UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
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
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, 2007
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Item 1. Reports to Stockholders.
[LOGO] Mellon
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Mellon Institutional Funds
Semiannual Report Standish Mellon
Fixed Income Fund
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June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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)
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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, 2007 to June 30, 2007).
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 expense
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(t)
Account Value Account Value January 1, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
--------------- ------------- ----------------
Actual $ 1,000.00 $ 1,008.60 $ 2.49
Hypothetical (5% return
per year before expenses) $ 1,000.00 $ 1,022.32 $ 2.51
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+ 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.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Portfolio Information as of June 30, 2007 (Unaudited)
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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 below.
Percentage of
Summary of Combined Ratings Investments
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Quality Breakdown
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AAA and higher 60.6%
AA 5.9
A 13.4
BBB 16.5
BB 2.5
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 Portfolio treats the security as being rated in the higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
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U.S. Treasury Note 4.500% 5/15/2017 6.5%
FNMA (TBA) 5.500 7/1/2035 5.0
U.S. Treasury Note 5.125 6/30/2008 4.1
FNMA (TBA) 5.000 7/1/2035 3.8
FNMA (TBA) 6.000 7/1/2035 2.9
FNMA (TBA) 6.000 7/1/2020 2.5
FGCI (TBA) 5.500 7/1/2018 2.1
FNMA (TBA) 5.000 7/1/2020 1.9
US Treasury Bond 4.750 2/15/2037 1.9
FGCI (TBA) 5.000 5/1/2017 1.3
----
32.0%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
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Government/Agency 17.2%
Corporate 29.7
Emerging Markets 1.5
Mortgage Pass-Thru 28.8
ABS/CMO/CMBS 20.0
Municipal 1.4
Cash & Equivalents 1.4
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100.0%
4
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Statement of Assets and Liabilities June 30, 2007 (Unaudited)
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Assets
Investment in Standish Mellon Fixed Income Portfolio ("Portfolio"), at value (Note 1A) $ 568,173,393
Receivable for Fund shares sold 6,401,645
Prepaid expenses 13,875
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Total assets 574,588,913
Liabilities
Payable for Fund shares redeemed $ 1,965,923
Accrued administrative services expense (Note 2) 104,765
Accrued professional fees 27,809
Accrued transfer agent fees (Note 2) 11,704
Accrued shareholder reporting expense (Note 2) 2,218
Accrued trustees' fees (Note 2) 453
Accrued chief compliance officer fee (Note 2) 339
Other accrued expenses and liabilities 1,753
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Total liabilities 2,114,964
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Net Assets $ 572,473,949
=============
Net Assets consist of:
Paid-in capital $ 766,703,996
Accumulated net realized loss (190,613,540)
Undistributed net investment income 347,212
Net unrealized depreciation (3,963,719)
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Total Net Assets $ 572,473,949
=============
Shares of beneficial interest outstanding 29,611,655
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Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 19.33
=============
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
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Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $ 14,787,635
Dividend income allocated from Portfolio 558,974
Expenses allocated from Portfolio (1,197,098)
------------
Net investment income allocated from Portfolio 14,149,511
Expenses
Administrative service fees (Note 2) $ 138,566
Professional fees 26,275
Registration fees 12,980
Transfer agent fees (Note 2) 11,128
Trustees' fees and expenses (Note 2) 1,031
Insurance expense 669
Miscellaneous expenses 10,574
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Total expenses 201,223
Deduct:
Reimbursement of Fund operating expenses (Note 2) (197)
-----------
Net expenses 201,026
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Net investment income 13,948,485
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Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investments (8,833,154)
Financial futures transactions 1,068,150
Foreign currency transactions and forward foreign currency exchange transactions 717,911
Swap transactions 51,754
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Net realized gain (loss) (6,995,339)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (1,538,424)
Financial futures contracts (188,730)
Foreign currency translation and forward foreign currency exchange contracts (177,265)
Swap contracts (391,867)
-----------
Net change in net unrealized appreciation (depreciation) (2,296,286)
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Net realized and unrealized gain (loss) allocated from the Portfolio (9,291,625)
------------
Net Increase in Net Assets from Operations $ 4,656,860
============
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Statements of Changes in Net Assets
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For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
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Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 13,948,485 $ 22,655,244
Net realized gain (loss) (6,995,339) (325,644)
Change in net unrealized appreciation (depreciation) (2,296,286) (1,264,069)
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Net increase (decrease) in net assets from investment operations 4,656,860 21,065,531
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Distributions to Shareholders (Note 1C)
From net investment income (12,848,897) (22,263,301)
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Total distributions to shareholders (12,848,897) (22,263,301)
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Fund Share Transactions (Note 4)
Net proceeds from sale of shares 71,192,909 177,478,086
Value of shares issued to shareholders in reinvestment of distributions 8,841,800 15,312,591
Cost of shares redeemed (net of redemption
fees of $4,935 and $4,451, respectively) (58,941,082) (87,911,791)
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Net increase (decrease) in net assets from Fund share transactions 21,093,627 104,878,886
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Total Increase (Decrease) in Net Assets 12,901,590 103,681,116
Net Assets
At beginning of period 559,572,359 455,891,243
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At end of period [including undistributed investment income of $347,212
and distributions in excess of investment income of $752,376, respectively] $ 572,473,949 $ 559,572,359
============= =============
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Financial Highlights
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For the
Six Months Ended Year Ended December 31,
June 30, 2007 --------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
------------- --------- --------- --------- --------- -------
Net Asset Value, Beginning of Period $ 19.61 $ 19.66 $ 20.08 $ 20.08 $ 19.70 $ 18.93
--------- --------- --------- --------- --------- -------
From Operations:
Net investment income* (a) 0.49 0.93 0.82 0.77 0.75 0.93
Net realized and unrealized gains (loss)
on investments (0.32) (0.10) (0.23) 0.36 0.28 0.71
--------- --------- --------- --------- --------- -------
Total from investment operations 0.17 0.83 0.59 1.13 1.03 1.64
--------- --------- --------- --------- --------- -------
Less Distributions to Shareholders:
From net investment income (0.45) (0.88) (1.01) (1.13) (0.65) (0.87)
--------- --------- --------- --------- --------- -------
Total distributions to shareholders (0.45) (0.88) (1.01) (1.13) (0.65) (0.87)
--------- --------- --------- --------- --------- -------
Net Asset Value, End of Period $ 19.33 $ 19.61 $ 19.66 $ 20.08 $ 20.08 $ 19.70
========= ========= ========= ========= ========= =======
Total Return 0.86%(b)(c) 4.38% 2.96% 5.74% 5.24%(c) 8.89%(c)
Ratios/Supplemental data:
Expenses (to average daily net assets)*(d) 0.50%(e) 0.50% 0.49% 0.48% 0.42% 0.38%
Net Investment Income (to average daily
net assets)* 4.99%(e) 4.75% 4.09% 3.77% 3.76% 4.86%
Net Assets, End of Period (000's omitted) $ 572,474 $ 559,572 $ 455,891 $ 463,307 $ 595,789 $ 941,240
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* 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 ratios without waivers and reimbursements would
have been:
Net investment income per share (a) $ 0.49 N/A N/A N/A $ 0.73 $ 0.93
Ratios (to average daily net assets):
Expenses(d) 0.50%(e) N/A N/A N/A 0.45% 0.42%
Net investment income 4.99%(e) N/A N/A N/A 3.73% 4.82%
(a) Calculated based on average shares outstanding.
(b) Not annualized.
(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) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Notes to Financial Statements (Unaudited)
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(1) Organization and 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 objective of the Fund is primarily 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. The Fund invests all of its investable
assets in an interest of Standish Mellon Fixed Income Portfolio (the
"Portfolio"), a subtrust of 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, 2007). 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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. 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
The Fund's investment in the Portfolio is recorded on settlement date. The
Portfolio's securities transactions are recorded as of the trade date as
discussed in Note 1B of the Portfolio's Notes to Financial Statements,
which are included elsewhere in the report. 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 are 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 wash sales, foreign
currency gains and losses, post-October losses, capital loss carryovers,
and the timing of recognition of realized and unrealized 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.
9
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Notes to Financial Statements (Unaudited)
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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.
F. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. Management is evaluating the
implications of FAS 157 and its impact, if any, in the financial statements
has not yet been determined.
(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 The Bank of New York Mellon Corporation ("BNY
Mellon"), 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 0.50% of the Fund's
average daily net assets. Pursuant to this agreement, for the six months
ended June 30, 2007, Standish Mellon voluntarily reimbursed the Fund $197
of its operating expenses. This agreement is voluntary and temporary and
may be discontinued or revised by Standish Mellon at any time.
The Trust entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
BNY Mellon 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 $11,128, for the
six months ended June 30, 2007.
The Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish Mellon, to provide
printing and fulfillment services for the Fund. Pursuant to this agreement,
the Fund was charged $2,218, which is included in miscellaneous expenses in
the statement of operations for the six months ended June 30, 2007.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,119, which is included in
miscellaneous expenses on the statement of operations. 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 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, 2007, the Fund was charged $107,064 for fees
payable to BNY Mellon Private Wealth Management.
Effective June 30, 2007, MBSC Securities Corporation ("MBSC"), a wholly
owned subsidiary of BNY Mellon and an affiliate of Standish, replaced
Mellon Funds Distributor, L.P. as the Fund's principal distributor.
10
Mellon Institutional Funds Investment Trust
Standish Mellon Fixed Income Fund
Notes to Financial Statements (Unaudited)
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(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2007, aggregated $80,500,934 and $72,705,104,
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, 2007 December 31, 2006
------------- -----------------
Shares sold 3,626,456 9,061,206
Shares issued to shareholders
for reinvestment of distributions 453,105 788,837
Share redeemed (2,996,698) (4,504,759)
----------- -----------
Net increase (decrease) 1,082,863 5,345,284
=========== ===========
At June 30, 2007, two shareholders of record, in the aggregate, held
approximately 24% 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, 2007 and the year ended
December 31, 2006, the Fund received redemption fees of $4,935 and $4,451,
which is reflected in the cost of shares redeemed.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Fund, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing
tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
See the corresponding master portfolio for tax basis unrealized
appreciation (depreciation) information.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--149.8%
BONDS AND NOTES--136.3%
Asset Backed--18.5%
Accredited Mortgage Loan Trust 2006-1 A1(a)(b) 5.380% 4/25/2036 USD 457,542 $ 457,577
ACE Securities Corp. 2006-ASL1 A(a)(b) 5.460 2/25/2036 377,142 377,049
American Express Credit Account Master Trust 2004-C 144A(a)(b) 5.820 2/15/2012 1,382,067 1,385,059
American General Mortgage Loan Trust 2006-1 A1 144A (a) 5.750 12/25/2035 65,781 65,634
Americredit Prime Automobile Receivables 2007-1E 6.960 3/8/2016 940,000 936,503
Bank of America Credit Card Trust 2007-B1 B1(a)(b) 5.400 6/15/2012 5,700,000 5,693,098
Bank of America Credit Card Trust 2007-C1 C1(a) 5.610 6/15/2014 5,250,000 5,237,695
Bayview Financial Acquisition Trust 2005-B 1A6 5.208 4/28/2039 200,000 191,554
Capital Auto Receivables Asset Trust 2004-2 D 144A(b) 5.820 5/15/2012 1,950,000 1,925,343
Capital Auto Receivables Asset Trust 2005-1 C(b) 4.730 9/15/2010 1,000,000 985,587
Carrington Mortgage Loan Trust 2006-RFC1 A1(a)(b) 5.360 5/25/2036 683,688 683,441
Centex Home Equity 2006-A AV1(a)(b) 5.370 6/25/2036 288,375 288,383
Chaseflex Trust 2006-2 A1A(a)(b) 5.590 9/25/2036 589,615 589,305
Citibank Credit Card Issuance Trust 2006-C4 C4(a)(b) 5.540 1/9/2012 8,400,000 8,395,928
Citicorp Residential Mortgage Securities 2007-2 A1A(b) 5.983 6/25/2037 3,300,000 3,300,000
Citicorp Residential Mortgage Securities 2007-2 M8 7.000 6/25/2037 400,000 382,547
Citicorp Residential Mortgage Securities 2007-2 M9 7.000 6/25/2037 1,000,000 878,164
Citigroup Mortgage Loan Trust, Inc. 2005-WF1 A5(a) 5.010 2/25/2035 145,000 139,904
Citigroup Mortgage Loan Trust, Inc. 2005-WF2 AF2(b) 4.922 8/25/2035 400,921 398,958
Citigroup Mortgage Loan Trust, Inc. 2005-WF2 AF7 5.249 8/25/2035 1,955,000 1,889,280
Citigroup Mortgage Loan Trust, Inc. 2006-WF1 A2A(b) 5.701 3/25/2036 159,944 159,515
Countrywide Asset-Backed Certificates 2006-SPS1 A(a)(b) 5.430 12/25/2025 2,019,327 2,018,542
Countrywide Asset-Backed Certificates 2006-SPS2 A(a)(b) 5.480 5/25/2026 3,722,690 3,720,918
Countrywide Asset-Backed Certificates 2007-4 A1A(a)(b) 5.440 9/25/2037 1,408,405 1,409,078
Countrywide Asset-Backed Certificates 2007-4 M5 6.920 9/25/2037 1,155,000 1,146,345
Credit-Based Asset Servicing and Securities 2005-CB8 AF5 5.653 12/25/2035 300,000 289,763
Credit-Based Asset Servicing and Securitization 2005-CB7 AF1(b) 5.208 11/25/2035 325,533 324,371
Credit-Based Asset Servicing and Securitization 2005-CB8 AF1B(b) 5.451 12/25/2035 515,719 513,476
Credit-Based Asset Servicing and Securitization 2006-CB1 AF1(b) 5.457 1/25/2036 944,754 940,786
Credit-Based Asset Servicing and Securitization 2006-CB2 AF1(b) 5.717 12/25/2036 307,684 306,573
Credit-Based Asset Servicing and Securitization 2007-CB2 A2A 5.891 2/25/2037 4,316,883 4,309,080
Credit Suisse Mortgage Capital Certificate 2007-1 1A6A(a) 5.863 2/25/2037 1,775,000 1,735,297
CS First Boston Mortgage Securities Corp. 2002-HE4 MF1 6.940 8/25/2032 483,415 486,684
CSAB Mortgage Backed Trust 2006-3 A1A(b) 6.000 11/25/2036 3,661,774 3,652,110
First NLC Trust 2005-3 AV2(a)(b) 5.550 12/25/2035 779,737 780,158
Ford Credit Auto Owner Trust 144A 7.050 12/15/2013 600,000 600,188
Ford Credit Auto Owner Trust 2004-A C 4.190 7/15/2009 975,000 970,397
Ford Credit Auto Owner Trust 2005-B B(b) 4.640 4/15/2010 1,465,000 1,452,604
Ford Credit Auto Owner Trust 2006-C C 5.470 9/15/2012 590,000 582,095
GMAC Mortgage Corp. Loan Trust 2006-HE3 A1(a)(b) 5.420 10/25/2036 1,301,345 1,301,400
Green Tree Financial Corp. 1994-7 M1(b) 9.250 3/15/2020 576,677 594,335
GSAA Home Equity Trust 2006-7 AV1(a)(b) 5.400 3/25/2046 1,192,660 1,192,598
GSAMP Trust 2006-S4 A1(a)(b) 5.410 5/25/2036 690,992 691,023
Home Equity Asset Trust 2005-8 2A1(a)(b) 5.430 2/25/2036 172,714 172,738
Home Equity Mortgage Trust 2006-3 A1(a)(b) 5.472 9/25/2036 942,975 942,741
Home Equity Mortgage Trust 2006-4 A1 5.671 11/25/2036 404,300 404,754
Home Equity Mortgage Trust 2006-5 A1(b) 5.500 1/25/2037 2,569,858 2,567,261
Hyundai Auto Receivables Trust 2004-A B 3.460 8/15/2011 39,534 38,868
Hyundai Auto Receivables Trust 2006-A A2 5.130 2/16/2009 19,878 19,882
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Backed (continued)
JP Morgan Acquisition Corp. 2006-CW1 A2(a)(b) 5.360% 5/25/2036 USD 332,940 $ 332,962
JP Morgan Alternative Loan Trust 2006-S4 A6 5.710 12/25/2036 1,265,000 1,234,261
JP Morgan Mortgage Acquisition Corp. 2007-HE1 AF1(a)(b) 5.420 4/1/2037 2,715,481 2,715,481
MBNA Credit Card Master Note Trust 2002-C1 C1 6.800 7/15/2014 65,000 67,799
Merrill Lynch Mortgage Trust, Inc. 2005-CIP1 A2 4.960 7/12/2038 1,090,000 1,073,682
Merrill Lynch Mortgage Trust, Inc. 2005-CKI1 A2 (a) 5.396 11/12/2037 375,000 372,266
Morgan Stanley ABS Capital I 2006-HE3 A2A (a) (b) 5.360 4/25/2036 330,637 330,510
Morgan Stanley Home Equity Loans 2006-1 B1 (a) 6.870 12/25/2035 175,000 151,282
Nationstar Home Equity Loan Trust 2007-C 2AV1(a) 5.380 6/25/2037 2,095,000 2,095,000
Newcastle Mortgage Securities Trust 2006-1 A1 (a) (b) 5.390 3/25/2036 828,448 828,225
Nomura Asset Acceptance Corp. 2005-AP2 A5 4.976 5/25/2035 1,128,000 1,085,662
Nomura Asset Acceptance Corp. 2005-WF1 2A5 5.159 3/25/2035 983,000 947,503
Option One Mortgage Loan Trust 2007-6 2A1(a) 5.380 7/25/2037 441,309 441,309
Origen Manufactured Housing 2004-B A2 3.790 12/15/2017 74,155 72,816
Origen Manufactured Housing 2005-B A1 (b) 5.250 2/15/2014 761,023 757,998
Origen Manufactured Housing 2005-B A2 5.247 12/15/2018 200,000 197,417
Origen Manufactured Housing 2005-B A3 5.605 5/15/2022 100,000 96,891
Ownit Mortgage Loan Asset-Backed Certification 2006-1 AF1 (b) 5.424 12/25/2036 1,946,886 1,937,627
Popular ABS Mortgage Pass-Through Trust 2005-D AF1 (a) (b) 5.361 1/25/2036 547,289 544,857
Popular ABS Mortgage Pass-Through Trust 2005-5 AF6 5.331 11/25/2035 25,000 24,111
Popular ABS Mortgage Pass-Through Trust 2005-6 M1 5.910 1/25/2036 150,000 147,794
Renaissance Home Equity Loan Trust 2006-2 AF1 (b) 5.999 8/25/2036 949,462 946,727
Renaissance Home Equity Loan Trust 2006-3 AF1 (b) 5.917 11/25/2036 1,452,189 1,448,149
Renaissance Home Equity Loan Trust 2007-2 AF1 5.893 6/25/2037 1,235,000 1,233,582
Residential Asset Mortgage Products, Inc. 2003-RS9 MI1 5.800 10/25/2033 15,956 15,630
Residential Asset Mortgage Products, Inc. 2004-RS12 AI6 4.547 12/25/2034 80,000 76,084
Residential Asset Mortgage Products, Inc. 2005-EFC5 A1 (a) (b) 5.420 10/25/2035 223,168 223,187
Residential Asset Securities Corp. 2003-KS7 MI3 5.750 9/25/2033 338,769 313,073
Residential Asset Securities Corp. 2005-EMX3 AI1 (a) (b) 5.430 9/25/2035 159,316 159,332
Residential Funding Mortgage Securities 2005-HI3 A4 5.490 9/25/2035 100,000 96,432
Residential Funding Mortgage Securities II 2006-HSA2 AI2 (a) (b) 5.500 3/25/2036 300,000 298,768
Soundview Home Equity Loan Trust 2005-B M2 5.725 5/25/2035 270,000 268,745
Soundview Home Equity Loan Trust 2005-M M3 5.825 5/25/2035 540,000 535,971
Soundview Home Equity Loan Trust 2007-NS1 A1 (a) 5.440 1/25/2037 2,190,634 2,190,801
Specialty Underwriting & Residential Finance 2006-BC2 A2A (a) (b) 5.380 2/25/2037 1,112,266 1,111,975
Specialty Underwriting & Residential Finance 2006-BC2 A2B 5.573 2/25/2037 350,000 348,531
Structured Asset Securities Corp. 2005-S3 M1 (a) (b) 5.820 6/25/2035 1,425,000 1,421,055
Structured Asset Securities Corp. 2006-WF2 A1 (a) 5.350 7/25/2036 235,522 235,509
Terwin Mortgage Trust 2006-9HGA A1 (a) 5.400 10/25/2037 397,854 397,783
Vanderbilt Mortgage Finance 1999-A 1A6 6.750 3/7/2029 1,110,000 1,133,824
Wachovia Auto Loan Owner Trust 2007-1 P 5.650 2/20/2013 1,850,000 1,836,791
Washington Mutual Asset Securities Corp. 2003-C1A A 144A (b) 3.830 1/25/2035 3,672,784 3,552,512
Wells Fargo Home Equity Trust 2006-1 A1 (a) (b) 5.350 5/25/2036 540,742 540,626
Wells Fargo Mortgage Backed Securities Trust 2003-1 2A9 5.750 2/25/2033 195,000 190,250
WFS Financial Owner Trust 2003-3 A4 (b) 3.250 5/20/2011 1,102,196 1,099,061
WFS Financial Owner Trust 2004-1 D (b) 3.170 8/22/2011 160,588 160,268
WFS Financial Owner Trust 2004-3 B 3.510 2/17/2012 9,552 9,427
WFS Financial Owner Trust 2004-4 C (b) 3.210 5/17/2012 616,197 606,319
WFS Financial Owner Trust 2005-2 B (b) 4.570 11/19/2012 911,000 901,397
WFS Financial Owner Trust 2005-3 B (b) 4.500 5/17/2013 625,000 616,056
Whole Auto Loan Trust 2004-1 A3 2.960 6/15/2008 739 739
------------
Total Asset Backed (Cost $105,431,928) 104,948,646
============
The accompanying notes are an integral part of the financial statements.
13
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage Obligations-12.6%
Banc of America Mortgage Securities 2004-F 2A7 (a) 4.144% 7/25/2034 USD 31,814 $ 31,102
Citicorp Residential Mortgage Securities 2006-1 A1 (b) 5.956 7/25/2036 2,807,667 2,802,594
Citicorp Residential Mortgage Securities 2006-2 A1A (b) 5.872 9/25/2036 1,614,110 1,610,336
Citicorp Residential Mortgage Securities 2006-2 A2 (b) 5.557 9/25/2036 2,600,000 2,588,512
Countrywide Home Loans 2005-31 2A1 (a) (b) 5.504 1/25/2036 3,653,299 3,631,640
First Horizon Alternative Mortgage Securities 2004-FA1 1A1 6.250 10/25/2034 234,387 235,565
FNMA (TBA) (b) (e) 5.000 7/1/2020 15,240,000 14,725,650
GNMA 2003-48 AC (b) 2.712 2/16/2020 1,663,571 1,619,164
GNMA 2003-72 A (b) 3.206 4/16/2018 1,088,133 1,067,200
GNMA 2003-88 AC (b) 2.914 6/16/2018 1,211,970 1,176,931
GNMA 2003-96 B (b) 3.607 8/16/2018 282,123 278,022
GNMA 2004-12A (b) 3.110 1/16/2019 810,246 782,228
GNMA 2004-23 B (b) 2.946 3/16/2019 4,417,262 4,246,726
GNMA 2004-25 AC (b) 3.377 1/16/2023 715,271 692,370
GNMA 2004-43 A (b) 2.822 12/16/2019 1,198,161 1,153,999
GNMA 2004-51 A (b) 4.145 2/16/2018 1,292,769 1,267,841
GNMA 2004-57 A (b) 3.022 1/16/2019 783,535 758,154
GNMA 2004-67 A (b) 3.648 9/16/2017 579,167 566,086
GNMA 2004-77 A (b) 3.402 3/16/2020 603,509 587,794
GNMA 2004-9 A (b) 3.360 8/16/2022 44,768 43,225
GNMA 2004-97 AB (b) 3.084 4/16/2022 1,739,697 1,683,890
GNMA 2005-12 A (b) 4.044 5/16/2021 18,865 18,437
GNMA 2005-14 A (b) 4.130 2/16/2027 48,300 47,386
GNMA 2005-32 B (b) 4.385 8/16/2030 1,399,000 1,373,204
GNMA 2005-50 A (b) 4.015 10/16/2026 34,098 33,279
GNMA 2005-52 A (b) 4.287 1/16/2030 17,379 17,029
GNMA 2005-87 A (b) 4.449 3/16/2025 1,258,138 1,232,705
GNMA 2005-9 A (b) 4.026 5/16/2022 1,617,366 1,581,852
GNMA 2005-90 A (b) 3.760 9/16/2028 1,790,878 1,729,745
GNMA 2006-5 A (b) 4.241 7/16/2029 1,656,969 1,614,725
GNMA 2006-55 A (b) 4.248 7/16/2029 2,360,322 2,295,009
GNMA 2006-6 A (b) 4.045 10/16/2023 231,883 226,984
GNMA 2006-67 A (b) 3.947 11/16/2030 2,815,481 2,723,345
GNMA 2006-9 A (b) 4.201 8/16/2026 2,337,171 2,275,706
GNR 2005-29 A (b) 4.016 7/16/2027 1,074,587 1,042,990
GNR 2006-3 A (b) 4.212 1/16/2028 2,193,653 2,137,875
GNR 2006-66 A (b) 4.087 8/16/2030 2,712,384 2,632,475
Indymac Index Mortgage Loan Trust 2006-AR9 B1 (a) 6.059 6/25/2036 124,875 123,901
Indymac Index Mortgage Loan Trust 2006-AR9 B2 (a) 6.059 6/25/2036 249,735 243,921
Indymac Index Mortgage Loan Trust 2006-AR25 4A2 (a) (b) 6.162 9/25/2036 2,418,313 2,432,873
JP Morgan Mortgage Trust 2005-A1 5A1 (a) 4.485 2/25/2035 41,544 40,374
JP Morgan Mortgage Trust 2005-A7 1A2 (a) 4.989 10/25/2035 150,000 146,916
Morgan Stanley Mortgage Loan Trust 2006-15XS A6B 5.830 11/25/2036 800,000 786,810
Structured Asset Mortgage Investments, Inc. 1998-2 B (a) 5.894 4/30/2030 39,129 38,934
Washington Mutual 2003-AR10 A5 (a) 4.058 10/25/2033 72,000 70,892
Washington Mutual 2003-AR10 A6 (a) (b) 4.058 10/25/2033 2,089,000 2,057,843
Washington Mutual 2004-AR7 A6 (a) (b) 3.942 7/25/2034 221,000 215,270
Washington Mutual 2004-AR9 A7 (a) (b) 4.150 8/25/2034 1,442,000 1,405,040
Washington Mutual 2005-AR4 A4B (a) (b) 4.672 4/25/2035 706,000 691,280
Wells Fargo Mortgage Backed Securities Trust 2005-AR1 1A1 (a) (b) 4.541 2/25/2035 542,714 531,741
------------
Total Collateralized Mortgage Obligations (Cost $71,734,719) 71,317,570
------------
The accompanying notes are an integral part of the financial statements.
14
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Corporate-40.7%
Automobiles-0.0%
Daimler Chrysler NA Holding Corp. (a) 5.790% 3/13/2009 USD 150,000 $ 150,633
Banking-8.6%
Bank of Scotland 144A (a) (b) 7.000 11/29/2049 640,000 643,463
Bear Stearns Co., Inc. (d) 5.500 8/15/2011 1,120,000 1,109,180
Capital One Financial Co. (a) (b) 5.640 9/10/2009 2,500,000 2,506,997
CBA Capital Trust I 144A (c) 5.805 12/29/2049 46,000 45,237
Chevy Chase Bank FSB 6.875 12/1/2013 1,500,000 1,492,500
Chuo Mitsui Trust & Banking Co. Ltd. 144A (a) 5.506 12/29/2049 1,435,000 1,354,491
City National Corp. 5.125 2/15/2013 640,000 621,717
Colonial Bank NA 8.000 3/15/2009 460,000 476,774
Colonial Bank NA 6.375 12/1/2015 1,100,000 1,107,202
Compass Bank 5.500 4/1/2020 15,000 14,317
Credit Suisse USA, Inc. 5.500 8/16/2011 1,740,000 1,738,939
Export-Import Bank of Korea 4.500 8/12/2009 995,000 974,096
Glitnir Banking HF 144A (a) 5.516 10/15/2008 110,000 109,883
Glitnir Banking HF 144A (a) 6.693 6/15/2016 605,000 623,135
Glitnir Banking HF 144A (a) 7.451 9/14/2049 470,000 487,928
Greater Bay Bancorp 5.250 3/31/2008 50,000 49,870
ICICI Bank Ltd. 144A (a) 5.895 1/12/2010 755,000 756,259
Industrial Bank of Korea 144A (a) 4.000 5/19/2014 270,000 262,547
JPMorgan Chase & Co. 5.125 9/15/2014 1,694,000 1,626,680
Kaupthing Bank 144A 7.125 5/19/2016 685,000 723,608
Lehman Brothers Holdings E-Capital Trust I (a) 6.140 8/19/2065 250,000 252,376
M&T Bank Corp. 5.375 5/24/2012 780,000 772,790
Manufacturers & Traders Trust Co. (a) 5.585 12/28/2020 625,000 599,337
Marshall and Ilsley Bank (a) 5.630 12/4/2012 5,125,000 5,124,165
Merrill Lynch & Co. (a) (b) 5.460 3/23/2010 3,020,000 3,021,392
Mizuho JGB Investment 144A (a) 9.870 12/29/2049 1,075,000 1,117,485
MUFG Capital Financial 1 Ltd. (a) 6.346 7/29/2049 1,065,000 1,046,443
National Westminster Bank PLC (a) 7.750 4/29/2049 77,000 77,404
NB Capital Trust IV 8.250 4/15/2027 245,000 254,874
Northern Rock PLC 144A (a) 5.600 4/29/2049 730,000 696,813
Popular North America, Inc. (a) 5.710 12/12/2007 130,000 130,196
Regions Financial Corp. (a) (b) 5.436 8/8/2008 1,725,000 1,727,082
Resona Bank Ltd. 144a (a) 5.850 9/20/2049 1,015,000 970,464
SB Treasury Co. 144A (a) 9.400 12/29/2049 235,000 243,152
Shinsei Finance Cayman Ltd. 144A (a) 6.418 1/29/2049 1,295,000 1,259,135
SMFG Preferred Capital 144A (a) 6.078 1/29/2049 1,500,000 1,443,015
Socgen Real Estate LLC 144A (a) (b) 7.640 12/29/2049 2,093,000 2,103,159
Societe Generale 144A (a) (d) 5.922 4/29/2049 1,500,000 1,452,346
Sovereign Bancorp (a) (b) 5.590 3/23/2010 1,255,000 1,255,368
St. George Bank Ltd. 144A (d) 5.300 10/15/2015 941,000 910,326
Suntrust Preferred Capital I (a) 5.853 12/29/2049 1,245,000 1,237,486
Tokai PFD Capital Co. 144A CVT (a) 9.980 12/29/2049 240,000 249,618
USB Capital IX (a) (d) 6.189 12/29/2049 1,785,000 1,798,180
Wachovia Bank NA 5.000 8/15/2015 1,130,000 1,072,093
Wells Fargo & Co. 6.375 8/1/2011 850,000 876,568
Zions Bancorporation (a) (b) 5.476 4/15/2008 835,000 835,514
Zions Bancorporation 6.000 9/15/2015 1,391,000 1,379,777
------------
48,631,381
------------
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Basic Materials-0.2%
Cabot Corp. 144A 5.250% 9/1/2013 USD 960,000 $ 924,073
-----------
Communications-0.1%
New Cingular Wireless Services, Inc. 8.750 3/1/2031 442,000 551,006
Qwest Corp. (a) 8.610 6/15/2013 85,000 92,225
-----------
643,231
-----------
Consumer Cyclical-0.1%
Delhaize America, Inc. 144A 6.500 6/15/2017 370,000 371,405
-----------
Financial-16.3%
Aegon Funding Corp. 5.750 12/15/2020 1,215,000 1,194,601
Allstate Corp. (a) (d) 6.500 5/15/2057 550,000 520,077
American Express Credit Co. (a) (b) 5.380 11/9/2009 1,070,000 1,070,361
American International Group, Inc. 5.050 10/1/2015 595,000 566,407
American International Group, Inc. (d) 6.250 3/15/2037 770,000 728,046
Ameriprise Financial, Inc. (a) 7.518 6/1/2066 1,190,000 1,239,417
Archstone-Smith Operating Trust REIT (b) 5.000 8/15/2007 866,000 865,699
Archstone-Smith Operating Trust REIT 3.000 6/15/2008 60,000 58,472
Archstone-Smith Operating Trust REIT 5.625 8/15/2014 85,000 84,552
Archstone-Smith Operating Trust REIT 5.250 5/1/2015 251,000 242,646
Arden Realty LP REIT 5.200 9/1/2011 820,000 808,893
Arden Realty LP REIT 5.250 3/1/2015 111,000 107,785
Boston Properties LP 5.625 4/15/2015 695,000 685,324
Boston Properties, Inc. 6.250 1/15/2013 58,000 59,475
Capmark Financial Group 144A 5.875 5/10/2012 1,700,000 1,677,721
Chubb Corp. (b) 5.472 8/16/2008 2,525,000 2,523,046
CIT Group, Inc. (a) 5.510 8/15/2008 135,000 134,989
Commercial Net Lease Realtor REIT 6.150 12/15/2015 585,000 581,642
Countrywide Financial Corp. (d) 5.800 6/7/2012 1,110,000 1,102,181
Credit Suisse, Inc. (d) 4.125 1/15/2010 2,665,000 2,585,610
Credit Suisse Guernsey (a) 5.860 5/29/2049 1,320,000 1,271,770
DaimlerChrysler Holding Corp. (a) 5.886 10/31/2008 265,000 266,456
Duke Realty LP Corp. REIT (b) 3.500 11/1/2007 1,219,000 1,211,025
Duke Realty LP Corp. REIT 7.750 11/15/2009 929,000 974,451
Duke Realty LP Corp. REIT 5.250 1/15/2010 160,000 158,688
Duke Realty LP Corp. REIT 6.950 3/15/2011 40,000 41,678
Duke Realty LP Corp. REIT 5.875 8/15/2012 1,150,000 1,157,656
ERP Operating LP REIT 4.750 6/15/2009 58,000 57,139
ERP Operating LP REIT (d) 6.625 3/15/2012 200,000 207,602
ERP Operating LP REIT 5.500 10/1/2012 1,055,000 1,045,116
ERP Operating LP REIT 5.125 3/15/2016 830,000 783,664
ERP Operating LP REIT (d) 5.375 8/1/2016 367,000 351,939
Federal Realty Investment Trust REIT 6.000 7/15/2012 380,000 383,579
Federal Realty Investment Trust REIT 5.650 6/1/2016 760,000 739,917
Ford Motor Credit Corp. (a) 6.190 9/28/2007 80,000 79,995
Ford Motor Credit Corp. (d) 5.625 10/1/2008 85,000 83,902
General Electric Capital Corp. (a) (b) 5.455 10/21/2010 2,975,000 2,978,576
Goldman Sachs Capital II (a) 5.793 12/29/2049 1,705,000 1,663,986
Goldman Sachs Group, Inc. (d) 4.500 6/15/2010 1,165,000 1,135,863
Hanover Insurance Group 7.625 10/15/2025 10,000 10,392
The accompanying notes are an integral part of the financial statements.
