)
Poland Zloty 6,700,000 9/20/2006 2,113,676 2,097,535 (16,141)
Swedish Krona 3,103,931 7/3/2006 431,521 421,472 (10,049)
Swedish Krona 43,440,000 9/20/2006 6,082,250 5,959,564 (122,686)
Singapore Dollar 4,320,000 9/20/2006 2,740,983 2,723,233 (17,750)
----------- ----------- ---------
Total $42,518,248 $42,046,297 $(471,951)
=========== =========== =========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Local USD
Principal Contract Value at Amount Unrealized
Contracts to Receive Amount Value Date June 30, 2006 to Deliver Gain
- --------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 815,000 9/20/2006 $ 368,792 $ 357,596 $ 11,196
Euro 3,470,000 9/20/2006 4,462,200 4,380,590 81,610
Poland Zloty 2,302,299 7/5/2006 724,367 723,993 374
Poland Zloty 550,000 9/20/2006 173,511 168,727 4,784
Swedish Krona 27,160,000 9/20/2006 3,802,806 3,725,302 77,504
----------- ----------- ---------
Total $ 9,531,676 $ 9,356,208 $ 175,468
=========== =========== =========
USD USD
Local Value at In Local Value at Contract Unrealized
Contracts to Deliver Amount June 30, 2006 Exchange for Amount June 30, 2006 Value Date (Loss)
- ------------------------------------------------------------------------------------------------------ --------------------------
Euro 141,000 $180,458 Icelandic Krona 12,704,100 $166,902 7/11/2006 $(13,556)
======== ======== ========
The Portfolio held the following written option contracts at June 30, 2006:
Written Call Options Strike Price Expiration Date Notional Amount Contracts Premium Value
- ---------------------------------------------------------------------------------------------------------------------------------
JPY Call/USD Put 106 11/21/2006 1,420,000 JPY 1 $ 23,430 $ 6,093
======= ======== ========
Notional Expiration
Description CounterParty Amount Strike Price Date Contracts Premium Value
- ---------------------------------------------------------------------------------------------------------------------------------
Call--Republic of Peru, 8.75%,
11/21/2033--Credit default swaption Deutsche Bank 345,000 Default Event 7/5/2006 1 $ 3,243 $--
=== ======= ===
At June 30, 2006, the Fund held the following open swap agreements:
Unrealized
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns Alcoa, Inc., 6.000% due 1/15/2012 Buy (0.415%) 6/20/2010 $ 107,000USD $(894)
Bear Stearns Alcoa, Inc., 6.500% due 6/1/2011 Buy (0.52%) 6/20/2010 238,000USD (2,883)
Bear Stearns Conocophillips, 4.750% due 10/15/2012 Buy (0.31%) 6/20/2010 345,000USD (1,214)
Bear Stearns Nucor Corp., 4.875% due 10/01/2012 Buy (0.40%) 6/20/2010 162,000USD (1,546)
Bear Stearns Ukraine Government, 7.650% due 6/11/2013 Sell 2.840% 12/20/2009 150,000USD 3,420
Bear Stearns Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016 420,000USD (2,584)
Deutsche Bank Republic of Brazil, 12.25%, due 3/6/2030 Sell 1.450% 10/20/2008 358,000USD 6,453
Deutsche Bank Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016 280,000USD (1,723)
Deutsche Bank Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 644,000USD 964
Morgan Stanley Koninklijke KPN NV, 8.000% due 10/1/2010 Buy (0.77%) 12/20/2010 785,000USD (4,470)
Morgan Stanley V.F. Corporation, 8.5%, due 10/1/2010 Buy (0.45%) 6/20/2011 700,000USD (4,482)
JPMorgan The BOC Group PLC, 5.875 due 4/29/2009 Buy (0.24%) 6/20/2011 1,125,000EUR (891)
JPMorgan Linde Finance BV, 6.375% due 6/14/2007 Sell 0.410% 6/20/2011 1,125,000EUR (6,246)
JPMorgan British American Tobacco PLC, 4.875% due 2/25/2009 Sell 0.425% 12/20/2010 350,000EUR 2,225
JPMorgan Daimlerchrysler AG, 7.20% due 9/1/2009 Sell 0.700% 12/20/2010 350,000EUR 3,168
JPMorgan Degussa AG, 5.125% due 12/10/2013 Buy (1.75%) 12/20/2010 550,000EUR (27,473)
JPMorgan France Telecom, 7.25% due 1/28/2013 Sell 0.660% 12/20/2015 175,000EUR (1,033)
JPMorgan Glencore International AG, 5.375%, due 9/30/2011 Sell 1.480% 12/20/2010 350,000EUR 7,793
JPMorgan ICI Wilmington, 5.625% due 12/1/2013 Sell 0.510% 12/20/2010 350,000EUR 1,260
JPMorgan iTraxx Europe HiVol Series 4 Version 1 Buy (0.70%) 12/20/2010 1,725,000EUR (20,117)
JPMorgan Telecom Italia SPA, 6.25% due 2/1/2012 Sell 0.520% 12/20/2010 350,000EUR 784
JPMorgan Volkswagen, 4.875% due 5/22/2013 Sell 0.450% 12/20/2010 350,000EUR 3,082
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 577,000USD 3,396
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 123,000USD 304
JPMorgan Basell AF S.C.A., 8.375% due 8/15/2015 Sell 3.80% 6/20/2011 575,000USD (5,899)
JPMorgan Glitnir Banki HF, 8.375%, due 8/15/2015 Buy (0.66%) 6/20/2011 225,000USD (1,824)
JPMorgan Kaupthing Bunadarbanki HF, 5.38063%, due 12/1/2009 Buy (0.86%) 6/20/2011 225,000USD (2,098)
JPMorgan LandsBanki Islands HF, 3.30%, due 10/19/2010 Buy (0.82%) 6/20/2011 225,000USD (2,506)
JPMorgan Degussa AG, 5.125% due 12/10/2013 Buy (0.93%) 6/20/2011 575,000EUR (1,452)
--------
$(56,486)
========
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under terms of that particular swap agreement, the portfolio will pay
the buyer of protection an amount up to the national value of the swap and in
certain instances, take delivery of the security.
The accompanying notes are an integral part of the financial statements.
16
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns USD--LIBOR--BBA Pay 3.907% 11/19/2009 $150,000 USD $ (7,871)
UBS AG EUR--EURIBOR--TELERATE Pay 3.463% 6/26/2007 14,490,000 EUR (11,357)
UBS AG EUR--EURIBOR--TELERATE Receive 4.243% 6/26/2016 1,430,000 EUR 5,490
UBS AG JPY--LIBOR--BBA Pay 0.8775% 5/11/2008 798,000,000 JPY 1,891
UBS AG JPY--LIBOR--BBA Pay 2.5125% 6/6/2026 159,000,000 JPY (1,288)
UBS AG SEK--STIBOR--SIDE Receive 3.06% 6/27/2007 133,390,000 SEK (10,707)
UBS AG SEK--STIBOR--SIDE Receive 4.290% 6/27/2016 13,160,000 SEK (6,251)
--------
$(30,093)
========
Expiration Notional Unrealized
Total Return Swaps Pay Receive Date Amount Depreciation
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 597,000 USD $ (8,701)
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 803,000 USD (8,614)
$(17,315)
Percentage of
Country Allocation Investments
- ---------------------------------------------------------------------------------
U.S. 52.5%
Japan 3.4
Germany 2.6
Euro 6.6
France 0.3
U.K 7.2
Italy 1.3
Canada 3.9
Netherlands 5.1
Sweden 2.9
Australia 0.6
Denmark 2.1
Mexico 0.6
Poland 3.0
Singapore 3.7
Egypt 1.1
Brazil 0.8
Argentina 0.7
Other 1.6
-----
100.0%
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 Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan,
valued at $7,373,211 (Note 6))
Unaffiliated issuers, at value (Note 1A) (cost $72,692,058) $72,255,032
Affiliated issuers, at value (Note 1A) (cost $3,000,000) (Note 1H) 3,000,000
Cash 430,742
Foreign currency (cost $378,226) 382,815
Receivable for investments sold 3,349,379
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 182,302
Interest receivable 1,122,064
Swap premium paid 29,597
Unrealized appreciation on swap contracts (Note 5) 40,230
Prepaid expenses 4,201
-----------
Total assets 80,796,362
Liabilities
Payable for investments purchased $ 2,220,858
Collateral for securities on loan (Note 6) 7,637,267
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 492,341
Unrealized depreciation on swap contracts (Note 5) 144,124
Payable to brokers (Note 5) 35,388 Options written, at value (premium received $26,673)(Note 5) 6,093
Payable for variation margin on open futures contracts (Note 5) 4,531
Accrued professional fees 20,230
Accrued accounting, administration, and custody fees (Note 2) 8,025
Accrued trustees' fees and expenses (Note 2) 3,626
Other accrued expenses and liabilities 26,178
-----------
Total liabilities 10,598,661
-----------
Net Assets (applicable to investors' beneficial interest) $70,197,701
===========
The accompanying notes are an integral part of the financial statements.
18
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 1,407,937
Dividend income from affiliated investments (Note 1H) 48,473
Security lending income, net (Note 6) 4,469
Dividend income ( net of foreign withholding tax of $719) 2,969
----------
Total investment income 1,463,848
Expenses
Investment advisory fee (Note 2) $ 139,624
Accounting, administration and custody fees (Note 2) 49,263
Professional fees 26,534
Trustees' fees and expenses (Note 2) 4,910
Insurance expense 3,215
Miscellaneous expenses 1,663
----------
Total expenses 225,209
----------
Net investment income 1,238,639
----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (25,819)
Financial futures transactions 29,896
Written options transactions 53,213
Foreign currency transactions and forward foreign
currency exchange transactions (1,044,382)
Swap transactions 37,181
----------
Net realized gain (loss) (949,911)
Change in unrealized appreciation (depreciation)
Investments 503,073
Financial futures contracts 32,908
Written options contracts (21,820)
Foreign currency translation and forward foreign
currency exchange contracts (848,583)
Swap contracts (98,612)
----------
Change in net unrealized appreciation (depreciation) (433,034)
----------
Net realized and unrealized gain (loss) (1,382,945)
----------
Net Decrease in Net Assets from Operations $ (144,306)
==========
The accompanying notes are an integral part of the financial statements.
19
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the Year
June 30, 2006 Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets
From Operations
Net investment income $ 1,238,639 $ 2,716,028
Net realized gain (loss) (949,911) 6,183,847
Change in net unrealized appreciation (depreciation) (433,034) (6,327,067)
----------- ------------
Net increase (decrease) in net assets from investment operations (144,306) 2,572,808
----------- ------------
Capital Transactions
Contributions 1,537,274 7,042,475
Withdrawals (2,304,066) (11,579,112)
----------- ------------
Net increase (decrease) in net assets from capital transactions (766,792) (4,536,637)
----------- ------------
Total Increase (Decrease) in Net Assets (911,098) (1,963,829)
Net Assets
At beginning of period 71,108,799 73,072,628
----------- ------------
At end of period $70,197,701 $ 71,108,799
=========== ============
The accompanying notes are an integral part of the financial statements.
20
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2006 -----------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ---- ---- ---- ---- ----
Total Return (a) (.23%) 3.64% 5.00% 6.40% 6.98% 4.54%
Ratios/Supplemental data:
Expenses (to average daily net assets) 0.65%(b) 0.65% 0.63% 0.63% 0.56% 0.53%
Net Investment Income (to average daily net assets) 3.55%(b) 3.75% 3.89% 3.75% 4.47% 4.49%
Portfolio Turnover: (c)
Inclusive 49%(d) 181% 166% 222% 205% 251%
Exclusive 47%(d) 167% 130% -- -- --
Net Assets, End of Period (000's omitted) $70,198 $71,109 $73,073 $153,572 $164,590 $364,068
- --------
* 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 ratios would hae
been:
Ratios (to average daily net assets):
Expenses (to average daily net assets) NA 0.65% NA NA NA NA
Net investment income NA 3.74% NA NA NA NA
(a) 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.
(b) Calculated on an annualized basis.
(c) Beginning in 2004, the portfolio turnover ratio is presented inclusive and
exclusive of the effect of rolling forward purchase commitments.
(d) Not annualized.
The accompanying notes are an integral part of the financial statements.
21
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. dollar and
non-U.S. dollar denominated fixed income securities of governments and
companies located in various countries, including emerging markets.
At June 30, 2006 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, 2006 was 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 are valued at the last sale prices on the exchange or
national securities market on which they are primarily traded.
Securities not listed on an exchange or national securities market, or
securities for which there were no reported transactions, are valued
at the last quoted bid price. Securities that are fixed income
securities, other than short-term instruments with less than sixty
days remaining to maturity, for which accurate market prices are
readily available, are valued at their current market value on the
basis of quotations, which may be furnished by a pricing service or
dealers in such securities. 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 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 cost based upon the value on such date unless the Trustees
determine during such sixty-day period that amortized cost 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 earned, 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. Dividends representing a return of capital are reflected as a
reduction of cost.
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 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.
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.
22
Mellon Institutional Funds Master Portfolio
Standish Mellon Global 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.
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
among funds of the Trust or portfolios of the Portfolio Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or 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 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
The Portfolio has entered into an agreement with Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of Mellon Financial Corporation and an
affiliate of Standish Mellon, to provide custody, administration and fund
accounting services for the Portfolio. For these services the Portfolio
pays Mellon Bank a fixed fee plus asset and transaction based fees, as well
as out-of-pocket expenses. Pursuant to this agreement the Portfolio was
charged $49,263 during the six months ended June 30, 2006.
The Portfolio also entered into an agreement with Mellon Bank to perform
certain securities lending activities and to act as the Portfolio's lending
agent. Mellon Bank receives an agreed upon percentage of the net lending
revenues. Pursuant to this agreement, Mellon Bank collected $1,922 for the
six months ended June 30, 2006. See Note 6 for further details.
23
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the Trust or the Portfolio Trust. The Fund and Portfolio Trust pays each
Trustee who is not a director, officer or employee of Standish Mellon or
its affiliates (the "Independent Trustees") an annual fee and the Portfolio
Trust pays each Independent Trustee 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 counsel to the Independent
Trustees.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $12,214,474 $ 7,893,098
=========== ===========
Investments (non-U.S. Government Securities) $18,273,290 $26,413,265
=========== ===========
(4) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $75,692,058
===========
Gross unrealized appreciation 1,041,240
Gross unrealized depreciation (1,478,266)
------------
Net unrealized appreciation (depreciation) $ (437,026)
============
(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 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 year 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.
24
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
For the six months ended June 30, 2006, the Portfolio entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
Outstanding, beginning of period 3 $ 45,440
Options written 5 9,976
Options expired (7) (41,713)
Options closed (1) (13,703)
---- --------
Outstanding, end of period 0 $ 0
==== ========
Number of
Written Call Option Transactions Contracts Premiums
Outstanding, beginning of period 1 $ 6,958
Options written 3 27,703
Options expired (2) (7,988)
Options closed 0 0
---- --------
Outstanding, end of period 2 $ 26,673
==== ========
At June 30, 2006, the Portfolio held options. See the Schedule of
Investments for further details.
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, 2006, the Portfolio held forward currency exchange contracts.
See the 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, 2006, the Portfolio held open financial futures contracts. See
the Schedule of Investments for further details.
25
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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, credit
default and total return 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. Total return swap agreements involve
commitments to pay interest in exchange for a market-linked return, both
based on notional amounts. To the extent the total return of the security
or index underlying the transaction exceeds or falls short of the
offsetting interest rate obligation, a portfolio will receive a payment
from or make a payment to the counterparty. In connection with these
agreements, cash or securities may be set aside as collateral in accordance
with the terms of the swap agreement. Swaps are marked to market daily
based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Portfolio held open swap agreements. See the 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 six months ended June 30, 2006
and earned interest on the invested collateral of $279,357 of which,
$274,888 was rebated to borrowers or paid in fees. At June 30, 2006, the
Portfolio had securities valued at $7,373,211 on loan. See the Schedule 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
26
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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.
For the six months ended June 30, 2006, the Portfolio did not hold any
delayed delivery securities.
(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 committed amount, is allocated ratably among the participating
portfolios/funds at the end of each quarter. For the six months ended June
30, 2006, the facility fee was $317 for the Portfolio.
For the six months ended June 30, 2006, the Portfolio did not use the
credit facility.
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Principal
Name Term of Office Occupation(s)
Address, and Position(s) and Length of During Past
Date of Birth Held with Trust Time Served 5 Years
- ----------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus,
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Inc.
260 Charles Street ("DRI") (biotechnology
Waltham, MA 02453 research and consulting
9/30/40 firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street
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,
c/o Harvard University 9/13/1989 Professor of Political
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since Trustee, Mertens
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, Since 2003 President and Chief
The Boston Company President Operating Officer of
Asset Management, LLC and Chief The Boston Company
One Boston Place Executive Officer Asset Management, LLC;
Boston, MA 02108 formerly Senior Vice President
7/24/65 and Chief Operating Officer,
Mellon Asset Management
("MAM") and Vice
President and Chief
Financial Officer, MAM
Number of Trustee
Portfolios in Other Remuneration
Name Fund Complex Directorships (period ended
Address, and Overseen by Held by June 30,
Date of Birth Trustee Trustee 2006)
- ---------------------------------------------------------------------------------------------
Samuel C. Fleming 34 None Fund: $250
c/o Decision Resources, Inc. Portfolio: $767
260 Charles Street
Waltham, MA 02453
9/30/40
Caleb Loring III 34 None Fund: $250
c/o Essex Street Associates Portfolio: $820
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman 34 None Fund: $250
c/o Harvard University Portfolio: $767
Littauer Center 127
Cambridge, MA 02138
8/5/44
John H. Hewitt 34 None Fund: $250
P.O. Box 2333 Portfolio: $767
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard 34 None $0
The Boston Company
Asset Management, LLC
One Boston Place
Boston, MA 02108
7/24/65
28
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly Vice
One Boston Place President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds Distributor, L.P.
One Boston Place Officer and Mellon Optima L/S Strategy Fund, LLC; formerly
Boston, MA 02108 Director, Blackrock, Inc., Senior Vice President,
4/8/57 State Street Research & Management Company
("SSRM"), and Vice President, SSRM
29
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6934SA0606
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
- --------------------------------------------------------------------------------
June 30, 2006 (Unaudited) High Yield Bond Fund
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.
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 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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- ----------------------------------------------------------------------------------------------
Actual $1,000.00 $1,012.10 $2.49
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 0.50%, 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.
1
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Fund
Portfolio Information as of June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
Percentage of
Quality Breakdown Investments
- -------------------------------------------------------------
Treasury 1.0%
AA 0.1
A 1.2
BBB 11.7
BB 46.2
B 37.9
CCC 1.6
C/D/NR 0.3
-----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- ------------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB 6.875% 12/1/2013 2.4%
AES Corp. 144A 8.750 5/15/2013 1.6
Freescale Semiconductor, Inc. 6.875 7/15/2011 1.5
Rite Aid Corp. 12.500 9/15/2006 1.3
Mirant North America LLC 144A 7.375 12/31/2013 1.1
INVISTA 144A 9.250 5/1/2012 1.1
Speedway Motorsports, Inc. 6.750 6/1/2013 1.1
Kaupthing Bank 144A 7.125 5/19/2016 1.0
Douglas Dynamics LLC 144A 7.750 1/15/2012 0.9
Qwest Corp. 7.875 9/1/2011 0.9
----
12.9%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- ---------------------------------------------------------------------------
Banking 4.6%
Basic industry 10.9
Brokerage 1.3
Capital goods 11.6
Consumer cyclical 7.9
Consumer non-cyclical 6.7
Energy 7.4
Insurance 0.7
Media 5.4
Municipals 1.3
Real estate 0.6
Services cyclical 12.5
Services non-cyclical 3.9
Technology 2.9
Telecommunications 9.5
Utility 10.5
Emerging markets 1.1
Agency 0.3
Cash & equivalents 0.9
-----
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.
2
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon High Yield Bond Portfolio
(Portfolio), at value (Note 1A) $13,165,870
Receivable for Fund shares sold 8,969
Prepaid expenses 6,262
-----------
Total assets 13,181,101
Liabilities
Payable for Fund shares redeemed $ 229
Accrued professional fees 13,807
------
Accrued transfer agent fees (Note 2) 1,858
Accrued shareholder reporting expense (Note 2) 617
Accrued trustees' fees and expenses (Note 2) 487
Accrued chief compliance officer fee (Note 2) 278
Other accrued expenses and liabilities 2,289
------
Total liabilities 19,565
-----------
Net Assets $ 13,161,536
============
Net Assets consist of:
Paid-in capital $23,401,935
Accumulated net realized loss (10,270,330)
Undistributed net investment income 38,742
Net unrealized (depreciation) (8,811)
-----------
Total Net Assets $13,161,536
===========
Shares of beneficial interest outstanding 852,133
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 15.45
===========
The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $ 523,685
Dividend income from Portfolio 16,977
Expenses allocated from Portfolio (35,369)
---------
Net investment income allocated from Portfolio 505,293
Expenses
Professional fees $ 15,567
Registration fees 7,488
Transfer agent fees (Note 2) 3,410
Administrative service fee (Note 2) 667
Trustees' fees (Note 2) 992
Shareholder reporting fees (Note 2) 617
Insurance expense 287
Analytical service expense 1,913
Chief compliance officer expense (Note 2) 1,945
Miscellaneous 1,623
--------
Total expenses 34,509
Deduct:
Reimbursement of Fund operating expenses (Note 2) (34,509)
--------
Net expenses --
---------
Net investment income 505,293
---------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from
Portfolio on:
Investments (16,393)
Swap transactions 4,275
Foreign currency transactions and forward foreign currency exchange transactions (14,232)
--------
Net realized gain (loss) (26,350)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (261,794)
Swap contracts (852)
Foreign currency translations and forward foreign currency exchange contracts (13,826)
--------
Change in net unrealized appreciation (depreciation) (276,472)
---------
Net realized and unrealized gain (loss)on investments (302,822)
---------
Net Inrease in Net Assets from Operations $ 202,471
=========
The accompanying notes are an integral part of the financial statements.
4
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, 2006 Year Ended
(Unaudited) December 31, 2005
------------ ------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 505,293 $ 1,807,357
Net realized gain (loss) (26,350) 1,267,557
Change in net unrealized appreciation (depreciation) (276,472) (2,829,217)
------------ ------------
Net increase (decrease) in net assets from investment operations 202,471 245,697
------------ ------------
Distributions to Shareholders (Note 1C)
From net investment income (469,088) (1,881,356)
------------ ------------
Total distributions to shareholders (469,088) (1,881,356)
------------ ------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 610,872 4,184,283
Value of shares issued to shareholders in reinvestment of distributions 378,092 1,683,595
Cost of shares redeemed (5,129,620) (43,336,720)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (4,140,656) (37,468,842)
------------ ------------
Total Increase (Decrease) in Net Assets (4,407,273) (39,104,501)
Net Assets
At beginning of period 17,568,809 56,673,310
At end of period (including undistributed net investment
income of $38,742 and $2,537) $ 13,161,536 $ 17,568,809
============ ============
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2006 -------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ------- ------- ------- ------- -------
Net Asset Value, Beginning of Period $ 15.81 $ 16.52 $ 16.19 $ 14.34 $ 14.88 $ 15.88
------- ------- ------- ------- ------- -------
From Operations:
Net investment income* (a) 0.57 1.13 1.18 1.21 1.26 1.40
Net realized and unrealized
gains (loss) on investments (0.38) (0.54) 0.31 1.85 (0.59) (1.18)
------- ------- ------- ------- ------- -------
Total from investment operations 0.19 0.59 1.49 3.06 0.67 0.22
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income (0.55) (1.30) (1.16) (1.21) (1.21) (1.21)
From net realized gains on investments -- -- -- -- -- (0.01)
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.55) (1.30) (1.16) (1.21) (1.21) (1.22)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 15.45 $ 15.81 $ 16.52 $ 16.19 $ 14.34 $ 14.88
======= ======= ======= ======= ======= =======
Total Return (b) 1.21% 3.70% 9.56% 21.76% 4.70% 1.52%
Ratios/Supplemental data:
Expenses (to average daily net assets)* (c) 0.50%(d) 0.50% 0.50% 0.50% 0.50% 0.50%
Net Investment Income (to average daily net assets)* 7.16%(d) 6.84% 7.28% 7.79% 8.68% 8.86%
Net Assets, End of Period (000's omitted) $13,162 $17,569 $56,673 $57,036 $44,059 $46,302
- ---------
* 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 ratios would have been:
Net investment income per share (a) $ 0.48 $ 0.97 $ 1.12 $ 1.13 $ 1.21 $ 1.33
Ratios (to average daily net assets):
Expenses (c) 1.60%(d) 1.45% 0.87% 1.00% 1.01% 0.97%
Net investment income 6.07%(d) 5.89% 6.91% 7.29% 8.17% 8.39%
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of expense waivers.
(c) Includes the Fund's share of the Portfolio's allocated expenses.
(d) Computed on an annualized basis.
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield 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 High Yield Bond Fund (the "Fund") is a separate
diversified investment series of the Trust.
The Fund invests all of its investable assets in an interest in 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 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 below investment grade 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 (100% at June 30, 2006). 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 Portfolio
values its securities at value as discussed in Note 1A of the
Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
B. Securities transactions and income
Securities transactions in the Portfolio are recorded as of the trade
date. Currently, 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 Fund represent pro rata shares of
gains and losses of the Portfolio.
C. Distributions to shareholders
Distributions to shareholders are recorded on the ex-dividend date. The
Fund's distributions from 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 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 (loss),
accumulated net realized gain (loss) and paid in capital. Undistributed
net investment income (loss) 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 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 among
funds of the Trust and/or portfolios of the Portfolio Trust taking into
consideration, among other things, the nature and type of expense and
the relative size of the funds or portfolios.
7
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond 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 other 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 six months ended June 30, 2006, Standish Mellon
voluntarily reimbursed the Fund for $34,509 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 was charged $3,410 during the six months ended June
30, 2006.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund.
