form-mft

N-CSR 1 form-mft.htm ANNUAL REPORT form-mft

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-09903

Mellon Funds Trust

(Exact name of Registrant as specified in charter)

c/o The Dreyfus Corporation

200 Park Avenue

New York, New York 10166

(Address of principal executive offices) (Zip code)

Mark N. Jacobs, Esq.

200 Park Avenue

New York, New York 10166

(Name and address of agent for service)

Registrant's telephone number, including area code: (212) 922-6000

Date of fiscal year end:		8/31
Date of reporting period:		8/31/06

FORM N-CSR

Item 1. Reports to Stockholders.

The Mellon Funds

Mellon Bond Fund

Mellon Intermediate Bond Fund

Mellon Short-Term U.S. Government Securities Fund

ANNUAL REPORT August 31, 2006

Contents

The Funds

Letter from the President		2
Discussion of Funds’ Performance
Mellon Bond Fund		3
Mellon Intermediate Bond Fund		6
Mellon Short-Term U.S.
Government Securities Fund		9
Understanding Your Fund’s Expenses		12
Comparing Your Fund’s Expenses
With Those of Other Funds		12
Statements of Investments		13
Statements of Assets and Liabilities		26
Statements of Operations		27
Statements of Changes in Net Assets		28
Financial Highlights		30
Notes to Financial Statements		36
Report of Independent Registered
Public Accounting Firm		42
Important Tax Information		43
Information About the Review
and Approval of Each Fund’s
Investment Advisory Agreement		44
Board Members Information		48
Officers of the Trust		50

For More Information

Back cover

The views expressed herein are current to the date of this report. These views and the composition of the funds’ portfolios are subject to change at any time based on market and other conditions.

Not FDIC-Insured
Not Bank-Guaranteed
May Lose Value

The Funds

We are pleased to present this annual report covering the 12-month period from September 1, 2005, through August 31, 2006.

After more than two years of steady and gradual increases, on August 8 the Federal Reserve Board (the “Fed”) decided to hold short-term interest rates unchanged at 5.25% . In the announcement of its decision, the Fed indicated that its previous rate hikes and high energy prices have contributed to a mild slowdown in U.S. economic growth. Recent reports of cooling housing markets in many regions of the United States appeared to confirm this view.

Most sectors of the taxable fixed income market rallied in the wake of the recent Fed announcement. Fixed-income investors apparently are optimistic that high energy prices and moderating home values may wring the adverse effects of excessive speculation from the market. In the municipal bond markets, most states and municipalities have continued to report higher-than-expected tax receipts as a result of the recovering economy, helping to support the credit quality of many municipal bond issuers.

As always, we encourage you to talk with your portfolio manager about these and other developments to help ensure that your portfolio remains aligned with your current financial needs and future investment goals.

For information about how each Fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Funds’ Performance.

Thank you for your continued confidence and support.

DISCUSSION OF FUND PERFORMANCE

John F. Flahive, Portfolio Manager

How did Mellon Bond Fund perform relative to its benchmark?

For the 12-month period ended August 31, 2006, the fund’s Class M shares achieved a total return of 1.20%, and its Investor shares achieved a total return of 1.01% .¹In comparison, the Lehman Brothers U.S. Aggregate Index (the “Index”), the fund’s benchmark, achieved a total return of 1.71% for the same period.²

The U.S. bond market achieved a positive total return for the reporting period after a rally during the summer of 2006 erased earlier losses. Investors’ inflation concerns apparently waned when signs of a possible economic slowdown emerged. The fund produced lower returns than its benchmark, primarily due to its relatively defensive duration management strategy, which helped the fund withstand heightened market volatility in the spring but prevented it from participating fully in the summer’s rally.

What is the fund’s investment approach?

The fund seeks total return (consisting of capital appreciation and current income).To pursue its goal, the fund actively manages bond market and maturity exposure and invests at least 80% of its assets in bonds, such as U.S.Treasury and government agency bonds, corporate bonds, mortgage-related securities and foreign corporate and government bonds.The fund’s investments in bonds must be rated investment grade quality at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective duration will not exceed eight years.

What other factors influenced the fund’s performance?

Despite headwinds such as the 2005 Gulf Coast hurricanes, volatile energy prices and rising borrowing costs, the U.S. economy continued to grow at a sustainable pace at the start of the reporting period. Still, over the final months of 2005, fixed-income investors appeared relatively unconcerned about inflation or credit risks, helping to support returns in both the more interest sensitive and credit-sensitive areas of the bond market. In this environment, and as it had since June 2004, the Federal Reserve Board (the “Fed”) continued to raise short-term interest rates at each meeting of its Federal Open Market Committee.

The U.S. economy appeared to gain momentum in the first quarter of 2006, as the unemployment rate fell to multi-year lows and consumer spending remained robust. However, in May 2006 prices of crude oil and other commodities climbed sharply, sparking renewed inflation concerns. In addition, hawkish comments by some Fed members were interpreted as a signal that interest rates might move higher than previously expected. Inflation concerns subsequently eased, as softening housing markets and moderating employment gains over the summer suggested that the economy might be slowing.The Fed lent credence to this view in early August, when it refrained from raising short-term interest rates and left the federal funds rate unchanged at 5.25% .

In this environment, most fixed-income sectors still modestly outperformed comparable U.S. Treasury securities for the reporting period overall. Given their incremental yield advantage, lower-quality high yield and emerging market bonds posted stronger excess returns versus Treasuries. However, the emerging market sector did give up some of their robust gains as fears of more rate hikes by the Fed and central banks abroad resulted in significant selling pressure.

The fund’s relatively long average duration early in the reporting period helped it participate more fully in strength at the longer end of the maturity spectrum, and a shorter-than-average duration in the spring of 2006 limited the fund’s sensitivity to more

The Funds 3

DISCUSSION OF FUND PERFORMANCE (continued)

recent volatility. However, the fund’s relatively short average duration limited its participation in the subsequent summertime rally.

In addition, the fund benefited from modest allocations to high yield and emerging-market bonds that are not represented in the Index. We attempted to manage the risks of lower-rated credits by focusing on securities with relatively short maturities. In our corporate bond holdings, we also successfully avoided bonds backed by companies engaged in leveraged buyouts or other activities that we considered unfriendly to bondholders. Instead, we favored issuers with what we believed to be strong balance sheets and sound business fundamentals.

We offset the relatively short maturities of the fund’s corporate bond positions with commensurately longer maturities among its holdings of U.S.Treasury and agency securities. We also maintained a relatively defensive posture with regard to mortgage-backed securities by emphasizing those with relatively high coupon rates, which historically have held more of their value during market declines.

What is the fund’s current strategy?

We believe that U.S. monetary policy is now within the neutral range, and the Fed is waiting to see the effects of its previous moves on inflation and the economy. Accordingly, we recently lengthened the fund’s average duration toward a position that is more in line with the Index.We also have continued to avoid corporate issuers engaged in leveraged buyouts or mergers-and-acquisitions activity. In our view, these are prudent strategies until the economy’s strength and future Fed policy become clearer.

September 15, 2006

²SOURCE: LIPPER INC. – Reflects reinvestment of dividends and, where applicable, capital gain distributions.The Lehman Brothers Intermediate Government/Credit Bond Index is a widely accepted, unmanaged index of government and credit bond market performance composed of U.S. government, Treasury and agency securities, fixed-income securities and nonconvertible investment-grade credit debt, with an average maturity of 1-10 years.

FUND PERFORMANCE

Comparison of change in value of $10,000 investment in Mellon Bond Fund Class M shares and the Lehman Brothers U.S. Aggregate Index

Average Annual Total Returns	as of 8/31/06
	Inception				From
	Date	1 Year	5 Years	10 Years	Inception

Class M shares		1.20%	3.98%	5.77%
Investor shares	7/11/01	1.01%	3.69%	—	4.09%

^†Source: Lipper Inc.

Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

The above graph compares a $10,000 investment made in Class M shares of Mellon Bond Fund on 8/31/96 to a $10,000 investment made in the Lehman Brothers U.S.Aggregate Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.

Before the fund commenced operations, substantially all of the assets of a predecessor common trust fund (CTF) that, in all material respects, had the same investment objective, policies, guidelines and restrictions as the fund (and those of two other CTFs) were transferred to the fund. Please note that the performance of the fund’s Class M shares represents the performance of the predecessor CTF through October 1, 2000, adjusted to reflect the fund’s fees and expenses, by subtracting from the actual performance of the CTF the expenses of the fund’s Class M shares as they were estimated prior to the conversion of the CTF into the fund, and the performance of the fund’s Class M shares thereafter.The predecessor CTF was not registered under the Investment Company Act of 1940, as amended, and therefore was not subject to certain investment restrictions that might have adversely affected performance. In addition, the expenses of the fund’s Class M shares may be higher than those estimated prior to the conversion of the CTF into the fund, which would lower the performance shown in the above line graph.

Effective July 11, 2001, existing fund shares were designated as Class M shares and the fund began offering a second class of shares designated as Investor shares, which are subject to a Shareholder Services Plan. Performance for Investor shares will vary from the performance of Class M shares shown above because of the differences in charges and expenses.

The fund’s performance shown in the line graph takes into account all applicable fees and expenses for Class M shares only.The Index is a widely accepted, unmanaged index of corporate, government and government agency debt instruments, mortgage-backed securities, and asset-backed securities with an average maturity of 1-10 years.The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

The Funds 5

DISCUSSION OF FUND PERFORMANCE

John F. Flahive, Portfolio Manager

How did Mellon Intermediate Bond Fund perform relative to its benchmark?

For the 12-month period ended August 31, 2006, the fund’s Class M shares achieved a total return of 1.69%, and its Investor shares achieved a total return of 1.43% .¹In comparison, the Lehman Brothers Intermediate Government/Credit Bond Index (the “Index”), the fund’s benchmark, achieved a 1.87% total return for the same period.²

The U.S. bond market achieved a positive total return for the reporting period after a rally during the summer of 2006 erased earlier losses amid signs of a possible economic slowdown.The fund produced lower returns than its benchmark, primarily due to its relatively defensive duration management strategy.

What is the fund’s investment approach?

The fund seeks total return (consisting of capital appreciation and current income).To pursue its goal, the fund actively manages bond market and maturity exposure and invests at least 80% of its assets in bonds, such as U.S. government and agency bonds, corporate bonds, mortgage-related securities, foreign corporate and government bonds and municipal bonds.The fund’s investments in bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and its average effective portfolio duration will be between 2.5 and 5.5 years.

When managing the fund, we use a disciplined process to select securities and manage risk. We generally choose bonds based on yield, credit quality, the level of interest rates and inflation, general economic and financial trends and our outlook for the securities markets. Our management process also includes computer modeling and scenario testing of possible changes in market conditions.

What other factors influenced the fund’s performance?

Despite headwinds such as the 2005 Gulf Coast hurricanes, volatile energy prices and rising borrowing costs, the U.S. economy continued to grow at a sustainable pace at the start of the reporting period. Still, over the final months of 2005, fixed-income investors appeared relatively unconcerned about inflation or credit risks, helping to support returns in most areas of the bond market. In this environment, and as it had since June 2004, the Federal Reserve Board (the “Fed”) continued to raise short-term interest rates at each meeting of its Federal Open Market Committee.

The U.S. economy appeared to gain momentum in the first quarter of 2006, as the unemployment rate fell to multi-year lows and consumer spending remained robust. However, in May 2006 prices of crude oil and other commodities climbed sharply, sparking renewed inflation concerns. In addition, hawkish comments by some Fed members were interpreted as a signal that interest rates might move higher than previously expected. Inflation concerns subsequently eased, as softening housing markets and moderating employment gains over the summer suggested that the economy might be slowing. The Fed lent credence to this view in early August, when it refrained from raising short-term interest rates and left the federal funds rate unchanged at 5.25% .

In this environment, most fixed-income sectors still modestly outperformed comparable U.S.Treasury securities for the reporting period overall. Given their incremental yield advantage, lower-quality high yield and emerging market bonds posted stronger excess returns versus Treasuries. However, the emerging market sector did give up some of their robust gains as fears of more rate hikes by the Fed and central banks abroad resulted in significant selling pressure.

The fund’s relatively long average duration early in the reporting period enabled it to participate more fully in

strength at the longer end of the maturity spectrum, and a shorter-than-average duration in the spring of 2006 helped the fund weather heightened market volatility. However,the fund’s relatively short average duration limited its participation in the subsequent summertime rally.

The fund’s sector allocations generally approximated those of the benchmark.The fund received particularly strong contributions to performance from our security selection strategy among investment-grade corporate bonds. We focused on corporate securities with relatively short maturities, and we avoided bonds backed by companies engaged in leveraged buyouts or other activities considered unfriendly to bondholders. Instead, we favored issuers with what we believed to be strong balance sheets and sound business fundamentals.

We offset the relatively short maturities of the fund’s corporate bond positions with longer maturities among U.S.Treasury and agency securities.We maintained a relatively defensive posture with regard to mortgage-backed securities by emphasizing those with relatively high coupon rates, which historically have held more of their value during market declines.

What is the fund’s current strategy?

We believe that U.S. monetary policy is now within the neutral range, and the Fed is waiting to see the effects of its previous moves on inflation and the economy. Accordingly, we recently lengthened the fund’s average duration toward a position that is more in line with the Index. We also have continued to avoid corporate issuers engaged in leveraged buyouts or mergers. In our view, these are prudent strategies until the economy’s strength and future Fed policy become clearer.

September 15, 2006

²SOURCE: LIPPER INC. – Reflects reinvestment of dividends and, where applicable, capital gain distributions.The Lehman Brothers Intermediate Government/Credit Bond Index is a widely accepted, unmanaged index of government and credit bond market performance composed of U.S. government, treasury and agency securities, fixed-income securities and nonconvertible investment-grade credit debt, with an average maturity of 1-10 years.

The Funds 7

FUND PERFORMANCE

Average Annual Total Returns	as of 8/31/06
	Inception				From
	Date	1 Year	5 Years	10 Years	Inception

Class M shares		1.69%	3.69%	5.22%
Investor shares	7/11/01	1.43%	3.42%	—	3.78%

^†Source: Lipper Inc.

The above graph compares a $10,000 investment made in Class M shares of Mellon Intermediate Bond Fund on 8/31/96 to a $10,000 investment made in the Lehman Brothers Intermediate Government/Credit Bond Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.

Before the fund commenced operations, substantially all of the assets of a predecessor common trust fund (CTF) that, in all material respects, had the same investment objective, policies, guidelines and restrictions as the fund were transferred to the fund. Please note that the performance of the fund’s Class M shares represents the performance of the predecessor CTF through October 1, 2000, adjusted to reflect the fund’s fees and expenses, by subtracting from the actual performance of the CTF the expenses of the fund’s Class M shares as they were estimated prior to the conversion of the CTF into the fund, and the performance of the fund’s Class M shares thereafter.The predecessor CTF was not registered under the Investment Company Act of 1940, as amended, and therefore was not subject to certain investment restrictions that might have adversely affected performance. In addition, the expenses of the fund’s Class M shares may be higher than those estimated prior to the conversion of the CTF into the fund, which would lower the performance shown in the above line graph.

The fund’s performance shown in the line graph takes into account all applicable fees and expenses for Class M shares only.The Index is a widely accepted, unmanaged index of Government and credit bond market performance composed of U.S. Government,Treasury and Agency securities, fixed-income securities and nonconvertible investment-grade credit debt, with an average maturity of 1-10 years.The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

DISCUSSION OF FUND PERFORMANCE

Lawrence R. Dunn, CFA, Portfolio Manager

How did Mellon Short-Term U.S. Government Securities Fund perform relative to its benchmark?