16
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Financial (continued)
Hartford Financial Services Group 5.663% 11/16/2008 USD 450,000 $ 450,517
Healthcare Realty Trust REIT 5.125 4/1/2014 210,000 198,103
HRPT Properties Trust REIT (a) (b) 5.960 3/16/2011 560,000 560,256
HSBC Finance Corp. 4.750 4/15/2010 18,000 17,667
HSBC Finance Corp. 5.500 1/19/2016 1,125,000 1,084,134
HSBC Financial Capital Trust IX (a) 5.911 11/30/2035 3,435,000 3,325,794
International Lease Finance Corp. 4.750 1/13/2012 23,000 22,133
Istar Financial, Inc. (a) (b) 5.710 3/9/2010 2,000,000 2,002,268
Invesco PLC 5.375 2/27/2013 645,000 626,383
Janus Capital Group, Inc. 6.250 6/15/2012 1,070,000 1,077,178
Jefferies Group, Inc. 7.500 8/15/2007 43,000 43,056
Jefferies Group, Inc. 7.750 3/15/2012 2,015,000 2,159,095
Kingsway America, Inc. 144A (c) 7.500 2/1/2014 50,000 50,747
Lehman Brothers Capital Trust VII (a) 5.857 11/29/2049 1,645,000 1,611,373
Lehman Brothers Holdings (a) (b) 5.460 8/21/2009 1,850,000 1,850,165
Lehman Brothers Holdings 4.250 1/27/2010 2,925,000 2,851,512
Lehman Brothers Holdings 5.500 4/4/2016 435,000 422,342
Leucadia National Corp. (d) 7.000 8/15/2013 1,260,000 1,234,800
Leucadia National Corp. 144A 7.125 3/15/2017 380,000 368,600
Liberty Property LP 5.500 12/15/2016 575,000 552,560
Lincoln National Corp. (a) (b) 5.440 3/12/2010 1,295,000 1,296,033
Lincoln National Corp. (a) 7.000 5/17/2066 1,230,000 1,262,078
Mack-Cali Realty LP REIT 5.050 4/15/2010 485,000 476,454
Mack-Cali Realty LP REIT 5.250 1/15/2012 870,000 849,600
Mack-Cali Realty LP REIT 5.125 1/15/2015 601,000 571,116
Mack-Cali Realty LP REIT 5.800 1/15/2016 645,000 633,105
MassMutual Global Funding II 144A 3.800 4/15/2009 687,000 668,827
MBNA Capital 8.278 12/1/2026 50,000 52,179
MBNA Corp. 6.125 3/1/2013 1,590,000 1,620,584
Merrill Lynch & Co. 4.790 8/4/2010 2,900,000 2,841,765
Metlife, Inc. 5.000 6/15/2015 2,243,000 2,117,702
Morgan Stanley (a) (b) 5.467 2/9/2009 1,050,000 1,051,344
Morgan Stanley 4.000 1/15/2010 2,750,000 2,654,897
Morgan Stanley (a) (b) 5.410 1/15/2010 5,615,000 5,616,050
Morgan Stanley 4.750 4/1/2014 1,389,000 1,297,102
Nippon Life Insurance 144A 4.875 8/9/2010 1,000,000 974,636
Nuveen Investments, Inc. 5.000 9/15/2010 165,000 151,608
Phoenix Cos., Inc. (b) 6.675 2/16/2008 515,000 516,921
Regency Centers LP 5.250 8/1/2015 444,000 422,546
Regency Centers LP 5.875 6/15/2017 355,000 349,108
Residential Capital Corp. (b) 6.125 11/21/2008 850,000 842,242
Residential Capital Corp. 6.375 6/30/2010 848,000 837,054
Residential Capital Corp. 144A (a) (b) (d) 7.187 4/17/2009 1,460,000 1,453,477
Simon Property Group LP REIT 4.600 6/15/2010 70,000 68,160
Simon Property Group LP REIT 5.000 3/1/2012 906,000 882,118
Simon Property Group LP REIT 5.750 5/1/2012 836,000 839,759
Simon Property Group LP REIT 5.625 8/15/2014 25,000 24,692
SLM Corp. (d) 4.500 7/26/2010 1,485,000 1,373,052
Suntrust Capital II 7.900 6/15/2027 59,000 61,408
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Financial (continued)
Unitedhealth Group, Inc. 5.375% 3/15/2016 USD 760,000 $ 732,094
Washington Mutual, Inc. (a) (b) 5.500 8/24/2009 5,795,000 5,796,553
Washington Mutual, Inc. (a) (b) 5.656 1/15/2010 1,195,000 1,198,059
Western Financial Bank FSB (b) 9.625 5/15/2012 920,000 985,429
------------
92,466,773
------------
Industrials-12.1%
Allied Waste North America (d) 5.750 2/15/2011 545,000 518,431
Allied Waste North America 6.375 4/15/2011 435,000 423,037
Altria Group, Inc. 7.750 1/15/2027 1,035,000 1,210,442
Amerada Hess Corp. (d) 6.650 8/15/2011 1,105,000 1,141,680
American Standard, Inc. 7.375 2/1/2008 165,000 166,347
Amoco Co. 6.500 8/1/2007 50,000 50,031
AT&T, Inc. (a) (b) 5.450 5/15/2008 820,000 820,599
AT&T, Inc. 7.300 11/15/2011 1,055,000 1,123,029
Atlas Copco AB 144A 5.600 5/22/2017 575,000 560,293
Ball Corp. 6.875 12/15/2012 330,000 330,000
Baxter International, Inc. 5.196 2/16/2008 145,000 144,788
Bayer Corp. 144A (a) 6.200 2/15/2008 275,000 275,731
Bear Stearns Co., Inc. 3.250 3/25/2009 2,710,000 2,613,665
BJ Services Co. (a) 5.530 6/1/2008 625,000 625,548
Boeing Capital Corp. 7.375 9/27/2010 1,055,000 1,116,643
British Sky Broadcasting PLC 6.875 2/23/2009 143,000 145,929
British Sky Broadcasting PLC 8.200 7/15/2009 1,055,000 1,106,453
Caesars Entertainment, Inc. (b) 8.875 9/15/2008 900,000 924,750
Case New Holland, Inc. 7.125 3/1/2014 590,000 597,375
Chesapeake Energy Corp. 7.500 6/15/2014 275,000 278,437
Chevron Phillips 7.000 3/15/2011 18,000 18,673
Comcast Corp. (a) 5.656 7/14/2009 450,000 450,037
Comcast Corp. (d) 5.500 3/15/2011 360,000 358,189
Community Health Systems 144A (TBA) (e) 8.875 7/15/2015 630,000 638,662
Coors Brewing Co. (b) 6.375 5/15/2012 10,000 10,240
Coventry Health Care, Inc. 5.875 1/15/2012 485,000 486,229
Coventry Health Care, Inc. 5.950 3/15/2017 750,000 731,625
COX Communications, Inc. 7.125 10/1/2012 75,000 79,236
Crown Americas, Inc. 7.625 11/15/2013 780,000 787,800
CSX Corp. (b) 6.250 10/15/2008 865,000 872,000
CVS Caremark Corp. 4.000 9/15/2009 360,000 348,421
CVS Caremark Corp. (a) (b) 5.660 6/1/2010 495,000 495,099
CVS Caremark Corp. 5.750 8/15/2011 430,000 429,969
DaimlerChrysler NA Holding Corp. 4.875 6/15/2010 460,000 451,235
DaimlerChrysler NA Holding Corp. (d) 8.500 1/18/2031 334,000 422,072
Enterprise Products Operating LP 4.000 10/15/2007 110,000 109,544
Enterprise Products Operating LP 4.625 10/15/2009 250,000 244,856
Enterprise Products Operating LP 5.600 10/15/2014 1,860,000 1,808,162
Equistar Chemicals LP/ Equistar Funding Corp. 10.125 9/1/2008 303,000 315,120
Erac USA Finance Co. 144A 7.350 6/15/2008 70,000 70,958
Erac USA Finance Co. 144A (a) (b) 5.605 4/30/2009 345,000 345,920
Erac USA Finance Co. 144A 7.950 12/15/2009 1,088,000 1,144,498
Falconbridge Ltd. 5.375 6/1/2015 20,000 19,215
Falconbridge Ltd. 6.000 10/15/2015 85,000 84,963
The accompanying notes are an integral part of the financial statements.
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Federated Retail Holding 5.350% 3/15/2012 USD 265,000 $ 260,348
Federated Retail Holding 5.900 12/1/2016 470,000 458,076
France Telecom SA 7.750 3/1/2011 165,000 176,282
France Telecom SA 8.500 3/1/2031 1,000,000 1,256,497
Gaz Capital 144A 6.510 3/7/2022 1,370,000 1,352,190
Georgia-Pacific Corp. 8.000 1/15/2024 980,000 950,600
Georgia-Pacific Corp. 144A 7.000 1/15/2015 990,000 952,875
Glencore Funding LLC 144A 6.000 4/15/2014 728,000 714,476
Hartford Financial Services Group (b) 5.550 8/16/2008 970,000 970,831
Healthcare Realty Trust, Inc. REIT 8.125 5/1/2011 570,000 613,269
Heinz (H.J.) Co. 144A (b) 6.428 12/1/2008 780,000 787,784
Host Hotels and Resorts LP 6.875 11/1/2014 230,000 227,412
ICI Wilmington, Inc. (b) 4.375 12/1/2008 1,394,000 1,370,514
John Deere Capital Corp. (a) 5.400 9/1/2009 677,000 677,292
L-3 Communications Corp. 7.625 6/15/2012 1,450,000 1,484,437
L-3 Communications Corp. (d) 6.375 10/15/2015 240,000 226,800
L-3 Communications Corp. 3.000 8/1/2035 40,000 45,100
Lubrizol Corp. 4.625 10/1/2009 930,000 911,757
Lubrizol Corp. 5.500 10/1/2014 650,000 622,784
Lubrizol Corp. 6.500 10/1/2034 70,000 67,570
Masco Corp. (a) (b) 5.660 3/12/2010 750,000 750,651
May Department Stores Co. 3.950 7/15/2007 30,000 29,984
May Department Stores Co. 5.950 11/1/2008 40,000 40,047
May Department Stores Co. 4.800 7/15/2009 30,000 29,427
Medco Health Solutions, Inc. 7.250 8/15/2013 375,000 394,590
MGM Mirage, Inc. 8.375 2/1/2011 620,000 633,950
Mohawk Industries, Inc. 5.750 1/15/2011 1,020,000 1,019,212
Mohegan Tribal Gaming Authority 8.000 4/1/2012 840,000 867,300
Mohegan Tribal Gaming Authority 6.125 2/15/2013 80,000 77,600
News America Holdings, Inc. 7.700 10/30/2025 1,020,000 1,128,510
Nextel Communications, Inc. 5.950 3/15/2014 635,000 604,808
Nextel Partners, Inc. 8.125 7/1/2011 750,000 782,272
Norfolk Southern Corp. 6.750 2/15/2011 337,000 349,346
Northrop Grumman Corp. 7.125 2/15/2011 545,000 571,656
Oakmont Asset Trust 144A 4.514 12/22/2008 80,000 78,907
Oneok, Inc. 5.510 2/16/2008 50,000 49,999
Owens Corning, Inc. 6.500 12/1/2016 355,000 355,219
Pemex Finance, Ltd. 9.690 8/15/2009 108,000 113,265
Pemex Finance, Ltd. 9.030 2/15/2011 56,250 59,962
Pemex Project Funding Master Trust 5.750 12/15/2015 860,000 843,660
Quest Diagnostics, Inc. 5.125 11/1/2010 460,000 450,913
Qwest Corp. 7.875 9/1/2011 120,000 125,100
Qwest Corp. 8.875 3/15/2012 90,000 96,975
Raytheon Co. (b) 6.750 8/15/2007 248,000 248,322
Raytheon Co. 5.500 11/15/2012 388,000 386,508
Reliance Steel & Aluminum 6.200 11/15/2016 770,000 757,612
Republic Services, Inc. 7.125 5/15/2009 20,000 20,584
Republic Services, Inc. 6.750 8/15/2011 840,000 866,894
Residential Capital LLC 6.500 4/17/2013 500,000 483,289
Royal KPN NV 8.375 10/1/2030 650,000 728,852
The accompanying notes are an integral part of the financial statements.
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Industrials (continued)
RPM International, Inc. 4.450% 10/15/2009 USD 190,000 $ 185,152
Ryder System, Inc. 3.500 3/15/2009 130,000 125,381
Safeway, Inc. 4.125 11/1/2008 85,000 83,682
Sovereign Bancorp (a) 5.640 3/1/2009 215,000 215,511
Sovereign Bancorp 4.800 9/1/2010 1,175,000 1,146,416
Speedway Motorsports, Inc. 6.750 6/1/2013 50,000 48,750
Stater Brothers Holdings (d) 8.125 6/15/2012 925,000 931,938
Stater Brothers Holdings 144A 7.750 4/15/2015 425,000 426,063
TCI Communications, Inc. 7.875 2/15/2026 825,000 919,625
Telefonica Emisiones 5.984 6/20/2011 1,165,000 1,175,720
Temple-Inland 6.625 1/15/2018 995,000 990,925
Terex Corp. 7.375 1/15/2014 755,000 755,000
Teva Pharmaceutical Finance LLC 6.150 2/1/2036 865,000 808,584
Time Warner Cable, Inc. 144A 5.850 5/1/2017 1,100,000 1,069,913
Time Warner, Inc. 6.750 4/15/2011 1,123,000 1,161,288
Tyson Foods, Inc. (d) 6.850 4/1/2016 705,000 723,852
Union Pacific Corp. 3.875 2/15/2009 1,400,000 1,368,052
US Steel Corp. 5.650 6/1/2013 640,000 630,133
Verizon Global Funding Corp. 7.750 6/15/2032 11,000 12,314
Verizon Global Funding Corp. 5.850 9/15/2035 735,000 674,144
Waste Management, Inc. 6.500 11/15/2008 55,000 55,621
Waste Management, Inc. 7.375 8/1/2010 280,000 293,358
Waste Management, Inc. 7.000 7/15/2028 696,000 703,643
Wellpoint, Inc. 5.875 6/15/2017 775,000 765,488
Windstream Corp. 8.125 8/1/2013 985,000 1,029,325
Wyeth (d) 5.500 2/1/2014 571,000 562,769
------------
68,830,886
------------
Public Utility-3.2%
American Electric Power 4.709 8/16/2007 105,000 104,891
Appalachian Power Co. 5.950 5/15/2033 19,000 17,940
Cinergy Corp. 6.530 12/16/2008 100,000 101,285
Cleveland Electric Illuminating Co. 5.700 4/1/2017 1,500,000 1,447,206
Cogentrix Energy, Inc. 144A 8.750 10/15/2008 145,000 151,109
Consolidated Edison 5.300 12/1/2016 1,145,000 1,098,671
Consumers Energy Co. 5.000 2/15/2012 75,000 72,893
Consumers Energy Co. 5.375 4/15/2013 1,150,000 1,131,712
Dominion Resources, Inc. (a) (b) 5.660 9/28/2007 1,170,000 1,170,269
Dominion Resources, Inc. (b) (d) 7.195 9/15/2014 1,105,000 1,207,045
FPL Group Capital, Inc. 5.625 9/1/2011 2,290,000 2,289,389
FPL Group Capital, Inc. 5.551 2/16/2008 295,000 294,824
Gulf Power Co. 5.300 12/1/2016 1,385,000 1,328,960
National Grid PLC 6.300 8/1/2016 1,675,000 1,705,567
Niagara Mohawk Power Corp. (b) 7.750 10/1/2008 1,013,000 1,038,708
Nisource Finance Corp. 5.250 9/15/2017 820,000 757,653
Ohio Power Co. (a) 5.540 4/5/2010 1,300,000 1,300,916
Pacific Gas & Electric Co. 3.600 3/1/2009 565,000 548,289
Pepco Holdings, Inc. 5.500 8/15/2007 527,000 527,211
Public Service Co. of Colorado (b) 4.375 10/1/2008 958,000 945,527
Southern Co. 5.300 1/15/2012 890,000 879,085
Windsor Financing LLC 144A (c) 5.881 7/15/2017 248,755 245,091
------------
18,364,241
------------
The accompanying notes are an integral part of the financial statements.
20
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Utilities-0.1%
Nisource Finance Corp. (a) (b) 5.930% 11/23/2009 USD 785,000 $ 786,221
------------
Total Corporate (Cost $233,463,550) 231,168,844
------------
Municipal Bonds-1.9%
Erie County NY Tobacco Asset Securitization Corp. 6.000 6/1/2028 1,100,000 1,058,013
Michigan Tobacco Settlement Finance Authority (a) (b) 7.540 6/1/2034 945,000 923,303
New York County Tobacco Trust IV 6.000 6/1/2027 165,000 163,089
Tobacco Settlement Authority Iowa 6.500 6/1/2023 3,505,000 3,456,631
Tobacco Settlement Authority Michigan 7.309 6/1/2034 5,000,000 5,097,650
------------
Total Municipal Bonds (Cost $10,708,497) 10,698,686
------------
Sovereign Bonds-1.7%
Argentina Bonos (a) 5.475 8/3/2012 1,745,000 1,272,541
Argentina Bonos 7.000 9/12/2013 1,400,000 1,333,150
Banco Nacional de Desenvolvimento Economico e Social (a)(c) 5.840 6/16/2008 1,470,000 1,458,975
Republic of El Salvador 144A 8.500 7/25/2011 870,000 961,350
Republic of South Africa 5.875 5/30/2022 1,524,000 1,489,710
Russian Federation 144A 8.250 3/31/2010 1,683,380 1,746,507
United Mexican States 6.750 9/27/2034 1,258,000 1,341,657
------------
Total Sovereign Bonds (Cost $9,524,108) 9,603,890
------------
Yankee Bonds-0.2%
ING Groep NV (a) (d) 5.775 12/29/2049 875,000 844,504
Northern Rock PLC 144A (a) 6.594 6/29/2049 310,000 311,546
Potash Corp. of Saskatchewan 4.875 3/1/2013 36,000 34,137
------------
Total Yankee Bonds (Cost $1,218,508) 1,190,187
------------
Pass Thru Securities-36.8%
Non-Agency Pass Thru Securities-9.6%
Banc of America Commerical Mortgage, Inc. (b) 5.118 7/11/2043 610,000 597,538
Banc of America Commercial Mortgage, Inc. 2005-2 A2 (b) 4.247 7/10/2043 1,884,851 1,870,877
Bayview Commercial Asset Trust 2003-2 A 144A (a) (b) 5.900 12/25/2033 445,910 446,250
Bayview Commercial Asset Trust 2004-1 A 144A (a) (b) 5.680 4/25/2034 506,638 506,955
Bayview Commercial Asset Trust 2005-3A B1 144A (a) (b) 6.420 11/25/2035 162,848 163,237
Bayview Commercial Asset Trust 2005-3A B3 144A (a) (b) 8.320 11/25/2035 325,696 330,801
Bayview Commercial Asset Trust 2005-4A B3 144A (a) (b) (c) 8.820 1/25/2036 216,592 216,592
Bayview Commercial Asset Trust 2006-SP1 A1 144A (a) (b) 5.590 4/25/2036 361,086 360,860
Bayview Commercial Asset Trust 2006-SP2 A1 144A (a) (b) 5.600 1/25/2037 1,427,330 1,427,330
Bayview Commercial Asset Trust 2006-1A B2 144A (a) (b) 7.020 4/25/2036 241,480 237,041
Bayview Commerical Asset Trust 2006-2A B2 144A (a) (b) 6.790 7/25/2036 437,734 437,383
Bear Stearns Commercial Mortgage Securities 2003-T12 A3 4.240 8/13/2039 2,218,000 2,146,920
Bear Stearns Commercial Mortgage Securities 2005-T20 A2 (a) 5.127 10/12/2042 45,000 44,488
Bear Stearns Commercial Mortgage Securities 2006-PW 13 A3 5.518 9/11/2041 540,000 533,303
Bear Stearns Commercial Mortgage Securities 2006-PW12 AAB (a) 5.870 9/11/2038 950,000 949,246
Bear Stearns Commercial Mortgage Securities 2006-PW14 AAB 5.171 12/11/2038 3,280,000 3,169,250
Bear Stearns Commercial Mortgage Securities 2006-T24 AAB 5.533 10/12/2041 1,390,000 1,368,648
Bear Stearns Commercial Mortgage Securities, Inc. 1998-C1 A2 (b) 6.440 6/16/2030 90,000 90,463
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T10 A2 4.740 3/13/2040 60,000 57,216
Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR5 A2 4.254 7/11/2042 135,000 131,362
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T18 A2 (a) 4.556 2/13/2042 80,000 78,336
Calwest Industrial Trust 2002-CALW A 144A 6.127 2/15/2017 2,282,000 2,329,618
The accompanying notes are an integral part of the financial statements.
21
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Agency Pass Thru Securities (continued)
Capco America Securitization Corp. 1998-D7 A1B (b) 6.260% 10/15/2030 USD 1,187,565 $ 1,195,277
Chase Commercial Mortgage Securities Corp. 1997-2 C 6.600 12/19/2029 75,000 75,010
Citigroup/Deutsche Bank Commercial Mortgage 2005-CD1 A2FX (a) 5.269 7/15/2044 20,000 19,840
Citigroup/Deutsche Bank Commercial Mortgage 2006-CD2 A2 5.408 1/15/2046 775,000 770,273
Credit Suisse/Morgan Stanley Commerical Mortgage Certificate 144A (a) (b) 5.510 5/15/2023 1,230,000 1,230,956
Crown Castle Towers 2006-1A D 144A 5.772 11/15/2036 1,025,000 1,007,691
Crown Castle Towers LLC, 2005-1A D 144A 5.612 6/15/2035 660,000 651,091
Crown Castle Towers LLC, 2006-1AB 144A 5.362 11/15/2036 620,000 609,652
Crown Castle Towers LLC, 2006-1AC 144A 5.470 11/15/2036 1,640,000 1,613,316
DLJ Commercial Mortgage Corp. 1998-CF2 A1B 6.240 11/12/2031 164,520 165,498
DLJ Commercial Mortgage Corp. 1998-CF2 B1 (a) (b) 7.273 11/12/2031 2,450,000 2,500,387
Global Signal Trust 2006-1 D 144A 6.052 2/15/2036 1,160,000 1,153,948
Global Signal Trust 2006-1 E 144A 6.495 2/15/2036 425,000 424,650
GMAC Commercial Mortgage Securities, Inc. 2003-C3 A2 4.223 4/10/2040 130,000 127,057
Goldman Sachs Mortgage Securities Corp., Cl. B 144A (a) (b) 5.570 3/6/2020 3,215,000 3,215,000
Goldman Sachs Mortgage Securities Corp., Cl. E 144A (a) 5.760 3/6/2020 1,220,000 1,220,000
Goldman Sachs Mortgage Securities Corp., Cl. K 144A (a) 6.370 3/6/2020 700,000 700,000
Greenwich Capital Commercial Funding Corp. 2007-GG9 AAB 5.441 3/10/2039 2,815,000 2,752,679
Impac CMB Trust 2005-8 2M2 (a) 6.070 2/25/2036 135,665 134,905
Impac CMB Trust 2005-8 2M3 (a) 6.820 2/25/2036 107,596 102,557
Impac Secured Assets Corp. 2006-1 2A1 (a) (b) 5.670 5/25/2036 722,714 724,010
JP Morgan Chase Commerical Mortgage 2004-C1 A2 4.302 1/15/2038 2,120,000 2,026,428
JP Morgan Chase Commercial Mortgage 2006-LDP7 ASB (a) 6.066 4/15/2045 990,000 999,526
JP Morgan Chase Commercial Mortgage Security Co. 2005-LDP4 A2 4.790 10/15/2042 30,000 29,398
JP Morgan Chase Commerical Mortgage Security Co. 2005-LDP5 A2 5.198 12/15/2044 1,605,000 1,586,737
JP Morgan Chase Commerical Mortgage Security Co. 2006-LDP6 A2 5.379 4/15/2043 10,000 9,923
LB Commercial Conduit Mortgage Trust 1999-C1 B 6.930 6/15/2031 27,000 27,619
LB-UBS Commercial Mortgage Trust 2006-C3 A2 5.532 3/15/2039 20,000 19,984
Mach One Trust 2004-1A A1 144A (b) 3.890 5/28/2040 418,568 414,491
Morgan Stanley Capital 1998-HF1 E (a) 7.376 3/15/2030 74,000 74,583
Morgan Stanley Capital I 1998-HF1 F 144A (b) 7.180 3/15/2030 2,000,000 2,010,266
Morgan Stanley Capital I 1999-CAM1 A4 7.020 3/15/2032 18,639 18,909
Morgan Stanley Capital I 1999-RM1 A2 6.710 12/15/2031 112,870 114,095
Morgan Stanley Capital I 1999-RM1 E (a) 7.220 12/15/2031 100,000 102,030
Morgan Stanley Capital I 2006-HQ9 A3 5.712 7/12/2044 2,630,000 2,625,934
Morgan Stanley Capital I 2006-HQ9 A4 (a) 5.731 7/12/2044 960,000 950,933
Morgan Stanley Capital I 2006-HQ9 AAB 5.685 7/12/2044 425,000 423,321
Morgan Stanley Capital I 2006-IQ12 AAB 5.325 12/15/2043 2,740,000 2,668,328
Morgan Stanley Capital I 2006-T21 A2 5.090 10/12/2052 1,350,000 1,331,484
Morgan Stanley Dean Witter Capital I 2001-PPM A2 6.400 2/15/2031 18,317 18,593
Morgan Stanley Dean Witter Capital I 2001-PPM A3 6.540 2/15/2031 14,791 15,048
SBA CMBS Trust 2006-1A D 144A 5.852 11/15/2036 400,000 394,462
Sovereign Commerical Mortgage Securities 2007-C1 D 144A (a) 5.774 7/22/2030 830,000 779,138
------------
54,528,741
------------
Agency Pass Thru Securities-27.2%
Fannie Mae Grantor Trust 2001-T6 B 6.088 5/25/2011 76,000 77,832
Fannie Mae Grantor Trust 2002-T11 A 4.769 4/25/2012 25,546 25,190
FGCI (TBA) (e) 5.000 5/1/2017 10,285,000 9,937,881
The accompanying notes are an integral part of the financial statements.
22
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Agency Pass Thru Securities (continued)
FGCI (TBA) (e) 5.500% 7/1/2018 USD 16,355,000 $16,104,572
FHLMC Gold 4.000 10/1/2009 451,241 442,982
FHLMC Gold 4.500 10/1/2009 36,198 35,795
FHLMC Gold 4.500 4/1/2010 38,761 38,120
FHLMC Gold 3.500 9/1/2010 366,641 351,734
FHLMC Gold 7.000 11/1/2031 119,884 123,740
FHLMC Gold 7.000 11/1/2031 125,120 129,145
FHLMC Gold 5.500 1/1/2034 722,228 699,211
FHLMC Gold 5.500 3/1/2034 252,461 244,415
FNMA 4.250 9/15/2007 1,350,000 1,346,811
FNMA 4.000 5/1/2010 1,611,020 1,561,598
FNMA 3.640 6/1/2010 2,665,000 2,518,299
FNMA 3.530 7/1/2010 1,294,560 1,233,029
FNMA 5.000 10/1/2011 53,479 52,997
FNMA 5.139 12/25/2011 729,200 726,049
FNMA 8.500 6/1/2012 11,323 11,434
FNMA 4.060 6/1/2013 28,000 25,867
FNMA 4.900 1/1/2014 449,586 433,257
FNMA 4.500 11/1/2014 23,594 22,879
FNMA 6.500 12/1/2015 6,553 6,706
FNMA 5.140 1/1/2016 75,000 73,313
FNMA 6.000 7/1/2017 6,788 6,828
FNMA 5.000 1/1/2019 342,006 331,361
FNMA 5.500 11/1/2024 1,367,170 1,335,816
FNMA 5.500 12/1/2024 18,627 18,200
FNMA 5.500 1/1/2025 3,478,603 3,398,826
FNMA 7.500 2/1/2029 9,532 9,979
FNMA 7.500 9/1/2029 703 735
FNMA 7.500 11/1/2029 618 646
FNMA 7.000 11/1/2031 2,050 2,125
FNMA 7.000 5/1/2032 17,803 18,441
FNMA 7.000 6/1/2032 23,209 24,041
FNMA 5.500 2/1/2033 106,233 102,950
FNMA 5.500 1/1/2034 690,215 668,744
FNMA 5.500 1/1/2034 1,625,639 1,575,068
FNMA 5.500 8/1/2034 51,477 49,840
FNMA 5.500 9/1/2034 88,698 85,876
FNMA 5.500 9/1/2034 63,296 61,282
FNMA 5.500 9/1/2034 82,802 80,168
FNMA 5.500 9/1/2034 197,943 191,646
FNMA 5.500 9/1/2034 24,481 23,702
FNMA (TBA) (e) 6.000 7/1/2020 19,465,000 19,550,159
FNMA (TBA) (e) 5.000 7/1/2035 31,230,000 29,258,606
FNMA (TBA) (e) 5.500 7/1/2035 40,570,000 39,124,694
FNMA (TBA) (e) 6.000 7/1/2035 22,710,000 22,461,598
GNMA 9.000 2/15/2021 17,406 18,746
GNMA 8.000 8/15/2025 9,371 9,935
The accompanying notes are an integral part of the financial statements.
23
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
Agency Pass Thru Securities (continued)
GNMA 8.000% 11/15/2025 USD 12,110 $ 12,838
GNMA 8.000 5/15/2026 2,300 2,440
GNMA 8.000 11/15/2026 11,251 11,934
GNMA 6.000 1/15/2032 3,403 3,395
GNMA 6.500 7/15/2032 6,725 6,860
------------
154,670,335
------------
Total Pass Thru Securities (Cost $210,645,757) 209,199,076
------------
U.S. Treasury Obligations-23.4%
U.S. Treasury Bond (d) 4.500 2/15/2036 5,942,000 5,380,297
U.S. Treasury Bond (TBA) (e) 4.750 2/15/2037 15,400,000 14,520,521
U.S. Treasury Note (b) (d) 4.375 12/31/2007 3,485,000 3,476,016
U.S. Treasury Note (d) 4.625 2/29/2008 620,000 618,305
U.S. Treasury Note 4.875 4/30/2008 1,790,000 1,787,623
U.S. Treasury Note (b) (d) 5.125 6/30/2008 31,955,000 31,984,974
U.S. Treasury Note (d) 5.000 7/31/2008 4,210,000 4,208,686
U.S. Treasury Note (d) 4.625 12/31/2011 3,810,000 3,762,672
U.S. Treasury Note (d) 4.625 11/15/2016 4,117,000 3,989,954
U.S. Treasury Note (TBA) (e) 4.875 6/30/2009 9,635,000 9,634,248
U.S. Treasury Note (TBA) (e) 4.875 6/30/2012 3,790,000 3,779,638
U.S. Treasury Note (TBA) (e) 4.500 5/15/2017 52,115,000 49,965,256
------------
Total U.S. Treasury Obligations (Cost $132,906,485) 133,108,190
------------
Foreign Denominated-0.5%
Brazil-0.5%
Republic of Brazil (d) 12.500 1/5/2016 BRL 1,330,000 840,562
Republic of Brazil 12.500 1/5/2016 3,025,000 1,911,806
------------
TOTAL FOREIGN DENOMINATED (Cost $1,967,950) 2,752,368
------------
TOTAL BONDS AND NOTES ($777,601,502) 773,987,457
------------
Common Stock-0.0% Shares
------
Hong Kong-0.0%
GuangDong Alliance (f) HKD 228,997 0
HK Property (f) 228,997 0
------------
TOTAL COMMON STOCK (Cost $ 0) 0
------------
Convertible Stock-0.0%
AES Trust VII 6.00% CVT Pfd USD 900 44,775
Sovereign Capital Trust IV 4.375% CVT Pfd 900 41,738
------------
TOTAL CONVERTIBLE STOCK (Cost $85,276) 86,513
------------
PURCHASED OPTIONS-0.0% Contract Size
-------------
2 Yr Floor 3M Libor, Strike Price 4.00%, 1/13/2009 (c) (Cost $34,125) 262,500 4,273
------------
SHORT-TERM INVESTMENTS-1.4% Rate Maturity Par Value
---- -------- ---------
U.S. Treasury Bill-0.1%
U.S. Treasury Bill (d) (g) 4.900 7/5/2007 160,000 159,957
U.S. Treasury Bill (d) (g) 4.650 9/6/2007 295,000 292,472
------------
TOTAL U.S. TREASURY BILLS (Cost $452,297) 452,429
------------
The accompanying notes are an integral part of the financial statements.
24
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency-0.5%
FNMA (g) (Cost $3,081,211) 5.110% 7/2/2007 USD 3,090,000 $ 3,082,120
------------
Commerical Paper-0.8%
Cox Enterprises (g) (Cost $4,650,000) 4.000 8/15/2007 4,650,000 4,649,535
------------
TOTAL SHORT TERM INVESTMENTS (Cost $8,183,508) 8,184,084
------------
INVESTMENT OF CASH COLLATERAL-12.1% Shares
------
BlackRock Cash Strategies L.L.C (Cost $68,966,218) 68,966,218 68,966,218
------------
TOTAL UNAFFILIATED INVESTMENTS (Cost $854,870,629) 851,228,545
------------
AFFILIATED INVESTMENTS-2.2%
Dreyfus Institutional Preferred
Plus Money Market Fund (h) (Cost $12,450,471) 12,450,471 12,450,471
------------
TOTAL INVESTMENTS-152.0% (Cost $867,321,100) 863,679,016
------------
LIABILITIES IN EXCESS OF OTHER ASSETS-(52.0%) (295,505,623)
------------
NET ASSETS-100% $568,173,393
============
Notes to Schedule 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 $63,184,887 or 11.1% of net assets.
BRL--Brazilian Real
CVT--Convertible
FHLMC--Federal Home Loan Mortgage Company
FNMA--Federal National Mortgage Association
GNMA--Government National Mortgage Association
HKD--Hong Kong Dollar
PFD--Preferred
REIT--Real Estate Investment Trust
TBA--To Be Announced
(a) Variable Rate Security; rate indicated as of June 30, 2007.
(b) Denotes all or part of security segregated as collateral.
(c) Illiquid security. At the period end, the value of these securities
amounted to $2,020,915 or 0.4% of net assets.
(d) Security, or a portion of thereof, was on loan at June 30, 2007.
(e) Delayed delivery security.
(f) Security valued at fair value using methods determined in good faith by or
under the direction of the Board of Trustees.
(g) Rate noted is yield to maturity
(h) Affiliated institutional money market fund.
At June 30, 2007 the Portfolio held the following futures contracts:
Unrealized
Underlying Face Appreciation/
Contract Position Expiration Date Amount at Value (Depreciation)
- -----------------------------------------------------------------------------------------------------------------
U.S. 2 Year Treasury Note (122 Contracts) Short 9/28/2007 $ 24,861,312 $ 33,362
U.S. 10 Year Treasury Note (461 Contracts) Short 9/19/2007 48,729,141 227,876
U.S. Long Bond CBT (36 Contracts) Short 9/19/2007 3,879,000 35,450
U.S. 5 Year Treasury Note (348 Contracts) Long 9/28/2007 36,219,187 (144,802)
---------
$ 151,886
=========
The accompanying notes are an integral part of the financial statements.