Pursuant to this agreement the Fund was charged $617 during the six
months ended June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary
of the Trust's Chief Compliance Officer. For the six months ended June
30, 2006, the Fund was charged $1,945. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or
Trustee of the Trust or the Portfolio Trust. The Fund pays each Trustee
who is not a director, officer or employee of Standish Mellon or its
affiliates an annual fee.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and
platform administrators and other entities ("Plan Administrators") that
provide record keeping and/or other administrative support services to
accounts, retirement plans and their participants. As compensation for
such services, the Fund may pay each Plan Administrator an
administrative service fee in an amount of up to 0.15% (on an annualized
basis) of the Fund's average daily net assets attributable to Fund
shares that are held in accounts serviced by such Plan Administrator.
The Fund's adviser or its affiliates may pay additional compensation
from their own resources to Plan Administrators and other entities for
administrative services, as well as in consideration of marketing or
other distribution-related services. These payments may provide an
incentive for these entities to actively promote the Fund or cooperate
with the distributor's promotional efforts. For the six months ended
June 30, 2006, the Fund was charged $667 for fees payable to Mellon
Private Wealth Management.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for
the six months ended June 30, 2006, aggregated $1,060,401and $5,694,398,
respectively. The Fund receives a proportionate share of the Portfolio's
income, expenses, and realized and unrealized gains and losses based on
applicable tax allocation rules. Book/tax differences arise when changes
in proportionate interest for funds investing in the Portfolio occur.
8
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
------------- -----------------
Shares sold 38,522 257,259
Shares issued to shareholders in
reinvestment of distributions 24,283 104,233
Shares redeemed (321,905) (2,681,089)
-------- ----------
Net increase (decrease) (259,100) 2,319,597
======== ==========
At June 30, 2006, two shareholders of record held approximately 61% of
the total outstanding shares of the Fund. Investment activities 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 their costs associated with short-term trading in the
Fund. The fee does not apply to shares that were acquired through
reinvestment of distributions. For the six months ended June 30, 2006,
the Fund received $159 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 corresponding master portfolio for tax basis unrealized appreciation
(depreciation) information.
9
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--105.3%
BONDS AND NOTES--95.9%
Convertible Corporate Bonds--0.5%
Centerpoint Energy, Inc. 144A CVT 2.875% 1/15/2024 $ 25,000 $ 26,000
Sinclair Broadcast Group, Inc. (a) 4.875 7/15/2018 25,000 21,688
Xcel Energy, Inc. 144A 7.500 11/21/2007 15,000 23,794
---------
Total Convertible Corporate Bonds (Cost $65,898) 71,482
---------
Collateralized Mortgage Obligations--0.2%
Global Signal Trust 2006-1 F 144A (Cost $30,000) 7.036 2/15/2036 30,000 29,583
---------
Corporate--79.2%
Banking--2.9%
Chevy Chase Bank FSB 6.875 12/1/2013 345,000 345,000
Colonial Bank 9.375 6/1/2011 35,000 39,048
---------
384,048
---------
Basic Industry--8.6%
Airgas, Inc. 6.250 7/15/2014 85,000 79,475
Arch Western Finance 6.750 7/1/2013 25,000 23,938
BCP Crystal Holding Corp. 9.625 6/15/2014 69,000 74,865
Crystal US Holdings Corp. (a) 10.000 10/1/2014 92,000 72,910
Earle M Jorgenson Co. 9.750 6/1/2012 35,000 37,275
Equistar Chemicals LP/Equistar Funding Corp. 10.625 5/1/2011 55,000 59,056
Freeport-McMoRan Copper & Gold, Inc. 10.125 2/1/2010 60,000 63,675
Freeport-McMoRan Copper & Gold, Inc. 6.875 2/1/2014 65,000 62,563
Georgia-Pacific Corp. 8.000 1/15/2024 75,000 70,875
KRATON Polymers LLC/Capital Corp. 8.125 1/15/2014 5,000 4,963
Nalco Co. 7.750 11/15/2011 25,000 24,938
Nalco Co. 8.875 11/15/2013 50,000 50,375
Neenah Paper, Inc. 7.375 11/15/2014 5,000 4,600
Peabody Energy Corp. 6.875 3/15/2013 40,000 39,300
Pogo Producing Co. 6.625 3/15/2015 75,000 69,281
PQ Corp. (c) 7.500 2/15/2013 10,000 9,400
Southern Copper Corp. 6.375 7/27/2015 100,000 95,602
Steel Dynamics, Inc. 9.500 3/15/2009 110,000 113,300
Stone Container Corp. 8.375 7/1/2012 45,000 42,525
Temple-Inland 6.625 1/15/2018 70,000 69,646
United States Steel Corp. 9.750 5/15/2010 34,000 36,210
Westlake Chemical Corp. 6.625 1/15/2016 25,000 23,094
---------
1,127,866
---------
Brokerage--0.1%
E*Trade Financial Corp. 8.000 6/15/2011 15,000 15,300
---------
Capital Goods--11.4%
Alliant Techsystems, Inc. 6.750 4/1/2016 15,000 14,438
Alliant Techsystems, Inc. 144A 2.750 2/15/2024 15,000 16,069
Ball Corp. 6.875 12/15/2012 40,000 39,200
Berry Plastics 10.750 7/15/2012 30,000 32,475
Columbus McKinnon Corp. 8.875 11/1/2013 25,000 25,500
Compression Polymers Holdings 144A 10.500 7/1/2013 15,000 15,300
Crown Americas Inc. 144A 7.625 11/15/2013 120,000 117,900
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Capital Goods (continued)
Crown Americas Inc. 144A 7.750% 11/15/2015 $ 65,000 $ 64,025
Crown Cork & Seal Co, Inc. 7.375 12/15/2026 140,000 122,850
Douglas Dynamics LLC 144A 7.750 1/15/2012 140,000 133,000
DRS Technologies, Inc. 6.625 2/1/2016 15,000 14,513
Esterline Technologies Corp. 7.750 6/15/2013 40,000 40,500
Gibraltar Industries, Inc. 144A 8.000 12/1/2015 35,000 34,825
Goodman Global Holdings (b) 8.329 6/15/2012 93,000 93,233
L-3 Communications Corp. 7.625 6/15/2012 50,000 50,750
L-3 Communications Corp. 6.125 7/15/2013 45,000 42,863
L-3 Communications Corp. 144A (c) 3.000 8/1/2035 20,000 19,500
Leucadia National Corp. 7.000 8/15/2013 90,000 87,300
Norcraft Finance Co. 9.000 11/1/2011 15,000 15,263
Owens-Brockway 7.750 5/15/2011 50,000 50,375
Owens-Illinois, Inc. (c) 7.500 5/15/2010 95,000 92,863
Owens-Illinois, Inc. (c) 7.800 5/15/2018 120,000 112,800
Plastipak Holdings, Inc. 144A 8.500 12/15/2015 55,000 55,000
Silgan Holdings, Inc. 6.750 11/15/2013 70,000 68,250
Solo Cup Co. (c) 8.500 2/15/2014 25,000 21,625
Terex Corp. 7.375 1/15/2014 80,000 79,600
Texas Industries Inc. 7.250 7/15/2013 5,000 4,950
Trinity Industries LE 6.500 3/15/2014 35,000 34,125
---------
1,499,092
---------
Consumer Cyclical--4.9%
Domino's, Inc. 8.250 7/1/2011 38,000 39,425
Ford Motor Credit Co. 6.320 9/28/2007 90,000 88,088
Ford Motor Credit Corp. 5.625 10/1/2008 35,000 32,377
General Motors Acceptance Corp. 7.750 1/19/2010 110,000 109,433
General Motors Acceptance Corp. (c) 6.125 1/22/2008 55,000 53,915
Goodyear Tire & Rubber Co. 9.000 7/1/2015 30,000 28,650
Keystone Automotive Operation, Inc. 9.750 11/1/2013 35,000 33,075
Leslie's Poolmart 7.750 2/1/2013 40,000 38,800
Neiman Marcus Group, Inc. 144A (c) 9.000 10/15/2015 25,000 26,125
Residential Capital Corp. 6.375 6/30/2010 105,000 103,571
Residential Capital Corp. 6.875 6/30/2015 30,000 29,871
Russell Corp. 9.250 5/1/2010 62,000 64,868
---------
648,198
---------
Consumer Noncyclical--6.1%
Alliance One International 11.000 5/15/2012 25,000 23,750
Chattem, Inc. 7.000 3/1/2014 70,000 67,900
Dean Foods Co. 7.000 6/1/2016 35,000 33,863
Del Monte Corp. 8.625 12/15/2012 75,000 77,250
Elizabeth Arden, Inc. 7.750 1/15/2014 20,000 19,650
Ingles Markets, Inc. 8.875 12/1/2011 25,000 26,156
Rite Aid Corp. 12.500 9/15/2006 190,000 191,900
Rite Aid Corp. 8.125 5/1/2010 70,000 70,350
Scotts Co. 6.625 11/15/2013 30,000 28,800
Smithfield Foods, Inc. 7.750 5/15/2013 55,000 53,900
Stater Brothers Holdings 8.125 6/15/2012 110,000 108,625
Stater Brothers Holdings (b) 8.829 6/15/2010 65,000 65,813
True Temper Sports, Inc. 8.375 9/15/2011 35,000 31,850
---------
799,807
---------
The accompanying notes are an integral part of the financial statements.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Schedule of Investments -- June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Energy--6.7%
Amerigas Partners LP/Amerigas Eagle Finance Corp. 7.125% 5/20/2016 $ 40,000 $ 37,500
ANR Pipeline Co. 7.375 2/15/2024 20,000 19,379
ANR Pipeline Co. 7.000 6/1/2025 10,000 9,309
Chesapeake Energy Corp. 7.625 7/15/2013 20,000 20,125
El Paso Natural Gas Co. 8.625 1/15/2022 90,000 97,301
El Paso Natural Gas Co. 7.500 11/15/2026 55,000 53,876
El Paso Natural Gas Co. 8.375 6/15/2032 45,000 47,863
El Paso Production Holding Co. 7.750 6/1/2013 55,000 55,413
Houston Exploration Co. 7.000 6/15/2013 50,000 49,250
Newfield Exploration Corp. 7.625 3/1/2011 35,000 35,438
Southern Natural Gas Co. 8.875 3/15/2010 15,000 15,844
Southern Natural Gas Co. 7.350 2/15/2031 45,000 43,177
Tennessee Gas Pipeline Co. 8.375 6/15/2032 60,000 64,168
Transcont Gas Pipe Corp 7.000 8/15/2011 75,000 75,750
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 110,000 121,275
Williams Cos., Inc. 7.875 9/1/2021 100,000 101,500
Williams Cos., Inc. 7.750 6/15/2031 40,000 39,400
--------
886,568
--------
Insurance--0.6%
Hanover Insurance Group 7.625 10/15/2025 85,000 85,207
--------
Media--3.9%
Cablevision Systems Corp. (b) (c) 9.620 4/1/2009 115,000 121,900
CBD Media, Inc. 8.625 6/1/2011 25,000 24,875
Dex Media West LLC/Dex Media Finance Co. 8.500 8/15/2010 25,000 25,938
Dex Media West LLC/Dex Media Finance Co. 9.875 8/15/2013 28,000 30,345
Dex Media, Inc. 8.000 11/15/2013 30,000 30,150
Entercom Radio LLC/Entercom Capital, Inc. 7.625 3/1/2014 15,000 14,963
Lamar Media Corp. 6.625 8/15/2015 20,000 18,500
R.H. Donnelley Corp. 144A 8.875 1/15/2016 15,000 15,131
R.H. Donnelley Finance Corp. 144A 10.875 12/15/2012 105,000 115,238
Radio One, Inc. 8.875 7/1/2011 45,000 46,631
Salem Communications Corp. 7.750 12/15/2010 70,000 69,475
--------
513,146
--------
Real Estate--0.5%
BF Saul Reit 7.500 3/1/2014 70,000 71,050
--------
Services: Cyclical--11.9%
AMC Entertainment, Inc. 8.000 3/1/2014 15,000 13,744
CCM Merger, Inc. 144A (c) 8.000 8/1/2013 40,000 37,800
Chumash Casino & Resort Enterprises 144A 9.520 7/15/2010 55,000 57,406
Cinemark Inc. (a) 9.750 3/15/2014 50,000 38,750
Cinemark USA, Inc. 9.000 2/1/2013 45,000 47,250
Corrections Corp Of America 7.500 5/1/2011 20,000 20,150
Education Management LLC 144A 8.750 6/1/2014 25,000 24,750
Education Management LLC 144A 10.250 6/1/2016 45,000 44,775
Gaylord Entertainment Co. 6.750 11/15/2014 40,000 37,500
Hertz Corp. 144A 10.500 1/1/2016 20,000 21,200
Hertz Corp. 144A G 8.875 1/1/2014 40,000 41,000
Isle of Capri Casinos, Inc. 7.000 3/1/2014 50,000 47,188
Kansas City Southern Railway 7.500 6/15/2009 50,000 50,000
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Services: Cyclical (continued)
Mashantucket West Pequot 144A 5.912% 9/1/2021 $ 120,000 $ 111,410
Meristar Hospitality Corp. 9.500 4/1/2010 60,000 63,300
Mohegan Tribal Gaming Authority 7.125 8/15/2014 105,000 101,588
Mohegan Tribal Gaming Authority 8.000 4/1/2012 65,000 66,056
Penn National Gaming Inc. 6.875 12/1/2011 25,000 24,438
Penn National Gaming Inc. 6.750 3/1/2015 20,000 18,650
Pinnacle Entertainment, Inc. 8.750 10/1/2013 55,000 57,338
Pokagon Gaming 144A (g) 10.375 6/15/2014 95,000 98,206
Scientific Games 6.250 12/15/2012 70,000 65,450
Seneca Gaming Corp. 7.250 5/1/2012 15,000 14,531
Service Corp International 144A 8.000 6/15/2017 25,000 23,375
Sierra Pacific Resources 8.625 3/15/2014 100,000 105,935
Speedway Motorsports, Inc. 6.750 6/1/2013 160,000 155,200
Standard Pacific Corp. 6.500 8/15/2010 30,000 28,125
Station Casinos, Inc. 6.000 4/1/2012 55,000 51,494
Turning Stone Casino Resort Enterprise 144A 9.125 12/15/2010 85,000 85,850
Williams Scotsman, Inc. 8.500 10/1/2015 20,000 19,750
----------
1,572,209
----------
Services: Non-Cyclical--3.3%
Davita, Inc. 6.625 3/15/2013 25,000 23,750
Fisher Scientific International 6.750 8/15/2014 75,000 74,719
HCA, Inc. 8.750 9/1/2010 80,000 84,341
HCA, Inc. 7.875 2/1/2011 75,000 76,615
Kinetic Concepts, Inc. 7.375 5/15/2013 29,000 29,508
Psychiatric Solutions, Inc. 7.750 7/15/2015 20,000 19,575
Tenet Healthcare Corp. 144A 9.500 2/1/2015 110,000 108,075
WCA Waste Corp. 144A (g) 9.250 6/15/2014 15,000 15,150
----------
431,733
----------
Technology & Electronics--2.4%
Communications & Power Industries, Inc. 8.000 2/1/2012 10,000 10,100
Freescale Semiconductor (c) 7.125 7/15/2014 20,000 20,200
Freescale Semiconductor, Inc. (b) 7.818 7/15/2009 55,000 56,100
Freescale Semiconductor, Inc. (c) 6.875 7/15/2011 210,000 211,050
Sungard Data Systems Inc. 144A (b) 9.431 8/15/2013 15,000 15,694
----------
313,144
----------
Telecommunications--6.7%
Airgate PCS Inc. (b) 8.827 10/15/2011 15,000 15,338
Consolidated Communication Holdings, Inc. 9.750 4/1/2012 52,000 53,560
Intelsat Bermuda International 144A (g) 11.250 6/15/2016 80,000 82,000
Panamsat Corp. 144A (g) 9.000 6/15/2016 10,000 10,150
Qwest Communications International Inc. 7.500 2/15/2014 130,000 126,750
Qwest Communications International Inc. (b) 8.670 2/15/2009 65,000 66,219
Qwest Corp. 7.875 9/1/2011 130,000 131,625
Rural Cellular Corp. 9.875 2/1/2010 25,000 25,719
Rural Cellular Corp. 8.250 3/15/2012 30,000 30,788
Ubiquitel Operating Co. 9.875 3/1/2011 80,000 87,000
Windstream Corp. 144A (g) 8.125 8/1/2013 125,000 127,500
Windstream Corp. 144A (g) 8.625 8/1/2016 125,000 127,813
----------
884,462
----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Utilities--9.1%
AES Corp. 8.875% 2/15/2011 $102,000 $ 107,100
AES Corp. 144A 8.750 5/15/2013 215,000 230,050
CMS Energy Corp. 7.750 8/1/2010 50,000 50,750
CMS Energy Corp. 8.500 4/15/2011 30,000 31,275
Dynegy Holdings, Inc. 144A 8.375 5/1/2016 65,000 64,025
Edison Mission Energy 144A (c) 7.500 6/15/2013 45,000 44,100
FPL Energy National Wind 144A 6.125 3/25/2019 94,190 91,207
Mirant Americas General, Inc. 8.300 5/1/2011 100,000 98,750
Mirant North America LLC 144A 7.375 12/31/2013 170,000 164,050
Monongahela Power Co. 6.700 6/15/2014 35,000 35,997
MSW Energy Holdings 7.375 9/1/2010 110,000 110,000
Nevada Power Co. 6.500 4/15/2012 45,000 44,760
NorthWestern Corp. 5.875 11/1/2014 25,000 24,493
NRG Energy, Inc. 7.250 2/1/2014 45,000 43,875
Reliant Energy, Inc. 9.500 7/15/2013 15,000 15,075
Reliant Energy, Inc. 9.250 7/15/2010 10,000 10,000
TECO Energy, Inc. 7.500 6/15/2010 25,000 25,500
----------
1,191,007
----------
Total Corporate (Cost $10,481,141) 10,422,837
----------
Municipal Bonds--1.3%
Erie County NY Tob Asset Securitization Corp. 6.000 6/1/2028 25,000 24,372
Tobacco Settlement Authority Iowa 6.500 6/1/2023 100,000 98,238
Tobacco Settlement Authority Michigan 7.309 6/1/2034 50,000 49,953
----------
Total Municipal Bonds (Cost $173,811) 172,563
----------
Sovereign Bonds--1.1%
Republic of Argentina 2.000 1/3/2010 25,000 13,577
Republic of Argentina (c) 8.280 12/31/2033 14,425 12,838
Republic of Brazil 8.750 2/4/2025 5,000 5,475
Republic of Brazil 10.125 5/15/2027 5,000 6,213
Republic of Colombia 10.000 1/23/2012 5,000 5,650
Republic of Colombia 10.750 1/15/2013 5,000 5,880
Republic of Colombia (c) 8.125 5/21/2024 5,000 5,075
Republic of Peru 5.000 3/7/2017 15,800 15,247
Republic of Venezuela (b) (c) 2.150 4/20/2011 15,000 14,850
Russian Federation 5.000 3/31/2030 30,000 31,950
Russian Ministry of Finance 3.000 5/14/2008 25,000 23,594
----------
Total Sovereign Bonds (Cost $126,279) 140,349
----------
Yankee Bonds--9.5%
Angiotech Pharmaceutical 144A 7.750 4/1/2014 10,000 9,550
Braskem Sa 144A 12.500 11/5/2008 10,000 11,050
Ineos Group Holdings Plc 144A (c) 8.500 2/15/2016 110,000 102,988
Intelsat Sub Holding Co., Ltd. (b) 9.609 1/15/2012 90,000 90,900
INVISTA 144A 9.250 5/1/2012 155,000 162,750
Jean Coutu Group, Inc. (c) 7.625 8/1/2012 25,000 24,250
JSG Funding PLC 9.625 10/1/2012 50,000 51,500
Kaupthing Bank 144A 7.125 5/19/2016 145,000 145,044
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Yankee Bonds (continued)
Nell AF Sarl 144A (c) 8.375% 8/15/2015 $ 75,000 $ 72,094
Norampac, Inc. 6.750 6/1/2013 40,000 36,000
Nova Chemicals Corp. 8.405 11/15/2013 45,000 44,663
Rogers Wireless Inc. 8.000 12/15/2012 50,000 51,125
Rogers Wireless, Inc. 7.250 12/15/2012 50,000 50,375
Rogers Wireless, Inc. (b) 8.454 12/15/2010 55,000 56,581
Royal Caribbean Cruises Ltd. 8.750 2/2/2011 105,000 112,880
Russel Metals, Inc. 6.375 3/1/2014 25,000 23,125
Shinsei Finance Cayman Ltd 144A 6.418 7/20/2048 100,000 93,918
Stena AB 9.625 12/1/2012 25,000 26,563
Stena AB 7.500 11/1/2013 25,000 24,250
Telenet Group Holding NV 144A (a) 11.500 6/15/2014 46,000 38,985
Wind Acquisition Finance SA 144A 10.750 12/1/2015 20,000 21,250
----------
Total Yankee Bonds (Cost $1,264,904) 1,249,841
----------
Foreign Denominated--4.1%
Euro--4.1%
Central European Distribution Corp. 144A 8.000 7/25/2012 EUR 50,000 68,659
Culligan Finance Corp., BV 144A 8.000 10/1/2014 30,000 40,090
Fresenius Finance BV 144A 5.000 1/31/2013 10,000 12,468
General Motors Acceptance Corp. 5.375 6/6/2011 30,000 36,355
GMAC International Finance BV 4.375 10/31/2007 80,000 100,706
Nordic Telecommunication Co. Holding 144A 8.250 5/1/2016 50,000 65,379
NTL Cable PLC 8.750 4/15/2014 60,000 78,167
Remy Cointreau S.A. 144A 6.500 7/1/2010 20,000 26,599
Sensata Technologies BV 144A 9.000 5/1/2016 50,000 64,627
Telenet Communications NV 144A 9.000 12/15/2013 29,880 41,841
----------
Total Foreign Denominated (Cost $489,195) 534,891
----------
TOTAL BONDS AND NOTES (Cost $12,631,228) 12,621,546
----------
COMMON STOCKS--0.1% Shares
---------
Terex Corp 165 16,286
Verizon Communications, Inc. (Cost $14,295) 545 18,252
----------
34,538
----------
Convertible Preferred Stock--1.0%
Fannie Mae 7.00% CVT Pfd 300 16,106
Sovereign Capital Trust IV 4.375% CVT Pfd 2,500 113,125
----------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $138,000) 129,231
----------
WARRANTS--0.0%
Republic of Argentina Warrant, 12/15/2035 (d) (Cost $0) 39,306 3,400
----------
SHORT-TERM INVESTMENTS--8.3%
INVESTMENT OF CASH COLLATERAL--8.3%
BlackRock Cash Strategies L.L.C. (e) (Cost $1,074,368) 5.140 1,074,368 1,074,368
----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $13,857,891) 13,863,083
----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Value
Security Description Rate Shares (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
AFFILIATED INVESTMENTS--3.2%
Dreyfus Institutional Preferred Plus Money Market Fund (e) (f) (Cost 5.320% 415,338 $ 415,338
-----------
$415,338)
Total Investments--108.5% (Cost $14,273,229) 14,278,421
-----------
Liabilities in Excess of Other Assets--(8.5%) (1,112,551)
-----------
NET ASSETS--100.0% $13,165,870
===========
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 reg
istration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $3,294,368 or 25.0% of net
assets.
CVT--Convertible REIT--Real
Estate Investment Trust
EUR--Euro
(a) Step up security; rate indicated is as of June 30, 2006.
(b) Variable Rate Security; rate indicated is as of June 30, 2006.
(c) Security, or a portion of thereof, was on loan at June 30, 2006.
(d) Non-income producing.
(e) Stated rate is the seven-day yield for the fund at June 30, 2006.
(f) Affiliated institutional money market fund.
(g) Illiquid security. At the period end, the value of these securities
amounted to $460,819 or 3.5% of net assets.
At June 30, 2006, the Portfolio held the following open swap contracts:
Unrealized
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns Ukraine Government, 7.650% due 6/11/2013 Sell 2.840% 12/20/2009 $ 25,000 $ 571
JPMorgan Dow Jones CDX.NA.HY.4 Buy (3.600%) 6/20/2010 158,400 1,759
JPMorgan Dow Jones CDX.NA.BB.5 Buy (2.500%) 12/20/2010 160,975 (3,856)
Merrill Lynch Dow Jones CDX.NA.IG.4 7-10% Tranche Buy (0.305%) 6/20/2010 188,900 (1,257)
Morgan Stanley Dow Jones CDX.NA.IG.4 7-10% Tranche Buy (0.350%) 6/20/2010 300,100 (2,482)
------
$5,265
======
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under the terms of that particular swap agreement, the portfolio
will pay to the buyer of the protection an amount up to the notional value
of the swap and in certain instances, take delivery of the security
Interest Rate Swaps Floating Rate Pay/Receive Fixed Expiration Notional Unrealized
Counterparty Index Floating Rate Rate Date Amount Depreciation
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns USD--LIBOR--BBA Pay 3.907% 11/19/2009 $25,000 $(1,312)
At June 30, 2006, 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, 2006 to Receive Depreciation
- ------------------------------------------------------------------------------------------------------------------------------------
Euro 424,000 9/20/2006 $ 545,237 $ 537,411 $(7,826)
========= ========= =======
The accompanying notes are an integral part of the financial statements.
16
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $1,028,623 (Note 6))
Unaffiliated issuers, at value (Note 1A) (cost $13,857,891) $13,863,083
Affiliated issuers, at value (Note 1A) (cost $415,338) (Note 1H) 415,338
Cash 6,980
Foreign currency, at value (cost $8,779) 8,889
Swap premium paid 5,189
Receivable for investments sold 100,493
Interest and dividends receivable 226,452
Unrealized appreciation on swap contracts (Note 5) 2,330
Prepaid expenses 3,262
-----------
Total assets 14,632,016
Liabilities
Collateral for securities on loan (Note 6) $ 1,074,368
Payable for investments purchased 351,638
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 7,826
Unrealized depreciation on swap contracts (Note 5) 8,907
Payable to brokers (Note 5) 1,346
Accrued professional fees 16,265
Accrued accounting, administration and custody fees (Note 2) 4,304
Accrued trustees' fees and expenses (Note 2) 1,243
Other accrued expenses and liabilities 249
-----------
Total liabilities 1,466,146
-----------
Net Assets (applicable to investors' beneficial interest) $13,165,870
===========
The accompanying notes are an integral part of the financial statements.