For the 12-month period ended August 31, 2006, the fund’s Class M shares achieved a total return of 2.78%, and its Investor shares achieved a total return of 2.62% .¹In comparison, the Lehman Brothers 1-3 Year U.S. Government Index (the “Index”), the fund’s benchmark, achieved a total return of 3.02% for the same period.²In addition, the fund is reported in the Lipper Short U.S. Government category, which produced an average total return of 2.66% over the reporting period.³

Despite steadily rising short-term interest rates, yields of U.S. government securities with one- to three-year maturities rose relatively modestly, primarily due to expectations that the Federal Reserve Board (the “Fed”) was nearing the end of its tightening campaign. The fund’s returns were slightly lower than its benchmark, which we attribute to fees and expenses that are not reflected in the Index’s results. The fund’s returns were in line with its Lipper category average, primarily due to the success of our security selection strategy.

What is the fund’s investment approach?

The fund seeks to provide as high a level of current income as is consistent with the preservation of capital. To pursue this goal, the fund invests at least 80% of its assets in securities issued or guaranteed by the U.S. government or its agencies or instrumentalities and in repurchase agreements.The fund may invest up to 35% of its net assets in mortgage-related securities issued by U.S. government agencies or instrumentalities, such as mortgage pass-through securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). The fund may also invest in collateralized mortgage obligations (“CMOs”), including stripped mortgage-backed securities. Generally, the fund’s average effective portfolio maturity and its average effective portfolio duration will be less than three years.

When choosing securities, we typically first examine U.S. and global economic conditions and other market factors to estimate long- and short-term interest rates. Using a research-driven investment process, we then seek to identify what we believe are potentially profitable sectors before they are widely perceived by the market. We also seek to identify underpriced or mispriced securities that appear likely to perform well over time.

What other factors influenced the fund’s performance?

The Fed continued to raise short-term interest rates in its ongoing effort to forestall potential inflationary pressures in an expanding U.S. economy.Although inflation appeared to be relatively benign when the reporting period began, inflation-related concerns intensified during the fall of 2005 when a series of hurricanes disrupted energy production and distribution facilities along the U.S. Gulf Coast. Over the first six months of 2006, strengthening labor markets, rising commodity prices and hawkish comments from Fed members also contributed to inflation fears.Yields of U.S. government securities generally rose along with investors’ interest-rate expectations, eroding their prices.

However, inflation worries appeared to ease during the summer of 2006, when a softening housing market and lower-than-expected employment gains suggested that U.S. economic growth was moderating.Although inflationary pressures remained, investors began to anticipate that the Fed would refrain from raising short-term interest rates at its August meeting, and most sectors of the U.S. bond market began to rally. Indeed, the Fed held the overnight federal funds rate unchanged at 5.25% in August. As a result of the rally, yields of five-

The Funds 9

DISCUSSION OF FUND PERFORMANCE (continued)

year U.S.Treasury securities ended the reporting period only five basis points higher than where they began, while yields of shorter-term securities rose somewhat more steeply.

We adopted a relatively defensive posture in this environment, setting the fund’s average duration in a range that was shorter than industry averages. However, this strategy’s success was limited when, contrary to historical norms, longer-term yields climbed less steeply than short-term yields. Our security selection strategy proved to be more effective, as we maintained an overweighted position in higher yielding U.S. government agency securities. In addition, our focus on securities with provisions for early redemption helped boost the fund’s total return in the rising interest-rate environment.

What is the fund’s current strategy?

As it became clearer to us that the Fed was likely to pause in its tightening campaign, we began to increase the fund’s average duration toward the neutral range. By the end of the reporting period, the fund’s average

duration was just slightly shorter than that of its benchmark, reflecting general uncertainty as to the Fed’s future intentions. If new economic data suggest to us that the Fed is likely to implement additional rate hikes, we may reduce the fund’s average duration. If the data indicate that the economy is slowing and inflationary pressures are subsiding, we may increase the fund’s average duration. In the meantime, we intend to maintain our efforts to seek additional value through our security selection strategy.

September 15, 2006

²SOURCE: LIPPER, INC. – Reflects reinvestment of dividends and, where applicable, capital gain distributions.The Lehman Brothers 1-3 Year U.S. Government Index is a widely accepted, unmanaged index of government bond market performance composed of U.S.Treasury and agency securities with maturities of 1-3 years.

³Source: Lipper Inc.

FUND PERFORMANCE

Comparison of change in value of $10,000 investment in Mellon Short-Term U.S. Government Securities Fund Class M shares and the Lehman Brothers 1-3 Year U.S. Government Index

Average Annual Total Returns	as of 8/31/06
	Inception				From
	Date	1 Year	5 Years	10 Years	Inception

Class M shares		2.78%	2.65%	4.38%
Investor shares	7/11/01	2.62%	2.37%	—	2.56%

^†Source: Lipper Inc.

The above graph compares a $10,000 investment made in Class M shares of Mellon Short-Term U.S. Government Securities Fund on 8/31/96 to a $10,000 investment made in the Lehman Brothers 1-3 Year U.S. Government Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested. Before the fund commenced operations, substantially all of the assets of a predecessor common trust fund (CTF) that, in all material respects, had the same investment objective, policies, guidelines and restrictions as the fund were transferred to the fund. Please note that the performance of the fund’s Class M shares represents the performance of the predecessor CTF through October 1, 2000, adjusted to reflect the fund’s fees and expenses, by subtracting from the actual performance of the CTF the expenses of the fund’s Class M shares as they were estimated prior to the conversion of the CTF into the fund, and the performance of the fund’s Class M shares thereafter.The predecessor CTF was not registered under the Investment Company Act of 1940, as amended, and therefore was not subject to certain investment restrictions that might have adversely affected performance. In addition, the expenses of the fund’s Class M shares may be higher than those estimated prior to the conversion of the CTF into the fund, which would lower the performance shown in the above line graph.

The fund’s performance shown in the line graph takes into account all applicable fees and expenses for Class M shares only.The Index is a widely accepted, unmanaged index of government bond market performance composed of U.S.Treasury and agency securities with maturities of 1-3 years.The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

The Funds 11

UNDERSTANDING YOUR FUND’ S EXPENSES (Unaudited)

As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial advisor.

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in each class of each fund from March 1, 2006 to August 31, 2006. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended August 31, 2006
		Class M Shares	Investor Shares

Mellon Bond Fund
Expenses paid per $1,000 ^†		$ 2.79	$ 4.06
Ending value (after expenses)		$1,016.10	$1,014.80
Mellon Intermediate Bond Fund
Expenses paid per $1,000 ^†		$ 2.85	$ 4.17
Ending value (after expenses)		$1,019.60	$1,018.20
Mellon Short-Term U.S. Government Securities Fund
Expenses paid per $1,000 ^†		$ 2.59	$ 3.91
Ending value (after expenses)		$1,016.10	$1,014.80


COMPARING YOUR FUND’ S EXPENSES	WITH	THOSE OF OTHER	FUNDS (Unaudited)


Using the SEC’s method to compare expenses

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return.You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended August 31, 2006
	Class M Shares	Investor Shares

Mellon Bond Fund
Expenses paid per $1,000 ^†	$ 2.80	$ 4.08
Ending value (after expenses)	$1,022.43	$1,021.17
Mellon Intermediate Bond Fund
Expenses paid per $1,000 ^†	$ 2.85	$ 4.18
Ending value (after expenses)	$1,022.38	$1,021.07
Mellon Short-Term U.S. Government Securities Fund
Expenses paid per $1,000 ^†	$ 2.60	$ 3.92
Ending value (after expenses)	$1,022.63	$1,021.32

^†Expenses are equal to the Mellon Bond Fund annualized expense ratio of .55% for Class M and .80% for Investor shares, Mellon Intermediate Bond Fund .56% for Class M and .82% for Investor shares and Mellon Short-Term U.S. Government Securities Fund .51% for Class M and .77% for Investor shares, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

STATEMENT OF INVESTMENTS
August 31, 2006





Mellon Bond Fund

	Coupon	Maturity	Principal
Bonds and Notes—99.6%	Rate (%)	Date	Amount ($)	Value ($)

Asset-Backed Ctfs./Automobile Receivables—2.0%
Harley-Davidson Motorcycle Trust, Ser. 2003-4, Cl. A2	2.69	4/15/11	4,052,466	3,954,222
Harley-Davidson Motorcycle Trust, Ser. 2005-3, Cl. A2	4.41	6/15/12	2,365,000	2,337,099
Honda Auto Receivables Owner Trust, Ser. 2004-3, Cl. A4	3.28	2/18/10	6,940,000	6,749,669
Onyx Acceptance Grantor Trust, Ser. 2005-A, Cl. A4	3.91	9/15/11	4,910,000	4,809,763
				17,850,753
Asset-Backed Ctfs./Equipment—.3%
CNH Equipment Trust, Ser. 2005-A, Cl. A4B	4.29	6/15/12	2,305,000	2,268,838
Bank & Finance—9.7%
AXA Financial, Sr. Notes	7.75	8/1/10	5,000,000	5,414,205
Bank of America, Sub. Notes	7.40	1/15/11	4,385,000	4,736,559
Bank of America, Sub. Notes	7.80	2/15/10	6,380,000	6,882,483
BankAmerica Capital II, Gtd. Cap. Secs., Ser. 2	8.00	12/15/26	6,775,000	7,078,676
Bear Stearns Cos., Notes	4.50	10/28/10	2,000,000	1,940,746
Caterpillar Financial Services, Notes	5.05	12/1/10	4,540,000	4,512,760
CIT Group, Sr. Notes	7.75	4/2/12	4,365,000	4,819,811
Citigroup, Sub. Notes	5.00	9/15/14	2,320,000	2,248,324
Goldman Sachs Group, Gtd. Notes	6.35	2/15/34	6,455,000	6,392,897
HSBC Holdings, Sub. Notes	6.50	5/2/36	4,500,000	4,754,560
J.P. Morgan & Co., Sub. Notes	6.25	1/15/09	1,800,000	1,833,318
John Deere Capital, Notes	7.00	3/15/12	2,560,000	2,750,510
Kreditanstalt fuer Wiederaufbau, Gov’t Gtd. Notes	3.75	1/24/08	7,530,000	7,380,447
Landwirtschaftliche Rentenbank, Gov’t Gtd. Notes	3.25	10/12/07	6,555,000^a	6,425,893
Lehman Brothers Holdings, Notes	4.25	1/27/10	5,200,000	5,033,917
Lehman Brothers Holdings, Sr. Notes	5.75	7/18/11	1,385,000	1,405,409
Merrill Lynch & Co., Notes, Ser. C	4.13	9/10/09	3,250,000	3,148,047
Morgan Stanley, Sub. Notes	4.75	4/1/14	7,210,000	6,824,142
PNC Funding, Sr. Notes	4.50	3/10/10	2,825,000	2,763,127
				86,345,831
Collateralized Mortgage Obligations—.5%
Washington Mutual, Ser. 2004-AR9, Cl. A6	4.16	8/25/34	4,510,000 ^b	4,373,917
Commercial & Professional Services—.9%
Seminole Tribe of Florida, Notes	5.80	10/1/13	8,300,000 ^c	8,175,301
Commercial Mortgage Pass-Through Ctfs.—4.3%
Banc of America Commercial Mortgage, Ser. 2005-6 Cl. AM	5.35	9/10/47	6,970,000 ^b	6,853,072
Citigroup/Deutsche Bank Commercial Mortgage
Trust, Ser. 2006-CD2, Cl. A3	5.61	1/15/46	3,870,000 ^b	3,874,978
GS Mortgage Securities II, Ser. 2005-GG4, Cl. A4	4.76	7/10/39	1,850,000	1,764,889
GS Mortgage Securities II, Ser. 2006-GG6, Cl. A2	5.51	4/10/38	3,990,000 ^b	4,024,703

The Funds 13

STATEMENT OF INVESTMENTS (continued)

Mellon Bond Fund (continued)

	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

Commercial Mortgage Pass-Through Ctfs. (continued)
J.P. Morgan Chase Commercial Mortgage
Securities, Ser. 2005-LDP2, Cl. AM	4.78	7/15/42	3,720,000	3,535,387
J.P. Morgan Chase Commercial Mortgage
Securities, Ser. 2005-CB12, Cl. AM	4.95	9/12/37	3,075,000 ^b	2,952,794
J.P. Morgan Chase Commercial Mortgage
Securities, Ser. 2006-CB15, Cl. AM	5.86	6/12/43	6,080,000 ^b	6,248,058
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Cl. AM	5.71	3/15/39	5,055,000 ^b	5,131,627
LB-UBS Commercial Mortgage Trust, Ser. 2006-C4 Cl. AM	6.12	6/15/38	4,000,000 ^b	4,147,038
				38,532,546
Food & Beverages—.4%
Diageo Finance, Gtd. Notes	5.50	4/1/13	3,805,000	3,790,324
Foreign/Governmental—3.2%
European Investment Bank, Notes	5.25	6/15/11	4,510,000	4,563,881
Financement-Quebec, Gov’t Gtd. Notes	5.00	10/25/12	4,875,000	4,814,467
Province of Ontario, Notes	5.13	7/17/12	3,500,000	3,511,904
Province of Ontario, Sr. Unsub. Bonds	5.50	10/1/08	4,000,000	4,036,040
Republic of Italy, Bonds	4.00	6/16/08	5,730,000	5,621,239
United Mexican States, Notes	5.63	1/15/17	4,705,000	4,650,892
United Mexican States, Notes	6.63	3/3/15	1,480,000	1,573,980
				28,772,403
Health Care—.4%
Aetna, Sr. Unsub. Notes	5.75	6/15/11	3,380,000	3,427,780
Industrials—3.2%
Devon Financing, Gtd. Notes	6.88	9/30/11	3,000,000	3,184,863
Emerson Electric, Notes	5.00	12/15/14	3,500,000	3,408,408
Fortune Brands, Notes	5.13	1/15/11	1,500,000	1,471,823
International Business Machines, Notes	4.38	6/1/09	3,000,000	2,944,533
International Business Machines, Debs	7.00	10/30/25	2,000,000	2,266,370
Oracle/Ozark Holding, Notes	5.00	1/15/11	7,000,000	6,898,731
Rockwell Automation, Unsub. Notes	6.15	1/15/08	2,000,000	2,018,040
United Technologies, Notes	6.50	6/1/09	1,250,000	1,289,240
Wal-Mart Stores, Bonds	5.25	9/1/35	5,310,000	4,905,904
				28,387,912
Media & Telecommunications—4.8%
AT & T, Sr. Unscd. Notes	5.88	8/15/12	4,320,000 ^a	4,368,738
AT & T, Notes	6.80	5/15/36	2,500,000 ^a	2,593,415

Mellon Bond Fund (continued)