25
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007 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, 2007 to Receive (Depreciation)
- ----------------------------------------------------------------------------------------------------------------
Euro 370,000 9/19/2007 $ 502,135 $ 493,384 $ (8,751)
========= ========= ========
Local
Principal Contract Value at USD Amount Unrealized
Contracts to Receive Amount Value Date June 30, 2007 to Deliver Appreciation
- ----------------------------------------------------------------------------------------------------------------
Euro 370,000 9/19/2007 $ 502,135 $ 497,058 $ 5,077
========= ========= =========
At June 30, 2007, 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)
- ------------------------------------------------------------------------------------------------------------------------------------
Barclays Global Bespoke Tranche 2.65%-4.65% Sell 3.02% 6/20/2012 2,850,000 USD $ (218,321)
Barclays Global Bespoke Tranche 5.00%-7.00% Buy (4.80%) 6/20/2017 1,420,000 USD (8,372)
Citibank Century Tel, 7.875%, 8/15/2012 Buy (1.16%) 9/20/2015 853,000 USD (17,393)
Citibank Century Tel, 7.875%, 8/15/2012 Buy (1.19%) 9/20/2015 1,985,000 USD (44,331)
Citibank Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.705%) 6/20/2010 3,277,000 USD (60,359)
Citibank Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.685%) 6/20/2010 470,000 USD (10,054)
Citibank AT&T, 5.875, 8/15/2012 Buy (0.48%) 3/20/2017 5,430,000 USD (13,828)
Deutsche Bank Kaupthing Bank, 5.519%, 12/1/2009 Sell 0.65% 9/20/2007 650,000 USD 100
Deutsche Bank Kaupthing Bank, 5.875%, 12/1/2009 Sell 0.52% 9/20/2007 2,600,000 USD 2,636
Deutsche Bank Kraft Foods, 5.875%, 11/1/2011 Buy (0.53%) 6/20/2017 1,375,000 USD 13,070
Deutsche Bank Dow Jones CDX.NA.IG.8 10 year tranche Sell 0.60% 6/20/2017 1,375,000 USD (11,659)
Goldman, Sachs & Co. Autozone, 5.875%, 10/15/2012 Buy (0.62%) 6/20/2012 2,800,000 USD 10,365
Goldman, Sachs & Co. Dow Jones CDX.NA.IG.8 Index Sell 0.60% 6/20/2017 2,800,000 USD (23,670)
JPMorgan Georgia-Pacific, 7.75%, 11/15/2029 Sell 1.75% 6/20/2012 1,430,000 USD (58,056)
JPMorgan Meadwestvaco, 6.85%, 2012 Buy (1.10%) 6/20/2017 2,860,000 USD 3,334
JPMorgan Dow Jones CDX.NA.IG.7 7% and 10% tranche Sell 0.65% 12/20/2016 240,000 USD (2,595)
JPMorgan Dow Jones CDX.NA.IG.7 7% and 10% tranche Sell 0.65% 12/20/2016 3,922,000 USD (42,439)
Morgan Stanley Century Tel, 7.875%, 8/15/2012 Buy (1.15%) 9/20/2015 247,000 USD (5,453)
Morgan Stanley Dow Jones CDX.NA.IG.4 7% and 10% tranche Buy (0.685%) 6/20/2010 470,000 USD (6,905)
UBS AG Turanlem Finance, 8%, 3/24/2014 Sell 1.15% 1/20/2008 890,000 USD (1,758)
UBS AG Dow Jones CDX.NA.IG.7 10% and 15% tranche Sell 0.53% 12/20/2016 10,400,000 USD (122,620)
UBS AG Dow Jones CDX.NA.IG.7 7% and 10% tranche Buy (1.12%) 12/20/2016 5,200,000 USD 170,700
----------
$ (447,608)
==========
Unrealized
Interest Rate Floating Rate Pay/Receive Expiration Notional Appreciation/
Swaps Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------
JPMorgan USD-3 MONTH LIBOR BBA Pay 5.193% 5/14/2017 4,250,000 USD $ (152,485)
JPMorgan EUR-3 MONTH EURIBOR Receive 4.478% 5/14/2017 3,150,000 EUR 122,416
----------
$ (30,069)
==========
The accompanying notes are an integral part of the financial statements.
26
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $72,209,837)
Unaffiliated issuers, at value (Note 1A) (cost $854,870,629) $ 851,228,545
Affiliated issuers, at value (Note 1A) (cost $12,450,471) (Note 1H) 12,450,471
Cash 1,480
Foreign currency, at value (identified cost, $25,869) 26,009
Receivable for investments sold 26,557,759
Collateral held for securities on loan (Note 6) 5,960,556
Unrealized appreciation on swap contracts (Note 5) 322,621
Swap premium paid 30,345
Interest and dividends receivable 6,645,500
Unrealized appreciation on forward foreign currency exchange contracts (Note 5) 5,077
-------------
Total assets 903,228,363
Liabilities
Payable for investments purchased $ 259,059,193
Collateral for securities on loan (Note 6) 74,926,774
Unrealized depreciaton on swap contracts (Note 5) 800,298
Payable for variation margin on open futures contracts (Note 5) 192,844
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 8,751
Accrued professional fees 22,525
Accrued trustees' fees and expenses (Note 2) 12,234
Accrued accounting, administration and custody fees (Note 2) 3,117
Other accrued expenses and liabilities 29,234
-------------
Total liabilities 335,054,970
-------------
Net Assets (applicable to investors' beneficial interest) $ 568,173,393
=============
The accompanying notes are an integral part of the financial statements.
27
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 14,763,040
Dividend income from affiliated investments (Note 1H) 556,640
Dividend income 2,334
Security lending income (Note 6) 24,595
-------------
Total investment Income 15,346,609
Expenses
Investment advisory fee (Note 2) $ 1,024,369
Accounting, administration and custody fees (Note 2) 125,953
Professional fees 24,305
Trustees' fees and expenses (Note 2) 13,477
Insurance expense 5,951
Miscellaneous expenses 3,043
-------------
Total expenses 1,197,098
-------------
Net investment income 14,149,511
-------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (8,772,301)
Financial futures transactions 1,068,150
Written options transactions (60,853)
Foreign currency transactions and forward foreign currency exchange transactions 717,911
Swap transactions 51,754
-------------
Net realized gain (loss) (6,995,339)
Change in unrealized appreciation (depreciation) on:
Investments (1,538,424)
Financial futures contracts (188,730)
Foreign currency translations and forward foreign currency exchange contracts (177,265)
Swap contracts (391,867)
-------------
Change in net unrealized appreciation (depreciation) (2,296,286)
-------------
Net realized and unrealized gain (loss) (9,291,625)
-------------
Net Increase in Net Assets from Operations $ 4,857,886
=============
The accompanying notes are an integral part of the financial statements.
28
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 14,149,511 $ 22,917,844
Net realized gain (loss) (6,995,339) (325,644)
Change in net unrealized appreciation (depreciation) (2,296,286) (1,264,069)
------------- -------------
Net increase (decrease) in net assets from investment operations 4,857,886 21,328,131
------------- -------------
Capital Transactions
Contributions 80,500,934 186,365,938
Withdrawals (72,705,104) (109,974,249)
------------- -------------
Net increase (decrease) in net assets from capital transactions 7,795,830 76,391,689
------------- -------------
Total Increase (Decrease) in Net Assets 12,653,716 97,719,820
Net Assets
At beginning of period 555,519,677 457,799,857
------------- -------------
At end of period $ 568,173,393 $ 555,519,677
============= =============
The accompanying notes are an integral part of the financial statements.
29
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 --------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
------------- --------- --------- --------- --------- -------
Total Return (a) 0.93%(b) 4.44% 3.00% 5.77% 5.25% 8.89%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.43%(c) 0.44% 0.45% 0.45% 0.41% 0.38%
Net Investment Income (to average daily
net assets)* 5.06%(c) 4.79% 4.12% 3.80% 3.78% 4.86%
Portfolio Turnover: (d)
Inclusive 219%(b) 382% 380% 301% 398% 384%
Exclusive 82%(b) 139% 106% 98% - -
Net Assets, End of Year (000's omitted) $ 568,173 $ 555,520 $ 457,800 $ 465,543 $ 611,008 $ 944,098
- -----------
* 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 ratios without waivers and reimbursements would
have been:
Ratios (to average daily net assets):
Expenses N/A N/A N/A N/A 0.42% 0.39%
Net investment income N/A N/A N/A N/A 3.77% 4.85%
- -----------
(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) Not annualized.
(c) Calculated on an annualized basis.
(d) Beginning in 2004, the portfolio turnover rate is presented inclusive and
exclusive of the effect of rolling forward purchase commitments.
The accompanying notes are an integral part of the financial statements.
30
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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, 2007 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, 2007 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
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. With respect to
any portion of the Portfolio's assets that are invested in one or more
open-end regulated investment companies ("RICs"), the Portfolio's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
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 then is 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. Dividend income is
recorded on the ex-dividend date. Realized gains and losses from securities
sold are recorded on the identified cost basis.
The Portfolio does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from investments. Net realized gains and losses on foreign currency
transactions represent gains and losses on disposition of foreign
currencies and forward foreign currency exchange contracts, currency gains
and losses realized between the trade and settlement dates on securities
transactions, and the difference between the amount of investment income
and foreign withholding taxes recorded on the Portfolio's books and the
U.S. dollar equivalent amounts actually received or paid. Dividends
representing a return of capital are reflected as a reduction of cost.
C. Income taxes
The Portfolio is treated as a disregarded entity for U.S. federal income
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.
31
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
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 Portfolio maintains its books and records in U.S. dollars. Investment
security valuations, other assets, and liabilities initially expressed in
foreign currencies are converted into U.S. dollars based upon current
currency exchange rates. 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. Foreign 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 The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
I. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 Trust has entered into an agreement with Mellon Bank, N.A.
("Mellon Bank"), a wholly owned subsidiary of BNY Mellon 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 $125,953 during for the six months ended June 30, 2007.
32
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Portfolio Trust 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 earned $1,106 for
the six months ended June 30, 2007. See Note 6 for further details.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's and Portfolio 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, 2007 were as follows:
Purchases Sales
--------------- ---------------
U.S. Government Securities $ 1,604,586,557 $ 1,590,298,570
--------------- ---------------
Non-U.S. Government Securities $ 142,256,062 $ 74,117,112
--------------- ---------------
(4) Federal Taxes
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $ 867,321,100
==============
Gross unrealized appreciation 2,794,336
Gross unrealized depreciation (6,436,420)
--------------
Net unrealized appreciation (depreciation) ($ 3,642,084)
==============
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Portfolio, a minimum threshold
for financial statement recognition of the benefit of positions taken in
filing tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications on FIN 48 and determined that it will not
have any impact on the financial statements.
(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.
33
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 including counterparties.
For the six months ended June 30, 2007, the Portfolio entered into the
following transactions:
Notional
Written Call Option Transactions Amount Premiums
--------- --------
Outstanding, beginning of period $ - $ -
Options written 206,000 37,972
Options expired (206,000) (37,972)
--------- --------
Outstanding, end of period $ - $ -
========= ========
At June 30, 2007, 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 appreciation or depreciation 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, 2007, 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 purchase
or sale 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, shown as variation
margin, 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
appreciation/depreciation 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 also 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. Appreciation
and depreciation 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, 2007, the Portfolio held open financial futures contracts. See
the Schedule of Investments for further details.
34
Mellon Institutional Funds Master Portfolio
Standish Mellon 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, the 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. The Portfolio earns interest on cash
set aside as collateral. 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
appreciation or depreciation 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 gains and losses in the
Statement of Operations. Net payments of interest on interest rate swap
agreements, if any, are included as part of realized gains and losses.
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, 2007, 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, 2007
and earned interest on the invested collateral of $1,478,251 of which,
$1,453,656 was rebated to borrowers or paid in fees. At June 30, 2007, the
Portfolio had securities valued at $72,209,837 on loan, of which
$68,966,218 was collateralized with cash and $5,960,556 was collateralized
with securities. 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.
35
Mellon Institutional Funds Master Portfolio
Standish Mellon Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Portfolio may enter into to be announced ("TBA") purchase commitments
to purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Portfolio holds, and maintains until settlement date, cash or
high-grade debt obligations in an amount sufficient to meet the purchase
price, or the Portfolio may enter into offsetting contracts for the forward
sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to the settlement date. Unsettled
TBA purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under
"Investment security valuations" above.
The Portfolio may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
At June 30, 2007, 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. The Fund/Portfolio also pays
an annual renewal fee, computed at a rate of 0.020 of 1% of the committed
amount and allocated ratably to the funds/portfolios. For the six months
ended June 30, 2007, the expense allocated to the Portfolio was $556. The
facility fee and interest expense is aggregated with miscellaneous expenses
on the Statement of Operations.
For the six months ended June 30, 2007, the Portfolio did not borrow from
the credit line.
36
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 (66) Trustee Trustee since Chairman Emeritus, Decision
61 Meadowbrook Road 11/3/1986 Resources, Inc. ("DRI")
Weston, MA 02493 (biotechnology research and
9/30/40 consulting firm); formerly
Chairman of the Board and
Chief Executive Officer, DRI
Benjamin M. Friedman (63) 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 (72) Trustee Trustee since Trustee, Mertens House, Inc.
P.O. Box 2333 11/3/1986 (hospice)
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street
c/o Essex Street Associates 11/3/1986 Associates (family investment
P.O. Box 5600 trust office)
Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, Since 2003 President and Chief Operating
The Boston Company President and Officer of The Boston Company
Asset Management, LLC Chief Executive Asset Management, LLC;
One Boston Place Officer formerly Senior Vice President
Boston, MA 02108 and Chief Operating Officer,
7/24/65 Mellon Asset Management
("MAM") and Vice President and
Chief Financial Officer, MAM
Trustee
Number of Remuneration
Portfolios in Other (period
Name (Age) Fund Complex Directorships ended
Address, and Overseen by Held by June 30,
Date of Birth Trustee Trustee 2007)
- -------------------------------------------------------------- ----------
Samuel C. Fleming (66) 32 None Fund: $375
61 Meadowbrook Road Portfolio: $427
Weston, MA 02493
9/30/40
Benjamin M. Friedman (63) 32 None Fund: $375
c/o Harvard University Portfolio: $427
Littauer Center 127
Cambridge, MA 02138
8/5/44
John H. Hewitt (72) 32 None Fund: $375
P.O. Box 2333 Portfolio: $427
New London, NH 03257
4/11/35
Caleb Loring III (63) 32 None Fund: $375
c/o Essex Street Associate Portfolio: $441 s
P.O. Box 5600
Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* 32 None $0
The Boston Company
Asset Management, LLC
One Boston Place
Boston, MA 02108
7/24/65
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
37
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations,
BNY Mellon Asset Management and Secretary BNY Mellon Asset Management ("MAM"); formerly
One Boston Place First Vice President, MAM and Mellon Global
Boston, MA 02108 Investments
2/20/61
Steven M. Anderson (42) Vice President Vice President Vice President and Mutual Funds Controller, BNY
BNY Mellon Asset Management and Treasurer since 1999; Mellon Asset Management; formerly Assistant
One Boston Place Treasurer Vice President and Mutual Funds Controller,
Boston, MA 02108 since 2002 Standish Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY Mellon Asset Management;
One Boston Place formerly Vice President and Manager, Mutual
Boston, MA 02108 Fund Operations, Standish Mellon Asset
8/19/51 Management Company, LLC
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset
BNY Mellon Asset Management Compliance Management and Chief Compliance Officer, Mellon
One Boston Place Officer Optima L/S Strategy Fund, LLC; formerly
Boston, MA 02108 Director, Blackrock, Inc., Senior Vice
4/8/57 President, State Street Research & Management
Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
38
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[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6923SA0607
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Global Fixed Income Fund
- --------------------------------------------------------------------------------
June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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, 2007 to June 30, 2007).
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 expense
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, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
- ---------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,002.70 $3.23
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.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Portfolio Information as of June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
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 below.
Summary of Combined Ratings
- --------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- --------------------------------------------------------------
AAA and higher 63.3%
AA 6.5
A 10.4
BBB 8.1
BB 2.7
B 9.0
-----
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 Portfolio treats the security as being rated in the higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- ---------------------------------------------------------------------------------------------------------
FNMA (TBA) 5.000% 7/1/2035 14.8%
Japan Government 1.100 12/10/2016 5.4
FNMA (TBA) 5.500 7/1/2035 5.3
FCE Bank PLC 5.164 9/30/2009 3.0
Deutsche Republic 3.250 7/4/2015 2.7
U.S. Treasury Note 4.000 2/15/2015 2.2
Netherlands Government Bond 4.000 1/15/2037 2.0
GNMA 2006-9 A 4.201 8/16/2026 1.7
Freddie Mac 5.250 7/18/2011 1.6
United Kingdom Gilt Treasury 5.000 9/7/2014 1.6
----
40.3%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- -------------------------------------------------------------
Government/Agency 29.3%
Corporate 28.5
Mortgage Pass Thru 24.0
ABS/CMBS/CMO 11.6
Emerging Markets 3.1
Cash & Equivalents 3.5
-----
100.0%
4
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon Global Fixed Income Portfolio ("Portfolio"), at value (Note 1A) $37,985,957
Receivable for Fund shares sold 470,000
Prepaid expenses 7,293
-----------
Total assets 38,463,250
Liabilities
Payable for Fund shares redeemed $ 1,625
Accrued professional fees 27,178
Accrued transfer agent fees (Note 2) 3,570
Accrued shareholder reporting expense (Note 2) 1,160
Accrued trustees' fees expenses (Note 2) 487
Accrued chief compliance officer fees (Note 2) 339
Other accrued expenses and liabilities 239
---------
Total liabilities 34,598
-----------
Net Assets $38,428,652
===========
Net Assets consist of:
Paid-in capital $60,069,848
Accumulated net realized loss (21,653,865)
Undistributed net investment income 232,633
Net unrealized depreciation (219,964)
-----------
Total Net Assets $38,428,652
===========
Shares of beneficial interest outstanding 2,083,304
===========
(Net Assets/Shares outstanding) $ 18.45
===========
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $ 1,068,087
Dividend income allocated from Portfolio (net of foreign withholding taxes of $1,931) 20,900
Expenses allocated from Portfolio (132,842)
-----------
Net investment income allocated from Portfolio 956,145
Expenses
Professional fees $ 18,453
Registration fees 8,207
Transfer agent fees (Note 2) 2,719
Chief compliance officer fee (Note 2) 2,089
Shareholder reporting expense (Note 2) 1,160
Trustees' fees and expenses (Note 2) 992
Insurance expense 154
Administrative service fee (Note 2) 55
Miscellaneous expenses 3,910
---------
Total expenses 37,739
Deduct:
Reimbursement of Fund operating expenses (Note 2) (37,739)
---------
Net expenses --
-----------
Net investment income 956,145
-----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investments 292,520
Financial futures transactions (146,379)
Foreign currency transactions and forward currency exchange transactions 104,926
Swap transactions (20,962)
---------
Net realized gain (loss) 230,105
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (801,458)
Financial futures contracts 24,489
Written options contracts 6,873
Foreign currency translation and forward currency exchange contracts (236,446)
Swap contracts (26,646)
---------
Change in net unrealized appreciation (depreciation) (1,033,188)
-----------
Net realized and unrealized gain (loss) allocated from Portfolio (803,083)
-----------
Net Increase in Net Assets from Operations $ 153,062
===========
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
----------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 956,145 $ 2,287,595
Net realized gain (loss) 230,105 (947,015)
Change in net unrealized appreciation (depreciation) (1,033,188) 1,141,527
----------- -----------
Net increase (decrease) in net assets from investment operations 153,062 2,482,107
----------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (407,586) (1,680,731)
----------- -----------
Total distributions to shareholders (407,586) (1,680,731)
----------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 470,000 2,087,125
Value of shares issued to shareholders in reinvestment of distributions 371,505 1,379,153
Cost of shares redeemed (3,818,254) (32,775,521)
----------- -----------
Net increase (decrease) in net assets from Fund share transactions (2,976,749) (29,309,243)
----------- -----------
Total Increase (Decrease) in Net Assets (3,231,273) (28,507,867)
Net Assets
At beginning of period 41,659,925 70,167,792
----------- -----------
At end of period [including undistributed net investment
income and distributions in excess of net investment
income of $232,633 and $315,926, respectively] $38,428,652 $41,659,925
=========== ===========
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 ----------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
--------- ------- -------- -------- -------- --------
Net Asset Value, Beginning of Period $ 18.60 $ 18.28 $ 19.64 $ 20.67 $ 19.43 $ 18.45
-------- ------- -------- -------- -------- --------
From Operations:
Net investment income* (a) 0.44 0.70 0.75 0.83 0.75 0.82
Net realized and unrealized gain
(loss) on investments (0.39) 0.22 (0.04) 0.20 0.49 0.44
-------- ------- -------- -------- -------- --------
Total from investment operations 0.05 0.92 0.71 1.03 1.24 1.26
-------- ------- -------- -------- -------- --------
Less Distributions to Shareholders:
From net investment income (0.20) (0.60) (2.07) (2.06) -- (0.27)
From tax return of capital -- -- -- -- -- (0.01)
-------- ------- -------- -------- -------- --------
Total distributions to shareholders (0.20) (0.60) (2.07) (2.06) -- (0.28)
-------- ------- -------- -------- -------- --------
Net Asset Value, End of Period $ 18.45 $18.60 $ 18.28 $ 19.64 $ 20.67 $ 19.43
======== ====== ======== ======== ======== ========
Total Return 0.27%(b)(c) 5.09%(b) 3.64%(b) 4.98%(b) 6.38%(b) 6.94%
Ratios/Supplemental Data:
Expenses (to average daily net assets)*(d) 0.65%(e) 0.65% 0.65% 0.65% 0.65% 0.60%
Net Investment Income (to average daily net assets)* 4.69%(e) 3.79% 3.75% 3.86% 3.74% 4.43%
Net Assets, End of Period (000's omitted) $ 38,429 $41,660 $ 70,168 $ 72,241 $146,186 $164,582
- -------------
* 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 ratios without waivers and
reimbursement would have been:
Net investment income per share (a) $ 0.41 $ 0.67 $ 0.73 $ 0.83 $ 0.74 N/A
Ratios (to average daily net assets):
Expenses (d) 0.93%(e) 0.81% 0.77% 0.68% 0.70% N/A
Net investment income 4.41%(e) 3.64% 3.63% 3.83% 3.69% N/A
(a) Calculated based on average shares outstanding,
(b) Total return would have been lower in the absence of expense waivers.
(c) Not annualized.
(d) Includes the Fund's share of the Portfolio's allocated expenses.
(e) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and Significant Accounting Policies:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon Global Fixed Income Fund (the "Fund") is a separate
non-diversified investment series of the Trust.
The objective of the Fund is to maximize total return while realizing a
market level of income consistent with preserving principal and liquidity.
The Fund invests all of its investable assets in an interest of Standish
Mellon Global Fixed Income Portfolio (the "Portfolio"), a subtrust of
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 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 December
31, 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.
Effective May 1, 2007, the Board approved Fund strategy changes to ease
limits on investments in emerging markets and high yield investments and
lower the minimum average credit quality of the Fund. Specifically, the
changes: (i) increased the limitations on high yield exposure from 15% to
25% of Fund's total assets; (ii) changed the description of the Fund's
average credit quality from a "target in the range of A to AA/Aa" to "a
minimum of A-/A3" and (iii) increased the general limitation on investing
in issuers located in emerging markets from 10% to 25% of the total assets
of the Fund.
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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. The Fund records its investments 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
The Fund's investments in the Portfolio are recorded on settlement date.
The Portfolio's securities transactions are recorded as of the trade date
as discussed in Note 1B of the Portfolio's Notes to Financial Statements,
which are included elsewhere in this report. 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 are 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, capital loss carryovers, and the timing of
recognition of realized and unrealized 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.
9
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.
F. New accounting requirements
In September 2006, the Financial Standards Accounting Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 The Bank of New York Mellon Corporation ("BNY
Mellon"), 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, 2007, Standish Mellon voluntarily reimbursed the Fund for
$37,739 of its operating expenses. This agreement is voluntary and
temporary and may be discontinued or revised by Standish Mellon at any
time.
The Trust entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
BNY Mellon 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 $2,719, for the
six months ended June 30, 2007.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,089. No other director, officer or
employee of Standish Mellon or its affiliates receives any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the Trust. The Fund pays each Trustee who is not a director, officer or
employee of Standish Mellon or its affiliates an annual fee.
The Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish Mellon, to provide
printing and fulfillment services for the Fund. Pursuant to this agreement,
the Fund was charged $1,160 for the six months ended June 30, 2007.
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, 2007, the Fund was charged $50 for fees payable
to BNY Mellon Private Wealth Management.
Effective June 30, 2007, MBSC Securities Corporation ("MBSC"), a wholly
owned subsidiary of BNY Mellon and an affiliate of Standish Mellon,
replaced Mellon Funds Distributor, L.P. as the Fund's principal
distributor.
10
Mellon Institutional Funds Investment Trust
Standish Mellon Global Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2007, aggregated $371,505 and $10,748,444,
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, 2007 December 31, 2006
----------------- -----------------
Shares sold 25,474 112,735
Shares issued to shareholders
for reinvestment of distributions 20,180 74,640
Shares redeemed (202,612) (1,786,209)
---------- -------------
Net increase (decrease) (156,958) (1,598,834)
========== =============
At June 30, 2007, one shareholder of record held approximately 83% of the
total outstanding shares of the Fund. Investment activities 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, 2007, the Fund did not
assess any redemption fees.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Portfolio, a minimum threshold
for financial statement recognition of the benefit of positions taken in
filing tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
See the corresponding master portfolio for tax basis unrealized
appreciation (depreciation) information.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ----------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--119.5%
BONDS AND NOTES--97.0%
Asset Backed--5.0%
Americredit Prime Automobile Receivables 5.270% 10/8/2011 USD 385,000 $ 383,884
Capital Auto Receivables Asset Trust 2006-2 B 5.070 12/15/2011 160,000 157,881
Chase Issuance Trust 2007-A1 A1 (a) 5.340 3/15/2013 280,000 279,997
Credit Suisse Mortgage Capital Certificate 2007-1 1A6A (a) 5.863 2/25/2037 260,000 254,184
CSAB Mortgage Backed Trust 2006-3 A1B2 (a) 5.415 11/25/2036 179,427 179,456
Home Equity Mortgage Trust 2006-5 A1 5.500 1/25/2037 163,875 163,709
JP Morgan Alternative Loan Trust 2006-S4 A6 5.710 12/25/2036 225,000 219,533
USAA Auto Owner Trust 5.430 10/17/2011 255,000 255,000
-----------
Total Asset Backed (Cost $1,903,822) 1,893,644
-----------
Collateralized Mortgage Obligations--9.0%
Government National Mortgage Association 2004-23 B 2.946 3/16/2019 275,105 264,484
Government National Mortgage Association 2005-76 A 3.963 5/16/2030 274,947 266,939
Government National Mortgage Association 2005-79 A 3.998 10/16/2033 269,635 262,546
Government National Mortgage Association 2006-5 A 4.241 7/16/2029 265,695 258,921
Government National Mortgage Association 2006-9 A 4.201 8/16/2026 645,059 628,095
Government National Mortgage Association 2006-15 A 3.727 3/16/2027 338,578 327,608
Government National Mortgage Association 2006-19 A 3.387 6/16/2030 230,572 221,804
Government National Mortgage Association 2006-39 A 3.772 6/16/2025 335,316 323,617
Government National Mortgage Association 2006-67 A 3.947 11/16/2030 484,916 469,047
Government National Mortgage Association 2006-68 A 3.888 7/16/2026 236,641 228,702
Government National Mortgage Association 2007-34A 4.272 11/16/2026 175,000 170,352
-----------
Total Collateralized Mortgage Obligations (Cost $3,421,248) 3,422,115
-----------
Corporate--19.1%
Banking--5.8%
Bank of America Capital Trust XIII (a) 5.760 3/15/2049 140,000 137,384
Chevy Chase Bank FSB 6.875 12/1/2013 295,000 293,525
GMAC LLC (a) 6.610 5/15/2009 120,000 119,995
ICICI Bank Ltd. 144A (a)(g) 6.375 4/30/2022 150,000 142,537
Shinsei Finance Cayman Ltd 144A (a) 6.418 1/29/2049 200,000 194,461
SMFG Preferred Capital 144A (a) 6.078 1/29/2049 200,000 192,402
Societe Generale 144A (a) 5.922 4/29/2049 125,000 121,029
Sovereign Bancorp (a) 5.590 3/23/2010 215,000 215,063
Suntrust Preferred Capital I (a) 5.853 12/15/2036 40,000 39,759
USB Capital IX (a) 6.189 4/15/2049 300,000 302,215
Washington Mutual Bank (a) 5.446 5/1/2009 245,000 245,160
Washington Mutual, Inc 4.625 4/1/2014 200,000 183,823
-----------
2,187,353
-----------
Broadcasting--0.8 %
Time Warner, Inc. (a) 5.590 11/13/2009 305,000 305,293
-----------
Communications--0.8%
Time Warner Cable, Inc. 144A 5.400 7/2/2012 220,000 216,045
Qwest Corp. (a) 8.610 6/15/2013 85,000 92,225
-----------
308,270
-----------
Consumer Cyclical--0.4%
Delhaize America Inc. 144A 6.500 6/15/2017 165,000 165,626
-----------
Energy--0.3%
Salomon Brothers AF for Tyumen Oil Co. (g) 11.000 11/6/2007 125,000 127,013
-----------
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ----------------------------------------------------------------------------------------------------------------------------------
Financial--3.9%
American Express (a) 6.800% 9/1/2066 USD 70,000 $ 72,178
Boston Properties, Inc 6.250 1/15/2013 85,000 87,162
Capmark Financial Group 144A 5.875 5/10/2012 110,000 108,559
Duke Realty Corp. REIT 5.250 1/15/2010 175,000 173,565
ERP Operating LP 5.750 6/15/2017 110,000 107,839
Goldman Sachs Capital II (a) 5.793 5/8/2049 110,000 107,354
International Lease Finance Corp. 5.000 4/15/2010 180,000 177,878
Lincoln National Corp. (a) 7.000 5/17/2066 170,000 174,434
Simon Property Group LP REIT 5.750 5/1/2012 165,000 165,742
SLM Corp. (b) 4.500 7/26/2010 220,000 203,415
Willis North America 6.200 3/28/2017 100,000 97,920
-----------
1,476,046
-----------
Industrial--5.1%
Coventry Health Care, Inc. 5.950 3/15/2017 85,000 82,918
Crown Americas, Inc. 7.625 11/15/2013 130,000 131,300
Falconbridge Ltd. 6.000 10/15/2015 85,000 84,963
Georgia-Pacific Corp. 144A 7.000 1/15/2015 135,000 129,938
Host Hotels and Resorts LP 6.875 11/1/2014 100,000 98,875
Jersey Central Power & Light Co. 6.400 5/15/2036 82,000 81,320
Mohawk Industries, Inc. 6.125 1/15/2016 170,000 168,276
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 90,000 95,400
Quest Diagnostics, Inc. 5.125 11/1/2010 90,000 88,222
Reliance Steel & Aluminum 6.200 11/15/2016 170,000 167,265
Rogers Wireless, Inc. 7.500 3/15/2015 45,000 48,205
SabMiller PLC 144A (a) 5.660 7/1/2009 200,000 200,371
Stater Brothers Holdings 144A 7.750 4/15/2015 45,000 45,113
Telefonica Emisiones 6.421 6/20/2016 150,000 152,093
Waste Management, Inc. 6.875 5/15/2009 100,000 102,273
Windstream Corp. 8.125 8/1/2013 180,000 188,100
Windstream Corp. 8.625 8/1/2016 60,000 63,450
-----------
1,928,082
-----------
Utilities--2.0%
Consumers Energy Co. 5.375 4/15/2013 140,000 137,774
Mirant North America LLC 7.375 12/31/2013 95,000 97,138
National Grid PLC 6.300 8/1/2016 150,000 152,737
Niagara Mohawk Power Corp. 7.750 10/1/2008 175,000 179,441
Pepco Holdings, Inc. (b) 5.500 8/15/2007 84,000 84,034
TXU Electric Delivery 144A (a) 5.735 9/16/2008 95,000 95,031
-----------
746,155
-----------
Total Corporate Bonds (Cost $7,266,625) 7,243,838
-----------
Municipal--0.5%
Tobacco Settlement Authority Michigan (Cost $194,988) 7.309 6/1/2034 195,000 198,808
-----------
Sovereign Bonds--1.0%
Republic of Argentina 7.000 9/12/2013 290,000 276,152
Republic of South Africa 5.875 5/30/2022 120,000 117,300
-----------
Total Sovereign Bonds (Cost $408,402) 393,452
-----------
Yankee Bonds--0.5%
Amvescap PLC (Cost $209,945) 5.625 4/17/2012 210,000 208,335
-----------
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ----------------------------------------------------------------------------------------------------------------------------------
Pass-Thru Securities--30.4%
Agency Pass Thru Securities--22.1%
FHLMC (b) 5.250% 7/18/2011 USD 600,000 $ 599,950
FNMA 5.500 1/1/2034 385,375 373,386
FNMA (TBA) (c) 5.000 7/1/2035 5,830,000 5,461,981
FNMA (TBA) (c) 5.500 7/1/2035 2,020,000 1,948,038
-----------
8,383,355
-----------
Non-Agency Pass Thru--8.3%
Bear Stearns Commercial Mortgage Securities 2006-PW14 AAB 5.171 12/11/2038 565,000 545,923
Bear Stearns Commercial Mortgage Securities 2006-T24 AB 5.533 10/12/2041 525,000 516,936
Crown Castle Towers 2006-1A D 144A 5.772 11/15/2036 175,000 172,045
Crown Castle Towers LLC, 2005-1A D 144A 5.612 6/15/2035 320,000 315,680
First Union-Chase Commercial Mortgage 5.950 6/15/2031 170,000 170,907
Global Signal Trust 2006-1 C 144A 5.707 2/15/2036 150,000 149,074
Global Signal Trust 2006-1 E 144A 6.495 2/15/2036 150,000 149,876
Global Signal Trust 2006-1 F 144A 7.036 2/15/2036 80,000 79,807
Goldman Sachs Mortgage Securities Corp., Cl. L 144A (a) 6.620 3/20/2020 140,000 140,000
Impac Secured Assets Corp. 2006-2 2A1 (a) 5.670 8/25/2036 330,617 331,483
Morgan Stanley Capital I 2006-HQ9 A3 5.712 7/12/2044 215,000 214,668
Morgan Stanley Capital I 2006-HQ9 AAB 5.685 7/12/2044 215,000 214,151
Morgan Stanley Capital I 2006-IQ12 A1 5.257 12/15/2043 135,249 134,329
-----------
3,134,879
-----------
Total Pass-Thru Securities (Cost $11,572,324) 11,518,234
-----------
U.S. Treasury Obligations--2.1%
U.S. Treasury Note (Cost $792,982) 4.000 2/15/2015 850,000 795,945
-----------
Foreign Denominated--29.4%
Argentina--0.5%
Republic of Argentina (a) 2.000 9/30/2014 ARS 520,000 187,644
-----------
Brazil--1.2%
Republic of Brazil (b) 12.500 1/5/2016 BRL 700,000 442,401
-----------
Egypt--0.6%
Republic of Egypt 0.000 6/30/2007 EGP 1,275,000 224,361
-----------
Euro--16.2%
Allied Irish Bank UK (a) 4.781 12/29/2049 EUR 70,000 86,481
Autostrade SpA (a) 4.585 6/9/2011 300,000 409,336
Barclays Bank PLC (a) 4.875 12/15/2014 150,000 189,388
BES Finance Ltd. (a) 4.500 12/20/2049 95,000 120,307
Deutsche Republic 3.250 7/4/2015 800,000 989,368
Deutsche Republic 4.750 7/4/2034 160,000 217,661
Deutsche Republic 4.250 1/4/2014 285,000 379,042
Deutsche Telekom International Finance BV 6.625 7/11/2011 165,000 236,931
FCE Bank PLC EMTN (a) 5.164 9/30/2009 820,000 1,093,141
Finmeccanica SpA 4.875 3/24/2025 80,000 99,111
GE Capital European Funding (a) 4.148 5/4/2011 370,000 501,303
Holcim Finance Lux SA 4.375 6/23/2010 65,000 86,728
Household Finance Corp. 6.500 5/5/2009 100,000 139,465
MPS Capital Trust I (a) 7.990 12/29/2049 60,000 88,813
National Westminster Bank PLC (a) 6.625 10/29/2049 70,000 98,226
Netherlands Government Bond 4.000 1/15/2037 605,000 723,391
Owens-Brockway Glass Containers 6.750 12/1/2014 95,000 129,216
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ----------------------------------------------------------------------------------------------------------------------------------
Euro (continued)
Satander Perpetual (a) 4.375% 12/29/2049 EUR 100,000 $ 127,515
Telecom Italia Fin Spa 7.000 4/20/2011 60,000 87,060
Telefonica Europe BV 5.125 2/14/2013 135,000 182,830
Telenet Communications NV 144A 9.000 12/15/2013 56,025 81,890
Veolia Environnement 4.875 5/28/2013 65,000 87,099
-----------
6,154,302
-----------
Japan--5.2%
Japan Government 1.100 12/10/2016 JPY 249,000,000 1,986,307
-----------
Mexico--1.1%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 4,410,000 415,989
-----------
United Kingdom--4.6%
Barclays Bank PLC (a) 6.000 9/15/2026 GBP 50,000 91,981
Bat International Finance PLC 6.375 12/12/2019 90,000 176,537
HBOS Capital Funding LP (a) 6.461 11/29/2049 85,000 168,043
United Kingdom Gilt Treasury 8.000 9/27/2013 225,000 506,114
United Kingdom Gilt Treasury 5.000 9/7/2014 300,000 580,775
United Kingdom Gilt Treasury 4.250 6/7/2032 125,000 226,830
-----------
1,750,280
-----------
Total Foreign Denominated (Cost $11,023,137) 11,161,284
-----------
Total Bonds and Notes (Cost $36,793,473) 36,835,655
-----------
CONVERTIBLE PREFERRED STOCKS--0.3% Shares
------
Fannie Mae 5.375% CVT Pfd (Cost $100,000) 1 99,144
-----------
PURCHASE OPTIONS--0.0% Notional Amount
---------------
Call Options
Dow Jones CDX, IG8 5 year 62,200 7,277
U.S. Treasury 10 Year Note August 2007 @ 106 18,000 10,969
-----------
TOTAL PURCHASED OPTIONS (Cost $17,619) 18,246
-----------
Par
SHORT-TERM INVESTMENTS--20.2% Rate Maturity Value
---- -------- -----
Federal Agency Bonds--19.8%
FNMA Discount Note (d) (e) (Cost $7,528,546) 5.110% 7/20/2007 USD 7,550,000 7,530,748
U.S. Treasury Bill--0.4%
U.S. Treasury Bill (d) (e) ( Cost $148,682) 4.650 9/6/2007 150,000 148,714
-----------
Total Short Term Investments (Cost $7,677,228) 7,679,462
-----------
INVESTMENT OF CASH COLLATERAL--2.0% Shares
------
BlackRock Cash Strategies L.L.C (Cost $761,400) 761,400 761,400
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $45,349,720) 45,393,907
-----------
AFFILIATED INVESTMENTS--1.3%
Dreyfus Institutional Preferred Plus Money Market Fund (f) (Cost $500,682) 500,682 500,682
-----------
TOTAL INVESTMENTS--120.8% (Cost $45,850,402) 45,894,589
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS (20.8%) (7,908,632)
-----------
NET ASSETS--100% $37,985,957
===========
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments:
144A--Securities exempt form 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 $2,794,884 or 7.4% of net assets.
