20.19% median return through June the fourth strongest 12-month performance on record

BOSTON, August 9, 2011 — The median return of the BNY Mellon U.S. Master Trust Universe was 20.19% for the twelve months ending June 30, 2011, the fourth highest 12-month return since the universe was first published in 1999. Even with a relatively weak second quarter return of 1.23%, the median was up nearly 5.00% on a year-to-date basis through June. Median returns for all extended time periods were also in positive territory.

With a market value of $2.26 trillion and an average plan size of $3.1 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 738 corporate, foundation, endowment, public, Taft-Hartley and health care plans.

"Although performance was weak across the board for all plan types during the second quarter, the 12-month returns were impressive, with public funds posting the strongest results, topping 21%. Even health care plans, which traditionally have had lower returns due to their asset mix, experienced positive results in excess of 17% for the one-year period," said Greg Stewart, managing director and regional product manager of BNY Mellon Asset Servicing. "Over shorter timeframes we see a bunching of returns, with most plans reporting in the 1% range for the quarter and 4-5% year-to-date."

Highlights

• 98% of plans posted positive results for the quarter ending June 30, 2011. Year-to-date, just two plans failed to post positive results and all plans were in positive territory for the full year period.
• 61% of plans matched or outperformed the custom policy return of 1.03% for the second quarter. Year-to-date, 56% of the plans matched or outperformed the custom policy return of 4.82%, and the number falls to 47% of plans when compared to the one-year return of 20.45%.
• Corporate pensions were the leading performer for the second quarter, posting a median return of 1.31%, closely followed by public, endowments, foundations, Taft-Hartley and health care plans.
• For the full year period ending June 30, 2011, public plans were the leading performers, posting a median return of 21.31%, followed closely by Taft-Hartley, foundations, corporates, endowments and health care plans.
• Non-U.S. fixed income was the dominant asset class for the quarter with a median return of 3.35%, compared to the Citigroup Non-U.S. World Government Bond Index return of 3.68%. U.S. fixed income posted a median return of 2.23%, versus the Barclays Capital U.S. Aggregate Bond Index return of 2.29%. Non-U.S. equities posted 1.09% for the quarter, slightly lagging the Russell Developed ex US Large Cap Index result of 1.25%. U.S. equities were the lowest performing asset class for the quarter with a median return of 0.07%, versus the Barclays Capital U.S. Aggregate Bond Index return of -0.03%.

"Bucking the trend of previous quarters, domestic equities were the weakest asset class, barely posting a positive return. As a result, many institutional investors experienced muted second quarter performance as they have significant allocation to this asset class," said Stewart. "However, full year returns for investors were boosted by strong equity performance, which helped all segments of the U.S. BNY Mellon Master Trust Universe."

The average asset allocation in the BNY Mellon U.S. Master Trust Universe for the second quarter was: U.S. equity 32%, U.S. fixed income 26%, non-U.S. equity 18%, non-U.S. fixed income 2%, alternative investments 11%, real estate 2%, cash 2%, and other (oil, gas, etc.) 7%.

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 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, offering superior investment management and investment services through a worldwide client-focused team. It has $26.3 trillion in assets under custody and administration and $1.3 trillion in assets under management, services $11.8 trillion in outstanding debt and processes global payments averaging $1.7 trillion per day. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK). Additional information is available at www.bnymellon.com and through Twitter @bnymellon.