	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

Media & Telecommunications (continued)
British Sky Broadcasting, Gtd. Notes	6.88	2/23/09	4,180,000	4,326,869
Cisco Systems, Sr. Unscd. Notes	5.50	2/22/16	4,200,000	4,189,172
Comcast, Gtd. Notes	5.90	3/15/16	6,400,000	6,355,770
News America Holdings, Gtd. Debs	7.60	10/11/15	3,750,000	4,178,153
Sprint Capital, Notes	8.38	3/15/12	4,800,000	5,370,355
Univision Communications, Gtd. Notes	3.50	10/15/07	6,825,000	6,624,734
Univision Communications, Gtd. Notes	3.88	10/15/08	940,000	897,195
Verizon Global Funding, Notes	7.25	12/1/10	3,200,000	3,417,638
				42,322,039
Real Estate Investment Trusts—1.4%
Brandywine Operating Partnership, Notes	5.63	12/15/10	3,000,000	3,002,730
ERP Operating, Notes	6.95	3/2/11	4,000,000	4,239,292
Simon Property Group, Unscd. Notes	5.75	5/1/12	4,755,000	4,802,193
				12,044,215
Residential Mortgage Pass-Through Ctfs.—.2%
Washington Mutual, Ser. 2003-S4, Cl. 4A1	4.00	2/25/32	1,652,890	1,593,657
U.S. Government Agencies—8.5%
Federal Farm Credit Bank, Bonds	4.13	4/15/09	6,740,000	6,596,404
Federal Home Loan Bank System, Bonds, Ser. 649	5.25	10/3/07	5,860,000	5,859,936
Federal Home Loan Bank System, Bonds	5.40	9/18/08	3,100,000	3,100,769
Federal Home Loan Bank System, Bonds, Ser. 661	5.50	6/13/08	4,060,000	4,063,118
Federal Home Loan Bank System, Bonds, Ser. 659	5.50	6/5/09	4,470,000	4,474,676
Federal Home Loan Bank System, Bonds	5.63	8/14/08	5,475,000	5,480,234
Federal Home Loan Bank System, Bonds	5.75	8/7/09	4,590,000	4,600,488
Federal Home Loan Bank System, Bonds, Ser. 670	5.88	6/29/09	4,510,000	4,522,844
Federal Home Loan Mortgage Corp., Notes	5.00	12/28/07	3,370,000	3,358,037
Federal Home Loan Mortgage Corp., Notes	5.33	2/27/09	2,760,000	2,752,606
Federal Home Loan Mortgage Corp., Notes	5.50	4/24/09	6,685,000	6,684,579
Federal Home Loan Mortgage Corp., Notes	5.75	5/23/11	5,345,000	5,381,448
Federal National Mortgage Association, Notes	5.20	11/8/10	4,625,000	4,598,822
Federal National Mortgage Association, Notes	5.25	4/4/08	4,735,000	4,729,616
Federal National Mortgage Association, Notes	5.70	7/17/08	4,570,000	4,578,450
Federal National Mortgage Association, Notes	5.75	6/9/11	4,710,000	4,735,787
				75,517,814

The Funds 15

STATEMENT OF INVESTMENTS (continued)

Mellon Bond Fund (continued)


	Principal
Bonds and Notes (continued)	Amount ($)	Value ($)

U.S. Government Agencies/Mortgage-Backed—33.7%
Federal Home Loan Mortgage Corp.:
4.50%, 9/1/18—3/1/21	23,409,187	22,488,833
5.00%, 10/1/18—7/1/36	32,299,294	31,035,733
5.11%, 10/1/35	6,536,538 ^b	6,439,488
5.50%, 9/1/19—3/1/35	31,122,179	30,786,111
6.00%, 7/1/17—7/1/20	4,846,775	4,900,629
7.00%, 4/1/32—8/1/36	5,241,501	5,388,013
8.50%, 6/1/18	2,617,567	2,781,977
Stated Final, Ser. SF1, Cl. A4 2.52%, 5/15/10	995,601	992,039
REMIC, Ser. 1660, Cl. H 6.50%, 1/15/09	1,394,496	1,397,982
Federal National Mortgage Association:
4.50%, 10/1/18—12/1/18	480,453	462,971
4.96%, 9/1/35	7,642,350 ^b	7,506,346
5.00%, 5/1/19—4/1/36	45,214,899	43,678,733
5.10%, 10/1/35	8,090,840 ^b	7,982,138
5.50%, 1/1/20—2/1/36	59,388,597	58,488,412
6.00%, 9/1/21—9/1/34	23,334,862	23,466,931
6.50%, 3/1/17—8/1/36	35,327,502 ^d	35,881,634
7.00%, 6/1/09—7/1/36	7,605,860	7,809,142
7.50%, 7/1/32	911,153	941,904
8.00%, 7/1/07—2/1/13	651,894	659,693
Government National Mortgage Association I:
6.00%, 10/15/08—10/15/33	3,286,099	3,314,527
7.00%, 5/15/23—12/15/23	1,300,460	1,341,906
7.50%, 3/15/27	659,438	688,288
8.00%, 5/15/07—9/15/08	629,537	631,486
9.00%, 12/15/09	985,385	1,006,630
		300,071,546
U.S. Government Securities—25.2%
U.S. Treasury Bonds:
4.50%, 2/15/36	7,610,000 ^a	7,164,701
5.38%, 2/15/31	5,345,000 ^a	5,688,251
6.25%, 8/15/23	42,035,000 ^a	48,212,211
U.S. Treasury Inflation Protected
Securities, 3.38%, 1/15/07	15,821,442 ^a,e	15,816,250
U.S. Treasury Notes:
4.00%, 11/15/12	51,000,000 ^a	49,085,511
4.13%, 8/15/10	8,155,000 ^a	7,991,264
4.25%, 1/15/11	18,950,000 ^a	18,617,636
4.25%, 8/15/15	8,635,000 ^a	8,331,428
4.38%, 12/15/10	8,300,000 ^a	8,198,201
4.50%, 11/15/15	9,900,000 ^a	9,722,889
4.50%, 2/15/16	10,030,000 ^a	9,846,250
4.88%, 8/15/16	1,630,000 ^a	1,648,975
5.13%, 5/15/16	7,750,000 ^a	7,972,510
6.00%, 8/15/09	24,770,000 ^a	25,647,601
		223,943,678

Mellon Bond Fund (continued)

	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

Utilities—.9%
FPL Group Capital, Gtd. Debs	6.13	5/15/07	6,000,000	6,025,572
Southern California Edison, First Mortgage Bonds	4.65	4/1/15	2,200,000	2,069,762
				8,095,334
Total Bonds and Notes
(cost $895,191,577)				885,513,888


Other Investment—2.2%			Shares	Value ($)

Registered Investment Company;
Dreyfus Institutional Preferred
Plus Money Market Fund (cost $19,441,000)			19,441,000 ^f	19,441,000


Investment of Cash Collateral for Securities Loaned—25.2%

Registered Investment Company;
Dreyfus Institutional Cash Advantage Plus Fund
(cost $224,301,154)			224,301,154 ^f	224,301,154

Total Investments (cost $1,138,933,731)			127.0%	1,129,256,042
Liabilities, Less Cash and Receivables			(27.0%)	(239,942,595)
Net Assets			100.0%	889,313,447

^aAll or a portion of these securities are on loan. At August 31, 2006, the total market value of the fund’s securities on loan is $228,740,139 and the total market value of the

collateral held by the fund is $232,696,022, consisting of cash collateral of $224,301,154, U.S. Government and agency securities valued at $7,289,795 and Letters of Credit

valued at $1,105,073.

^bVariable rate security—interest rate subject to periodic change.

^cSecurities 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 August 31, 2006, these securities amounted to $8,175,301 or .9% of net assets.

^dPurchased on a delayed delivery basis.

^ePrincipal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.

^fInvestment in affiliated money market mutual fund.

Portfolio Summary (Unaudited) ^†

	Value (%)		Value

U.S. Government & Agencies	67.4	Asset/Mortgage-Backed	7.3
Money Market Investments	27.4	Foreign/Governmental	3.2
Corporate Bonds	21.7		127.0

^†Based on net assets.
See notes to financial statements.

The Funds 17

STATEMENT OF INVESTMENTS
August 31, 2006





Mellon Intermediate Bond Fund

	Coupon	Maturity	Principal
Bonds and Notes—98.7%	Rate (%)	Date	Amount ($)	Value ($)

Asset-Backed Ctfs./Automobile Receivables—2.4%
Harley-Davidson Motorcycle Trust, Ser. 2003-4, Cl. A2	2.69	4/15/11	2,152,600	2,100,415
Harley-Davidson Motorcycle Trust, Ser. 2005-3, Cl. A2	4.41	6/15/12	2,350,000	2,322,276
Honda Auto Receivables Owner Trust, Ser. 2004-3, Cl. A4	3.28	2/18/10	4,660,000	4,532,198
Nissan Auto Receivables Owner Trust, Ser. 2004-A, Cl. A4	2.76	7/15/09	3,550,000	3,468,102
Onyx Acceptance Grantor Trust, Ser. 2005-A, Cl. A4	3.91	9/15/11	3,150,000	3,085,693
				15,508,684
Asset-Backed Ctfs./Equipment—1.0%
Caterpillar Financial Asset Trust, Ser. 2005-A, Cl. A4	4.10	6/25/10	2,700,000	2,654,472
CNH Equipment Trust, Ser. 2005-A, Cl. A4B	4.29	6/15/12	1,660,000	1,633,957
John Deere Owner Trust, Ser. 2004-A, Cl. A4	3.02	3/15/11	2,245,000	2,196,318
				6,484,747
Bank & Finance—15.4%
AXA Financial, Sr. Notes	6.50	4/1/08	1,200,000	1,219,950
AXA Financial, Sr. Notes	7.75	8/1/10	3,625,000	3,925,299
Bank of America, Sub. Notes	7.40	1/15/11	3,805,000	4,110,058
Bank of America, Sub. Notes	7.80	2/15/10	5,125,000	5,528,640
Bank of New York, Sr. Notes, Ser. E	3.63	1/15/09	4,000,000 ^a	3,858,876
BankAmerica Capital II, Gtd. Cap. Secs., Ser. 2	7.40	12/15/26	4,975,000	5,197,994
Bear Stearns Cos., Notes	4.50	10/28/10	2,100,000 ^a	2,037,783
Caterpillar Financial Services, Notes	5.05	12/1/10	4,975,000	4,945,150
CIT Group, Sr. Notes	7.75	4/2/12	3,665,000	4,046,875
Citigroup, Sub. Notes	5.00	9/15/14	4,400,000	4,264,062
General Electric Capital, Notes	5.50	4/28/11	5,265,000	5,324,142
Goldman Sachs Group, Notes	4.75	7/15/13	5,400,000	5,147,528
HSBC Finance, Notes	4.75	7/15/13	5,400,000	5,181,646
International Lease Finance, Notes	5.75	6/15/11	4,645,000 ^a	4,710,968
John Deere Capital, Notes	7.00	3/15/12	3,660,000	3,932,370
Kreditanstalt fuer Wiederaufbau, Gov’t Gtd. Notes	3.75	1/24/08	9,470,000	9,281,916
Landwirtschaftliche Rentenbank, Gov’t Gtd. Notes	3.25	10/12/07	8,320,000	8,156,129
Lehman Brothers Holdings, Notes	4.25	1/27/10	2,400,000 ^a	2,323,346
Lehman Brothers Holdings, Sr. Notes	5.75	7/18/11	1,285,000	1,303,936
Merrill Lynch & Co., Notes, Ser. C	4.13	9/10/09	6,700,000	6,489,821
Morgan Stanley, Unsub. Bonds	6.75	4/15/11	5,895,000	6,215,859
Wachovia, Sub. Notes	6.38	2/1/09	4,000,000	4,089,200
				101,291,548
Commercial & Professional Services—.8%
Seminole Tribe of Florida, Notes	5.80	10/1/13	5,600,000 ^b	5,515,866

Mellon Intermediate Bond Fund (continued)

	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

Commercial Mortgage Pass-Through Ctfs.—3.0%
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Ser. 2006-CD2, Cl. A3	5.61	1/15/46	3,735,000 ^c	3,739,805
GS Mortgage Securities II, Ser. 2005-GG4, Cl. A4	4.76	7/10/39	2,800,000	2,671,183
GS Mortgage Securities II, Ser. 2006-GG6, Cl. A2	5.51	4/10/38	5,870,000 ^c	5,921,054
J.P. Morgan Chase Commercial Mortgage Securities,
Ser. 2005-LDP2, Cl. AM	4.78	7/15/42	2,405,000	2,285,647
J.P. Morgan Chase Commercial Mortgage Securities,
Ser. 2005-CB12, Cl. AM	4.95	9/12/37	1,985,000 ^c	1,906,112
LB-UBS Commercial Mortgage Trust,
Ser. 2006-C4 Cl. AM	6.12	6/15/38	2,800,000 ^c	2,902,927
				19,426,728
Food & Beverages—.4%
Diageo Finance, Gtd. Notes	5.50	4/1/13	2,670,000	2,659,702
Foreign/Governmental—3.6%
European Investment Bank, Notes	5.25	6/15/11	6,915,000	6,997,614
Financement-Quebec, Gov’t Gtd. Notes	5.00	10/25/12	6,330,000	6,251,400
Province of Ontario, Notes	5.13	7/17/12	2,200,000 ^a	2,207,482
Republic of Italy, Bonds	4.00	6/16/08	7,315,000	7,176,154
United Mexican States, Notes	6.63	3/3/15	1,064,000	1,131,564
				23,764,214
Health Care—.4%
Aetna, Sr. Unsub. Notes	5.75	6/15/11	2,520,000	2,555,623
Industrial—4.4%
Devon Financing, Gtd. Notes	6.88	9/30/11	4,000,000	4,246,484
Emerson Electric, Notes	4.63	10/15/12	3,000,000	2,898,762
Fortune Brands, Notes	5.13	1/15/11	1,500,000	1,471,823
International Business Machines, Notes	4.38	6/1/09	5,000,000	4,907,555
Oracle/Ozark Holding, Notes	5.00	1/15/11	7,000,000	6,898,731
Rockwell Automation, Unsub. Notes	6.15	1/15/08	3,425,000	3,455,893
Wal-Mart Stores, Sr. Notes	6.88	8/10/09	4,500,000	4,708,445
				28,587,693
Media & Telecommunications—5.1%
AT & T, Sr. Unscd. Notes	5.88	8/15/12	3,045,000 ^a	3,079,354
British Sky Broadcasting, Gtd. Notes	6.88	2/23/09	3,500,000	3,622,976
Cisco Systems, Sr. Unscd. Notes	5.25	2/22/11	5,000,000 ^a	5,004,795
Comcast, Gtd. Notes	5.90	3/15/16	4,555,000	4,523,520
News America, Gtd. Sr. Notes	4.75	3/15/10	4,115,000	4,019,429

The Funds 19

STATEMENT OF INVESTMENTS (continued)

Mellon Intermediate Bond Fund (continued)

	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

Media & Telecommunications (continued)
Sprint Capital, Notes	8.38	3/15/12	5,250,000	5,873,826
Univision Communications, Gtd. Notes	3.50	10/15/07	2,595,000	2,518,855
Univision Communications, Gtd. Notes	3.88	10/15/08	2,435,000	2,324,117
Verizon Global Funding, Notes	7.25	12/1/10	2,400,000	2,563,229
				33,530,101
Real Estate Investment Trusts—1.3%
Brandywine Operating Partnership, Notes	5.63	12/15/10	3,000,000	3,002,730
ERP Operating, Notes	6.95	3/2/11	1,875,000	1,987,168
Simon Property Group, Unscd. Notes	5.75	5/1/12	3,470,000	3,504,440
				8,494,338
U.S. Government Agencies—16.5%
Federal Farm Credit Bank, Bonds	4.13	4/15/09	6,730,000	6,586,617
Federal Home Loan Bank System, Bonds, Ser. 571	4.65	8/22/08	3,155,000	3,132,281
Federal Home Loan Bank System, Bonds, Ser. 649	5.25	10/3/07	6,270,000	6,269,931
Federal Home Loan Bank System, Bonds	5.40	9/18/08	6,410,000	6,411,590
Federal Home Loan Bank System, Bonds, Ser. 661	5.50	6/13/08	5,555,000	5,559,266
Federal Home Loan Bank System, Bonds, Ser. 659	5.50	6/5/09	4,745,000	4,749,963
Federal Home Loan Bank System, Bonds	5.63	8/14/08	8,415,000	8,423,045
Federal Home Loan Bank System, Bonds	5.75	8/7/09	7,015,000	7,031,029
Federal Home Loan Bank System, Bonds, Ser. 670	5.88	6/29/09	6,900,000	6,919,651
Federal Home Loan Mortgage Corp., Bonds	4.63	8/15/08	5,030,000	4,991,571
Federal Home Loan Mortgage Corp., Notes	5.00	12/28/07	3,500,000	3,487,575
Federal Home Loan Mortgage Corp., Notes	5.33	2/27/09	2,730,000	2,722,686
Federal Home Loan Mortgage Corp., Notes	5.50	4/24/09	4,935,000	4,934,689
Federal Home Loan Mortgage Corp., Notes	5.75	5/23/11	5,750,000	5,789,209
Federal National Mortgage Association, Notes	4.13	6/16/08	5,625,000	5,532,469
Federal National Mortgage Association, Notes	4.50	8/15/08	2,750,000	2,720,261
Federal National Mortgage Association, Notes	5.20	11/8/10	3,275,000	3,256,464
Federal National Mortgage Association, Notes	5.25	4/4/08	7,135,000	7,126,888
Federal National Mortgage Association, Notes	5.70	7/17/08	6,855,000	6,867,675
Federal National Mortgage Association, Notes	5.75	6/9/11	6,175,000	6,208,808
				108,721,668