ARS--Argentine Peso
BRL--Brazilian Real
EGP--Egyptian Pound
CVT--Convertible
EMTN--Euro Medium term note
EUR--Euro
FHLMC--Federal Home Loan Mortgage Company
FNMA--Federal National Mortgage Association
GBP--British Pound
JPY--Japanese Yen
MXN--Mexican Peso
REIT--Real Estate Investment Trust
TBA--To be announced
(a) Variable Rate Security; rate indicated is as of June 30, 2007.
(b) Security, or portion thereof was on loan at June 30, 2007.
(c) Delayed delivery security.
(d) Rate denoted is yield to maturity.
(e) Denotes all or part of security segregated as collateral.
(f) Affiliated money market fund.
(g) Illiquid security. At period end, the value of these securities amounted to
$269,550 or 0.7% of net assets.
At June 30, 2007 the Portfolio held the following futures contracts:
Unrealized
Underlying Face Appreciation/
Contract Position Expiration Date Amount at Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------
- -U.S. 2 Year Treasury Note (48 Contracts) Long 9/28/2007 9,781,500 $ (10,589)
U.S. 5 Year Treasury Note (14 Contracts) Long 9/28/2007 1,457,094 2,380
U.S. 10 Year Treasury Note (49 Contracts) Short 9/19/2007 5,179,453 (515)
U.S. Long Bond CBT (4 Contracts) Short 9/19/2007 431,000 4,455
EURO--Bobl (7 Contracts) Short 9/6/2007 1,004,886 3,714
EURO--Bond (21 Contracts) Long 9/6/2007 3,147,670 (17,549)
---------
$ (18,104)
=========
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007 the Portfolio held the following forward exchange contracts:
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Deliver Amount Value Date June 30, 2007 to Receive (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------
Brazilian Real 740,000 7/9/2007 $ 383,249 $ 378,420 $ (4,829)
Canadian Dollar 580,000 9/19/2007 546,111 543,458 (2,653)
Euro 560,000 9/19/2007 759,987 746,424 (13,563)
Euro 110,000 9/19/2007 149,283 146,687 (2,596)
Euro 4,658,000 9/19/2007 6,321,466 6,218,057 (103,409)
Euro 7,043 7/3/2007 9,532 9,515 (17)
British Pounds 935,000 9/19/2007 1,875,079 1,837,605 (37,474)
Icelandic Krona 7,040,000 9/19/2007 111,012 109,674 (1,338)
Icelandic Krona 23,870,000 9/19/2007 376,402 372,160 (4,242)
Japanese Yen 15,440,000 9/19/2007 126,804 126,429 (375)
Japanese Yen 153,920,000 9/19/2007 1,264,097 1,260,978 (3,119)
Japanese Yen 99,210,000 9/19/2007 814,781 812,704 (2,077)
Mexican Peso 4,560,000 9/19/2007 422,202 419,653 (2,549)
Swedish Krona 130,000 9/19/2007 19,093 18,557 (536)
South African Rand 1,480,000 7/9/2007 209,885 206,906 (2,979)
------------ ------------ -----------
$ 13,388,983 $ 13,207,227 $ (181,756)
============ ============ ===========
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Receive Amount Value Date June 30, 2007 to Deliver (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------
Australian Dollar 510,000 9/19/2007 $ 431,414 $ 427,100 $ 4,314
Brazilian Real 740,000 7/9/2007 383,249 386,121 (2,872)
Brazilian Real 420,000 7/9/2007 217,520 220,126 (2,606)
Canadian Dollar 530,000 9/19/2007 499,033 499,308 (275)
Columbian Peso 355,800,000 7/9/2007 180,131 189,861 (9,730)
Indonesian Rupiah 1,662,600,000 7/9/2007 183,950 189,903 (5,953)
Indian Rupee 7,680,000 7/9/2007 189,532 189,630 (98)
Icelandic Krona 7,040,000 9/19/2007 111,013 110,633 380
Icelandic Krona 23,870,000 9/19/2007 376,402 377,093 (691)
South Korean Won 222,180,000 9/19/2007 241,274 240,090 1,184
Malaysian Ringgit 860,000 9/19/2007 250,337 251,242 (905)
Norwegian Krone 2,100,000 9/19/2007 356,750 345,403 11,347
Norwegian Krone 2,500,000 7/19/2007 424,271 410,820 13,451
Philippines Peso 12,060,000 9/19/2007 260,827 263,032 (2,205)
Singapore Dollar 370,000 9/19/2007 243,374 241,941 1,433
Turkish Lira 285,000 7/9/2007 216,443 215,029 1,414
South African Rand 1,480,000 7/9/2007 209,885 207,777 2,108
------------ ------------ ------------
$ 4,775,405 $ 4,765,109 $ 10,296
============ ============ ============
The accompanying notes are an integral part of the financial statements.
17
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
The Portfolio held the following cross currency contracts at June 30, 2007:
Value at In Value at Contract Unrealized
Contracts to Deliver June 30, 2007 Exchange for June 30, 2007 Value Date Depreciation
- ------------------------------------------------------------------------------------------------------------------
Icelandic Krona $ 113,063 Euro $ 112,401 9/19/2007 $ (662)
Euro 114,029 Icelandic Krona 113,062 9/19/2007 (967)
--------- --------- --------
$ 227,092 $ 225,463 $ (1,629)
========= ========= ========
The Portfolio held the following written option contracts at June 30, 2007:
Notional
Written Call Options Counterparty Strike Price Expiration Date Amount Premium Value
- -------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX IG8 5yr
credit default swap Lehman Brothers 0.349% September 2007 $ 124,400 $ 13,062 $ 5,685
========= ======== =======
Written Put Options
Strike Price Expiration Date Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------
U.S. Treasury 10 Year Note 8/24/07 101 August 2007 18 $3,318 $ 563
== ====== =====
At June 30, 2007 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)
- ------------------------------------------------------------------------------------------------------------------------------------
Barclays Global Bespoke Tranche 2.65%-4.65% Sell 3.02 6/20/2012 630,000 USD $ (47,687)
Barclays Global Bespoke Tranche 5.00%-7.00% Buy (4.80) 6/20/2017 420,000 USD (3,410)
Bear Stearns & Co. ConocoPhilips, 4.75%, 10/15/2012 Buy (0.31) 6/20/2010 345,000 USD (2,305)
Bear Stearns & Co. Nucor, 4.875%, 10/1/2012 Buy (0.40) 6/20/2010 162,000 USD (1,356)
Citibank AT&T, Inc. 5.875%, 8/15/2012 Buy (0.48) 3/20/2017 510,000 USD (1,558)
Citibank Altria, 7.000%, 11/4/2013 Buy (0.27) 12/20/2011 720,000 USD (502)
Citibank Southern California Tobacco, 5%, 6/1/2037 Sell 1.35 12/20/2011 360,000 USD (3,275)
Citibank Northern Tobacco, 5%, 6/1/2046 Sell 1.35 12/20/2011 360,000 USD (3,275)
Deutsche Bank Kraft Foods, 5.875%, 11/1/2011 Buy (0.53) 6/20/2017 210,000 USD 1,908
Goldman, Sachs & Co. Autozone, 5.875%, 10/15/2012 Buy (0.62) 6/20/2012 570,000 USD 1,339
JPMorgan Bear Stearns & Co., 5.3%, 10/30/2015 Buy (0.51) 6/20/2012 210,000 USD (359)
JPMorgan Citigroup Inc. 7.250%, 10/1/2010 Buy (0.22) 6/20/2012 210,000 USD (832)
JPMorgan Genworth Financial, 5.75%, 6/15/2014 Buy (0.30) 6/20/2012 210,000 USD (475)
JPMorgan HSBC Finance Corp., 7.000%, 5/15/2002 Buy (0.28) 6/20/2012 210,000 USD (1,214)
JPMorgan Kimberly-Clark Corp., 6.875%, 2/15/2014 Buy (0.19) 12/20/2011 925,000 USD (1,950)
JPMorgan Kimberly-Clark Corp., 6.875%, 2/15/2014 Buy (0.19) 12/20/2011 925,000 USD (1,950)
JPMorgan Lehman Brothers, 6.625%, 1/18/2012 Buy (0.51) 6/20/2012 210,000 USD (1,313)
JPMorgan Wells Fargo & Co.,5.555%,10/28/2015 Buy (0.18) 6/20/2012 210,000 USD (628)
JPMorgan France Telecom, 7.25%, 1/28/2013 Sell 0.66 12/20/2015 175,000 EUR 4,722
Morgan Stanley Dow Jones CDX.NA.IG.7 Index Sell 0.65 12/20/2016 220,000 USD 957
UBS AG iTraxx Europe Series 5 version I Sell 0.40 6/20/2011 1,050,000 EUR 6,615
---------
$ (56,548)
=========
The accompanying notes are an integral part of the financial statements.
18
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- --------------------------------------------------------------------------------------------------------------------------
JPMorgan EUR--6 MONTH EURIBOR Receive 4.1595% 1/19/2012 1,230,000 EUR $ 39,096
JPMorgan JPY-6 MONTH YENIBOR Pay 1.3600 1/19/2012 219,000,000 JPY (11,780)
JPMorgan MYR--6 Month Kilbor Pay 4.1600 10/31/2011 838,925 MYR 3,335
JPMorgan NZD--3 MONTH LIBOR Pay 8.0475 6/21/2012 500,000 NZD 357
JPMorgan THB--6 Month Bibor Pay 5.1800 11/2/2011 8,464,000 THB 11,515
Morgan Stanley NZD--3 MONTH LIBOR Pay 7.8750 5/18/2010 2,850,000 NZD (14,373)
UBS AG JPY-6 MONTH LIBOR BBA Pay 0.8775 5/11/2008 798,000,000 JPY (982)
UBS AG JPY-6 MONTH YENIBOR Pay 2.5125 6/6/2026 159,000,000 JPY 9,972
UBS AG SEK--6 Month Stibor Pay 4.2900 6/27/2016 9,545,000 SEK (66,630)
---------
$ (29,490)
=========
At June 30, 2007, the Portfolio held the following forward rate option contract:
Expiration Notional Unrealized
Total Return Swaps Description Date Amount Depreciation
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan OTC contract to purchase a 1 year expiration straddle
(call and put) on a USD 10 Year Fixed/Floating interest
rate swap on 10/3/2007 for a premium of 4.37% of
notional. The option strikes will be determined on the
expiration date of the foward agreement using the
10 Year USD interest rate swap rate, 1 year foward. 10/3/2008 2,910,000 $ (1,555)
UBS AG OTC contract to purchase a 1 year expiration straddle
(call and put) on a USD 10 Year Fixed/Floating
interest rate swap on 9/21/2007 for a premium of
4.385% of notional. The option strikes will be
determined on the expiration date of the foward
agreement using the 10 Year USD interest
rate swap rate, 1 year foward. 9/22/2008 3,330,000 (1,704)
--------
$ (3,259)
========
Percentage of
Country Allocation Investments
- --------------------------------------------------
Argintina 1.0%
Belguim 0.5
Brazil 1.0
Denmark 0.2
Egypt 0.5
France 0.4
Germany 4.0
India 0.3
Ireland 0.2
Italy 1.5
Japan 5.2
Mexico 0.9
Netherlands 1.6
Russia 0.3
South Africa 0.3
Spain 1.0
Switzerland 0.8
UK 8.0
US 72.3
-----
100.0%
The accompanying notes are an integral part of the financial statements.
19
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $869,553 (Note 6)):
Unaffiliated issuers, at value (Note 1A) (cost $45,349,720) $ 45,393,907
Affiliated issuers, at value (Note 1A) (cost $500,682) (Note 1H) 500,682
Cash 47,181
Foreign currency (cost $224,165) 225,284
Receivable for investments sold 909,221
Interest receivable 348,685
Collateral held for securities on loan (Note 6) 171,600
Unrealized appreciation on swap contracts, (Note 5) 79,816
Unrealized appreciation on forward foreign currency exchange contracts, (Note 5) 35,631
Swap premium paid 3,326
Prepaid expenses 865
------------
Total assets 47,716,198
Liabilities
Payable for investments purchased $ 8,346,635
Collateral for securities on loan (Note 6) 933,000
Unrealized depreciation on forward foreign currency exchange contracts, at value (Note 5) 208,720
Unrealized depreciation on swap contracts, at value (Note 5) 165,854
Payable for variation margin on open futures contracts (Note 5) 14,108
Options written, at value (premium received $16,380) (Note 5) 6,248
Unrealized depreciation on forward rate swaptions 3,259
Accrued professional fees 20,588
Accrued accounting, administration, and custody fees (Note 2) 2,164
Accrued trustees' fees and expenses (Note 2) 1,760
Other accrued expenses and liabilities 27,905
-----------
Total liabilities 9,730,241
------------
Net Assets (applicable to investors' beneficial interest) $ 37,985,957
============
The accompanying notes are an integral part of the financial statements.
20
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 1,066,615
Dividend income from affiliated investments (Note 1H) 20,143
Security lending income 1,472
Dividend income (net of foreign withholding tax of $1,931) 757
------------
1,088,987
Expenses
Investment advisory fee (Note 2) $ 81,757
Accounting, administration and custody fees (Note 2) 46,410
Professional fees 18,439
Trustees' fees and expenses (Note 2) 1,814
Insurance expense 1,141
Miscellaneous expenses 3,062
---------
Total expenses 152,623
Deduct:
Waiver of investment advisory fee (Note 2) (19,781)
---------
Net expenses 132,842
------------
Net investment income 956,145
------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 292,520
Financial futures transactions (146,379)
Foreign currency transactions and forward foreign currency exchange transactions 104,926
Swap transactions (20,962)
---------
Net realized gain (loss) 230,105
Change in unrealized appreciation (depreciation)
Investments (801,458)
Financial futures contracts 24,489
Written options contracts 6,873
Foreign currency translation and forward foreign currency exchange contracts (236,446)
Swap contracts (26,646)
---------
Change in net unrealized appreciation (depreciation) (1,033,188)
------------
Net realized and unrealized gain (loss) (803,083)
------------
Net Increase in Net Assets from Operations $ 153,062
============
The accompanying notes are an integral part of the financial statements.
21
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
----------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 956,145 $ 2,287,595
Net realized gain (loss) 230,105 (947,015)
Change in net unrealized appreciation (depreciation) (1,033,188) 1,141,527
------------ ------------
Net increase (decrease) in net assets from investment operations 153,062 2,482,107
------------ ------------
Capital Transactions
Contributions 371,505 3,466,361
Withdrawals (10,748,444) (28,847,433)
------------ ------------
Net increase (decrease) in net assets from capital transactions (10,376,939) (25,381,072)
------------ ------------
Total Increase (Decrease) in Net Assets (10,223,877) (22,898,965)
Net Assets
At beginning of period 48,209,834 71,108,799
------------ ------------
At end of period $ 37,985,957 $ 48,209,834
============ ============
The accompanying notes are an integral part of the financial statements.
22
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 -----------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
-------- -------- -------- -------- -------- --------
Total Return (a) 0.27%(b)(c) 5.09%(b) 3.64%(b) 5.00% 6.40% 6.98%
Ratios/Supplemental data:
Expenses (to average daily net assets) 0.65%(d) 0.65% 0.65% 0.63% 0.63% 0.56%
Net Investment Income (to average
daily net assets) 4.69%(d) 3.79% 3.75% 3.89% 3.75% 4.47%
Portfolio Turnover: (c)
Inclusive 119%(e) 152% 181% 166% 222% 205%
Exclusive 53%(e) 122% 167% 130% -- --
Net Assets, End of Period (000's omitted) $ 37,986 $ 48,210 $ 71,109 $ 73,073 $153,572 $164,590
- --------------
* 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 ratios without waivers and reimbursement would have
been:
Ratios (to average daily net assets):
Expenses (to average daily net assets) 0.75%(d) 0.69% 0.65% NA NA NA
Net investment income 4.59%(d) 3.75% 3.74% 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) Total return would have been lower in the absence of expense waivers.
(c) Beginning in 2004, the portfolio turnover ratio is presented inclusive and
exclusive of the effect of rolling forward purchase commitments.
(d) Calculated on an annualized basis.
(e) Not annualized.
The accompanying notes are an integral part of the financial statements.
23
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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.
Effective May 1, 2007, the Board approved Portfolio strategy changes to
ease limits on investments in emerging markets and high yield investments
and lower the minimum average credit quality of the Portfolio.
Specifically, the changes: (i) increased the limitations on high yield
exposure from 15% to 25% of Portfolio's total assets; (ii) changed the
description of the Portfolio's average credit quality from a "target in the
range of A to AA/Aa" to "a minimum of A-/A3" and (iii) increased the
general limitation on investing in issuers located in emerging markets from
10% to 25% of the total assets of the Portfolio.
At June 30, 2007 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, 2007 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
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. With respect to
any portion of the Portfolio's assets that are invested in one or more
open-end regulated investment companies ("RICs"), the Portfolio's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
Because foreign markets may be open at different times than the New York
Stock Exchange ("NYSE"), the value of the Portfolio's shares may change on
days when shareholders are not able to buy or sell them. Many securities
markets and exchanges outside the U.S. close prior to the close of the NYSE
and therefore the closing prices for securities in such markets or on such
exchanges may not fully reflect the events that occur after such close but
before the close of the NYSE.
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 then is 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. Dividend income is
recorded on the ex-dividend date. 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.
24
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 U.S. federal income
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.
D. Foreign currency transactions
The Portfolio maintains its books and records in U.S. dollars. Investment
security valuations, other assets, and liabilities initially expressed in
foreign currencies are converted into U.S. dollars based upon current
currency exchange rates. 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. Foreign 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 The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
25
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
I. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 annual
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, 2007, Standish Mellon
voluntarily waived a portion of its investment advisory fee in the amount
of $19,781. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Portfolio Trust has entered into an agreement with Mellon Bank, N.A.
("Mellon Bank"), a wholly owned subsidiary of BNY Mellon 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 $46,410 during for the six months ended June 30, 2007.
The Portfolio Trust 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 earned $634 for
the six months ended June 30, 2007. See Note 6 for further details.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's and Portfolio 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, 2007 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $41,160,381 $40,678,538
----------- -----------
Non-U.S. Government Securities $ 6,147,786 $12,529,923
----------- -----------
(4) Federal Taxes:
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Portfolio, a minimum threshold
for financial statement recognition of the benefit of positions taken in
filing tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $ 45,850,402
============
Gross unrealized appreciation 468,317
Gross unrealized depreciation (424,130)
------------
Net unrealized appreciation (depreciation) $ 44,187
============
26
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved. The
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, including counterparties.
For the six months ended June 30, 2007, the Portfolio entered into the
following transactions:
Number of
Written Put Option Transactions Contracts Premiums
---------- ---------
Outstanding, beginning of period -- $ --
Options written 18 3,318
---------- ---------
Outstanding, end of period 18 $ 3,318
========== =========
Notional
Written Call Option Transactions Amount Premiums
---------- ---------
Outstanding, beginning of period $ -- $ --
Options written 124,400 13,062
---------- ---------
Outstanding, end of period $ 124,400 $ 13,062
========== =========
At June 30, 2007, 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 appreciation or depreciation 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, 2007, the Portfolio held forward currency exchange contracts.
See the Schedule of Investments for further details.
27
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
Futures contracts
The Portfolio may enter into financial futures contracts for the purchase
or sale 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, shown as variation
margin, 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
appreciation/depreciation 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 also 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. Appreciation
and depreciation 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, 2007, the Portfolio held open financial futures contracts. See
the Schedule of Investments for further details.
Swap agreements
The Portfolio may enter into swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Portfolio may enter into interest rate, 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, the 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. The Portfolio earns interest on cash
set aside as collateral. 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
appreciation or depreciation 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 gains and losses in the
Statement of Operations. Net payments of interest on interest rate swap
agreements, if any, are included as part of realized gains and losses.
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, 2007, 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.
28
Mellon Institutional Funds Master Portfolio
Standish Mellon Global Fixed Income Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
The Portfolio loaned securities during the six months ended June 30, 2007
and earned interest on the invested collateral of $70,564 of which, $69,092
was rebated to borrowers or paid in fees. At June 30, 2007, the Portfolio
had securities valued at $869,553 on loan of which, $761,400 was
collateralized with cash and $171,600 was collateralized with securities.
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.
At June 30, 2007, 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. The Fund/Portfolio also pays
an annual renewal fee, computed at a rate of 0.020 of 1% of the committed
amount and allocated ratably to the funds/portfolios. For the six months
ended June 30, 2007, the expense allocated to the Portfolio was $1,079. The
facility fee and interest expense is aggregated with miscellaneous expenses
on the Statement of Operations.
For the six months ended June 30, 2007, the Fund/Portfolio had average
borrowings outstanding of $2,782,400 for a total of four days and incurred
$1,178 of interest expense. At June 30, 2007 the Fund/Portfolio had no
borrowings outstanding.
29
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 2007)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming (66) Trustee Trustee since Chairman Emeritus, 32 None Fund: $484
61 Meadowbrook Road 11/3/1986 Decision Resources, Inc. Portfolio: $375
Weston, MA 02493 ("DRI") (biotechnology
9/30/40 research and consulting
firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Benjamin M. Friedman (63) Trustee Trustee since William Joseph Maier, 32 None Fund: $484
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $375
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt (72) Trustee Trustee since Trustee, Mertens 32 None Fund: $484
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $375
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street 32 None Fund: $513
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $375
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, Since 2003 President and Chief 32 None $0
The Boston Company President Operating Officer of The
Asset Management, LLC and Chief Boston Company Asset
One Boston Place Executive Management, LLC;
Boston, MA 02108 Officer formerly Senior Vice
7/24/65 President and Chief
Operating Officer,
Mellon Asset Management
("MAM") and Vice
President and Chief
Financial Officer, MAM
* Effective August 10, 2007, Mr. Sheppard resigned as Trustee, President and
Chief Executive Officer of the Trust.
30
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations, BNY
BNY Mellon Asset Management and Secretary Mellon Asset Management ("MAM"); formerly First Vice
One Boston Place President, MAM and Mellon Global Investments
Boston, MA 02108
2/20/61
Steven M. Anderson (42) Vice President Vice President Vice President and Mutual Funds Controller, BNY
BNY 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 (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY 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
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset Management and
BNY Mellon Asset Management Compliance Chief Compliance Officer, Mellon Optima L/S Strategy
One Boston Place Officer Fund, LLC; formerly Director, Blackrock, Inc., Senior
Boston, MA 02108 Vice President, State Street Research & Management
4/8/57 Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6934SA0607
[LOGO]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
High Yield Bond Fund
- --------------------------------------------------------------------------------
June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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, 2007 to June 30, 2007).
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 expense
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, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
- ---------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,024.30 $3.01
Hypothetical (5% return
per year before expenses) $1,000.00 $1,021.82 $3.01
- --------------------
+ Expenses are equal to the Fund's annualized expense ratio of 0.60%,
multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period). The example reflects the
combined expenses of the Fund and the master portfolio in which it invests
all its assets.
3
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Portfolio Information as of June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
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 below.
Summary of Combined Ratings
- ---------------------------------------------------------------
Percentage of
Quality Breakdown Investments
- ---------------------------------------------------------------
AA 0.1%
A 1.2
BBB 5.8
BB 35.1
B 48.7
CCC 9.0
C 0.1
------
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 Portfolio treats the security as being rated in the higher rating category.
Percentage of
Top Ten Holdings* Rate Maturity Investments
- -----------------------------------------------------------------------------------------
Crown Americas, Inc. 7.625% 11/15/2013 1.6%
Chevy Chase Bank FSB 6.875 12/1/2013 1.5
Republic of Brazil 12.500 1/5/2016 1.5
Hub International Holdings 144A 10.250 6/15/2015 1.3
Intelsat Bermuda Ltd. 11.250 6/15/2016 1.2
Peabody Energy Corp. 6.875 3/15/2013 1.2
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 1.2
Host Marriott REIT 7.125 11/1/2013 1.1
Terex Corp. 7.375 1/15/2014 1.0
Ford Motor Co. 7.450 7/16/2031 1.0
----
12.6%
* Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- -----------------------------------------------------------------
ABS/CMBS/CMO 0.1%
Morgage Pass Thru 0.8
Municipal 1.5
Corporate 94.7
Emerging Markets 2.9
-----
100.0%
4
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon High Yield Bond Portfolio ("Portfolio"), at value (Note 1A) $16,342,630
Receivable for Fund shares sold 11,995
Prepaid expenses 10,339
----------
Total assets 16,364,964
Liabilities
Payable to Advisor $ 1,766
Accrued professional fees 26,537
Accrued transfer agent fees (Note 2) 3,422
Payable for Fund shares redeemed 2,619
Accrued shareholder reporting expense (Note 2) 628
Accrued trustees' fees and expenses (Note 2) 484
Accrued chief compliance officer fee (Note 2) 339
Other accrued expenses and liabilities 1,204
-----
Total liabilities 36,999
-----------
Net Assets $16,327,965
===========
Net Assets consist of:
Paid-in capital $25,998,634
Accumulated net realized loss (9,809,651)
Undistributed net investment income 63,508
Net unrealized appreciation 75,474
-----------
Total Net Assets $16,327,965
===========
Shares of beneficial interest outstanding 1,026,605
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 15.90
===========
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income allocated from Portfolio $749,105
Dividend income and securities lending from Portfolio 22,400
Expenses allocated from Portfolio (60,130)
--------
Net investment income allocated from Portfolio 711,375
Expenses
Professional fees $ 17,764
Registration fees 8,234
Transfer agent fees (Note 2) 2,892
Chief compliance officer expense (Note 2) 2,090
Administrative service fee (Note 2) 1,115
Trustees' fees (Note 2) 992
Insurance expense 79
Miscellaneous 4,773
-------
Total expenses 37,939
Deduct:
Reimbursement of Fund operating expenses (Note 2) (37,939)
-------
Net expenses --
-------
Net investment income 711,375
-------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) allocated from Portfolio on:
Investments 354,150
Swap transactions (18,049)
Foreign currency transactions and forward foreign currency exchange transactions 5,948
Net realized gain (loss) -------- 342,049
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (490,965)
Swap contracts (7,331)
Foreign currency translations and forward foreign currency exchange contracts (12,862)
Change in net unrealized appreciation (depreciation) -------- (511,158)
--------
Net realized and unrealized gain (loss) allocated from the Portfolio (169,109)
--------
Net Inrease in Net Assets from Operations $542,266
========
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
----------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 711,375 $ 1,212,492
Net realized gain (loss) 342,049 48,045
Change in net unrealized appreciation (depreciation) (511,158) 318,971
----------- -----------
Net increase (decrease) in net assets from investment operations 542,266 1,579,508
----------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (634,507) (1,183,071)
----------- -----------
Total distributions to shareholders (634,507) (1,183,071)
----------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 4,728,869 16,483,564
Value of shares issued to shareholders in reinvestment of distributions 587,290 1,025,942
Cost of shares redeemed (net of redemption fees of $201 and $593, (15,959,909) (8,410,796)
respectively) ----------- -----------
Net increase (decrease) in net assets from Fund share transactions (10,643,750) 9,098,710
----------- -----------
Total Increase (Decrease) in Net Assets (10,735,991) 9,495,147
Net Assets
At beginning of period 27,063,956 17,568,809
At end of period (including undistributed net investment ----------- -----------
income of $63,508 and distributions in excess
of net investment income of $13,360, respectively) $16,327,965 $27,063,956
=========== ===========
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 ---------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
----------- ------- ------- ------- ------- -------
Net Asset Value, Beginning of Period $ 16.06 $ 15.81 $ 16.52 $ 16.19 $ 14.34 $ 14.88
------- ------- ------- ------- ------- -------
From Operations:
Net investment income * (a) 0.58 1.11 1.13 1.18 1.21 1.26
Net realized and unrealized
gains (loss) on investments (0.19) 0.14 (0.54) 0.31 1.85 (0.59)
------- ------- ------- ------- ------- -------
Total from investment operations 0.39 1.25 0.59 1.49 3.06 0.67
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income (0.55) (1.00) (1.30) (1.16) (1.21) (1.21)
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.55) (1.00) (1.30) (1.16) (1.21) (1.21)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 15.90 $ 16.06 $ 15.81 $ 16.52 $ 16.19 $ 14.34
======= ======= ======= ======= ======= =======
Total Return (b) 2.43%(c) 8.22% 3.70% 9.56% 21.76% 4.70%
Ratios/Supplemental data:
Expenses (to average daily net assets) * (d) 0.60%(e) 0.50% 0.50% 0.50% 0.50% 0.50%
Net Investment Income (to average daily net 7.12%(e) 6.94% 6.84% 7.28% 7.79% 8.68%
assets) *
Net Assets, End of Period (000's omitted) $16,328 $27,064 $17,569 $56,673 $57,036 $44,059
- -----------
* For the periods indicated, the investment advisor voluntarily agreed not to impose a portion of its its investment advisory
fee and/or reimbursed the Fund for all or a portion of its operating expenses. If this voluntary action had not been taken, the
investment income per share and the ratios would have been:
Net investment income per share (a) $0.51 $0.93 $0.97 $1.12 $1.13 $1.21
Ratios (to average daily net assets)
Expenses (d) 1.47%(e) 1.58% 1.45% 0.87% 1.00% 1.01%
Net investment income 6.25%(e) 5.86% 5.89% 6.91% 7.29% 8.17%
(a) Calculated based on average shares outstanding.
(b) Total return would have been lower in the absence of expense waivers.
(c) Not annualized.
(d) Includes the Fund's share of the Portfolio's allocated expenses.
(e) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon High Yield Bond Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and Significant Accounting Policies:
Mellon Institutional Funds Investment Trust (the "Trust") is organized as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment company.
Standish Mellon High Yield Bond Fund (the "Fund") is a separate diversified
investment series of the Trust.
The objective of the Fund is to maximize total return, consisting of a high
level of income. The Fund invests all of its investable assets in an
interest in Standish Mellon High Yield Bond Portfolio (the "Portfolio"), a
subtrust of 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, 2007). 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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. 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
The Fund's investments in the Portfolio is recorded on settlement date. The
Portfolio's securities transactions are recorded as of the trade date as
discussed in Note 1B of the Portfolio's Notes to Financial Statements,
which are included elsewhere in the report. 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 are 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, capital loss carryovers, and the timing of recognition
of realized and unrealized 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.
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.
9
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.
F. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 The Bank of New York Mellon Corporation ("BNY
Mellon"), 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's expenses (excluding brokerage
commissions, taxes and extraordinary expenses) to 0.50% of the Fund's
average daily net assets. Pursuant to this agreement, for the six months
ended June 30, 2007, Standish Mellon voluntarily reimbursed the Fund for
$37,939 of its operating expenses. This agreement is voluntary and
temporary and may be discontinued or revised by Standish Mellon at any
time.
The Trust entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
BNY Mellon 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 $2,892, for the
six months ended June 30, 2007.
The Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish Mellon, to provide
printing and fulfillment services for the Fund. Pursuant to this agreement,
the Fund was charged $1,256, which is included in miscellaneous expenses in
the statement of operations for the six months ended June 30, 2007.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,090. No other director, officer or
employee of Standish Mellon or its affiliates receives any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the 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, 2007, the Fund was charged $436 for fees payable
to BNY Mellon Private Wealth Management.
Effective June 30, 2007, MBSC Securities Corporation ("MBSC"), a wholly
owned subsidiary of BNY Mellon and an affiliate of Standish, replaced
Mellon Funds Distributor, L.P. as the Fund's principal distributor.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2007, aggregated $5,311,158 and $16,623,108,
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.
10
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, 2007 December 31, 2006
---------------- -----------------
Shares sold 288,799 1,034,865
Shares issued to shareholders
for reinvestment of distributions 36,644 64,914
Shares redeemed (984,356) (525,494)
--------- ---------
Net increase (decrease) (658,913) 574,285
========= =========
At June 30, 2007, three shareholders of record, in the aggregate, held
approximately 73% 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, 2007, the Fund received
$201 in redemption fees and is reflected in the cost of shares redeemed.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, the FASB issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an Interpretation of FASB Statement No.
109" (the "Interpretation"). The Interpretation establishes for all
entities, including pass-through entities such as the Fund, a minimum
threshold for financial statement recognition of the benefit of positions
taken in filing tax returns (including whether an entity is taxable in a
particular jurisdiction), and requires certain expanded tax disclosures.
Adoption of FIN 48 is required for fiscal years beginning after December
15, 2006 and is to be applied to all open tax years as of the effective
date. Management has evaluated the implications of FIN 48 and determined
that it will not have any impact on the financial statements.