17
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Statement of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 522,471
Dividend income from affiliated investments (Note 1H) 8,816
Security lending income, net (Note 6) 1,214
Dividend income 8,161
---------
Total investment income 540,662
Expenses
Investment advisory fee (Note 2) $ 35,369
Accounting, administration and custody fees (Note 2) 22,029
Professional fees 17,327
Insurance expense 2,192
Miscellaneous expenses 1,606
--------
Total expenses 78,523
Deduct:
Waiver of investment advisory fee (Note 2) (35,369)
Reimbursement of Fund operating expenses (Note 2) (7,785)
--------
Total expense deductions (43,154)
Net expenses 35,369
---------
Net investment income 505,293
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Investments (16,393)
Swap transactions 4,275
Foreign currency transactions and forward foreign
currency exchange transactions (14,232)
--------
Net realized gain (loss) (26,350)
Change in unrealized appreciation (depreciation)
Investments (261,794)
Swap contracts (852)
Foreign currency translations and forward foreign
currency exchange contracts (13,826)
--------
Change in net unrealized appreciation (depreciation) (276,472)
---------
Net realized and unrealized gain (loss) (302,822)
---------
Net Increase in Net Assets from Operations $ 202,471
=========
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 Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2006 Year Ended
(Unaudited) December 31, 2005
----------- -----------------
Increase (Decrease) in Net Assets
From Operations
Net investment income $ 505,293 $ 1,807,357
Net realized gain (loss) (26,350) 1,267,557
Change in net unrealized appreciation (depreciation) (276,472) (2,829,217)
----------- ------------
Net increase(decrease) in net assets from investment operations 202,471 245,697
----------- ------------
Capital Transactions
Contributions 1,060,401 5,802,546
Withdrawals (5,694,398) (45,178,933)
----------- ------------
Net increase (decrease) in net assets from capital transactions (4,633,997) (39,376,387)
----------- ------------
Total Increase (Decrease) in Net Assets (4,431,526) (39,130,690)
Net Assets
At beginning of period 17,597,396 56,728,086
----------- ------------
At end of period $13,165,870 $ 17,597,396
=========== ============
19
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2006 ---------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
---------------- ----- ---- ---- ---- ----
Total Return (a) 1.21% 3.70% 9.56% 21.76% 4.71% 1.54%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.50%(b) 0.50% 0.50% 0.50% 0.50% 0.50%
Net Investment Income (to average daily net assets)* 7.16%(b) 6.84% 7.28% 7.79% 8.66% 8.87%
Portfolio Turnover 20%(c) 25% 51% 80% 130% 117%
Net Assets, End of Period (000's omitted) $13,166 $17,597 $56,728 $57,079 $44,144 $47,048
- ----------
* 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 1.11%(b) 1.12% 0.76% 0.85% 0.82% 0.81%
Net investment income 6.55%(b) 6.22% 7.02% 7.44% 8.34% 8.56%
(a) 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.
(b) Calculated on an annualized basis.
(c) Not annualized.
The accompanying notes are an integral part of the financial statements.
20
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 below investment grade 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, 2006 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, 2006
was 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 are valued at the last sale prices on the exchange or
national securities market on which they are primarily traded.
Securities not listed on an exchange or national securities market, or
securities for which there were no reported transactions, are valued
at the last quoted bid price. Securities that are fixed income
securities, other than short-term instruments with less than sixty
days remaining to maturity, for which accurate market prices are
readily available, are valued at their current market value on the
basis of quotations, which may be furnished by a pricing service or
dealers in such securities. 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 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 cost based upon the value on such date unless the Trustees
determine during such sixty-day period that amortized cost 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 earned, 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. Dividends representing a return of capital are reflected as a
reduction of cost.
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 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.
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.
21
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond 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.
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
among funds of the Trust or portfolios of the Portfolio Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or 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 0.50% 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 six months ended June 30, 2006. Pursuant to this agreement,
for the six months ended June 30, 2006, Standish Mellon voluntarily waived
all of its investment advisory fee in the amount of $35,369 and reimbursed
the Portfolio $7,785. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Portfolio has entered into an agreement Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of Mellon Financial Corporation and an
affiliate of Standish Mellon, to provide custody, administration and fund
accounting services for the Portfolio. For these services the Portfolio
pays Mellon Bank a fixed fee plus asset and transaction based fees, as well
as out-of-pocket expenses. Pursuant to this agreement the Portfolio was
charged $22,029 during the six months ended June 30, 2006.
The Portfolio also entered into an agreement with Mellon Bank to perform
certain securities lending activities and to act as the Portfolio's lending
agent. Mellon Bank receives an agreed upon percentage of the net lending
revenues. Pursuant to this agreement, Mellon Bank collected $513 for the
six months ended June 30, 2006. See Note 6 for further details.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. No other director, officer or
employee of Standish Mellon or its affiliates received any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the Trust or the Portfolio Trust. The Fund and Portfolio Trust pays each
Trustee who is not a director, officer or employee of Standish Mellon or
its affiliates (the "Independent Trustees") an annual fee and the Portfolio
Trust pays each Independent Trustee 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 counsel to the Independent
Trustees.
22
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 six months ended June 30, 2006 were as follows:
Purchases Sales
---------- ----------
Investments (non-U.S. Government Securities) $2,740,220 $5,611,416
========== ==========
(4) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $ 14,273,229
============
Gross unrealized appreciation $ 274,490
Gross unrealized depreciation (269,298)
============
Net unrealized appreciation (depreciation) 5,192
============
(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 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 year 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 options contracts during the six
months ended June 30, 2006.
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
23
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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, 2006, the Portfolio held open forward currency exchange
contracts. See the 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.
The Portfolio did not enter into any futures contracts for the six months
ended June 30, 2006.
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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the Schedule of
Investments for further details.
24
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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 loaned securities during the six months ended June 30, 2006
and earned interest on the invested collateral of $24,353 of which, $23,139
was rebated to borrowers or paid in fees. At June 30, 2006, the Portfolio
had securities valued at $1,028,623 on loan. See the Schedule 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.
The Portfolio did not enter into any delayed delivery securities during the
period ended June 30, 2006.
(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 committed amount, is allocated ratably among the participating
portfolios/funds at the end of each quarter. For the six months ended June
30, 2006, the facility fee was $961 for the Portfolio.
For the six months ended June 30, 2006, the Portfolio had average
borrowings outstanding of $341,300 for a total of twenty days and incurred
$198 of interest expense.
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Principal
Name Term of Office Occupation(s)
Address, and Position(s) and Length of During Past
Date of Birth Held with Trust Time Served 5 Years
- -----------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus, Decision
c/o Decision Resources, Inc. 260 11/3/1986 Resources, Inc. ("DRI")
Charles Street Waltham, MA (biotechnology research and
02453 9/30/40 consulting firm); formerly
Chairman of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street Associates
c/o Essex Street Associates 11/3/1986 (family investment trust office)
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee since William Joseph Maier, Professor
c/o Harvard University Littauer Center 9/13/1989 of Political Economy, Harvard
127 Cambridge, MA University
02138 8/5/44
John H. Hewitt Trustee Trustee since Trustee, Mertens House, Inc.
P.O. Box 2333 11/3/1986 (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard The Trustee, Since 2003 President and Chief Operating
Boston Company Asset President and Officer of The Boston Company
Management, LLC One Chief Executive Asset Management, LLC; formerly
Boston Place Boston, MA 02108 Officer Senior Vice President and Chief
7/24/65 Operating Officer, Mellon Asset
Management ("MAM") and Vice
President and Chief
Financial Officer, MAM
Number of Trustee
Po rtfolios in Other Remuneration
Name Fu nd Complex Directorships (period ended
Address, and O verseen by Held by June 30,
Date of Birth Trustee Trustee 2006)
- --------------------------------------------------------------------------------------------
Samuel C. Fleming 34 None Fund: $250
c/o Decision Resources, Inc. 260 Portfolio: $308
Charles Street Waltham, MA 02453
9/30/40
Caleb Loring III 34 None Fund: $250
c/o Essex Street Associates Portfolio: $320
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman 34 None Fund: $250
c/o Harvard University Littauer Center Portfolio: $308
127 Cambridge, MA 02138
8/5/44
John H. Hewitt 34 None Fund: $250
P.O. Box 2333 Portfolio: $308
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard The 34 None $0
Boston Company Asset
Management, LLC One
Boston Place Boston, MA 02108
7/24/65
26
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
Mellon Asset Management and Secretary Operations, Mellon Asset Management
One Boston Place ("MAM"); formerly First Vice President,
Boston, MA 02108 MAM and Mellon Global Investments
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds
Mellon Asset Management and Treasurer since 1999; Controller, Mellon Asset Management;
One Boston Place Treasurer formerly Assistant Vice President and
Boston, MA 02108 since 2002 Mutual Funds Controller, Standish Mellon
7/14/65 Asset Management Company, LLC
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management;
One Boston Place formerly Vice President and Manager,
Boston, MA 02108 Mutual Fund Operations, Standish Mellon
8/19/51 Asset Management Company, LLC
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of
Mellon Asset Management President Compliance, Mellon Asset Management
One Boston Place ("MAM"); formerly Manager of Shareholder
Boston, MA 02108 Services, MAM, and Shareholder
1/19/71 Representative, Standish Mellon Asset
Management Company, LLC
Mary T. Lomasney Chief First Vice President, Mellon Asset
Mellon Asset Management Compliance Management and Chief Compliance Officer,
One Boston Place Officer Since 2005 Mellon Funds Distributor, L.P. and Mellon
Boston, MA 02108 Optima L/S Strategy Fund, LLC; formerly
4/8/57 Director, Blackrock, Inc., Senior Vice
President, State Street Research &
Management Company ("SSRM"), and Vice
President, SSRM
27
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29
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6943SA0606
[Logo] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
International Fixed Income Fund
- --------------------------------------------------------------------------------
June 30, 2006 (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.
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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 991.60 $3.21
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 0.65%,
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- --------------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- --------------------------------------------------------------------
AAA and higher 68.0%
AA 3.3
A 12.3
BBB 11.1
BB 3.6
B 1.7
----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- ----------------------------------------------------------------------------------------------------
Deutsche Republic 4.750 7/4/2034 6.8%
Deutsche Republic 3.250 7/4/2015 4.1
Development Bank of Japan 1.700 9/20/2022 3.9
Swedish Government 3.000 7/12/2016 3.9
Development Bank of Japan 1.600 6/20/2014 3.7
U.S. Treasury Inflation-Indexed Bond 0.875 4/15/2010 3.6
KFW International Finance 1.750 3/23/2010 3.5
Singapore Government Bond 3.500 7/1/2012 3.2
European Investment Bank 1.400 6/20/2017 2.9
United Kingdom Gilt 4.750 6/7/2010 2.8
----
38.4%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- ----------------------------------------------------------------------------
Government 64.1%
Corporate 24.2
Emerging Markets 9.0
Cash & Equivalents 2.7
------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--97.8%
BONDS AND NOTES--96.2%
Corporate--4.9%
Basic Materials--0.2%
Georgia-Pacific Corp. 8.000% 1/15/2024 USD 180,000 $ 170,100
-----------
Communications--0.5%
Qwest Corp. (a) 8.579 6/15/2013 550,000 581,625
-----------
Financial--1.6%
Chevy Chase Bank FSB 6.875 12/1/2013 380,000 380,000
Glencore FundingLLC 144A 6.000 4/15/2014 430,000 392,713
Residential Capital Corp.(a) 6.875 6/29/2007 245,000 245,792
Residential Capital Corp. (a)(b) 6.489 11/21/2008 745,000 747,974
-----------
1,766,479
-----------
Industrial--1.6%
Chesapeake Energy Co. 7.625 7/15/2013 210,000 211,313
Oneok, Inc. 5.510 2/16/2008 575,000 571,275
SAB Miller 5.850 7/1/2009 675,000 674,613
Windstream Corp 144A (f) 8.125 8/1/2013 305,000 311,100
Windstream Corp 144A (f) 8.625 8/1/2016 95,000 97,138
-----------
1,865,439
-----------
Utilities--1.0%
Dominion Resources, Inc. 5.790 9/28/2007 575,000 575,346
Nisource Finance Corp. 5.764 11/23/2009 580,000 580,636
-----------
1,155,982
-----------
Total Corporate Bonds (Cost $5,538,872) 5,539,625
Sovereign Bonds--4.0%
Argentina Bonos (a) 1.162 8/3/2012 675,000 557,888
Egyptian Treasury Bill 144A (f) 9.000 7/14/2006 535,000 577,677
Egyptian Treasury Bill 144A (f) 8.400 2/1/2007 2,150,000 2,188,356
Republic of Panama 7.125 1/29/2026 530,000 511,450
Republic of Turkey 11.500 1/23/2012 625,000 714,844
-----------
Total Sovereign Bonds (Cost $4,548,629) 4,550,215
-----------
Yankee Bonds--1.6%
Kaupthing Bank 144A 7.125 5/19/2016 1,450,000 1,450,435
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 100,000 102,750
Rogers Wireless, Inc. 7.500 3/15/2015 255,000 257,550
-----------
Total Yankee Bonds (Cost $1,797,344) 1,810,735
-----------
Foreign Denominated--78.6%
Australia--0.5%
Queensland Treasury Corp 6.000 6/14/2011 AUD 740,000 551,657
-----------
Brazil--0.5%
Republic of Brazil (a) 12.500 1/5/2016 BRL 1,300,000 588,616
-----------
Canada--4.9%
Canadian Government Bond 5.500 6/1/2010 CAD 2,790,000 2,592,451
Canadian Government Bond 5.000 6/1/2014 1,300,000 1,198,790
Canadian Pacific Railway Ltd. 144A 4.900
6/15/2010 2,000,000 1,794,818
-----------
5,586,059
-----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Euroland--27.9%
ASIF III Jersey, Ltd. 5.125% 5/10/2007 EUR 500,000 $ 647,454
Autostrade SpA (a) 2.552 6/9/2011 900,000 1,152,294
Belgium Government Bond 4.250 9/28/2013 920,000 1,196,513
Bombardier, Inc. 5.750 2/22/2008 245,000 314,481
Bundesobligation (c) 4.500 8/18/2006 710,000 909,514
Bundesobligation 4.000 2/16/2007 545,000 700,185
Bundesrepub Deutschland 5.250 7/4/2010 620,000 834,732
Citigroup Inc. (a) 2.237 6/3/2011 675,000 863,414
Deutsche Cap Trust IV (a) 5.330 9/29/2049 600,000 787,536
Deutsche Republic 4.500 1/4/2013 1,485,000 1,957,407
Deutsche Republic 3.250 7/4/2015 3,965,000 4,773,071
Deutsche Republic (b) (c) 4.750 7/4/2034 5,750,000 7,848,633
Goldman Sachs Group, Inc. (a) 2.850 2/4/2013 405,000 515,704
Hellenic Republic Government Bond 3.700 7/20/2015 1,845,000 2,252,975
Ineos Group Holdings Plc 7.875 2/15/2016 325,000 387,556
Kingdom of Denmark 3.125 10/15/2010 1,210,000 1,504,400
Linde Finance BV 6.000 7/29/2049 50,000 63,115
MPS Capital Trust I 7.990 2/7/2011 550,000 798,994
MUFG Capital Finance 2 (a) 4.850 3/15/2049 370,000 449,425
Netherlands Government Bond 4.000 1/15/2037 575,000 695,662
Owens-Brockway Glass Containers 6.750 12/1/2014 520,000 655,001
Resona Bank Ltd. 144A 4.125 1/10/2049 310,000 377,227
Sogerim 7.000 4/20/2011 385,000 547,523
Sumitomo Mitsui Banking Corp. 144A (a) 4.375 7/15/2049 575,000 689,586
Telefonica Europe BV 5.125 2/14/2013 455,000 589,611
-----------
31,512,013
-----------
Japan--22.2%
Citigroup, Inc. 0.800 10/30/2008 JPY 68,500,000 595,851
Development Bank of Japan 1.400 6/20/2012 270,000,000 2,331,022
Development Bank of Japan 1.600 6/20/2014 500,000,000 4,304,034
Development Bank of Japan 1.700 9/20/2022 553,000,000 4,494,941
Dexia Municipal Agency 0.800 5/21/2012 285,000,000 2,371,439
European Investment Bank 1.400 6/20/2017 402,700,000 3,312,882
Japan Finance Corp. 1.550 2/21/2012 228,000,000 1,995,192
KFW International Finance 1.750 3/23/2010 450,000,000 4,006,923
Volkswagen Financial Services NV 1.150 11/26/2008 200,000,000 1,731,590
-----------
25,143,874
-----------
Mexico--1.4%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 18,700,000 1,560,847
-----------
Poland--2.4%
Poland Government Bond 6.000 11/24/2010 PLN 6,970,000 2,231,900
Poland Government Bond 6.250 10/24/2015 1,410,000 460,739
-----------
2,692,639
-----------
Sweden--4.0%
Swedish Government 3.000 7/12/2016 SEK 35,225,000 4,489,192
-----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Singapore--3.3%
Singapore Government Bond 3.500% 7/1/2012 SGD 5,880,000 $ 3,725,005
-----------
United Kingdom--11.5%
Barclays Bank PLC 6.000 9/15/2026 GBP 240,000 429,444
Bat International Finance PLC 6.375 12/12/2019 155,000 294,395
British Telecom PLC 7.125 12/7/2006 330,000 614,819
Deutsche Telekom International Finance BV 7.125 9/26/2012 305,000 604,738
HBOS Capital Funding LP 6.461 11/30/2048 155,000 301,425
Inco 15.750 7/15/2006 796,000 1,474,115
Transco Holdings PLC 7.000 12/16/2024 140,000 303,416
United Kingdom 4.750 6/7/2010 1,755,000 3,237,662
Gilt United Kingdom Gilt 5.000 3/7/2012 1,450,000 2,711,513
United Kingdom Gilt 8.000 9/27/2013 1,350,000 2,988,428
-----------
12,959,955
-----------
Total Foreign Denominated (Cost $88,614,327) 88,809,857
-----------
US Treasury Obligations--7.1%
U.S. Treasury Inflation-Indexed Bond (c) 0.875 4/15/2010 USD 4,434,086 4,182,762
U.S. Treasury Note (b) 4.250 1/15/2011 2,985,000 2,882,274
U.S. Treasury Note 4.750 5/15/2014 850,000 829,182
U.S. Treasury Note (b) 4.000 2/15/2015 180,000 165,863
-----------
Total U.S. Treasury Obligations (Cost $8,278,072) 8,060,081
-----------
TOTAL BONDS AND NOTES (Cost $108,777,244) 108,770,513
-----------
PURCHASED OPTIONS--0.0% Contract Size
-------------
JPY Call/USD Put, Strike Price 109, 11/21/06 (Cost $ 63,650) 2,375,000 19,166
-----------
SHORT-TERM INVESTMENTS--0.1% Rate Maturity Par Value
---- -------- ---------
U.S. Treasury Bill--0.1%
U.S. Treasury Bill (c)(d) (Cost $148,673) 4.820 9/7/2006 150,000 148,673
-----------
INVESTMENT OF CASH COLLATERAL--1.5% Shares
------
BlackRock Cash Strategies L.L.C. (e) (Cost $1,636,304) 5.140 1,636,304 1,636,304
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $110,625,871) 110,574,656
-----------
AFFILIATED INVESTMENTS--4.1%
Dreyfus Institutional Preferred Plus Money Market Fund
(e)(g) (Cost $4,605,449) 5.320 4,605,449 4,605,449
-----------
Total Investments--101.9% (Cost $115,231,320) 115,180,105
-----------
Liabilities in Excess of Other Assets--(1.9%) (2,114,006)
-----------
NET ASSETS--100% $113,066,099
===========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
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, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $7,981,800 or 7.1% of net
assets.
AUD-Australian Dollar
BRL-Brazilian Real
CAD-Canadian Dollar
EUR-Euro
GBP-British Pound
JPY-Japanese Yen
MXN-Mexican New Peso
PLN-Polish Zloty
SEK-Swedish Krona
SGD-Singapore Dollar
(a) Variable Rate Security; rate indicated is as of June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Denotes all or part of security segregated as collateral. (d) Rate noted is
yield to maturity.
(e) Stated rate is seven-day yield for the fund at year end.
(f) Illiquid security. At the period end, the value of these securities amounted
to $3,174,271 or 2.8% of net assets.
(g) Affiliated money market fund.
At June 30, 2006 the Fund held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain
- ------------------------------------------------------------------------------------------------------------------------------------
US 10 Year Treasury (43 Contracts) Short 9/20/2006 $4,508,953 $14,781
US 5 Year Treasury (40 Contracts) Short 9/29/2006 4,136,250 22,800
-------
$37,581
=======
At June 30, 2006 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, 2006 to Receive Gain/(Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 680,000 9/20/2006 $ 504,487 $ 507,736 $ 3,249
Canadian Dollar 6,520,000 9/20/2006 5,861,071 5,873,874 12,803
Euro 28,530,000 9/20/2006 36,687,768 36,206,348 (481,420)
British Pound Sterling 7,180,000 9/20/2006 13,295,359 13,298,724 3,365
Japanese Yen 2,861,070,000 9/20/2006 25,306,516 25,193,254 (113,262)
Mexican Pesos 12,460,000 9/20/2006 1,098,281 1,084,270 (14,011)
Poland Zloty 8,920,000 9/20/2006 2,814,028 2,787,072 (26,956)
Swedish Krona 68,730,000 9/20/2006 9,623,229 9,430,668 (192,561)
Singapore Dollar 7,145,000 9/20/2006 4,533,409 4,504,052 (29,357)
----------- ----------- ----------
Total $99,724,148 $98,885,998 $(838,150)
=========== =========== ==========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Local
Principal Contract Value at USD Amount Unrealized
Contracts to Receive Amount Value Date June 30, 2006 to Deliver Gain/(Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 1,940,000 9/20/2006 $ 877,862 $ 847,859 $ 30,003
Euro 4,140,000 9/20/2006 5,323,777 5,237,652 86,125
British Pound Sterling 150,000 9/20/2006 277,758 277,103 655
Poland Zloty 1,531,246 7/5/2006 481,773 481,524 249
Poland Zloty 900,000 9/20/2006 283,927 276,099 7,828
Swedish Krona 34,490,000 9/20/2006 4,829,116 4,735,980 93,136
----------- ----------- ---------
Total $12,074,213 $11,856,217 $ 217,996
=========== =========== =========
USD USD
Local Value at In Local Value at Contract Unrealized
Contract to Deliver Amount June 30, 2006 Exchange for Amount June 30, 2006 Value Date (Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
Euro 237,000 $303,323 Icelandic Krona 21,353,700 $280,537 7/11/2006 $(22,786)
======== ======== ========
The Fund held the following written option contracts at June 30, 2006:
Written Call Option Strike Price Expiration Date Notional Amount Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------------------
JPY Call/USD Put 106 11/21/2006 2,375,000 JPY 1 $39,188 $10,191
======= =======
Notional Expiration
Description CounterParty Amount Strike Price Date Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------------------
Call--Republic of Peru, 8.75%,
11/21/2033--Credit default swaption Deutsche Bank 581,000 Default Event 7/6/2006 1 $ 5,461 $--
======= ===
At June 30, 2006, the Fund held the following open swap agreements:
Credit Default Swaps Reference Buy/Sell ( Pay)/Receive Expiration
Counterparty Entity Protection(+) Fixed Rate Date
- ------------------------------------------------------------------------------------------------------------------
Bear Stearns Alcoa, Inc., 6.000% due 1/15/2012 Buy (0.415%) 6/20/2010
Bear Stearns Alcoa, Inc., 6.500% due 6/01/2011 Buy (0.52%) 6/20/2010
Bear Stearns Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016
Bear Stearns Conocophillips, 4.750% due 10/15/2012 Buy (0.31%) 6/20/2010
Bear Stearns Nucor Corp., 4.875% due 10/01/2012 Buy (0.40%) 6/20/2010
Bear Stearns Ukraine Government, 7.650% due 6/11/2013 Sell 2.840% 12/20/2009
Deutsche Bank Republic of Brazil, 12.25%, due 3/6/2030 Sell 1.450% 10/20/2008
Deutsche Bank Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016
Deutsche Bank Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011
JPMorgan British American Tobacco PLC,
4.875% due 2/25/2009 Sell 0.425% 12/20/2010
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011
JPMorgan Daimlerchrysler AG, 7.20% due 9/1/2009 Sell 0.700% 12/20/2010
JPMorgan Degussa AG, 5.125% due 12/10/2013 Buy (1.75%) 12/20/2010
JPMorgan France Telecom, 7.25% due 1/28/2013 Sell 0.660% 12/20/2015
JPMorgan Glencore International AG, 5.375%, due Sell 1.480% 12/20/2010
9/30/2011
JPMorgan ICI Wilmington, 5.625% due 12/1/2013 Sell 0.510% 12/20/2010
JPMorgan iTraxx Europe HiVol Series 4 Version 1 Buy (0.70%) 12/20/2010
JPMorgan Linde Finance BV, 6.375% due 6/14/2007 Sell 0.410% 6/20/2011
JPMorgan Telecom Italia SPA, 6.25% due 2/1/2012 Sell 0.520% 12/20/2010
JPMorgan The BOC Group PLC, 5.875 due 4/29/2009 Buy (0.24%) 6/20/2011
JPMorgan Volkswagen, 4.875% due 5/22/2013 Sell 0.450% 12/20/2010
JPMorgan Glitnir Banki HF, 8.375% due 8/15/2015 Buy (0.66%) 6/20/2011
JPMorgan Kaupthing Bunadarbanki HF, 5.38063% due 12/1/2009 Buy (0.86%) 6/20/2011
JPMorgan LandsBanki Islands HF, 3.30% due 10/19/2010 Buy (0.82%) 6/20/2011
JPMorgan Basell AF SCA, 8.375% due 8/15/2015 Sell 3.80% 6/20/2011
JPMorgan Degussa AG, 5.125% due 12/10/2013 Buy (0.93%) 6/20/2011
Morgan V.F. Corp., 8.50% due 10/1/2010 Buy (0.45%) 6/20/2011
Stanley
Unrealized
Credit Default Swaps Notional Appreciation/
Counterparty Amount (Depreciation)
- --------------------------------------------------------------------------
Bear Stearns $328,000 USD $ (2,741)
Bear Stearns 727,000 USD (8,806)
Bear Stearns 710,000 USD (4,368)
Bear Stearns 1,055,000 USD (3,711)
Bear Stearns 494,000 USD (4,714)
Bear Stearns 840,000 USD 19,151
Deutsche Bank 1,020,000 USD 18,386
Deutsche Bank 460,000 USD (2,830)
Deutsche Bank 1,103,000 USD 1,651
JPMorgan
600,000 EUR 3,814
JPMorgan 210,000 USD 520
JPMorgan 991,000 USD 5,832
JPMorgan 600,000 EUR 5,430
JPMorgan 1,000,000 EUR (49,950)
JPMorgan 475,000 EUR (2,803)
JPMorgan 600,000 EUR 13,359
JPMorgan 600,000 EUR 2,160
JPMorgan 2,975,000 EUR (34,663)
JPMorgan 1,900,000 EUR (10,549)
JPMorgan 600,000 EUR 1,344
JPMorgan 1,900,000 EUR (1,505)
JPMorgan 600,000 EUR 5,284
JPMorgan 375,000 USD (3,040)
JPMorgan 375,000 USD (3,497)
JPMorgan 375,000 USD (4,177)
JPMorgan 950,000 EUR (9,746)
JPMorgan 950,000 EUR (2,396)
Morgan 1,200,000 USD (7,684)
Stanley --------
$(80,249)
========
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under terms of that particular swap agreement, the portfolio will
pay the buyer of protection an amount up to the national value of the swap
and in certain instances, take delivery of the security.