Mellon Intermediate Bond Fund (continued)


	Coupon	Maturity	Principal
Bonds and Notes (continued)	Rate (%)	Date	Amount ($)	Value ($)

U.S. Government Agencies/Mortgage-Backed—1.4%
Federal Home Loan Mortgage Corp:
3.50%, 5/1/08			920,740	884,767
4.50%, 11/1/07			918,077	908,602
4.92%, 11/1/32			718,978 ^c	727,853
REMIC, Ser. 2134, Cl. PM
5.50%, 3/15/14			1,917,258	1,923,260
Federal National Mortgage Association:
5.00%, 10/1/18			4,087,767	4,014,923
7.00%, 6/1/09			194,823	196,101
Government National Mortgage Association I:
6.50%, 9/15/13			501,297	510,536
8.00%, 2/15/08			123,527	124,259
				9,290,301
U.S. Government Securities—42.0%
U.S. Treasury Inflation Protected Securities, 3.38%, 1/15/07			14,739,361 ^a,d	14,734,523
U.S. Treasury Notes:
3.13%, 9/15/08			985,000 ^a	954,373
4.00%, 11/15/12			31,860,000 ^a	30,664,008
4.13%, 8/15/10			7,680,000 ^a	7,525,801
4.13%, 5/15/15			1,375,000 ^a	1,315,865
4.25%, 1/15/11			45,885,000 ^a	45,080,223
4.25%, 8/15/15			9,995,000 ^a	9,643,616
4.38%, 8/15/12			4,560,000 ^a	4,486,082
4.50%, 11/15/15			27,610,000 ^a	27,116,057
4.50%, 2/15/16			5,360,000 ^a	5,261,805
4.88%, 8/15/16			470,000 ^a	475,471
5.13%, 5/15/16			23,155,000 ^a	23,819,803
5.50%, 2/15/08			41,000,000 ^a	41,392,411
6.00%, 8/15/09			60,960,000 ^a	63,119,813
				275,589,851
Utilities—1.0%
Alabama Power, Sr. Notes, Ser. CC	3.50	11/15/07	3,675,000	3,596,318
FPL Group Capital, Gtd. Debs	6.13	5/15/07	3,250,000	3,263,852
				6,860,170
Total Bonds and Notes
(cost $653,171,942)				648,281,234

The Funds 21

STATEMENT OF INVESTMENTS (continued)

Mellon Intermediate Bond Fund (continued)


Other Investment—1.2%	Shares	Value ($)

Registered Investment Company;
Dreyfus Institutional Preferred Plus Money Market Fund
(cost $7,753,000)	7,753,000 ^e	7,753,000


Investment of Cash Collateral for Securities Loaned—43.5%

Registered Investment Company;
Dreyfus Institutional Cash Advantage Plus Fund
(cost $ 285,621,982)	285,621,982 ^e	285,621,982

Total Investments (cost $946,546,924)	143.4%	941,656,216
Liabilities, Less Cash and Receivables	(43.4%)	(284,854,861)
Net Assets	100.0%	656,801,355

^aAll or a portion of these securities are on loan. At August 31, 2006, the total market value of the fund’s securities on loan is $287,954,594 and the total market value of the

collateral held by the fund is $292,978,372, consisting of cash collateral of $285,621,982, U.S. Government and agency securities valued at $6,838,793 and Letters of Credit

valued at $517,597.

^bSecurities 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 August 31, 2006, these securities amounted to $5,515,866 or .8% of net assets.
^cVariable rate security—interest rate subject to periodic change.
^dPrincipal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
^eInvestment in affiliated money market mutual fund.





Portfolio Summary (Unaudited) ^†

	Value (%)		Value (%)

U.S. Government & Agencies	59.9	Asset/Mortgage-Backed	6.4
Money Market Investments	44.7	Foreign/Governmental	3.6
Corporate Bonds	28.8		143.4

^†Based on net assets.
See notes to financial statements.

STATEMENT OF INVESTMENTS
August 31, 2006





Mellon Short-Term U.S. Government Securities Fund

	Coupon	Maturity	Principal
Bonds and Notes—99.3%	Rate (%)	Date	Amount ($)	Value ($)

U.S. Government Agencies—42.9%
Federal Home Loan Bank System, Bonds	4.00	4/5/07	1,315,000	1,304,827
Federal Home Loan Bank System, Bonds, Ser. 571	4.65	8/22/08	1,205,000	1,196,323
Federal Home Loan Bank System, Bonds	5.13	8/8/08	2,825,000	2,829,237
Federal Home Loan Bank System, Bonds, Ser. 649	5.25	10/3/07	1,525,000	1,524,983
Federal Home Loan Bank System, Bonds	5.40	9/18/08	1,675,000	1,675,415
Federal Home Loan Bank System, Bonds, Ser. 661	5.50	6/13/08	1,775,000	1,776,363
Federal Home Loan Bank System, Bonds, Ser. 659	5.50	6/5/09	1,225,000	1,226,281
Federal Home Loan Bank System, Bonds	5.63	8/14/08	2,115,000	2,117,022
Federal Home Loan Bank System, Bonds	5.75	8/7/09	1,755,000	1,759,010
Federal Home Loan Bank System, Bonds, Ser. 670	5.88	6/29/09	1,810,000	1,815,155
Federal Home Loan Bank System, Bonds, Ser. 4	6.00	6/29/11	1,300,000	1,304,801
Federal Home Loan Mortgage Corp., Notes, Ser. 3	3.00	4/25/07	1,060,000	1,044,451
Federal Home Loan Mortgage Corp., Notes	4.50	8/22/07	1,885,000	1,870,103
Federal Home Loan Mortgage Corp., Bonds	4.63	8/15/08	1,465,000	1,453,807
Federal Home Loan Mortgage Corp., Notes	4.63	12/19/08	1,240,000	1,229,482
Federal Home Loan Mortgage Corp., Notes	5.00	12/28/07	920,000	916,734
Federal Home Loan Mortgage Corp., Notes	5.13	2/27/08	3,000,000	2,992,479
Federal Home Loan Mortgage Corp., Notes	5.33	2/27/09	3,000,000	2,991,963
Federal Home Loan Mortgage Corp., Notes	5.50	4/24/09	3,000,000	2,999,811
Federal National Mortgage Association, Notes, Ser. 1	3.55	1/12/07	1,000,000	993,501
Federal National Mortgage Association, Notes	3.55	2/16/07	3,425,000	3,397,374
Federal National Mortgage Association, Notes	4.00	5/9/07	1,850,000	1,832,690
Federal National Mortgage Association, Notes	4.10	4/18/07	1,375,000	1,364,627
Federal National Mortgage Association, Notes	4.13	6/16/08	1,870,000	1,839,238
Federal National Mortgage Association, Notes	4.50	8/15/08	1,770,000	1,750,859
Federal National Mortgage Association, Notes, Ser. 1	5.10	2/22/08	3,000,000	2,993,643
Federal National Mortgage Association, Notes	5.25	4/4/08	1,975,000	1,972,754
Federal National Mortgage Association, Notes	5.25	6/15/08	2,300,000	2,305,899
Federal National Mortgage Association, Notes	5.50	4/28/08	2,474,000	2,473,337
Federal National Mortgage Association, Notes	5.70	7/17/08	1,800,000	1,803,328
				56,755,497
U.S. Government Agencies/Mortgage-Backed—10.0%
Federal Home Loan Mortgage Corp.:
3.50%, 5/1/08—9/1/08			3,670,300	3,526,901
4.00%, 2/1/08—3/1/10			3,293,133	3,223,415
4.50%, 11/1/07—5/1/08			1,575,506	1,558,804
4.92%, 11/1/32			179,744 ^a	181,963
5.00%, 3/1/08—4/1/09			261,020	258,486
REMIC, Ser. 2495, Cl. UC 5.00%, 7/15/32			161,097	158,826

The Funds 23

STATEMENT OF INVESTMENTS (continued)

Mellon Short-Term U.S. Government Securities Fund (continued)


	Principal
Bonds and Notes (continued)	Amount ($)	Value ($)

U.S. Government Agencies/Mortgage-Backed (continued)
Federal National Mortgage Association:
4.50%, 1/1/10	282,842	275,239
4.71%, 6/1/32	426,453 ^a	431,383
4.90%, 3/1/32	76,137 ^a	76,105
5.50%, 6/1/09	71,202	70,868
5.76%, 3/1/32	52,485 ^a	53,259
5.78%, 6/1/32	296,164 ^a	302,564
6.71%, 4/1/32	47,555 ^a	48,930
6.82%, 5/1/32	153,454 ^a	156,176
6.88%, 5/1/32	2,335 ^a	2,379
7.21%, 6/1/32	102,116 ^a	105,331
Whole Loan, Ser. 2003-W19, Cl. 1A4 4.78%, 11/25/33	1,945,630	1,925,286
Government National Mortgage Association I,
6.00%, 12/15/08—4/15/09	800,827	802,510
		13,158,425
U.S. Government Securities—46.4%
U.S. Treasury Inflation Protected Securities 3.38%, 1/15/07	2,593,154 ^b,c	2,592,303
U.S. Treasury Notes:
3.00%, 11/15/07	1,500,000 ^c	1,466,720
4.13%, 8/15/10	6,750,000 ^c	6,614,474
4.75%, 11/15/08	12,815,000 ^c	12,818,012
5.50%, 2/15/08	11,805,000 ^c	11,917,986
5.63%, 5/15/08	4,750,000 ^c	4,812,349
5.75%, 8/15/10	1,640,000	1,702,846
6.00%, 8/15/09	18,705,000 ^c	19,367,718
		61,292,408
Total Bonds and Notes
(cost $132,064,582)		131,206,330



Other Investment—.6%	Shares	Value ($)

Registered Investment Company;
Dreyfus Institutional Preferred Plus Money Market Fund
(cost $830,000)	830,000 ^d	830,000

Mellon Short-Term U.S. Government Securities Fund (continued)


Investment of Cash Collateral for Securities Loaned—44.1%	Shares	Value ($)

Registered Investment Company;
Dreyfus Institutional Cash Advantage Plus Fund
(cost $58,222,675)	58,222,675 ^d	58,222,675

Total Investments (cost $191,117,257)	144.0%	190,259,005
Liabilities, Less Cash and Receivables	(44.0%)	(58,093,357)
Net Assets	100.0%	132,165,648

^aVariable rate security—interest rate subject to periodic change.
^bPrincipal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
^cAll or a portion of these securities are on loan.At August 31, 2006, the total market value of the fund’s securities on loan is $58,405,418 and the total market value of the collateral
held by the fund is $59,722,925, consisting of cash collateral of $58,222,675, U.S. Government and agency securities valued at $1,293,500, and Letters of Credit valued at
$206,750.
^dInvestment in affiliated money market mutual fund.





Portfolio Summary (Unaudited) ^†
Value (%)		Value (%)

U.S. Government & Agencies 99.3 Money Market Investments		44.7
		144.0
^†Based on net assets.
See notes to financial statements.

The Funds 25

STATEMENTS

ASSETS

AND

LIABILITIES

August 31, 2006

Mellon

Short-Term

Bond

Intermediate

U.S. Government

Fund

Bond Fund

Securities Fund

Assets ($):
Investments in securities—
See Statement of Investments^†—Note 2(c)
(including securities loaned)^††—Note 2(b):
Unaffiliated issuers	885,513,888	648,281,234	131,206,330
Affiliated issuers	243,742,154	293,374,982	59,052,675
Receivable for investment securities sold	3,101,383	6,420,820	1,979,057
Receivable for shares of Beneficial Interest subscribed	774,160	1,939,202	24,600
Dividend and interest receivable	7,420,463	6,154,236	900,034
Paydowns receivable	27,847	—	—
Prepaid expenses	20,896	20,905	19,429
	1,140,600,791	956,191,379	193,182,125

Liabilities ($):
Due to The Dreyfus Corporation and affiliates—Note 4(b)	312,219	228,514	41,756
Due to Administrator—Note 4(a)	98,780	71,978	14,865
Cash overdraft due to Custodian	2,103,222	1,364,365	355,848
Liability for securities loaned—Note 2(b)	224,301,154	285,621,982	58,222,675
Payable for investment securities purchased	23,423,619	11,695,748	1,675,301
Payable for shares of Beneficial Interest redeemed	1,011,129	362,644	669,469
Accrued expenses	37,221	44,793	36,563
	251,287,344	299,390,024	61,016,477

Net Assets ($)	889,313,447	656,801,355	132,165,648

Composition of Net Assets ($):
Paid-in capital	917,687,053	684,025,084	142,667,132
Accumulated undistributed investment income—net	409,554	41,547	13,029
Accumulated net realized gain (loss) on investments	(19,105,471)	(22,374,568)	(9,656,261)
Accumulated net unrealized appreciation
(depreciation) on investments	(9,677,689)	(4,890,708)	(858,252)

Net Assets ($)	889,313,447	656,801,355	132,165,648

Net Asset Value Per Share
Class M Shares
Net Assets ($)	885,994,496	656,120,459	131,884,703
Shares Outstanding	72,437,127	54,031,693	10,997,474
Net Asset Value Per Share ($)	12.23	12.14	11.99

Investor Shares
Net Assets ($)	3,318,951	680,896	280,945
Shares Outstanding	271,822	56,093	23,410
Net Asset Value Per Share ($)	12.21	12.14	12.00

^†Investments at cost ($):
Unafilliated issuers	895,191,577	653,171,942	132,064,582
Affiliated issuers	243,742,154	293,374,982	59,052,675

^††Value of securities loaned ($)	228,740,139	287,954,594	58,405,418

See notes to financial statements.