See the corresponding master portfolio for tax basis unrealized
appreciation (depreciation) information.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--115.2%
BONDS AND NOTES--97.5%
Convertible Corporate Bonds--0.4%
Alliant Techsystems, Inc. 144A 2.750% 2/15/2024 USD 25,000 $ 32,687
L-3 Communications Corp. 3.000 8/1/2035 30,000 33,825
---------
Total Convertible Corporate Bonds (Cost $56,124) 66,512
---------
Asset Backed--0.1%
Countrywide Asset-Backed Certificates 2007-4 M7 (Cost $18,766) 7.200 9/25/2037 20,000 18,180
---------
Corporate--87.2%
Banking--1.8%
BF Saul REIT 7.500 3/1/2014 55,000 55,206
Chevy Chase Bank FSB 6.875 12/1/2013 245,000 243,775
---------
298,981
---------
Basic Industry--0.5%
Cinemark Inc 0.000 3/15/2014 65,000 59,150
Smurfit-Stone Container Emterprises 8.000 3/15/2017 25,000 24,250
---------
83,400
---------
Communications--0.7%
Sinclair Broadcast Group, Inc (2% beginning 1/15/2011)(a) 4.875 7/15/2018 45,000 43,706
NXP Funding LLC 7.875 10/15/2014 75,000 73,875
---------
117,581
---------
Financial--6.1%
Arch Western Finance 6.750 7/1/2013 90,000 86,400
E*Trade Financial Corp. 8.000 6/15/2011 20,000 20,500
Ford Motor Credit Co. (b) 8.000 12/15/2016 100,000 95,785
Ford Motor Credit Corp. 5.625 10/1/2008 55,000 54,289
General Motors Acceptance Corp. 7.750 1/19/2010 215,000 206,938
Leucadia National Corp. 7.000 8/15/2013 60,000 58,800
Leucadia National Corp. 144A 7.125 3/15/2017 35,000 33,950
SLM Corp. 4.500 7/26/2010 99,000 91,537
SLM Corp. 5.125 8/27/2012 95,000 84,094
---------
1,003,521
---------
Industrial--73.3%
Airgas, Inc. 6.250 7/15/2014 130,000 124,800
Alliance One International 11.000 5/15/2012 40,000 43,900
Allied Waste North America 6.875 6/1/2017 125,000 120,937
AMC Entertainment, Inc. 8.000 3/1/2014 130,000 127,400
American Axle & MFG, Inc. 7.875 3/1/2017 105,000 103,162
ANR Pipeline Co. 7.000 6/1/2025 10,000 10,707
Aramark Corp. 144A (c) 8.856 2/1/2015 35,000 35,525
Aramark Corp. 144A 8.500 2/1/2015 65,000 66,137
Belden CDT, Inc. 144A 7.000 3/15/2017 30,000 29,550
Bombardier, Inc. 144A 8.000 11/15/2014 100,000 103,500
BPC Holding Corp.(b)(c) 9.235 9/15/2014 15,000 15,150
BPC Holding Corp. (b) 8.875 9/15/2014 80,000 81,000
Cablevision Systems Corp. (c) 9.820 4/1/2009 150,000 156,750
Case Corp. (b) 7.250 1/15/2016 95,000 96,425
CCH I Holdings LLC (b) 9.920 4/1/2014 115,000 106,375
CCM Merger, Inc. 144A 8.000 8/1/2013 75,000 74,625
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial (continued)
Chattem, Inc. 7.000% 3/1/2014 USD 90,000 $ 89,775
Chesapeake Energy Corp. (b) 7.625 7/15/2013 20,000 20,500
Chesapeake Energy Corp. 7.500 6/15/2014 125,000 126,562
Cimarex Energy Co. 7.125 5/1/2017 105,000 102,375
Colorado Interstate Gas 6.800 11/15/2015 115,000 118,268
Columbus McKinnon Corp. 8.875 11/1/2013 40,000 42,300
Community Health Systems 144A 8.875 7/15/2015 150,000 152,062
Constellation Brands, Inc. 144A 7.250 5/15/2017 40,000 39,000
Corrections Corp. of America 7.500 5/1/2011 70,000 70,962
Corrections Corp. of America 6.250 3/15/2013 85,000 81,600
Cricket Communications I 9.375 11/1/2014 75,000 77,437
Crown Americas, Inc. 7.625 11/15/2013 262,000 264,620
Crown Americas, Inc. 7.750 11/15/2015 105,000 105,525
CSC Holdings, Inc. (b) 8.125 7/15/2009 55,000 56,100
Davita, Inc. 6.625 3/15/2013 60,000 58,575
Davita, Inc. 7.250 3/15/2015 15,000 14,812
Dean Foods Co. 7.000 6/1/2016 45,000 42,975
Del Monte Corp. 8.625 12/15/2012 95,000 98,087
Dex Media West LLC/Dex Media Finance Co. 8.500 8/15/2010 50,000 51,813
Dex Media West LLC/Dex Media Finance Co. 9.875 8/15/2013 28,000 29,960
Dex Media, Inc. 8.000 11/15/2013 30,000 30,450
Digicel Group LTD. 144A (h) 9.125 1/15/2015 100,000 98,625
Dole Foods Co. 8.625 5/1/2009 55,000 54,863
Douglas Dynamics LLC 144A 7.750 1/15/2012 105,000 99,750
DRS Technologies, Inc. 6.625 2/1/2016 15,000 14,475
Dynegy Holdings Inc. 8.750 2/15/2012 50,000 51,500
Dynegy Holdings, Inc. 8.375 5/1/2016 100,000 97,750
Education Management LLC 8.750 6/1/2014 65,000 66,625
Education Management LLC (b) 10.250 6/1/2016 45,000 47,363
Esterline Technologies 144A 6.625 3/1/2017 85,000 82,025
Esterline Technologies Corp. 7.750 6/15/2013 60,000 60,600
Felcor Lodging LP (c) 7.260 12/1/2011 75,000 75,000
Fontainebleau Las Vegas 144A 10.250 6/15/2015 50,000 49,250
Ford Motor Co. (b) 6.500 8/1/2018 105,000 85,050
Ford Motor Co. (b) 7.450 7/16/2031 210,000 167,738
Ford Motor Credit Co. 7.375 10/28/2009 45,000 44,670
Freeport-McMoran C&G 8.250 4/1/2015 25,000 26,375
Freeport-McMoRan Copper & Gold, Inc. (b) 6.875 2/1/2014 85,000 85,956
Freescale Semiconductor 144A 8.875 12/15/2014 145,000 138,475
Gaylord Entertainment Co. 8.000 11/15/2013 140,000 141,925
General Motors (b) 7.200 1/15/2011 100,000 96,125
General Motors Acceptance Corp. (b) 6.125 1/22/2008 75,000 74,989
Georgia-Pacific Corp. 8.125 5/15/2011 75,000 76,594
Georgia-Pacific Corp. 144A 7.000 1/15/2015 110,000 105,875
Georgia-Pacific Corp. 8.000 1/15/2024 95,000 92,150
Gibraltar Industries, Inc. 8.000 12/1/2015 45,000 44,100
Goodman Global Holding 7.875 12/15/2012 25,000 24,750
Goodman Global Holdings (c) 8.360 6/15/2012 40,000 40,300
Goodyear Tire & Rubber Co. 144A (b)(d) 8.625 12/1/2011 85,000 89,463
Goodyear Tire & Rubber Co. (b) 9.000 7/1/2015 36,000 38,790
HCA, Inc. 8.750 9/1/2010 40,000 41,750
HCA, Inc. 7.875 2/1/2011 125,000 126,875
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- --------------------------------------------------------------------------------------------------------------------------------
Industrial (continued)
HCA, Inc. 144A 9.125% 11/15/2014 USD 25,000 $ 26,281
HCA, Inc. 144A 9.250 11/15/2016 105,000 111,825
Hertz Corp. 10.500 1/1/2016 25,000 27,625
Host Marriott REIT 7.125 11/1/2013 175,000 174,781
Intelsat Bermuda Ltd 11.250 6/15/2016 180,000 201,600
Intelsat Sub Holding Co. Ltd 8.625 1/15/2015 90,000 92,250
INVISTA 144A 9.250 5/1/2012 105,000 111,038
J.B. Poindexter & Co. 8.750 3/15/2014 80,000 74,000
Jefferson Smurfit Corp. US 8.250 10/1/2012 10,000 9,925
Kabel Deutschland GmbH 10.625 7/1/2014 100,000 109,500
Kansas City Southern Mexico 144A 7.625 12/1/2013 50,000 49,875
Kansas City Southern Railway 7.500 6/15/2009 50,000 49,625
L-3 Communications Corp. (b) 6.125 7/15/2013 100,000 94,500
Lamar Media Corp. 7.250 1/1/2013 5,000 4,988
Lamar Media Corp. 6.625 8/15/2015 20,000 18,950
Lamar Media Corp. 6.625 8/15/2015 125,000 118,438
Leslie's Poolmart 7.750 2/1/2013 110,000 109,450
Level 3 Financing, Inc. 144A (b)(c) 9.150 2/15/2015 40,000 40,000
Lyondell Chemical Co. 8.000 9/15/2014 85,000 87,338
Metropcs Wireless, Inc. 144A (h) 9.250 11/1/2014 60,000 61,950
Mueller Water Products 144A 7.375 6/1/2017 25,000 24,790
Neiman Marcus Group, Inc. 9.000 10/15/2015 35,000 37,450
Nell AF Sarl 144A 8.375 8/15/2015 150,000 143,625
Newfield Exploration Corp. 7.625 3/1/2011 145,000 148,988
Nexstar Finance, Inc. 7.000 1/15/2014 110,000 108,900
Nextel Communications, Inc. 6.875 10/31/2013 10,000 9,925
Norampac, Inc. (b) 6.750 6/1/2013 160,000 152,600
Noranda Aluminium Acquisition 144A (b) 9.360 5/15/2015 40,000 38,600
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 75,000 79,500
Owens-Brockway Glass Containers 7.750 5/15/2011 95,000 97,494
Owens-Brockway Glass Containers 8.250 5/15/2013 120,000 124,200
Peabody Energy Corp. 6.875 3/15/2013 195,000 194,025
Penn National Gaming, Inc. 6.750 3/1/2015 75,000 76,875
Plastipak Holdings, Inc. 144A 8.500 12/15/2015 115,000 119,025
Pokagon Gaming Authority 144A 10.375 6/15/2014 130,000 143,325
Psychiatric Solutions Inc. 144A 7.750 7/15/2015 100,000 98,875
Psychiatric Solutions, Inc. 7.750 7/15/2015 100,000 98,875
Qwest Communications International, Inc. (c) 8.860 2/15/2009 44,000 44,440
Qwest Corp. 7.875 9/1/2011 100,000 104,250
Qwest Corp. 7.500 10/1/2014 25,000 25,625
RBS Global & Rexnord Corp. 9.500 8/1/2014 25,000 25,625
RBS Global & Rexnord Corp. (b) 11.750 8/1/2016 65,000 69,875
Reliant Energy Inc. 7.625 6/15/2014 145,000 141,375
Residential Capital LLC 6.500 4/17/2013 67,000 64,761
RH Donnelley Corp. 8.875 1/15/2016 20,000 20,800
RH Donnelley, Inc. 10.875 12/15/2012 145,000 154,606
Rite Aid Corp. 144A Gtd. Notes (b)(h) 9.375 12/15/2015 110,000 105,600
Royal Caribbean Cruises Ltd. (b) 8.750 2/2/2011 60,000 64,820
The accompanying notes are an integral part of the financial statements.
14
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial (continued)
Russel Metals, Inc. (b) 6.375% 3/1/2014 USD 40,000 $ 38,400
Scientific Games Corp. 6.250 12/15/2012 145,000 139,381
Seneca Gaming Corp. 7.250 5/1/2012 55,000 55,756
Seneca Gaming Corp. 7.250 5/1/2012 20,000 20,275
Shingle Springs Tribal Group 144A (b) 9.375 6/15/2015 60,000 60,525
Silgan Holdings, Inc. 6.750 11/15/2013 71,000 69,403
Smithfield Foods, Inc. 7.750 5/15/2013 155,000 157,325
Southern Natural Gas Co. 7.350 2/15/2031 45,000 47,703
Speedway Motorsports, Inc. 6.750 6/1/2013 120,000 117,000
Stater Brothers Holdings 8.125 6/15/2012 55,000 55,413
Stater Brothers Holdings 144A 7.750 4/15/2015 85,000 85,213
Stena AB 7.500 11/1/2013 120,000 121,200
Stone Container Corp. 8.375 7/1/2012 85,000 85,106
Sungard Data Systems, Inc. (b) 10.250 8/15/2015 20,000 21,150
Tenet Healthcare Corp. (b) 9.875 7/1/2014 15,000 14,850
Tenet Healthcare Corp. 9.250 2/1/2015 140,000 133,000
Tenneco, Inc. (b) 8.625 11/15/2014 125,000 128,750
Terex Corp. 7.375 1/15/2014 170,000 170,000
Transcontinental Gas Pipe Line Corp. 8.875 7/15/2012 170,000 190,400
Tropicana Entertainment 144A (b) 9.625 12/15/2014 125,000 120,313
UCI Holdco, Inc. 144A (d) 12.360 12/15/2013 52,575 53,364
United Components, Inc. 9.375 6/15/2013 100,000 103,250
Vail Resorts, Inc. 6.750 2/15/2014 105,000 102,244
WCA Waste Corp. 9.250 6/15/2014 35,000 36,400
Whiting Petroleum Corp. 7.250 5/1/2013 95,000 90,250
Williams Cos., Inc. 7.875 9/1/2021 140,000 150,500
Williams Scotsman, Inc. 8.500 10/1/2015 80,000 82,600
Windstream Corp. 8.125 8/1/2013 115,000 120,175
----------
11,972,211
----------
Industrial Development--0.2%
Marquee Holdings (12.00% beginning 8/15/2009) (a)(b) 0.000 8/15/2014 50,000 43,500
----------
Media--0.6%
Idearc Inc. 8.000 11/15/2016 85,000 85,850
Level 3 Financing, Inc. (b) 9.250 11/1/2014 10,000 10,100
----------
95,950
Utilities--4.0% ----------
AES Corp. 8.875 2/15/2011 135,000 142,256
Edison Mission Energy 7.500 6/15/2013 130,000 128,700
Hertz Corp. 8.875 1/1/2014 80,000 83,400
KB Home 5.750 2/1/2014 50,000 44,000
Mirant North America LLC 7.375 12/31/2013 125,000 127,813
NRG Energy, Inc. 7.250 2/1/2014 75,000 75,188
NRG Energy, Inc. 7.375 1/15/2017 45,000 45,169
----------
646,526
----------
Total Corporate (Cost $14,293,220) 14,261,670
----------
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Master Portfolio
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Schedule of Investments -- June 30, 2007 (Unaudited)
----------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
Municipal Bonds--1.5%
Erie County NY Tob Asset Securitization Corp. 6.000% 6/1/2028 USD 45,000 $ 43,282
Tobacco Settlement Authority Iowa 6.500 6/1/2023 135,000 133,137
Tobacco Settlement Authority Michigan 7.309 6/1/2034 65,000 66,269
----------
Total Municipal Bonds (Cost $244,505) 242,688
----------
Pass thru Securities--0.8%
Global Signal Trust 2006-1 F 144A 7.036 2/15/2036 55,000 54,868
Goldman Sachs Mortgage Securities Corp., 2007 EOPL 144A (c) 6.620 3/26/2020 70,000 70,000
----------
Total Pass Thru Securities (cost $125,326) 124,868
----------
Sovereign Bonds--1.3%
Argentina Bonos (c) 5.475 8/3/2012 225,000 164,081
Republic of Argentina (c) 2.000 1/3/2010 25,000 10,819
Republic of Argentina 8.280 12/31/2033 15,054 14,527
Republic of Brazil 8.750 2/4/2025 5,000 6,200
Republic of Brazil 0.125 5/15/2027 5,000 7,050
Republic of Venezuela (c) 6.355 4/20/2011 15,000 14,550
----------
Total Sovereign Bonds (Cost $200,160) 217,227
----------
Yankee Bonds--0.9%
Ineos Group Holdings Plc 144A (b) 8.500 2/15/2016 110,000 107,525
Telenet Group Holding NV 144A (11.50% beginning 12/15/2008) (a)(d) 1.000 6/15/2014 46,000 43,470
----------
Total Yankee Bonds (Cost $148,880) 150,995
----------
Foreign Denominated--5.3%
Brazil--1.5%
Republic of Brazil (b) 2.500 1/5/2016 BRL 375,000 237,001
----------
Euro--3.8%
Central European Distribution Corp. 144A 8.000 7/25/2012 EUR 40,000 57,790
General Motors Acceptance Corp. 5.375 6/6/2011 45,000 58,410
GMAC International Finance BV 4.375 10/31/2007 105,000 141,691
Hornbach Baumarkt AG 144A 6.125 11/15/2014 5,000 6,902
Nordic Tel Co. Holdings 144A 8.250 5/1/2016 50,000 72,576
NTL Cable PLC Virgin Media Finance PLC 8.750 4/15/2014 70,000 99,001
Remy Cointreau S.A. 144A 6.500 7/1/2010 30,000 41,922
Sensata Technologies BV 9.000 5/1/2016 50,000 68,854
Telenet Communications NV 144A 9.000 12/15/2013 48,555 70,971
----------
618,117
----------
Total Foreign Demominated (Cost $752,767) 855,118
----------
TOTAL BONDS AND NOTES (Cost $15,839,748) 15,937,258
----------
Common Stock--1.0% Shares
Hong Kong--0.0% -------
Guangdong Alliance (e) HKD 9,590 --
HK Property (e) 9,590 --
----------
--
----------
The accompanying notes are an integral part of the financial statements.
16
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Value
Security Description Shares (Note 1A)
- --------------------------------------------------------------------------------------------------------------
United States--1.0%
CenterPoint Energy, Inc. (b) USD 675 $ 11,744
Felcor Lodging Trust Inc. 1,259 32,772
GenCorp., Inc. (f) 1,390 18,167
Hanover Insurance Group Inc. 400 19,516
Newfield Exploration Co. (f) 958 43,637
Psychiatric Solutions, Inc. (f) 770 27,920
Sinclair Broadcast Group, Inc. 1,200 17,064
-----------
TOTAL COMMON STOCKS (Cost $167,095) 170,820
-----------
Convertible Preferred Stock -- 1.1%
Fannie Mae 7.00% CVT Pfd (b) 400 20,738
Sovereign Capital Trust IV 4.375% CVT Pfd 3,500 162,313
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $192,950) 183,051
-----------
WARRANTS--0.0%
Republic of Argentina Warrant, 12/15/2035 (Cost $ 0) 39,306 5,758
-----------
INVESTMENT OF CASH COLLATERAL--15.6%
BlackRock Cash Strategies LLC (Cost $2,544,422) 2,544,422 2,544,422
TOTAL UNAFFILIATED INVESTMENTS (Cost $18,744,215) 18,841,309
-----------
AFFILIATED INVESTMENTS--0.2%
Dreyfus Institutional Preferred Plus Money Market (g) (Cost $24,827) 24,827
-----------
TOTAL INVESTMENTS--115.4% (Cost $18,769,042) 18,866,136
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS--(15.4%) (2,523,506)
-----------
NET ASSETS--100% $16,342,630
===========
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 $3,437,185 or 21.0% of net assets.
CVT--Convertible
BRL--Brazilian Real
EUR--Euro
HKD--Hong Kong Dollar
REIT--Real Estate Investment Trust
Pfd--Preferred
(a) Step up security; rate indicated is as of June 30, 2007.
(b) Security, or a portion there of, was on loan at June 30, 2007.
(c) Variable Rate Security; rate indicated is as of June 30, 2007.
(d) Denotes all or part of security segregated as collateral.
(e) Security valued at fair value using methods determined in good faith by or
under the direction of the Board of Trustees.
(f) Non-income producing.
(g) Affiliated money market fund.
(h) Illiquid security, at the period end, the value of these securities
amounted to $266,175 or 1.6% of net assets.
The accompanying notes are an integral part of the financial statements.
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Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007 the Portfolio held the following forward foreign currency
exchange contracts:
Local
Principal Contract Value at Amount Unrealized
Contracts to Deliver Amount Value Date June 30, 2007 to Receive Depreciation
- -------------------------------------------------------------------------------------------------------------
Euro 150,000 9/19/2007 $203,568 $200,238 $(3,330)
Euro 420,000 9/19/2007 569,990 560,057 (9,933)
-------- -------- --------
$773,558 $760,295 $(13,263)
======== ======== ========
At June 30, 2007 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)
- ------------------------------------------------------------------------------------------------------------------------------------
Barclays Global Bespoke Tranche 2.65%-4.65% Sell 3.02% 6/20/2012 125,000 USD $(14,116)
Barclays Global Bespoke Tranche 5.00%-7.00% Buy (4.80) 6/20/2017 125,000 USD (1,015)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.19) 12/20/2011 178,000 USD (375)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.37) 12/20/2016 50,000 USD (252)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.37) 12/20/2016 140,000 USD (704)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.37) 12/20/2016 90,000 USD (453)
Lehman Brothers Univision Communication, 7.85%, 7/15/2011 Sell 2.60 6/20/2010 85,000 USD (1,135)
Merrill Lynch Dow Jones ABX.HE.BBB 7%-10% year tranche Sell 2.24 8/25/2037 40,000 USD (4,925)
Merrill Lynch Dow Jones CDX.NA.IG.4 7%-10% tranche Buy (0.305) 6/20/2010 188,900 USD (1,412)
Morgan Stanley Dow Jones CDX.NA.IG.4 7%-10% tranche Buy (0.35) 6/20/2010 300,100 USD (2,624)
UBS AG Multiple Reference Entity Global tranche 0%-3% Sell 0.000 9/20/2013 500,000 USD 17,146
-------
$(9,865)
=======
The accompanying notes are an integral part of the financial statements.
18
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $2,389,575 (Note 6)):
Unaffiliated issuers, at value (Note 1A) (cost $18,744,215) $18,841,309
Affiliated issuers, at value (Note 1A) (cost $24,827)(Note 1H) 24,827
Foreign currency, at value (cost $93,637) 94,322
Interest and dividends receivable 329,005
Swap premium paid 92,776
Unrealized appreciation on swap contracts (Note 5) 17,146
Receivable for investments sold 16,511
Receivable from advisor (Note 2) 1,185
Prepaid expenses 1,992
-----------
Total assets 19,419,073
Liabilities
Collateral for securities on loan (Note 6) $2,544,422
Payable for investments purchased 254,260
Bank loan payable (Note 7) 214,000
Unrealized depreciation on swap contracts (Note 5) 27,011
Unrealized depreciation on forward foreign currency exchange contracts (Note 5) 13,263
Accrued professional fees 18,752
Accrued accounting, administration and custody fees (Note 2) 2,134
Accrued trustees' fees and expenses (Note 2) 1,509
Other accrued expenses and liabilities 1,092
----------
Total liabilities 3,076,443
-----------
Net Assets (applicable to investors' beneficial interest) $16,342,630
===========
The accompanying notes are an integral part of the financial statements.
19
Mellon Institutional Funds Master Portfolio
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Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 747,016
Dividend income from affiliated investments (Note 1H) 16,925
Security lending income, net (Note 6) 2,089
Dividend income 5,475
---------
Total investment Income 771,505
Expenses
Investment advisory fee (Note 2) $ 50,083
---------
Accounting, administration and custody fees (Note 2) 32,698
Professional fees 18,979
Trustees' fees and expenses (Note 2) 2,238
Insurance expense 595
Miscellaneous expenses 3,797
---------
Total expenses 108,390
Deduct:
Waiver of investment advisory fee (Note 2) (48,260)
---------
Net expenses 60,130
---------
Net investment income 711,375
Realized and Unrealized Gain (Loss)
Net realized gain (loss)
Investments 354,150
Swap transactions (18,049)
Foreign currency transactions and forward
foreign currency exchange transactions 5,948
---------
Net realized gain (loss) 342,049
Change in unrealized appreciation (depreciation)
Investmens (490,965)
Swap contracts (7,331)
Foreign currency translations and forward foreign currency exchange contracts (12,862)
---------
Change in net unrealized appreciation (depreciation) (511,158)
---------
Net realized and unrealized gain (loss) (169,109)
---------
Net Increase in Net Assets from Operations $ 542,266
=========
The accompanying notes are an integral part of the financial statements.
20
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 711,375 $ 1,212,645
Net realized gain (loss) 342,049 48,045
Change in net unrealized appreciation (depreciation) (511,158) 318,971
------------ ------------
Net increase (decrease) in net assets from investment operations 542,266 1,579,661
------------ ------------
Capital Transactions
Contributions 5,311,158 17,582,918
Withdrawals (16,623,108) (9,647,661)
------------ ------------
Net increase (decrease) in net assets from capital transactions (11,311,950) 7,935,257
------------ ------------
Total Increase (Decrease) in Net Assets (10,769,684) 9,514,918
Net Assets
At beginning of period 27,112,314 17,597,396
------------ ------------
At end of period $ 16,342,630 $ 27,112,314
============ ============
The accompanying notes are an integral part of the financial statements.
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Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 -------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
----------- ------ ------ ------ ------ ------
Total Return (a)(b) 2.43%(c) 8.22% 3.70% 9.56% 21.76% 4.71%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.60%(d) 0.50% 0.50% 0.50% 0.50% 0.50%
Net Investment Income (to average daily net assets)* 7.12%(d) 6.93% 6.84% 7.28% 7.79% 8.66%
Portfolio Turnover 25%(c) 53% 25% 51% 80% 130%
Net Assets, End of Period (000's omitted) $16,343 $27,112 $17,597 $56,728 $57,079 $44,144
- ---------
* 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 ratios without waivers and reimbursement would have been:
Ratios (to average daily net assets):
Expenses 1.09%(d) 1.15% 1.12% 0.76% 0.85% 0.82%
Net investment income 6.64%(d) 6.28% 6.22% 7.02% 7.44% 8.34%
(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) Total return would have been lower in the absence of expense waivers.
(c) Not annualized.
(d) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
22
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Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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, 2007 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, 2007
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
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. With respect to
any portion of the Portfolio's assets that are invested in one or more
open-end regulated investment companies ("RICs"), the Portfolio's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
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 then is 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 when required for
federal income tax purposes. Dividend income is recorded on the ex-dividend
date. 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.
23
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
C. Income taxes
The Portfolio is treated as a disregarded entity for U.S. federal income
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.
D. Foreign currency transactions
The Portfolio maintains its books and records in U.S. dollars. Investment
security valuations, other assets, and liabilities initially expressed in
foreign currencies are converted into U.S. dollars based upon current
currency exchange rates. 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. Foreign 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
the funds of the Trust or the 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 The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
I. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
24
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(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 Fund's total annual
operating expenses of the Fund and its pro rata share of the Portfolio's
expenses (excluding brokerage commissions, taxes and extraordinary
expenses) to 0.50% of the Fund's average daily net assets. Pursuant to this
agreement, for the six months ended June 30, 2007, Standish Mellon
voluntarily waived a portion of its investment advisory fee in the amount
of $48,260. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Portfolio Trust has entered into an agreement with Mellon Bank, N.A.
("Mellon Bank"), a wholly owned subsidiary of BNY Mellon 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 $32,698 during for the six months ended June 30, 2007.
The Portfolio Trust 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 earned $899 for
the six months ended June 30, 2007. See Note 6 for further details.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's and Portfolio 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, 2007 were as follows:
Purchases Sales
---------- -----------
U.S. Government Securities $ 371,950 $ 264,287
---------- -----------
Non-U.S. Government Securities $4,648,535 $14,953,376
---------- -----------
(4) Federal Taxes:
In July 2006, the FASB issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an Interpretation of FASB Statement No.
109" (the "Interpretation"). The Interpretation establishes for all
entities, including pass-through entities such as the Portfolio, a minimum
threshold for financial statement recognition of the benefit of positions
taken in filing tax returns (including whether an entity is taxable in a
particular jurisdiction), and requires certain expanded tax disclosures.
Adoption of FIN 48 is required for fiscal years beginning after December
15, 2006 and is to be applied to all open tax years as of the effective
date. Management has evaluated the implications of FIN 48 and determined
that it will not have any impact on the financial statements.
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $18,769,042
===========
Gross unrealized appreciation 315,311
Gross unrealized depreciation (218,217)
-----------
Net unrealized appreciation (depreciation) $ 97,094
===========
25
Mellon Institutional Funds Master Portfolio
Standish Mellon High Yield Bond Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(5) Financial Instruments:
In general, the following instruments are used for hedging purposes as
described below. However, these instruments may also be used to seek to
enhance potential gain in circumstances where hedging is not involved.
The Portfolio may trade the following financial instruments with
off-balance sheet risk:
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 appreciation or depreciation 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, 2007, the Portfolio held forward currency exchange contracts.
See the Schedule of Investments for further details.
Swap agreements
The Portfolio may enter into swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Portfolio may enter into interest rate, 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, the 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. The Portfolio earns interest on cash
set aside as collateral. 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
appreciation or depreciation 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 appreciation/depreciation in
the Statement of Operations. Net payments of interest on interest rate swap
agreements, if any, are included as part of realized appreciation and
depreciation. 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, 2007, the Portfolio held open swap agreements. See the Schedule
of Investments for further details.
26
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 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, 2007
and earned interest on the invested collateral of $62,846 of which, $60,757
was rebated to borrowers or paid in fees. At June 30, 2007, the Portfolio
had securities valued at $2,389,575 on loan. See the Schedule of
Investments for further detail on the security positions on loan and
collateral held.
(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. The Fund/Portfolio and funds
also pay an annual renewal fee, computed at a rate of 0.020 of 1% of the
committed amount and allocated ratably to the participating
funds/portfolios. For the six months ended June 30, 2007, the expense
allocated to the Portfolio was $1,872. The facility fee and interest
expense is aggregated with miscellaneous expenses on the Statement of
Operations.
For the six months ended June 30, 2007, the Portfolio had average
borrowings outstanding of $989,750 for a total of twenty days and incurred
$1,429 of interest expense. At June 30, 2007 the Portfolio had borrowings
outstanding.
(8) Subsequent Event:
On June 22, 2007, the Board of Trustees of the Trust considered and
approved a proposal to liquidate and dissolve the Fund. If the shareholders
of record of the Fund approve these actions at a meeting anticipated to be
held in late September 2007, the Fund will be liquidated and dissolved as
soon as practicable thereafter. It is currently expected that the
liquidation and dissolution of the Fund would be effective on or before the
close of business on October 26, 2007.
27
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 2007)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming (66) Trustee Trustee since Chairman Emeritus, 32 None Fund: $375
61 Meadowbrook Road 11/3/1986 Decision Resources, Inc. Portfolio: $427
Weston, MA 02493 ("DRI") (biotechnology
9/30/40 research and consulting
firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Benjamin M. Friedman (63) Trustee Trustee since William Joseph Maier, 32 None Fund: $375
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $427
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt (72) Trustee Trustee since Trustee, Mertens 32 None Fund: $375
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $427
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street 32 None Fund: $375
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $441
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, Since 2003 President and Chief 32 None $0
The Boston Company President Operating Officer of
Asset Management, LLC and Chief The Boston Company
One Boston Place Executive Asset Management, LLC;
Boston, MA 02108 Officer formerly Senior Vice
7/24/65 President and Chief
Operating Officer,
Mellon Asset Management
("MAM") and Vice
President and Chief
Financial Officer, MAM
* Effective August 10, 2007, Mr. Sheppard resigned as Trustee, President and
Chief Executive Officer of the Trust.
28
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations,
BNY Mellon Asset Management and Secretary BNY 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 (42) Vice President Vice President Vice President and Mutual Funds Controller,
BNY Mellon Asset Management and Treasurer since 1999; BNY Mellon Asset Management; formerly Assistant
One Boston Place Treasurer Vice President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY 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
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset Management and
BNY Mellon Asset Management Compliance Chief Compliance Officer, Mellon Optima L/S Strategy
One Boston Place Officer Fund, LLC; formerly Director, Blackrock, Inc., Senior
Boston, MA 02108 Vice President, State Street Research & Management
4/8/57 Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
29
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[LOGO]Mellon
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6943SA0607
[LOGO]Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
International Fixed Income Fund
- --------------------------------------------------------------------------------
June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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, 2007 to June 30, 2007).
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 expense
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, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
- --------------------------------------------------------------------------------
Actual $1,000.00 $ 998.50 $3.37
Hypothetical (5% return
per year before expenses) $1,000.00 $1,021.42 $3.41
- --------
+ Expenses are equal to the Fund's annualized expense ratio of 0.68%,
multiplied by the average account value over the period, multiplied by
181/365 (to reflect the one-half year period).
3
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Portfolio Information as of June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- -------------------------------------
Percentage of
Quality Breakdown Investments
- -------------------------------------
AAA and higher 74.2%
AA 7.1
A 7.4
BBB 5.8
BB 2.5
B 3.0
-----
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) 5.000% 7/12/2037 10.1%
Deutsche Bundesrepublik 5.000 7/4/2011 8.8
Deutsche Republic 4.750 7/4/2034 6.3
Japan Government 1.100 12/10/2016 5.5
Deutsche Bundesrepublik 3.250 4/17/2009 5.4
Swedish Government 5.250 3/15/2011 4.7
Development Bank of Japan 1.700 9/20/2022 3.6
United Kingdom Gilt 8.000 9/27/2013 3.2
United Kingdom Gilt 4.750 6/7/2010 2.6
United Kingdom Gilt 5.000 3/7/2012 2.4
----
52.6%
*Excluding short-term investments and investment of cash collateral.
