Returns down nearly 5% for the quarter, ending four straight quarters of positive performance

BOSTON, August 9, 2010 — The median plan in the BNY Mellon U.S. Master Trust Universe posted a -4.87% return for the second quarter of 2010, over eight percentage points lower than last quarter, and ending a run of four consecutive quarters of positive performance.  Year-to-date, the median plan returned -1.35%, but for the twelve-months ended June 30, 2010 the median return was 13.23%.

With a market value of $1.74 trillion and an average plan size of $2.5 billion, the BNY Mellon U.S. Master Trust Universe is a fund-level tracking service that can be used to make peer comparisons of both performance and asset allocation results.  The Universe consists of 701 corporate, foundation, endowment, public, Taft-Hartley and health care plans.

"All types of plan sponsors were in the red during the quarter, with health care plans posting the best results, albeit still down more than three percent," said Greg Stewart, managing director and regional product manager of BNY Mellon Asset Servicing.  "Since health care plans have the greatest allocation to fixed income, they were less impacted by the significant fall in equity markets, with both domestic and international markets down double-digits."

Highlights

• Only 7% of plans posted positive results for the three-month period ending June 30, 2010.  On a year-to-date basis, 27% of plans saw positive returns.
• Despite the negative performance, 97% of the plans matched or outperformed the universe custom policy return of -8.08 in the second quarter.  For the year-to-date period, 94% of the plans outperformed the policy, which was down 3.9%.
• Health care plans were the top performing plan type for the second quarter with a -3.40% median return, followed by endowments, foundations, corporate pensions, Taft-Hartley and public plans.  
• U.S. fixed income led all asset classes for the quarter with a median return of 3.25%, versus the Barclays Capital U.S. Aggregate Bond Index return of 3.49%.  Non-U.S. fixed income posted a median return of -0.72%, ahead of the Citigroup Non-U.S. World Government Bond Index return of -1.26%.  U.S. equities posted a median return of -11.02%, compared to the Russell 3000 Index return of -11.32%. Non-U.S. equities returned -11.87%, outperforming the MSCI World ex USA Index return of -13.41%.  

"Ongoing volatility in equity markets was a major driver for the negative returns seen by investors in the second quarter as concerns over European debt took hold across global markets, coupled with a belief that the global economic recovery was more fragile than expected.  However, U.S. Treasuries did benefit from the flight to quality during the quarter, helping to drive the average plan's allocation to U.S. fixed income from 28% last quarter to 31% in Q2," said Stewart.

The average asset allocation in the BNY Mellon U.S. Master Trust Universe for the second quarter was: U.S. equity 31%, U.S. fixed income 31%, non-U.S. equity 15%, non-U.S. fixed income 2%, alternative investments 10%, real estate 2%, cash 1%, and other (oil, gas, etc.) 8%.

BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services. BNY Mellon Asset Servicing provides services through BNY Mellon and other related companies.

BNY Mellon (NYSE: BK) is a global financial services company focused on helping clients manage and service their financial assets, operating in 36 countries and serving more than 100 markets. BNY Mellon is a leading provider of financial services for institutions, corporations and high-net-worth individuals, providing superior asset management and wealth management, asset servicing, issuer services, clearing services and treasury services through a worldwide client-focused team. It has $21.8 trillion in assets under custody and administration and $1.0 trillion in assets under management, services $11.6 trillion in outstanding debt and processes global payments averaging $1.5 trillion per day. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation. Additional information is available at www.bnymellon.com.

Russell 3000 Index:  Russell Investment Group is the owner of the trademarks, service marks, and copyrights related to its indexes.

Barclays Capital U.S. Aggregate Bond Index: © Barclays Bank PLC 2010.  This data is provided by Barclays Bank PLC all rights are reserved.

Citigroup Non-US World Government Bond Index: © Citigroup Global Markets Inc., 2010. All rights reserved.

Source: MSCI.  MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein.  The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products.  This report is not approved, reviewed or produced by MSCI.