STATEMENTS OF OPERATIONS
Year Ended August 31,	2006





				Mellon
		Mellon	Mellon	Short-Term
		Bond	Intermediate	U.S. Government
		Fund	Bond Fund	Securities Fund

Investment Income ($):
Income:
Dividends;
Affiliated Issuers		296,146	213,624	50,329
Interest		40,512,335	25,608,470	5,466,403
Income from securites lending		201,933	218,937	46,447
Total Income		41,010,414	26,041,031	5,563,179
Expenses:
Investment advisory fee—Note 4(a)		3,402,279	2,391,765	514,852
Administration fee—Note 4(a)		1,118,814	786,376	193,600
Custodian fees—Note 4(b)		84,744	44,553	14,113
Professional fees		45,314	40,945	35,889
Registration fees		21,093	25,191	18,901
Trustees’ fees and expenses—Note 4(c)		20,752	18,817	6,365
Prospectus and shareholders’ reports		10,088	6,154	4,459
Shareholder servicing costs—Note 4(b)		7,176	2,044	343
Miscellaneous		36,358	35,505	12,935
Total Expenses		4,746,618	3,351,350	801,457
Less—reduction in custody fee due to
earnings credit—Note 2(b)		(12,928)	—	—
Net Expenses		4,733,690	3,351,350	801,457
Investment Income—Net		36,276,724	22,689,681	4,761,722

Realized and Unrealized Gain (Loss) on Investments—Note 5 ($):
Net realized gain (loss) on investments		(11,613,132)	(8,012,157)	(1,733,150)
Net unrealized appreciation (depreciation) on investments		(13,454,048)	(3,585,628)	801,832
Net Realized and Unrealized Gain (Loss) on Investments		(25,067,180)	(11,597,785)	(931,318)
Net Increase (Decrease) in Net Assets Resulting from Operations		11,209,544	11,091,896	3,830,404

See notes to financial statements.

The Funds 27

STATEMENTS OF CHANGES IN NET ASSETS

	Mellon Bond Fund		Mellon Intermediate Bond Fund

	Year Ended August 31,		Year Ended August 31,

	2006	2005	2006	2005

Operations ($):
Investment income—net	36,276,724	31,765,112	22,689,681	17,446,649
Net realized gain (loss) on investments	(11,613,132)	5,843,843	(8,012,157)	(1,907,257)
Net unrealized appreciation (depreciation) on investments	(13,454,048)	(10,671,423)	(3,585,628)	(6,826,688)
Net Increase (Decrease) in Net Assets
Resulting from Operations	11,209,544	26,937,532	11,091,896	8,712,704

Dividends to Shareholders from ($):
Investment income—net:
Class M Shares	(39,545,101)	(35,555,587)	(26,221,806)	(21,074,940)
Investor Shares	(123,625)	(116,007)	(24,753)	(17,253)
Total Dividends	(39,668,726)	(35,671,594)	(26,246,559)	(21,092,193)

Beneficial Interest Transactions ($):
Net proceeds from shares sold:
Class M Shares	240,428,852	168,833,816	236,514,039	158,006,759
Investor Shares	1,431,673	293,755	259,594	314,490
Dividends reinvested:
Class M Shares	4,040,661	3,433,836	3,223,669	1,847,547
Investor Shares	67,704	51,515	21,290	13,673
Cost of shares redeemed:
Class M Shares	(169,904,457)	(143,427,019)	(137,710,274)	(102,841,225)
Investor Shares	(799,794)	(675,720)	(132,332)	(226,406)
Increase (Decrease) in Net Assets from
Beneficial Interest Transactions	75,264,639	28,510,183	102,175,986	57,114,838
Total Increase (Decrease) in Net Assets	46,805,457	19,776,121	87,021,323	44,735,349

Net Assets ($):
Beginning of Period	842,507,990	822,731,869	569,780,032	525,044,683
End of Period	889,313,447	842,507,990	656,801,355	569,780,032
Undistributed investment income—net	409,554	438,115	41,547	181,224

Capital Share Transactions (Shares):
Class M Shares
Shares sold	19,602,576	13,306,299	19,436,432	12,573,035
Shares issued for dividends reinvested	329,679	270,952	265,729	147,205
Shares redeemed	(13,845,343)	(11,312,031)	(11,302,357)	(8,167,590)
Net Increase (Decrease) in Shares Outstanding	6,086,912	2,265,220	8,399,804	4,552,650

Investor Shares
Shares sold	117,170	23,103	21,330	24,951
Shares issued for dividends reinvested	5,557	4,071	1,757	1,088
Shares redeemed	(64,952)	(53,408)	(10,826)	(17,847)
Net Increase (Decrease) in Shares Outstanding	57,775	(26,234)	12,261	8,192

See notes to financial statements.

	Mellon Short-Term U.S. Government Securities Fund

		Year Ended August 31,

	2006	2005

Operations ($):
Investment income—net	4,761,722	3,774,369
Net realized gain (loss) on investments	(1,733,150)	(1,015,599)
Net unrealized appreciation (depreciation) on investments	801,832	(1,151,379)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,830,404	1,607,391

Dividends to Shareholders from ($):
Investment income—net:
Class M Shares	(5,791,722)	(6,154,146)
Investor Shares	(5,612)	(376)
Total Dividends	(5,797,334)	(6,154,522)

Beneficial Interest Transactions ($):
Net proceeds from shares sold:
Class M Shares	60,091,529	80,903,887
Investor Shares	462,711	20,152
Dividends reinvested:
Class M Shares	795,437	808,058
Investor Shares	5,612	356
Cost of shares redeemed:
Class M Shares	(88,997,843)	(91,504,077)
Investor Shares	(207,365)	(11,510)
Increase (Decrease) in Net Assets from Beneficial Interest Transactions	(27,849,919)	(9,783,134)
Total Increase (Decrease) in Net Assets	(29,816,849)	(14,330,265)

Net Assets ($):
Beginning of Period	161,982,497	176,312,762
End of Period	132,165,648	161,982,497
Undistributed investment income—net	13,029	35,694

Capital Share Transactions (Shares):
Class M Shares
Shares sold	4,995,237	6,586,447
Shares issued for dividends reinvested	66,332	65,932
Shares redeemed	(7,401,788)	(7,449,019)
Net Increase (Decrease) in Shares Outstanding	(2,340,219)	(796,640)

Investor Shares
Shares sold	38,573	1,660
Shares issued for dividends reinvested	469	29
Shares redeemed	(17,279)	(946)
Net Increase (Decrease) in Shares Outstanding	21,763	743

See notes to financial statements.

The Funds 29

FINANCIAL HIGHLIGHTS

The following tables describe the performance for each share class of each fund for the fiscal periods indicated.All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in each fund would have increased (or decreased) during the period, assuming you had reinvested all dividends and distributions. These figures have been derived from each fund’s financial statements.

			Class M Shares

			Year Ended August 31,

Mellon Bond Fund	2006	2005	2004	2003 ^a	2002

Per Share Data ($):
Net asset value, beginning of period	12.66	12.79	12.92	12.95	13.15
Investment Operations:
Investment income—net ^b	.52	.48	.49	.56	.67
Net realized and unrealized
gain (loss) on investments	(.38)	(.07)	.21	.06	(.02)
Total from Investment Operations	.14	.41	.70	.62	.65
Distributions:
Dividends from investment income—net	(.57)	(.54)	(.56)	(.62)	(.69)
Dividends from net realized gain on investments	—	—	(.27)	(.03)	(.16)
Total Distributions	(.57)	(.54)	(.83)	(.65)	(.85)
Net asset value, end of period	12.23	12.66	12.79	12.92	12.95

Total Return (%)	1.20	3.30	5.63	4.73	5.11

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.56	.56	.56	.57	.57
Ratio of net expenses to average net assets	.56	.56	.56	.55	.55
Ratio of net investment income
to average net assets	4.27	3.81	3.79	4.30	5.19
Portfolio Turnover Rate	104.53^c	151.34^c	133.00^c	134.12	163.78

Net Assets, end of period ($ x 1,000)	885,994	839,804	819,664	846,464	966,170

^aEffective December 16, 2002, MPAM shares were redesignated as Class M shares.

^bBased on average shares outstanding at each month end.

^cThe portfolio turnover rate excluding mortgage dollar roll transactions for the periods ended August 31, 2006,August 31, 2005 and August 31, 2004, were 101.12%, 104.24%

and 106.10%, respectively.

See notes to financial statements.

			Investor Shares

			Year Ended August 31,

Mellon Bond Fund	2006	2005	2004	2003	2002

Per Share Data ($):
Net asset value, beginning of period	12.63	12.77	12.90	12.94	13.15
Investment Operations:
Investment income—net ^a	.49	.45	.50	.54	.63
Net realized and unrealized
gain (loss) on investments	(.37)	(.08)	.17	.04	(.02)
Total from Investment Operations	.12	.37	.67	.58	.61
Distributions:
Dividends from investment income—net	(.54)	(.51)	(.53)	(.59)	(.66)
Dividends from net realized gain on investments	—	—	(.27)	(.03)	(.16)
Total Distributions	(.54)	(.51)	(.80)	(.62)	(.82)
Net asset value, end of period	12.21	12.63	12.77	12.90	12.94

Total Return (%)	1.01	2.98	5.29	4.48	4.73

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.80	.81	.81	.82	.82
Ratio of net expenses to average net assets	.80	.81	.81	.80	.80
Ratio of net investment income
to average net assets	4.02	3.56	3.52	4.11	4.96
Portfolio Turnover Rate	104.53^b	151.34^b	133.00^b	134.12	163.78

Net Assets, end of period ($ x 1,000)	3,319	2,704	3,068	3,861	3,693

^aBased on average shares outstanding at each month end.

^bThe portfolio turnover rate excluding mortgage dollar roll transactions for the periods ended August 31, 2006,August 31, 2005 and August 31, 2004, were 101.12% 104.24%

and 106.10%, respectively.

See notes to financial statements.

The Funds 31

FINANCIAL HIGHLIGHTS (continued)

			Class M Shares

			Year Ended August 31,

Mellon Intermediate Bond Fund	2006	2005	2004	2003 ^a	2002

Per Share Data ($):
Net asset value, beginning of period	12.47	12.77	12.97	13.04	13.08
Investment Operations:
Investment income—net ^b	.46	.41	.42	.51	.62
Net realized and unrealized
gain (loss) on investments	(.26)	(.22)	.14	.11	.15
Total from Investment Operations	.20	.19	.56	.62	.77
Distributions:
Dividends from investment income—net	(.53)	(.49)	(.52)	(.59)	(.67)
Dividends from net realized gain on investments	—	—	(.24)	(.10)	(.14)
Total Distributions	(.53)	(.49)	(.76)	(.69)	(.81)
Net asset value, end of period	12.14	12.47	12.77	12.97	13.04

Total Return (%)	1.69	1.53	4.45	4.77	6.09

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.56	.57	.57	.57	.58
Ratio of net expenses to average net assets	.56	.57	.57	.56	.56
Ratio of net investment income
to average net assets	3.79	3.23	3.26	3.88	4.81
Portfolio Turnover Rate	86.50	112.51^c	109.19	104.98	106.09

Net Assets, end of period ($ x 1,000)	656,120	569,233	524,590	467,627	437,119

^aEffective December 16, 2002, MPAM shares were redesignated as Class M shares.

^bBased on average shares outstanding at each month end.

^cThe portfolio turnover rate excluding mortgage dollar roll transactions for the periods ended August 31, 2005, was 111.52%.

See notes to financial statements.

			Investor Shares

			Year Ended August 31,

Mellon Intermediate Bond Fund	2006	2005	2004	2003	2002

Per Share Data ($):
Net asset value, beginning of period	12.47	12.77	13.02	13.08	13.09
Investment Operations:
Investment income—net ^a	.43	.37	.55	.48	.56
Net realized and unrealized
gain (loss) on investments	(.26)	(.21)	(.07)^b	.12	.20
Total from Investment Operations	.17	.16	.48	.60	.76
Distributions:
Dividends from investment income—net	(.50)	(.46)	(.49)	(.56)	(.63)
Dividends from net realized gain on investments	—	—	(.24)	(.10)	(.14)
Total Distributions	(.50)	(.46)	(.73)	(.66)	(.77)
Net asset value, end of period	12.14	12.47	12.77	13.02	13.08

Total Return (%)	1.43	1.30	3.88	4.51	6.05

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.81	.81	.82	.81	.83
Ratio of net expenses to average net assets	.81	.81	.82	.81	.81
Ratio of net investment income
to average net assets	3.55	3.00	3.01	3.57	4.51
Portfolio Turnover Rate	86.50	112.51^c	109.19	104.98	106.09

Net Assets, end of period ($ x 1,000)	681	547	455	305	121

^aBased on average shares outstanding at each month end.

^bIn addition to the net realized and unrealized gain on investments as shown in the Statement of Operations, this amount includes a decrease in net asset value per share resulting

from the timing of issuances and redemptions of shares in relation to fluctuating market values for the fund’s investments.

^cThe portfolio turnover rate excluding mortgage dollar roll transactions for the periods ended August 31, 2005, was 111.52%.

See notes to financial statements.

The Funds 33

FINANCIAL HIGHLIGHTS (continued)

			Class M Shares

			Year Ended August 31,

Mellon Short-Term U.S. Government Securities Fund	2006	2005	2004	2003 ^a	2002

Per Share Data ($):
Net asset value, beginning of period	12.14	12.47	12.70	12.94	12.87
Investment Operations:
Investment income—net ^b	.39	.28	.25	.34	.52
Net realized and unrealized
gain (loss) on investments	(.06)	(.16)	(.01)	(.11)	.22
Total from Investment Operations	.33	.12	.24	.23	.74
Distributions:
Dividends from investment income—net	(.48)	(.45)	(.45)	(.44)	(.58)
Dividends from net realized gain on investments	—	—	(.02)	(.03)	(.09)
Total Distributions	(.48)	(.45)	(.47)	(.47)	(.67)
Net asset value, end of period	11.99	12.14	12.47	12.70	12.94

Total Return (%)	2.78	1.00	1.97	1.68	5.87

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.54	.55	.55	.56	.59
Ratio of net expenses to average net assets	.54	.55	.55	.55	.55
Ratio of net investment income
to average net assets	3.24	2.25	1.97	2.68	4.07
Portfolio Turnover Rate	85.97	69.11	44.76	88.05	97.19

Net Assets, end of period ($ x 1,000)	131,885	161,963	176,301	139,971	108,605

^aEffective December 16, 2002, MPAM shares were redesignated as Class M shares.
^bBased on average shares outstanding at each month end.
See notes to financial statements.

			Investor Shares

			Year Ended August 31,

Mellon Short-Term U.S. Government Securities Fund	2006	2005	2004	2003	2002

Per Share Data ($):
Net asset value, beginning of period	12.14	12.47	12.73	12.93	12.88
Investment Operations:
Investment income—net ^a	.41	.23	.37	.30	.46
Net realized and unrealized
gain (loss) on investments	(.10)	(.14)	(.19)	(.06)	.21
Total from Investment Operations	.31	.09	.18	.24	.67
Distributions:
Dividends from investment income—net	(.45)	(.42)	(.42)	(.41)	(.53)
Dividends from net realized gain on investments	—	—	(.02)	(.03)	(.09)
Total Distributions	(.45)	(.42)	(.44)	(.44)	(.62)
Net asset value, end of period	12.00	12.14	12.47	12.73	12.93

Total Return (%)	2.62	.78	1.46	1.78	5.28

Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.77	.81	.78	.83	.90
Ratio of net expenses to average net assets	.77	.81	.78	.80	.80
Ratio of net investment income
to average net assets	3.25	1.99	1.74	2.38	3.54
Portfolio Turnover Rate	85.97	69.11	44.76	88.05	97.19

Net Assets, end of period ($ x 1,000)	281	20	11	1	1
^aBased on average shares outstanding at each month end.
See notes to financial statements.