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns USD--LIBOR--BBA Pay 3.907% 11/19/2009 840,000 USD $(44,079)
UBS AG EUR--EURIBOR--TELERATE Pay 3.463% 6/26/2007 23,910,000 EUR (18,741)
UBS AG EUR--EURIBOR--TELERATE Receive 4.243% 6/26/2016 2,360,000 EUR 9,062
UBS AG JPY--LIBOR--BBA Pay 0.87750% 5/11/2008 1,336,000,000 JPY 3,165
UBS AG JPY--LIBOR--BBA Pay 2.5125% 6/6/2026 326,000,000 JPY (2,640)
UBS AG SEK--STIBOR--SIDE Receive 3.06% 6/27/2007 220,110,000 SEK (10,315)
UBS AG SEK--STIBOR--SIDE Pay 4.290% 6/27/2016 21,710,000 SEK (17,664)
--------
$(81,212)
========
Total Return Swaps Expiration Notional Unrealized
Counterparty Pay Receive Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 $1,024,000 $(14,774)
JPMorgan USD-LIBOR-BBA Minus 75 bps EMB1+ index 11/14/2006 1,376,000 (14,912)
--------
$(29,686)
========
Percent of
Country Allocation Investments
- -------------------------------------------------------------------------------
Euro 13.2%
Japan 13.4
U.K. 10.9
Canada 7.0
Denmark 1.5
Sweden 4.1
Australia 0.5
U.S. 21.2
Germany 16.2
Singapore 3.4
Egypt 2.5
Poland 2.5
Mexico 1.4
Other 2.2
-----
100.0%
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $786,952) (Note 7):
Unaffiliated issuers, at value (Note 1A) (cost $110,625,871) $110,574,656
Affiliated issuers, at value (Note 1A) (cost $4,605,449) 4,605,449
Foreign currency, at value (cost $351,151) 351,712
Receivable for Fund shares sold 75,195
Swap premiums paid 50,776
Interest and dividends receivable 1,617,278
Unrealized appreciation on forward currency exchange contracts (Note 6) 237,413
Unrealized appreciation on swap contracts (Note 6) 89,158
Receivable for investments sold 14,799
Prepaid expenses 8,810
------------
Total assets 117,625,246
Liabilities
Collateral for securities on loan (Note 7) $ 1,636,304
Payable to brokers (Note 6) 64,448
Payable for investments purchased 1,554,345
Payable for Fund shares redeemed 37,406
Payable for variation margin on open futures contracts (Note 6) 28,653
Unrealized depreciation on forward currency exchange contracts (Note 6) 880,353
Options written, at value (premium received $44,649) (Note 6) 10,191
Unrealized depreciation on swap contracts (Note 6) 280,305
Accrued chief compliance officer fee (Note 2) 278
Accrued administrator services fee (Note 2) 13,409
Accrued accounting, custody, administration and transfer agent fees (Note 2) 11,802
Accrued professional fees 26,630
Accrued shareholder reporting (Note 2) 2,048
Accrued trustees' fees and expenses (Note 2) 8,120
Other accrued expenses and liabilities 4,855
-----------
Total liabilities 4,559,147
------------
Net Assets $113,066,099
============
Net Assets consist of:
Paid-in capital $163,512,998
Accumulated net realized loss (49,853,020)
Undistributed net investment income 172,611
Net unrealized depreciation (766,490)
------------
Total Net Assets $113,066,099
============
Shares of beneficial interest outstanding 6,554,693
------------
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 17.25
============
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income (Including $2,159 of foreign tax expense) $1,944,311
Dividend income from affiliated investments (Note 1H) 59,503
Security lending income (Note 7) 2,722
----------
2,006,536
Expenses
Investment advisory fee (Note 2) $234,128
Accounting, custody, administration and transfer agent fees (Note 2) 50,872
Administrative service fee (Note 2) 14,381
Professional fees 36,402
Registration fees 12,035
Trustees' fees and expenses (Note 2) 11,632
Insurance expense 5,301
Miscellaneous expenses 14,801
------
Total expenses 379,552
----------
Net investment income 1,626,984
----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 75,414
Financial futures transactions 272,217
Written options transactions 136,887
Swap transactions 23,315
Foreign currency transactions and forward foreign currency exchange transactions (2,417,337)
----------
Net realized gain (loss) (1,909,504)
Change in unrealized appreciation (depreciation) on:
Investments 1,529,911
Financial futures contracts 81,967
Written options contracts (83,782)
Swap contracts (179,383)
Foreign currency translation and forward foreign currency exchange contracts (2,054,229)
----------
Change in net unrealized appreciation (depreciation) (705,516)
----------
Net realized and unrealized gain on investments (2,615,020)
----------
Net (Decrease) in Net Assets from Operations $ (988,036)
==========
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, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 1,626,984 $ 7,563,650
Net realized gain (loss) (1,909,504) 21,980,627
Change in net unrealized appreciation (depreciation) (705,516) (20,301,404)
------------ ------------
Net increase (decrease) in net assets from investment operations (988,036) 9,242,873
------------ ------------
Distributions to Shareholders (Note 1C)
From net investment income (1,050,622) (33,162,511)
------------ ------------
Total distributions to shareholders (1,050,622) (33,162,511)
------------ ------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 7,072,328 35,702,518
Value of shares issued to shareholders in reinvestment of 968,979 29,233,578
distributions
Cost of shares redeemed (15,657,836) (220,701,289)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (7,616,529) (155,765,193)
------------ ------------
Total Increase (Decrease) in Net Assets (9,655,187) (179,684,831)
Net Assets
At beginning of period 122,721,286 302,406,117
------------ ------------
At end of period[including undistributed net investment
income and distributions in excess of net investment
income of $172,611 and ($403,751)] $113,066,099 $122,721,286
============ ============
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 June Year Ended December 31,
30, 2006 -----------------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
--------- --------- --------- ---------- --------- -------
Net Asset Value, Beginning of Period $17.55 $21.35 $21.02 $20.04 $19.43 $18.97
-------- -------- -------- -------- -------- --------
From Operations:
Net investment income (a) 0.24 0.75 0.75 0.66 0.75 0.76
Net realized and unrealized
gain(loss) on investments (0.39) 0.23 0.27 0.32 0.46 0.01
-------- -------- -------- -------- -------- --------
Total from investment operations (0.15) 0.98 1.02 0.98 1.21 0.77
-------- -------- -------- -------- -------- --------
Less Distributions to Shareholders:
From net investment income (0.15) (4.78) (0.69) -- (0.47) (0.31)
From tax return of capital -- -- -- -- (0.13) --
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.15) (4.78) (0.69) -- (0.60) (0.31)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period $17.25 $17.55 $21.35 $21.02 $20.04 $19.43
======== ======== ======== ======== ======== ========
Total Return (0.84%)(b) 4.72% 4.90% 4.89% 6.44% 4.07%
Ratios/Supplemental Data:
Expenses (to average daily net assets) 0.65%(c) 0.58% 0.57% 0.59% 0.59% 0.56%
Net Investment Income (to average daily
net assets) 2.78%(c) 3.49% 3.43% 3.20% 3.89% 3.94%
Portfolio Turnover 52%(b) 168% 170% 185% 159% 211%
Net Assets, End of Period (000's omitted) $113,066 $122,721 $302,406 $369,706 $364,460 $422,626
- -------------
(a) Calculated based on average shares outstanding.
(b) Not annualized.
(c) 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, and
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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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.
Dividends representing a return of capital are reflected as a reduction of
cost.
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. 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 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 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, capital loss
carryforwards 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(loss), accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income (loss) 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.
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. Foreign currency transactions
The Fund 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.
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 are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated among the funds of the Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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
payable 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 was charged $0 during the six months ended June 30, 2006.
The Fund has entered into an agreement with 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
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 was charged
$50,872 during the six months ended June 30, 2006.
The Fund also entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Mellon Bank receives an agreed upon percentage of the net lending revenues.
Pursuant to this agreement, Mellon Bank collected $1,159 for the six months
ended June 30, 2006. See Note 7 for further details.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. Pursuant
to this agreement the Fund was charged $2,048 during the six months ended
June 30, 2006.
14
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,933. No other director, officer or employee
of Standish Mellon or its affiliates receives any compensation from the
Trust or the Fund for serving as an officer or Trustee of the Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to Fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts. For the
six months ended June 30, 2006, the Fund was charged $14,506 for fees
payable to Mellon Private Wealth Management.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $ 9,221,091 $12,531,526
=========== ===========
Investments (non-U.S. Government Securities) $51,349,402 $56,379,851
=========== ===========
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
---------------- -----------------
Shares sold 404,885 1,676,512
Shares issued to shareholders
reinvestment of distributions declared 55,849 1,578,442
Shares redeemed (900,085) (10,425,328)
----------- -----------
Net increase (decrease) (439,351) 7,170,374
=========== ===========
At June 30, 2006, four shareholders of record held approximately 64% of the
total outstanding shares of the Fund. Investment activities 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 were acquired through reinvestment of distributions. For the six months
ended June 30, 2006, the Fund did not collect any redemption fees.
(5) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at June 30, 2006, as computed on a federal income tax basis,
were as follows:
Aggregate cost $115,231,320
============
Gross unrealized appreciation 1,813,414
Gross unrealized depreciation (1,864,629)
------------
Net unrealized appreciation (depreciation) $(51,215)
============
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 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 security 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 option is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at year 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 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.
During the six months ended June 30, 2006, the Fund entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 3 $126,669
Options written 5 17,012
Options expired (7) (107,542)
Options closed (1) (36,139)
-------- --------
Outstanding, end of period 0 $ --
======== ========
Number of
Written Call Option Transactions Contracts Premiums
Outstanding, beginning of period 1 $18,351
Options written 3 46,375
Options expired (2) (20,077)
-------- --------
Outstanding, end of period 2 $44,649
======== ========
At June 30, 2006, the Fund held options. See the Schedule of Investments for
further details.
16
Mellon Institutional Funds Investment Trust Standish Mellon
International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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, 2006, the Fund held currency exchange contracts. See the
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 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 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 counterparty does
not perform under the contract's terms. The Fund 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, 2006, the Fund held futures contracts. See the 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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the Schedule of
Investments for further details.
17
Mellon Institutional Funds Investment
Trust Standish Mellon International Fixed Income 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 loaned securities during the six months ended June 30, 2006 and
earned interest on the invested collateral of $203,772 of which, $201,050
was rebated to borrowers or paid in fees. At June 30, 2006, the Fund had
securities valued at $786,952 on loan. See the Schedule of Investments for
further detail on the security positions on loan and collateral held.
(8) Line of Credit:
The Fund, and other funds in the Trust and subtrusts in Mellon
Institutional Funds Master Portfolio (the "Portfolio Trust") are parties to
a committed line of credit facility, which enables each fund/portfolio to
borrow, in the aggregate, up to $35 million. Interest is charged to each
participating fund/portfolio 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 committed amount, is
allocated ratably among the participating funds/portfolios at the end of
each quarter. For six months ended June 30, 2006, the facility fee was $0
for the Fund.
For the six months ended June 30, 2006, the Fund had average borrowings
outstanding of $173,500 on a total of two days and incurred $47 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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Principal
Name Term of Office Occupation(s)
Address, and Position(s) and Length of During Past
Date of Birth Held with Trust Time Served 5 Years
- -------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus,
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Inc.
260 Charles Street ("DRI")(biotechnology
Waltham, MA 02453 research and consulting
9/30/40 firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street
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,
c/o Harvard University 9/13/1989 Professor of Political
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt Trustee Trustee since Trustee, Mertens
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
The Boston Company and Chief Operating Officer of
Asset Management, LLC 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 Asset Management
("MAM") and Vice
President and Chief
Financial Officer, MAM
Number of Trustee
Portfolios in Other Remuneration
Fund Complex Directorships (period ended
Overseen by Held by June 30,
Trustee Trustee 2006)
- ---------------------------------------------------------------
<c>
34 None $1,709
34 None $1,801
34 None $1,709
34 None $1,709
34 None $0
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly Vice
One Boston Place President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds Distributor, L.P.
One Boston Place Officer and Mellon Optima L/S Strategy Fund, LLC; formerly
Boston, MA 02108 Director, Blackrock, Inc., Senior Vice President,
4/8/57 State Street Research & Management Company
("SSRM"), and 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
6931SA0606
[Logo]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
- --------------------------------------------------------------------------------
June 30, 2006 (Unaudited) International Fixed Income Fund II
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.
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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- -----------------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,034.50 $3.78
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 0.75%,
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- -------------------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- -------------------------------------------------------------------------
AAA and higher 72.6%
AA 1.7
A 13.1
BBB 7.6
BB 3.4
B 1.6
-----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- ----------------------------------------------------------------------------------------------------------------------
Netherlands Government Bond 4.250 7/15/2013 5.9%
United Kingdom Gilt 4.000 3/7/2009 5.6
Hellenic Republic Government Bond 3.700 7/20/2015 5.1
Deutsche Republic 4.750 7/4/2034 4.3
United Kingdom Gilt 4.750 6/7/2010 4.2
Development Bank of Japan 1.600 6/20/2014 4.1
Swedish Government 3.000 7/12/2016 3.6
Deutsche Republic 4.500 1/4/2013 3.3
Japan Finance Corp. 1.550 2/21/2012 2.9
Canadian Government Bond 5.000 6/1/2014 2.8
-----
41.8%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- -------------------------------------------------------------------------------
Government 66.9%
Corporate 18.2
Mortgage 0.1
Emerging Markets 9.2
Cash & equivalents 5.6
-----
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, 2006 (Unaudited)
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--94.4%
BONDS AND NOTES--91.7%
Corporate--4.2%
Basic Materials--0.2%
Georgia-Pacific Corp. 8.000% 1/15/2024 USD 70,000 $ 66,150
----------
Communications--0.3%
Qwest Corp. (a) 8.579 6/15/2013 125,000 132,188
Financial--1.1%
Chevy Chase Bank FSB 6.875 12/1/2013 45,000 45,000
Glencore Funding LLC 144A 6.000 4/15/2014 105,000 95,895
Residential Capital Corp. (a) (b) 6.875 6/29/2007 55,000 55,178
Residential Capital Corp. (a) 6.489 11/21/2008 155,000 155,619
Residential Capital Corp. 6.375 6/30/2010 45,000 44,388
Residential Capital Corp. 6.875 6/30/2015 80,000 79,655
----------
475,735
----------
Industrial--1.6%
Chesapeake Energy Co. 7.625 7/15/2013 75,000 75,469
Oneok, Inc. 5.510 2/16/2008 200,000 198,704
SAB Miller PLC 5.850 7/1/2009 240,000 239,862
Windstream Corp. 144A (f) 8.125 8/1/2013 105,000 107,100
Windstream Corp. 144A (f) 8.625 8/1/2016 35,000 35,788
----------
656,923
----------
Utilities--1.0%
Dominion Resources, Inc. 5.790 9/28/2007 200,000 200,120
Nisource Finance Corp. 5.764 11/23/2009 205,000 205,225
----------
Total Corporate Bonds (Cost $1,735,069) 405,345
----------
1,736,341
----------
Sovereign Bonds--3.7%
Argentina Bonos (a) 1.162 8/3/2012 250,000 206,625
Egyptian Treasury Bill 144A (f) 9.000 7/14/2006 115,000 124,174
Egyptian Treasury Bill 144A (f) 8.400 2/1/2007 500,000 508,920
Republic of Argentina 0.698 9/30/2014 330,000 102,453
Republic of Brazil 8.000 1/15/2018 115,000 121,210
Republic of El Salvador 7.650 6/15/2035 65,000 63,050
Republic of Panama 7.125 1/29/2026 110,000 106,150
Republic of Philippines 9.375 1/18/2017 105,000 115,500
Republic of Turkey 11.500 1/23/2012 150,000 171,563
----------
Total Sovereign Bonds (Cost $1,522,655) 1,519,645
----------
Yankee Bonds--1.4%
Kaupthing Bank 144A 7.125 5/19/2016 450,000 450,135
Naftogaz Ukrainy Rogers Wireless, Inc. 8.125 9/30/2009 100,000 93,375
Total Yankee Bonds (Cost $577,142) 7.500 3/15/2015 25,000 25,250
----------
568,760
----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------------
Foreign Denominated--79.7%
Australia--0.5%
Queensland Treasury Corp. 6.000% 6/14/2011 AUD 255,000 $ 190,098
----------
Brazil--0.6%
Republic of Brazil 12.500 1/5/2016 BRL 545,000 246,766
----------
Canada--3.0%
Canadian Government Bond 5.000 6/1/2014 CAD 1,230,000 1,134,240
Canadian Pacific Railway Ltd. 144A 4.900 6/15/2010 95,000 85,254
----------
1,219,494
----------
Euro--33.5%
ASIF III Jersey, Ltd. 5.125 5/10/2007 EUR 180,000 233,083
Autostrade SpA (a) 2.552 6/9/2011 200,000 256,065
Bombardier, Inc. 5.750 2/22/2008 100,000 128,360
Bundesobligation 4.500 8/18/2006 850,000 1,088,855
Bundesobligation 4.000 2/16/2007 290,000 372,575
Citigroup, Inc. (a) 2.237 6/3/2011 110,000 140,705
Deutsche Bundesrepublik 5.000 7/4/2011 675,000 907,130
Deutsche Cap Trust IV (a) 5.330 9/29/2049 85,000 111,568
Deutsche Republic (d) 4.500 1/4/2013 1,005,000 1,324,710
Deutsche Republic 3.250 7/4/2015 770,000 926,927
Deutsche Republic 4.750 7/4/2034 1,255,000 1,713,049
GE Capital European Funding (a) 2.198 5/4/2011 110,000 140,613
Goldman Sachs Group, Inc. (a) 2.850 2/4/2013 150,000 191,001
Hellenic Republic Government Bond 3.700 7/20/2015 1,670,000 2,039,278
Ineos Group Holdings Plc 7.875 2/15/2016 125,000 149,060
Linde Finance BV 6.000 7/29/2049 20,000 25,246
MPS Capital Trust I 7.990 2/7/2011 85,000 123,481
MUFG Capital Finance 2 (a) 4.850 3/15/2049 130,000 157,906
Netherlands Government Bond 4.000 1/15/2037 615,000 744,056
Netherlands Government Bond 4.250 7/15/2013 1,825,000 2,374,283
Owens-Brockway Glass Containers 6.750 12/1/2014 60,000 75,577
Resona Bank Ltd. 144A 4.125 1/10/2049 70,000 85,180
Sogerim 7.000 4/20/2011 100,000 142,214
Sumitomo Mitsui Banking Corp. 144A (a) 4.375 7/15/2049 130,000 155,906
Telefonica Europe BV 5.125 2/14/2013 90,000 116,626
Telenet Communications NV 144A (d) 9.000 12/15/2013 37,350 52,301
----------
13,775,755
----------
Japan--19.9%
European Investment Bank 1.900 1/26/2026 JPY 60,400,000 496,311
Citigroup, Inc. 0.800 10/30/2008 21,300,000 185,279
Development Bank of Japan 1.400 6/20/2012 84,000,000 725,207
Development Bank of Japan 1.600 6/20/2014 190,000,000 1,635,533
Development Bank of Japan 1.700 9/20/2022 130,000,000 1,056,677
Dexia Municipal Agency 0.800 5/21/2012 87,000,000 723,913
European Investment Bank 1.400 6/20/2017 130,000,000 1,069,468
Japan Finance Corp. 1.550 2/21/2012 132,000,000 1,155,111
KFW International Finance 1.750 3/23/2010 125,000,000 1,113,034
----------
8,160,533
----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Mexico--1.5%
Mexican Fixed Rate Bonds 8.000% 12/19/2013 MXN 7,465,000 $ 623,087
----------
Poland--2.8%
Poland Government Bond 6.250 10/24/2015 PLN 925,000 302,258
Poland Government Bond 6.000 11/24/2010 2,600,000 832,559
----------
1,134,817
----------
Sweden--3.5%
Swedish Government 3.000 7/12/2016 SEK 11,500,000 1,465,599
----------
United Kingdom--14.4%
Barclays Bank PLC 6.000 9/15/2026 GBP 90,000 161,041
Bat International Finance PLC 6.375 12/12/2019 60,000 113,959
British Telecom PLC 7.125 12/7/2006 125,000 232,886
Deutsche Telekom International Finance BV 7.125 9/26/2012 115,000 228,016
HBOS Capital Funding LP 6.461 11/30/2048 60,000 116,681
Inco 15.750 7/15/2006 200,000 370,381
Transco Holdings PLC 7.000 12/16/2024 50,000 108,363
United Kingdom Gilt (d) 4.000 3/7/2009 1,245,000 2,254,694
United Kingdom Gilt 4.750 6/7/2010 925,000 1,706,460
United Kingdom Gilt 8.000 9/27/2013 285,000 630,889
----------
5,923,370
----------
Total Foreign Denominated (Cost $32,207,450) 32,739,519
----------
U.S. Treasury Obligations--2.7%
U.S. Treasury Bond (b) 5.250 11/15/2028 USD 100,000 99,531
U.S. Treasury Note (b) 4.750 5/15/2014 700,000 682,856
U.S. Treasury Note 4.000 2/15/2015 385,000 354,771
----------
Total U.S. Treasury Obligations (Cost $1,752,244) 1,137,158
----------
TOTAL BONDS AND NOTES (Cost $37,794,560) 37,701,423
----------
PURCHASED OPTIONS--0.0% Contract Size
-------------
JPY Call/USD Put, Strike Price 109, 11/21/06 (Cost $20,502) 765,000 6,174
SHORT-TERM INVESTMENTS--0.6% Rate Maturity Par Value
------ --------- ----------
U.S. Treasury Bill--0.6%
U.S. Treasury Bill (c ) (d) 4.510 7/20/2006 190,000 189,613
U.S. Treasury Bill (c ) (d) 4.720 9/7/2006 50,000 49,554
----------
TOTAL SHORT TERM INVESTMENTS (COST $239,101) 239,167
----------
INVESTMENT OF CASH COLLATERAL--2.1% Shares
--------
BlackRock Cash Strategies L.L.C (e) (Cost $856,038) 5.140 856,038 856,038
TOTAL UNAFFILIATED INVESTMENTS (Cost $38,910,201) 38,802,802
---------
AFFILIATED INVESTMENTS--3.6%
Dreyfus Institutional Preferred Plus Money Market Fund (e) (g)(Cost $1,500,000) 5.320 1,500,000 1,500,000
-----------
Total Investments--98.0% (Cost $40,410,201) 40,302,802
-----------
Assets Less Liabilities--2.0% 802,306
-----------
NET ASSETS--100% $41,105,108
===========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
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
reg-istration, normally to qualified institutional buyers.At the period
end, the value of these securities amounted to $1,700,653 or 4.1% of net
assets.
AUD-Australian Dollar
BRL-Brazilian Real
CAD-Canadian Dollar
EUR-Euro
GBP-British Pound
JPY-Japanese Yen
MXN-Mexican New Peso
PLN-Polish Zloty
SEK-Swedish Krona
(a) Variable Rate Security; rate indicated is as of June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Rate noted is yield to maturity.
(d) Denotes all or part of security segregated as collateral.
(e) Stated rate is seven-day yield for the fund at year end.
(f) Illiquid security. At the period end, the value of these securities
amounted to $775,982 or 0.2% of net assets.
(g) Affiliated money market fund.