Percentage of
Economic Sector Allocation Investments
- -------------------------------------------------
ABS/CMBS/CMO 6.2%
Corporate 16.3
Emerging Markets 2.9
Government/Agency 61.0
Mortgage Pass Thru 11.0
Cash & Equivalents 2.6
-----
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
4
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--108.3%
BONDS AND NOTES--96.2%
Asset Backed--3.4%
Americredit Prime Automobile Receivables 2007-1 A3 5.270% 11/8/2011 USD 975,000 $ 972,172
Capital Auto Receivables Asset Trust 2006-2 B 5.070 12/15/2011 320,000 315,761
Chase Issuance Trust 2007-A1 A1 (a) 5.340 3/15/2013 660,000 659,993
Home Equity Mortgage Trust 2006-5 A1 5.500 1/25/2037 335,199 334,860
JP Morgan Alternative Loan Trust 2006-S4 A6 5.710 12/25/2036 440,000 429,308
USAA Auto Owner Trust 2007-1 A3 5.430 10/17/2011 655,000 655,000
---------
Total Asset Backed (Cost $3,384,748) 3,367,094
---------
Collateralized Mortgage Bonds--3.4%
Government National Mortgage Association 2004-23 B 2.946 3/16/2019 550,209 528,967
Government National Mortgage Association 2005-76 A 3.963 5/16/2030 554,718 538,560
Government National Mortgage Association 2005-79 A 3.998 10/16/2033 544,000 529,698
Government National Mortgage Association 2006-67 A 3.947 11/16/2030 950,039 918,949
Government National Mortgage Association 2006-68 A 3.888 7/16/2026 473,282 457,404
Government National Mortgage Association 2007-34 A 4.272 11/16/2026 395,000 384,508
---------
Total Collateralized Mortgage Obligations (Cost $3,369,512) 3,358,086
---------
Corporate--8.7%
Banking--2.8%
Bank of America Capital Trust XIII (a) 5.760 6/15/2049 330,000 323,834
BES Finance Ltd. (a) 4.500 3/16/2049 180,000 227,951
Chevy Chase Bank FSB 6.875 12/1/2013 380,000 378,100
GMAC LLC (a) 6.610 5/15/2009 270,000 269,989
ICICI Bank Ltd. 144A (a)(g) 6.375 4/30/2022 360,000 342,088
SMFG Preferred Capital 144A (a) 6.078 7/25/2049 420,000 404,044
Sovereign Bancorp (a) 5.590 3/23/2010 455,000 455,133
Santander Perpetual (a) 4.375 12/10/2049 180,000 229,528
Suntrust Preferred Capital I (a) 5.853 6/15/2049 190,000 188,853
---------
2,819,520
---------
Communications--0.2%
Qwest Corp. (a) 8.610 6/15/2013 170,000 184,450
---------
Consumer Cyclical--0.4%
Delhaize America, Inc. 144A 6.500 6/15/2017 400,000 401,518
---------
Finance--1.2%
Capmark Financial Group 144A 5.875 5/10/2012 250,000 246,724
ERP Operating LP 5.750 6/15/2017 285,000 279,402
SLM Corp. 4.500 7/26/2010 495,000 457,684
Willis North America 6.200 3/28/2017 235,000 230,111
---------
1,213,921
---------
Industrials--2.8%
Coventry Health Care, Inc. 5.950 3/15/2017 195,000 190,223
Georgia-Pacific Corp. 144A (g) 7.000 1/15/2015 225,000 216,563
Host Hotels and Resorts LP 6.875 11/1/2014 225,000 222,469
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 210,000 222,600
Rogers Wireless, Inc. 7.500 3/15/2015 255,000 273,158
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------
Industrials (continued)
SabMiller PLC 144A (a) 5.660% 7/1/2009 USD 675,000 $ 676,252
Stater Brothers Holdings 144A 7.750 4/15/2015 95,000 95,238
Time Warner Cable, Inc. 144A 5.400 7/2/2012 485,000 476,282
Windstream Corp. 8.125 8/1/2013 305,000 318,725
Windstream Corp. 8.625 8/1/2016 95,000 100,463
---------
2,791,973
---------
Public Utility--0.7%
National Grid PLC 6.300 8/1/2016 465,000 473,486
TXU Electric Delivery 144A (a) 5.735 9/16/2008 210,000 210,069
---------
683,555
---------
Utilities--0.6%
Nisource Finance Corp. (a) 5.930 11/23/2009 580,000 580,902
---------
Total Corporate Bonds (Cost $8,638,281) 8,675,839
---------
Sovereign Bonds--0.7%
Republic of Argentina 7.000 9/12/2013 490,000 466,603
Republic of South Africa 5.875 5/30/2022 280,000 273,700
----------
Total Sovereign Bonds (Cost $767,018) 740,303
----------
U.S. Treasury Obligations--1.2%
U.S. Treasury Notes 4.875 6/30/2012 725,000 722,196
U.S. Treasury Notes 4.000 2/15/2015 500,000 468,203
----------
Total U.S. Treasury Obligations (Cost $1,188,482) 1,190,399
----------
Foreign Denominated--66.8%
Brazil--1.0%
Republic of Brazil (b) 6.575 1/5/2016 BRL 1,575,000 995,403
----------
Egypt--0.5%
Egypt CLN 144A 5.695 6/30/2007 EGP 2,775,000 488,317
Euro--31.0% ----------
Autostrade SpA (a) 4.585 6/9/2011 EUR 500,000 682,227
Bombardier, Inc. 5.750 2/22/2008 245,000 333,241
Bundesobligation 3.250 4/17/2009 3,900,000 5,168,472
Citigroup, Inc. (a) 4.272 6/3/2011 675,000 915,085
Deutsche Bundesrepublik 5.000 7/4/2011 6,125,000 8,425,275
Deutsche Bundesrepublik 4.250 1/4/2014 1,190,000 1,582,667
Deutsche Bundesrepublik 3.500 1/4/2016 800,000 1,003,075
Deutsche Cap Trust IV (a) 5.330 9/29/2049 290,000 393,271
Deutsche Republic 4.750 7/4/2034 4,410,000 5,999,291
FCE Bank PLC EMTN (a) 5.164 9/30/2009 1,495,000 1,992,983
Hellenic Republic Government Bond 3.700 7/20/2015 670,000 845,371
MPS Capital Trust I (a) 7.990 2/7/2049 550,000 814,117
Netherlands Government Bond 4.000 1/15/2037 1,425,000 1,703,856
Owens-Brockway Glass Containers 6.750 12/1/2014 210,000 285,635
Sogerim 7.250 4/20/2011 195,000 282,946
Telefonica Europe BV 5.125 2/14/2013 295,000 399,517
----------
30,827,029
Japan--17.4% ----------
Development Bank of Japan 1.600 6/20/2014 JPY 280,000,000 2,265,657
Development Bank of Japan 1.700 9/20/2022 448,000,000 3,480,146
Dexia Municipal Agency 0.800 5/21/2012 152,000,000 1,190,929
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ------------------------------------------------------------------------------------------------------------------------------
Japan (continued)
European Investment Bank 1.400% 6/20/2017 JPY 185,700,000 $ 1,445,331
European Investment Bank (g) 1.900 1/26/2026 110,000,000 851,554
Japan Finance Corp. 1.350 11/26/2013 234,000,000 1,872,563
Japan Government 1.000 12/20/2012 118,000,000 932,778
Japan Government 1.100 12/10/2016 663,000,000 5,288,843
-----------
17,327,801
-----------
Mexico--1.4%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 14,700,000 1,386,631
-----------
Sweden--4.5%
Swedish Government 5.250 3/15/2011 SEK 30,000,000 4,500,878
-----------
United Kingdom--11.0%
Barclays Bank PLC (a) 6.000 12/15/2049 GBP 240,000 441,508
Bat International Finance PLC 6.375 12/12/2019 155,000 304,035
Deutsche Telekom International Finance BV 7.125 9/26/2012 305,000 626,740
HBOS Capital Funding LP (a) 6.461 11/29/2049 155,000 306,432
Transco Holdings PLC 7.000 12/16/2024 140,000 310,188
United Kingdom Gilt 4.750 6/7/2010 1,280,000 2,497,573
United Kingdom Gilt 5.000 3/7/2012 1,200,000 2,340,810
United Kingdom Gilt 8.000 9/27/2013 1,350,000 3,036,682
United Kingdom Gilt 5.000 9/7/2014 335,000 648,532
United Kingdom Gilt 4.250 6/7/2032 275,000 499,026
-----------
11,011,526
-----------
Total Foreign Denominated (Cost $66,566,574) 66,537,585
-----------
Pass Thru Securities--12.0%
Agency Pass Thru--9.7%
FNMA (TBA) (c) 5.000 7/12/2037 USD 10,300,000 9,649,813
Non-Agency Pass Thru Securities--2.3% -----------
Bear Stearns Commercial Mortgage Securities 2006-PW14 AAB 5.171 12/11/2038 1,125,000 1,087,014
Crown Castle Towers 2006-1A D 144A 5.772 11/15/2036 210,000 206,454
First Union-Chase Commercial Mortgage 1999-C2G 5.950 6/15/2031 427,582 429,864
Goldman Sachs Mortgage Securities Corp., Cl. L 144A (a) 6.620 3/6/2020 360,000 360,000
Morgan Stanley Capital I 2006-IQ12 A1 5.257 12/15/2043 261,170 259,393
-----------
2,342,725
-----------
Total Pass Thru (Cost $11,951,885) 11,992,538
-----------
TOTAL BONDS AND NOTES (Cost $95,866,500) 95,861,844
-----------
PURCHASE OPTIONS--0.0% Notional Amount
----------------
Call Options
Dow Jones CDX IG8 5 Year 137,000 16,029
U.S. Treasury 10 Year Note 46,000 28,031
-----------
TOTAL PURCHASED OPTIONS (Cost $40,379) 44,060
-----------
SHORT-TERM INVESTMENTS--11.8% Rate Maturity Par Value
---- -------- ---------
U.S. Treasury Bill--0.2%
U.S. Treasury Bill (d) (e) (Cost $193,299) 4.610 9/6/2007 195,000 193,329
-----------
Federal Agency Bond--11.6%
FNMA Discount Note (e) 5.120 7/20/2007 9,700,000 9,675,265
FNMA Discount Note (e) 5.130 8/1/2047 1,900,000 1,891,925
-----------
Total Federal Agency Bonds (Cost $11,563,745) 11,567,190
-----------
TOTAL SHORT-TERM INVESTMENTS (Cost $11,757,044) 11,760,519
-----------
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Value
Security Description Shares (Note 1A)
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL--0.3%
BlackRock Cash Strategies L.L.C (Cost $331,200) 331,200 $ 331,200
------------
TOTAL UNAFFILIATED INVESTMENTS (Cost $107,995,123) 107,997,623
------------
AFFILIATED INVESTMENTS -- 2.1%
Dreyfus Institutional Preferred Plus
Money Market Fund (f) (Cost $2,056,580) 2,056,580 2,056,580
------------
TOTAL INVESTMENTS--110.4% (Cost $110,051,703) 110,054,203
------------
LIABILITIES IN EXCESS OF OTHER ASSETS--(10.4%) (10,328,168)
------------
NET ASSETS--100% $ 99,726,035
============
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 $4,346,149 or 4.4% of net assets.
CLN--Credit Link Note
BRL--Brazilian Real
EGP--Egyptian Pound
EMTN--Euro Medium Term Note
EUR--Euro
GBP--British Pound
JPY--Japanese Yen
MXN--Mexican New Peso
MYR--Malaysian Ringet
NZD--New Zealand Dollar
SEK--Swedish Krona
THB--Thai Baht
(a) Variable Rate Security; rate indicated is as of June 30, 2007.
(b) Security, or a portion of thereof, was on loan at June 30, 2007.
(c) Delayed delivery security.
(d) Denotes all or part of security segregated as collateral.
(e) Rate noted is yield to maturity.
(f) Affiliated money market fund.
(g) Illiquid security. At period end, the value of these securities amounted
to $1,410,205 or 1.4% of net assets.
At June 30, 2007 the Fund held the following futures contracts:
Unrealized
Underlying Face Appreciation/
Contract Position Expiration Date Amount at Value (Depreciation)
- ----------------------------------------------------------------------------------------------------------------------------
U.S. 2 Year Treasury (103 Contracts) Long 9/28/2007 $20,989,469 $(22,722)
U.S. 5 Year Treasury (4 Contracts) Long 9/28/2007 416,313 680
U.S. 10 Year Treasury (78 Contracts) Short 9/19/2007 8,244,844 (50,160)
U.S. Long Bond CBT (32 Contracts) Short 9/19/2007 3,448,000 35,641
Euro--Bobl (7 Contracts) Short 9/6/2007 1,004,886 3,714
Euro--Bund (53 Contracts) Long 9/6/2007 7,944,120 (43,130)
--------
$(75,977)
========
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007, the Fund held the following forward exchange contracts:
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Deliver Amount Value Date June 30, 2007 to Receive (Depreciation)
- --------------------------------------------------------------------------------------------------------
Brazilian Real 1,840,000 7/9/2007 $ 952,943 $ 940,936 $ (12,007)
Canadian Dollar 1,700,000 9/19/2007 1,600,670 1,592,894 (7,776)
Euro 400,000 9/19/2007 542,848 540,172 (2,676)
Euro 1,430,000 9/19/2007 1,940,682 1,906,047 (34,635)
Euro 18,690,000 9/19/2007 25,364,579 24,949,655 (414,924)
Euro 2,380,000 9/19/2007 3,229,946 3,173,659 (56,287)
Euro 2,240,000 9/19/2007 3,039,950 3,013,853 (26,097)
Euro 10,101 7/3/2007 13,670 13,646 (24)
British Pounds 5,666,000 9/19/2007 11,362,781 11,135,690 (227,091)
Icelandic Krona 59,450,000 9/19/2007 937,457 926,893 (10,564)
Icelandic Krona 15,500,000 9/19/2007 244,417 241,471 (2,946)
Japanese Yen 895,250,000 9/19/2007 7,352,410 7,330,646 (21,764)
Japanese Yen 332,380,000 9/19/2007 2,729,734 2,722,998 (6,736)
Japanese Yen 936,060,000 9/19/2007 7,687,570 7,667,972 (19,598)
Mexican Peso 15,180,000 9/19/2007 1,405,488 1,397,003 (8,485)
Swedish Krona 5,260,000 9/19/2007 772,544 751,107 (21,437)
Swedish Krona 27,670,000 9/19/2007 4,063,932 3,949,810 (114,122)
South African Rand 3,335,000 7/9/2007 472,951 466,238 (6,713)
----------- ----------- -----------
$73,714,572 $72,720,690 $ (993,882)
=========== =========== ===========
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Receive Amount Value Date June 30, 2007 to Deliver (Depreciation)
- ----------------------------------------------------------------------------------------------------------
Australian Dollar 1,140,000 9/19/2007 $ 964,337 $ 954,693 $ 9,644
Brazilian Real 1,840,000 7/9/2007 952,942 960,083 (7,141)
Brazilian Real 940,000 7/9/2007 486,829 492,662 (5,833)
Canadian Dollar 1,480,000 9/19/2007 1,393,525 1,394,293 (768)
Columbian Peso 889,400,000 7/9/2007 450,276 474,600 (24,324)
Euro 10,000 9/19/2007 13,571 13,545 26
Indonesian Rupiah 4,156,200,000 7/9/2007 459,841 474,723 (14,882)
Indian Rupee 19,190,000 7/9/2007 473,583 473,827 (244)
Icelandic Krona 15,500,000 9/19/2007 244,417 243,580 837
Icelandic Krona 59,450,000 9/19/2007 937,458 939,179 (1,721)
South Korean Won 438,750,000 9/19/2007 476,456 474,119 2,337
Malaysian Ringgit 1,700,000 9/19/2007 494,851 496,640 (1,789)
Norwegian Krone 5,860,000 9/19/2007 995,503 963,839 31,664
Norwegian Krone 5,630,000 7/19/2007 955,459 925,166 30,293
Philippines Peso 23,810,000 9/19/2007 514,949 519,302 (4,353)
Turkish Lira 645,000 7/9/2007 489,846 486,646 3,200
South African Rand 3,335,000 7/9/2007 472,951 468,202 4,749
----------- ----------- -----------
$10,776,794 $10,755,099 $ 21,695
=========== =========== ===========
The Fund held the following cross currency contracts at June 30, 2007:
Value at In Value at Contract Unrealized
Contracts to Deliver June 30, 2007 Exchange for June 30, 2007 Value Date Depreciation
- ----------------------------------------------------------------------------------------------------------------
Icelandic Krona $ 263,025 Euro $ 261,485 9/19/2007 $ (1,540)
Euro 265,273 Icelandic Krona 263,024 9/19/2007 (2,249)
---------- ---------- ----------
$ 528,298 $ 524,509 $ (3,789)
========== ========== ==========
The accompanying notes are an integral part of the financial statements.
9
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007, the Fund held the following written option contracts:
Written Call Options Counterparty Strike Price Expiration Date Notional Amount Premium Value
- ------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX IG8 5 Year
credit default swap Lehman Brothers 0.349 September 2007 $ 274,000 $ 28,770 $12,522
========= ======== =======
Written Put Options Strike Price Expiration Date Contracts Premium Value
- ------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury 10 Year Note 101 August 2007 46 $ 8,516 $1,437
===== ======= ======
At June 30, 2007, 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)
- --------------------------------------------------------------------------------------------------------------------------------
Barclays Global Bespoke Tranche 2.65%-4.65% Sell 3.02% 6/20/2012 1,420,000 USD $(107,486)
Barclays Global Bespoke Tranche 5.00%-7.00% Buy (4.80) 6/20/2017 950,000 USD (7,713)
Bear Stearns & Co. ConocoPhilips, 4.750%, 10/15/2012 Buy (0.31) 6/20/2010 1,055,000 USD (7,049)
Bear Stearns & Co. Nucor, 4.875%, 10/1/2012 Buy (0.40) 6/20/2010 494,000 USD (4,134)
Citibank Altria, 7.000%, 11/4/2013 Buy (0.27) 12/20/2011 1,390,000 USD (970)
Citibank Southern California Tobacco,
5.000%, 6/1/2037 Sell 1.35 12/20/2011 695,000 USD (6,323)
Citibank AT&T, 5.875%, 8/15/2015 Buy (0.48) 3/20/2017 1,200,000 USD (3,505)
Citibank Northern Tobacco, 5.000%, 6/1/2046 Sell 1.35 12/20/2011 695,000 USD (6,651)
Deutsche Bank Kraft Foods, 5.625%, 11/1/2011 Buy (0.53) 6/20/2017 460,000 USD 4,507
Goldman, Sachs & Co. Autozone, 5.875%, 10/15/2012 Buy (0.62) 6/20/2017 1,450,000 USD 3,969
JPMorgan Bear Stearns & Co., 5.300%, 10/30/2015 Buy (0.51) 6/20/2012 475,000 USD (816)
JPMorgan Citigroup, 7.250%, 10/1/2010 Buy (0.22) 6/20/2012 475,000 USD (2,572)
JPMorgan Dow Jones CDX.NA.IG.7 Index Buy (0.65) 12/20/2016 510,000 USD (2,680)
JPMorgan France Telecom, 7.250%, 1/28/2013 Sell 0.66 12/20/2015 475,000 EUR 13,346
JPMorgan Genworth Financial, 5.750%, 6/15/2014 Buy (0.30) 6/20/2012 475,000 USD (1,074)
JPMorgan HSBC Finance, 5.250%, 1/14/2011 Buy (0.28) 6/20/2012 475,000 USD (2,714)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.19) 12/20/2011 1,895,000 USD (3,928)
JPMorgan Kimberly Clark, 6.875%, 2/15/2014 Buy (0.19) 12/20/2011 1,895,000 USD (3,928)
JPMorgan Lehman Brothers, 6.625%, 1/18/2012 Buy (0.51) 6/20/2012 475,000 USD (3,002)
JPMorgan Wells Fargo & Co., 5.555%, 10/28/2015 Buy (0.18) 6/20/2012 475,000 USD (1,487)
UBS AG iTraxx Europe Series Version 1 Sell 0.40 6/20/2011 1,400,000 EUR 13,569
----------
$(130,641)
==========
Unrealized
Interest Rate Swaps Reference Floating Expiration Notional Appreciation/
Counterparty Entity Rate Index Fixed Rate Date Amount (Depreciation)
- -------------------------------------------------------------------------------------------------------------------------
JPMorgan JPY-6 Month Yenibor Receive 1.3600% 1/19/2012 595,000,000 JPY $ (32,392)
JPMorgan JPY-6 Month Yenibor Pay 2.0750 7/28/2016 304,000,000 JPY 29,196
JPMorgan MYR--6 Month Kilbor Pay 4.1600 10/31/2011 1,659,613 MYR 6,594
JPMorgan NZD--3 Month Libor Receive 8.0475 6/21/2012 2,210,000 NZD 1,575
JPMorgan THB--6 Month Bibor Pay 5.1800 11/2/2011 16,744,000 THB 22,775
Morgan Stanley NZD--3 Month Libor Receive 7.8750 5/18/2010 5,900,000 NZD (29,422)
UBS AG JPY-6 Month Yenibor Pay 0.8775 5/11/2008 1,336,000,000 JPY (1,689)
UBS AG JPY-6 Month Yenibor Receive 2.5120 6/6/2026 326,000,000 JPY 20,437
UBS AG SEK--6 Month Stibor Pay 4.2900 6/27/2016 16,185,000 SEK (112,981)
----------
$ (95,907)
==========
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007, the Fund held the following forward volatility options:
Expiration Notional Unrealized
Counterparty Description Date Amount Depreciation
- ------------------------------------------------------------------------------------------------------------------------------
JPMorgan OTC contract to purchase a 1 year expiration straddle (call
and put) on a USD 10 Year Fixed/Floating interest rate swap
on 10/3/2007 for a premium of 4.37% of notional. The option
strikes will be determined on the expiration date of the
foward agreement using the 10 Year USD interest rate swap
rate, 1 year forward. 10/3/2007 6,410,000 (3,489)
UBS AG OTC contract to purchase a 1 year expiration straddle (call
and put) on a USD 10 Year Fixed/Floating interest rate swap
on 9/21/2007 for a premium of 4.385% of notional. The option
strikes will be determined on the expiration date of the
foward agreement using the 10 Year USD interest rate swap
rate, 1 year forward. 9/21/2007 7,350,000 (3,794)
-------
$(7,283)
=======
Percent of
Country Allocation Investments
- --------------------------------------------------------------------------------
Argentina 0.4%
Belgium 0.4
Brazil 0.9
Canada 0.6
Denmark 0.2
Egypt 0.4
France 1.1
Germany 21.1
Greece 0.8
India 0.3
Italy 1.6
Japan 12.9
Luxemburg 2.1
Mexico 1.3
Netherlands 1.5
South Africa 0.2
Spain 0.6
Sweden 4.1
U.K. 12.3
U.S. 37.2
------
100.0%
The accompanying notes are an integral part of the financial statements.
11
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities (including securities on loan, valued at $303,360) (Note 7):
Unaffiliated issuers, at value (Note 1A) (cost $107,995,123) $107,997,623
Affiliated issuers, at value (Note 1A) (cost $2,056,580) 2,056,580
Foreign currency, at value (cost $653,187) 657,754
Receivable for investments sold 2,057,380
Interest and dividends receivable 1,422,533
Unrealized appreciation on swap contracts (Note 6) 115,968
Unrealized appreciation on forward currency exchange contracts (Note 6) 82,750
Receivable for Fund shares sold 6,783
Swap premiums paid (Note 6) 3,726
Prepaid expenses 9,451
------------
Total assets 114,410,548
Liabilities
Payable for investments purchased $ 12,794,110
Unrealized depreciation on forward currency exchange contracts (Note 6) 1,058,726
Unrealized depreciation on swap contracts (Note 6) 342,516
Unrealized depreciation on forward volatility options 7,283
Collateral for securities on loan (Note 7) 331,200
Payable for variation margin on open futures contracts (Note 6) 50,759
Accrued professional fees 39,837
Payable for Fund shares redeemed 19,285
Options written, at value (premium received $37,286) (Note 6) 13,959
Accrued accounting, administration and custody fees (Note 2) 11,046
Accrued administration fee (Note 2) 4,478
Accrued shareholders reporting expense (Note 2) 3,529
Accrued trustees' fees and expenses (Note 2) 2,971
Accrued chief compliance officer fee (Note 2) 339
Other accrued expenses and liabilities 4,475
-------
Total liabilities 14,684,513
------------
Net Assets $ 99,726,035
============
Net Assets consist of:
Paid-in capital $145,682,956
Accumulated net realized loss (45,625,047)
Undistributed net investment income 907,338
Net unrealized depreciation (1,239,212)
------------
Total Net Assets $ 99,726,035
============
Shares of beneficial interest outstanding 5,516,299
Net Asset Value, offering and redemption price per share ============
(Net Assets/Shares outstanding) $ 18.08
============
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income (Including $3,321 of foreign tax expense) $2,070,250
Dividend income from affiliated investments (Note 1H) 59,340
Security lending income (Note 7) 5,281
----------
2,134,871
Expenses Investment advisory fee (Note 2) $ 190,657
Accounting, custody, administration and transfer agent fees (Note 2) 60,169
Professional fees 31,569
Administrative service fee (Note 2) 12,168
Registration fees 9,571
Trustees' fees and expenses (Note 2) 3,336
Insurance expense 1,840
Miscellaneous expenses 14,950
----------
Total expenses 324,260
----------
Net investment income 1,810,611
----------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 1,082,932
Financial futures transactions (216,695)
Swap transactions (41,649)
Foreign currency transactions and forward
foreign currency exchange transactions 1,025,420
----------
Net realized gain (loss) 1,850,008
Change in unrealized appreciation (depreciation) on:
Investments (2,259,734)
Financial futures contracts (73,886)
Written options contracts 16,044
Swap contracts (129,068)
Foreign currency translation and forward foreign currency exchange contracts (1,368,513)
----------
Change in net unrealized appreciation (depreciation) (3,815,157)
----------
Net realized and unrealized gain (loss) on investments (1,965,149)
----------
Net (Decrease) in Net Assets from Operations $ (154,538)
==========
The accompanying notes are an integral part of the financial statements.
13
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, 2007 Year Ended
(Unaudited) December 31, 2006
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 1,810,611 $ 3,206,542
Net realized gain (loss) 1,850,008 (2,018,753)
Change in net unrealized appreciation (depreciation) (3,815,157) 2,636,919
----------- -----------
Net increase (decrease) in net assets from investment operations (154,538) 3,824,708
----------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (173,388) (1,050,622)
----------- -----------
Total distributions to shareholders (173,388) (1,050,622)
----------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 29,567,549 12,137,236
Value of shares issued to shareholders in reinvestment of distributions 155,245 968,978
Cost of shares redeemed (net of redemption fees of $47 and $0, respectively) (23,013,323) (45,257,096)
----------- -----------
Net increase (decrease) in net assets from Fund share transactions 6,709,471 (32,150,882)
----------- -----------
Total Increase (Decrease) in Net Assets 6,381,545 (29,376,796)
Net Assets
At beginning of period 93,344,490 122,721,286
----------- -----------
At end of period [including undistributed net investment
income and distributions in excess of net investment
income of $907,338 and $729,885, respectively] $99,726,035 $93,344,490
=========== ===========
The accompanying notes are an integral part of the financial statements.
14
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007--------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
---------------- ---- ---- ---- ---- ----
Net Asset Value, Beginning of Period $ 18.14 $ 17.55 $ 21.35 $ 21.02 $ 20.04 $ 19.43
------- -------- --------- --------- --------- ---------
From Operations:
Net investment income (a) 0.34 0.53 0.75 0.75 0.66 0.75
Net realized and unrealized
gain (loss) on investments (0.37) 0.21 0.23 0.27 0.32 0.46
------- -------- --------- --------- --------- ---------
Total from investment operations (0.03) 0.74 0.98 1.02 0.98 1.21
------- -------- --------- --------- --------- ---------
Less Distributions to Shareholders:
From net investment income (0.03) (0.15) (4.78) (0.69) -- (0.47)
From tax return of capital -- -- -- -- -- (0.13)
------- -------- --------- --------- --------- ---------
Total distributions to shareholders (0.03) (0.15) (4.78) (0.69) -- (0.60)
------- -------- --------- --------- --------- ---------
Net Asset Value, End of Period $ 18.08 $ 18.14 $ 17.55 $ 21.35 $ 21.02 $ 20.04
======= ======== ========= ========= ========= =========
Total Return (0.15%)(b) 4.27% 4.72% 4.90% 4.89% 6.44%
Ratios/Supplemental Data:
Expenses (to average daily net assets) 0.68% (c) 0.68% 0.58% 0.57% 0.59% 0.59%
Net Investment Income (to average daily net assets) 3.80% (c) 3.01% 3.49% 3.43% 3.20% 3.89%
Portfolio Turnover 81% (b) 89% 168% 170% 185% 159%
Net Assets, End of Period (000's omitted) $99,726 $ 93,344 $ 122,721 $ 302,406 $ 369,706 $ 364,460
- ----------
(a) Calculated based on average shares outstanding.
(b) Not annualized.
(c) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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.
Effective May 1, 2007, the Board approved Fund strategy changes to ease
limits on investments in emerging markets and high yield investments and
lower the minimum average credit quality of the Fund. Specifically, th e
changes: (i) increased the limitations on high yield exposure from 15% to
25% of Fund's total assets; (ii) changed the description of the Fund's
average credit quality from a "target in the range of A to AA/Aa" to "a
minimum of A-/A3" and (iii) increased the general limitation on investing
in issuers located in emerging markets from 10% to 25% of the total assets
of the Fund.
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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. 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 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. With
respect to any portion of the Fund's assets that are invested in one or
more open-end regulated investment companies ("RICs"), the Fund's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
Because foreign markets may be open at different times than the NYSE, the
value of the Fund's shares may change on days when shareholders are not
able to buy or sell them. Many securities markets and exchanges outside the
U.S. close prior to the close of the NYSE and therefore the closing prices
for securities in such markets or on such exchanges may not fully reflect
the events that occur after such close but before the close of the NYSE.
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 then is 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 when required for
federal income tax purposes. Dividend income is recorded on the ex-dividend
date. 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 appreciation
or depreciation from investments. Net realized appreciation (depreciation)
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.
16
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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. 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 foreign currency transactions, losses deferred due to wash
sales, post-October losses, amortization and/or accretion of premiums and
discounts on certain securities, amortization of swap premium and the
timing of recognition of realized and unrealized appreciation and
depreciation on futures contracts.
Permanent book and tax basis diff erences 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.
D. Foreign currency transactions
The Fund maintains its books and records in U.S. dollars. Investment
security valuations, other assets, and liabilities initially expressed in
foreign currencies are converted into U.S. dollars based upon current
currency exchange rates. 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. Foreign 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 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.
G. 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 funds of the Trust taking into consideration,
among other things, the nature and type of expense and the relative size of
the funds.
H. Affiliated issuers
Affiliated issuers are investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
17
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
I. New Accounting Requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 Trust entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
BNY Mellon 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 $4,212, for the
six months ended June 30, 2007.
The Trust has entered into an agreement with Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of BNY Mellon and an affiliate of
Standish Mellon, to provide custody, administration and fund accounting
services for the Fund. For t hese 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 $55,957 during
the six months ended June 30, 2007.
The Trust 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 earned $2,289 for the six
months ended June 30, 2007. See Note 7 for further details.
The Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish, to provide printing
and fulfillment services for the Fund. Pursuant to this agreement, the Fund
was charged $3,529, which is included in miscellaneous expenses in the
statement of operations for the six months ended June 30, 2007.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,090, which is included in
miscellaneous expenses on the statement of operations. 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 Fund 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, 2007, the Fund was charged $497 for fees payable
to BNY 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, 2007 were as follows:
Purchases Sales
--------- -----
U.S. Government Securities $64,395,891 $39,528,036
----------- -----------
Non-U.S Government Securities $17,493,385 $34,741,094
----------- -----------
18
Mellon Institutional Funds Investment Trust
Standish Mellon International 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, 2007 December 31, 2006
---------------- -----------------
Shares sold 1,619,914 686,385
Shares issued to shareholders
for reinvestment of distributions 8,437 55,850
Share redeemed (1,258,572) (2,589,759)
---------- ----------
Net increase (decrease) 369,779 (1,847,524)
========== ==========
At June 30, 2007, two shareholders of record, in the aggregate, held
approximately 58% 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, 2007, the Fund received
$47 in redemption fees and is reflected in the cost of shares redeemed.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Fund, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing
tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beg inning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $110,051,703
============
Gross unrealized appreciation 1,587,836
Gross unrealized depreciation (1,585,336)
------------
Net unrealized appreciation (depreciation) $ 2,500
============
(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 financial instruments with off-balance
sheet risk:
19
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 t he
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 including counterparties.
For the six months ended June 30, 2007, the Fund entered into the following
transactions:
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period -- $ --
Options written 46 8,516
---------- ----------
Outstanding, end of period 46 $ 8,516
========== ==========
Notional
Written Call Option Transactions Amount Premiums
--------- --------
Outstanding, beginning of period $ -- $ --
Options written 274,000 28,770
---------- ----------
Outstanding, end of period $ 274,000 $ 28,770
========== ==========
At June 30, 2007, the Fund held options. See the Schedule of Investments
for further details.
Forward foreign 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 appreciation or depreciation 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, 2007, the Fund held forward foreign currency exchange
contracts. See the Schedule of Investments for further details.
Futures contracts
The Fund may enter into financial futures contracts for the purchase or
sale 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, shown as variation margin, 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 appreciation/depreciation 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
20
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 also 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. Appreciation and depreciation
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, 2007, the Fund held open financial 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 th e 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, the 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. The Fund earns interest on
cash set aside as collateral. 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
appreciation or depreciation 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 avail able
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 gains and losses in the
Statement of Operations. Net payments of interest on interest rate swap
agreements, if any, are included as part of realized gains and losses.
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 dis agree as to the meaning of contractual terms in the agreements, and
that there may be unfavorable changes in interest rates.
At June 30, 2007, 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
exercis ing its rights to dispose of the collateral. The Fund also bears
the risk in the event that the interest and/or dividends received on
invested collateral is not sufficient to meet the Fund's obligations due on
the loans.
The Fund loaned securities during the six months ended June 30, 2007 and
earned interest on the invested collateral of $131,515 of which, $126,234
was rebated to borrowers or paid in fees. At June 30, 2007, the Fund had
securities valued at $303,360 on loan. See the Schedule of Investments for
further detail on the security positions on loan and collateral held.
21
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(8) Delayed Delivery Transactions:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. The price of the underlying
securities and the date when the securities will be delivered and paid for
are fixed at the time the transaction is negotiated. Income on the
securities will not be earned until settlement date. The Fund instructs its
custodian to segregate securities having value at least equal to the amount
of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date. Unsettled TBA purchase
commitments are valued at the current market value of the underlying
securities, according to the procedures described under "Investment
security valuations" above.
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
At June 30, 2007, 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. The Fund/Portfolio also pays an annual renewal fee, computed
at a rate of 0.020 of 1% of the committed amount and allocated ratably to
the participating fund/portfolio. For the six months ended June 30, 2007,
the expense allocated to the Fund was $3,130. The facility fee and interest
expense are included in the miscellaneous expenses on the Statement of
Operations.
For the six months ended June 30, 2007, the Fund had average b orrowings
outstanding of $1,908,714 for a total of seven days and incurred $2,161 of
interest expense. At June 30, 2007 the Fund had no borrowings outstanding.
22
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 2007)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming (66) Trustee Trustee since Chairman Emeritus, 32 None Fund: $975
61 Meadowbrook Road 11/3/1986 Decision Resources, Inc.
Weston, MA 02493 ("DRI") (biotechnology
9/30/40 research and consulting
firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Benjamin M. Friedman (63) Trustee Trustee since William Joseph Maier, 32 None Fund: $975
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 (72) Trustee Trustee since Trustee, Mertens 32 None Fund: $975
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street 32 None Fund: $1,035
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office)
Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, President Since 2003 President and Chief 32 None $0
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
* Effective August 10, 2007, Mr. Sheppard resigned as Trustee, President and
Chief Executive Officer of the Trust.
23
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations,
BNY Mellon Asset Management and Secretary BNY 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 (42) Vice President Vice President Vice President and Mutual Funds Controller,
BNY Mellon Asset Management and Treasurer since 1999; BNY Mellon Asset Management; formerly Assistant
One Boston Place Treasurer Vice President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY 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
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset Management and
BNY Mellon Asset Management Compliance Chief Compliance Officer, Mellon Optima L/S Strategy
One Boston Place Officer Fund, LLC; formerly Director, Blackrock, Inc., Senior
Boston, MA 02108 Vice President, State Street Research & Management
4/8/57 Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
24
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[LOGO]MELLON
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6931SA0607
[LOGO] MELLON
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
International Fixed Income Fund II
- --------------------------------------------------------------------------------
June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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, 2007 to June 30, 2007).
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 expense
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, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
- --------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 989.60 $3.70
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).
3
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Portfolio Information as of June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Summary of Combined Ratings
- -------------------------------------------------------
Percentage of
Quality Breakdown Investments
- -------------------------------------------------------
AAA and higher 66.7%
AA 8.6
A 11.7
BBB 6.4
BB 3.0
B 3.6
-----
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
- ----------------------------------------------------------------------------------------------
FNMA (TBA) 5.000% 7/1/2035 8.4%
Swedish Government 5.250 3/15/2011 6.6
United Kingdom Gilt 4.000 3/7/2009 6.1
Japan Government 1.100 12/10/2016 6.1
Hellenic Republic Government Bond 3.700 7/20/2015 5.2
United Kingdom Gilt 4.750 6/7/2010 4.9
Netherlands Government Bond 4.250 7/15/2013 4.4
Development Bank of Japan 1.600 6/20/2014 3.8
Netherlands Government Bond 4.000 1/15/2037 3.4
Deutsche Republic 4.750 7/4/2034 3.4
----
52.3%
*Excluding short-term investments.