The Funds 35

NOTES TO FINANCIAL STATEMENTS

NOTE 1—General:

Mellon Funds Trust (the “Trust”) was organized as a Massachusetts business trust which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently comprised of sixteen series including the following diversified fixed income funds: Mellon Bond Fund, Mellon Intermediate Bond Fund and Mellon Short-Term U.S. Government Securities Fund (each, a “fund” and collectively, the “funds”). Mellon Bond Fund’s and Mellon Intermediate Bond Fund’s investment objective is to seek total return (consisting of capital appreciation and current income). Mellon Short-Term U.S. Government Securities Fund investment objective is to seek to provide as high a level of current income as is consistent with the preservation of capital. Mellon Fund Advisers, a division of The Dreyfus Corporation (the “Manager” or “Dreyfus”), serves as each fund’s investment adviser (“Investment Adviser”). Mellon Bank, N.A. (“Mellon Bank”), which is a wholly-owned subsidiary of Mellon Financial Corporation, (“Mellon Financial”) serves as administrator for the funds pursuant to an Administration Agreement with the Trust (the “Administration Agreement”). Mellon Bank has entered into a Sub-Administration Agreement with Dreyfus pursuant to which Mellon Bank pays Dreyfus for performing certain administrative services. Dreyfus is a wholly-owned subsidiary of Mellon Financial. Dreyfus Service Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the Distributor of each fund’s shares, which are sold without a sales charge.

The Trust is authorized to issue an unlimited number of shares of beneficial interest, par value $.001 per share, in each of the Class M and Investor class shares of each fund. Each class of shares has similar rights and privileges, except with respect to the expenses borne by and the shareholder services offered to each class and the shareholder services plan applicable to the Investor shares and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and real-

ized and unrealized gains or losses on investments are allocated daily for each class of shares based upon relative proportion of net assets of each class.

The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses that are applicable to all series are allocated among them on a pro rata basis.

The funds’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

NOTE 2—Significant Accounting Policies:

(a) Portfolio valuation: Investments in securities (excluding short-term investments (other than U.S. Treasury Bills), are valued each business day by an independent pricing service (the “Service”) approved by the Board of Trustees. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of the portfolio securities) are valued as determined by the Service, based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Securities for which there are no such valuations are valued at fair value as determined in good faith under the direction of the fund’s Board of Trustees. Restricted securities, as well as securities or other assets for which recent market quotations are not readily available, that are not valued by a pricing service approved by the fund’s Board of Trustees, or are determined by the fund not to reflect accurately fair value (such as when an event occurs after the close of the exchange on which the security is principally

traded and that is determined by the fund to have changed the value of the security), are valued at fair value as determined in good faith under the direction of the Board of Trustees. The factors that may be considered when fair valuing a security include fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Investments in registered investment companies are valued at their net asset value.

(b) Securities transactions and investment income:

Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including where applicable, accretion of discount and amortization of premium on investments is recognized on the accrual basis.

The funds have an arrangement with the custodian bank whereby the funds receive earnings credits from the custodian when positive cash balances are maintained, which are used to offset custody fees. For financial reporting purposes, the funds include net earnings credits as an expense offset in the Statement of Operations.

Pursuant to a securities lending agreement with Mellon Bank, N.A., an affiliate of Dreyfus, the fund may lend securities to certain qualified institutions. It is the fund’s policy, that at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Cash collateral is invested in certain money market mutual funds managed by Dreyfus.The funds are entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the funds bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner.

The funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, a fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the fund’s holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund’s holding period.The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counter party default, the fund has the right to use the collateral to offset losses incurred.There is potential loss to the fund in the event the fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert its rights.The Investment Adviser reviews the value of the collateral and the cred-itworthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks.

(c) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.

(d) Dividends to shareholders: Dividends payable to shareholders are recorded by the funds on the ex-dividend date. The funds declare and pay dividends from investment income-net monthly. With respect to each series, dividends from net realized capital gain, if any, are normally declared and paid annually, but the funds may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gain can be offset by capital loss carryovers of that fund, it is the policy of the

The Funds 37

NOTES TO FINANCIAL STATEMENTS (continued)

fund not to distribute such gain. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

(e) Federal income taxes: It is the policy of each fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each series is treated as a single entity for the purpose of determining such qualification.

the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority.Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. 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 does not believe that the application of this standard will have a material impact on the financial statements of the funds.

Table 1 summarizes each fund’s components of accumulated earnings on a tax basis at August 31, 2006.

Table 2 summarizes each relevant fund’s accumulated capital loss carryover available to be applied against future net securities profits, if any, realized subsequent to August 31, 2006.

Table 1.


	Undistributed	Accumulated	Unrealized
	Ordinary	Capital Gains/	Appreciation/	Post 10/31
	Income ($)	Losses ($)^†	(Depreciation) ($)	Losses ^††

Mellon Bond Fund	730,383	(3,007,358)	(12,570,057)	(13,526,574)
Mellon Intermediate Bond Fund	366,159	(6,780,222)	(8,456,722)	(12,352,944)
Mellon Short-Term U.S. Government Securities Fund	73,455	(5,004,233)	1,283,080	(4,287,626)

^†The accumulated capital loss carryover is available to be applied against future net securities profits, if any, realized subsequent to August 31, 2006.

In addition, the funds had capital losses realized after October 31, 2005, which were deferred for tax purposes to the first day of the following year.

Table 2.


Expiring in fiscal	2012 ($)^†	2013 ($)^†	2014 ($)^†	Total ($)

Mellon Bond Fund	1,596,239	136,060	1,275,059	3,007,358
Mellon Intermediate Bond Fund	1,813,775	892,928	4,073,519	6,780,222
Mellon Short-Term U.S. Government Securities Fund	182,342	1,852,740	2,969,151	5,004,233
^†If not applied, the carryover expire in the above years.

Table 3 summarizes each fund’s tax character of distributions paid to shareholders during the fiscal years ended August 31, 2006 and August 31, 2005, respectively.

During the period ended August 31, 2006, as a result of permanent book to tax differences, primarily due to amortization of premiums, paydown gains and losses on mortgage backed securities and sales treatment for treasury inflation protected securities, the funds increased accumulated undistributed investment income-net and (decreased) accumulated net realized gain (loss) on investments by the same amount as summarized in Table 4. Net assets were not affected by this reclassification.

NOTE 3—Bank Line of Credit:

The funds participate with other Dreyfus-managed funds

in a $100 million unsecured line of credit primarily to be

utilized for temporary or emergency purposes, including

the financing of redemptions. Interest is charged to the

funds based on prevailing market rates in effect at the

time of borrowings. During the period ended August 31,

2006, the funds did not borrow under the line of credit.

NOTE 4—Investment Advisory Fee, Administration Fee and Other Transactions With Affiliates:

Pursuant to the Administration Agreement with Mellon, Mellon provides or arranges for fund accounting, transfer agency and other fund administration services and receives a fee based on the total net assets of the Trust based on the following rates:

0 up to $6 billion		.15%
$6 billion up to $12 billion		.12%
In excess of $12 billion		.10%

Mellon Bank has entered into a Sub-Administration Agreement with Dreyfus pursuant to which Mellon Bank pays Dreyfus for performing certain administrative services.

Table 3.



	Ordinary Income ($)

	2006	2005

Mellon Bond Fund	39,668,726	35,671,594
Mellon Intermediate Bond Fund	26,246,559	21,092,193
Mellon Short-Term U.S.
Government Securities Fund	5,797,334	6,154,522

Table 4.


		Accumulated	Accumulated
		Undistributed	Net Realized	Paid-in
		Investment Income—Net ($)	Gain (Loss) ($)	Capital ($)

Mellon Bond Fund		3,363,441	(3,363,441)	0
Mellon Intermediate Bond Fund		3,417,201	(3,417,201)	0
Mellon Short-Term U.S. Government Securities Fund		1,012,947	(1,012,947)	0

The Funds 39

NOTES TO FINANCIAL STATEMENTS (continued)

(b) The funds have adopted a Shareholder Services Plan with respect to its Investor shares pursuant to which each fund pays the Distributor for the provision of certain services to holders of Investor shares a fee at an annual rate of .25% of the value of the average daily net assets attributable to Investor shares. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding a fund, and providing reports and other information, and services related to the maintenance of such shareholder accounts. The Shareholder Services Plan allows the Distributor to make payments from the shareholder services fees it collects from each fund to compensate service agents (certain banks, securities brokers or dealers and other financial institutions) in respect of these services. Table 5 summarizes the amounts Investor shares were charged during the period ended August 31, 2006, pursuant to the Shareholder Services Plan. Additional fees included in shareholder servicing costs in the Statement of Operations includes fees paid to the transfer agent.

Table 5.

Mellon Bond Fund		$6,988
Mellon Intermediate Bond Fund		1,494
Mellon Short-Term
U.S. Government Securities Fund		343

The funds compensate Mellon Bank, N.A., an affiliate of Dreyfus, under a Custody Agreement for providing custodial services for the funds. Table 6 summarizes the amounts the funds were charged during the period ended August 31, 2006, pursuant to the custody agreements.

Table 6.

Mellon Bond Fund		$84,744
Mellon Intermediate Bond Fund		44,553
Mellon Short-Term
U.S. Government Securities Fund		14,113

During the period ended August 31, 2006, each fund was charged $4,313 for services performed by the Chief Compliance Officer.

Table 7 summarizes the components of Due to The Dreyfus Corporation and affiliates in the Statement of Assets and Liabilities for each fund.

(c) Effective January 1, 2006, each trustee who is not an “affiliated person” as defined in the Act receives from the Trust an annual fee of $48,000 and an attendance fee of $5,000 for each in-person meeting attended and $500 for telephone meetings and is reimbursed for travel and out-of-pocket expenses. The Chairman of the Trust’s Board receives an additional annual fee of $10,000 and the

Table 7.


	Investment	Chief	Shareholder
	Advisory	Compliance	Services	Custodian
	Fees ($)	Officer Fees ($)	Plan Fees ($)	Fees ($)

Mellon Bond Fund	301,925	1,895	701	7,698
Mellon Intermediate Bond Fund	220,003	1,895	144	6,472
Mellon Short-Term U.S. Government Securities Fund	39,755	1,895	59	47

Chairman of the Trust’s Audit Committee receives an additional annual fee of $8,000. Between September 13, 2004 and December 31, 2005, the Trust paid its Board members an annual fee of $44,000 and an attendance fee of $4,000 for each in-person meeting attended and $500 for telephone meetings and reimbursed them for travel and out-of-pocket expenses.

(d) The Trust and Dreyfus have received an exemptive order from the SEC which, among other things, permits each fund to use cash collateral received in connection with lending the fund’s securities and other uninvested cash to purchase shares of one or more registered money market funds advised by Dreyfus in excess of the limitations imposed by the Act.

NOTE 5—Securities Transactions:

Table 8 summarizes each fund’s aggregate amount of purchases and sales of investment securities (including paydowns) excluding short-term securities, during the period ended August 31, 2006 of which $28,681,343 in purchases and $28,699,284 in sales were from mortgage dollar roll transactions in the Mellon Bond Fund.

Table 9 summarizes the cost of investments for federal income tax purposes and accumulated net unrealized appreciation (depreciation) on investments for each fund at August 31, 2006:

Table 8.


		Purchases ($)		Sales ($)

Mellon Bond Fund		960,231,463	878,470,597
Mellon Intermediate Bond Fund		609,287,162	506,821,473
Mellon Short-Term U.S. Government Securities Fund		124,331,997	150,176,952


Table 9.


	Cost of	Gross	Gross
	Investments ($)	Appreciation ($)	(Depreciation) ($)	Net ($)

Mellon Bond Fund	1,141,826,099	2,708,398	15,278,455	(12,570,057)
Mellon Intermediate Bond Fund	950,112,938	1,893,981	10,350,703	(8,456,722)
Mellon Short-Term U.S. Government Securities Fund	191,542,085	78,917	1,361,997	(1,283,080)

The Funds 41

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders of Mellon Funds Trust:

We have audited the accompanying statements of assets and liabilities of Mellon Bond Fund, Mellon Intermediate Bond Fund and Mellon Short-Term U.S. Government Securities Fund of Mellon Funds Trust (collectively “the Funds”), including the statements of investments, as of August 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the periods indicated therein.These financial statements and financial highlights are the responsibility of the Funds’management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.An audit includes examining, on a test basis, evidence supporting

the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2006, by correspondence with the custodian and brokers or by appropriate auditing procedures where replies from brokers were not received.An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of August 31, 2006, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

New York, New York
October 20, 2006

IMPORTANT TAX INFORMATION (Unaudited)

Mellon Bond Fund

The fund hereby designates 95.54% of ordinary income dividends paid during the fiscal year ended August 31, 2006 as qualifying “interest related dividends.”

Mellon Intermediate Bond Fund

The fund hereby designates 94.16% of ordinary income dividends paid during the fiscal year ended August 31, 2006 as qualifying “interest related dividends.”

Mellon Short-Term U.S. Government Securities Fund

For federal tax purposes the fund hereby designates 100% of the ordinary income dividends paid during its fiscal year ended August 31, 2006 as qualifying interest related dividends. Also for state individual income tax purposes, the fund hereby designates 61.79% of the ordinary income dividends paid during its fiscal year ended August 31, 2006 as attributable to interest income from direct obligations of the United States. Such dividends are currently exempt from taxation for individual income tax purposes in most states, including New York, California and the District of Columbia.

The Funds 43

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

OF EACH FUND’ S INVESTMENT ADVISORY AGREEMENT (Unaudited)

At a meeting of the Board of Trustees held on March 13-14, 2006, the Board considered the re-approval of the Trust’s Investment Advisory Agreement for another one year term, pursuant to which the Investment Adviser, a division of Dreyfus, provides the funds with investment advisory services. The Board members also considered the re-approval of the Trust’s Administration Agreement with Mellon Bank for another one year term, pursuant to which Mellon Bank provides the funds with administrative services. Mellon Bank has entered into a Sub-Administration Agreement with Dreyfus pursuant to which Mellon Bank pays Dreyfus for performing certain of these administrative services. The Board members who are not “interested persons” (as defined in the Act) of the Trust were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus.

Analysis of Nature, Extent and Quality of Services Provided to the Funds. The Board members received a presentation from representatives of Dreyfus regarding services provided to the funds, and discussed the nature, extent and quality of the services provided to the funds pursuant to the Investment Advisory Agreement. Dreyfus’ representatives reviewed the funds’ distribution of accounts, and noted the diversity of distribution of the funds and Dreyfus’ corresponding need for broad, deep and diverse resources to be able to provide ongoing shareholder services to each of the funds’ distribution channels. The Board also reviewed the number of shareholder accounts in each fund, as well as each fund’s asset size.

The Board members also considered Dreyfus’ research and portfolio management capabilities.The Board members also considered that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements, and Dreyfus’ extensive administrative, accounting and compliance infrastructure.

Comparative Analysis of the Funds’ Advisory Fees, Expense Ratio and Performance.

Mellon Bond Fund. The Board members reviewed reports prepared by Lipper, Inc., an independent provider

of investment company data, which included information comparing the fund’s advisory fee and expense ratio with a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”) that were selected by Lipper. Included in these reports were comparisons of contractual and actual advisory fee rates, total operating expenses, and yield and total return performance. Representatives of Dreyfus furnished these reports to the Board along with a description of the methodology Lipper used to select the Expense Group and Expense Universe.

The Board reviewed the results of the Expense Group and Expense Universe comparisons for various periods ended January 31, 2006.The Board reviewed the range of advisory fees and expense ratios of the funds in the Expense Group and Expense Universe, and noted that the fund’s expense ratio ranked in the third quintile (above the median) of the Expense Group.The Board also noted that the fund’s expense ratio ranked in the third quintile (above the median) of the Expense Group.The Board also noted that the fund’s expense ratio ranked in the second quintile (below the median) and in the third quintile (below the median) of the Expense Universe, including and excluding both Rule 12b-1 fees and non-Rule 12b-1 service fees of the funds in the Expense Universe, respectively.