At June 30, 2006, the Fund held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 5 Year Treasury Note (14 Contracts) Short 9/29/2006 $1,447,688 $ 7,921
U.S. 10 Year Treasury Note (9 Contracts) Short 9/20/2006 943,734 3,053
Euro--Bund (10 Contracts) Short 9/7/2006 1,427,064 5,726
-------
$16,700
=======
At June 30, 2006, 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, 2006 to Receive Gain/(Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
British Pound Sterling 1,690,000 9/20/2006 $3,129,407 $3,130,201 $ 794
Canadian Dollar 190,000 9/20/2006 170,798 171,171 373
Euro 950,000 9/20/2006 1,221,639 1,207,952 (13,687)
Japanese Yen 57,300,000 9/20/2006 506,826 504,846 (1,980)
Mexican Pesos 4,490,000 9/20/2006 395,769 390,720 (5,049)
Poland Zloty 3,770,000 9/20/2006 1,189,338 1,179,223 (10,115)
Singapore Dollar 120,000 9/20/2006 76,138 75,645 (493)
Swedish Krona 18,460,000 9/20/2006 2,584,676 2,533,105 (51,571)
---------- ---------- ---------
Total $9,274,591 $9,192,863 $(81,728)
========== ========== =========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Local
Principal Contract Value at USD Amount Unrealized
Contracts to Receive Amount Value Date June 30, 2006 to Deliver Gain
- ------------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 500,000 9/20/2006 $226,253 $219,235 $ 7,018
British Pound Sterling 100,000 9/20/2006 185,172 184,974 198
Euro 5,965,000 9/20/2006 7,670,611 7,558,594 112,017
Japanese Yen 853,810,000 9/20/2006 7,552,054 7,521,420 30,634
Poland Zloty 1,334,541 9/20/2006 420,162 417,129 3,033
Swedish Krona 10,140,000 9/20/2006 1,419,752 1,392,800 26,952
----------- ----------- --------
Total $17,474,004 $17,294,152 $179,852
=========== =========== ========
The Fund held the following cross currency forward contracts at June 30, 2006:
Local Value at In Local Value at Contract Unrealized
Contract to Deliver Currency June 30, 2006 Exchange for Currency June 30, 2006 Value Date (Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
Euro 74,000 $94,708 Icelandic Krona 6,667,400 $ 87,594 7/11/2006 $ (7,114)
======== ========= ==========
The Fund held the following written option contracts at June 30, 2006:
Written Call Option Strike Price Expiration Date Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------------------
JPY Call/USD Put 106 11/21/2006 1 $12,623 $3,283
========= ======= ======
Notional Expiration
Description CounterParty Amount Strike Price Date Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------------------
Call--Republic of Peru, 8.75%,
11/21/2033--credit default swap Deutsche Bank 180,000 Default Event 7/5/2006 1 $ 1,692 $ --
======= ====
At June 30, 2006, the Fund held the following open swap agreements:
Unrealized
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns Alcoa, Inc., 6.000% due 1/15/2012 Buy (0.415%) 6/20/2010 72,000 USD $ (601)
Bear Stearns Alcoa, Inc., 6.500% due 6/01/2011 Buy (0.52%) 6/20/2010 158,000 USD (1,914)
Bear Stearns Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016 270,000 USD (1,046)
Bear Stearns Conocophillips, 4.750% due 10/15/2012 Buy (0.31%) 6/20/2010 230,000 USD (809)
Bear Stearns Nucor Corp., 4.875% due 10/01/2012 Buy (0.40%) 6/20/2010 108,000 USD (1,031)
Bear Stearns Ukraine Government, 7.650% due 6/11/2013 Sell 2.840% 12/20/2009 80,000 USD 1,824
Deutsche Bank Republic of Brazil, 12.25%, due 3/6/2030 Sell 1.450% 10/20/2008 240,000 USD 4,326
Deutsche Bank Bellsouth Corp., 6.000% due 10/15/2011 Buy (0.62%) 3/20/2016 170,000 USD (1,661)
Deutsche Bank Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 368,000 USD 551
JPMorgan British American Tobacco
PLC, 4.875% due 2/25/2009 Sell 0.425% 12/20/2010 225,000 EUR 1,430
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 70,000 USD 172
JPMorgan Dow Jones CDX.EM.5 Buy (1.35%) 6/20/2011 330,000 USD 1,942
JPMorgan Daimlerchrysler AG, 7.20% due 9/1/2009 Sell 0.700% 12/20/2010 225,000 EUR 2,036
JPMorgan Degussa AG, 5.125% due 12/10/2013 Buy (1.75%) 12/20/2010 375,000 EUR (18,731)
JPMorgan France Telecom, 7.25% due 1/28/2013 Sell 0.660% 12/20/2015 100,000 EUR (590)
JPMorgan Glencore International AG, 5.375%, due 9/30/2011 Sell 1.480% 12/20/2010 225,000 EUR 5,010
JPMorgan ICI Wilmington, 5.625% due 12/1/2013 Sell 0.510% 12/20/2010 225,000 EUR 810
JPMorgan iTraxx Europe HiVol Series 4 Version 1 Buy (0.70%) 12/20/2010 1,175,000 EUR (13,691)
JPMorgan Linde Finance BV, 6.375% due 6/14/2007 Sell 0.410% 6/20/2011 675,000 EUR (3,748)
JPMorgan Telecom Italia SPA, 6.25% due 2/1/2012 Sell 0.520% 12/20/2010 225,000 EUR 504
JPMorgan The BOC Group PLC, 5.875 due 4/29/2009 Buy (0.24%) 6/20/2011 675,000 EUR (535)
JPMorgan Volkswagen, 4.875% due 5/22/2013 Sell 0.450% 12/20/2010 225,000 EUR 1,982
JPMorgan Glitnir Banki HF, 8.375% due 8/15/2015 Buy (0.66%) 6/20/2011 125,000 USD (1,013)
JPMorgan Kaupthing Bunadarbanki HF, 5.38063% due 12/1/2009 Buy (0.86%) 6/20/2011 125,000 USD (1,166)
JPMorgan LandsBanki Islands HF, 3.30% due 10/19/2010 Buy (0.82%) 6/20/2011 125,000 USD (1,392)
JPMorgan Basell AF SCA, 8.375% due 8/15/2015 Sell 3.80% 6/20/2011 325,000 EUR (3,334)
Morgan Stanley V.F. Corp., 8.50% due 10/1/2010 Buy (0.45%) 6/20/2011 400,000 USD (2,561)
Morgan Stanley Degussa AG, 5.125% due 12/10/2013 Buy (0.93%) 6/20/2011 325,000 EUR (820)
-----
$(34,056)
========
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under terms of that particular swap agreement, the portfolio will
pay the buyer of protection an amount up to the national value of the swap
and in certain instances, take delivery of the security.
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns USD--LIBOR-- BBA Pay 3.907% 11/19/2009 80,000 USD $(4,198)
UBS AG EUR--EURIBOR--TELERATE Pay 3.463% 6/26/2007 8,440,000 EUR (6,615)
UBS AG EUR--EURIBOR--TELERATE Receive 4.243% 6/26/2016 830,000 EUR 3,187
UBS AG JPY--LIBOR--BBA Pay 0.8775% 5/11/2008 421,000,000 JPY 998
UBS AG JPY--LIBOR--BBA Pay 2.5125% 6/6/2026 129,000,000 JPY (1,045)
UBS AG SEK--STIBOR--SIDE Receive 3.06% 6/27/2007 77,690,000 SEK (3,641)
UBS AG SEK--STIBOR--SIDE Receive 4.290% 6/27/2016 7,660,000 SEK (6,232)
--------
$(17,546)
========
Unrealized
Floating Rate Expiration Notional Appreciation/
Total Return Swaps Index Receive Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan USD-LIBOR-BBA Minus 75 bps EMBI+ index 11/14/2006 341,000 $ (4,920)
JPMorgan USD-LIBOR-BBA Minus 75 bps EMBI+ index 11/14/2006 459,000 (4,974)
--------
$ (9,894)
========
Percent of
Country Allocation Investments
- -------------------------------------------------------------------------------
Euro 6.1%
Japan 12.7
U.K. 14.6
Canada 4.5
Sweeden 3.7
Australia 0.5
Germany 17.6
U.S. 17.6
Netherlands 8.9
Greece 5.2
Poland 2.9
Egypt 1.6
Mexico 1.6
Brazil 1.0
Other 1.5
------
100.0%
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $837,565) (Note 7)
Unaffiliated issuers, at value (Note 1A) (cost $38,910,201) $38,802,802
Affiliated issuers, at value (Note 1A) (cost $1,500,000) (Note 1H) 1,500,000
Cash 1,385,060
Foreign Currency (cost, $142,515) 143,475
Receivable for Fund shares sold 10,657
Swap premium paid 17,702
Unrealized appreciation on forward currency exchange contracts (Note 6) 181,019
Unrealized appreciation on swap contracts (Note 6) 24,772
Receivable for investments sold 1,736
Interest and dividends receivable 831,874
Prepaid expenses 7,463
-----------
Total assets 42,906,560
-----------
Liabilities
Payable for Fund shares redeemed $ 3,217
Payable for investments purchased 695,134
Collateral for securities on loan (Note 7) 856,038
Unrealized depreciation on forward currency exchange contracts (Note 6) 90,009
Payable for variation margin on open futures contracts (Note 6) 5,637
Payable to brokers (Note 6) 23,849
Unrealized depreciation on swap contracts (Note 6) 86,268
Options written, at value (premium received $14,315) (Note 6) 3,283
Accrued professional fees 24,727
Accrued administrative service fees (Note 2) 149
Accrued accounting, administration, custody and transfer agent fees (Note 2) 8,875
Accrued trustees' fees and expenses (Note 2) 1,931
Accrued chief compliance officer fee (Note 2) 278
Accrued shareholders reporting expense (Note 2) 339
Other accrued expenses and liabilities 1,718
-----------
Total liabilities 1,801,452
-----------
Net Assets $41,105,108
===========
Net Assets consist of:
Paid-in capital $42,175,562
Accumulated net realized loss (677,036)
Distributions in excess of net investment income (359,265)
Net unrealized depreciation (34,153)
-----------
Total Net Assets $41,105,108
===========
Shares of beneficial interest outstanding 1,882,455
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 21.84
===========
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income (net of foreign withholding tax of $479) $ 718,630
Dividend income from affiliated investments (Note 1H) 28,177
Security lending income (Note 7) 1,695
----------
748,502
Expenses
Investment advisory fee (Note 2) $ 81,592
Accounting, administration, custody, and transfer agent fees (Note 2) 49,219
Administrative service fee (Note 2) 2,023
Professional fees 37,190
Registration fees 11,524
Trustees' fees and expenses (Note 2) 3,407
Insurance expense 3,047
Miscellaneous expenses 10,295
----------
Total Expenses 198,297
Deduct:
Waiver of investment advisory fee (Note 2) (45,312)
----------
Net expenses 152,985
----------
Net investment income 595,517
----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (562,367)
Financial futures transactions 106,589
Written options transactions 33,910
Foreign currency transactions and forward currency exchange transactions (197,567)
Swap transactions 7,615
----------
Net realized gain (loss) (611,820)
Change in unrealized appreciation (depreciation) on:
Investments 1,207,661
Financial futures contracts 25,412
Written options contracts (17,122)
Foreign currency translations and forward currency exchange contracts 169,632
Swap contracts (55,708)
----------
Net change in net unrealized appreciation (depreciation) 1,329,875
----------
Net realized and unrealized gain (loss) on investments 718,055
----------
Net Increase in Net Assets from Operations $1,313,572
==========
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, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- ------------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 595,517 $ 1,589,495
Net realized gain (loss) (611,820) (1,070,911)
Change in net unrealized appreciation (depreciation) 1,329,875 (5,586,611)
----------- -----------
Net increase (decrease) in net assets from investment operations 1,313,572 (5,068,027)
----------- -----------
Distributions to Shareholders (Note 1C)
From net investment income -- (1,400,043)
From net realized gains on investments (178,621) --
----------- -----------
Total distributions to shareholders (178,621) (1,400,043)
----------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 6,933,099 18,026,659
Value of shares issued to shareholders in reinvestment of distributions 162,592 1,334,158
Cost of shares redeemed (13,539,382) (16,193,309)
----------- -----------
Net increase (decrease) in net assets from Fund share transactions (6,443,691) 3,167,508
----------- -----------
Total Increase (Decrease) in Net Assets (5,308,740) (3,300,562)
Net Assets
At beginning of period 46,413,848 49,714,410
----------- -----------
At end of period [including distributions in excess of
net investment income of ($359,265) and ($954,782), respectively] $41,105,108 $46,413,848
=========== ===========
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
Six Months Ended Year Ended December 31,
June 30, 2006 ----------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ------ ------ ------ ------ ------
Net Asset Value, Beginning of Period $ 21.20 $ 24.23 $ 22.97 $ 21.66 $ 17.83 $ 18.87
------- ------- ------- ------- ------- -------
From Operations:
Net investment income * (a) 0.31 0.74 0.88 0.77 0.73 0.73
Net realized and unrealized gain (loss) on investments 0.42 (3.12) 1.52 3.81 3.10 (1.74)
------- ------- ------- ------- ------- -------
Total from investment operations 0.73 (2.38) 2.40 4.58 3.83 (1.01)
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income -- (0.65) (1.14) (3.27) -- (0.03)
From net realized gain on investments (0.09) -- -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.09) (0.65) (1.14) (3.27) -- (0.03)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 21.84 $ 21.20 $ 24.23 $ 22.97 $ 21.66 $ 17.83
======= ======= ======= ======= ======= =======
Total Return (b) 3.45%(c) (9.95%) 10.73% 21.51% 21.48% (5.31%)
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.75%(d) 0.75% 0.75% 0.55% 0.55% 0.55%
Net Investment Income (to average daily net assets)* 2.92%(d) 3.31% 3.93% 3.34% 3.87% 3.99%
Portfolio Turnover 62%(c) 139% 132% 192% 178% 205%
Net Assets, End of Period (000's omitted) $41,105 $46,414 $49,714 $23,983 $21,202 $40,337
* 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) $ 0.29 $ 0.72 $ 0.84 $ 0.60 $ 0.60 $ 0.68
Ratios (to average daily net assets):
Expenses * 0.97%(d) 0.86% 0.91% 1.30% 1.23% 0.85%
Net investment income * 2.70%(d) 3.20% 3.77% 2.59% 3.19% 3.69%
(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 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 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 are valued at the last sale prices on the exchange or
national securities market on which they are primarily traded.
Securities not listed on an exchange or national securities market, or
securities for which there were no reported transactions, are valued at
the last quoted bid price. Securities that are fixed income securities,
other than short-term instruments with less than sixty days remaining to
maturity, for which accurate market prices are readily available, are
valued at their current market value on the basis of quotations, which
may be furnished by a pricing service or dealers in such securities.
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 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
cost based upon the value on such date unless the Trustees determine
during such sixty-day period that amortized cost 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 earned, 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.
Dividends representing a return of capital are reflected as a reduction
of cost.
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. 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 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 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, capital loss
carryforwards and the timing of recognition of gains and losses on
futures contracts.
13
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications among undistributed net
investment income(losses), accumulated net realized gain (loss) and paid
in capital. Undistributed net investment income (loss) 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.
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. Foreign currency transactions
The Fund 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.
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 are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a
specific fund are allocated among the funds of the Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned
subsidiary of Mellon Financial Corporation, or 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 payable 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 six months ended June 30, 2006. Pursuant to this
agreement, for the six months ended June 30, 2006, Standish Mellon
voluntarily waived a portion of its investment advisory fee in the
amount of $45,312. 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 was charged $3,524 during the six months ended June
30, 2006.
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 Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of Mellon Financial Corporation and an
affiliate of Standish Mellon, to provide custody, 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 was
charged $45,695 during the six months ended June 30, 2006.
The Fund also entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Mellon Bank receives an agreed upon percentage of the net lending revenues.
Pursuant to this agreement, Mellon Bank collected $725 for the six months
ended June 30, 2006. See Note 7 for further details.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. Pursuant
to this agreement the Fund was charged $339 during the six months ended
June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary
of the Trust's Chief Compliance Officer. For the six months ended June
30, 2006, the Fund was charged $1,933. No other director, officer or
employee of Standish Mellon or its affiliates receives any compensation
from the Trust or the Fund for serving as an officer or Trustee of the
Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and
platform administrators and other entities ("Plan Administrators") that
provide record keeping and/or other administrative support services to
accounts, retirement plans and their participants. As compensation for
such services, the Fund may pay each Plan Administrator an
administrative service fee in an amount of up to 0.15% (on an annualized
basis) of the Fund's average daily net assets attributable to fund
shares that are held in accounts serviced by such Plan Administrator.
The Fund's adviser or its affiliates may pay additional compensation
from their own resources to Plan Administrators and other entities for
administrative services, as well as in consideration of marketing or
other distribution-related services. These payments may provide an
incentive for these entities to actively promote the Fund or cooperate
with the distributor's promotional efforts. For the six months ended
June 30, 2006, the Fund was charged $2,183 for fees payable to Mellon
Private Wealth Management.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $ 3,469,486 $ 4,060,947
============ ===========
Investments (non-U.S. Government Securities) $ 21,234,353 $28,070,593
============ ===========
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
---------------- -----------------
Shares sold 318,471 796,615
Shares issued to shareholders
reinvestment of distributions declared 7,591 59,347
Shares redeemed (632,690) (719,016)
--------- --------
Net increase (decrease) (306,628) 136,946
========= ========
At June 30, 2006, two shareholders of record held approximately 72% of
the total outstanding shares of the Fund. Investment activities 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 were acquired through reinvestment of
distributions. For the six months ended June 30, 2006, the Fund collected
$298 in redemption fees.
15
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $40,410,201
-----------
Gross unrealized appreciation 471,646
Gross unrealized depreciation (579,045)
-----------
Net unrealized appreciation (depreciation) $ (107,399)
===========
(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 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 security 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 option is shown in
the Schedule of Investments. This amount reflects each contract's
exposure to the underlying instrument at year 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 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.
During the six months ended June 30, 2006, the Fund entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 3 $ 30,176
Options written 4 4,037
Options expired (5) (13,253)
Options closed (2) (20,960)
---- ----------
Outstanding, end of period 0 $ --
==== ===========
Number of
Written Call Option Transactions Contracts Premiums
--------- ========
Outstanding, beginning of period 1 $ 4,680
Options written 3 14,866
Options expired (2) (5,231)
Options closed 0 --
--- --------
Outstanding, end of period 2 $ 14,315
=== ========
At June 30, 2006, the Fund held written options. See the Schedule of Investments
for further details.
16
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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, 2006, the Fund held currency exchange contracts. See the 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 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
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 counterparty does
not perform under the contract's terms. The Fund 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, 2006, the Fund held futures contracts. See the 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, credit default and total
return 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. Total return swap agreements involve commitments to pay interest in
exchange for a market-linked return, both based on notional amounts. To the
extent the total return of the security or index underlying the transaction
exceeds or falls short of the offsetting interest rate obligation, a fund will
receive a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities and the 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 at the
beginning of the measurement period are reflected as such on the Statement of
Assets and Liabilities. 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 and loss. Entering
into these agreements involves, to varying degrees, elements of credit, market,
and documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the Schedule of
Investments for further details.
17
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
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 loaned securities during the six months ended June 30, 2006 and
earned interest on the invested collateral of $68,163, of which $66,468
was rebated to borrowers or paid in fees. At June 30, 2006, the Fund had
securities valued at $837,565 on loan. See the Schedule of Investments
for further detail on the security positions on loan and collateral
held.
(8) Line of Credit:
The Fund, and other funds in the Trust and subtrusts in Mellon
Institutional Funds Master Portfolio (the "Portfolio Trust") are parties
to a committed line of credit facility, which enables each
fund/portfolio to borrow, in the aggregate, up to $35 million. Interest
is charged to each participating fund/portfolio 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 committed amount, is allocated ratably among the participating
funds/portfolios at the end of each quarter. For six months ended June
30, 2006, the facility fee was $786 for the Fund.
For the six months ended June 30, 2006, the Fund had average borrowings
outstanding of $2,194,250 on a total of four days and incurred $1,274 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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Number of
Principal Portfolios in Other Trustee
Name Term of Office Occupation(s) Fund Complex Directorships Remuneration
Address, and Position(s) and Length of During Past Overseen by Held by (period ended
Date of Birth Held with Trust Time Served 5 Years Trustee Trustee June 30,2006)
- -----------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee Chairman Emeritus, Decision 34 None $417
c/o Decision Resources, Inc. since Resources, Inc. ("DRI")
260 Charles Street 11/3/1986 (biotechnology research and
Waltham, MA 02453 9/30/40 consulting firm); formerly
Chairman of the Board and
Chief Executive Officer, DRI
Caleb Loring III Trustee Trustee Trustee, Essex Street 34 None $450
c/o Essex Street Associates since Associates (family
P.O. Box 5600 11/3/1986 investment trust office)
Beverly, MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee William Joseph Maier, 34 None $417
c/o Harvard University since Professor of Political
Littauer Center 127 9/13/1989 Economy, Harvard University
Cambridge, MA 02138
8/5/44
John H. Hewitt Trustee Trustee Trustee, Mertens House, 34 None $417
P.O. Box 2333 since Inc. (hospice)
New London, NH 03257 11/3/1986
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, Since 2003 President and Chief 34 None $0
The Boston Company President and Operating Officer of The
Asset Management, LLC Chief Executive Boston Company Asset
One Boston Place Officer Management, LLC; formerly
Boston, MA 02108 Senior Vice President and
7/24/65 Chief Operating Officer,
Mellon Asset Management
("MAM") and Vice President
and Chief Financial Officer, MAM
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly
One Boston Place Vice President and Manager, Mutual Fund
Boston, MA 02108 Operations, Standish Mellon Asset Management
8/19/51 Company, LLC
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds Distributor,
One Boston Place Officer L.P. and Mellon Optima L/S Strategy Fund, LLC;
Boston, MA 02108 formerly Director, Blackrock, Inc., Senior Vice
4/8/57 President, State Street Research & Management
Company ("SSRM"), and 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
6945SA0606
[Logo] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Investment Grade Bond Fund
- --------------------------------------------------------------------------------
June 30, 2006 (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.
The Fund files its complete schedule of portfolio holdings with the Securities
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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- ---------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 992.00 $1.98
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 0.40%,
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- --------------------------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- --------------------------------------------------------------------------------
AAA & Higher 53.0%
AA 11.0
A 12.5
BBB 23.5
-----
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 higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- ---------------------------------------------------------------------------------------------------------
FNMA (TBA) 5.50 7/1/2036 3.3%
U.S. Treasury Note 5.13 5/15/2016 2.6
FNMA (TBA) 5.00 7/1/2021 2.5
FNMA (TBA) 5.00 7/1/2036 2.2
FNMA (TBA) 6.00 7/1/2021 2.0
United States Treasury Inflation Indexed Bonds 3.00 7/15/2012 1.8
U.S.Treasury Bond 4.50 2/15/2036 1.5
Treasury Note/Bond 7.00 7/15/2006 1.4
FNMA (TBA) 4.50 7/1/2021 1.3
FNMA 5.50 2/1/2033 1.1
----
19.7%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation* Investments
- --------------------------------------------------------------------------------
Treasury/Agency 21.0%
Mortgage pass thru 26.5
Credit 31.7
ABS/CMO/CMBS 18.9
Emerging Markets 0.9
Municipal 1.0
-----
100.0%
* Excluding short-term investments and investment of cash collateral.