Percentage of
Economic Sector Allocation Investments
- -------------------------------------------------------
ABS/CMSA/CMO 3.4%
Government/Agency 33.3
Corporate 45.3
Mortgage Pass Thru 12.4
Emerging Markets 3.4
Cash & equivalents 2.2
-----
100.0%
The Fund is actively managed. Current holdings may be different than those
presented above.
4
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--103.6%
BONDS AND NOTES--95.5%
Asset Backed--3.6%
Americredit Prime Automobile Receivables 5.270% 11/8/2011 USD 390,000 $ 388,869
Capital Auto Receivables Asset Trust 2006-2 B 5.070 12/15/2011 135,000 133,212
Chase Issuance Trust 2007-A1 A1 (a) 5.340 3/15/2013 270,000 269,997
Home Equity Mortgage Trust 2006-5 A1 5.500 1/25/2037 134,080 133,944
JP Morgan Alternative Loan Trust 2006-S4 A6 5.710 12/25/2036 180,000 175,626
USAA Auto Owner Trust 5.430 10/17/2011 260,000 260,000
---------
Total Asset Backed (Cost $1,368,896) 1,361,648
---------
Collateralized Mortgage Obligations--2.5%
Government National Mortgage Association 2004-23 B 2.946 3/16/2019 229,254 220,403
Government National Mortgage Association 2006-67 A 3.947 11/16/2030 385,953 373,323
Government National Mortgage Association 2006-68 A 3.888 7/16/2026 197,201 190,585
Government National Mortgage Association 2007-34 A 4.272 11/16/2026 165,000 160,617
---------
Total Collateralized Mortgage Obligations (Cost $950,224) 944,928
---------
Corporate--9.2%
Banking--2.5%
Bank of America Capital Trust XIII (a) 5.760 3/15/2049 135,000 132,477
BES Finance Ltd. (a) 4.500 12/29/2049 75,000 94,980
Chevy Chase Bank FSB 6.875 12/1/2013 45,000 44,775
ICICI Bank Ltd. 144A (a)(f) 6.375 4/30/2022 140,000 133,034
Santander Perpetual (a) 4.375 12/29/2049 100,000 127,515
SMFG Preferred Capital 144A (a) 6.078 1/29/2049 165,000 158,732
Sovereign Bancorp (a) 5.590 3/23/2010 200,000 200,059
Suntrust Preferred Capital I (a) 5.853 12/15/2036 80,000 79,517
---------
971,089
---------
Broadcasting--0.7%
Time Warner, Inc. (a) 5.590 11/13/2009 250,000 250,240
---------
Communications--0.4%
Qwest Corp. (a) 8.610 6/15/2013 125,000 135,625
---------
Consumer Cyclical--0.4%
Delhaize America, Inc. 144A 6.500 6/15/2017 155,000 155,588
---------
Finance--1.3%
Capmark Financial Group 144A 5.875 5/10/2012 100,000 98,689
ERP Operating LP 5.750 6/15/2017 115,000 112,741
SLM Corp. 4.500 7/26/2010 205,000 189,546
Willis North America 6.200 3/28/2017 95,000 93,023
---------
493,999
---------
Industrial--2.6%
Coventry Health Care, Inc. 5.950 3/15/2017 80,000 78,040
Georgia-Pacific Corp. 144A 7.000 1/15/2015 100,000 96,250
Host Hotels and Resorts LP 6.875 11/1/2014 95,000 93,931
Nordic Telecommunication Co. Holdings 144A 8.875 5/1/2016 90,000 95,400
Rogers Wireless, Inc. 7.500 3/15/2015 25,000 26,780
SabMiller PLC 144A (a) 5.660 7/1/2009 240,000 240,445
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------------------
Industrial (continued)
Stater Brothers Holdings 144A 7.750% 4/15/2015 USD 40,000 $ 40,100
Time Warner Cable, Inc. 144A 5.400 7/2/2012 210,000 206,225
Windstream Corp. 8.125 8/1/2013 105,000 109,725
Windstream Corp. 8.625 8/1/2016 35,000 37,012
---------
1,023,908
---------
Public Utility--0.8%
National Grid PLC 6.300 8/1/2016 200,000 203,650
TXU Electric Delivery 144A (a) 5.735 9/16/2008 90,000 90,030
---------
293,680
---------
Utilities--0.5%
Nisource Finance Corp. (a) 5.930 11/23/2009 205,000 205,319
---------
Total Corporate Bonds (Cost $3,551,902) 3,529,448
---------
Sovereign Bonds--0.7%
Republic of Argentina 7.000 9/12/2013 180,000 171,405
Republic of South Africa 5.875 5/30/2022 110,000 107,525
---------
Total Sovereign Bonds (Cost $288,879) 278,930
---------
U.S. Treasury Obligations--1.1%
U.S. Treasury Notes (Cost $410,380) 4.000 2/15/2015 440,000 412,019
---------
FOREIGN DENOMINATED--67.8%
Argentina--0.3%
Republic of Argentina (a) 2.000 9/30/2014 ARS 330,000 119,082
---------
Brazil--1.1%
Republic of Brazil 12.500 1/5/2016 BRL 660,000 417,121
---------
Egypt--0.5%
Egypt CLN 144A 5.695 6/30/2007 EGP 1,175,000 206,765
---------
Euro--23.7%
Autostrade SpA (a) 4.585 6/9/2011 EUR 200,000 272,891
Bombardier, Inc. 5.750 2/22/2008 100,000 136,017
Citigroup, Inc. (a) 4.272 6/3/2011 110,000 149,125
Deutsche Bundesrepublik 4.250 1/4/2014 310,000 412,292
Deutsche Bundesrepublik 3.500 1/4/2016 425,000 532,884
Deutsche Cap Trust IV (a) 5.330 9/29/2049 85,000 115,269
Deutsche Republic 3.250 7/4/2015 120,000 148,405
Deutsche Republic 4.750 7/4/2034 900,000 1,224,345
FCE Bank PLC EMTN (a) 5.164 9/30/2009 625,000 833,187
Hellenic Republic Government Bond 3.700 7/20/2015 1,515,000 1,911,548
MPS Capital Trust I (a) 7.990 12/29/2049 85,000 125,818
Netherlands Government Bond 4.250 7/15/2013 1,195,000 1,590,854
Netherlands Government Bond 4.000 1/15/2037 1,025,000 1,225,581
Owens-Brockway Glass Containers 6.750 12/1/2014 60,000 81,610
Sogerim 7.250 4/20/2011 100,000 145,100
Telefonica Europe BV 5.125 2/14/2013 90,000 121,886
Telenet Communications NV 144A 9.000 12/15/2013 37,350 54,593
---------
9,081,405
---------
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- ---------------------------------------------------------------------------------------------------------------------------------
Japan--19.3%
ASIF III Jersey Ltd. 0.950% 7/15/2009 JPY 90,000,000 $ 726,318
Development Bank of Japan 1.400 6/20/2012 84,000,000 680,718
Development Bank of Japan 1.600 6/20/2014 170,000,000 1,375,577
Development Bank of Japan 1.700 9/20/2022 60,000,000 466,091
European Investment Bank 1.400 6/20/2017 88,000,000 684,917
European Investment Bank (f) 1.900 1/26/2026 59,400,000 459,839
Japan Finance Corp. 1.550 2/21/2012 55,000,000 450,620
Japan Finance Corp. 1.350 11/26/2013 36,000,000 288,087
Japan Government 1.100 12/10/2016 281,000,000 2,241,576
----------
7,373,743
----------
Mexico--1.5%
Mexican Fixed Rate Bonds 8.000 12/19/2013 MXN 6,115,000 576,820
----------
Sweden--6.3%
Swedish Government 5.250 3/15/2011 SEK 16,000,000 2,400,468
----------
United Kingdom--15.1%
Barclays Bank PLC (a) 6.000 6/29/2049 GBP 90,000 165,565
Bat International Finance PLC 6.375 12/12/2019 60,000 117,691
Deutsche Telekom International Finance BV 7.125 9/26/2012 115,000 236,312
HBOS Capital Funding LP (a) 6.461 11/29/2049 60,000 118,619
Transco Holdings PLC 7.000 12/16/2024 50,000 110,781
United Kingdom Gilt 4.000 3/7/2009 1,150,000 2,245,590
United Kingdom Gilt 4.750 6/7/2010 925,000 1,804,887
United Kingdom Gilt 8.000 9/27/2013 285,000 641,077
United Kingdom Gilt 4.250 6/7/2032 190,000 344,782
----------
5,785,304
----------
Total Foreign Denominated (Cost $25,872,597) 25,960,708
----------
Pass Thru Securities--10.6%
Non-Agency Pass Thru Securities--2.5%
Bear Stearns Commercial Mortgage Securities 2006-PW14 AAB 5.171 12/11/2038 USD 470,000 454,130
Crown Castle Towers 2006-1A D 144A 5.772 11/15/2036 85,000 83,565
First Union-Chase Commercial Mortgage 1999-C2G 5.950 6/15/2031 175,000 175,934
Goldman Sachs Mortgage Securities Corp., Cl. L 144A (a) 6.620 3/6/2020 145,000 145,000
Morgan Stanley Capital I 2006-IQ12 A1 5.257 12/15/2043 111,930 111,169
----------
969,798
----------
Agency Pass Thru Securities--8.1%
FNMA (TBA) (b) 5.000 7/1/2035 3,275,000 3,068,266
----------
Total Pass Thru (Cost $4,030,208) 4,038,064
----------
TOTAL BONDS AND NOTES (Cost $36,473,086) 36,525,745
----------
PURCHASED OPTIONS--0.0% Notional Amount
---------------
Call Options
Dow Jones CDX, IG8 5 yr. 58,400 6,833
U.S. Treasury 10 Year Note August 2007@106 18,000 10,969
----------
TOTAL PURCHASED OPTIONS (Cost $16,807) 17,802
----------
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, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Description Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS--8.1%
U.S. Treasury Bill--0.1%
U.S. Treasury Bill (c) (d) (Cost $59,474) 4.630% 9/6/2007 USD 60,000 $ 59,486
-----------
Federal Agency Bond--8.0%
FNMA Discount Note (c) (d) (Cost $3,066,253) 5.120 7/20/2007 3,075,000 3,067,159
-----------
TOTAL UNAFFILIATED INVESTMENTS
(Cost $39,615,620) 39,670,192
-----------
AFFILIATED INVESTMENTS--2.3% Shares
Dreyfus Institutional Preferred Plus ------
Money Market Fund (e) (Cost $891,923) 891,923 891,923
-----------
TOTAL INVESTMENTS--105.9% (Cost $40,507,543) 40,562,115
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS--(5.9%) (2,272,346)
-----------
NET ASSETS--100% $38,289,769
===========
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 $1,804,416 or 4.7% of net
assets.
ARS--Argentina Peso
BRL--Brazilian Real
EGP--Egyptian Pound
EMTN--Euro Medium Term Note
EUR--Euro
GBP--British Pound
JPY--Japanese Yen
MXN--Mexican New Peso
MYR--Malaysian Ringet
NZD--New Zealand Dollar
SEK--Swedish Krona
THB--Thai Baht
(a) Variable Rate Security; rate indicated is as of June 30, 2007. (b) Delayed
Delivery Security. (c) Rate noted is yield to maturity.
(d) Denotes all or part of security segregated as collateral. (e) Affiliated
money market fund. (f) Illiquid security. At period end, the value of these
securities amounted to
$592,873 or 1.5% of net assets.
At June 30, 2007 the Fund held the following futures contracts:
Unrealized
Underlying Face Appreciation/
Contract Position Expiration Date Amount at Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. 2 Year Treasury Note (42 Contracts) Long 9/28/2007 $8,558,812 $ (9,287)
U.S. 5 Year Treasury Note (27 Contracts) Long 9/28/2007 2,810,109 (1,315)
U.S. 10 Year Treasury Note (39 Contracts) Short 9/19/2007 4,122,422 (29,970)
U.S. Long Bond CBT (15 Contracts) Short 9/19/2007 1,616,250 16,706
Euro--Bobl (3 Contracts) Long 9/6/2007 430,665 217
Euro--Bund (22 Contracts) Long 9/6/2007 3,297,559 (18,815)
--------
$(42,464)
========
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007 the Fund held the following forward foreign currency exchange
contracts:
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Deliver Amount Value Date June 30, 2007 to Receive (Depreciation)
- --------------------------------------------------------------------------------------------------------------------------------
Brazilian Real 750,000 7/9/2007 $ 388,428 $ 383,534 $ (4,894)
Euro 570,000 9/19/2007 773,559 759,753 (13,806)
Euro 385,000 9/19/2007 522,491 518,241 (4,250)
Euro 5,470 7/3/2007 7,403 7,390 (13)
British Pounds 1,350,000 9/19/2007 2,707,334 2,653,227 (54,107)
Icelandic Krona 6,610,000 9/19/2007 104,232 102,976 (1,256)
Icelandic Krona 24,270,000 9/19/2007 382,710 378,397 (4,313)
Icelandic Krona 6,810,000 9/19/2007 107,386 105,891 (1,495)
Mexican Peso 6,255,000 9/19/2007 579,138 575,642 (3,496)
Swedish Krona 9,500,000 9/19/2007 1,395,278 1,356,561 (38,717)
Swedish Krona 4,180,000 9/19/2007 613,923 596,683 (17,240)
South African Rand 1,400,000 7/9/2007 198,540 195,722 (2,818)
---------- ---------- -----------
$7,780,422 $7,634,017 $(146,405)
========== ========== ==========
Local Unrealized
Principal Contract Value at Amount Appreciation/
Contracts to Receive Amount Value Date June 30, 2007 to Deliver (Depreciation)
- --------------------------------------------------------------------------------------------------------------------------------
Australian Dollar 250,000 9/19/2007 $ 211,477 $ 210,350 $ 1,127
Australian Dollar 480,000 9/19/2007 406,037 401,976 4,061
Brazilian Real 750,000 7/9/2007 388,427 391,338 (2,911)
Brazilian Real 400,000 7/9/2007 207,161 209,644 (2,483)
Canadian Dollar 425,000 9/19/2007 400,168 398,930 1,238
Canadian Dollar 670,000 9/20/2007 630,864 631,200 (336)
Columbian Peso 362,500,000 7/9/2007 183,523 193,437 (9,914)
Euro 3,460,000 9/19/2007 4,695,636 4,613,979 81,657
Euro 3,265,000 9/19/2007 4,430,998 4,355,148 75,850
Euro 580,000 9/19/2007 787,129 780,726 6,403
Euro 78,665 9/19/2007 106,757 105,890 867
Indonesian Rupiah 1,693,700,000 7/9/2007 187,390 193,455 (6,065)
Indian Rupee 7,820,000 7/9/2007 192,987 193,086 (99)
Icelandic Krona 24,270,000 9/19/2007 382,710 383,412 (702)
Icelandic Krona 6,610,000 9/19/2007 104,232 103,875 357
Japanese Yen 857,290,000 9/19/2007 7,040,656 7,020,810 19,846
South Korean Won 183,430,000 9/19/2007 199,194 198,217 977
Malaysian Ringgit 710,000 9/19/2007 206,673 207,420 (747)
Norwegian Krone 2,450,000 9/19/2007 416,209 402,970 13,239
Norwegian Krone 2,340,000 7/19/2007 397,118 384,528 12,590
Philippines Peso 9,960,000 9/19/2007 215,409 217,230 (1,821)
Singapore Dollar 310,000 9/19/2007 203,908 202,707 1,201
Turkish Lira 270,000 7/9/2007 205,051 203,712 1,339
South African Rand 1,400,000 7/9/2007 198,540 196,546 1,994
----------- ----------- ---------
$22,398,254 $22,200,586 $197,668
=========== =========== =========
The accompanying notes are an integral part of the financial statements.
9
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
The Fund held the folowing cross currency contracts at June 30, 2007:
Value at In Value at Contract Unrealized
Contracts to Deliver June 30, 2007 Exchange for June 30, 2007 Value Date Depreciation
- ---------------------------------------------------------------------------------------------------------------------------------
Icelandic Krona $ 107,386 Euro $ 106,757 9/19/2007 $ (918)
========= ========= =======
The Fund held the following written option contracts at June 30, 2007:
Notional
Written Call Options Counterparty Strike Price Expiration Date Amount Premium Value
- ---------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX IG8
5 yr. Credit Default Swap Lehman Brothers 0.3490% September 2007 $116,800 $12,264 $5,338
======== ======= ======
Written Put Options Strike Price Expiration Date Contracts Premium Value
- ---------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury 10yr Note 8/24/07 101 August 2007 18 $ 3,332 $ 562
=== ======= =====
At June 30, 2007, 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)
- ------------------------------------------------------------------------------------------------------------------------------------
Barclays Global Bespoke Tranche 2.65%-4.65% Sell 3.0200% 6/20/2012 600,000 USD $(45,416)
Barclays Global Bespoke Tranche 5.00%-7.00% Buy (4.8000) 6/20/2017 400,000 USD (3,247)
Bear Stearns & Co. ConocoPhilips, 4.75%, 10/15/2012 Buy (0.3100) 6/20/2010 230,000 USD (1,537)
Bear Stearns & Co. Nucor Corp., 4.875%, 10/1/2012 Buy (0.4000) 6/20/2010 108,000 USD (904)
Citibank AT&T, 5.875%, 8/15/2012 Buy (0.4800) 3/20/2017 490,000 USD (1,496)
Citibank Altria Group Inc., 7%, 11/4/2013 Buy (0.2700) 12/20/2011 570,000 USD (398)
Citibank Southern California Tobacco, 5%, 6/1/2037 Sell 1.3500 12/20/2011 285,000 USD (2,593)
Citibank Northern Tobacco, 5%, 6/1/2046 Sell 1.3500 12/20/2011 285,000 USD (2,593)
Deutsche Bank Kraft Foods Inc., 5.875%, 11/1/2011 Buy (0.5300) 6/20/2017 195,000 USD 1,772
Goldman, Sachs & Co. Autozone, 5.875%, 10/15/2012 Buy (0.6200) 6/20/2017 580,000 USD 1,362
JPMorgan Bear Stearns & Co., 5.3%, 10/30/2015 Buy (0.5100) 6/20/2012 200,000 USD (342)
JPMorgan Citigroup, 7.25%, 10/1/2010 Buy (0.2200) 6/20/2012 200,000 USD (792)
JPMorgan Genworth Financial, 5.75%, 6/15/2014 Buy (0.3000) 6/20/2012 200,000 USD (452)
JPMorgan HSBC Finance Corp., 7.00%, 5/15/2012 Buy (0.2800) 6/20/2017 200,000 USD (1,157)
JPMorgan Kimberly-Clark Corp., 6.875%, 2/15/2014 Buy (0.1900) 12/20/2011 785,000 USD (1,655)
JPMorgan Kimberly-Clark Corp., 6.875%, 2/15/2014 Buy (0.1900) 12/20/2011 785,000 USD (1,655)
JPMorgan Lehman Brothers, 6.625%, 1/18/2012 Buy (0.5100) 6/20/2012 200,000 USD (1,250)
JPMorgan Wells Fargo & Co., 5.555%,10/28/2015 Buy (0.1800) 6/20/2012 200,000 USD (598)
JPMorgan Dow Jones CDX.NA.IG.7 Index Buy (0.6500) 12/20/2016 220,000 USD 957
JPMorgan France Telecom, 7.25%, 1/28/2013 Sell 0.6600 12/20/2015 100,000 EUR 2,698
UBS AG iTraxx Europe Series 5 Version I Sell 0.4000 6/20/2011 625,000 EUR 3,937
--------
$(55,359)
========
Unrealized
Interest Rate Swaps Floating Rate Pay/Receive Expiration Notional Appreciation/
Counterparty Index Floating Rate Fixed Rate Date Amount (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan EUR--6 Month Euribor Receive 4.1595% 1/19/2012 1,010,000 EUR $ 32,103
JPMorgan MYR--6 Month Kilbor Pay 4.1600 10/31/2011 693,025 MYR 2,754
JPMorgan JPY-6 Month Yenibor Pay 1.3600 1/19/2012 254,000,000 JPY (13,828)
JPMorgan JPY-6 Month Yenibor Pay 2.0750 7/28/2016 109,000,000 JPY 10,468
JPMorgan JPY-6 Month Yenibor Pay 2.6910 7/28/2036 34,000,000 JPY 5,154
JPMorgan NZD--3 Month Libor Pay 8.0475 6/21/2012 750,000 NZD 534
JPMorgan THB--6 Month Bibor Pay 5.1800 11/2/2011 6,992,000 THB 9,510
Morgan Stanley NZD--3 Month Libor Pay 7.8750 5/18/2010 2,460,000 NZD (12,267)
UBS AG JPY-6 Month Yenibor Pay 2.5125 6/6/2026 129,000,000 JPY 8,087
UBS AG JPY-6 Month Yenibor Pay 0.8775 5/11/2008 421,000,000 JPY (532)
UBS AG SEK0--6 Month Stibor Pay 4.2900 6/27/2016 3,600,000 SEK (25,130)
--------
$ 16,853
========
The accompanying notes are an integral part of the financial statements.
10
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
At June 30, 2007, the Fund held the following forward volatility option
contract:
Expiration Notional Unrealized
Counterparty Description Date Amount Depreciation
- -----------------------------------------------------------------------------------------------------------------------------------
JPMorgan OTC contract to purchase a 1 year expiration straddle
(call and put) on a USD 10 Year Fixed/Floating interest
rate swap on 9/21/2007 for a premium of 4.41% of notional.
The option strikes will be determined on the expiration
date of the foward agreement using the
10 Year USD interest rate swap rate, 1 year foward. 9/22/2008 3,120,000 $(2,377)
JPMorgan OTC contract to purchase a 1 year expiration straddle (call
and put) on a USD 10 Year Fixed/Floating interest rate swap
on 10/3/2007 for a premium of 4.37% of notional. The option
strikes will be determined on the expiration date of the
foward agreement using the
10 Year USD interest rate swap rate, 1 year foward. 10/3/2008 2,740,000 (1,464)
-------
$(3,841)
=======
Percent of
Country Allocation Investments
- -----------------------------------------------------------------
Argentina 0.7%
Belgium 0.1
Brazil 1.0
Canada 0.4
Denmark 0.3
Egypt 0.5
Germany 6.6
Greece 4.7
India 0.3
Italy 1.4
Japan 14.0
Luxembourg 2.8
Mexico 1.4
Netherlands 7.0
South Africa 0.3
Spain 0.6
Sweden 5.9
UK 16.8
US 35.2
-----
100.0%
The accompanying notes are an integral part of the financial statements.
11
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities:
Unaffiliated issuers, at value (Note 1A) (cost $39,615,620) $39,670,192
Affiliated issuers, at value (Note 1A) (cost $891,923) (Note 1H) 891,923
Cash 47,182
Foreign Currency (cost $214,843) 216,368
Receivable for securities sold 557,544
Interest and dividends receivable 516,866
Unrealized appreciation on forward foreign currency exchange contracts (Note 6) 222,746
Unrealized appreciation on swap contracts (Note 6) 79,336
Receivable for Fund shares sold 45,838
Receivable from advisor (Note 2) 17,643
Swap premium paid (Note 6) 1,852
Prepaid expenses 10,153
-----------
Total assets 42,277,643
Liabilities
Payable for investments purchased $ 3,597,516
Unrealized depreciation on forward foreign currency exchange contracts (Note 6) 172,401
Unrealized depreciation on swap contracts (Note 6) 117,842
Payable for variation margin on open futures contracts (Note 6) 19,229
Options written, at value (premium received $15,596) (Note 6) 5,900
Unrealized depreciation on forward volatility options 3,841
Payable for Fund shares redeemed 1,617
Accrued professional fees 38,524
Accrued management fee 17,643
Accrued accounting, administration, custody and transfer agent fees (Note 2) 5,931
Accrued shareholder reporting expense (Note 2) 1,386
Accrued trustees' fees and expenses (Note 2) 1,239
Accrued administrative service fee (Note 2) 1,219
Accrued chief compliance officer fee (Note 2) 339
Other accrued expenses and liabilities 3,247
-----------
Total liabilities 3,987,874
-----------
Net Assets $38,289,769
===========
Net Assets consist of:
Paid-in capital $38,374,888
Accumulated net realized loss (234,533)
Undistributed net investment income 107,688
Net unrealized appreciation 41,726
-----------
Total Net Assets $38,289,769
===========
Shares of beneficial interest outstanding 1,733,355
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 22.09
===========
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $ 805,201
Dividend income from affiliated investments (net of foreign withholding taxes of $716) (Note 1H) 16,781
Security lending income (Note 7) 773
------------
822,755
Expenses
Investment advisory fee (Note 2) $ 78,382
Accounting, administration, custody, and transfer agent fees (Note 2) 49,148
Professional fees 30,420
Registration fees 8,690
Administrative service fee (Note 2) 3,963
Trustees' fees and expenses (Note 2) 1,478
Miscellaneous expenses 9,370
----------
Total Expenses 181,451
Deduct:
Waiver of investment advisory fee (Note 2) (34,482)
----------
Net expenses 146,969
------------
Net investment income 675,786
------------
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investments 357,762
Financial futures transactions (104,423)
Foreign currency transactions and forward currency exchange transactions (472,157)
Swap transactions 3,667
----------
Net realized gain (loss) (215,151) Change in unrealized appreciation
(depreciation) on:
Investments (907,135)
Financial futures contracts (64,340)
Written options contracts 5,855
Foreign currency translations and forward currency exchange contracts 151,122
Swap contracts (38,439)
----------
Net change in net unrealized appreciation (depreciation) (852,937)
------------
Net realized and unrealized gain (loss) on investments (1,068,088)
------------
Net (Decrease) in Net Assets from Operations $ (392,302)
============
The accompanying notes are an integral part of the financial statements.
13
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, 2007 Year Ended
(Unaudited) December 31, 2006
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 675,786 $ 1,227,132
Net realized gain (loss) (215,151) (718,019)
Change in net unrealized appreciation (depreciation) (852,937) 2,258,691
------------ ------------
Net increase (decrease) in net assets from investment operations (392,302) 2,767,804
------------ ------------
Distributions to Shareholders (Note 1C)
From net investment income (597,682) --
From net realized gains on investments (5,128) (178,621)
------------ ------------
Total distributions to shareholders (602,810) (178,621)
------------ ------------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 2,236,360 10,621,727
Value of shares issued to shareholders in reinvestment of distributions 539,717 162,592
Cost of shares redeemed (3,489,626) (19,788,920)
------------ ------------
Net increase (decrease) in net assets from Fund share transactions (713,549) (9,004,601)
------------ ------------
Total Increase (Decrease) in Net Assets (1,708,661) (6,415,418)
Net Assets
At beginning of period 39,998,430 46,413,848
------------ ------------
At end of period (including undistributed net investment
income of $107,688 and $29,584, respectively) $ 38,289,769 $ 39,998,430
============ ============
The accompanying notes are an integral part of the financial statements.
14
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 ------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
---------------- ---- ---- ---- ---- ----
Net Asset Value, Beginning of Period $ 22.68 $ 21.20 $ 24.23 $ 22.97 $ 21.66 $ 17.83
------- ------- ------- ------- ------- -------
From Operations:
Net investment income (loss) * (a) 0.39 0.66 0.74 0.88 0.77 0.73
Net realized and unrealized
gain (loss) on investments (0.63) 0.91 (3.12) 1.52 3.81 3.10
------- ------- ------- ------- ------- -------
Total from investment operations (0.24) 1.57 (2.38) 2.40 4.58 3.83
------- ------- ------- ------- ------- -------
Less Distributions to Shareholders:
From net investment income (0.35) -- (0.65) (1.14) (3.27) --
From net realized gain on investments (0.00)(b) (0.09) -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions to shareholders (0.35) (0.09) (0.65) (1.14) (3.27) --
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $ 22.09 $ 22.68 $ 21.20 $ 24.23 $ 22.97 $ 21.66
======= ======= ======= ======= ======= =======
Total Return (c) (1.04%)(d) 7.43% (9.95%) 10.73% 21.51% 21.48%
Ratios/Supplemental Data:
Expenses (to average daily net assets)* 0.75%(e) 0.75% 0.75% 0.75% 0.55% 0.55%
Net Investment Income (Loss)
(to average daily net assets)* 3.45%(e) 3.03% 3.31% 3.93% 3.34% 3.87%
Portfolio Turnover 53%(d) 100% 139% 132% 192% 178%
Net Assets, End of Period (000's omitted) $38,290 $39,998 $46,414 $49,714 $23,983 $21,202
- ---------------
* 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 ratios excluding waivers and reimbursement would have been:
Net investment income (loss) per share (a) $ 0.37 $ 0.62 $ 0.72 $ 0.84 $ 0.60 $ 0.60
Ratios (to average daily net assets):
Expenses 0.93%(e) 0.95% 0.86% 0.91% 1.30% 1.23%
Net investment income (loss) 3.27%(e) 2.83% 3.20% 3.77% 2.59% 3.19%
(a) Calculated based on average shares outstanding. (b) Amount represents less
than $.01 per share.
(c) Total return would have been lower in the absence of fee waivers and
expense limitations.
(d) Not annualized. (e) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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.
Effective May 1, 2007, the Board approved Fund strategy changes to ease
limits on investments in emerging markets and high yield investments and
lower the minimum average credit quality of the Fund. Specifically, the
changes: (i) increased the limitations on high yield exposure from 15% to
25% of Fund's total assets; (ii) changed the description of the Fund's
average credit quality from a "target in the range of A to AA/Aa" to "a
minimum of A-/A3" and (iii) increased the general limitation on investing
in issuers located in emerging markets from 10% to 25% of the total assets
of the Fund.
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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. 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 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. With
respect to any portion of the Fund's assets that are invested in one or
more open-end regulated investment companies ("RICs"), the Fund's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
Because foreign markets may be open at different times than the NYSE, the
value of the Fund's shares may change on days when shareholders are not
able to buy or sell them. Many securities markets and exchanges outside the
U.S. close prior to the close of the NYSE and therefore the closing prices
for securities in such markets or on such exchanges may not fully reflect
the events that occur after such close but before the close of the NYSE.
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 then is 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 when required for
federal income tax purposes. Dividend income is recorded on the ex-dividend
date. Realized gain and loss 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 appreciation
or depreciation from investments. Net realized appreciation (depreciation)
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.
16
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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. 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 foreign currency transactions, losses deferred due to wash
sales, post-October losses, amortization and/or accretion of premiums and
discounts on certain securities, amortization of swap premium and the
timing of recognition of realized and unrealized appreciation and
depreciation 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.
D. Foreign currency transactions
The Fund maintains its books and records in U.S. dollars. Investment
security valuations, other assets, and liabilities initially expressed in
foreign currencies are converted into U.S. dollars based upon current
currency exchange rates. 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. Foreign 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 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.
G. 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 funds of the Trust taking into consideration,
among other things, the nature and type of expense and the relative size of
the funds.
H. Affiliated issuers
Affiliated issuers are investment companies advised by Standish Mellon
Asset Management Company LLC ("Standish Mellon"), a wholly-owned subsidiary
of The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
17
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
I. New Accounting Requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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, 2007. Pursuant to this agreement, for the six months
ended June 30, 2007, Standish Mellon voluntarily waived a portion of its
investment advisory fee in the amount of $34,482. This agreement is
voluntary and temporary and may be discontinued or revised by Standish
Mellon at any time.
The Trust entered into an agreement with Dreyfus Transfer, Inc., a wholly
owned subsidiary of The Dreyfus Corporation, a wholly owned subsidiary of
BNY Mellon 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 $3,521, for the
six months ended June 30, 2007.
The Trust has entered into an agreement with Mellon Bank, N.A. ("Mellon
Bank"), a wholly owned subsidiary of BNY Mellon 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 $45,627 during
the six months ended June 30, 2007.
The Trust 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 earned $337 for the six
months ended June 30, 2007. See Note 7 for further details.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,090, which is included in
miscellaneous expenses on the statement of operations. 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 Fund 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 Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish, to provide printing
and fulfillment services for the Fund. Pursuant to this agreement, the Fund
was charged $1,386, which is included in miscellaneous expenses in the
statement of operations for the six months ended June 30, 2007.
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, 2007, the Fund was charged $2,537 for fees
payable to BNY 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, 2007 were as follows:
Purchases Sales
----------- -----------
U.S. Government Securities $13,592,704 $11,080,722
----------- -----------
Non-U.S Government Securities $ 6,620,390 $10,683,754
----------- -----------
18
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
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, 2007 December 31, 2006
--------------- -----------------
Shares sold 98,314 481,319
Shares issued to shareholders
for reinvestment of distributions 24,545 7,591
Share redeemed (153,468) (914,029)
-------- --------
Net increase (decrease) (30,609) (425,119)
======== ========
At June 30, 2007, one shareholder of record held approximately 65% of the
total outstanding shares of the Fund. Investment activities 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, 2007, the Fund did not
assess any redemption fees.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Fund, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing
tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $40,507,543
===========
Gross unrealized appreciation 750,642
Gross unrealized depreciation (696,070)
-----------
Net unrealized appreciation (depreciation) $ 54,572
===========
(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 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 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
19
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 including counterparties.
For the six months ended June 30, 2007, the Fund entered into the following
transactions:
Number of
Written Put Option Transactions Contracts Premiums
--------- --------
Outstanding, beginning of period -- $ --
Options written 18 3,332
------- -------
Outstanding, end of period 18 $ 3,332
======= =======
Notional
Written Call Option Transactions Amount Premiums
--------- --------
Outstanding, beginning of period $ -- $ --
Options written 116,800 12,264
-------- -------
Outstanding, end of period $116,800 $12,264
======== =======
At June 30, 2007, the Fund held options. See the Schedule of Investments
for further details.
Forward foreign 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 appreciation or depreciation 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, 2007, the Fund held forward foreign currency exchange
contracts. See the Schedule of Investments for further details.
Futures contracts
The Fund may enter into financial futures contracts for the purchase or
sale 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, shown as variation margin, 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 appreciation/depreciation 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
20
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
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 also 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. Appreciation and depreciation 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, 2007, the Fund held open financial 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, the 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. The Fund earns interest on
cash set aside as collateral. 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
appreciation or depreciation 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 gains and losses in the
Statement of Operations. Net payments of interest on interest rate swap
agreements, if any, are included as part of realized gains and losses.
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, 2007, 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 also bears the
risk in the event that the interest and/or dividends received on invested
collateral is not sufficient to meet the Fund's obligations due on the
loans.
The Fund loaned securities during the six months ended June 30, 2007 and
earned interest on the invested collateral of $26,153 of which, $25,380 was
rebated to borrowers or paid in fees. At June 30, 2007, the Fund did not
have any securities on loan.
21
Mellon Institutional Funds Investment Trust
Standish Mellon International Fixed Income Fund II
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(8) Delayed Delivery Transactions:
The Fund may purchase securities on a when-issued, delayed delivery or
forward commitment basis. Payment and delivery may take place a month or
more after the date of the transactions. The price of the underlying
securities and the date when the securities will be delivered and paid for
are fixed at the time the transaction is negotiated. Income on the
securities will not be earned until settlement date. The Fund instructs its
custodian to segregate securities having value at least equal to the amount
of the purchase commitment.
The Fund may enter into to be announced ("TBA") purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than 0.01% from the principal amount.
The Fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
Fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date. Unsettled TBA purchase
commitments are valued at the current market value of the underlying
securities, according to the procedures described under "Investment
security valuations" above.
The Fund may enter into TBA sale commitments to hedge its portfolio
positions. Proceeds of TBA sale commitments are not received until the
contractual settlement date. During the time a TBA sale commitment is
outstanding, an offsetting TBA purchase commitment deliverable is held as
"cover" for the transaction.
At June 30, 2007, 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. The Fund/Portfolio also pays an annual renewal fee, computed
at a rate of 0.020 of 1% of the committed amount and allocated ratably to
the participating fund/portfolio. For the six months ended June 30, 2007,
the fund was not charged a fee. The facility fee and interest expense are
included in the miscellaneous expenses on the Statement of Operations.