The Board members also reviewed the reports prepared by Lipper that presented the fund’s performance and placed significant emphasis on comparisons of performance to groups of funds (the “Performance Group” and the “Performance Universe”) that were composed of the same funds included in the Expense Group and Expense Universe.The Board noted that the fund’s total return performance was below the averages of the Performance Group and the Performance Universe for the reported periods ended January 31, 2006, ranked in the fifth quin-tile for the 1-, 2-, 3- and 4-year periods and in the fourth quintile for the 5-year period, of the Performance Group and in the fourth quintile of the Performance Universe for the reported periods.The Board also noted that the fund’s income performance was below the averages of the Performance Group for each of the 1-year periods ended

January 31st for 2002, 2003 and 2006, was above the averages of the Performance Group for each of the 1-year periods ended January 31st for 2004 and 2005, and was above the averages of the Performance Universe for each of the 1-year periods ended January 31st from 2002 through 2006.The Board considered the rank of the fund’s income performance versus the Performance Group and the Performance Universe for each 1-year period.

Representatives of Dreyfus reviewed with the Board members the fees paid to Dreyfus or its affiliates by mutual funds managed by Dreyfus or its affiliates with similar investment objectives, policies and strategies as the fund (the “Similar Funds”), and explained the nature of the Similar Funds and the differences, from Dreyfus’ perspective, in providing services to the Similar Funds as compared to the fund. Representatives of Dreyfus also noted that there were no other accounts managed or sub-advised by Dreyfus or its affiliates with similar investment objectives, policies and strategies as the fund. Dreyfus’ representatives also reviewed the costs associated with distribution through intermediaries.The Board analyzed the differences in fees paid to Dreyfus and discussed the relationship of the advisory fees paid in light of Dreyfus’ performance and the services provided; it was noted that the fees of some of the Similar Funds were higher or substantially comparable to that of the fund or, if lower, reflected historical pricing and funds offered only to institutional investors and that, with respect to any Similar Funds for which the fund’s advisory/administration fee was higher, the fund’s total expense ratio generally was lower than those of the Similar Funds.The Board members considered the relevance of the fee information provided for the Similar Funds managed by Dreyfus to evaluate the appropriateness and reasonableness of the fund’s advisory fees.The Board acknowledged that differences in fees paid by the Similar Funds seemed to be consistent with the services provided.

Mellon Intermediate Bond Fund. The Board members reviewed reports prepared by Lipper, Inc., an independent provider of investment company data, which included information comparing the fund’s advisory fee and

expense ratio with a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”) that were selected by Lipper. Included in these reports were comparisons of contractual and actual advisory fee rates, total operating expenses, and yield and total return performance. Representatives of Dreyfus furnished these reports to the Board along with a description of the methodology Lipper used to select the Expense Group and Expense Universe.

The Board members also reviewed the reports prepared by Lipper that presented the fund’s performance and placed significant emphasis on comparisons of performance to groups of funds (the “Performance Group” and the “Performance Universe”) that were composed of the same funds included in the Expense Group and Expense Universe.The Board noted that the fund’s total return performance was below the averages of the Performance Group for the reported periods, was above the averages of the Performance Universe for the 3-, 4- and 5-year periods, and was below the averages of the Performance Universe for the 1- and 2-year periods, ended January 31, 2006, and ranked in the fifth quintile of the Performance Group for the reported periods, in the fourth quintile for the 1- and 2-year periods, and in the third quintile for the 3-, 4- and 5-year periods, of the Performance Universe. The Board also noted that the fund’s income performance was below the averages of the Performance Group for each of the 1-year periods ended January 31st for 2002 and 2006, was above the averages of the Performance Group

The Funds 45

INFORMATION ABOUT THERE VIEW AND APPROVAL OF EACH FUND’S INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued )

for each of the 1-year periods ended January 31st for 2004 and 2005, was equal to the average of the Performance Group for the 1-year period ended January 31, 2003, and was above the averages of the Performance Universe for the each of the 1-year periods ended January 31st from 2002 through 2006.The Board considered the rank of the fund’s income performance versus the Performance Group and the Performance Universe for each 1-year period.

Representatives of Dreyfus noted that Dreyfus or its affiliates do not manage other mutual funds or accounts with similar investment objectives, policies and strategies as the fund.

Mellon Short-Term U.S. Government Securities Fund.

The Board members reviewed reports prepared by Lipper, Inc.,an independent provider of investment company data, which included information comparing the fund’s advisory fee and expense ratio with a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”) that were selected by Lipper. Included in these reports were comparisons of contractual and actual advisory fee rates, total operating expenses, and yield and total return performance. Representatives of Dreyfus furnished these reports to the Board along with a description of the methodology Lipper used to select the Expense Group and Expense Universe.

Universe. The Board noted that the fund’s total return performance was below the averages of the Performance Group for the reported periods, was above the averages of the Performance Universe for the 3- and 5-year periods and below the averages of the Performance Universe for the 1-, 2- and 4-year periods, ended January 31, 2006, ranked in the fifth quintile for the 1-, 3- and 4-year periods and in the fourth quintile for the 2- and 5-year periods, of the Performance Group, and ranked in the third quintile of the Performance Universe for the reported periods. The Board also noted that the fund’s income performance was above the averages of the Performance Group for each of the 1-year periods ended January 31st for 2003 through 2006, was equal to the Performance Group average for the 1-year period ended January 31, 2002, and was above the averages of the Performance Universe for the each of the 1-year periods ended January 31st from 2002 through 2006. The Board considered the rank of the fund’s income performance versus the Performance Group and the Performance Universe for each 1-year period.

Representatives of Dreyfus reviewed with the Board members the fee paid to Dreyfus by a mutual fund managed by Dreyfus with a similar investment objective and similar policies and strategies as the fund (the “Similar Fund”), and explained the nature of the Similar Fund and the differences, from Dreyfus’ perspective, in providing services to the Similar Fund as compared to the fund. Representatives of Dreyfus also noted that there were no other accounts managed or sub-advised by Dreyfus or its affiliates with similar investment objectives, policies and strategies as the fund. Dreyfus’ representatives also reviewed the costs associated with distribution through intermediaries.The Board analyzed the differences in fees paid to Dreyfus and discussed the relationship of the advisory fees paid in light of Dreyfus’ performance and the services provided; it was noted that the advisory fee of the Similar Fund was comparable to that of the fund. The Board members considered the relevance of the fee information provided for the Similar Fund managed by Dreyfus to evaluate the appropriateness and reasonableness of the fund’s advisory fees.The Board acknowledged

that differences in fees paid by the Similar Fund seemed to be consistent with the services provided.

Analysis of Profitability and Economies of Scale. Dreyfus’ representatives reviewed the dollar amount of expenses allocated and profit received by Dreyfus and its affiliates with respect to each fund and the method used to determine such expenses and profit. The Board considered information, previously provided and discussed, prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex. The Board members also considered that the methodology had been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the funds.The Board members evaluated the analysis in light of the relevant circumstances for each fund, noting that economies of scale may be realized as a fund’s assets increase and considering whether fee levels reflect these economies of scale for the benefit of fund investors.The Board members also considered potential benefits to Dreyfus and its affiliates, including Mellon Fund Advisers, from acting as investment adviser with respect to each fund.

It was noted that the Board members should consider Dreyfus’ profitability with respect to each fund as part of their evaluation of whether the fees under the Investment Advisory Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services. It was noted that the profitability percentage for managing each fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and that the profitability percentage for managing each fund was not unreasonable given the fund’s overall performance and generally superior service levels provided.

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the continuation of the Trust’s Investment Advisory Agreement. Based on their discussions and considerations as described above, the Board made the following conclusions and determinations.

• The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.

• With respect to Mellon Bond Fund and Mellon Intermediate Bond Fund, while the Board was concerned with each fund’s total return performance, the Board noted that income performance was more favorable and that the underperformance of each fund’s total return versus its respective comparison group may be attributable, in part, to the high yield, emerging markets and/or sovereign bond holdings of some funds in the comparison group.

• With respect to Mellon Short-Term U.S. Government Securities Fund, while the Board was concerned with the fund’s total return performance, the Board was generally satisfied with the fund’s income performance.

• The Board concluded that the fee paid by each fund to Mellon Fund Advisers was reasonable in light of the considerations described above.

• The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the funds had been adequately considered by Dreyfus in connection with the advisory fee rate charged to each fund, and that, to the extent in the future it were to be determined that material economies of scale had not been shared with a fund, the Board would seek to have those economies of scale shared with the fund.

The Board members considered these conclusions and determinations, along with the information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the Trust’s Investment Advisory Agreement and Administration Agreement with respect to the funds was in the best interests of each fund and its respective shareholders.

The Funds 47

The Funds 49

OFFICERS OF THE TRUST (Unaudited)

CHRISTOPHER E. SHELDON, President since September 2006.

As director of Investment Strategy for Mellon’s Private Wealth Management group since April 2003, Mr. Sheldon manages the analysis and development of investment and asset allocation strategies and investment product research and, since June 2006, also oversees the alternative investment groups. Prior to assuming his current position, Mr. Sheldon was West Coast managing director of Mellon’s Private Wealth Management group from 2001-2003 and its regional manager from 1998-2001. He was previously a Vice President of the Trust. He is 42 years old and has been employed by Mellon Bank since January 1995.

MARK N. JACOBS, Vice President since June 2000.

Executive Vice President, Secretary and General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since June 1977.

MICHAEL A. ROSENBERG, Vice President and Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since October 1991.

JAMES BITETTO, Vice President and Assistant Secretary since August 2005.

Associate General Counsel and Assistant Secretary of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Manager since December 1996.

JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. She is 50 years old and has been an employee of the Manager since October 1988.

JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since July 2000.

JANETTE E. FARRAGHER, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. She is 43 years old and has been an employee of the Manager since February 1984.

JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since February 1991.

ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since May 1986.

JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.

Associate General Counsel of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 41 years old and has been an employee of the Manager since October 1990.

JAMES WINDELS, Treasurer since November 2001.

Director – Mutual Fund Accounting of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since April 1985.

ERIK D. NAVILOFF, Assistant Treasurer since December 2002.

Senior Accounting Manager – Taxable Fixed Income Funds of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 38 years old and has been an employee of the Manager since November 1992.

ROBERT ROBOL, Assistant Treasurer since December 2002.

Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 42 years old and has been an employee of the Manager since October 1988.

ROBERT SVAGNA, Assistant Treasurer since December 2002.

Senior Accounting Manager – Equity Funds of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 39 years old and has been an employee of the Manager since November 1990.

GAVIN C. REILLY, Assistant Treasurer since December 2005.

Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 91 investment companies (comprised of 205 portfolios) managed by the Manager. He is 38 years old and has been an employee of the Manager since April 1991.

JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.

Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (91 investment companies, comprised of 205 portfolios). From November 2001 through March 2004, Mr. Connolly was first Vice-President, Mutual Fund Servicing for Mellon Global Securities Services. In that capacity, Mr. Connolly was responsible for managing Mellon’s Custody, Fund Accounting and Fund Administration services to third-party mutual fund clients. He is 49 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.

WILLIAM GERMENIS, Anti-Money Laundering Compliance Officer since September 2002.

Vice President and Anti-Money Laundering Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 87 investment companies (comprised of 201 portfolios) managed by the Manager. He is 35 years old and has been an employee of the Distributor since October 1998.

The Funds 51

For More Information

Mellon Funds Trust

c/o The Dreyfus Corporation
200 Park Avenue
New York, NY 10166

Investment Adviser
Mellon Fund Advisers, a division of
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166

Administrator

Mellon Bank, N.A.
One Mellon Bank Center
Pittsburgh, PA 15258

Sub-Administrator

The Dreyfus Corporation
200 Park Avenue
New York, NY 10166

Custodian

Mellon Bank, N.A.
One Mellon Bank Center
Pittsburgh, PA 15258

Transfer Agent &
Dividend Disbursing Agent

Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166

Distributor
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166

Telephone Private Wealth Management (PWM) Clients, please contact your Account Officer or call 1-888-281-7350. Brokerage Clients of Mellon Private Wealth Advisors (MPWA), please contact your financial representative or call 1-800-830-0549, Option 2. Individual Account holders, please call Dreyfus at 1-800-896-8167.

Mail PWM Clients, write to your Account Officer, c/o Mellon Bank, N.A., One Mellon Bank Center, Pittsburgh, PA 15258

MPWA Brokerage Clients, write to your financial representative, P.O. Box 9012, Hicksville, NY 11802–9012

Individual Account Holders, write to: Mellon Funds, P.O. Box 55268, Boston, MA 02205–8502

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. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090.

A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the 12-month period ended June 30, 2006, is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-645-6561.

MFTAR0806-TB

The Mellon Funds

Mellon National Intermediate Municipal Bond Fund

Mellon National Short-Term Municipal Bond Fund

Mellon Pennsylvania Intermediate Municipal Bond Fund

Mellon Massachusetts Intermediate Municipal Bond Fund

ANNUAL REPORT August 31, 2006

Contents


The Funds

Letter from the President		2
Discussion of Funds’ Performance
Mellon National Intermediate
Municipal Bond Fund		3
Mellon National Short-Term
Municipal Bond Fund		6
Mellon Pennsylvania Intermediate
Municipal Bond Fund		9
Mellon Massachusetts Intermediate
Municipal Bond Fund		12
Understanding Your Fund’s Expenses		15
Comparing Your Fund’s Expenses
With Those of Other Funds		16
Statements of Investments		17
Statements of Financial Futures		31, 47, 57
Statements of Assets and Liabilities		58
Statements of Operations		59
Statements of Changes in Net Assets		60
Financial Highlights		65
Notes to Financial Statements		75
Report of Independent Registered
Public Accounting Firm		81
Important Tax Information		82
Information About the Review
and Approval of Each Fund’s
Investment Advisory Agreement		83
Board Members Information		89
Officers of the Trust		91

For More Information

Back cover

The views expressed herein are current to the date of this report. These views and the composition of the funds’ portfolios are subject to change at any time based on market and other conditions.

• Not FDIC-Insured

• Not Bank-Guaranteed

• May Lose Value

The Funds

L E T T E R F R O M

T H E P R E S I D E N T

Dear Shareholder:

We are pleased to present this annual report covering the 12-month period from September 1, 2005, through August 31, 2006.

For information about how each Fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Funds’ Performance.

Thank you for your continued confidence and support.

DISCUSSION OF

FUND PERFORMANCE

John F. Flahive and Mary Collette O’Brien,

Portfolio Managers

How did Mellon National Intermediate Municipal Bond Fund perform relative to its benchmark?

For the 12-month period ended August 31, 2006, the fund achieved total returns of 2.64% for Class M shares, 2.47% for Investor shares and 1.88% for Dreyfus Premier shares.¹In comparison, the Lehman Brothers 7-Year Municipal Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 2.52% for the same period.²

Intermediate-term municipal bonds fared relatively well over the reporting period due to recent expectations of slower economic growth and a pause in the Federal Reserve Board’s (the “Fed”) monetary tightening campaign.The fund’s Class M shares produced a slightly higher return than its benchmark, primarily due to the success of our yield curve, duration management and security selection strategies.

What is the fund’s investment approach?

The fund seeks to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds that provide income exempt from federal income tax. The fund may occasionally, including for temporary defensive purposes, invest in taxable bonds. The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and its average effective portfolio duration will not exceed eight years.

Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help

us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities. This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical. At other times, we typically try to maintain a neutral average duration.

What other factors influenced the fund’s performance?