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--126.7%
BONDS AND NOTES--120.0%
Asset Backed--14.6%
Accredited Mortgage Loan Trust 2005-2 A2A (a) 5.423% 7/25/2035 $ 5,085 $ 5,085
Accredited Mortgage Loan Trust 2005-3 A2 (a) 5.423 9/25/2035 24,892 24,895
Accredited Mortgage Loan Trust 2006-1 A1 (a) 5.383 4/25/2036 26,065 26,067
ACE Securities Corp. 2005-HE1 A2A (a) 5.443 2/25/2035 2,544 2,544
Americredit Automobile Receivables Trust 2005-DA A2 4.750 11/6/2008 22,416 22,360
Ameriquest Mortgage Securities Inc. 2003-8 AF3 4.370 10/25/2033 4,397 4,382
Bear Stearns Asset Backed Securities, Inc. 2005-HE3 1A1 (a) 5.403 3/25/2035 11,481 11,482
Capital One Multi-Asset Execution Trust 2004-C1 C1 3.400 11/16/2009 58,000 57,266
Capital One Prime Auto Receivables Trust 2004-1 A3 2.020 11/15/2007 104 104
Capital One Prime Auto Receivables Trust 2006-1 A1 4.872 3/15/2007 11,471 11,462
Centex Home Equity (a) 5.373 6/25/2036 24,247 24,244
Chase Manhattan Auto Owner Trust 2003-C CTFS 2.780 6/15/2010 35,882 35,045
Chec Loan Trust 2004-2 A1 (a) 5.493 1/25/2025 336 336
Citigroup Mortgage Loan Trust, Inc. 2005-WF2 AF7 5.249 8/25/2035 55,000 52,499
Countrywide Alternative Loan Trust 2005-J4 2A1B (a) 5.443 7/25/2035 11,073 11,069
Countrywide Asset-Backed Certificates 2006-SPS1 A (a) 5.191 12/25/2025 25,000 25,000
Credit-Based Asset Servicing and Securitization 2005-CB7 AF1 5.208 11/25/2035 33,731 33,497
Ford Credit Auto Owner Trust 2005-B B 4.640 4/15/2010 35,000 34,175
Green Tree Financial Corp. 1994-7 M1 9.250 3/15/2020 19,493 20,165
GSAA Home Equity Trust 2006-7 AV1 (a) 5.403 3/25/2046 46,498 46,498
GSAMP Trust 2006-S4 A1 (a) 5.240 5/25/2036 25,000 25,000
Home Equity Asset Trust 2005-5 2A1 (a) 5.433 11/25/2035 22,438 22,441
Honda Auto Receivables Owner Trust 2005-5 A1 4.221 11/15/2006 4,915 4,915
Hyundai Auto Receivables Trust 2004-A B 3.460 8/15/2011 62,000 60,230
Morgan Stanley ABS Capital I 2005-WMC2 A2A (a) 5.403 2/25/2035 355 355
Morgan Stanley Home Equity Loans 2005-2 A2A (a) 5.413 5/25/2035 30,775 30,770
Morgan Stanley Home Equity Loans 2006-3 A1 (a) 5.373 4/25/2036 23,850 23,848
Newcastle Mortgage Securities Trust 2006-1 A1 (a) 5.393 3/25/2036 43,459 43,465
Nissan Auto Receivables Owner Trust 2006-A A1 4.663 2/15/2007 21,003 20,988
Nissan Auto Receivables Owner Trust 2006-B A1 5.081 5/15/2007 18,894 18,894
Nomura Asset Acceptance Corp. 2005-WF1 2A5 5.159 3/25/2035 28,000 26,837
Opteum Mortgage Acceptance Corp. 2005-1 A2 (a) 5.463 2/25/2035 2,682 2,682
Origen Manufactured Housing 2005-A A1 4.060 7/15/2013 24,690 24,486
Ownit Mortgage Loan Asset-Backed Certification 2006-1 AF1 5.424 12/25/2036 93,259 92,545
Popular ABS Mortgage Pass--Through Trust 2005-5 AF6 5.331 11/25/2035 25,000 23,906
Popular ABS Mortgage Pass--Through Trust 2005-D AF1 5.361 1/25/2036 19,334 19,192
Renaissance Home Equity Loan Trust 2006-2 AF1 5.999 8/25/2036 45,000 45,000
Residential Asset Mortgage Products, Inc. 2003-RS9 MI1 5.800 10/25/2033 25,000 24,625
Residential Asset Mortgage Products, Inc. 2005-RS2 AII1 (a) 5.433 2/25/2035 8,546 8,547
Residential Asset Mortgage Products, Inc. 2005-RS3 AI1 (a) 5.423 3/25/2035 12,933 12,934
Residential Asset Securities Corp. 2005-EMX1 AI1 (a) 5.423 3/25/2035 6,245 6,245
Soundview Home Equity Loan Trust 2005-M M3 5.825 5/25/2035 40,000 39,069
Specialty Underwriting & Residential Finance 2004-BC4 A2A (a) 5.473 10/25/2035 1,228 1,228
Specialty Underwriting & Residential Finance 2005-BC1 A1A (a) 5.433 12/25/2035 5,157 5,157
USAA Auto Owner Trust 2004-1 A3 2.060 4/15/2008 19,576 19,426
WFS Financial Owner TR2004-3 B 3.510 2/17/2012 17,346 16,961
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------
Asset Backed (continued)
WFS Financial Owner Trust 2003-3 A4 3.250% 5/20/2011 $ 58,379 $ 57,372
WFS Financial Owner Trust 2004-4 C 3.210 5/17/2012 27,419 26,666
WFS Financial Owner Trust 2005-2 B 4.570 11/19/2012 56,000 54,826
Whole Auto Loan Trust 2003-1 C 3.130 3/15/2010 8,649 8,633
---------
Total Asset Backed (Cost$ 1,231,228) 1,215,418
---------
Collateralized Mortgage Obligations--13.7%
GNMA 2003-48 AC 2.712 2/16/2020 46,324 44,195
GNMA 2003-72 A 3.206 4/16/2018 24,838 23,938
GNMA 2003-88 AC 2.914 6/16/2018 25,626 24,416
GNMA 2003-96 B 3.607 8/16/2018 50,380 48,963
GNMA 2004-12A 3.110 1/16/2019 55,477 52,617
GNMA 2004-25 AC 3.377 1/16/2023 57,337 54,625
GNMA 2004-43 A 2.822 12/16/2019 58,824 55,753
GNMA 2004-51 A 4.145 2/16/2018 55,190 53,464
GNMA 2004-57 A 3.022 1/16/2019 27,738 26,395
GNMA 2004-67 A 3.648 9/16/2017 42,480 41,117
GNMA 2004-77 A 3.402 3/16/2020 46,071 44,098
GNMA 2004-97 AB 3.084 4/16/2022 58,413 55,536
GNMA 2005-12 A 4.044 5/16/2021 19,851 19,186
GNMA 2005-14 A 4.130 2/16/2027 62,513 60,541
GNMA 2005-32 B 4.385 8/16/2030 34,000 32,877
GNMA 2005-50 A 4.015 10/16/2026 37,071 35,710
GNMA 2005-52 A 4.287 1/16/2030 18,569 17,978
GNMA 2005-87 A 4.449 3/16/2025 24,574 23,804
GNMA 2006-5 A 4.241 7/16/2029 14,832 14,269
GNMA 2006-6 A 4.045 10/16/2023 4,943 4,771
GNMA REMIC 2004-23 B 2.946 3/16/2019 66,924 63,275
GNMA REMIC 2005-29 A 4.016 7/16/2027 26,262 25,217
GNMA REMIC 2006-3 A 4.212 1/16/2028 24,744 23,804
Indymac Index Mortgage Loan Trust 2006-AR9 B1 6.059 6/25/2036 24,997 24,424
Nomura Asset Acceptance Corp. 2005-AP2 A5 4.976 5/25/2035 28,000 26,603
Structured Asset Mortgage Investments, Inc. 1998-2 B 6.050 4/30/2030 2,007 1,998
Washington Mutual 2003-AR10 A5 4.065 10/25/2033 72,000 69,683
Washington Mutual 2004-AR7 A6 3.946 7/25/2034 67,000 64,279
Washington Mutual 2004-AR9 A7 6.881 8/25/2034 47,000 44,923
Washington Mutual 2005-AR4 A4B 4.676 4/25/2035 56,000 54,184
---------
Total Collateralized Mortgage Obligations (Cost $1,172,021) 1,132,643
---------
Corporate--30.6%
Banking--2.7%
JPMorgan Chase & Co. 5.125 9/15/2014 44,000 41,560
MBNA Corp. 6.125 3/1/2013 15,000 15,220
Regions Financial Corp. 5.240 8/8/2008 50,000 50,024
Suntrust Capital II 7.900 6/15/2027 59,000 62,144
Zions Bancorporation 5.228 4/15/2008 20,000 20,005
Zions Bancorporation 6.000 9/15/2015 36,000 35,673
---------
224,626
---------
Basic Materials--1.7%
Cabot Corp. 144A 5.250 9/1/2013 60,000 56,719
ICI Wilmington, Inc. 4.375 12/1/2008 9,000 8,686
ICI Wilmington, Inc. 5.625 12/1/2013 36,000 34,519
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------
Basic Materials (continued)
Temple-Inland 6.625% 1/15/2018 $10,000 $ 9,949
Westvaco Corp. 7.950 2/15/2031 19,000 20,219
Weyerhaeuser Co. 7.125 7/15/2023 13,000 12,780
---------
142,872
---------
Communications--2.4%
Comcast Corp. 5.500 3/15/2011 35,000 34,374
New Cingular Wireless Services, Inc. 8.750 3/1/2031 12,000 14,712
AT&T Inc. 5.263 5/15/2008 20,000 19,998
Verizon Communications 5.300 8/15/2007 15,000 15,002
News America Holdings Inc. 7.700 10/30/2025 20,000 21,350
SBC Communications, Inc. 5.625 6/15/2016 23,000 21,801
Sprint Capital Corp. 8.750 3/15/2032 32,000 38,589
Time Warner, Inc. 6.750 4/15/2011 23,000 23,580
Verizon Global Funding Corp. 7.750 6/15/2032 11,000 11,843
---------
201,249
---------
Consumer Cyclical--1.2%
Centex Corp. 4.750 1/15/2008 35,000 34,323
DaimlerChrysler NA Holding Corp. 8.500 1/18/2031 9,000 10,190
Darden Restaurants 6.000 8/15/2035 20,000 17,306
Heinz (H.J.) Co. 144A 6.428 12/1/2008 10,000 10,160
Johnson Controls, Inc. 5.250 1/15/2011 5,000 4,872
Mohawk Industries, Inc. 5.750 1/15/2011 20,000 9,641
Yum! Brands, Inc. 6.250 4/15/2016 5,000 4,949
---------
101,441
---------
Consumer Noncyclical--1.7%
Aramark Services, Inc. 7.000 7/15/2006 21,000 21,005
Coors Brewing Co. 6.375 5/15/2012 10,000 10,176
RR Donnelley & Sons Co. 4.950 4/1/2014 50,000 45,017
Safeway, Inc. (b) 7.250 2/1/2031 20,000 20,298
Tyson Foods, Inc. 6.600 4/1/2016 10,000 9,775
Wellpoint, Inc. 5.000 1/15/2011 15,000 14,447
Wyeth 5.500 2/1/2014 16,000 15,460
---------
136,178
---------
Energy--1.4%
Amerada Hess Corp. 6.650 8/15/2011 20,000 20,555
Amoco Co. 6.500 8/1/2007 50,000 50,376
Chevron Phillips 7.000 3/15/2011 18,000 18,680
Enbridge Energy Partners 6.300 12/15/2034 15,000 13,713
Pemex Project Funding Master Trust 144A 5.750 12/15/2015 15,000 13,815
---------
117,139
---------
Financial--13.1%
Aegon Funding Corp. 5.750 12/15/2020 10,000 9,617
Ameriprise Financial, Inc. 7.518 6/1/2066 15,000 15,091
Archstone-Smith Operating Trust REIT 5.000 8/15/2007 16,000 15,806
Archstone-Smith Operating Trust REIT 5.250 5/1/2015 11,000 10,341
Arden Realty LP 5.250 3/1/2015 16,000 15,309
Bear Stearns Cos., Inc. (b) 4.500 10/28/2010 21,000 20,032
Boston Properties, Inc. 6.250 1/15/2013 18,000 18,160
Brandywine Operation Partners 5.949 4/1/2009 15,000 15,007
Caterpillar Financial Service Corp. 3.100 5/15/2007 35,000 34,257
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------
Financial (continued)
CBA Capital Trust I 144A 5.805% 6/30/2015 $46,000 $ 44,303
Chubb Corp. 5.472 8/16/2008 25,000 24,851
Citigroup, Inc. (b) 4.750 12/15/2010 20,000 19,187
Commercial Net Lease Realtor REIT 6.150 12/15/2015 10,000 9,665
Compass Bank 5.500 4/1/2020 15,000 14,083
Countrywide Home Loans, Inc. 4.000 3/22/2011 20,000 18,401
Credit Suisse FB USA, Inc. (b) 5.125 8/15/2015 25,000 23,366
Credit Suisse USA, Inc. 5.316 6/5/2009 40,000 39,977
Duke Realty LP 3.500 11/1/2007 34,000 32,991
Duke Realty LP 7.750 11/15/2009 14,000 14,756
EOP Operating LP 7.000 7/15/2011 32,000 33,244
Erac USA Finance Co. 144A 5.399 4/30/2009 5,000 5,002
Erac USA Finance Co. 144A 7.950 12/15/2009 48,000 50,884
ERP Operating LP REIT 4.750 6/15/2009 8,000 7,788
ERP Operating LP REIT 5.125 3/15/2016 20,000 18,480
ERP Operating LP REIT 5.375 8/1/2016 2,000 1,877
Federal Realty Investment Trust REIT 5.650 6/1/2016 10,000 9,592
Glencore Funding LLC 144A 6.000 4/15/2014 58,000 52,971
Goldman Sachs Group, Inc. 4.500 6/15/2010 20,000 19,121
Healthcare Realty Trust, Inc. 8.125 5/1/2011 30,000 32,223
HRPT Properties Trust REIT 5.941 3/16/2011 20,000 20,015
HSBC Finance Corp. 4.750 4/15/2010 18,000 17,362
International Lease Finance Corp. 4.750 1/13/2012 23,000 21,742
Jefferies Group, Inc. 7.500 8/15/2007 43,000 43,531
Jefferies Group, Inc. 5.500 3/15/2016 5,000 4,669
Lehman Brothers Holdings (b) 5.500 4/4/2016 10,000 9,555
Lincoln National Corp. 7.000 5/17/2066 10,000 9,922
Mack-Cali Realty LP REIT 5.050 4/15/2010 10,000 9,639
Mack-Cali Realty LP REIT 5.125 1/15/2015 11,000 10,171
MassMutual Global Funding II 144A 3.800 4/15/2009 37,000 35,273
Morgan Stanley 4.750 4/1/2014 39,000 35,756
NB Capital Trust IV 8.250 4/15/2027 45,000 47,331
Prudential Financial, Inc. 4.104 11/15/2006 19,000 18,906
Quest Diagnostics, Inc. 5.125 11/1/2010 10,000 9,722
Regency Centers LP 5.250 8/1/2015 4,000 3,739
Residential Capital Corp. 6.375 6/30/2010 18,000 17,755
Simon Property Group LP 4.875 8/15/2010 26,000 25,137
Simon Property Group LP REIT 5.750 5/1/2012 6,000 5,911
Socgen Real Estate LLC 144A 7.640 12/29/2049 43,000 43,911
USB Capital IX (b) 6.189 4/1/2049 20,000 19,558
Washington Mutual, Inc. 5.368 1/15/2010 20,000 20,083
Washington Mutual, Inc. 4.625 4/1/2014 30,000 27,102
Western Financial Bank FSB 9.625 5/15/2012 10,000 11,004
---------
1,094,176
---------
Industrial--1.5%
American Standard, Inc. 7.625 2/15/2010 20,000 20,882
Raytheon Co. 5.500 11/15/2012 8,000 7,837
Republic Services, Inc. 6.086 3/15/2035 34,000 31,472
Sealed Air Corp. 144A 5.625 7/15/2013 29,000 27,632
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
Industrial (continued)
Waste Management, Inc. 6.875% 5/15/2009 $16,000 $ 16,451
Waste Management, Inc. 7.375 8/1/2010 5,000 5,274
Waste Management, Inc. 7.000 7/15/2028 11,000 11,403
---------
120,951
---------
Services--1.1%
Metlife, Inc. 5.000 6/15/2015 58,000 53,653
Nuveen Investments, Inc. 5.000 9/15/2010 15,000 14,422
Sovereign Bancorp. 144A 4.800 9/1/2010 25,000 23,945
---------
92,020
---------
Technology--0.2%
Hewlett-Packard Co. 5.339 5/22/2009 20,000 20,001
---------
Transportation--0.7%
Fedex Corp. 2.650 4/1/2007 26,000 25,388
Norfolk Southern Corp. 6.750 2/15/2011 12,000 12,453
Ryder System, Inc. 5.000 6/15/2012 16,000 14,995
---------
52,836
---------
Utilities--2.9%
Appalachian Power Co. 5.950 5/15/2033 19,000 17,368
Assurant, Inc. 6.750 2/15/2034 16,000 15,762
Dominion Resources, Inc. 5.790 9/28/2007 30,000 30,018
Dominion Resources, Inc. 7.195 9/15/2014 15,000 15,760
DTE Energy Co. 6.350 6/1/2016 10,000 9,949
FirstEnergy Corp. 6.450 11/15/2011 16,000 16,280
Niagara Mohawk Power Corp. 7.750 10/1/2008 13,000 13,528
Nisource Finance Corp. 5.250 9/15/2017 20,000 18,195
Nisource Finance Corp. (a) 5.764 11/23/2009 15,000 15,016
Oneok, Inc. 5.200 6/15/2015 23,000 21,011
Pacific Gas & Electric Co. 3.600 3/1/2009 15,000 14,240
Pepco Holdings, Inc. 5.500 8/15/2007 28,000 27,899
Public Service Co. of Colorado 4.375 10/1/2008 28,000 27,216
---------
242,242
---------
Total Corporate (Cost $2,657,364) 2,545,731
---------
Municipal Bonds--1.7%
Michigan Tobacco Settlement Finance Authority 7.430 6/1/2034 10,000 9,975
Sacramento County California Pension Funding (MBIA Insured) (c) 0.000 7/10/2030 56,000 55,965
Tobacco Settlement Authority Iowa 6.500 6/1/2023 25,000 24,560
Tobacco Settlement Authority Michigan 7.309 6/1/2034 50,000 49,953
---------
Total Municipal Bonds (Cost $137,196) 140,453
---------
Sovereign Bonds--0.8%
Republic of South Africa 9.125 5/19/2009 39,000 41,828
United Mexican States 6.625 3/3/2015 20,000 20,200
---------
Total Sovereign Bonds (Cost $65,037) 62,028
---------
Yankee Bonds--5.5%
Amvescap PLC 5.375 2/27/2013 35,000 33,482
Bank of Scotland 144A 7.000 4/1/2049 10,000 10,125
BHP Billiton Finance 5.250 12/15/2015 10,000 9,484
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------
Yankee Bonds (continued)
British Sky Broadcasting PLC 6.875% 2/23/2009 $28,000 $ 28,667
Deutsche Telekom International Finance BV 8.250 6/15/2030 30,000 34,637
Falconbridge Ltd. 5.375 6/1/2015 5,000 4,558
Falconbridge Ltd. 6.000 10/15/2015 10,000 9,522
ING Groep NV 5.775 11/30/2049 15,000 14,234
National Westminster Bank PLC 7.750 10/16/2007 77,000 78,712
Northern Rock PLC 144A 5.600 4/30/2014 90,000 84,634
Potash Corp. of Saskatchewan 4.875 3/1/2013 36,000 33,861
Royal KPN NV 8.375 10/1/2030 35,000 37,574
St. George Bank Ltd. 144A 5.300 10/15/2015 51,000 48,275
Telecom Italia Capital SA 4.875 10/1/2010 25,000 23,905
Teva Pharmaceutical Finance LLC 6.150 2/1/2036 10,000 8,979
---------
Total Yankee Bonds (Cost $487,505) 460,649
---------
PASS THRU SECURITIES--42.0%
Agency Pass Thru--29.0%
FHLMC Gold 4.500 10/1/2009 44,408 43,119
FHLMC Gold 4.500 4/1/2010 46,606 45,077
FHLMC Gold 3.500 9/1/2010 6,985 6,522
FNMA 4.000 5/1/2010 51,217 48,629
FNMA 3.530 7/1/2010 36,972 34,226
FNMA 5.000 10/1/2011 64,305 62,671
FNMA 4.060 6/1/2013 28,000 25,479
FNMA 4.500 11/1/2014 29,229 27,864
FNMA 6.500 12/1/2015 9,091 9,216
FNMA 6.000 7/1/2017 8,566 8,599
FNMA 5.500 11/1/2024 88,135 85,672
FNMA 5.500 12/1/2024 21,975 21,361
FNMA 5.500 1/1/2025 67,505 65,618
FNMA 7.500 2/1/2029 11,997 12,440
FNMA 7.500 9/1/2029 883 916
FNMA 7.000 11/1/2031 2,571 2,636
FNMA 7.000 5/1/2032 21,888 22,423
FNMA 7.000 6/1/2032 33,481 34,299
FNMA 5.500 2/1/2033 123,882 119,526
FNMA 5.500 1/1/2034 41,212 39,757
FNMA (TBA) (d) 4.500 7/1/2021 150,000 141,750
FNMA (TBA) (d) 5.000 7/1/2021 275,000 264,773
FNMA (TBA) (d) 5.500 7/1/2021 80,000 78,500
FNMA (TBA) (d) 6.000 7/1/2021 215,000 215,739
FNMA (TBA) (d) 4.500 8/1/2021 90,000 85,022
FNMA (TBA) (d) 6.000 8/1/2021 110,000 110,275
FNMA (TBA) (d) 5.000 7/1/2036 250,000 233,672
FNMA (TBA) (d) 5.500 7/1/2036 365,000 350,514
FNMA Grantor Trust 2001-T6 B 6.088 5/25/2011 76,000 77,470
FNMA Grantor Trust 2002-T11 A 4.769 4/25/2012 29,852 29,203
GNMA 3.360 8/16/2022 61,044 57,918
GNMA 8.000 8/15/2025 10,851 11,517
GNMA 8.000 11/15/2025 15,026 15,949
GNMA 8.000 5/15/2026 3,232 3,433
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------
Agency Pass Thru (continued)
GNMA 8.000% 11/15/2026 $11,488 $ 12,201
GNMA 6.500 7/15/2032 10,487 10,627
----------
2,414,613
----------
NonAgency Pass Thru--13.0%
Banc of America Commercial Mortgage, Inc. 2005-2 A2 4.247 7/10/2043 44,000 43,057
Bear Stearns Commercial Mortgage Securities 2003-T12 A3 4.240 8/13/2039 43,000 40,572
Bear Stearns Commercial Mortgage Securities 2005-T20 A2 5.127 10/12/2042 45,000 43,940
Calwest Industrial Trust 2002-CALW A 144A 6.127 2/15/2017 82,000 83,456
Chase Commercial Mortgage Securities Corp. 1997-1 D 7.370 6/19/2029 39,000 39,339
Chase Commercial Mortgage Securities Corp. 1997-1 E 7.370 6/19/2029 67,000 67,614
Chase Commercial Mortgage Securities Corp. 1997-2 C 6.600 12/19/2029 75,000 75,698
Citigroup/Deutsche Bank Commercial Mortgage 2005-CD1 A2FX 5.269 7/15/2044 20,000 19,616
Credit Suisse/Morgan Stanley Commercial Mortgage Certificate 144A 5.389 5/15/2023 20,000 20,006
Crown Castle Towers LLC, 2005-1A D 144A 5.612 6/15/2035 45,000 43,817
DLJ Commercial Mortgage Corp. 1998-CF2 A1B 6.240 11/12/2031 40,000 40,411
DLJ Commercial Mortgage Corp. 1998-CF2 B1 7.274 11/12/2031 100,000 102,977
JP Morgan Chase Commercial Mortgage Security Co. 2005-LDP4 A2 4.790 10/15/2042 30,000 28,921
JP Morgan Chase Commercial Mortgage Security Co. 2005-LDP5 A2 5.198 12/15/2044 20,000 19,550
JP Morgan Chase Commercial Mortgage Security Co. 2006-LDP6 A2 5.379 4/15/2043 10,000 9,834
LB Commercial Conduit Mortgage Trust 1999-C1 B 6.930 6/15/2031 27,000 27,840
LB-UBS Commercial Mortgage Trust 2006-C3 A2 5.532 3/15/2039 20,000 19,830
Merrill Lynch Mortgage Trust, Inc. 2005-CIP1 A2 4.960 7/12/2038 25,000 24,272
Morgan Stanley Capital 1998-HF1 E 7.516 3/15/2030 74,000 75,691
Morgan Stanley Capital I 1999-CAM1 A4 7.020 3/15/2032 35,023 35,864
Morgan Stanley Capital I 2006-T21 A2 5.090 10/12/2052 25,000 24,365
Morgan Stanley Dean Witter Capital I 2001-PPM A2 6.400 2/15/2031 27,000 27,380
Morgan Stanley Dean Witter Capital I 2001-PPM A3 6.540 2/15/2031 21,802 22,170
Mortgage Capital Funding, Inc. 1997-MC2 C 6.881 11/20/2027 70,000 70,721
Washington Mutual Asset Securities Corp. 2003-C1A A 144A 3.830 1/25/2035 82,646 78,619
----------
1,085,560
----------
Total Pass Thru Securities (Cost $3,607,820) 3,500,173
----------
U.S. Treasury Obligations--11.1%
U.S. Treasury Bond 5.250 11/15/2028 25,000 24,883
U.S. Treasury Bond 4.500 2/15/2036 179,000 160,499
U.S. Treasury Inflation Indexed Bonds (b) 3.000 7/15/2012 184,861 190,364
U.S. Treasury Note 4.875 4/30/2008 10,000 9,946
U.S. Treasury Note 5.125 5/15/2016 280,000 279,672
U.S. Treasury Note (b) 4.500 2/28/2011 30,000 29,253
U.S. Treasury Note (b) 3.000 12/31/2006 34,000 33,619
U.S. Treasury Note (b) 4.750 5/15/2014 59,000 57,555
U.S. Treasury Note (b) 7.000 7/15/2006 150,001 150,051
----------
Total U.S. Treasury Obligations (Cost $940,084) 935,842
----------
TOTAL BONDS AND NOTES (Cost $10,298,255) 9,992,937
----------
Contract
PURCHASED OPTIONS--0.0% Size
--------
U.S. Treasury Note 4.50% Call, Strike Price 101.07, 9/19/06 (Cost $547) 350,000 27
----------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS
U.S. Treasury--0.6%
U.S. Treasury Bill (e) (f) (Cost $49,554) 4.720% 9/7/2006 $ 50,000 $ 49,554
-----------
INVESTMENT OF CASH COLLATERAL--6.1% Shares
--------
BlackRock Cash Strategies L.L.C. (g) (Cost $504,451) 5.140 504,451 504,451
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $10,852,807) 10,546,969
-----------
AFFILIATED INVESTMENTS--1.9%
Dreyfus Institutional Preferred Plus Money Market Fund (g) (h) (Cost $157,535) 5.320 157,535 157,535
-----------
Total Investments--128.6% (Cost $11,010,342) 10,704,504
-----------
Liabilities in Excess of Other Assets--(28.6%) (2,379,339)
-----------
NET ASSETS--100.0% $ 8,325,165
===========
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, normally to qualified institutional buyers. At period end,
the value of these securities amounted to $733,547 or 8.81% of net assets.
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 June 30, 2006.
(b) Security, or a portion of thereof, was on loan at June 30, 2006.
(c) Zero coupon security.
(d) Delayed Delivery contract.
(e) Rate noted is yield to Maturity.
(f) Denotes all of part of security pledged as collateral.
(g) Stated yield is the seven day yield for the fund at June 30, 2006.
(h) Affiliated institutional money market fund.
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2006, the Fund held the following open swap agreements:
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Unrealized/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- ----------------------------------------------------------------------------------------------------------------------------------
Citigroup Centurytel, Inc., 7.875% due 8/15/2012 Buy (1.19%) 9/20/2015 $65,000 $ (270)
Deutsche Bank Koninklijike KPN N.V., 8.00% due 10/01/2010 Buy (0.85%) 12/20/2010 50,000 (441)
JPMorgan Koninklijike KPN N.V., 8.00% due 10/01/2010 Buy (0.86%) 12/20/2010 60,000 (553)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.72%) 6/20/2016 30,000 (332)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.46%) 6/20/2011 30,000 (205)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.45%) 6/20/2011 15,000 (96)
Morgan Stanley V.F. Corp., 8.50% due 10/01/2010 Buy (0.45%) 6/20/2011 45,000 (288)
--------
$(2,185)
========
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under the terms of that particular swap agreement, the portfolio
will pay to the buyer of the protection an amount up to the notional value
of the swap and in certain instances, take delivery of the security.