For the six months ended June 30, 2007, the Fund had average borrowings
outstanding of $278,000 for a total of two days and incurred $90 of
interest expense. At June 30, 2007 the Fund had no borrowings outstanding.
(10) Subsequent Event:
On June 22, 2007, the Board of Trustees of the Trust considered and
approved a proposal to liquidate and dissolve the Fund. It is currently
expected that the liquidation and dissolution of the Fund would be
effective on or before the close of business on October 31, 2007.
22
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 2007)
- ------------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming (66) Trustee Trustee since Chairman Emeritus, 32 None Fund: $470
61 Meadowbrook Road 11/3/1986 Decision Resources, Inc.
Weston, MA 02493 ("DRI") (biotechnology
9/30/40 research and consulting
firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Benjamin M. Friedman (63) Trustee Trustee since William Joseph Maier, 32 None Fund: $470
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 (72) Trustee Trustee since Trustee, Mertens 32 None Fund: $470
P.O. Box 2333 11/3/1986 House, Inc. (hospice)
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street 32 None Fund: $495
c/o Essex Street Associates 11/3/1986 Associates (family
P.O. Box 5600 investment trust office) Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, President Since 2003 President and Chief 32 None $0
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
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
23
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations,
BNY Mellon Asset Management and Secretary BNY 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 (42) Vice President Vice President Vice President and Mutual Funds Controller,
BNY Mellon Asset Management and Treasurer since 1999; BNY Mellon Asset Management; formerly Assistant
One Boston Place Treasurer Vice President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY 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
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset Management and
BNY Mellon Asset Management Compliance Chief Compliance Officer, Mellon Optima L/S Strategy
One Boston Place Officer Fund, LLC; formerly Director, Blackrock, Inc., Senior
Boston, MA 02108 Vice President, State Street Research & Management
4/8/57 Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
24
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[LOGO]MELLON
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6945SA0607
[LOGO] Mellon
--------------------------
Mellon Institutional Funds
Semiannual Report Standish Mellon
Yield Plus Fund
- --------------------------------------------------------------------------------
June 30, 2007 (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://www.melloninstitutionalfunds.com.
To view the Fund's proxy voting guidelines and proxy voting record for the
12-month period ended June 30 visit http://www.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 Yield Plus 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, 2007 to June 30, 2007).
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 expense
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, 2007
January 1, 2007 June 30, 2007 to June 30, 2007
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,016.60 $2.00
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). The example reflects the
combined expenses of the Fund and the master portfolio in which it invests
all its assets.
3
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Portfolio Information as of June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
The Standish Mellon Yield Plus Fund invests all of its investable assets in an
interest of the Standish Mellon Yield Plus 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 below.
Percentage of
Economic Sector Allocation Investments
- ---------------------------------------------
Treasury/Agency 0.4%
Corporates 20.0
Asset-Backed 52.4
Cash & equivalents 27.2
-----
100.0%
Percentage of
Top Ten Holdings* Rate Maturity Investments
- -----------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2006-6CB 1A2 5.50% 5/25/2036 4.5%
Countrywide Alternative Loan Trust 2005-65CB 1A5 (a) 5.50 1/25/2036 4.5
Daimler Chrysler NA Holding Corp 5.79 3/13/2009 2.8
American Express Issuance Trust 2005-1 C 5.65 8/15/2011 2.8
Advanta Business Card Master Trust 2005-C1 C1 5.83 8/22/2011 2.8
Asset Backed Funding Certificates 2005-WMC1 M4 5.91 6/25/2035 2.8
Gracechurch Card Funding PLC 5.63 9/15/2010 2.8
Residential Asset Securities Corp. 2005-EMX4 M7 6.57 11/25/2035 2.8
Bayview Financial Acquisition Trust 2007-A 1A1 6.13 5/28/2037 2.6
Household Home Equity Loan Trust 2006-3 A1F 5.98 3/20/2036 2.3
----
30.7%
*Excluding short-term investments.
Summary of Combined Ratings
- -----------------------------------
Percentage of
Quality Breakdown Investments
- -----------------------------------
AAA and higher 48.4%
AA 6.6
A 12.0
BBB 31.7
BB 1.3
-----
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 Portfolio treats the security as being rated in the higher rating category.
4
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Standish Mellon Yield Plus Portfolio ("Portfolio"), at value (Note 1A) $25,584,274
Due from advisor 17,786
Receivable for Fund shares redeemed 1,356
Prepaid expenses 6,811
-----------
Total assets 25,610,227
Liabilities
Payable for Fund shares redeemed $102,391
Distributions payable 27,459
Accrued professional fees 18,440
Accrued transfer agent fees (Note 2) 3,927
Accrued shareholder reporting expenses (Note 2) 1,100
Accrued administrative service fee (Note 2) 579
Accrued trustees' fees and expenses (Note 2) 494
Accrued chief compliance officer fees (Note 2) 339
Other accrued expenses and liabilities 43
--------
Total liabilities 154,772
-----------
Net Assets $25,455,455
===========
Net Assets consist of:
Paid-in capital $28,157,020
Accumulated net realized loss (2,481,047)
Undistributed net investment income 6,239
Net unrealized depreciation (226,757)
-----------
Total Net Assets $25,455,455
===========
Shares of beneficial interest outstanding 1,336,478
===========
Net Asset Value, offering and redemption price per share
(Net Assets/Shares outstanding) $ 19.05
===========
The accompanying notes are an integral part of the financial statements.
5
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest and security lending income allocated from Portfolio $596,342
Dividend income from affiliated investments 123,910
Expenses allocated from Portfolio (53,064)
--------
Net investment income allocated from Portfolio 667,188
Expenses
Professional fees $ 14,826
Registration fees 7,240
Transfer agent fees (Note 2) 3,152
Chief compliance officer expense (Note 2) 2,078
Administrative services fees (Note 2) 2,043
Trustees' fees (Note 2) 992
Insurance expense 118
Miscellaneous expenses 4,971
--------
Total expenses 35,420
Deduct:
Reimbursement of Fund operating expenses (Note 2) (35,420)
--------
Net expenses --
--------
Net investment income 667,188
--------
Realized and Unrealized Gain (Loss) Net realized gain (loss) allocated from
Portfolio on:
Investments (24,563)
Financial futures transactions 9,136
--------
Net realized gain (loss) (15,427)
Change in unrealized appreciation (depreciation) allocated from Portfolio on:
Investments (210,968)
Financial futures contracts 1,484
--------
Net change in unrealized appreciation (depreciation) (209,484)
--------
Net realized and unrealized gain (loss) allocated from the Portfolio (224,911)
--------
Net Increase in Net Assets from Operations $442,277
========
The accompanying notes are an integral part of the financial statements.
6
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
---------------- -----------------
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 667,188 $ 1,462,882
Net realized gain (loss) (15,427) (173,886)
Change in net unrealized appreciation (depreciation) (209,484) 277,180
----------- -----------
Net increase (decrease) in net assets from investment operations 442,277 1,566,176
----------- -----------
Distributions to Shareholders (Note 1C)
From net investment income (660,949) (1,476,693)
----------- -----------
Total distributions to shareholders (660,949) (1,476,693)
----------- -----------
Fund Share Transactions (Note 4)
Net proceeds from sale of shares 10,791,237 5,751,020
Value of shares issued to shareholders in reinvestment of distributions 512,260 1,238,342
Cost of shares redeemed (7,006,406) (24,361,166)
----------- -----------
Net increase (decrease) in net assets from Fund share transactions 4,297,091 (17,371,804)
----------- -----------
Total Increase (Decrease) in Net Assets 4,078,419 (17,282,321)
Net Assets
At beginning of period 21,377,036 38,659,357
----------- -----------
At end of period (including undistributed net investment
income gain (loss) of $6,239 and $0, respectively) $25,455,455 $21,377,036
=========== ===========
The accompanying notes are an integral part of the financial statements.
7
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Financial Highlights
- ----------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 ----------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
----------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period $ 19.21 $ 19.16 $ 19.32 $ 19.48 $ 19.55 $ 19.55
-------- -------- -------- -------- -------- --------
From Operations:
Net investment income* (a) 0.48 0.87 0.62 0.27 0.31 0.58
Net realized and unrealized
gain (loss) on investments (0.16) 0.07 (0.11) (0.12) (0.04) 0.03
-------- -------- -------- -------- -------- --------
Total from investment operations 0.32 0.94 0.51 0.15 0.27 0.61
-------- -------- -------- -------- -------- --------
Less Distributions to Shareholders:
From net investment income (0.48) (0.89) (0.67) (0.31) (0.34) (0.61)
-------- -------- -------- -------- -------- --------
Total distributions to shareholders (0.48) (0.89) (0.67) (0.31) (0.34) (0.61)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period $ 19.05 $ 19.21 $ 19.16 $ 19.32 $ 19.48 $ 19.55
======== ======== ======== ======== ======== ========
Total Return (b) 1.66%(e) 5.00% 2.66% 0.75% 1.48% 3.14%
Ratios/Supplemental Data:
Expenses (to average daily net assets)*(c) 0.40%(d) 0.29% 0.32% 0.45% 0.36% 0.36%
Net Investment Income (to average daily net assets)* 5.04%(d) 4.54% 3.24% 1.33% 1.60% 2.99%
Net Assets, End of Period (000's omitted) $ 25,456 $ 21,377 $ 38,659 $ 67,230 $141,837 $146,620
- -----------------
* 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 ratios without waivers and reimbursement would have
been:
Net investment income per share (a) $ 0.44 $ 0.78 $ 0.57 $ 0.25 $ 0.30 $ 0.56
Ratios (to average daily net assets):
Expenses (c) 0.78%(d) 0.75% 0.62% 0.51% 0.43% 0.46%
Net investment income 4.67%(d) 4.09% 2.95% 1.27% 1.53% 2.89%
(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 Yield Plus Portfolio's
allocated expenses.
(d) Calculated on an annualized basis.
(e) Not annualized.
The accompanying notes are an integral part of the financial statements.
8
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus Fund
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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 Yield Plus Fund (the "Fund") is a separate diversified
investment series of the Trust.
The objective of the Fund is to achieve a high level of current income
consistent with preserving principal and liquidity. The Fund invests all of
its investable assets in an interest of Standish Mellon Yield Plus
Portfolio (the "Portfolio"), a subtrust of 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, 2007). 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
Fund shares are valued as of the close of regular trading (normally 4:00
p.m., Eastern Time) on each day that the New York Stock Exchange ("NYSE")
is open. The Fund records its investments 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
The Fund's investments in the Portfolio are recorded on settlement date.
The Portfolio's securities transactions are recorded as of the trade date
as discussed in Note 1B of the Portfolio's Notes to Financial Statements,
which are included elsewhere in this report. 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 are 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 post-October losses, capital loss
carryovers, and the timing of recognition of realized and unrealized 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.
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.
9
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus 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. New accounting requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 The Bank of New York Mellon Corporation ("BNY
Mellon"), 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 0.40% of the Fund's
average daily net assets. Pursuant to this agreement, for the six months
ended June 30, 2007, Standish Mellon voluntarily reimbursed the Fund for
$35,420 of its operating expenses. This agreement is voluntary and
temporary and may be discontinued or revised by Standish Mellon at any
time.
The Trust entered into an agreement with Dreyfus Transfer, Inc., a
wholly-owned subsidiary of The Dreyfus Corporation, a wholly-owned
subsidiary of BNY Mellon 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
$3,152 for the six months ended June 30, 2007.
The Trust has contracted Mellon Investor Services LLC, a wholly owned
subsidiary of BNY Mellon and an affiliate of Standish Mellon, to provide
printing and fulfillment services for the Fund. Pursuant to this agreement,
the Fund was charged $1,100 for the six months ended June 30, 2007, which
is included in miscellaneous expenses in the statement of operations.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's Chief Compliance Officer. For the six months ended
June 30, 2007, the Fund was charged $2,078. No other director, officer or
employee of Standish Mellon or its affiliates receives any compensation
from the Trust or the Portfolio Trust for serving as an officer or Trustee
of the 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, 2007, the Fund was charged $938 for fees payable
to BNY Mellon Private Wealth Management.
Effective June 30, 2007, MBSC Securities Corporation ("MBSC"), a wholly
owned subsidiary of BNY Mellon and an affiliate of Standish, replaced
Mellon Funds Distributor, L.P. as the Fund's principal distributor.
(3) Investment Transactions:
Increases and decreases in the Fund's investment in the Portfolio for the
six months ended June 30, 2007 aggregated $11,302,141 and $7,560,583,
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.
10
Mellon Institutional Funds Investment Trust
Standish Mellon Yield Plus 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, 2007 December 31, 2006
---------------- -----------------
Shares sold 563,603 299,660
Shares issued to shareholders
for reinvestment of distributions 26,803 64,517
Shares redeemed (366,739) (1,268,985)
---------- ----------
Net increase (decrease) 223,667 (904,808)
========== ==========
At June 30, 2007, three shareholders of record held, in the aggregate,
approximately 56% 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, 2007, the Fund did not
receive redemption fees.
(5) Federal Taxes:
Each year, the Fund intends to qualify as a "regulated investment company"
under Subchapter M of the Code. As such and by complying with the
applicable provisions of the Code regarding the sources of its income, the
timely distributions of its income to its shareholders, and the
diversification of its assets, the Fund will not be subject to U.S. federal
income tax on its investment company taxable income and net capital gain
which are distributed to shareholders.
In July 2006, the FASB issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an Interpretation of FASB Statement No.
109" (the "Interpretation"). The Interpretation establishes for all
entities, including pass-through entities such as the Portfolio, a minimum
threshold for financial statement recognition of the benefit of positions
taken in filing tax returns (including whether an entity is taxable in a
particular jurisdiction), and requires certain expanded tax disclosures.
Adoption of FIN 48 is required for fiscal years beginning after December
15, 2006 and is to be applied to all open tax years as of the effective
date. Management has evaluated the implications of FIN 48 and determined
that it will not have any impact on the financial statements.
See the corresponding master portfolio for tax basis unrealized
appreciation (depreciation) information.
11
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------
UNAFFILIATED INVESTMENTS--72.7%
BONDS AND NOTES--69.0%
Asset Backed--51.9%
Accredited Mortgage Loan Trust 2006-2M7(a) 6.170% 9/25/2036 USD 250,000 $ 196,750
Advanta Business Card Master Trust 2005-C1 C1 (a) 5.830 8/22/2011 500,000 501,869
American Express Issuance Trust 2005-1 C (a) 5.650 8/15/2011 500,000 502,080
Asset Backed Funding Certificates 2005-WMC1 M4 (a) 5.910 6/25/2035 500,000 499,996
Asset Backed Securities Corp. Home Equity 2006-HE5 M7 (a) 6.220 7/25/2036 250,000 235,115
Bank of America Credit Card Trust 2007-C1 C1 (a) 5.610 6/15/2014 225,000 224,473
Bank of America Funding Corp. 2007-1 TA1B (a) 5.846 1/25/2037 204,711 204,592
Bank of America Funding Corp. 2007-2 TA1B (a) 5.806 3/25/2037 274,154 273,554
Bayview Financial Acquisition Trust 2006-A 1A1 5.614 2/28/2041 264,070 262,820
Bayview Financial Acquisition Trust 2007-A 1A1 6.129 5/28/2037 457,501 457,071
Bear Stearns Alt-A Trust 2005-1 A1 (a) 5.600 1/25/2035 192,689 193,032
Centex Home Equity 2003-B AF4 3.235 2/25/2032 99,047 97,704
Chase Funding Mortgage Loan Asset Backed 2003-3 2A2 (a) 5.590 4/25/2033 227,345 227,445
Chase Manhattan Auto Owner Trust 2005-A A3 3.870 6/15/2009 293,781 291,487
Citigroup Mortgage Loan Trust, Inc. 2005-OPT4 A2B (a) 5.470 7/25/2035 12,425 12,425
Citigroup Mortgage Loan Trust, Inc. 2006-WF1 A2A 5.701 3/25/2036 87,242 87,008
Coldwater Cdo, Ltd. 144A (a)(b) 6.570 8/5/2046 350,000 304,080
Collegiate Funding Services Education Loan 2005-A A1 (a) 5.380 9/29/2014 113,610 113,680
Countrywide Alternative Loan Trust 2005-65CB 1A5 (a) 5.500 1/25/2036 813,519 796,258
Countrywide Alternative Loan Trust 2006-6CB 1A2 (a) 5.500 5/25/2036 801,833 799,827
Countrywide Asset-Backed Certificates 2006-13 MV7 (a) 6.270 1/25/2037 250,000 216,898
Countrywide Asset-Backed Certificates 2007-4 A1B 5.810 9/25/2037 241,994 241,504
Countrywide Asset-Backed Certificates CWL 2004-15 AF3 (a) 4.025 1/25/2031 120,431 119,748
Countrywide Home Loans 2004-16 1A1 (a) 5.720 9/25/2034 206,449 206,825
Credit Suisse Mortgage Capital Certificate 2007-1 1A1A (a) 5.942 2/25/2037 214,282 214,435
Credit Suisse Mortgage Capital Certificate 2007-3 1A1A (a) 5.837 4/25/2037 227,758 227,383
Credit-Based Asset Servicing and Securitization 2006-CB2 AF1 5.717 12/25/2036 171,891 171,270
Credit-Based Asset Servicing and Securitization 2007-CB1 AF1B 6.004 1/25/2037 222,749 222,474
Credit-Based Asset Servicing and Securitization 2007-CB2 A2A 5.891 2/25/2037 209,558 209,179
Deutache Alt-A Securities Inc. Mortgage 2006-AB4 A1A (a) 6.005 10/25/2036 199,219 199,093
Gracechurch Card Funding PLC-9C (a) 5.630 9/15/2010 500,000 499,995
GS Auto Loan Trust 2004-1 A4 2.650 5/16/2011 176,336 175,819
Home Equity Mortgage Trust 2006-5 A1 5.500 1/25/2037 186,222 186,033
Household Automotive Trust 2005-3 A3 4.800 10/18/2010 180,133 179,541
HFC Home Equity Loan Trust 2006-3 A1F 5.980 3/20/2036 397,926 397,259
Nissan Auto Receivables Owner Trust 2006-A A3 4.740 9/15/2009 250,000 248,981
Nomura Home Equity Loan, Inc. 2006-WF1 M8 (a) 6.320 3/25/2036 300,000 259,151
Opteum Mortgage Acceptance Corp. 2005-5 2A1A (a) 5.470 12/25/2035 363,540 362,249
Popular ABS Mortgage Pass-Through Trust 2004-4 AF4 (a) 4.628 9/25/2034 350,000 340,703
Renaissance Home Equity Loan Trust 2007-1 AF1 5.742 4/25/2037 187,376 186,883
Residential Asset Securities Corp. 2005-EMX4 M7 (a) 6.570 11/25/2035 500,000 491,720
Residential Funding Mortgage Securities II 2006-HSA2 AI3 (a) 5.500 3/25/2036 200,000 198,543
Saxon Asset Securities Trust 2006-3 A3 (a) 5.490 11/25/2036 250,000 249,836
Structured Asset Securities Corp. 2006-EQ1A M7 144A (a) 6.320 7/25/2036 250,000 229,521
Structured Asset Securities Corp. 2006-S2 M3 (a) 5.650 6/25/2036 381,000 380,118
Triad Auto Receivables Owner Trust 2004-A A4 2.500 9/13/2010 179,052 175,315
Wachovia Auto Owner Trust 2004-B A4 3.440 3/21/2011 400,000 395,175
-----------
Total Asset-Backed (Cost $13,510,846) 13,266,917
===========
The accompanying notes are an integral part of the financial statements.
12
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Par Value
Security Rate Maturity Value (Note 1A)
- -------------------------------------------------------------------------------------------------------------------
Corporate--17.1%
Automobiles--2.0%
Daimler Chrysler NA Holding Corp. (a) 5.790% 3/13/2009 USD 500,000 $ 502,110
-----------
Banking--1.9%
ICICI Bank Ltd. 144A (a) 5.895 1/12/2010 100,000 100,167
Kaupthing Bank HF 144A (a) 6.056 1/15/2010 385,000 389,070
-----------
489,237
-----------
Broadcasting--1.4%
Time Warner, Inc. (a) 5.590 11/13/2009 350,000 350,336
-----------
Financial--4.3%
Glitnir Banki HF 144A (a)(b) 5.829 1/18/2012 250,000 251,322
Istar Financial, Inc. (a) 5.710 3/9/2010 250,000 250,284
Landsbanki Islands HF 144A (a) 6.060 8/25/2009 350,000 353,635
Lehman Brothers Holdings (a) 5.585 1/12/2012 250,000 249,738
-----------
1,104,979
-----------
Healthcare--0.9%
Hospira, Inc. (a) 5.840 3/30/2010 235,000 235,590
-----------
Industrial--1.2%
Martin Marieta Material (a) 5.505 4/30/2010 300,000 300,212
-----------
Real Estate--1.0%
HRPT Properties Trust REIT (a) 5.960 3/16/2011 250,000 250,114
-----------
Telecommunication Services--2.7%
Telecom Italia Capital (a) 5.969 7/18/2011 350,000 352,555
Telefonica Emisiones SAU (a) 5.660 6/19/2009 350,000 351,120
-----------
703,675
-----------
Utilities--1.7%
Appalachian Power Co 3.600 5/15/2008 130,000 127,933
Nisource Finance Corp. (a) 5.930 11/23/2009 310,000 310,482
-----------
438,415
-----------
Total Corporate (Cost $4,358,465) 4,374,668
-----------
U.S. Government Agency--0.0%
FHLMC (Cost $1,205) 5.000 6/15/2016 1,177 1,175
-----------
TOTAL BONDS AND NOTES (Cost $17,870,516) 17,642,760
-----------
SHORT TERM INVESTMENTS--3.7%
U.S. Treasury Bill--0.4%
U.S. Treasury Bill (c) (Cost $98,884) 4.680 9/27/2007 100,000 98,869
-----------
Commercial Paper--3.3%
Cox Enterprises Inc 5.570 8/15/2007 249,975 249,975
Grand Funding Corp 5.360 7/13/2007 300,000 299,509
Pearson Holdings Inc 5.330 7/6/2007 300,000 299,822
-----------
Total Commercial Paper (Cost $849,331) 849,306
-----------
TOTAL SHORT-TERM INVESTMENTS (Cost $948,215) 948,175
-----------
TOTAL UNAFFILIATED INVESTMENTS (Cost $18,818,731) 18,590,935
-----------
The accompanying notes are an integral part of the financial statements.
13
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Schedule of Investments -- June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Value
Security Shares (Note 1A)
- -----------------------------------------------------------------------------------
AFFILIATED INVESTMENTS--27.8%
Dreyfus Institutional Preferred Plus Money Market (d)
(Cost $7,108,675) 7,108,675 $ 7,108,675
-----------
Total Investments--100.5% (Cost $25,927,406) 25,699,610
-----------
Liabilities in Excess of Other Assets--(0.5%) (115,336)
-----------
NET ASSETS--100.0% $25,584,274
===========
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 $1,627,795 or 6.4% of net assets.
FHLMC--Federal Home Loan Mortgage Company REIT--Real Estate Investment Trust (a)
Variable Rate Security; rate indicated as of June 30, 2007. (b) Illiquid
security, At the period end, the value of these securities
amounted to $555,402 or 2.2% of net assets.
(c) Denotes all of part of security pledged as collateral.
(d) Affiliated institutional money market fund.
At June 30, 2007, the Fund held the following futures contracts:
Underlying Face Unrealized
Contract Position Expiration Date Amount at Value Appreciation
- --------------------------------------------------------------------------------------------
90 Day--EURO BOND (1 Contract) Long 3/17/2008 $236,975 $ 347
90 Day--EURO BOND (1 Contract) Long 6/16/2008 237,063 335
90 Day--EURO BOND (1 Contract) Long 9/17/2007 236,675 110
90 Day--EURO BOND (1 Contract) Long 12/17/2007 236,787 247
-------
$ 1,039
=======
The accompanying notes are an integral part of the financial statements.
14
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Assets
Investments in securities
Unaffiliated issuers, at value (Note 1A) (cost $18,818,731) $18,590,935
Affiliated issuers (Note 1F), at value (Note 1A) (cost $7,108,675) 7,108,675
Receivable from Investment Advisor 971
Interest and dividends receivable 102,084
Receivable for variation margin on open futures contracts (Note 5) 500
Prepaid expenses 294
-----------
Total assets 25,803,459
Liabilities
Due to Custodian $ 4,685
Payable for investment securities purchased 181,030
Accrued professional fees 14,790
Accrued investment advisor fees (Note 2) 14,073
Accrued accounting, administration and custody fees (Note 2) 2,298
Accrued trustees' fees and expenses (Note 2) 1,025
Other accrued expenses and liabilities 1,284
---------
Total liabilities 219,185
-----------
Net Assets (applicable to investors' beneficial interest) $25,584,274
===========
The accompanying notes are an integral part of the financial statements.
15
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
Investment Income (Note 1B)
Interest income $596,292
Dividend income from affiliated investments (Note 1F) 123,910
Security lending income (Note 6) 50
--------
Total investment income 720,252
Expenses
Investment advisory fee (Note 2) $ 26,532
Accounting, administration and custody fees (Note 2) 23,146
Professional fees 14,317
Trustees' fees and expenses (Note 2) 1,239
Insurance expense 831
Miscellaneous expenses 1,694
---------
Total expenses 67,759
Deduct
Waiver of investment advisory fee (Note 2) (14,695)
---------
Net expenses 53,064
--------
Net investment income 667,188
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investments (24,563)
Financial futures transactions 9,136
---------
Net realized gain (loss) (15,427)
Change in unrealized appreciation (depreciation) on:
Investments (210,968)
Financial futures contracts 1,484
---------
Change in net unrealized appreciation (depreciation) (209,484)
--------
Net realized and unrealized gain (loss) (224,911)
--------
Net Increase in Net Assets from Operations $442,277
========
The accompanying notes are an integral part of the financial statements.
16
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the
Six Months Ended For the
June 30, 2007 Year Ended
(Unaudited) December 31, 2006
Increase (Decrease) in Net Assets:
From Operations
Net investment income $ 667,188 $ 1,462,882
Net realized gain (loss) (15,427) (173,886)
Change in net unrealized appreciation (depreciation) (209,484) 277,180
----------- -----------
Net increase (decrease) in net assets from investment operations 442,277 1,566,176
----------- -----------
Capital Transactions
Contributions 11,302,141 6,989,509
Withdrawals (7,560,583) (25,868,412)
----------- -----------
Net increase (decrease) in net assets from capital transactions 3,741,558 (18,878,903)
----------- -----------
Total Increase (Decrease) in Net Assets 4,183,835 (17,312,727)
Net Assets
At beginning of period 21,400,439 38,713,166
----------- -----------
At end of period $25,584,274 $21,400,439
=========== ===========
The accompanying notes are an integral part of the financial statements.
17
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Financial Highlights
- --------------------------------------------------------------------------------
For the
Six Months Ended Year Ended December 31,
June 30, 2007 ------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
----------- ------ ------ ------ ------ ------
Total Return (a) 1.66%(b) 5.00%(b) 2.66%(b) 0.79% 1.48%(b) 3.14%(b)
Ratios:
Expenses (to average daily net assets)* 0.40%(d) 0.29% 0.32% 0.41% 0.36% 0.36%
Net Investment Income (to average daily net assets)* 5.04%(d) 4.54% 3.24% 1.36% 1.60% 2.99%
Portfolio Turnover 18%(c) 43% 75% 39% 113% 160%
Net Assets, End of Period (000's omitted) $25,584 $21,400 $38,713 $67,267 $141,856 $146,771
- -----------------
* 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 ratios without waivers and reimbursements would
have been:
Ratios (to average daily net assets):
Expenses 0.51%(d) 0.54% 0.44% N/A 0.37% 0.38%
Net investment income 4.93%(d) 4.29% 3.12% N/A 1.59% 2.97%
(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.
(b) Total return would have been lower in the absence of expense waivers. (c)
Not annualized. (d) Calculated on an annualized basis.
The accompanying notes are an integral part of the financial statements.
18
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(1) Organization and 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 Yield Plus 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, 2007 there was one fund, Standish Mellon Yield Plus 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, 2007 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
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. With respect to
any portion of the Portfolio's assets that are invested in one or more
open-end regulated investment companies ("RICs"), the Portfolio's net asset
value ("NAV") will be calculated based upon the NAVs of such RICs.
Exchange traded options and futures are valued at the settlement price
determined by the relevant exchange. Non-exchange traded derivatives are
normally valued on the basis of quotes obtained from brokers and dealers,
including counterparties, or pricing services.
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 then is 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 when required for
federal income tax purposes. Dividend income is recorded on the ex-dividend
date. 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. Income taxes
The Portfolio is treated as a disregarded entity for U.S. federal income
tax purposes and consequently, each corresponding Feeder Fund that invests
in a Portfolio is treated for U.S. federal income tax purposes as owning
all of the underlying assets of such Portfolio. 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.
19
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus 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 The Bank of New York Mellon Corporation ("BNY Mellon"), or its
affiliates.
G. New Accounting Requirements
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157 "Fair Value
Measurements" ("FAS 157"). FAS 157 establishes an authoritative definition
of fair value, sets out a framework for measuring fair value, and requires
additional disclosures about fair-value measurements. The application of
FAS 157 is required for fiscal years beginning after November 15, 2007 and
interim periods within those fiscal years. At this time, management is
evaluating the implications of FAS 157 and its impact, if any, in the
financial statements has not yet been determined.
(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 annual
operating expenses of the Fund and its pro rata share of the Portfolio's
expenses (excluding brokerage commissions, taxes and extraordinary
expenses) to 0.40% of the Fund's average daily net assets. Pursuant to this
agreement, for the six months ended June 30, 2007, Standish Mellon
voluntarily waived a portion of its investment advisory fee in the amount
of $14,695. This agreement is voluntary and temporary and may be
discontinued or revised by Standish Mellon at any time.
The Portfolio Trust has entered into an agreement with Mellon Bank, N.A.
("Mellon Bank"), a wholly owned subsidiary of BNY Mellon 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 $23,146 for the six months ended June 30, 2007.
The Portfolio Trust 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 earned $21 for
the six months ended June 30, 2007. See Note 6 for further details.
The Trust reimburses BNY Mellon Asset Management for a portion of the
salary of the Trust's and Portfolio 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, 2007 were as follows:
Purchases Sales
------------ ------------
U.S. Government Securities $ -- $ 243,575
------------ ------------
Non-U.S. Government Securities $ 7,551,775 $ 3,438,670
============ ============
20
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus Portfolio
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
(4) Federal Taxes:
In July 2006, FASB issued Interpretation No. 48 ("FIN 48"), "Accounting for
Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109"
(the "Interpretation"). The Interpretation establishes for all entities,
including pass-through entities such as the Portfolio, a minimum threshold
for financial statement recognition of the benefit of positions taken in
filing tax returns (including whether an entity is taxable in a particular
jurisdiction), and requires certain expanded tax disclosures. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006 and
is to be applied to all open tax years as of the effective date. Management
has evaluated the implications of FIN 48 and determined that it will not
have any impact on the financial statements.
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 2007, as computed on a federal
income tax basis, were as follows:
Cost for federal income tax purposes $ 25,927,406
============
Gross unrealized appreciation 27,462
Gross unrealized depreciation (255,258)
------------
Net unrealized appreciation (depreciation) $ (227,796)
============
(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 purchase
or sale 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 appreciation or depreciation 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 also 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, 2007, 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 is not sufficient
to meet the Portfolio's obligations due on the loans.
The Portfolio loaned securities during the six months ended June 30, 2007
and earned interest on the invested collateral of $3,635 of which, $3,585
was rebated to borrowers or paid in fees. At June 30, 2007, the Portfolio
had no securities on loan.
21
Mellon Institutional Funds Master Portfolio
Standish Mellon Yield Plus 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. The Fund/Portfolio also pays
an annual renewal fee, computed at a rate of 0.020 of 1% of the committed
amount and allocated ratably to the participating funds/portfolios. For the
six months ended June 30, 2007, the Portfolio was not charged a fee.
For the six months ended June 30, 2007, the Portfolio did not borrow from
the credit line.
(8) Subsequent Event:
On June 22, 2007, the Board of Trustees of the Trust considered and
approved a proposal to liquidate and dissolve the Fund. If the shareholders
of record of the Fund approve these actions at a meeting anticipated to be
held in late September 2007, the Fund will be liquidated and dissolved as
soon as practicable thereafter. It is currently expected that the
liquidation and dissolution of the Fund would be effective on or before the
close of business on October 26, 2007.
22
Trustees and Officers (Unaudited)
The following table lists the Trust's trustees and officers; their age, 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, 2007. The Fund'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 (Age) 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 2007)
- -----------------------------------------------------------------------------------------------------------------------------------
Samuel C. Fleming (66) Trustee Trustee since Chairman Emeritus, 32 None Fund: $375
61 Meadowbrook Road 11/3/1986 Decision Resources, Inc. Portfolio: $441
Weston, MA 02493 ("DRI") (biotechnology
9/30/40 research and consulting
firm); formerly Chairman
of the Board and Chief
Executive Officer, DRI
Benjamin M. Friedman (63) Trustee Trustee since William Joseph Maier, 32 None Fund: $375
c/o Harvard University 9/13/1989 Professor of Political Portfolio: $441
Littauer Center 127 Economy, Harvard
Cambridge, MA 02138 University
8/5/44
John H. Hewitt (72) Trustee Trustee since Trustee, Mertens 32 None Fund: $375
P.O. Box 2333 11/3/1986 House, Inc. (hospice) Portfolio: $441
New London, NH 03257
4/11/35
Caleb Loring III (63) Trustee Trustee since Trustee, Essex Street 32 None Fund: $375
c/o Essex Street Associates 11/3/1986 Associates (family Portfolio: $475
P.O. Box 5600 investment trust office) Beverly, MA 01915
11/14/43
Interested Trustees
Patrick J. Sheppard (42)* Trustee, President Since 2003 President and Chief 32 None $0
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
* Effective August 10, 2007, Mr. Sheppard resigned as Trustee, President and
Chief Executive Officer of the Trust.
23
Principal Officers who are Not Trustees
Name (Age) 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 (46)* Vice President Since 2003 Senior Vice President and Head of Operations,
BNY Mellon Asset Management and Secretary BNY 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 (42) Vice President Vice President Vice President and Mutual Funds Controller,
BNY Mellon Asset Management and Treasurer since 1999; BNY Mellon Asset Management; formerly Assistant
One Boston Place Treasurer Vice President and Mutual Funds Controller, Standish
Boston, MA 02108 since 2002 Mellon Asset Management Company, LLC
7/14/65
Denise B. Kneeland (56) Assistant Vice Since 1996 First Vice President and Manager, Mutual Funds
BNY Mellon Asset Management President Operations, BNY 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
Mary T. Lomasney (50) Chief Since 2005 First Vice President, BNY Mellon Asset Management and
BNY Mellon Asset Management Compliance Chief Compliance Officer, Mellon Optima L/S Strategy
One Boston Place Officer Fund, LLC; formerly Director, Blackrock, Inc., Senior
Boston, MA 02108 Vice President, State Street Research & Management
4/8/57 Company ("SSRM"), and Vice President, SSRM
* Effective August 10, 2007, Ms. McCann was elected President and Chief
Executive Officer of the Trust.
24
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[LOGO] MELLON
--------------------------
Mellon Institutional Funds
One Boston Place
Boston, MA 02108-4408
800.221.4795
www.melloninstitutionalfunds.com
6926SA0607
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, President and Secretary
Date: September 7, 2007
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/ BARBARA A. MCCANN
---------------------
Barbara A. McCann, President and Chief Executive
Officer
Date: September 7, 2007
By (Signature and Title): /s/ STEVEN M. ANDERSON
----------------------
Steven M. Anderson, Vice President and Treasurer
Date: September 7, 2007