Early in the reporting period, the U.S. economy continued to grow despite volatile energy prices and rising interest rates. Fixed-income investors at the time appeared to be relatively unconcerned about inflation, helping to support municipal bond prices. However, investor sentiment appeared to shift in the spring of 2006, when rising energy prices and hawkish comments by some Fed members sparked renewed inflation concerns and a bout of market weakness. These concerns subsequently eased, when evidence of softening housing markets and moderating employment gains suggested that the economy might be slowing. As a result, municipal bonds rallied over the summer of 2006, keeping the Index in positive territory for the reporting period overall.

At the same time, supply-and-demand factors generally remained supportive of municipal bond prices. Many states and municipalities have taken in more tax revenue than originally projected, reducing their need to borrow.As a result, issuance volume declined compared to the same period one year earlier, while investor demand remained robust from individuals and institutions seeking competitive levels of tax-exempt income.

The Funds 3

D I S C U S S I O N O F F U N D P E R F O R M A N C E (continued)

The fund’s strategies proved successful in the three key areas of yield curve positioning, duration management and security selection. The fund’s “barbell” yield curve positioning, which emphasized securities in the 15- to 20-year range and three- to five-year range, enabled the fund to participate in the stronger parts of the maturity spectrum as yield differences narrowed toward historical lows. We set the fund’s average duration in a range we considered moderately shorter than industry averages, which helped reduce its sensitivity to changing interest rates compared to the Index. Finally, our mild emphasis on bonds with credit ratings toward the lower end of the investment-grade range, including securities backed by health care facilities and industrial development projects, contributed positively to performance.

What is the fund’s current strategy?

After yield differences along the maturity spectrum reached unusually narrow levels, we shifted the fund’s exposure to the yield curve to one that more closely compares to that of the Index. In addition, although the Fed refrained from raising short-term interest rates at its

August meeting, it is possible that rate hikes may resume if inflationary pressures intensify. Accordingly, we have maintained the fund’s average duration at a point that is slightly shorter than industry averages. Finally, because we expect credit conditions for most issuers to remain sound over the foreseeable future, we have maintained the fund’s mild emphasis on bonds with “triple-B” credit ratings. In our view, these are prudent strategies until current uncertainty regarding Fed policy and the economy’s strength is resolved.

September 15, 2006

¹		Total return includes reinvestment of dividends and any capital gains paid. Past
		performance is no guarantee of future results. Share price, yield and investment
		return fluctuate such that upon redemption, fund shares may be worth more or
		less than their original cost. Income may be subject to state and local taxes, and
		some income may be subject to the federal alternative minimum tax (AMT) for
		certain investors. Capital gains, if any, are fully taxable.
²		SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where
		applicable, capital gain distributions.The Lehman Brothers 7-Year Municipal
		Bond Index is an unmanaged total return performance benchmark for the
		investment-grade, geographically unrestricted 7-year tax-exempt bond market,
		consisting of municipal bonds with maturities of 6-8 years. Index returns do
		not reflect the fees and expenses associated with operating a mutual fund.

FUND PERFORMANCE

Average Annual Total Returns	as of 8/31/06
	Inception				From
	Date	1 Year	5 Years	10 Years	Inception

Class M shares		2.64%	4.07%	5.16%
Investor shares	7/11/01	2.47%	3.82%	—	4.32%
Dreyfus Premier shares
with applicable redemption ^††	10/11/02	(1.07)%	—	—	2.28%
without redemption	10/11/02	1.88%	—	—	2.75%

^†Source: Lipper Inc.

Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder

would pay on fund distributions or the redemption of fund shares.

The above graph compares a $10,000 investment made in Class M shares of Mellon National Intermediate Municipal Bond Fund on 8/31/96 to a $10,000

investment made in the Lehman Brothers 7-Year Municipal Bond Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.

Before the fund commenced operations, substantially all of the assets of a predecessor common trust fund (CTF) that, in all material respects, had the same investment

objective, policies, guidelines and restrictions as the fund were transferred to the fund. Please note that the performance of the fund’s Class M shares represents the

performance of the predecessor CTF through October 1, 2000, adjusted to reflect the fund’s fees and expenses, by subtracting from the actual performance of the CTF

the expenses of the fund’s Class M shares as they were estimated prior to the conversion of the CTF into the fund, and the performance of the fund’s Class M shares

thereafter.The predecessor CTF was not registered under the Investment Company Act of 1940, as amended, and therefore was not subject to certain investment

restrictions that might have adversely affected performance. In addition, the expenses of the fund’s Class M shares may be higher than those estimated prior to the

conversion of the CTF into the fund, which would lower the performance shown in the above line graph.

Effective July 11, 2001, existing fund shares were designated as Class M shares and the fund began offering a second class of shares designated as Investor shares,

which are subject to a Shareholder Services Plan. Performance for Investor shares will vary from the performance of Class M shares shown above because of the

differences in charges and expenses.

The fund’s performance shown in the line graph takes into account all applicable fees and expenses for Class M shares only.The Index is an unmanaged total return

performance benchmark for the investment-grade, geographically unrestricted, 7-year tax-exempt bond market, consisting of municipal bonds with maturities of 6-8

years.The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if

applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

^††The maximum contingent deferred sales charge for Dreyfus Premier shares is 3%.After six years Dreyfus Premier shares convert to Investor shares.

The Funds 5

DISCUSSION OF

FUND PERFORMANCE

Timothy J. Sanville and Jeremy Baker,

Portfolio Managers

How did Mellon National Short-Term Municipal Bond Fund perform relative to its benchmark?

For the 12-month period ended August 31, 2006, the fund achieved total returns of 2.36% for Class M shares and 2.10% for Investor shares.¹In comparison, the Lehman Brothers 3-Year Municipal Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 2.27% for the same period.²

Municipal bonds fared relatively well due to a rally late in the reporting period stemming from expectations of slower economic growth and a pause in the Federal Reserve Board’s (the “Fed”) monetary tightening campaign. The fund’s Class M shares produced higher returns than the benchmark, primarily due to the success of our yield curve, duration management and security selection strategies.

What is the fund’s investment approach?

The fund seeks to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds that provide income exempt from federal income tax. The fund occasionally, including for temporary defensive purposes, may invest in taxable bonds. The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective portfolio maturity and its average effective portfolio duration will be less than three years.

Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help

us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities.This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical. At other times, we typically try to maintain a neutral average duration.

What other factors influenced the fund’s performance?

Early in the reporting period, the U.S. economy continued to grow despite volatile energy prices and rising interest rates. Fixed-income investors at the time appeared to be relatively unconcerned about inflation, helping to support municipal bond prices. However, investor sentiment appeared to shift in the spring of 2006, when rising energy prices and hawkish comments by some Fed members sparked renewed inflation concerns and a bout of market weakness. These concerns subsequently eased, when evidence of softening housing markets and moderating employment gains suggested that the economy might be slowing.As a result, municipal bonds rallied over the summer of 2006, keeping the Index in positive territory for the reporting period overall.

At the same time, supply-and-demand factors generally remained supportive of municipal bond prices. Many states and municipalities have taken in more tax revenue than originally projected, limiting their need to borrow. Additionally, bond refinancings (refundings), which typically account for a quarter of overall issuance, fell dra-

matically during the reporting period. As a result, issuance volume declined compared to the same period one year earlier, while investor demand remained robust from individuals and institutions seeking competitive levels of tax-exempt income.

The fund’s strategies proved successful in the three key areas of yield curve positioning, duration management and security selection. The fund’s “barbell” yield curve positioning, which emphasized securities in the five- to seven-year range and one- to three-year range, enabled the fund to participate in the stronger parts of its maturity spectrum as yield differences narrowed toward historical lows. We set the fund’s average duration in a range we considered shorter than industry averages, which limited its sensitivity to changing interest rates compared to the Index.This relatively defensive positioning helped the fund withstand heightened volatility during the spring of 2006. Finally, the fund benefited from our mild emphasis on bonds with credit ratings toward the lower end of the investment-grade range, including securities backed by health care facilities and industrial development projects. Otherwise, the fund’s holdings were broadly diversified across a broad range of highly rated issuers.

What is the fund’s current strategy?

After yield differences along the maturity spectrum reached unusually narrow levels and the Fed refrained from raising short-term interest rates at its August meeting, we shifted the fund’s yield curve structure and average duration to positions that more closely mirror the benchmark’s. In addition, because we expect credit conditions for most issuers to remain sound over the foreseeable future, we have maintained the fund’s mild emphasis on bonds with “triple-B” credit ratings. In our view, these are prudent strategies until current uncertainty regarding Fed policy and the economy’s strength is resolved.

September 15, 2006

¹Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Income may be subject to state and local taxes, and some income may be subject to the federal alternative minimum tax (AMT) for certain investors. Capital gains, if any, are fully taxable.

²SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where applicable, capital gain distributions.The Lehman Brothers 3-Year Municipal Bond Index is an unmanaged total return performance benchmark for the investment-grade, geographically unrestricted 3-year tax-exempt bond market, consisting of municipal bonds with maturities of 2-4 years. Index returns do not reflect the fees and expenses associated with operating a mutual fund.

The Funds 7

FUND PERFORMANCE

Average Annual Total Returns	as of 8/31/06
	Inception			From
	Date	1 Year	5 Years	Inception

Class M shares	10/2/00	2.36%	2.41%	3.23%
Investor shares	7/11/01	2.10%	2.14%	2.37%

^†Source: Lipper Inc.

Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder

would pay on fund distributions or the redemption of fund shares.

The above graph compares a $10,000 investment made in Class M shares of Mellon National Short-Term Municipal Bond Fund on 10/2/00 (inception date) to a

$10,000 investment made in the Lehman Brothers 3-Year Municipal Bond Index (the “Index”) on that date. For comparative purposes, the value of the Index on

9/30/00 is used as the beginning value on 10/2/00.All dividends and capital gain distributions are reinvested.

Effective July 11, 2001, existing fund shares were designated as Class M shares and the fund began offering a second class of shares designated as Investor shares,

which are subject to a Shareholder Services Plan. Performance for Investor shares will vary from the performance of Class M shares shown above because of the

differences in charges and expenses.

The fund’s performance shown in the line graph takes into account all applicable fees and expenses for Class M shares only.The Index is an unmanaged total return

performance benchmark for the investment-grade, geographically unrestricted, 3-year tax-exempt bond market, consisting of municipal bonds with maturities of 2-4

years.The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if

applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

DISCUSSION OF

FUND PERFORMANCE

Mary Collette O’Brien and Jeremy N. Baker,

Portfolio Managers

How did Mellon Pennsylvania Intermediate

Municipal Bond Fund perform relative to its

benchmark?

For the 12-month period ended August 31, 2006, the fund achieved total returns of 2.41% for Class M shares and 2.15% for Investor shares.¹In comparison, the Lehman Brothers 7-Year Municipal Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 2.52% for the same period.²

Intermediate-term municipal bonds fared relatively well over the reporting period due to recent expectations of slower economic growth and a pause in the Federal Reserve Board’s (the “Fed”) monetary tightening campaign. The fund’s returns were lower than its benchmark, primarily due to the fund’s slightly shorter duration profile relative to its benchmark.

What is the fund’s investment approach?

The fund seeks as high a level of income exempt from federal and Pennsylvania state income taxes as is consistent with the preservation of capital.To pursue its goal, the fund normally invests at least 80% of its assets in municipal bonds, the interest from which is exempt from federal and Pennsylvania state personal income taxes.The fund may also invest in municipal bonds that are exempt from federal income taxes, but not Pennsylvania personal income taxes, and in taxable bonds. The fund’s investments in municipal and taxable bonds must be rated investment grade at the time of purchase or, if unrated, deemed of comparable quality by the investment adviser. Generally, the fund’s average effective portfolio maturity will be between three and 10 years, and its average effective portfolio duration will not exceed eight years.

Rather than focusing on economic or market trends, we search for securities that, in our opinion, will help

us enhance the fund’s yield without sacrificing quality. We use a more tactical approach with respect to the fund’s average duration. If we expect the supply of securities to increase temporarily, we may reduce the fund’s average duration to make cash available for the purchase of higher yielding securities. This is due to the fact that yields generally tend to rise if issuers are competing for investor interest. If we expect demand to surge at a time when we anticipate little issuance and therefore lower yields, we may increase the fund’s average duration to maintain current yields for as long as practical.At other times, we typically try to maintain a neutral average duration.

What other factors influenced the fund’s performance?

Early in the reporting period, the U.S. economy continued to grow despite volatile energy prices and rising interest rates. Fixed-income investors at the time appeared to be relatively unconcerned about inflation, helping to support municipal bond prices. However, investor sentiment appeared to shift in the spring of 2006, when rising energy prices and hawkish comments by some Fed members sparked renewed inflation concerns and a bout of market weakness. These concerns subsequently eased, when evidence of softening housing markets and moderating employment gains suggested that the economy might be slowing.As a result, municipal bonds rallied over the summer of 2006, keeping the Index in positive territory for the reporting period overall.

Supply-and-demand factors generally remained supportive of Pennsylvania municipal bond prices. Like many other states, Pennsylvania has taken in more tax revenue than originally projected, enhancing its fiscal condition and reducing its need to borrow.Yet, investor demand remained robust from individuals and institutions seeking competitive levels of tax-exempt income.

The Funds 9

DISCUSSION OF FUND PERFORMANCE (continued)

The fund’s strategies proved successful in the three key areas of yield curve positioning, duration management and security selection. The fund’s “barbell” yield curve positioning, which emphasized securities in the 15- to 20-year range and three- to five-year range, enabled the fund to participate in the stronger parts of the maturity spectrum as yield differences narrowed toward historical lows. We set the fund’s average duration in a range we considered moderately shorter than industry averages, which helped reduce its sensitivity to changing interest rates compared to the benchmark. Finally, our mild emphasis on bonds with credit ratings toward the lower end of the investment-grade range, including securities backed by health care facilities and industrial development projects, contributed positively to performance.

What is the fund’s current strategy?

After yield differences along the maturity spectrum reached unusually narrow levels, we shifted the fund’s exposure to the yield curve to one that more closely compares to that of the benchmark. In addition, although the Fed refrained from raising short-term

interest rates at its August meeting, it is possible that rate hikes may resume if inflationary pressures intensify. Accordingly, we have maintained the fund’s average duration in a range that is slightly shorter than industry averages. Finally, because we expect credit conditions for most issuers to remain sound for the foreseeable future, we have maintained the fund’s mild emphasis on bonds with “triple-B” credit ratings. In our view, these are prudent strategies until current uncertainty regarding Fed policy and the economy’s strength is resolved.

September 15, 2006

²		Total return includes reinvestment of dividends and any capital gains paid.
		Past performance is no guarantee of future results. Share price, yield and
		investment return fluctuate such that upon redemption, fund shares may be
		worth more or less than their original cost. Income may be subject to state and
		local taxes for non-Pennsylvania residents, and some income may be subject to
		the federal alternative minimum tax (AMT) for certain investors. Capital
		gains, if any, are fully taxable.
²		SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where
		applicable, capital gain distributions.The Lehman Brothers 7-Year Municipal
		Bond Index is an unmanaged total return performance benchmark for the
		investment-grade, geographically unrestricted 7-year tax-exempt bond market,
		consisting of municipal bonds with maturities of 6-8 years. Index returns do
		not reflect the fees and expenses associated with operating a mutual fund.

FUND PERFORMANCE

Average Annual Total Returns	as of 8/31/06
	Inception				From
	Date	1 Year	5 Years	10 Years	Inception

Class M shares		2.41%	3.64%	4.68%
Investor shares	7/11/01	2.15%	3.36%	—	3.78%

^†Source: Lipper Inc.

Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder

would pay on fund distributions or the redemption of fund shares.

The above graph compares a $10,000 investment made in Class M shares of Mellon Pennsylvania Intermediate Municipal Bond Fund on 8/31/96 to a $10,000