Pay/Receive Unrealized
Interest Rate Swaps Floating Expiration Notional Appreciation/
Counterparty Floating Rate Index Rate Fixed Rate Date Amount (Depreciation)
- --------------------------------------------------------------------------------------------------------------------------
Merrill Lynch USD--LIBOR--BBA Pay 4.1725% 5/13/2008 $200,000 $(4,957)
Merrill Lynch USD--LIBOR--BBA Receive 4.6425% 5/13/2015 200,000 14,240
-------
$ 9,283
=======
At June 30, 2006, the Fund held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Gain/(Loss)
- ---------------------------------------------------------------------------------------------------------
US 10 Year Treasury (6 Contracts) Short 9/29/2006 $1,216,688 $ 4,313
US 5 Year Treasury (12 Contracts) Long 9/29/2006 1,240,875 (7,715)
-------
$(3,402)
=======
The Fund held the following written option contract at June 30, 2006:
Expiration
Written Put Option Strike Price Date Contracts Premium Value
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Note 4.50% Put 96.164 9/19/2006 1 $ 355 $ (587)
===== ===== =======
The accompanying notes are an integral part of the financial statements.
11
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
Statement of Assets and Liabilities
June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $474,732 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $10,852,807) $10,546,969
Affiliated issuers, at value (Note 1A) (cost $157,535) 157,535
Receivable for securities sold 229,930
Interest receivable 76,323
Unrealized appreciation on swap contracts (Note 6) 14,240
Receivable for variation margin on open futures contracts (Note 6) 1,875
-----------
Total assets 11,026,872
Liabilities
Payable for investments purchased $2,167,806
Payable for Fund shares redeemed 681
Collateral for securities on loan (Note 7) 504,451
Payable to brokers (Note 6) 2,706
Options written, at value (premium received $355) (Note 6) 587
Unrealized depreciation on swap contracts (Note 6) 7,142
Accrued professional fees 9,755
Accrued accounting, administration, custody and transfer agent fees (Note 2) 6,742
Accrued trustees' fees and expenses (Note 2) 975
Accrued chief compliance officer fees (Note 2) 325
Other accrued expenses and liabilities 537
----------
Total liabilities 2,701,707
-----------
Net Assets $ 8,325,165
===========
Net Assets consist of:
Paid-in capital $ 8,765,784
Accumulated net realized loss (117,305)
Net investment loss (20,940)
Net unrealized depreciation (302,374)
-----------
Total Net Assets $ 8,325,165
===========
Shares of beneficial interest outstanding 459,363
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 18.12
===========
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
Statements of Operations
For the Six Months Ended June 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 214,414
Income from affiliated investment (Note 1F) 5,223
Security lending income (Note 7) 256
---------
Total investment income 219,893
Expenses
Investment advisory fee (Note 2) $ 17,769
Accounting, administration, custody and transfer agent fees (Note 2) 29,210
Professional fees 12,488
Registration fees 15,256
Trustees' fees and expenses (Note 2) 837
Insurance expense 4,987
Chief compliance officer expense (Note 2) 1,979
Miscellaneous expenses 1,045
---------
Total expenses 83,571
Deduct:
Waiver of investment advisory fee (Note 2) (17,769)
Reinbursement of fund operating expenses (Note 2) (48,032)
---------
Total expense deductions (65,801)
---------
Net expenses 17,770
---------
Net investment income 202,123
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (81,469)
Financial futures transactions (12,912)
Written options transactions 1,215
Swap transactions (2,035)
---------
Net realized gain (loss) (95,201)
Change in unrealized appreciation (depreciation) on:
Investments (177,125)
Financial futures contracts (6,683)
Written options contracts (1,306)
Swap contracts 5,901
---------
Net change in unrealized appreciation (depreciation) (179,213)
---------
Net realized and unrealized gain (loss) on investments (274,414)
---------
Net (Decrease) in Net Assets from Operations $ (72,291)
=========
The accompanying notes are an integral part of the financial statements.
13
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, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income (loss) $ 202,123 $ 1,385,478
Net realized gain (loss) (95,201) 128,310
Change in net unrealized appreciation (depreciation) (179,213) (512,157)
---------- -----------
Net increase (decrease) in net assets from investment operations (72,291) 1,001,631
---------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (216,041) (1,470,098)
From net realized gains on investments -- (300,897)
---------- -----------
Total distributions to shareholders (216,041) (1,770,995)
---------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 193,719 5,230,124
Value of shares issued to shareholders in reinvestment of distributions 191,774 942,835
Cost of shares redeemed (866,619) (47,909,871)
---------- -----------
Net increase (decrease) in net assets from Fund share transactions (481,126) (41,736,912)
---------- -----------
Total Increase (Decrease) in Net Assets (769,458) (42,506,276)
Net Assets
At beginning of period 9,094,623 51,600,899
---------- -----------
At end of period [including distributions in excess of
net investment income of ($20,940) and ($7,022)] $8,325,165 $9,094,623
========== ==========
The accompanying notes are an integral part of the financial statements.
14
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2006 ---------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
----------- ---- ---- ---- ---- ----
Net Asset Value, Beginning of Period $ 18.73 $ 20.01 $ 20.31 $ 20.80 $ 20.41 $ 20.65
------- ------- ------- ------- ------- -------
From Operations:
Net investment income * (a) 0.42 0.80 0.74 0.69 0.89 1.27
Net realized and unrealized gain (loss) on investments (0.57) (0.28) 0.17 0.09 0.79 0.59
------- ------- ------- ------- ------- -------
Total from investment operations (0.15) 0.52 0.91 0.78 1.68 1.86
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income (0.46) (1.27) (0.80) (0.78) (0.91) (1.30)
From net realized gain on investments -- (0.53) (0.41) (0.49) (0.38) (0.80)
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.46) (1.80) (1.21) (1.27) (1.29) (2.10)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 18.12 $ 18.73 $ 20.01 $ 20.31 $ 20.80 $ 20.41
======= ======= ======= ======= ======= =======
Total Return (b) (0.80%)(c) 2.63% 4.53% 3.81% 8.44% 9.21%
Ratios/Supplemental Data:
Expenses (to average daily net assets) * 0.40%(d) 0.40% 0.40% 0.40% 0.40% 0.21%
Net Investment Income (to average daily net assets)* 4.58%(d) 3.98% 3.59% 3.30% 4.30% 6.00%
Portfolio Turnover: (e)
Inclusive 150%(c) 336% 275% 457% 391% 357%
Exclusive 57%(c) 119% 127% -- -- --
Net Assets, End of Period (000's omitted) $ 8,325 $ 9,095 $51,601 $62,624 $84,101 $63,564
- ---------
* 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 (a) $ 0.28 $ 0.68 $ 0.67 $ 0.63 $ 0.83 $ 1.17
Ratios (to average daily net assets):
Expenses 1.89%(d) 1.02% 0.75% 0.70% 0.69% 0.68%
Net investment income 3.09%(d) 3.36% 3.24% 3.00% 4.01% 5.53%
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of expense waivers
(c) Not annualized.
(d) Computed on an annualized basis.
(e) Beginning in 2004, the portfolio turnover ratio is presented inclusive and
exclusive of the effect of rolling forward purchase commitments.
The accompanying notes are an integral part of the financial statements.
15
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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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. Dividends
representing a return of capital are reflected as a reduction of cost.
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 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 reclassifications, are primarily due to differing
treatments for losses deferred due to wash sales and 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 (loss) 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 among the funds of the Trust taking into consideration,
among other things, the nature and type of expense and the relative size of
the funds.
16
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond 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.
F. Affiliated issuers
Affiliated issuers are investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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
payable 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 six
months ended June 30, 2006. Pursuant to this agreement, for the six months
ended June 30, 2006, Standish Mellon voluntarily waived its investment
advisory fee in the amount of $17,769 and reimbursed the Fund $48,032 for
other 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 was charged $2,688 during the six months ended June 30, 2006.
The Fund entered into an agreement with Mellon Bank, N.A. ("Mellon Bank"),
a wholly owned subsidiary of Mellon Financial Corporation and an affiliate
of Standish Mellon, to provide custody, 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 was charged $26,522 during
the six months ended June 30, 2006.
The Fund also entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Mellon Bank receives an agreed upon percentage of the net lending revenues.
Pursuant to this agreement, Mellon Bank collected $103 for the six months
ended June 30, 2006. See Note 7 for further details.
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. The Fund
was not charged for printing and fulfillment services during the six months
ended June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,979. No other director, officer or employee
of Standish Mellon or its affiliates receives any compensation from the
Trust or the Fund for serving as an officer or Trustee of the Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to Fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts. For the
six months ended June 30, 2006, the Fund did not pay an administrative
service fee to Mellon Private Wealth Management.
17
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
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 six months ended June 30, 2006 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $ 5,354,624 $ 5,111,672
=========== ===========
Investments (non-U.S. Government Securities) $ 1,412,359 $ 611,707
=========== ===========
(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 For the
Six Months Ended Year Ended
June 30, 2006 December 31, 2005
---------------- -----------------
Shares sold 10,343 261,106
Shares issued to shareholders reinvestment of distributions declared 10,511 48,779
Shares redeemed (47,068) (2,402,674)
------- ----------
Net increase (decrease) (26,214) (2,092,789)
======= ==========
At June 30, 2006, two shareholders of record held approximately 97.1% of
the total outstanding shares of the Fund. Investment activities 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 were acquired through reinvestment of
distributions. For the six months ended June 30, 2006, the Fund did not
collect any redemption fees.
(5) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $ 11,010,342
============
Gross Unrealized appreciation 6,883
Gross Unrealized depreciation (312,721)
------------
Net unrealized appreciation/(depreciation) $ (305,838)
============
(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 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 security 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
18
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 option is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at year 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 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.
During the six months ended June 30, 2006, the Fund entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 1 $ 1,188
Options written 4 1,819
Options expired (2) (1,813)
Options closed (2) (839)
--------- --------
Outstanding, end of period 1 $ 355
========= ========
Number of
Written Call Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period 0 $ 0
Options written 1 267
Options expired (1) (267)
Options closed 0 0
--------- --------
Outstanding, end of period 0 $ 0
========= ========
At June 30, 2006, the Fund held written options. See the 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 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 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 counterparty does
not perform under the contract's terms. The Fund 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, 2006, the Fund held open financial futures contracts. See the
Schedule of Investments for further details.
19
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond 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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities, and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the 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 loaned securities during the six months ended June 30, 2006 and
earned interest on the invested collateral of $13,579 of which, $13,323 was
rebated to borrowers or paid in fees. At June 30, 2006, the Fund had
securities valued at $474,732 on loan. See the 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.
20
Mellon Institutional Funds Investment Trust
Standish Mellon Investment Grade Bond Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 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.
For six months ended June 30, 2006, the Fund held delayed delivery
securities. See the Schedule of Investments for further details.
(9) Line of Credit:
The Fund, and other funds in the Trust and subtrusts in Mellon
Institutional Funds Master Portfolio (the "Portfolio Trust") are parties to
a committed line of credit facility, which enables each fund/portfolio to
borrow, in the aggregate, up to $35 million. Interest is charged to each
participating fund/portfolio 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 committed amount, is
allocated ratably among the participating funds/portfolios at the end of
each quarter. For six months ended June 30, 2006, the facility fee was $0
for the Fund.
For the six months ended June 30, 2006, the Fund did not borrow from the
credit facility.
(10) Subsequent Event:
In response to total redemption requests submitted by the Fund's remaining
shareholders, the Fund began the process of dissolving and winding up its
business. On July 14, 2006 the Fund sent a liquidating distribution to its
remaining shareholders, in cash and partly consisting of portfolio
securities, equal to the shareholders' proportionate interest in the net
assets of the Fund. As of such date, the Fund was dissolved in accordance
with the Fund's Declaration of Trust.
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, 2006. The Trust's Statement of Additional
Information includes additional information about the Trust's trustees and is
available, without charge, upon request by writing Mellon Institutional Funds at
P.O. Box 8585, Boston, MA 02266-8585 or calling toll free 1-800-221-4795.
Independent Trustees
Principal
Name Term of Office Occupation(s)
Address, and Position(s) and Length of During Past
Date of Birth Held with Trust Time Served 5 Years
- ------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee since Chairman Emeritus,
c/o Decision Resources, Inc. 11/3/1986 Decision Resources, Inc.
260 Charles Street ("DRI")(biotechnology
Waltham, MA 02453 research and consulting
9/30/40 firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Caleb Loring III Trustee Trustee since Trustee, Essex Street
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,
c/o Harvard University 9/13/1989 Professor of Political
Littauer Center 127 Economy, Harvard University
Cambridge, MA 02138
8/5/44
John H. Hewitt Trustee Trustee since Trustee, Mertens House,
P.O. Box 2333 11/3/1986 Inc. (hospice)
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard Trustee, President Since 2003 President and Chief
The Boston Company and Chief Operating Officer of
Asset Management, LLC 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 Asset Management
("MAM") and Vice President and
Chief Financial Officer, MAM
Number of
Portfolios in Other Trustee
Name Fund Complex Directorships Remuneration
Address, and Overseen by Held by (period ended
Date of Birth Trustee Trustee June 30, 2006)
- --------------------------------------------------------------------------------------------
Samuel C. Fleming 34 None $284
c/o Decision Resources, Inc.
260 Charles Street
Waltham, MA 02453
9/30/40
Caleb Loring III 34 None $291
c/o Essex Street Associates
P.O. Box 5600
Beverly, MA 01915
11/14/43
Benjamin M. Friedman 34 None $284
c/o Harvard University
Littauer Center 127
Cambridge, MA 02138
8/5/44
John H. Hewitt 34 None $284
P.O. Box 2333
New London, NH 03257
4/11/35
Interested Trustees
Patrick J. Sheppard 34 None $0
The Boston Company
Asset Management, LLC
One Boston Place
Boston, MA 02108
7/24/65
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly Vice
One Boston Place President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds Distributor,
One Boston Place Officer L.P. and Mellon Optima L/S Strategy Fund, LLC; formerly
Boston, MA 02108 Director, Blackrock, Inc., Senior Vice President,
4/8/57 State Street Research & Management Company
("SSRM"), and 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
6946SA0606
[LOGO]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Opportunistic High Yield Fund
- --------------------------------------------------------------------------------
June 30, 2006 (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.
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 (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, 2006 to June 30, 2006).
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, 2006
January 1, 2006 June 30, 2006 to June 30, 2006
- ----------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,013.70 $0.50
Hypothetical (5% return
per year before expenses) $1,000.00 $1,024.30 $0.50
- -----------
+ Expenses are equal to the Fund's annualized expense ratio of 0.10%,
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Percentage of
Top Ten Holdings* Rate Maturity Investments
- -----------------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB 6.875 12/1/2013 2.4%
AES Corp. 144A 8.750 5/15/2013 1.7
Freescale Semiconductor, Inc. 6.875 7/15/2011 1.7
Nevada Power Co. 6.500 4/15/2012 1.7
Owens-Illinois, Inc. 7.500 5/15/2010 1.2
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 1.1
Speedway Motorsports, Inc. 6.750 6/1/2013 1.0
Invista 144A 9.250 5/1/2012 1.0
Qwest Communications International 7.500 2/15/2014 1.0
Kaupthing Bank 144A 7.125 5/19/2016 1.0
-----
13.8%
* Excluding short-term investments and investment of cash collateral.
Summary of Combined Ratings
- -----------------------------------------------------------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- -----------------------------------------------------------------------------------------------------------------
AA 0.1%
A 1.3
BBB 8.6
BB 47.3
B 42.3
CCC 0.4
-----
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 higher category.
Percentage of
Summary of Industries Investments
- --------------------------------------------------------------------------------
Agency 0.4%
Banking 4.0
Basic industry 9.5
Brokerage 1.2
Capital goods 12.9
Consumer cyclical 7.5
Consumer non-cyclical 7.7
Energy 8.4
Insurance 0.5
Media 5.8
Municipals 1.3
Real estate 0.8
Services cyclical 13.0
Services non-cyclical 3.7
Technology 3.2
Telecommunications 8.6
Utility 11.5
------
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, 2006 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--105.3%
BONDS AND NOTES--97.7%
Collateralized Mortgage Obligations--0.3%
Global Signal Trust 2006-1 F 144A (Cost $50,000) 7.036% 2/15/2036 USD $50,000 $ 49,305
Convertible Corporate Bonds--0.5% -----------
Centerpoint Energy, Inc. 144A CVT 2.875 1/15/2024 25,000 26,000
Xcel Energy, Inc. 144A 7.500 11/21/2007 40,000 63,450
-----------
Total Convertible Corporate Bonds (Cost $65,000) 89,450
-----------
Corporate--84.7%
Banking--2.6%
Chevy Chase Bank FSB 6.875 12/1/2013 430,000 430,000
----------
Basic Industry--7.0%
Airgas, Inc. 6.250 7/15/2014 25,000 23,375
Arch Western Finance 6.750 7/1/2013 55,000 52,663
BCP Crystal Holding Corp. 9.625 6/15/2014 116,000 125,860
Earle M Jorgenson Co. 9.750 6/1/2012 100,000 106,500
Equistar Chemicals LP/ Equistar Funding Corp. 10.125 9/1/2008 60,000 63,150
Equistar Chemicals LP/Equistar Funding Corp. 10.625 5/1/2011 15,000 16,106
Freeport-McMoRan Copper & Gold, Inc. 6.875 2/1/2014 70,000 67,375
Freeport-McMoRan Copper & Gold, Inc. (a) 10.125 2/1/2010 40,000 42,450
Georgia-Pacific Corp. 8.000 1/15/2024 75,000 70,875
Jefferson Smurfit Corp. US (a) 8.250 10/1/2012 35,000 32,813
KRATON Polymers LLC/Capital Corp. 8.125 1/15/2014 15,000 14,888
Lyondell Chemical Co. 9.625 5/1/2007 50,000 50,750
Nalco Co. 7.750 11/15/2011 120,000 119,700
Neenah Paper, Inc. 7.375 11/15/2014 10,000 9,200
Peabody Energy Corp. 6.875 3/15/2013 105,000 103,163
PQ Corp. 7.500 2/15/2013 10,000 9,400
Steel Dynamics, Inc. 9.500 3/15/2009 100,000 103,000
Stone Container Corp. 8.375 7/1/2012 70,000 66,150
Temple-Inland 6.625 1/15/2018 80,000 79,595
Westlake Chemical Corp. 6.625 1/15/2016 25,000 23,094
-----------
1,180,107
-----------
Brokerage--0.1%
E*Trade Financial Corp. 8.000 6/15/2011 20,000 20,400
-----------
Capital Goods--12.2%
Alliant Techsystems, Inc. 6.750 4/1/2016 25,000 24,063
Alliant Techsystems, Inc. 144A 2.750 2/15/2024 35,000 37,494
Ball Corp. 6.875 12/15/2012 95,000 93,100
Berry Plastics 10.750 7/15/2012 40,000 43,300
Compression Polymers Holdings 144A 10.500 7/1/2013 35,000 35,700
Crown Americas Inc. 144A 7.625 11/15/2013 130,000 127,725
Crown Americas Inc. 144A 7.750 11/15/2015 140,000 137,900
Crown Cork & Seal Co, Inc. 8.000 4/15/2023 150,000 138,375
Douglas Dynamics LLC 144A 7.750 1/15/2012 155,000 147,250
Esterline Technologies Corp. 7.750 6/15/2013 70,000 70,875
Gibraltar Industries, Inc. 144A 8.000 12/1/2015 30,000 29,850
Goodman Global Holdings (b) 8.329 6/15/2012 72,000 72,180
L-3 Communications Corp. 7.625 6/15/2012 150,000 152,250
L-3 Communications Corp. 6.375 10/15/2015 25,000 23,875
The accompanying notes are an integral part of the financial statements.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- ------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Goods (continued)
L-3 Communications Corp. 144A (a) 3.000% 8/1/2035 $ 25,000 $ 24,375
Leucadia National Corp. 7.000 8/15/2013 75,000 72,750
Norcraft Finance Co. 9.000 11/1/2011 40,000 40,700
Owens-Brockway 7.750 5/15/2011 155,000 156,163
Owens-Illinois, Inc. (a) 7.500 5/15/2010 210,000 205,275
Plastipak Holdings, Inc. 144A 8.500 12/15/2015 110,000 110,000
Silgan Holdings, Inc. 6.750 11/15/2013 120,000 117,000
Solo Cup Co. (a) 8.500 2/15/2014 50,000 43,250
Terex Corp. 7.375 1/15/2014 105,000 104,475
Texas Industries Inc. 7.250 7/15/2013 40,000 39,600
-----------
2,047,525
-----------
Consumer Cyclical--6.3%
Cooper Standard Auto 8.375 12/15/2014 35,000 27,606
Domino's, Inc. 8.250 7/1/2011 26,000 26,975
Ford Motor Credit Corp. 6.320 9/28/2007 75,000 73,407
Ford Motor Credit Corp. 5.625 10/1/2008 70,000 64,754
General Motors Acceptance Corp. 7.750 1/19/2010 150,000 149,226
General Motors Acceptance Corp. 6.125 1/22/2008 65,000 63,718
Goodyear Tire & Rubber Co./The 9.000 7/1/2015 75,000 71,625
INVISTA 144A 9.250 5/1/2012 180,000 189,000
Keystone Automotive Operation, Inc. 9.750 11/1/2013 40,000 37,800
Leslie's Poolmart 7.750 2/1/2013 70,000 67,900
Neiman Marcus Group, Inc. 144A (a) 9.000 10/15/2015 30,000 31,350
Residential Capital Corp. 6.375 6/30/2010 125,000 123,299
Residential Capital Corp. 6.000 2/22/2011 15,000 14,535
Residential Capital Corp. 6.875 6/30/2015 55,000 54,763
Russell Corp. 9.250 5/1/2010 50,000 52,313
----------
1,048,271
----------
Consumer Non-cyclical--6.9%
Alliance One International 11.000 5/15/2012 50,000 47,500
Altria Group, Inc. 7.000 11/4/2013 50,000 52,750
Chattem, Inc. (a) 7.000 3/1/2014 60,000 58,200
Church & Dwight Co.,Inc. 6.000 12/15/2012 105,000 97,125
Dean Foods Co. 7.000 6/1/2016 40,000 38,700
Del Monte Corp. 8.625 12/15/2012 65,000 66,950
Elizabeth Arden, Inc. 7.750 1/15/2014 40,000 39,300
Ingles Markets, Inc. 8.875 12/1/2011 60,000 62,775
Rite Aid Corp. 12.500 9/15/2006 140,000 141,400
Rite Aid Corp. 9.500 2/15/2011 75,000 77,813
Scotts Co. 6.625 11/15/2013 140,000 134,400
Smithfield Foods, Inc. 7.000 8/1/2011 25,000 24,188
Smithfield Foods, Inc. 7.750 5/15/2013 70,000 68,600
Stater Brothers Holdings 8.829 6/15/2010 125,000 126,563
Stater Brothers Holdings 8.125 6/15/2012 65,000 64,188
True Temper Sports, Inc. 8.375 9/15/2011 65,000 59,150
----------
1,159,602
----------
Energy--8.3%
Amerigas Partners LP 7.250 5/20/2015 50,000 47,250
Amerigas Partners LP 7.125 5/20/2016 25,000 23,438
Chesapeake Energy Corp. 7.625 7/15/2013 25,000 25,156
Colorado Interstate Gas 6.800 11/15/2015 175,000 168,673
El Paso Natural Gas Co. 8.625 1/15/2022 50,000 54,056
The accompanying notes are an integral part of the financial statements.
4
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- ------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Energy (continued)
El Paso Natural Gas Co. 7.500% 11/15/2026 $110,000 $ 107,752
El Paso Production Holding Co. 7.750 6/1/2013 45,000 45,338
Frontier Oil Corp. 6.625 10/1/2011 25,000 23,938
Houston Exploration Co. 7.000 6/15/2013 40,000 39,400
Newfield Exploration Corp. 7.625 3/1/2011 150,000 151,875
Pacific Energy Part/Finance 144A 6.250 9/15/2015 30,000 29,100
Pogo Producing Co. 6.625 3/15/2015 50,000 46,188
Southern Natural Gas Co. 8.875 3/15/2010 25,000 26,406
Tennessee Gas Pipeline Co. 8.375 6/15/2032 150,000 160,419
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 200,000 220,500
Whiting Petroleum Corp. 7.250 5/1/2013 75,000 71,813
Williams Cos., Inc. 7.875 9/1/2021 140,000 142,100
-----------
1,383,402
-----------
Insurance--0.5%
Hanover Insurance Group 7.625 10/15/2025 90,000 90,219
-----------
Media--4.8%
Cablevision Systems Corp. (a) (b) 9.620 4/1/2009 125,000 132,500
CSC Holdings, Inc. 8.125 7/15/2009 70,000 71,225
Dex Media West LLC/Dex Media Finance Co. 8.500 8/15/2010 85,000 88,188
Echostar DBS Corp. 5.750 10/1/2008 65,000 63,538
Lamar Media Corp. 7.250 1/1/2013 20,000 19,550
Radio One, Inc. 8.875 7/1/2011 75,000 77,719
RH Donnelley Corp. 144A 8.875 1/15/2016 20,000 20,175
RH Donnelley Finance Corp. 144A 10.875 12/15/2012 135,000 148,163
Salem Communications Corp. 7.750 12/15/2010 130,000 129,025
Sinclair Broadcast Group, Inc. 4.875 7/15/2018 60,000 52,050
-----------
802,133
-----------
Real Estate--0.8%
BF Saul REIT 7.500 3/1/2014 125,000 126,875
-----------
Services: Cyclical--11.8%
CCM Merger, Inc. 144A (a) 8.000 8/1/2013 50,000 47,250
Chumash Casino & Resort Enterprises 144A 9.520 7/15/2010 105,000 109,594
Cinemark USA, Inc. 9.000 2/1/2013 75,000 78,750
Cinemark USA, Inc. (c ) 9.750 3/15/2014 45,000 34,875
Corrections Corp Of America 7.500 5/1/2011 60,000 60,450
Education Management LLC 144A 8.750 6/1/2014 50,000 49,500
Gaylord Entertainment Co. 8.000 11/15/2013 55,000 54,931
Hertz Corp. 144A 8.875 1/1/2014 45,000 46,125
Hertz Corp. 144A 10.500 1/1/2016 20,000 21,200
Host Marriott LP 7.000 8/15/2012 100,000 99,125
Isle of Capri Casinos, Inc. 7.000 3/1/2014 90,000 84,938
Mashantucket West Pequot 144A 5.912 9/1/2021 150,000 139,263
Mohegan Tribal Gaming Authority 8.000 4/1/2012 175,000 177,844
Mohegan Tribal Gaming Authority 7.125 8/15/2014 145,000 140,288
Penn National Gaming, Inc. 6.875 12/1/2011 25,000 24,438
Penn National Gaming, Inc. 6.750 3/1/2015 60,000 55,950
Pokagon Gaming 10.375 6/15/2014 125,000 129,219
Scientific Games 6.250 12/15/2012 90,000 84,150
Seneca Gaming Corp. 7.250 5/1/2012 25,000 24,219
Speedway Motorsports, Inc. 6.750 6/1/2013 205,000 198,850
Standard Pacific Corp. 6.500 8/15/2010 100,000 93,750
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- ------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Services: Cyclical (continued)
Station Casinos, Inc. 6.000% 4/1/2012 $150,000 $ 140,438
Turning Stone Casino Resort Enterprise 144A 9.125 12/15/2010 45,000 45,450
Williams Scotsman, Inc. 8.500 10/1/2015 30,000 29,625
-----------
1,970,222
-----------
Services: Non-Cyclical--3.3%
Davita, Inc. (a) 7.250 3/15/2015 50,000 48,000
Fisher Scientific International 6.750 8/15/2014 65,000 64,756
HCA, Inc. 7.875 2/1/2011 175,000 178,768
Kinetic Concepts, Inc. 7.375 5/15/2013 91,000 92,593
Psychiatric Solutions, Inc. 7.750 7/15/2015 25,000 24,469
Service Corp International 144A 8.000 6/15/2017 30,000 28,050
Tenet Healthcare Corp. 144A 9.500 2/1/2015 100,000 98,250
WCA Waste Corp. 9.250 6/15/2014 15,000 15,150
-----------
550,036
-----------
Technology & Electronics--2.8%
Communications & Power Industries, Inc. 8.000 2/1/2012 25,000 25,250
Freescale Semiconductor, Inc. (a) 6.875 7/15/2011 310,000 311,550
Freescale Semiconductor, Inc. (b) 7.818 7/15/2009 100,000 102,000
Sungard Data Systems Inc. 144A (a) (b) 9.431 8/15/2013 20,000 20,925
-----------
459,725
-----------
Telecommunications--6.5%
Consolidated Communication Holdings, Inc. 9.750 4/1/2012 59,000 60,770
Hawaiian Telecom Communication (a) 10.789 5/1/2013 30,000 30,300
Intelsat Bermuda International 11.250 6/15/2016 100,000 102,500
Nextel Communications, Inc. 6.875 10/31/2013 30,000 30,176
Panamsat Corp. 9.000 6/15/2016 15,000 15,225
Qwest Communications International 7.500 2/15/2014 185,000 180,375
Qwest Corp. 7.875 9/1/2011 150,000 151,875
Qwest Corp. 7.200 11/10/2026 115,000 104,938
Rural Cellular Corp. 8.250 3/15/2012 50,000 51,313
Wind Acquisition Finance SA 144A 10.750 12/1/2015 25,000 26,563
Windstream Corp.144A 8.125 8/1/2013 165,000 168,300
Windstream Corp.144A 8.625 8/1/2016 165,000 168,713
-----------
1,091,048
-----------
Utilities--10.8%
AES Corp. 9.375 9/15/2010 60,000 64,200
AES Corp. 8.875 2/15/2011 123,000 129,150
AES Corp. 144A 8.750 5/15/2013 310,000 331,700
CMS Energy Corp. 8.900 7/15/2008 100,000 104,000
Dynegy Holdings, Inc. 144A 8.375 5/1/2016 85,000 83,725
Edison Mission Energy 144A (a) 7.500 6/15/2013 40,000 39,200
FPL Energy Wind Funding LLC 144A 6.876 6/27/2017 79,200 79,101
Mirant Americas General, Inc. 8.300 5/1/2011 100,000 98,750
Mirant North America LLC 144A 7.375 12/31/2013 185,000 178,525
MSW Energy Holdings 7.375 9/1/2010 95,000 95,000
MSW Energy Holdings 8.500 9/1/2010 50,000 51,500
Nevada Power Co. 6.500 4/15/2012 300,000 298,398
NorthWestern Corp. 5.875 11/1/2014 35,000 34,290
NRG Energy, Inc. 7.250 2/1/2014 50,000 48,750
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- ------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities (continued)
Reliant Energy, Inc. 9.250% 7/15/2010 $ 30,000 $ 30,000
Reliant Energy, Inc. 9.500 7/15/2013 25,000 25,125
Sierra Pacific Resources 8.625 3/15/2014 50,000 52,967
TECO Energy, Inc. 7.500 6/15/2010 50,000 51,000
TECO Energy, Inc. 6.750 5/1/2015 10,000 9,725
-----------
1,805,106
-----------
Total Corporate (Cost $14,323,222) 14,164,671
-----------
Municipal Bonds--1.3%
Erie County NY Tob Asset Securitization Corp. 6.000 6/1/2028 25,000 24,372
Tobacco Settlement Authority Iowa 6.500 6/1/2023 135,000 132,621
Tobacco Settlement Authority Michigan 7.309 6/1/2034 55,000 54,948
-----------
Total Municipal Bonds (Cost $213,525) 211,941
-----------
Yankee Bonds--7.5%
Angiotech Pharmaceutical 144A 7.750 4/1/2014 10,000 9,550
Bombardier, Inc. 144A 6.300 5/1/2014 100,000 87,000
Ineos Group Holdings Plc 144A (a) 0.000 2/15/2016 115,000 107,669
Intelsat Sub Holding Co., Ltd. (b) 9.609 1/15/2012 85,000 85,850
Jean Coutu Group, Inc. (a) 7.625 8/1/2012 50,000 48,500
JSG Funding PLC 9.625 10/1/2012 50,000 51,500
Kaupthing Bank 144A 7.125 5/19/2016 180,000 180,054
Nell AF Sarl 144A (a) 8.375 8/15/2015 75,000 72,094
Norampac, Inc. 6.750 6/1/2013 120,000 108,000
Rogers Wireless Inc. 8.000 12/15/2012 60,000 61,350
Rogers Wireless, Inc. (b) 8.454 12/15/2010 60,000 61,725
Rogers Wireless, Inc. 7.250 12/15/2012 50,000 50,375
Royal Caribbean Cruises Ltd. 8.750 2/2/2011 110,000 118,255
Russel Metals, Inc. 6.375 3/1/2014 50,000 46,250
Shinsei Finance Cayman Ltd. 144A 6.418 7/20/2048 100,000 93,918
Stena AB 7.500 11/1/2013 70,000 67,900
-----------
Total Yankee Bonds (Cost $1,289,078) 1,249,990
-----------
Foreign Denominated--3.4%
Euro--3.4%
Culligan Finance Corp., BV 144A 8.000 10/1/2014 EUR 35,000 46,772
Fresenius Finance BV 144A 5.000 1/31/2013 10,000 12,468
General Motors Acceptance Corp. 5.375 6/6/2011 45,000 54,532
GMAC International Finance BV (a) 4.375 10/31/2007 85,000 107,000
Hornbach Baumarkt AG 144A 6.125 11/15/2014 15,000 19,278
Nordic Tel Co. Holdings 144A 8.250 5/1/2016 50,000 65,379
NTL Cable PLC 8.750 4/15/2014 35,000 45,597
Remy Cointreau S.A. 144A 6.500 7/1/2010 40,000 53,198
Sensata Technologies BV 144A 9.000 5/1/2016 50,000 64,647
Telenet Communications NV 144A 9.000 12/15/2013 74,700 104,588
-----------
Total Foreign Denominated (Cost $532,552) 573,459
-----------
TOTAL BONDS AND NOTES (Cost $16,473,377) 16,338,816
-----------
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Schedule of Investments -- June 30, 2006 (Unaudited)
- ------------------------------------------------------------------
Value
Security Description Shares (Note 1A)
===================================================================================================================================
CONVERTIBLE PREFERRED STOCKS--0.9%
Fannie Mae 7.00% CVT Pfd 300 $ 16,106
Sovereign Capital Trust IV 4.375% CVT Pfd 3,100 140,275
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $179,013) 156,381
-----------
INVESTMENT OF CASH COLLATERAL--6.7% Rate
BlackRock Cash Strategies L.L.C. (d) (Cost $1,120,900) 5.140% 1,120,900 1,120,900
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $17,773,290) 17,616,097
-----------
AFFILIATED INVESTMENTS--2.0%
Dreyfus Institutional Preferred Plus
Money Market Fund (d) (e) (Cost $321,890) 5.320% 321,890 321,890
-----------
Total Investments--107.3% (Cost $18,095,180) 17,937,987
-----------
Liabilities in Excess of Other Assets--(7.3%) (1,214,983)
-----------
NET ASSETS--100.0% $16,723,004
===========
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, normally to qualified institutional buyers. At period end,
the value of these securities amounted to $3,804,886 or 22.7% of net
assets.
(a) Security, or a portion of thereof, was on loan at June 30, 2006.
(b) Variable Rate Security; rate indicated is as of June 30,2006.
(c) Step-up bond rate, rate indicated as of June 30,2006.
(d) Stated yield is the seven day yield for the fund at June 30, 2006.
(e) Affiliated institutional money market fund.
CVT--Convertible
EUR--Euro
REIT--Real Estate Investment Trust
At June 30, 2006, the Fund held the following open swap agreements:
Unrealized
Credit Default Swaps Reference Buy/Sell (Pay)/Receive Expiration Notional Appreciation/
Counterparty Entity Protection+ Fixed Rate Date Amount (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
JPMorgan Dow Jones CDX.NA.HY.4 Sell 3.60% 6/20/2010 $210,000 $ 2,239
JPMorgan Dow Jones CDX.NA.HY.BB.5 Buy (2.50%) 12/20/2010 210,000 (4,907)
Merrill Lynch Dow Jones CDX.NA.IG.4 7-10% Tranche Buy (0.305%) 6/20/2010 242,600 (1,614)
Morgan Stanley Dow Jones CDX.NA.IG.4 7-10% Tranche Buy (0.35%) 6/20/2010 385,400 (3,188)
--------
$(7,470)
--------
+ If the portfolio is a seller of protection and a credit event occurs, as
defined under the terms of that particular swap agreement, the portfolio
will pay to the buyer of the protection an amount up to the notional value
of the swap and in certain instances, take delivery of the security.
At June 30, 2006 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, 2006 to Receive (Loss)
- -----------------------------------------------------------------------------------------------------------------------------------
Euro 486,000 9/20/2006 $624,965 $616,012 $(8,953)
======== ======== ========
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, 2006 (Unaudited)
- ------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $1,077,243 (Note 7))
Unaffiliated issuers, at value (Note 1A) (cost $17,773,290) $ 17,616,097
Affiliated issuers, at value (Note 1A) (cost $321,890) (Note 1H) 321,890
Foreign currency, at value (cost $9,847) 9,982
Receivable for investments sold 124,035
Unrealized apppreciation on swap contracts (Note 6) 2,239
Swap premium paid 6,604
Interest and dividends receivable 266,513
Prepaid expenses 3,847
------------
Total assets 18,351,207
Liabilities
Collateral for securities on loan (Note 7) $ 1,120,900
Payable for investments purchased 455,599
Unrealized depreciation on swap contracts (Note 6) 9,709
Payable to brokers (Note 6) 220
Unrealized depreciation on forward currency exchange contracts (Note 6) 8,953
Accrued professional fees 24,918
Accrued accounting, administration, custody and transfer agent fees (Note 2) 5,991
Accrued trustees' fees and expenses (Note 2) 1,034
Accrued chief compliance officer fee (Note 2) 278
Accrued shareholder reporting expense (Note 2) 500
Other accrued expenses and liabilities 101
Total liabilities ------------ 1,628,203
------------
Net Assets $ 16,723,004
============
Net Assets consist of:
Paid-in capital $ 33,057,708
Accumulated net realized loss (16,205,015)
Net investment income 43,534
Net unrealized depreciation (173,223)
------------
Total Net Assets $ 16,723,004
============
Shares of beneficial interest outstanding 1,017,074
Net Asset Value, offering and redemption price per share ============
(Net Assets/Shares outstanding) $ 16.44
============
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 Six Months Ended June 30, 2006 (Unaudited)
Investment Income (Note 1B)
Interest income $ 655,739
Dividend income from affiliated investments (Note 1H) 6,725
Security lending income (Note 7) 3,147
Dividend income 10,207
------------
675,818
Expenses
Investment advisory fee (Note 2) $ 36,410
Accounting, administration, custody, and transfer agent fees (Note 2) 28,142
Professional fees 28,176
Registration fees 3,843
Trustees' fees and expenses (Note 2) 2,096
Insurance expense 1,959
Chief compliance officer expense (Note 2) 1,933
Miscellaneous expenses 4,340
------------
106,899
Deduct:
Waiver of investment advisory fee (Note 2) (36,410)
Reimbursement of Fund operating expenses (Note 2) (61,383)
------------
Total expense deductions (97,793)
------------
Net expenses 9,106
------------
Net investment income 666,712
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 67,112
Foreign currency transactions and forward currency exchange transactions (19,669)
Swap transactions 4,015
------------
Net realized gain 51,458
Change in unrealized appreciation (depreciation) on:
Investments (436,329)
Foreign currency transactions and forward currency exchange contracts (11,954)
Swap contracts 10,352
------------
Net change in net unrealized appreciation (depreciation) (437,931)
------------
Net realized and unrealized gain (loss) on investments (386,473)
------------
Net Increase in Net Assets from Operations $ 280,239
============
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, 2006 Year Ended
(Unaudited) December 31, 2005
--------------- ----------------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 666,712 $ 1,349,737
Net realized gain (loss) 51,458 3,541
Change in net unrealized appreciation (depreciation) (437,931) (688,645)
------------ ------------
Net increase (decrease) in net assets from investment operations 280,239 664,633
------------ ------------
Distributions to Shareholders (Note 1C)
From net investment income (633,229) (1,451,950)
------------ ------------
Total distributions to shareholders (633,229) (1,451,950)
------------ ------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares -- 7,614,232
Value of shares issued to shareholders in reinvestment of distributions 428,675 998,844
Cost of shares redeemed (3,210,000) (5,822,713)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (2,781,325) 2,790,363
------------ ------------
Total Increase (Decrease) in Net Assets (3,134,315) 2,003,046
Net Assets
At beginning of period 19,857,319 17,854,273
------------ ------------
At end of period (including undistributed
net investment income of $43,534 and $10,051, respectively) $16,723,004 $19,857,319
============ ============
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, 2006 ------------------------------------- of operations) to
(Unaudited) 2005 2004 2003 2002 December 31, 2001
------------- -------- -------- -------- -------- --------------------
Net Asset Value, Beginning of Period $ 16.81 $ 17.47 $ 17.64 $ 15.72 $ 16.36 $ 20.00
------- ------- ------- ------- ------- -------
From Investment Operations:
Net investment income * (a) 0.62 1.21 1.38 1.36 1.41 1.34
Net realized and unrealized gain (loss) on investments (0.39) (0.61) 0.47 1.97 (0.46) (1.93)
------- ------- ------- ------- ------- -------
Total from investment operations 0.23 0.60 1.85 3.33 0.95 (0.59)
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income (0.60) (1.26) (2.02) (1.41) (1.58) (2.98)
From tax return of capital -- -- -- -- (0.01) (0.07)
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.60) (1.26) (2.02) (1.41) (1.59) (3.05)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 16.44 $ 16.81 $ 17.47 $ 17.64 $ 15.72 $ 16.36
======= ======= ======= ======= ======= =======
Total Return (b) 1.37%(c) 3.55% 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% 0.10%(d)
Net Investment Income (to average daily net assets)* 7.35%(d) 7.03% 7.57% 8.00% 8.78% 9.46%(d)
Portfolio Turnover 15%(c) 42% 36% 133% 121% 191%(c)
Net Assets, End of Period (000's omitted) $16,723 $19,857 $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) $ 0.53 $ 1.02 $ 1.25 $ 1.22 $ 1.31 $ 1.28
Ratios (to average daily net assets):
Expenses * 1.18%(d) 1.20% 0.83% 0.91% 0.73% 0.54%(d)
Net investment income* 6.27%(d) 5.93% 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 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 are valued at the last sale prices on the exchange or national
securities market on which they are primarily traded. Securities not listed
on an exchange or national securities market, or securities for which there
were no reported transactions, are valued at the last quoted bid price.
Securities that are fixed income securities, other than short-term
instruments with less than sixty days remaining to maturity, for which
accurate market prices are readily available, are valued at their current
market value on the basis of quotations, which may be furnished by a
pricing service or dealers in such securities. 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 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 cost based upon the value
on such date unless the Trustees determine during such sixty-day period
that amortized cost 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 earned, 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.
Dividends representing a return of capital are reflected as a reduction of
cost.
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. 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 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 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 capital loss
carryforwards.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications among undistributed net
investment income(loss), accumulated net realized gain (loss) and paid in
capital. Undistributed net investment income (loss) 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.
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
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Standish Mellon Opportunistic High Yield Fund
D. Foreign currency transactions
The Fund 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.
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 are directly identifiable to an
individual fund. Expenses which are not readily identifiable to a specific
fund are allocated among the funds of the Trust 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 investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of Mellon Financial Corporation, or 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
payable 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 six
months ended June 30, 2006. Pursuant to this agreement, for the six months
ended June 30, 2006, Standish Mellon voluntarily waived its investment
advisory fee in the amount of $36,410 and reimbursed the Fund for $61,383
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 was charged $3,238 during the six months ended June 30, 2006.
The Fund entered into an agreement with Mellon Bank, N.A. ("Mellon Bank"),
a wholly owned subsidiary of Mellon Financial Corporation and an affiliate
of Standish Mellon, to provide custody, 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 was charged $24,904 during
the six months ended June 30, 2006.
The Fund also entered into an agreement with Mellon Bank to perform certain
securities lending activities and to act as the Fund's lending agent.
Mellon Bank receives an agreed upon percentage of the net lending revenues.
Pursuant to this agreement, Mellon Bank collected $1,329 for the six months
ended June 30, 2006. See Note 7 for further details.
14
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Fund has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of Mellon Financial Corporation and an affiliate of Standish
Mellon, to provide printing and fulfillment services for the Fund. Pursuant
to this agreement the Fund was charged $500 during the six months ended
June 30, 2006.
The Trust reimburses Mellon Asset Management for a portion of the salary of
the Trust's Chief Compliance Officer. For the six months ended June 30,
2006, the Fund was charged $1,933. No other director, officer or employee
of Standish Mellon or its affiliates receives any compensation from the
Trust or the Fund for serving as an officer or Trustee of the Trust. 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.
The Fund pays administrative service fees. These fees are paid to
affiliated or unaffiliated retirement plans, omnibus accounts and platform
administrators and other entities ("Plan Administrators") that provide
record keeping and/or other administrative support services to accounts,
retirement plans and their participants. As compensation for such services,
the Fund may pay each Plan Administrator an administrative service fee in
an amount of up to 0.15% (on an annualized basis) of the Fund's average
daily net assets attributable to fund shares that are held in accounts
serviced by such Plan Administrator. The Fund's adviser or its affiliates
may pay additional compensation from their own resources to Plan
Administrators and other entities for administrative services, as well as
in consideration of marketing or other distribution-related services. These
payments may provide an incentive for these entities to actively promote
the Fund or cooperate with the distributor's promotional efforts.
(3) Purchases and Sales of Investments:
Purchases and proceeds from sales of investments, other than short-term
obligations, for the six months ended June 30, 2006 were as follows:
Purchases Sales
----------- -----------
Investments (non-U.S. Government Securities) $ 2,720,485 $ 5,160,932
=========== ===========
(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 For the
Year Ended Year Ended
June 30, 2006 December 31, 2005
Shares sold -- 439,323
Shares issued to shareholders
reinvestment of distributions declared 25,842 58,759
Shares redeemed (189,788) (339,279)
--------- ---------
Net increase (decrease) (163,946) 158,803
========= =========
At June 30, 2006, four shareholders of record held approximately 74% of
the total outstanding shares of the Fund. Investment activities 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 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 were acquired through
reinvestment of distributions. For the six months ended June 30, 2006,
the Fund did not collect any redemption fees
15
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Federal Taxes:
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2006, as computed on a federal
income tax basis, were as follows:
Aggregate cost $18,095,180
===========
Gross unrealized appreciation 267,017
Gross unrealized depreciation (424,210)
===========
Net unrealized appreciation (depreciation) $(157,193)
===========
(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 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 security 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 option is shown in the Schedule of Investments. This amount
reflects each contract's exposure to the underlying instrument at year 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 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 Fund did not enter into any options transactions during the six months
ended June 30, 2006.
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, 2006, the Fund held currency exchange contracts. See the
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 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
16
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 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 counterparty does
not perform under the contract's terms. The Fund 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, 2006, the Fund did not hold any futures contracts. See the
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, credit default and total
return 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. Total return swap
agreements involve commitments to pay interest in exchange for a
market-linked return, both based on notional amounts. To the extent the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, a fund will receive
a payment from or make a payment to the counterparty. In connection with
these agreements, cash or securities may be set aside as collateral in
accordance with the terms of the swap agreement. Swaps are marked to market
daily based upon quotations, which may be furnished by a pricing service or
dealers in such securities, and the 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 at the beginning of the measurement period are
reflected as such on the Statement of Assets and Liabilities. 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 and loss. Entering into these
agreements involves, to varying degrees, elements of credit, market, and
documentation risk in excess of the amounts recognized in 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, 2006, the Fund held open swap agreements. See the 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 loaned securities during the six months ended June 30, 2006 and
earned interest on the invested collateral of $36,128, of which $32,981 was
rebated to borrowers or paid in fees. At June 30, 2006, the Fund had
securities valued at $1,077,243 on loan. See the Schedule of Investments
for further detail on the security positions on loan and collateral held.
17
Mellon Institutional Funds Investment Trust
Standish Mellon Opportunistic High Yield 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 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.
For six months ended June 30, 2006, the Fund did not enter into any delayed
delivery transactions.
(9) Line of Credit:
The Fund, and other funds in the Trust and subtrusts in Mellon
Institutional Funds Master Portfolio (the "Portfolio Trust") are parties to
a committed line of credit facility, which enables each fund/portfolio to
borrow, in the aggregate, up to $35 million. Interest is charged to each
participating fund/portfolio 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 committed amount, is
allocated ratably among the participating funds/portfolios at the end of
each quarter. For six months ended June 30, 2006, the facility fee was $123
for the Fund.
For the six months ended June 30, 2006, the Fund had average borrowings
outstanding of $9,889 on a total of nine days and incurred $972 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, 2006. The Trust's
Statement of Additional Information includes additional information about
the Trust's trustees and is available, without charge, upon request by
writing 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 2006)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming Trustee Trustee Chairman Emeritus, Decision 34 None $321
c/o Decision Resources, Inc. since Resources, Inc. ("DRI")
260 Charles Street 11/3/1986 (biotechnology research and
Waltham, MA 02453 consulting firm); formerly
9/30/40 Chairman of the Board and
Chief Executive Officer, DRI
Caleb Loring III Trustee Trustee Trustee, Essex Street 34 None $336
c/o Essex Street Associates since Associates (family
P.O. Box 5600 11/3/1986 investment trust office)
Beverly MA 01915
11/14/43
Benjamin M. Friedman Trustee Trustee William Joseph Maier, 34 None $321
c/o Harvard University since Professor of Political
Littauer Center 127 9/13/1989 Economy, Harvard University
Cambridge, MA 02138
8/5/44
John H. Hewitt Trustee Trustee Trustee, Mertens House, 34 None $321
P.O. Box 2333 since Inc. (hospice)
New London, NH 03257
4/11/35 11/3/1986
Interested Trustees
Patrick J. Sheppard Trustee, Since 2003 President and Chief 34 None $0
The Boston Company President Operating Officer of The
Asset Management, LLC and Chief Boston Company Asset
One Boston Place Executive Management, LLC; formerly
Boston, MA 02108 Officer Senior Vice President and
7/24/65 Chief Operating Officer,
Mellon Asset Management
("MAM") and Vice President
and Chief Financial
Officer, MAM
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 Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First
One Boston Place Vice President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson Vice President Vice President Vice President and Mutual Funds Controller,
Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant Vice
One Boston Place Treasurer President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland Assistant Vice Since 1996 Vice President and Manager, Mutual Funds
Mellon Asset Management President Operations, Mellon Asset Management; formerly Vice
One Boston Place President and Manager, Mutual Fund Operations,
Boston, MA 02108 Standish Mellon Asset Management Company, LLC
8/19/51
Cara E. Hultgren Assistant Vice Since 2001 Assistant Vice President and Manager of Compliance,
Mellon Asset Management President Mellon Asset Management ("MAM"); formerly Manager
One Boston Place of Shareholder Services, MAM, and Shareholder
Boston, MA 02108 Representative, Standish Mellon Asset Management
1/19/71 Company, LLC
Mary T. Lomasney Chief Since 2005 First Vice President, Mellon Asset Management and
Mellon Asset Management Compliance Chief Compliance Officer, Mellon Funds
One Boston Place Officer Distributor, L.P. and Mellon Optima L/S Strategy
Boston, MA 02108 Fund, LLC; formerly Director, Blackrock, Inc.,
4/8/57 Senior Vice President, State Street Research &
Management Company ("SSRM"), and 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
6949SA0606
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 Officer and Principal
Financial Officer concluded that the Registrant's disclosure
controls and procedures are effective based on their evaluation of
the Registrant's disclosure controls and procedures as of a date
within 90 days prior to the filing date of this report (the
"Evaluation Date" as defined in Rule 30a-3(c) under the Investment
Company Act of 1940).
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940 that occurred during the
Registrant's first fiscal half-year 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: September 7, 2006
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: September 7, 2006
By (Signature and Title): /s/ STEVEN M. ANDERSON
----------------------
Steven M. Anderson, Vice President and Treasurer
Date: September 7, 2006